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CION Investment Corp 10-Q, filed May 15, 2020

CION Investment Corp (CION)

10-Q 2020-05-15 For: 2020-03-31
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Added on April 11, 2026

About this 10-Q

CION Investment Corp filed this 10-Q on May 15, 2020, covering the quarter ended March 31, 2020.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2020

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 Number 000-54755

CĪON Investment Corporation
(Exact name of registrant as specified in its charter)
Maryland 45-3058280
--- --- ---
(State or other jurisdiction of<br><br>incorporation or organization) (I.R.S. Employer<br><br>Identification No.)
3 Park Avenue, 36th Floor<br><br>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)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class Trading symbol(s) Name of each exchange on which registered
None Not applicable Not applicable

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes [x] No [ ]

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files).

Yes [ ] No [ ]

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

Large accelerated filer [ ] Accelerated filer [ ]
Non-accelerated filer [x] Smaller reporting company [ ]
Emerging growth company [ ]

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

[ ]

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes [ ] No [x]

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of May 11, 2020 was 113,311,389.

CĪON INVESTMENT CORPORATION

FORM 10-Q

TABLE OF CONTENTS

Page
PART I - FINANCIAL INFORMATION
Item 1. Financial Statements 1
Consolidated Balance Sheets 1
Consolidated Statements of Operations 2
Consolidated Statements of Changes in Net Assets 3
Consolidated Statements of Cash Flows 4
Consolidated Schedules of Investments 5
Notes to Consolidated Financial Statements 25
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 55
Item 3. Quantitative and Qualitative Disclosures About Market Risk 68
Item 4. Controls and Procedures 68
PART II – OTHER INFORMATION
Item 1. Legal Proceedings 70
Item 1A. Risk Factors 70
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 72
Item 3. Defaults Upon Senior Securities 72
Item 4. Mine Safety Disclosures 72
Item 5. Other Information 72
Item 6. Exhibits 73
Signatures 76

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

CĪON Investment Corporation

Consolidated Balance Sheets

(in thousands, except share and per share amounts)

March 31,2020 December 31,2019
(unaudited)
Assets
Investments, at fair value:
Non-controlled, non-affiliated investments (amortized cost of 1,690,015 and 1,692,879, respectively) 1,516,653 1,630,243
Non-controlled, affiliated investments (amortized cost of 89,622 and 88,700, respectively) 82,411 89,326
Controlled investments (amortized cost of 43,364 and 45,497, respectively) 38,556 45,503
Total investments, at fair value (amortized cost of 1,823,001 and 1,827,076, respectively) 1,637,620 1,765,072
Cash 3,727 6,135
Due from counterparty 5,146 3,281
Interest receivable on investments 16,784 15,261
Receivable due on investments sold and repaid 891 18,552
Dividends receivable on investments 1,412 1,106
Prepaid expenses and other assets 623 985
Total assets 1,666,203 1,810,392

All values are in US Dollars.

Liabilities and Shareholders' Equity
Liabilities
Financing arrangements (net of unamortized debt issuance costs of 3,769 and 4,457, respectively) 803,090 836,585
Payable for investments purchased 21,329 1,568
Accounts payable and accrued expenses 1,077 815
Interest payable 2,769 3,163
Accrued management fees 8,451 8,869
Accrued subordinated incentive fee on income 3,308 5,612
Accrued administrative services expense 321 1,217
Total liabilities 840,345 857,829
Commitments and contingencies (Note 4 and Note 11)
Shareholders' Equity
Common stock, 0.001 par value; 500,000,000 shares authorized;
113,313,249 and 113,381,145 shares issued and outstanding, respectively 113 113
Capital in excess of par value 1,054,913 1,054,913
Accumulated distributable losses (229,168 ) (102,463 )
Total shareholders' equity 825,858 952,563
Total liabilities and shareholders' equity 1,666,203 1,810,392
Net asset value per share of common stock at end of period 7.29 8.40

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

1

CĪON Investment Corporation

Consolidated Statements of Operations

(in thousands, except share and per share amounts)

Three Months EndedMarch 31,
2020 2019
(unaudited) (unaudited)
Investment income
Non-controlled, non-affiliated investments
Interest income 39,421 47,145
Fee income 604 298
Paid-in-kind interest income 1,876 653
Dividend income 136 90
Non-controlled, affiliated investments
Interest income 798 399
Paid-in-kind interest income 783 24
Dividend income 475 2,562
Controlled investments
Dividend income 1,655 —
Total investment income 45,748 51,171
Operating expenses
Management fees 8,451 9,331
Administrative services expense 394 497
Subordinated incentive fee on income 3,308 5,375
General and administrative 1,470 1,389
Interest expense 10,464 13,040
Total operating expenses 24,087 29,632
Net investment income 21,661 21,539
Realized and unrealized losses
Net realized losses on:
Non-controlled, non-affiliated investments (3,983 ) (957 )
Non-controlled, affiliated investments (211 ) —
Foreign currency (2 ) (3 )
Net realized losses (4,196 ) (960 )
Net change in unrealized depreciation on:
Non-controlled, non-affiliated investments (110,726 ) (3,629 )
Non-controlled, affiliated investments (7,837 ) (421 )
Controlled investments (4,814 ) —
Foreign currency — (113 )
Net change in unrealized depreciation (123,377 ) (4,163 )
Net realized and unrealized losses (127,573 ) (5,123 )
Net (decrease) increase in net assets resulting from operations (105,912 ) 16,416
Per share information—basic and diluted
Net (decrease) increase in net assets per share resulting from operations (0.93 ) 0.14
Weighted average shares of common stock outstanding 113,700,146 113,624,760

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

2

CĪON Investment Corporation

Consolidated Statements of Changes in Net Assets

(in thousands, except share and per share amounts)

Three Months EndedMarch 31,
2020 2019
(unaudited) (unaudited)
Changes in net assets from operations:
Net investment income 21,661 21,539
Net realized loss on investments (4,194 ) (957 )
Net realized loss on foreign currency (2 ) (3 )
Net change in unrealized depreciation on investments (123,377 ) (4,050 )
Net change in unrealized depreciation on foreign currency translation — (113 )
Net (decrease) increase in net assets resulting from operations (105,912 ) 16,416
Changes in net assets from shareholders' distributions:
Distributions to shareholders (20,793 ) (20,772 )
Net decrease in net assets resulting from shareholders' distributions (20,793 ) (20,772 )
Changes in net assets from capital share transactions:
Issuance of common stock, net of issuance costs of 0 and 296, respectively — 6,220
Reinvestment of shareholders' distributions 8,071 9,361
Repurchase of common stock (8,071 ) (9,361 )
Net increase in net assets resulting from capital share transactions — 6,220
Total (decrease) increase in net assets (126,705 ) 1,864
Net assets at beginning of period 952,563 979,271
Net assets at end of period 825,858 981,135
Net asset value per share of common stock at end of period 7.29 8.65
Shares of common stock outstanding at end of period 113,313,249 113,401,873

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

3

CĪON Investment Corporation

Consolidated Statements of Cash Flows

(in thousands)

Three Months EndedMarch 31,
2020 2019
(unaudited) (unaudited)
Operating activities:
Net (decrease) increase in net assets resulting from operations (105,912 ) 16,416
Adjustments to reconcile net (decrease) increase in net assets resulting from operations to net cash
provided by operating activities:
Net accretion of discount on investments (5,181 ) (3,017 )
Proceeds from principal repayment of investments 182,814 95,142
Purchase of investments (175,631 ) (143,445 )
Paid-in-kind interest and dividends capitalized (3,270 ) (3,239 )
Increase in short term investments, net (27,130 ) (13,631 )
Proceeds from sale of investments 27,584 106,861
Net realized loss on investments 4,194 957
Net unrealized depreciation on investments 123,377 4,050
Amortization of debt issuance costs 687 828
(Increase) decrease in due from counterparty (1,865 ) —
(Increase) decrease in interest receivable on investments (828 ) 505
(Increase) decrease in dividends receivable (306 ) —
(Increase) decrease in receivable due on investments sold and repaid 17,661 (37,605 )
(Increase) decrease in prepaid expenses and other assets 362 101
Increase (decrease) in payable for investments purchased 19,761 (3,891 )
Increase (decrease) in accounts payable and accrued expenses 262 (71 )
Increase (decrease) in interest payable (394 ) (264 )
Increase (decrease) in accrued management fees (418 ) 23
Increase (decrease) in accrued administrative services expense (896 ) (816 )
Increase (decrease) in subordinated incentive fee on income payable (2,304 ) 2,771
Net cash provided by operating activities 52,567 21,675
Financing activities:
Gross proceeds from issuance of common stock — 6,516
Commissions and dealer manager fees paid — (296 )
Repurchase of common stock (8,071 ) (9,361 )
Shareholders' distributions paid (12,722 ) (11,411 )
Repayments under financing arrangements (75,300 ) (73,500 )
Borrowings under financing arrangements 41,118 57,500
Debt issuance costs paid — (1,421 )
Net cash used in financing activities (54,975 ) (31,973 )
Net decrease in cash and restricted cash (2,408 ) (10,298 )
Cash and restricted cash, beginning of period 6,135 17,579
Cash and restricted cash, end of period 3,727 7,281
Supplemental disclosure of cash flow information:
Cash paid for interest 10,161 12,472
Supplemental non-cash financing activities:
Reinvestment of shareholders' distributions 8,071 9,361
Restructuring of portfolio investment — 2,200

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

4

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/Par Amount/Units(e) Cost(d) FairValue(c)
Senior Secured First Lien Debt - 154.3%
Academy, Ltd., L+400, 1.00% LIBOR Floor, 7/1/2022(o) 1 Month LIBOR Retail 14,191 12,765 13,127
Adams Publishing Group, LLC, L+750, 1.75% LIBOR Floor, 7/2/2023(o)(q) 3 Month LIBOR Media: Advertising, Printing & Publishing 13,238 13,138 12,708
Adapt Laser Acquisition, Inc., L+800, 1.00% LIBOR Floor, 12/31/2023(o) 3 Month LIBOR Capital Equipment 11,550 11,550 10,049
Adapt Laser Acquisition, Inc., 0.50% Unfunded, 12/31/2023 None Capital Equipment 2,000 — (260 )
Aegis Toxicology Sciences Corp., L+550, 1.00% LIBOR Floor, 5/9/2025(p) 3 Month LIBOR Healthcare & Pharmaceuticals 9,850 9,689 8,225
AIS Holdco, LLC, L+500, 0.00% LIBOR Floor, 8/15/2025(p) 3 Month LIBOR Banking, Finance, Insurance & Real Estate 5,347 5,290 4,251
Alchemy US Holdco 1, LLC, L+550, 10/10/2025(j)(p) 1 Month LIBOR Construction & Building 13,215 13,063 11,695
Allen Media, LLC, L+550, 0.00% LIBOR Floor, 2/10/2027(p)(q) 3 Month LIBOR Media: Diversified & Production 25,000 25,000 22,625
ALM Media, LLC, L+650, 1.00% LIBOR Floor, 11/25/2024(o)(q) 1 Month LIBOR Media: Advertising, Printing & Publishing 19,750 19,378 18,960
AMCP Staffing Intermediate Holdings III, LLC, L+675, 1.50% LIBOR Floor, 9/24/2025(r) 3 Month LIBOR Services: Business 9,975 9,921 9,476
AMCP Staffing Intermediate Holdings III, LLC, L+675, 1.50% LIBOR Floor, 9/24/2025 3 Month LIBOR Services: Business 995 998 946
AMCP Staffing Intermediate Holdings III, LLC, 0.50% Unfunded, 9/24/2025 None Services: Business 603 (3 ) (30 )
American Clinical Solutions LLC, 7.00%, 12/31/2022 None Healthcare & Pharmaceuticals 3,500 3,403 3,080
American Clinical Solutions LLC, 2.00%, 12/31/2022(x) None Healthcare & Pharmaceuticals 6,030 4,346 1,658
American Media, LLC, L+775, 0.00% LIBOR Floor, 12/31/2023(o) 3 Month LIBOR Media: Advertising, Printing & Publishing 12,952 12,696 12,563
American Media, LLC, L+775, 0.00% LIBOR Floor, 12/31/2023 3 Month LIBOR Media: Advertising, Printing & Publishing 1,532 1,539 1,486
American Media, LLC, 0.50% Unfunded, 12/31/2023 None Media: Advertising, Printing & Publishing 170 (40 ) (5 )
American Teleconferencing Services, Ltd., L+650, 1.00% LIBOR Floor, 12/8/2021(o)(p)(r) 3 Month LIBOR Telecommunications 19,540 18,626 14,655
Analogic Corp., L+525, 1.00% LIBOR Floor, 6/21/2024(q) 1 Month LIBOR Healthcare & Pharmaceuticals 4,988 4,911 4,838
Anthem Sports & Entertainment Inc., L+950, 1.00% LIBOR Floor, 9/9/2024(o)(x) 3 Month LIBOR Media: Diversified & Production 12,263 12,114 11,252
Anthem Sports & Entertainment Inc., L+950, 1.00% LIBOR Floor, 9/9/2024 3 Month LIBOR Media: Diversified & Production 833 833 812
Anthem Sports & Entertainment Inc., 0.50% Unfunded, 9/9/2024 None Media: Diversified & Production 1,333 — (33 )
APC Automotive Technologies, LLC, L+500, 1.00% LIBOR Floor, 5/10/2025(p)(q) 3 Month LIBOR Automotive 8,901 8,575 7,677
APC Automotive Technologies, LLC, L+500, 1.00% LIBOR Floor, 5/10/2024(p)(t)(x) 3 Month LIBOR Automotive 2,773 2,624 153
APCO Holdings, LLC, L+550, 0.00% LIBOR Floor, 6/9/2025(p) 1 Month LIBOR Banking, Finance, Insurance & Real Estate 10,827 10,738 10,394
Ascent Resources - Marcellus, LLC, L+650, 1.00% LIBOR Floor, 3/30/2023(p) 1 Month LIBOR Energy: Oil & Gas 712 712 712
Associated Asphalt Partners, LLC, L+525, 1.00% LIBOR Floor, 4/5/2024(p)(q) 1 Month LIBOR Construction & Building 14,652 14,152 12,985
Avison Young (USA) Inc., L+500, 0.00% LIBOR Floor, 1/31/2026(h)(p) 3 Month LIBOR Banking, Finance, Insurance & Real Estate 9,875 9,701 8,838
Bi-Lo, LLC, L+800, 1.00% LIBOR Floor, 5/31/2024(p)(q) 3 Month LIBOR Retail 18,864 18,127 18,204
BK Medical Holding Company, Inc., L+525, 1.00% LIBOR Floor, 6/22/2024(q) 1 Month LIBOR Healthcare & Pharmaceuticals 5,000 4,953 4,850
Cadence Aerospace, LLC, L+650, 1.00% LIBOR Floor, 11/14/2023(q)(r) 3 Month LIBOR Aerospace & Defense 31,980 31,728 29,741
Cardinal US Holdings, Inc., L+500, 1.00% LIBOR Floor, 7/31/2023(p) 3 Month LIBOR Services: Business 8,288 7,920 7,252
CB URS Holdings Corp., L+575, 1.00% LIBOR Floor, 9/1/2024(p)(r) 1 Month LIBOR Transportation: Cargo 16,278 16,200 13,022

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

5

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) Fair<br><br>Value(c)
Central Security Group, Inc., L+563, 1.00% LIBOR Floor, 10/6/2021(p)(r) 1 Month LIBOR Services: Consumer 19,365 19,371 15,076
Charming Charlie LLC, 20.00%, 5/15/2020(t)(u) None Retail 777 657 404
Charming Charlie LLC, L+1200, 1.00% LIBOR Floor, 4/24/2023(t)(u)(x) 1 Month LIBOR Retail 2,936 — —
Charming Charlie LLC, L+1200, 1.00% LIBOR Floor, 4/24/2023(t)(u)(x) 1 Month LIBOR Retail 3,595 — —
CHC Solutions Inc., 12.00%, 7/20/2023(x) None Healthcare & Pharmaceuticals 7,422 7,422 7,200
CircusTrix Holdings, LLC, L+550, 1.00% LIBOR Floor, 12/16/2021(q)(r)(y) 1 Month LIBOR Hotel, Gaming & Leisure 17,896 17,749 16,643
CircusTrix Holdings, LLC, L+550, 1.00% LIBOR Floor, 12/16/2021(y) 1 Month LIBOR Hotel, Gaming & Leisure 2,424 2,424 2,254
CircusTrix Holdings, LLC, 1.00% Unfunded, 12/16/2021 None Hotel, Gaming & Leisure 2,898 — (203 )
Country Fresh Holdings, LLC, L+500, 1.00% LIBOR Floor, 4/29/2023 3 Month LIBOR Beverage, Food & Tobacco 1,020 980 990
Country Fresh Holdings, LLC, L+500, 1.00% LIBOR Floor, 4/29/2023 3 Month LIBOR Beverage, Food & Tobacco 414 414 401
Coyote Buyer, LLC, L+600, 1.00% LIBOR Floor, 2/6/2026(o)(q)(r) 3 Month LIBOR Chemicals, Plastics & Rubber 30,000 29,709 28,800
Coyote Buyer, LLC, L+600, 1.00% LIBOR Floor, 2/6/2025 3 Month LIBOR Chemicals, Plastics & Rubber 250 248 240
Coyote Buyer, LLC, 0.50% Unfunded, 2/6/2025 None Chemicals, Plastics & Rubber 2,250 (23 ) (90 )
Crown Subsea Communications Holdings, Inc., L+600, 0.00% LIBOR Floor, 11/2/2025(p) 1 Month LIBOR Capital Equipment 4,581 4,503 4,352
David's Bridal, LLC, L+600, 1.00% LIBOR Floor, 6/30/2023(x) 3 Month LIBOR Retail 710 600 630
Deluxe Entertainment Services, Inc., L+650, 1.00% LIBOR Floor, 3/25/2024(j)(o)(u)(x) 3 Month LIBOR Media: Diversified & Production 23,985 23,984 25,543
DMT Solutions Global Corp., L+700, 0.00% LIBOR Floor, 7/2/2024(p)(r) 3 Month LIBOR Services: Business 18,250 17,838 16,790
Eagle Family Foods Group LLC, L+650, 1.00% LIBOR Floor, 6/14/2024(r) 6 Month LIBOR Beverage, Food & Tobacco 14,738 14,488 14,222
Entertainment Studios P&A LLC, 6.35%, 5/18/2037(l) None Media: Diversified & Production 14,448 14,346 13,437
Entertainment Studios P&A LLC, 5.00%, 5/18/2037(l) None Media: Diversified & Production — — 1,656
EnTrans International, LLC, L+600, 0.00% LIBOR Floor, 11/1/2024(p)(r) 1 Month LIBOR Capital Equipment 27,375 27,150 25,185
ES Chappaquiddick LLC, 10.00%, 5/18/2022 None Media: Diversified & Production 925 925 946
Evergreen Skills Lux S.À.R.L., L+475, 1.00% LIBOR Floor, 4/28/2021(h)(q) 6 Month LIBOR High Tech Industries 10,050 9,832 6,784
Extreme Reach, Inc., L+750, 0.00% LIBOR Floor, 3/29/2024(q) 1 Month LIBOR Media: Diversified & Production 16,809 16,739 16,137
Extreme Reach, Inc., L+750, 0.00% LIBOR Floor, 3/29/2024(q) 1 Month LIBOR Media: Diversified & Production 1,744 1,736 1,674
F+W Media, Inc., L+650, 1.50% LIBOR Floor, 5/24/2022(t)(u)(x) 1 Month LIBOR Media: Diversified & Production 1,185 1,125 —
Flavors Holdings Inc., L+575, 1.00% LIBOR Floor, 4/3/2020(o)(q) 3 Month LIBOR Consumer Goods: Non-Durable 13,388 13,384 13,288
Foundation Consumer Healthcare, LLC, L+550, 1.00% LIBOR Floor, 11/2/2023(o)(q)(r) 3 Month LIBOR Healthcare & Pharmaceuticals 40,799 40,511 40,595
Foundation Consumer Healthcare, LLC, 0.50% Unfunded, 11/2/2023 None Healthcare & Pharmaceuticals 4,211 (19 ) (21 )
Genesis Healthcare, Inc., L+600, 0.50% LIBOR Floor, 3/6/2023(h)(o)(r) 1 Month LIBOR Healthcare & Pharmaceuticals 30,000 29,801 28,463
Geo Parent Corp., L+525, 0.00% LIBOR Floor, 12/19/2025(p) 1 Month LIBOR Services: Business 14,850 14,720 14,033
Geon Performance Solutions, LLC, L+625, 1.63% LIBOR Floor, 10/25/2024(o)(q) 1 Month LIBOR Chemicals, Plastics & Rubber 17,370 17,263 16,328
Geon Performance Solutions, LLC, L+625, 1.63% LIBOR Floor, 10/25/2024 1 Month LIBOR Chemicals, Plastics & Rubber 550 550 517
Geon Performance Solutions, LLC, 0.50% Unfunded, 10/25/2024 None Chemicals, Plastics & Rubber 2,037 — (122 )
Harland Clarke Holdings Corp., L+475, 1.00% LIBOR Floor, 11/3/2023(p)(r) 3 Month LIBOR Services: Business 12,969 12,928 9,013

See accompanying notes to consolidated financial statements.

6

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/Par Amount/Units(e) Cost(d) Fair<br><br>Value(c)
Healogics, Inc., L+425, 1.00% LIBOR Floor, 7/1/2021(p) 3 Month LIBOR Healthcare & Pharmaceuticals 4,737 4,638 4,275
Hilliard, Martinez & Gonzales, LLP, L+1800, 2.00% LIBOR Floor, 12/17/2022(x) 1 Month LIBOR Services: Consumer 15,098 14,964 14,834
Homer City Generation, L.P., L+1100, 1.00% LIBOR Floor, 4/5/2023(o)(t) 3 Month LIBOR Energy: Oil & Gas 14,407 13,916 7,564
HUMC Holdco, LLC, 9.00%, 6/26/2020 None Healthcare & Pharmaceuticals 10,000 9,988 9,600
Hummel Station LLC, L+600, 1.00% LIBOR Floor, 10/27/2022(p) 1 Month LIBOR Energy: Oil & Gas 9,736 9,458 9,030
Hyperion Materials & Technologies, Inc., L+550, 1.00% LIBOR Floor, 8/28/2026(o) 1 Month LIBOR Chemicals, Plastics & Rubber 9,975 9,786 9,127
Independent Pet Partners Intermediate Holdings, LLC, L+900, 1.00% LIBOR Floor, 11/19/2023 3 Month LIBOR Retail 12,553 12,465 11,486
Independent Pet Partners Intermediate Holdings, LLC, 1.00% Unfunded, 11/19/2023 None Retail 7,363 (74 ) (626 )
Infinity Sales Group, LLC, L+1050, 1.00% LIBOR Floor, 11/23/2022(o) 1 Month LIBOR Services: Business 6,820 6,708 6,820
InfoGroup Inc., L+500, 1.00% LIBOR Floor, 4/3/2023(p)(q)(r) 3 Month LIBOR Media: Advertising, Printing & Publishing 15,716 15,703 13,987
Instant Web, LLC, L+650, 1.00% LIBOR Floor, 12/15/2022(o)(q)(r) 1 Month LIBOR Media: Advertising, Printing & Publishing 37,683 37,613 34,668
Instant Web, LLC, L+650, 1.00% LIBOR Floor, 12/15/2022 1 Month LIBOR Media: Advertising, Printing & Publishing 2,704 2,704 2,555
Isagenix International, LLC, L+575, 1.00% LIBOR Floor, 6/14/2025(p) 3 Month LIBOR Beverage, Food & Tobacco 13,673 13,563 7,520
Island Medical Management Holdings, LLC, L+650, 1.00% LIBOR Floor, 9/1/2022(q) 3 Month LIBOR Healthcare & Pharmaceuticals 11,780 11,694 11,161
Jab Wireless, Inc., L+800, 0.00% LIBOR Floor, 5/2/2023(r) 1 Month LIBOR Telecommunications 13,630 13,630 13,494
Jenny C Acquisition, Inc., L+1050, 0.00% LIBOR Floor, 10/1/2024(o)(x) 6 Month LIBOR Services: Consumer 9,906 9,822 8,887
JP Intermediate B, LLC, L+550, 1.00% LIBOR Floor, 11/20/2025(p) 3 Month LIBOR Beverage, Food & Tobacco 15,940 15,643 11,955
KLO Intermediate Holdings, LLC, L+775, 1.50% LIBOR Floor, 4/7/2022(t)(x) 1 Month LIBOR Chemicals, Plastics & Rubber 7,719 7,032 1,467
KLO Intermediate Holdings, LLC, L+775, 1.50% LIBOR Floor, 4/7/2022(t)(x) 1 Month LIBOR Chemicals, Plastics & Rubber 4,337 — —
KNB Holdings Corp., L+550, 1.00% LIBOR Floor, 4/26/2024(p)(r)(t) 6 Month LIBOR Consumer Goods: Durable 8,238 7,969 4,613
Labvantage Solutions Inc., L+750, 1.00% LIBOR Floor, 12/29/2020(q) 1 Month LIBOR High Tech Industries 3,441 3,435 3,407
Labvantage Solutions Ltd., E+750, 1.00% EURIBOR Floor, 12/29/2020(h) 1 Month EURIBOR High Tech Industries 3,619 4,058 3,952
LAV Gear Holdings, Inc., L+550, 1.00% LIBOR Floor, 10/31/2024(o)(q) 3 Month LIBOR Services: Business 19,814 19,572 18,105
LAV Gear Holdings, Inc., L+550, 1.00% LIBOR Floor, 10/31/2024(q) 3 Month LIBOR Services: Business 4,276 4,221 3,907
LAV Gear Holdings, Inc., 1.00% Unfunded, 4/7/2021 None Services: Business 864 (8 ) (75 )
LD Intermediate Holdings, Inc., L+588, 1.00% LIBOR Floor, 12/9/2022(j)(p) 3 Month LIBOR High Tech Industries 11,516 11,291 11,199
LGC US Finco, LLC, L+650, 1.00% LIBOR Floor, 12/20/2025(o) 1 Month LIBOR Capital Equipment 9,975 9,683 9,676
Lift Brands, Inc., L+700, 1.00% LIBOR Floor, 4/16/2023(o)(q)(r)(x) 3 Month LIBOR Services: Consumer 43,403 42,776 36,893
Lift Brands, Inc., L+700, 1.00% LIBOR Floor, 4/16/2023 3 Month LIBOR Services: Consumer 2,500 2,500 2,125
Lift Brands, Inc., 1.00% Unfunded, 4/16/2023 None Services: Consumer 2,500 — (375 )
Longview Power, LLC, L+600, 1.00% LIBOR Floor, 4/13/2021(o)(t) 3 Month LIBOR Energy: Oil & Gas 17,745 16,454 8,695
Manna Pro Products, LLC, L+600, 0.00% LIBOR Floor, 12/8/2023(o) 1 Month LIBOR Retail 3,431 3,431 3,396
Manna Pro Products, LLC, L+600, 0.00% LIBOR Floor, 12/8/2023 1 Month LIBOR Retail 1,115 1,115 1,104
Manna Pro Products, LLC, 1.00% Unfunded, 5/31/2021 None Retail 4,413 — (44 )
Mimeo.com, Inc., L+700, 1.00% LIBOR Floor, 12/21/2023(o)(r) 3 Month LIBOR Services: Business 22,310 22,310 21,418
Mimeo.com, Inc., L+700, 1.00% LIBOR Floor, 12/21/2023 3 Month LIBOR Services: Business 3,000 3,000 2,880

All values are in Euros.

See accompanying notes to consolidated financial statements.

7

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) Fair<br><br>Value(c)
Mimeo.com, Inc., 0.25% Unfunded, 12/21/2020 None Services: Business 10,000 — (400 )
Moss Holding Company, L+625, 1.00% LIBOR Floor, 4/17/2023(o)(q) 3 Month LIBOR Services: Business 19,657 19,430 18,477
Moss Holding Company, 6.25% Unfunded, 4/17/2023 None Services: Business 106 — (6 )
Moss Holding Company, 0.50% Unfunded, 4/17/2023 None Services: Business 2,126 — (128 )
Moxie Patriot LLC, L+575, 1.00% LIBOR Floor, 12/19/2020(p) 3 Month LIBOR Energy: Oil & Gas 9,774 9,768 9,371
Murray Energy Corp., L+725, 1.00% LIBOR Floor, 10/17/2022(t) 3 Month LIBOR Metals & Mining 3,574 3,572 384
Murray Energy Corp., L+1100, 2.00% LIBOR Floor, 7/29/2020 1 Month LIBOR Metals & Mining 662 646 600
NewsCycle Solutions, Inc., L+700, 1.00% LIBOR Floor, 12/29/2022(q)(r) 3 Month LIBOR Media: Advertising, Printing & Publishing 14,664 14,569 14,224
One Call Corp., L+525, 1.00% LIBOR Floor, 11/25/2022(p) 3 Month LIBOR Healthcare & Pharmaceuticals 3,901 3,749 3,628
Optio Rx, LLC, L+700, 0.00% LIBOR Floor, 6/28/2024(q)(r) 3 Month LIBOR Healthcare & Pharmaceuticals 19,950 19,950 19,850
Palmetto Solar, LLC, 12.00%, 12/12/2024 None High Tech Industries 4,979 4,699 4,655
Palmetto Solar, LLC, 0.75% Unfunded, 12/12/2021 None High Tech Industries 15,021 — (976 )
PFS Holding Corp., L+350, 1.00% LIBOR Floor, 1/31/2021(p) 3 Month LIBOR Retail 3,097 2,815 2,795
PH Beauty Holdings III. Inc., L+500, 0.00% LIBOR Floor, 9/28/2025(p) 6 Month LIBOR Consumer Goods: Non-Durable 4,875 4,834 4,485
Pixelle Specialty Solutions LLC, L+650, 1.00% LIBOR Floor, 10/31/2024(p) 1 Month LIBOR Forest Products & Paper 20,644 20,220 19,818
Plano Molding Company, LLC, L+750, 1.00% LIBOR Floor, 5/12/2021(o) 1 Month LIBOR Consumer Goods: Non-Durable 5,995 5,969 5,680
Polymer Additives, Inc., L+600, 0.00% LIBOR Floor, 7/31/2025(o)(p) 3 Month LIBOR Chemicals, Plastics & Rubber 19,750 19,424 16,195
Polymer Process Holdings, Inc., L+600, 0.00% LIBOR Floor, 5/1/2026(p) 1 Month LIBOR Chemicals, Plastics & Rubber 19,838 19,478 18,846
Rhino Energy LLC, L+1000, 1.00% LIBOR Floor, 12/27/2022(r) 1 Month LIBOR Metals & Mining 10,043 9,825 9,240
SCIH Salt Intermediate Holdings Inc., L+450, 1.00% LIBOR Floor, 3/16/2027 3 Month LIBOR Metals & Mining 10,000 9,900 9,200
Securus Technologies Holdings, Inc., L+450, 1.00% LIBOR Floor, 11/1/2024(p) 6 Month LIBOR Telecommunications 3,980 2,931 3,865
SEK Holding Co LLC, L+1150, 0.00% LIBOR Floor, 3/14/2022(o)(x) 1 Month LIBOR Banking, Finance, Insurance & Real Estate 15,552 15,301 14,164
Sequoia Healthcare Management, LLC, 12.75%, 8/21/2023(o)(q) None Healthcare & Pharmaceuticals 8,954 8,888 7,969
SIMR, LLC, L+1700, 2.00% LIBOR Floor, 9/7/2023(o)(u)(x) 1 Month LIBOR Healthcare & Pharmaceuticals 15,319 15,095 14,361
Smart & Final Inc., L+675, 0.00% LIBOR Floor, 6/20/2025(p) 1 Month LIBOR Retail 9,925 9,092 9,429
Sorenson Communications, LLC, L+650, 0.00% LIBOR Floor, 4/30/2024(j)(p) 3 Month LIBOR Telecommunications 14,144 13,722 13,278
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 6/30/2021(o) 3 Month LIBOR Healthcare & Pharmaceuticals 12,623 12,616 11,487
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 6/30/2021(o)(x) 3 Month LIBOR Healthcare & Pharmaceuticals 1,043 1,043 991
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 6/30/2021(o)(x) 3 Month LIBOR Healthcare & Pharmaceuticals 557 493 507
Stats Intermediate Holdings, LLC, L+525, 0.00% LIBOR Floor, 7/12/2026(p) 6 Month LIBOR High Tech Industries 9,975 9,772 8,903
Teladoc, Inc., 0.50% Unfunded, 7/14/2020 None High Tech Industries 1,250 (4 ) —
Telestream Holdings Corp., L+645, 1.00% LIBOR Floor, 3/24/2022(k)(o) 3 Month LIBOR High Tech Industries 8,746 8,656 8,484
Tenere Inc., L+1000, 1.00% LIBOR Floor, 12/23/2021(o)(q) 3 Month LIBOR Capital Equipment 28,080 27,835 28,080
Tensar Corp., L+475, 1.00% LIBOR Floor, 7/9/2021 3 Month LIBOR Chemicals, Plastics & Rubber 12,980 12,686 12,850

See accompanying notes to consolidated financial statements.

8

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/Par Amount/Units(e) Cost(d) Fair<br><br>Value(c)
The Pasha Group, L+750, 1.00% LIBOR Floor, 1/26/2023(q) 2 Month LIBOR Transportation: Cargo 5,451 5,348 5,369
The Pay-O-Matic Corp., L+900, 0.00% LIBOR Floor, 4/5/2021(g)(o) 3 Month LIBOR Services: Consumer 9,037 9,004 8,857
Therapure Biopharma Inc., L+875, 0.50% LIBOR Floor, 12/1/2021(h) 1 Month LIBOR Healthcare & Pharmaceuticals 12,974 12,949 12,017
Volta Charging, LLC, 12.00%, 6/19/2024 None Media: Diversified & Production 10,000 10,000 10,000
Volta Charging, LLC, 12.00%, 6/19/2024 None Media: Diversified & Production 6,150 6,117 6,150
Volta Charging, LLC, 0.00% Unfunded, 6/19/2021(s) None Media: Diversified & Production 5,850 — —
West Dermatology Management Holdings, LLC, L+600, 0.00% LIBOR Floor, 2/11/2025(q) 3 Month LIBOR Healthcare & Pharmaceuticals 9,503 9,412 9,123
West Dermatology Management Holdings, LLC, L+600, 0.00% LIBOR Floor, 2/11/2025 3 Month LIBOR Healthcare & Pharmaceuticals 1,657 1,642 1,591
West Dermatology Management Holdings, LLC, 0.75% Unfunded, 2/11/2022 None Healthcare & Pharmaceuticals 8,840 (42 ) (354 )
Winebow Holdings, Inc., L+375, 1.00% LIBOR Floor, 7/1/2021(j)(q) 1 Month LIBOR Beverage, Food & Tobacco 5,984 5,528 5,371
Wok Holdings Inc., L+650, 0.00% LIBOR Floor, 3/1/2026(p) 6 Month LIBOR Beverage, Food & Tobacco 12,870 12,710 10,441
Woodstream Corp., L+600, 1.00% LIBOR Floor, 5/29/2022(r) 1 Month LIBOR Consumer Goods: Non-Durable 9,267 9,267 9,151
Woodstream Corp., L+600, 1.00% LIBOR Floor, 5/29/2022 1 Month LIBOR Consumer Goods: Non-Durable 559 559 552
Total Senior Secured First Lien Debt 1,396,530 1,274,325
Senior Secured Second Lien Debt - 24.3%
1A Smart Start LLC, L+825, 1.00% LIBOR Floor, 8/21/2022(o)(q) 6 Month LIBOR High Tech Industries 13,800 13,636 13,179
Access CIG, LLC, L+775, 0.00% LIBOR Floor, 2/27/2026(q) 3 Month LIBOR Services: Business 17,250 17,129 15,956
Albany Molecular Research, Inc., L+700, 1.00% LIBOR Floor, 8/30/2025(o) 1 Month LIBOR Healthcare & Pharmaceuticals 10,000 9,847 9,563
American Residential Services LLC, L+800, 1.00% LIBOR Floor, 12/31/2022(o) 3 Month LIBOR Construction & Building 5,180 5,148 4,850
Carestream Health, Inc., L+950, 1.00% LIBOR Floor, 6/7/2021(q)(x) 6 Month LIBOR Healthcare & Pharmaceuticals 10,689 10,689 10,048
Country Fresh Holdings, LLC, L+850, 1.00% LIBOR Floor, 4/29/2024(x) 3 Month LIBOR Beverage, Food & Tobacco 2,081 2,081 1,977
Dayton Superior Corp., L+700, 2.00% LIBOR Floor, 12/4/2024 3 Month LIBOR Construction & Building 1,504 1,504 1,428
Deluxe Entertainment Services Inc., L+850, 1.00% LIBOR Floor, 9/25/2024(p)(u)(x) 3 Month LIBOR Media: Diversified & Production 10,077 9,872 8,503
EagleTree-Carbide Acquisition Corp., L+850, 1.00% LIBOR Floor, 8/28/2025(o)(q) 3 Month LIBOR Consumer Goods: Durable 25,000 24,705 24,250
Evergreen Skills Lux S.À.R.L., L+825, 1.00% LIBOR Floor, 4/28/2022(h)(p)(t) 3 Month LIBOR High Tech Industries 9,999 7,886 1,800
Global Tel*Link Corp., L+825, 0.00% LIBOR Floor, 11/29/2026(q) 3 Month LIBOR Telecommunications 11,500 11,316 10,925
LSCS Holdings, Inc., L+825, 0.00% LIBOR Floor, 3/16/2026(o) 3 Month LIBOR Services: Business 11,891 11,662 9,513
Medical Solutions Holdings, Inc., L+838, 1.00% LIBOR Floor, 6/16/2025(o) 1 Month LIBOR Healthcare & Pharmaceuticals 10,000 9,881 9,400
MedPlast Holdings, Inc., L+775, 0.00% LIBOR Floor, 7/2/2026(r) 3 Month LIBOR Healthcare & Pharmaceuticals 6,750 6,692 5,805
Ministry Brands, LLC, L+925, 1.00% LIBOR Floor, 6/2/2023(o)(q) 2 Month LIBOR Services: Business 7,000 6,946 6,650
Niacet Corp., E+875, 1.00% EURIBOR Floor, 8/1/2024(h)(p) 1 Month EURIBOR Chemicals, Plastics & Rubber 7,489 7,991 8,137
Patterson Medical Supply, Inc., L+850, 1.00% LIBOR Floor, 8/28/2023(o)(y) 3 Month LIBOR Healthcare & Pharmaceuticals 13,500 13,425 11,138
PetroChoice Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023(o) 3 Month LIBOR Chemicals, Plastics & Rubber 10,000 9,868 8,750
PFS Holding Corp., L+725, 1.00% LIBOR Floor, 1/31/2022(t) 3 Month LIBOR Retail 4,998 4,155 —
Premiere Global Services, Inc., L+950, 1.00% LIBOR Floor, 6/6/2024(x) 3 Month LIBOR Telecommunications 3,158 3,055 1,184

All values are in Euros.

See accompanying notes to consolidated financial statements.

9

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) Fair<br><br>Value(c)
Securus Technologies Holdings, Inc., L+825, 1.00% LIBOR Floor, 11/1/2025 1 Month LIBOR Telecommunications 2,942 2,916 2,424
TMK Hawk Parent, Corp., L+800, 1.00% LIBOR Floor, 8/28/2025(o) 1 Month LIBOR Services: Business 13,393 13,132 11,116
Winebow Holdings, Inc., L+750, 1.00% LIBOR Floor, 1/2/2022(o)(t) 1 Month LIBOR Beverage, Food & Tobacco 12,823 12,594 8,014
Zest Acquisition Corp., L+750, 1.00% LIBOR Floor, 3/14/2026(q) 1 Month LIBOR Healthcare & Pharmaceuticals 15,000 14,876 13,200
Zywave Inc., L+900, 1.00% LIBOR Floor, 11/17/2023(o)(q) 3 Month LIBOR High Tech Industries 3,445 3,401 3,355
Total Senior Secured Second Lien Debt 234,407 201,165
Collateralized Securities and Structured Products - Equity - 1.3%
APIDOS CLO XVI Subordinated Notes, 0.00% Estimated Yield, 1/19/2025(h) (f) Diversified Financials 9,000 3,671 2,088
CENT CLO 19 Ltd. Subordinated Notes, 0.00% Estimated Yield, 10/29/2025(h) (f) Diversified Financials 2,000 1,163 85
Galaxy XV CLO Ltd. Class A Subordinated Notes, 5.76% Estimated Yield, 4/15/2025(h) (f) Diversified Financials 4,000 2,175 777
Ivy Hill Middle Market Credit Fund VIII, Ltd. Subordinated Loan, 11.84% Estimated Yield, 2/2/2026(h) (f) Diversified Financials 10,000 9,277 8,022
Total Collateralized Securities and Structured Products - Equity 16,286 10,972
Unsecured Debt - 0.6%
WPLM Acquisition Corp., 15.00%, 11/24/2025(x) None Media: Advertising, Printing & Publishing 5,000 4,905 4,800
Total Unsecured Debt 4,905 4,800
Equity - 10.9%
Anthem Sports and Entertainment Inc., Class A Preferred Stock Warrants(s) Media: Diversified & Production 769 Units 205 95
Anthem Sports and Entertainment Inc., Class B Preferred Stock Warrants(s) Media: Diversified & Production 135 Units — —
Anthem Sports and Entertainment Inc., Common Stock Warrants(s) Media: Diversified & Production 2,508 Units — —
Ascent Resources - Marcellus, LLC, Common Shares(s) Energy: Oil & Gas 511,255 Units 1,642 495
Ascent Resources - Marcellus, LLC, Warrants(s) Energy: Oil & Gas 132,367 Units 13 2
Avaya Holdings Corp., Common Stock(i)(p)(s) Telecommunications 321,260 Units 5,285 2,599
BCP Great Lakes Fund LP, Partnership Interests (31.7% ownership)(h)(v) Diversified Financials N/A 12,075 10,884
CHC Medical Partners, Inc., Series C Preferred Stock, 12% Dividend(w) Healthcare & Pharmaceuticals 2,727,273 Units 5,274 4,500
CION SOF Funding, LLC, Membership Interests (87.5% ownership)(h)(v) Diversified Financials N/A 31,289 27,672
Conisus Holdings, Inc., Series B Preferred Stock, 12% Dividend(u)(w) Healthcare & Pharmaceuticals 12,677,833 Units 13,690 13,877
Conisus Holdings, Inc., Common Stock(s)(u) Healthcare & Pharmaceuticals 4,914,556 Units 200 2,991
Country Fresh Holdings, LLC, Common Stock(s) Beverage, Food & Tobacco 2,985 Units 5,249 1,417
David's Bridal, Inc., Series A Preferred Stock(s) Retail 1,396 Units 140 143
David's Bridal, Inc., Series B Preferred Stock(s) Retail 4,183 Units 410 104
David's Bridal, Inc., Common Stock(s) Retail 39,423 Units — —
David's Bridal, Inc., Reallocation Rights(s) Retail 7,500 Units — —
Dayton HoldCo, LLC, Common Stock(s) Construction & Building 37,264 Units 4,136 4,913
DESG Holdings, Inc., Common Stock(j)(p)(s)(u) Media: Diversified & Production 1,268,143 Units 13,662 13,671
HDNet Holdco LLC, Preferred Unit Call Option(s) Media: Diversified & Production 1 Unit — —

See accompanying notes to consolidated financial statements.

10

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

Portfolio Company(a) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) FairValue(c)
Independent Pet Partners Intermediate Holdings, LLC, Class A Preferred Units(s) Retail 1,000,000 Units 1,000 800
Independent Pet Partners Intermediate Holdings, LLC, Warrants(s) Retail 155,880 Units — —
Mooregate ITC Acquisition, LLC, Class A Units(s) High Tech Industries 500 Units 563 68
Mount Logan Capital Inc., Common Stock(h)(i)(s)(u) Banking, Finance, Insurance & Real Estate 980,284 Units 3,335 2,091
NS NWN Acquisition, LLC, Voting Units(s) High Tech Industries 346 Units 393 443
NS NWN Acquisition, LLC, Class A Preferred Units(s) High Tech Industries 111 Units 111 331
NSG Co-Invest (Bermuda) LP, Partnership Interests(h)(s) Consumer Goods: Durable 1,575 Units 1,000 218
Palmetto Solar, LLC, Warrants(s) High Tech Industries 346,694 Units 295 170
Rhino Energy LLC, Warrants(s) Metals & Mining 170,972 Units 280 13
SIMR Parent, LLC, Class B Common Units(s)(u) Healthcare & Pharmaceuticals 12,283,000 Units 8,002 970
Spinal USA, Inc. / Precision Medical Inc., Warrants(s) Healthcare & Pharmaceuticals 14,181,915 Units 5,806 —
Tenere Inc., Warrants(s) Capital Equipment N/A 161 1,234
Total Equity 114,216 89,701
Short Term Investments - 6.9%(m)
First American Treasury Obligations Fund, Class Z Shares, 0.28%(n) 56,657 56,657
Total Short Term Investments 56,657 56,657
TOTAL INVESTMENTS - 198.3% 1,823,001 1,637,620
LIABILITIES IN EXCESS OF OTHER ASSETS - (98.3%) (811,762 )
NET ASSETS - 100% 825,858

All values are in US Dollars.

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 h. below. Unless specifically identified in note x. below, investments do not contain a paid-in-kind, or PIK, interest provision.
b. The 1, 2, 3, and 6 month London Interbank Offered Rate, or LIBOR, rates were 0.99%, 1.26%, 1.45%, and 1.18%, respectively, as of March 31, 2020. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of March 31, 2020, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to March 31, 2020. The 1 month Euro Interbank Offered Rate, or EURIBOR, rate was (0.39%) as of March 31, 2020.
--- ---
c. Fair value determined in good faith by the Company’s board of directors (see Note 9) using significant unobservable inputs unless otherwise noted.
--- ---
d. Represents amortized cost for debt securities and cost for equity investments.
--- ---
e. Denominated in U.S. dollars unless otherwise noted.
--- ---
f. 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.
--- ---
g. As a result of an arrangement between the Company and the other lenders in the syndication, the Company is entitled to less interest than the stated interest rate of this loan, which is reflected in this schedule, in exchange for a higher payment priority.
--- ---
h. 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, 2020, 92.5% of the Company’s total assets represented qualifying assets.
--- ---
i. Fair value determined using level 1 inputs.
--- ---
j. Position or a portion thereof unsettled as of March 31, 2020.
--- ---
k. In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company may be entitled to receive additional amounts as a result of an arrangement between the Company and the other lenders in the syndication in exchange for a lower payment priority.
--- ---
l. In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company may be entitled to receive additional residual amounts.
--- ---
m. 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.
--- ---

See accompanying notes to consolidated financial statements.

11

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

n. 7-day effective yield as of March 31, 2020.
o. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, 34th Street Funding, LLC, or 34th Street, and was pledged as collateral supporting the amounts outstanding under the credit facility with JPMorgan Chase Bank, National Association, or JPM, as of March 31, 2020 (see Note 8).
--- ---
p. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, Flatiron Funding II, LLC, or Flatiron Funding II, and was pledged as collateral supporting the amounts outstanding under the credit facility with Citibank, N.A., or Citibank, as of March 31, 2020 (see Note 8).
--- ---
q. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, Murray Hill Funding II, LLC, or Murray Hill Funding II, and was pledged as collateral supporting the amounts outstanding under the repurchase agreement with UBS AG, or UBS, as of March 31, 2020 (see Note 8).
--- ---
r. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, 33rd Street Funding, LLC, or 33rd Street, and was pledged as collateral supporting the amounts outstanding under the credit facility with Morgan Stanley N.A., or MS, as of March 31, 2020 (see Note 8).
--- ---
s. Non-income producing security.
--- ---
t. Investment or a portion thereof was on non-accrual status as of March 31, 2020.
--- ---
u. Investment determined to be an affiliated investment as defined in the 1940 Act as the Company owns between 5% and 25% of the portfolio company’s outstanding voting securities but does not control the portfolio company. Fair value as of December 31, 2019 and March 31, 2020, along with transactions during the three months ended March 31, 2020 in these affiliated investments, are as follows:
--- ---
Three Months Ended March 31, 2020 Three Months Ended March 31, 2020
--- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Non-Controlled, Affiliated Investments Fair Value atDecember 31, 2019 GrossAdditions(Cost)(1) GrossReductions(Cost)(2) Net Unrealized Gain (Loss) Fair Value at March 31, 2020 Net Realized Gain (Loss) InterestIncome(3) Dividend Income
Charming Charlie, LLC
First Lien Term Loan B1 — — — — — — — —
First Lien Term Loan B2 — — — — — — (1 ) —
Vendor Payment Financing Facility 472 7 (104 ) 29 404 — 7 —
Conisus Holdings, Inc.
Series B Preferred Stock(w) 13,270 475 — 132 13,877 — — 475
Common Stock 1,426 — — 1,565 2,991 — — —
DESG Holdings, Inc.
First Lien Term Loan 28,978 329 — (3,764 ) 25,543 — 505 —
Second Lien Term Loan 9,717 196 — (1,410 ) 8,503 — 270 —
Common Stock 14,763 — — (1,092 ) 13,671 — — —
F+W Media, Inc.
First Lien Term Loan B-1 — — — — — — — —
Mount Logan Capital Inc.
Common Stock 2,505 — — (414 ) 2,091 — — —
SIMR, LLC
First Lien Term Loan 14,205 242 — (86 ) 14,361 — 800 —
SIMR Parent, LLC
Class B Common Units 3,980 — — (3,010 ) 970 — — —
Petroflow Energy Corp.
First Lien Term Loan 10 — (223 ) 213 — (211 ) — —
Totals 89,326 1,249 (327 ) (7,837 ) 82,411 (211 ) 1,581 475

All values are in US Dollars.

(1) Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
(2) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
--- ---

See accompanying notes to consolidated financial statements.

12

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

(3) Includes PIK interest income.
v. Investment determined to be a controlled investment as defined in the 1940 Act as the Company is deemed to exercise a controlling influence over the management or policies of the portfolio company due to beneficially owning, either directly or through one or more controlled companies, more than 25% of the outstanding voting securities of such portfolio company. Fair value as of December 31, 2019 and March 31, 2020, along with transactions during the three months ended March 31, 2020 in these controlled investments are as follows:
--- ---
Three Months Ended March 31, 2020 Three Months Ended March 31, 2020
--- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Controlled Investments Fair Value atDecember 31, 2019 GrossAdditions(Cost)(1) GrossReductions(Cost)(2) Net UnrealizedGain (Loss) Fair Value atMarch 31, 2020 Net RealizedGain (Loss) InterestIncome(3) Dividend Income
BCP Great Lakes Fund LP
Membership Interests 14,238 87 (2,220 ) (1,221 ) 10,884 — — 243
CION SOF Funding, LLC
Membership Interests 31,265 — — (3,593 ) 27,672 — — 1,412
Totals 45,503 87 (2,220 ) (4,814 ) 38,556 — — 1,655

All values are in US Dollars.

(1) Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
(2) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
--- ---
(3) Includes PIK interest income.
--- ---
w. For the three months ended March 31, 2020, non-cash dividend income of $475 and $135 was recorded on the Company's investment in Conisus Holdings, Inc. and CHC Medical Partners, Inc., respectively.
--- ---

See accompanying notes to consolidated financial statements.

13

CĪON Investment Corporation

Consolidated Schedule of Investments (unaudited)

March 31, 2020

(in thousands)

x. For the three months ended March 31, 2020, 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
--- --- --- --- --- --- --- --- ---
Portfolio Company Investment Type Cash PIK All-in-Rate
American Clinical Solutions LLC Senior Secured First Lien Debt — 2.00% 2.00%
Anthem Sports & Entertainment Inc. Senior Secured First Lien Debt 8.20% 2.75% 10.95%
APC Automotive Technologies, LLC Senior Secured First Lien Debt 5.38% 1.34% 6.72%
Carestream Health, Inc. Senior Secured Second Lien Debt 10.57% 1.00% 11.57%
Charming Charlie, LLC Senior Secured First Lien Debt 7.05% 5.00% 12.05%
Charming Charlie, LLC Senior Secured First Lien Debt 3.05% 9.00% 12.05%
CHC Solutions Inc. Senior Secured First Lien Debt 8.00% 4.00% 12.00%
Country Fresh Holdings, LLC Senior Secured Second Lien Debt — 9.95% 9.95%
David's Bridal, LLC Senior Secured First Lien Debt 1.00% 6.65% 7.65%
Deluxe Entertainment Services, Inc. Senior Secured First Lien Debt 6.45% 1.50% 7.95%
Deluxe Entertainment Services, Inc. Senior Secured Second Lien Debt 7.45% 2.50% 9.95%
F+W Media, Inc. Senior Secured First Lien Debt — 8.21% 8.21%
Hilliard, Martinez & Gonzales, LLP Senior Secured First Lien Debt — 20.00% 20.00%
Jenny C Acquisition, Inc. Senior Secured First Lien Debt — 12.56% 12.56%
KLO Intermediate Holdings, LLC Senior Secured First Lien Debt — 9.38% 9.38%
Lift Brands, Inc. Senior Secured First Lien Debt 8.45% 1.00% 9.45%
Premiere Global Services, Inc. Senior Secured Second Lien Debt 0.50% 10.85% 11.35%
SEK Holding Co LLC Senior Secured First Lien Debt 9.00% 3.50% 12.50%
SIMR, LLC Senior Secured First Lien Debt 12.00% 7.00% 19.00%
Spinal USA, Inc. / Precision Medical Inc. Senior Secured First Lien Debt — 10.47% 10.47%
WPLM Acquisition Corp. Unsecured Note — 15.00% 15.00%
y. Due to an amendment between the Company and the borrower subsequent to March 31, 2020, the borrower paid all interest amounts accrued as of March 31, 2020 in-kind.
--- ---

See accompanying notes to consolidated financial statements.

14

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/Par Amount/Units(e) Cost(d) FairValue(c)
Senior Secured First Lien Debt - 141.9%
Academy, Ltd., L+400, 1.00% LIBOR Floor, 7/1/2022(p) 1 Month LIBOR Retail 14,236 12,656 11,815
ACProducts, Inc., L+550, 0.00% LIBOR Floor, 2/15/2024(p) 1 Month LIBOR Construction & Building 4,906 4,693 4,900
Adams Publishing Group, LLC, L+750, 1.00% LIBOR Floor, 7/2/2023(o)(q) 3 Month LIBOR Media: Advertising, Printing & Publishing 13,353 13,245 13,286
Adams Publishing Group, LLC, 0.38% Unfunded, 7/2/2020(o) None Media: Advertising, Printing & Publishing 1,600 — (8 )
Adapt Laser Acquisition, Inc., L+800, 1.00% LIBOR Floor, 12/31/2023(o) 3 Month LIBOR Capital Equipment 11,640 11,640 10,956
Adapt Laser Acquisition, Inc., 0.50% Unfunded, 12/31/2023 None Capital Equipment 2,000 — (118 )
Aegis Toxicology Sciences Corp., L+550, 1.00% LIBOR Floor, 5/9/2025(p) 3 Month LIBOR Healthcare & Pharmaceuticals 9,875 9,706 9,357
AIS Holdco, LLC, L+500, 0.00% LIBOR Floor, 8/15/2025(p) 3 Month LIBOR Banking, Finance, Insurance & Real Estate 5,382 5,322 5,005
Alchemy US Holdco 1, LLC, L+550,10/10/2025(p) 1 Month LIBOR Construction & Building 7,800 7,697 7,685
Allen Media Broadcasting LLC, L+625, 1.00% LIBOR Floor, 7/3/2024(o)(q) 2 Month LIBOR Media: Diversified & Production 24,688 24,070 25,058
Allen Media, LLC, L+650, 1.00% LIBOR Floor, 8/30/2023(o)(p)(q)(r) 3 Month LIBOR Media: Diversified & Production 67,124 65,820 67,795
ALM Media, LLC, L+650, 1.00% LIBOR Floor, 11/25/2024(o)(q) 3 Month LIBOR Media: Advertising, Printing & Publishing 20,000 19,607 19,600
AMCP Staffing Intermediate Holdings III, LLC, L+675, 1.50% LIBOR Floor, 9/24/2025(r) 3 Month LIBOR Services: Business 10,000 9,943 9,950
AMCP Staffing Intermediate Holdings III, LLC, L+675, 1.50% LIBOR Floor, 9/24/2025 3 Month LIBOR Services: Business 539 539 536
AMCP Staffing Intermediate Holdings III, LLC, 0.50% Unfunded, 9/24/2025 None Services: Business 1,059 — (5 )
American Clinical Solutions LLC, 7.00%, 12/31/2022 None Healthcare & Pharmaceuticals 3,500 3,395 3,395
American Clinical Solutions LLC, 2.00%, 12/31/2022(x) None Healthcare & Pharmaceuticals 6,000 4,192 4,192
American Media, LLC, L+775, 0.00% LIBOR Floor, 12/31/2023(o) 3 Month LIBOR Media: Advertising, Printing & Publishing 15,471 15,146 15,316
American Media, LLC, L+775, 0.00% LIBOR Floor, 12/31/2023 3 Month LIBOR Media: Advertising, Printing & Publishing 1,574 1,539 1,559
American Media, LLC, 0.50% Unfunded, 12/31/2023 None Media: Advertising, Printing & Publishing 128 — (1 )
American Teleconferencing Services, Ltd., L+650, 1.00% LIBOR Floor, 12/8/2021(o)(p)(q)(r) 3 Month LIBOR Telecommunications 19,549 18,570 11,631
Analogic Corp., L+600, 1.00% LIBOR Floor, 6/21/2024(q)(r) 1 Month LIBOR Healthcare & Pharmaceuticals 24,321 23,928 24,078
Anthem Sports & Entertainment Inc., L+950, 1.00% LIBOR Floor, 9/9/2024(o)(x) 3 Month LIBOR Media: Diversified & Production 12,624 12,470 12,498
Anthem Sports & Entertainment Inc., L+950, 1.00% LIBOR Floor, 9/9/2024 3 Month LIBOR Media: Diversified & Production 833 833 833
Anthem Sports & Entertainment Inc., 0.50% Unfunded, 9/9/2024 None Media: Diversified & Production 1,333 — —
APC Automotive Technologies, LLC, L+500, 1.00% LIBOR Floor, 5/10/2025(p)(q) 3 Month LIBOR Automotive 8,892 8,551 8,692
APC Automotive Technologies, LLC, L+500, 1.00% LIBOR Floor, 5/10/2024(p)(q) 3 Month LIBOR Automotive 2,780 2,624 1,321
APCO Holdings, LLC, L+550, 0.00% LIBOR Floor, 6/9/2025(p) 1 Month LIBOR Banking, Finance, Insurance & Real Estate 10,827 10,735 10,773
Ascent Resources - Marcellus, LLC, L+650, 1.00% LIBOR Floor, 3/30/2023 1 Month LIBOR Energy: Oil & Gas 712 712 673
Associated Asphalt Partners, LLC, L+525, 1.00% LIBOR Floor, 4/5/2024(p) 1 Month LIBOR Construction & Building 10,738 10,599 9,973
Avison Young (USA) Inc., L+500, 0.00% LIBOR Floor, 1/31/2026(h)(p) 3 Month LIBOR Banking, Finance, Insurance & Real Estate 9,900 9,719 9,745
Bi-Lo, LLC, L+800, 1.00% LIBOR Floor, 5/31/2024(p)(q) 2 Month LIBOR Retail 12,864 12,535 12,639
Cadence Aerospace, LLC, L+650, 1.00% LIBOR Floor, 11/14/2023(q)(r) 3 Month LIBOR Aerospace & Defense 30,685 30,430 30,378
Cardinal US Holdings, Inc., L+500, 1.00% LIBOR Floor, 7/31/2023(p) 3 Month LIBOR Services: Business 8,309 7,915 8,226

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

15

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) Fair<br><br>Value(c)
CB URS Holdings Corp., L+575, 1.00% LIBOR Floor, 9/1/2024(p)(r) 1 Month LIBOR Transportation: Cargo 16,410 16,327 14,687
Central Security Group, Inc., L+563, 1.00% LIBOR Floor, 10/6/2021(p)(r) 1 Month LIBOR Services: Consumer 19,416 19,424 16,892
Charming Charlie LLC, 20.00%, 5/15/2020(t)(u) None Retail 845 754 472
Charming Charlie LLC, L+1200, 1.00% LIBOR Floor, 4/24/2023(t)(u)(x) 1 Month LIBOR Retail 2,936 — —
Charming Charlie LLC, L+1200, 1.00% LIBOR Floor, 4/24/2023(t)(u)(x) 1 Month LIBOR Retail 3,595 — —
CHC Solutions Inc., 12.00%, 7/20/2023(x) None Healthcare & Pharmaceuticals 7,347 7,347 7,347
CircusTrix Holdings, LLC, L+550, 1.00% LIBOR Floor, 12/16/2021(q)(r) 1 Month LIBOR Hotel, Gaming & Leisure 17,896 17,728 17,538
CircusTrix Holdings, LLC, L+550, 1.00% LIBOR Floor, 12/16/2021 1 Month LIBOR Hotel, Gaming & Leisure 2,424 2,424 2,375
CircusTrix Holdings, LLC, 1.00% Unfunded, 12/16/2021 None Hotel, Gaming & Leisure 2,892 — (58 )
Country Fresh Holdings, LLC, L+500, 1.00% LIBOR Floor, 4/29/2023 3 Month LIBOR Beverage, Food & Tobacco 694 653 694
Country Fresh Holdings, LLC, L+500, 1.00% LIBOR Floor, 4/29/2023 3 Month LIBOR Beverage, Food & Tobacco 414 413 414
Country Fresh Holdings, LLC, 1.00% Unfunded, 4/29/2023 None Beverage, Food & Tobacco 327 — —
Crown Subsea Communications Holdings, Inc., L+600, 0.00% LIBOR Floor, 11/2/2025(p) 1 Month LIBOR Capital Equipment 5,788 5,685 5,781
David's Bridal, LLC, L+600, 1.00% LIBOR Floor, 6/30/2023(x) 3 Month LIBOR Retail 698 584 698
Deluxe Entertainment Services, Inc., L+650, 1.00% LIBOR Floor, 3/25/2024(j)(u)(x) 3 Month LIBOR Media: Diversified & Production 23,656 23,656 28,978
DMT Solutions Global Corp., L+700, 0.00% LIBOR Floor, 7/2/2024(p)(r) 6 Month LIBOR Services: Business 18,500 18,061 18,038
Eagle Family Foods Group LLC, L+650, 1.00% LIBOR Floor, 6/14/2024(r) 6 Month LIBOR Beverage, Food & Tobacco 14,775 14,518 14,332
Entertainment Studios P&A LLC, 6.35%, 5/18/2037(l) None Media: Diversified & Production 14,448 14,346 13,942
Entertainment Studios P&A LLC, 5.00%, 5/18/2037(l) None Media: Diversified & Production — — 2,381
EnTrans International, LLC, L+600, 0.00% LIBOR Floor, 11/1/2024(p)(r) 1 Month LIBOR Capital Equipment 27,750 27,512 26,918
ES Chappaquiddick LLC, 10.00%, 5/18/2022 None Media: Diversified & Production 925 925 937
Evergreen Skills Lux S.À.R.L., L+475, 1.00% LIBOR Floor, 4/28/2021(h)(p) 3 Month LIBOR High Tech Industries 10,077 9,810 7,860
Extreme Reach, Inc., L+750, 0.00% LIBOR Floor, 3/29/2024(q) 1 Month LIBOR Media: Diversified & Production 17,126 17,047 17,040
Extreme Reach, Inc., 0.50% Unfunded, 3/29/2024 None Media: Diversified & Production 1,744 (1 ) (9 )
F+W Media, Inc., L+650, 1.50% LIBOR Floor, 5/24/2022(t)(u)(x) 1 Month LIBOR Media: Diversified & Production 1,176 1,125 —
Flavors Holdings Inc., L+575, 1.00% LIBOR Floor, 4/3/2020(o)(q) 3 Month LIBOR Consumer Goods: Non-Durable 13,388 13,187 13,288
Foundation Consumer Healthcare, LLC, L+550, 1.00% LIBOR Floor, 11/2/2023(o)(q)(r) 3 Month LIBOR Healthcare & Pharmaceuticals 46,523 46,104 46,523
Foundation Consumer Healthcare, LLC, 0.50% Unfunded, 11/2/2023 None Healthcare & Pharmaceuticals 4,211 (20 ) —
Genesis Healthcare, Inc., L+600, 0.50% LIBOR Floor, 3/6/2023(h)(o)(r) 1 Month LIBOR Healthcare & Pharmaceuticals 30,000 29,783 29,475
Geo Parent Corp., L+525, 0.00% LIBOR Floor, 12/19/2025(p) 1 Month LIBOR Services: Business 14,888 14,752 14,850
Geon Performance Solutions, LLC, L+625, 1.63% LIBOR Floor, 10/25/2024(o) 1 Month LIBOR Chemicals, Plastics & Rubber 22,414 22,259 22,414
Geon Performance Solutions, LLC, 0.50% Unfunded, 10/25/2024 None Chemicals, Plastics & Rubber 2,586 — —
Harland Clarke Holdings Corp., L+475, 1.00% LIBOR Floor, 11/3/2023(p)(r) 3 Month LIBOR Services: Business 13,180 13,134 10,538
Healogics, Inc., L+425, 1.00% LIBOR Floor, 7/1/2021(p) 3 Month LIBOR Healthcare & Pharmaceuticals 4,749 4,632 4,251
Hilliard, Martinez & Gonzales, LLP, L+1800, 2.00% LIBOR Floor, 12/17/2022(x) 1 Month LIBOR Services: Consumer 15,000 14,850 14,850

See accompanying notes to consolidated financial statements.

16

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/Par Amount/Units(e) Cost(d) Fair<br><br>Value(c)
Homer City Generation, L.P., L+1100, 1.00% LIBOR Floor, 4/5/2023(o) 3 Month LIBOR Energy: Oil & Gas 14,444 13,953 13,812
HUMC Holdco, LLC, 9.00%, 6/26/2020 None Healthcare & Pharmaceuticals 10,000 9,972 9,950
Hummel Station LLC, L+600, 1.00% LIBOR Floor, 10/27/2022(p) 1 Month LIBOR Energy: Oil & Gas 9,761 9,456 9,224
Hyperion Materials & Technologies, Inc., L+550, 1.00% LIBOR Floor, 8/28/2026(o) 1 Month LIBOR Chemicals, Plastics & Rubber 10,000 9,805 9,850
Independent Pet Partners Intermediate Holdings, LLC, L+900, 1.00% LIBOR Floor, 11/19/2023 3 Month LIBOR Retail 12,064 11,892 11,672
Independent Pet Partners Intermediate Holdings, LLC, 1.00% Unfunded, 11/19/2023 None Retail 7,852 — (255 )
Infinity Sales Group, LLC, L+1050, 1.00% LIBOR Floor, 11/23/2022(o) 1 Month LIBOR Services: Business 6,820 6,670 6,820
InfoGroup Inc., L+500, 1.00% LIBOR Floor, 4/3/2023(p)(q)(r) 3 Month LIBOR Media: Advertising, Printing & Publishing 15,756 15,743 14,968
Instant Web, LLC, L+650, 0.00% LIBOR Floor, 12/15/2022(o)(q)(r) 1 Month LIBOR Media: Advertising, Printing & Publishing 37,683 37,603 36,552
Instant Web, LLC, 0.50% Unfunded, 12/15/2022 None Media: Advertising, Printing & Publishing 2,704 — (81 )
International Seaways, Inc., L+600, 1.00% LIBOR Floor, 6/22/2022(h)(p) 1 Month LIBOR Transportation: Cargo 6,782 6,705 6,782
Isagenix International, LLC, L+575, 1.00% LIBOR Floor, 6/14/2025(p) 3 Month LIBOR Beverage, Food & Tobacco 13,866 13,750 11,093
Island Medical Management Holdings, LLC, L+650, 1.00% LIBOR Floor, 9/1/2022(q) 1 Month LIBOR Healthcare & Pharmaceuticals 11,814 11,722 11,534
Jab Wireless, Inc., L+800, 0.00% LIBOR Floor, 5/2/2023(r) 1 Month LIBOR Telecommunications 13,700 13,700 13,700
Jenny C Acquisition, Inc., L+1050, 0.00% LIBOR Floor, 10/1/2024(o) 3 Month LIBOR Services: Consumer 9,899 9,812 9,662
JP Intermediate B, LLC, L+550, 1.00% LIBOR Floor, 11/20/2025(p) 3 Month LIBOR Beverage, Food & Tobacco 16,152 15,841 13,730
KLO Intermediate Holdings, LLC, L+775, 1.50% LIBOR Floor, 4/7/2022(t)(x) 1 Month LIBOR Chemicals, Plastics & Rubber 7,499 7,028 2,250
KLO Intermediate Holdings, LLC, L+775, 1.50% LIBOR Floor, 4/7/2022(t)(x) 1 Month LIBOR Chemicals, Plastics & Rubber 4,583 4,303 458
KNB Holdings Corp., L+550, 1.00% LIBOR Floor, 4/26/2024(p)(r) 3 Month LIBOR Consumer Goods: Durable 8,293 8,180 6,427
Labvantage Solutions Ltd., E+750, 1.00% EURIBOR Floor, 12/29/2020(h) 1 Month EURIBOR High Tech Industries 3,705 4,153 4,155
Labvantage Solutions Inc., L+750, 1.00% LIBOR Floor, 12/29/2020(q) 1 Month LIBOR High Tech Industries 3,566 3,556 3,566
LAV Gear Holdings, Inc., L+550, 1.00% LIBOR Floor, 10/31/2024(o)(q) 3 Month LIBOR Services: Business 17,361 17,132 17,057
LAV Gear Holdings, Inc., L+550, 1.00% LIBOR Floor, 10/31/2024 3 Month LIBOR Services: Business 4,286 4,228 4,211
LAV Gear Holdings, Inc., 1.00% Unfunded, 4/7/2021 None Services: Business 864 (8 ) (15 )
LD Intermediate Holdings, Inc., L+588, 1.00% LIBOR Floor, 12/9/2022(p) 3 Month LIBOR High Tech Industries 4,694 4,446 4,705
Lift Brands, Inc., L+700, 1.00% LIBOR Floor, 4/16/2023(o)(q)(r)(x) 3 Month LIBOR Services: Consumer 43,321 42,649 42,130
Lift Brands, Inc., L+700, 1.00% LIBOR Floor, 4/16/2023 3 Month LIBOR Services: Consumer 1,050 1,050 1,021
Lift Brands, Inc., 1.00% Unfunded, 4/16/2023 None Services: Consumer 3,950 — (109 )
Longview Power, LLC, L+600, 1.00% LIBOR Floor, 4/13/2021(o)(q) 3 Month LIBOR Energy: Oil & Gas 17,745 16,376 14,551
Manna Pro Products, LLC, L+600, 0.00% LIBOR Floor, 12/8/2023(o) 1 Month LIBOR Retail 3,439 3,439 3,405
Manna Pro Products, LLC, 1.00% Unfunded, 5/31/2021 None Retail 5,528 — (55 )
Mimeo.com, Inc., L+700, 1.00% LIBOR Floor, 12/21/2023(o)(r) 3 Month LIBOR Services: Business 22,310 22,310 22,310
Mimeo.com, Inc., L+700, 1.00% LIBOR Floor, 12/21/2023 3 Month LIBOR Services: Business 1,500 1,500 1,500
Mimeo.com, Inc., 0.25% Unfunded, 12/21/2020 None Services: Business 10,000 — —
Mimeo.com, Inc., 1.00% Unfunded, 12/21/2023 None Services: Business 1,500 — —
Moss Holding Company, L+625, 1.00% LIBOR Floor, 4/17/2023(o)(q) 3 Month LIBOR Services: Business 19,657 19,419 19,264

All values are in Euros.

See accompanying notes to consolidated financial statements.

17

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) Fair<br><br>Value(c)
Moss Holding Company, 6.25% Unfunded, 4/17/2023 None Services: Business 106 — (2 )
Moss Holding Company, 0.50% Unfunded, 4/17/2023 None Services: Business 2,126 — (43 )
Moxie Patriot LLC, L+575, 1.00% LIBOR Floor, 12/19/2020(p) 3 Month LIBOR Energy: Oil & Gas 9,799 9,792 9,554
Murray Energy Corp., L+725, 1.00% LIBOR Floor, 10/17/2022(t) 3 Month LIBOR Metals & Mining 3,574 3,562 771
Murray Energy Corp., L+1100, 2.00% LIBOR Floor, 7/29/2020(p) 1 Month LIBOR Metals & Mining 662 643 668
NewsCycle Solutions, Inc., L+700, 1.00% LIBOR Floor, 12/29/2022(q)(r) 1 Month LIBOR Media: Advertising, Printing & Publishing 14,868 14,764 14,719
One Call Corp., L+525, 1.00% LIBOR Floor, 11/25/2022(p) 3 Month LIBOR Healthcare & Pharmaceuticals 7,915 7,582 7,598
Palmetto Solar, LLC, 12.00%, 12/12/2024 None High Tech Industries 858 566 835
Palmetto Solar, LLC, 0.75% Unfunded, 12/12/2021 None High Tech Industries 19,142 — (526 )
Petroflow Energy Corp., L+800, 1.00% LIBOR Floor, 6/29/2019(o)(t)(u)(x) 1 Month LIBOR Energy: Oil & Gas 642 223 10
PFS Holding Corp., L+350, 1.00% LIBOR Floor, 1/31/2021 3 Month LIBOR Retail 3,097 2,738 2,079
PH Beauty Holdings III. Inc., L+500, 0.00% LIBOR Floor, 9/28/2025(p) 1 Month LIBOR Consumer Goods: Non-Durable 4,888 4,845 4,692
Pixelle Specialty Solutions LLC, L+600, 1.00% LIBOR Floor, 10/31/2024(p) 1 Month LIBOR Forest Products & Paper 24,775 24,244 24,217
Plano Molding Company, LLC, L+750, 1.00% LIBOR Floor, 5/12/2021(o) 1 Month LIBOR Consumer Goods: Non-Durable 6,010 5,979 5,770
Polymer Additives, Inc., L+600, 0.00% LIBOR Floor, 7/31/2025(o)(p) 1 Month LIBOR Chemicals, Plastics & Rubber 19,800 19,462 18,068
Polymer Process Holdings, Inc., L+600, 0.00% LIBOR Floor, 5/1/2026(p) 1 Month LIBOR Chemicals, Plastics & Rubber 19,888 19,513 19,589
Rhino Energy LLC, L+1000, 1.00% LIBOR Floor, 12/27/2022(r) 1 Month LIBOR Metals & Mining 9,387 9,149 8,918
Securus Technologies Holdings, Inc., L+450, 1.00% LIBOR Floor, 11/1/2024(p) 1 Month LIBOR Telecommunications 3,990 2,897 3,940
SEK Holding Co LLC, L+1150, 0.00% LIBOR Floor, 3/14/2022(o)(x) 1 Month LIBOR Banking, Finance, Insurance & Real Estate 15,415 15,179 14,510
Sequoia Healthcare Management, LLC, 12.75%, 8/21/2023(o)(q) None Healthcare & Pharmaceuticals 9,103 9,031 8,875
SIMR, LLC, L+1700, 2.00% LIBOR Floor, 9/7/2023(o)(u)(x) 1 Month LIBOR Healthcare & Pharmaceuticals 15,091 14,853 14,205
Smart & Final Inc., L+675, 0.00% LIBOR Floor, 6/20/2025(p) 1 Month LIBOR Retail 9,950 9,091 9,627
Sorenson Communications, LLC, L+650, 0.00% LIBOR Floor, 4/30/2024(p) 3 Month LIBOR Telecommunications 12,536 12,089 12,473
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 6/30/2021(o) 3 Month LIBOR Healthcare & Pharmaceuticals 12,654 12,653 12,464
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 6/30/2021(o)(x) 3 Month LIBOR Healthcare & Pharmaceuticals 563 563 555
Spinal USA, Inc. / Precision Medical Inc., L+950, 1.00% LIBOR Floor, 6/30/2021(o)(x) 3 Month LIBOR Healthcare & Pharmaceuticals 542 493 533
Stats Intermediate Holdings, LLC, L+525, 0.00% LIBOR Floor, 7/12/2026(p) 3 Month LIBOR High Tech Industries 10,000 9,789 9,775
STG-Fairway Acquisitions, Inc., L+525, 1.00% LIBOR Floor, 6/30/2022(p)(q) 1 Month LIBOR Services: Business 3,929 3,866 3,929
Teladoc, Inc., 0.50% Unfunded, 7/14/2020(h) None High Tech Industries 1,250 (8 ) —
Telestream Holdings Corp., L+645, 1.00% LIBOR Floor, 3/24/2022(k)(o) 2 Month LIBOR High Tech Industries 8,769 8,668 8,593
Tenere Inc., L+1000, 1.00% LIBOR Floor, 12/23/2021(o)(q) 3 Month LIBOR Capital Equipment 28,480 28,196 28,480
Tensar Corp., L+475, 1.00% LIBOR Floor, 7/9/2021(p) 3 Month LIBOR Chemicals, Plastics & Rubber 12,980 12,632 12,363
The Pasha Group, L+750, 1.00% LIBOR Floor, 1/26/2023(q) 2 Month LIBOR Transportation: Cargo 5,764 5,647 5,822
The Pay-O-Matic Corp., L+900, 0.00% LIBOR Floor, 4/5/2021(g)(o) 3 Month LIBOR Services: Consumer 9,612 9,568 9,612
Therapure Biopharma Inc., L+875, 0.50% LIBOR Floor, 12/1/2021(h) 1 Month LIBOR Healthcare & Pharmaceuticals 13,913 13,882 13,148
Volta Charging, LLC, 12.00%, 6/19/2024 None Media: Diversified & Production 10,000 10,000 10,000

See accompanying notes to consolidated financial statements.

18

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/Par Amount/Units(e) Cost(d) Fair<br><br>Value(c)
Volta Charging, LLC, 12.00%, 6/19/2024 None Media: Diversified & Production 2,000 1,961 2,000
Volta Charging, LLC, 0.00% Unfunded, 6/19/2021(s) None Media: Diversified & Production 10,000 — —
Wok Holdings Inc., L+650, 0.00% LIBOR Floor, 3/1/2026(p) 6 Month LIBOR Beverage, Food & Tobacco 12,903 12,736 13,064
Woodstream Corp., L+600, 1.00% LIBOR Floor, 5/29/2022(r) 1 Month LIBOR Consumer Goods: Non-Durable 9,300 9,300 9,300
Woodstream Corp., L+600, 1.00% LIBOR Floor, 5/29/2022 1 Month LIBOR Consumer Goods: Non-Durable 559 559 559
Total Senior Secured First Lien Debt 1,388,942 1,351,767
Senior Secured Second Lien Debt - 26.1%
1A Smart Start LLC, L+825, 1.00% LIBOR Floor, 8/21/2022(o)(q) 1 Month LIBOR High Tech Industries 13,800 13,618 13,593
Access CIG, LLC, L+775, 0.00% LIBOR Floor, 2/27/2026(q) 1 Month LIBOR Services: Business 17,250 17,126 17,207
Albany Molecular Research, Inc., L+700, 1.00% LIBOR Floor, 8/30/2025(o) 1 Month LIBOR Healthcare & Pharmaceuticals 10,000 9,842 9,975
American Residential Services LLC, L+800, 1.00% LIBOR Floor, 12/31/2022(o) 1 Month LIBOR Construction & Building 5,180 5,142 5,128
Carestream Health, Inc., L+950, 1.00% LIBOR Floor, 6/7/2021(q) 1 Month LIBOR Healthcare & Pharmaceuticals 10,662 10,662 10,102
Country Fresh Holdings, LLC, L+850, 1.00% LIBOR Floor, 4/29/2024(x) 3 Month LIBOR Beverage, Food & Tobacco 2,028 2,028 2,028
Dayton Superior Corp., L+700, 2.00% LIBOR Floor, 12/4/2024 3 Month LIBOR Construction & Building 1,507 1,507 1,507
Deluxe Entertainment Services Inc., L+850, 1.00% LIBOR Floor, 9/25/2024(p)(u)(x) 1 Month LIBOR Media: Diversified & Production 9,890 9,675 9,717
EagleTree-Carbide Acquisition Corp., L+850, 1.00% LIBOR Floor, 8/28/2025(o)(q) 3 Month LIBOR Consumer Goods: Durable 25,000 24,695 24,750
Evergreen Skills Lux S.À.R.L., L+825, 1.00% LIBOR Floor, 4/28/2022(h)(q)(t) 3 Month LIBOR High Tech Industries 9,999 8,147 2,833
Global Tel*Link Corp., L+825, 0.00% LIBOR Floor, 11/29/2026(q) 1 Month LIBOR Telecommunications 11,500 11,312 11,586
LSCS Holdings, Inc., L+825, 0.00% LIBOR Floor, 3/16/2026(o) 3 Month LIBOR Services: Business 11,891 11,655 11,831
Mayfield Agency Borrower Inc., L+850, 0.00% LIBOR Floor, 3/2/2026(o)(q)(r) 1 Month LIBOR Banking, Finance, Insurance & Real Estate 20,000 19,723 20,200
Medical Solutions Holdings, Inc., L+838, 1.00% LIBOR Floor, 6/16/2025(o) 1 Month LIBOR Healthcare & Pharmaceuticals 10,000 9,877 9,650
MedPlast Holdings, Inc., L+775, 0.00% LIBOR Floor, 7/2/2026(r) 3 Month LIBOR Healthcare & Pharmaceuticals 6,750 6,690 6,383
Ministry Brands, LLC, L+925, 1.00% LIBOR Floor, 6/2/2023(o)(q) 2 Month LIBOR Services: Business 7,000 6,932 7,000
Niacet Corp., E+875, 1.00% EURIBOR Floor, 8/1/2024(h) 1 Month EURIBOR Chemicals, Plastics & Rubber 7,489 7,985 8,314
Patterson Medical Supply, Inc., L+850, 1.00% LIBOR Floor, 8/28/2023(o) 3 Month LIBOR Healthcare & Pharmaceuticals 13,500 13,419 11,813
PetroChoice Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023(o) 3 Month LIBOR Chemicals, Plastics & Rubber 10,000 9,860 9,600
PFS Holding Corp., L+725, 1.00% LIBOR Floor, 1/31/2022(p)(t) 3 Month LIBOR Retail 4,998 4,272 —
Premiere Global Services, Inc., L+950, 1.00% LIBOR Floor, 6/6/2024(o)(x) 3 Month LIBOR Telecommunications 3,070 2,960 1,074
Securus Technologies Holdings, Inc., L+825, 1.00% LIBOR Floor, 11/1/2025(q) 1 Month LIBOR Telecommunications 2,942 2,916 2,836
STG-Fairway Acquisitions, Inc., L+925, 1.00% LIBOR Floor, 6/30/2023(o) 1 Month LIBOR Services: Business 5,000 4,957 5,000
TMK Hawk Parent, Corp., L+800, 1.00% LIBOR Floor, 8/28/2025(o) 3 Month LIBOR Services: Business 13,393 13,122 12,924
TouchTunes Interactive Networks, Inc, L+825, 1.00% LIBOR Floor, 5/29/2022(q) 1 Month LIBOR Hotel, Gaming & Leisure 5,226 5,201 5,226
Winebow Holdings, Inc., L+750, 1.00% LIBOR Floor, 1/2/2022(o) 1 Month LIBOR Beverage, Food & Tobacco 12,823 12,689 10,467
Zest Acquisition Corp., L+750, 1.00% LIBOR Floor, 3/14/2026(q) 1 Month LIBOR Healthcare & Pharmaceuticals 15,000 14,870 14,063
Zywave Inc., L+900, 1.00% LIBOR Floor, 11/17/2023(o) 3 Month LIBOR High Tech Industries 3,445 3,398 3,446
Total Senior Secured Second Lien Debt 264,280 248,253
Collateralized Securities and Structured Products - Debt - 0.7%

All values are in Euros.

See accompanying notes to consolidated financial statements.

19

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Index Rate(b) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) Fair<br><br>Value(c)
Deutsche Bank AG Frankfurt CRAFT 2015-2 Class Credit Linked Note, L+925, 1/16/2022(h) 3 Month LIBOR Diversified Financials 7,212 7,212 7,212
Total Collateralized Securities and Structured Products - Debt 7,212 7,212
Collateralized Securities and Structured Products - Equity - 1.5%
APIDOS CLO XVI Subordinated Notes, 6.39% Estimated Yield, 1/19/2025(h) (f) Diversified Financials 9,000 3,762 2,125
CENT CLO 19 Ltd. Subordinated Notes, 37.72% Estimated Yield, 10/29/2025(h) (f) Diversified Financials 2,000 1,163 782
Galaxy XV CLO Ltd. Class A Subordinated Notes, 6.78% Estimated Yield, 4/15/2025(h) (f) Diversified Financials 4,000 2,229 1,730
Ivy Hill Middle Market Credit Fund VIII, Ltd. Subordinated Loan, 11.84% Estimated Yield, 2/2/2026(h) (f) Diversified Financials 10,000 9,322 9,545
Total Collateralized Securities and Structured Products - Equity 16,476 14,182
Unsecured Debt - 0.5%
WPLM Acquisition Corp., 15.00%, 11/24/2025(x) None Media: Advertising, Printing & Publishing 5,000 4,901 4,900
Total Unsecured Debt 4,901 4,900
Equity - 11.5%
Anthem Sports and Entertainment Inc., Class A Preferred Stock Warrants(s) Media: Diversified & Production 769 Units 205 226
Anthem Sports and Entertainment Inc., Class B Preferred Stock Warrants(s) Media: Diversified & Production 135 Units — —
Anthem Sports and Entertainment Inc., Common Stock Warrants(s) Media: Diversified & Production 2,508 Units — —
Ascent Resources - Marcellus, LLC, Common Shares(s) Energy: Oil & Gas 511,255 Units 1,642 914
Ascent Resources - Marcellus, LLC, Warrants(s) Energy: Oil & Gas 132,367 Units 13 4
Avaya Holdings Corp., Common Stock(i)(p)(s) Telecommunications 321,260 Units 5,285 4,337
BCP Great Lakes Fund LP, Partnership Interests (31.7% ownership)(h)(v) Diversified Financials N/A 14,208 14,238
CHC Medical Partners, Inc., Series C Preferred Stock, 12% Dividend(w) Healthcare & Pharmaceuticals 2,727,273 Units 5,139 5,245
CION SOF Funding, LLC, Membership Interests (87.5% ownership)(h)(v) Diversified Financials N/A 31,289 31,265
Conisus Holdings, Inc., Series B Preferred Stock, 12% Dividend(u)(w) Healthcare & Pharmaceuticals 12,677,833 Units 13,215 13,270
Conisus Holdings, Inc., Common Stock(s)(u) Healthcare & Pharmaceuticals 4,914,556 Units 200 1,426
Country Fresh Holdings, LLC, Common Stock(s) Beverage, Food & Tobacco 2,985 Units 5,249 2,618
David's Bridal, Inc., Series A Preferred Stock(s) Retail 1,396 Units 140 141
David's Bridal, Inc., Series B Preferred Stock(s) Retail 4,183 Units 410 410
David's Bridal, Inc., Common Stock(s) Retail 39,423 Units — —
David's Bridal, Inc., Reallocation Rights(s) Retail 7,500 Units — —
Dayton HoldCo, LLC, Common Stock(s) Construction & Building 37,264 Units 4,136 7,903
DESG Holdings, Inc., Common Stock(j)(s)(u) Media: Diversified & Production 1,268,143 Units 13,662 14,763
HDNet Holdco LLC, Preferred Unit Call Option(s) Media: Diversified & Production 1 Unit — —
Independent Pet Partners Intermediate Holdings, LLC, Class A Preferred Units(s) Retail 1,000,000 Units 1,000 950
Independent Pet Partners Intermediate Holdings, LLC, Warrants(s) Retail 155,880 Units — 1
Mooregate ITC Acquisition, LLC, Class A Units(s) High Tech Industries 500 Units 563 151
Mount Logan Capital Inc., Common Stock(h)(i)(s)(u) Banking, Finance, Insurance & Real Estate 980,284 Units 3,335 2,505
NS NWN Acquisition, LLC, Voting Units(s) High Tech Industries 346 Units 393 585

See accompanying notes to consolidated financial statements.

20

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

Portfolio Company(a) Industry Principal/<br><br>Par Amount/<br><br>Units(e) Cost(d) FairValue(c)
NS NWN Acquisition, LLC, Class A Preferred Units(s) High Tech Industries 111 Units 110 331
NSG Co-Invest (Bermuda) LP, Partnership Interests(h)(s) Consumer Goods: Durable 1,575 Units 1,000 528
Palmetto Solar, LLC, Warrants(s) High Tech Industries 346,694 Units 295 295
Rhino Energy LLC, Warrants(s) Metals & Mining 170,972 Units 280 16
SIMR Parent, LLC, Class B Common Units(s)(u) Healthcare & Pharmaceuticals 12,283,000 Units 8,002 3,980
Spinal USA, Inc. / Precision Medical Inc., Warrants(o)(s) Healthcare & Pharmaceuticals 14,181,915 Units 5,806 1,560
Tenere Inc., Warrants(s) Capital Equipment N/A 161 1,569
Total Equity 115,738 109,231
Short Term Investments - 3.1%(m)
First American Treasury Obligations Fund, Class Z Shares, 1.49% (n) 29,527 29,527
Total Short Term Investments 29,527 29,527
TOTAL INVESTMENTS - 185.3% 1,827,076 1,765,072
LIABILITIES IN EXCESS OF OTHER ASSETS - (85.3%) (812,509 )
NET ASSETS - 100% 952,563

All values are in US Dollars.

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 h. below. Unless specifically identified in note x. below, investments do not contain a PIK interest provision.
b. The 1, 2, 3 and 6 month LIBOR rates were 1.76%, 1.83%, 1.91% and 1.91%, respectively, as of December 31, 2019. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of December 31, 2019, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to December 31, 2019. The 1 month EURIBOR rate was (0.51%) as of December 31, 2019.
--- ---
c. Fair value determined in good faith by the Company’s board of directors (see Note 9) using significant unobservable inputs unless otherwise noted.
--- ---
d. Represents amortized cost for debt securities and cost for equity investments.
--- ---
e. Denominated in U.S. dollars unless otherwise noted.
--- ---
f. 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.
--- ---
g. As a result of an arrangement between the Company and the other lenders in the syndication, the Company is entitled to less interest than the stated interest rate of this loan, which is reflected in this schedule, in exchange for a higher payment priority.
--- ---
h. 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 December 31, 2019, 91.5% of the Company’s total assets represented qualifying assets.
--- ---
i. Fair value determined using level 1 inputs.
--- ---
j. Position or a portion thereof unsettled as of December 31, 2019.
--- ---
k. In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company may be entitled to receive additional amounts as a result of an arrangement between the Company and the other lenders in the syndication in exchange for a lower payment priority.
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l. In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company may be entitled to receive additional residual amounts.
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m. 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.
--- ---
n. 7-day effective yield as of December 31, 2019.
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o. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, 34th Street, and was pledged as collateral supporting the amounts outstanding under the credit facility with JPM as of December 31, 2019 (see Note 8).
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See accompanying notes to consolidated financial statements.

21

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

p. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, Flatiron Funding II, and was pledged as collateral supporting the amounts outstanding under the credit facility with Citibank as of December 31, 2019 (see Note 8).
q. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, Murray Hill Funding II, and was pledged as collateral supporting the amounts outstanding under the repurchase agreement with UBS as of December 31, 2019 (see Note 8).
--- ---
r. Investment or a portion thereof held within the Company’s wholly-owned consolidated subsidiary, 33rd Street, and was pledged as collateral supporting the amounts outstanding under the credit facility with MS as of December 31, 2019 (see Note 8).
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s. Non-income producing security.
--- ---
t. Investment or a portion thereof was on non-accrual status as of December 31, 2019.
--- ---
u. Investment determined to be an affiliated investment as defined in the 1940 Act as the Company owns between 5% and 25% of the portfolio company’s outstanding voting securities but does not control the portfolio company. Fair value as of December 31, 2018 and 2019, along with transactions during the year ended December 31, 2019 in these affiliated investments, are as follows:
--- ---
Year Ended December 31, 2019 Year Ended December 31, 2019
--- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Non-Controlled, Affiliated Investments Fair Value at December 31, 2018 Gross Additions(Cost)(1) Gross Reductions(Cost)(2) Net Unrealized Gain (Loss) Fair Value at December 31, 2019 Net Realized Gain (Loss) InterestIncome(3) Dividend Income
Charming Charlie, LLC
First Lien Term Loan B1 1,021 — (2,619 ) 1,598 — (2,619 ) — —
First Lien Term Loan B2 1,249 — (1,912 ) 663 — (1,912 ) — —
Vendor Payment Financing Facility 157 890 (293 ) (282 ) 472 — 57 —
Common Stock — — (1,302 ) 1,302 — (1,302 ) — —
Conisus Holdings, Inc.
Series B Preferred Stock(w) 10,903 4,015 — (1,648 ) 13,270 — — 4,015
Common Stock 197 — — 1,229 1,426 — — —
DESG Holdings, Inc.
First Lien Term Loan — 23,656 — 5,322 28,978 — 303 —
Second Lien Term Loan — 9,675 — 42 9,717 — 162 —
Common Stock — 13,662 — 1,101 14,763 — — —
F+W Media, Inc.
First Lien DIP Term Loan — 521 (521 ) — — — 101 —
First Lien Term Loan B-1 1,137 51 (43 ) (1,145 ) — — 51 —
First Lien Term Loan B-2 161 — (2,759 ) 2,598 — (2,759 ) — —
Common Stock — — — — — — — —
Mount Logan Capital Inc.
Common Stock 2,645 — — (140 ) 2,505 — — —
SIMR, LLC
First Lien Term Loan 14,757 452 (619 ) (385 ) 14,205 — 1,778 —
SIMR Parent, LLC
Class B Common Units 7,382 502 — (3,904 ) 3,980 — — —
Petroflow Energy Corp.
First Lien Term Loan 2,363 — (2,511 ) 158 10 — 19 —
TexOak Petro Holdings LLC
Second Lien Term Loan — — (2,592 ) 2,592 — (2,592 ) — —
Membership Interests — — — — — — — —
Totals 41,972 53,424 (15,171 ) 9,101 89,326 (11,184 ) 2,471 4,015

All values are in US Dollars.

See accompanying notes to consolidated financial statements.

22

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

(1) Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
(2) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
--- ---
(3) Includes PIK interest income.
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v. Investment determined to be a controlled investment as defined in the 1940 Act as the Company is deemed to exercise a controlling influence over the management or policies of the portfolio company due to beneficially owning, either directly or through one or more controlled companies, more than 25% of the outstanding voting securities of such portfolio company. Fair value as of December 31, 2018 and 2019, along with transactions during the year ended December 31, 2019 in these controlled investments, are as follows:
--- ---
Year Ended December 31, 2019 Year Ended December 31, 2019
--- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- --- ---
Controlled Investments Fair Value atDecember 31, 2018 GrossAdditions(Cost)(1) GrossReductions(Cost)(2) Net UnrealizedGain (Loss) Fair Value atDecember 31, 2019 Net RealizedGain (Loss) InterestIncome(3) Dividend Income
BCP Great Lakes Fund LP
Membership Interests — 14,208 — 30 14,238 — — 47
CION SOF Funding, LLC
Membership Interests — 31,289 — (24 ) 31,265 — — 1,076
Totals — 45,497 — 6 45,503 — — 1,123

All values are in US Dollars.

(1) Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
(2) Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
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(3) Includes PIK interest income.
--- ---
w. For the year ended December 31, 2019, non-cash dividend income of $4,015 and $474 was recorded on the Company's investment in Conisus Holdings, Inc. and CHC Medical Partners, Inc., respectively.
--- ---

See accompanying notes to consolidated financial statements.

23

CĪON Investment Corporation

Consolidated Schedule of Investments

December 31, 2019

(in thousands)

x. For the year ended December 31, 2019, 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
--- --- --- --- --- --- --- --- ---
Portfolio Company Investment Type Cash PIK All-in-Rate
American Clinical Solutions LLC Senior Secured First Lien Debt — 2.00% 2.00%
Anthem Sports & Entertainment Inc. Senior Secured First Lien Debt 8.69% 2.75% 11.44%
Charming Charlie, LLC Senior Secured First Lien Debt 7.05% 5.00% 12.05%
Charming Charlie, LLC Senior Secured First Lien Debt 3.05% 9.00% 12.05%
CHC Solutions Inc. Senior Secured First Lien Debt 8.00% 4.00% 12.00%
Country Fresh Holdings, LLC Senior Secured Second Lien Debt — 10.44% 10.44%
David's Bridal, LLC Senior Secured First Lien Debt 1.00% 6.92% 7.92%
Deluxe Entertainment Services, Inc. Senior Secured First Lien Debt 6.71% 1.50% 8.21%
Deluxe Entertainment Services, Inc. Senior Secured Second Lien Debt 7.71% 2.50% 10.21%
F+W Media, Inc. Senior Secured First Lien Debt — 8.21% 8.21%
Hilliard, Martinez & Gonzales, LLP Senior Secured First Lien Debt — 20.00% 20.00%
KLO Intermediate Holdings, LLC Senior Secured First Lien Debt — 9.50% 9.50%
Lift Brands, Inc. Senior Secured First Lien Debt 9.10% 0.50% 9.60%
Petroflow Energy Corp. Senior Secured First Lien Debt — 9.71% 9.71%
Premiere Global Services, Inc. Senior Secured Second Lien Debt 0.50% 10.98% 11.48%
SEK Holding Co LLC Senior Secured First Lien Debt 9.77% 3.50% 13.27%
SIMR, LLC Senior Secured First Lien Debt 12.00% 7.00% 19.00%
Spinal USA, Inc. / Precision Medical Inc. Senior Secured First Lien Debt — 11.30% 11.30%
WPLM Acquisition Corp. Unsecured Note — 15.00% 15.00%

See accompanying notes to consolidated financial statements.

24

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(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, unsecured debt and equity, of private and thinly-traded U.S. middle-market companies.

The Company is managed by CION Investment Management, LLC, or CIM, a registered investment adviser and an affiliate of the Company. Pursuant to an investment advisory agreement with the Company, CIM oversees the management of the Company’s activities and is responsible for making investment decisions for the Company’s investment portfolio. On November 5, 2019, 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 with CIM for a period of twelve months commencing December 17, 2019. The Company and CIM previously engaged Apollo Investment Management, L.P., or AIM, a subsidiary of Apollo Global Management, Inc., or, together with its subsidiaries, Apollo, a leading global alternative investment manager, to act as the Company’s investment sub-adviser.

On July 11, 2017, the members of CIM entered into a third amended and restated limited liability company agreement of CIM, or the Third Amended CIM LLC Agreement, for the purpose of creating a joint venture between AIM and CION Investment Group, LLC, or CIG, an affiliate of the Company. Under the Third Amended CIM LLC Agreement, AIM became a member of CIM and was issued a newly-created class of membership interests in CIM pursuant to which AIM, among other things, shares in the profits, losses, distributions and expenses of CIM with the other members in accordance with the terms of the Third Amended CIM LLC Agreement, which results in CIG and AIM each owning a 50% economic interest in CIM.

On July 10, 2017, the Company’s independent directors unanimously approved the termination of the investment sub-advisory agreement with AIM, effective as of July 11, 2017. Although the investment sub-advisory agreement and AIM's engagement as the Company’s investment sub-adviser were terminated, AIM's investment professionals continue to perform certain services for CIM and the Company, including, without limitation, identifying investment opportunities for approval by CIM's investment committee. AIM is not paid a separate fee in exchange for such services, but is entitled to receive distributions as a member of CIM as described above.

On December 4, 2017, the members of CIM entered into a fourth amended and restated limited liability company agreement of CIM, or the Fourth Amended CIM LLC Agreement. Under the Fourth Amended CIM LLC Agreement, AIM's investment professionals perform certain services for CIM, which include, among other services, (i) assistance with identifying and providing information about potential investment opportunities for approval by CIM’s investment committee; and (ii) providing (a) trade and settlement support; (b) portfolio and cash reconciliation; (c) market pipeline information regarding syndicated deals, in each case, as reasonably requested by CIM; and (d) monthly valuation reports and support for all broker-quoted investments. All of the Company's investment decisions are the sole responsibility of, and are made at the sole discretion of, CIM's investment committee, which consists entirely of CIG senior personnel.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation and Consolidation

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, 2019 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, 2020. The consolidated balance sheet and the consolidated schedule of investments as of December 31, 2019 are derived from the 2019 audited consolidated financial statements and include the accounts of the Company’s wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. The Company does not consolidate its interest in CION SOF Funding, LLC, or CION SOF. See Note 7 for a description of the Company’s investment in CION SOF.

25

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The Company evaluates subsequent events through the date that the consolidated financial statements are issued.

Recently Adopted Accounting Standards

In August 2018, the Financial Accounting Standards Board, or the FASB, issued ASU 2018-13, Changes to the Disclosure Requirements for Fair Value Measurement, or ASU 2018-13, which modifies the disclosure requirements for fair value measurements in Topic 820 by removing, modifying, or adding certain disclosures. ASU 2018-13 is effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The Company adopted ASU 2018-13 during the three months ended March 31, 2020, which did not have a significant impact on the Company’s disclosures on fair value measurements.

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.

Foreign Currency Translations

The accounting records of the Company are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the foreign exchange rate on the date of valuation. The Company does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Changes in the relationship of foreign currencies to the U.S. dollar can significantly affect the value of these investments and therefore the earnings of the Company.

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 $56,657 and $29,527 of such investments at March 31, 2020 and December 31, 2019, respectively, which are included in investments, at fair value on the accompanying consolidated balance sheets and on the consolidated schedules of investments.

Offering Costs

Offering costs included, 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 initial offering costs that were funded by CIG on behalf of the Company were submitted by CIG for reimbursement upon meeting the minimum offering requirement on December 17, 2012. These costs were capitalized and amortized over a twelve month period as an adjustment to capital in excess of par value. All other offering costs were expensed as incurred by the Company. The Company's follow-on continuous public offering ended on January 25, 2019.

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 equal to the sum of 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 be subject to corporate level federal income taxes on any income that the Company distributes to its shareholders. On March 19, 2020, the Company temporarily suspended the payment of distributions to shareholders commencing with the month ending April 30, 2020, whether in cash or pursuant to the Company’s distribution reinvestment plan, as amended and restated. 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.

26

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Two of the Company’s wholly-owned consolidated subsidiaries, View ITC, LLC and View Rise, LLC, or collectively the Taxable Subsidiaries, have elected to be treated as taxable entities for U.S. federal income tax purposes. As a result, the Taxable Subsidiaries are not consolidated with the Company for income tax purposes and may generate income tax expense or benefit, and the related tax assets and liabilities, as a result of its ownership of certain portfolio investments. The income tax expense or benefit, if any, and the related tax assets and liabilities, where material, are reflected in the Company’s consolidated financial statements. There were no deferred tax assets or liabilities as of March 31, 2020.

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 2016, 2017, and 2018.

Use of Estimates

The preparation of the consolidated financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period.

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19, which spread to over 100 countries, including the United States, and spread to every state in the United States. The World Health Organization designated COVID-19 as a pandemic, and numerous countries, including the United States, declared national emergencies with respect to COVID-19. The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19 continued to be identified in additional countries, many countries reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading, and limiting operations of non-essential businesses. Such actions created and will continue to create disruption in global supply chains, and adversely impacted many industries. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions. The Company believes the estimates and assumptions underlying the consolidated financial statements are reasonable and supportable based on the information available as of March 31, 2020; however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and the Company’s business in particular, makes any estimates and assumptions as of March 31, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19. 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 hierarchy that prioritizes and ranks the level of market price observability of inputs used in measuring investments 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.
--- ---

27

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

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.

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) and the non-binding nature of consensus pricing and/or quotes, 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, if CIM is unable to obtain market quotations, 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.
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28

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

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.

The discounted cash flow model deemed appropriate by CIM is prepared for the applicable investments and reviewed by designated members of CIM’s management team. 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 designated members of CIM’s management team 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. Designated members of CIM’s management team and the Company's 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.

As a practical expedient, the Company uses net asset value, or NAV, as the fair value for its equity investments in CION SOF and BCP Great Lakes Fund LP. CION SOF and BCP Great Lakes Fund LP record their underlying investments at fair value on a quarterly basis in accordance with ASC 820.

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. For investments in equity tranches of collateralized loan obligations, the Company records income based on the effective interest rate determined using the amortized cost and estimated cash flows, which is updated periodically. Loan origination fees, original issue discounts, or OID, 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 rate method. Upon the prepayment of a loan or security, prepayment premiums, any unamortized loan origination fees, OID, or market discounts/premiums are recorded as interest income.

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. For additional information on investments that contain a PIK interest provision, see the consolidated schedules of investments as of March 31, 2020 and December 31, 2019.

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, 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 reversed against 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 of principal, 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.

Dividend income on preferred equity securities is recorded on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly-traded portfolio companies.

29

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The Company may receive fees for capital structuring services that are fixed based on contractual terms, are normally paid at the closing of the investments, are generally non-recurring and non-refundable and are recognized as revenue when earned upon closing of the investment. The services that CIM provides vary by investment, but generally include reviewing existing credit facilities, arranging bank financing, arranging equity financing, structuring financing from multiple lenders, structuring financing from multiple equity investors, restructuring existing loans, raising equity and debt capital, and providing general financial advice, which concludes upon closing of the investment. In certain instances where the Company is invited to participate as a co-lender in a transaction and does not provide significant services in connection with the investment, a portion of loan fees paid to the Company in such situations will be deferred and amortized over the estimated life of the loan as interest income.

Other income includes amendment fees that are fixed based on contractual terms and are generally non-recurring and non-refundable and are recognized as revenue when earned upon closing of the transaction. Other income also includes fees for managerial assistance and other consulting services, loan guarantees, commitments, and other services rendered by the Company to its portfolio companies. Such fees are fixed based on contractual terms and are recognized as fee income when earned.

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 sale and the weighted-average amortized cost of the investment, without regard to unrealized appreciation or depreciation previously recognized, but considering unamortized upfront fees. 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.

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.

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 (Decrease) Increase in Net Assets per Share

Net (decrease) 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 paid as a distribution is declared by the Company's co-chief executive officers and ratified by the board of directors on a quarterly 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 and ended on January 25, 2019.

30

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The following table summarizes transactions with respect to shares of the Company’s common stock during the three months ended March 31, 2020 and 2019:

Three Months Ended<br>March 31,
2020 2019
Shares Amount Shares Amount
Gross shares/proceeds from the offering — — 696,264 6,516
Reinvestment of distributions 1,008,333 8,071 1,075,226 9,361
Total gross shares/proceeds 1,008,333 8,071 1,771,490 15,877
Sales commissions and dealer manager fees — — — (296 )
Net shares/proceeds 1,008,333 8,071 1,771,490 15,581
Share repurchase program (1,076,229 ) (8,071 ) (1,078,856 ) (9,361 )
Net shares/proceeds (for) from share transactions (67,896 ) — 692,634 6,220

All values are in US Dollars.

Since commencing its initial continuous public offering on July 2, 2012 and through March 31, 2020, the Company sold 113,313,249 shares of common stock for net proceeds of $1,155,287 at an average price per share of $10.20. The net proceeds include gross proceeds received from reinvested shareholder distributions of $206,735, for which the Company issued 23,122,333 shares of common stock, and gross proceeds paid for shares of common stock tendered for repurchase of $206,734, for which the Company repurchased 23,300,829 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 effective January 2, 2019 and January 9, 2019 from $9.50 to $9.45 and from $9.45 to $9.40, respectively.

Share Repurchase Program

On a quarterly basis prior to March 31, 2020, the Company offered to repurchase shares on such terms as 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.

On March 19, 2020, the Company's board of directors, including the independent directors, temporarily suspended the Company's share repurchase program commencing with the second quarter of 2020. Share repurchases for future quarters will be reevaluated by the board of directors based on circumstances and expectations existing at the time of consideration.

The Company limited the number of shares repurchased during any calendar year to the number of shares it could have repurchased with the proceeds it received from the issuance of shares pursuant to its fifth amended and restated distribution reinvestment plan. At the discretion of the Company’s board of directors, it could have used cash on hand, cash available from borrowings and cash from liquidation of investments as of the end of the applicable period to repurchase shares. The Company offered to repurchase such shares at a price equal to the estimated net asset value per share on each date of repurchase.

Any future 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. Furthermore, any future repurchase offers will be subject to a determination by the independent directors of the Company’s board of directors that such repurchase offers would be in the best interests of the Company’s shareholders and permitted by applicable law.

The following table summarizes the share repurchases completed during the year ended December 31, 2019 and the three months ended March 31, 2020:

31

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Three Months Ended Repurchase Date Shares Repurchased Percentage of Shares Tendered That Were Repurchased Repurchase Price Per Share Aggregate Consideration for Repurchased Shares
2019
March 31, 2019 March 27, 2019 1,078,856 30% 8.68 9,361
June 30, 2019 June 26, 2019 1,038,641 15% 8.59 8,926
September 30, 2019 September 25, 2019 1,035,307 15% 8.27 8,562
December 31, 2019 December 26, 2019 1,089,259 17% 8.22 8,950
Total for the year ended December 31, 2019 4,242,063 35,799
2020
March 31, 2020 March 30, 2020 1,076,229 13% 7.50 8,071
Total for the three months ended March 31, 2020 1,076,229 8,071

All values are in US Dollars.

Note 4. Transactions with Related Parties

For the three months ended March 31, 2020 and 2019, fees and other expenses incurred by the Company related to CIM and its affiliates were as follows:

Three Months EndedMarch 31,
Entity Capacity Description 2020 2019
CION Securities, LLC Dealer manager Dealer manager fees(1) — 124
CIM Investment adviser Management fees(2) 8,451 9,331
CIM Investment adviser Incentive fees(2) 3,308 5,375
CIM Administrative services provider Administrative services expense(2) 394 497
Apollo Investment Administration, L.P. Administrative services provider Transaction costs(2) 7 30
12,160 15,357

All values are in US Dollars.

(1) Amounts charged directly to equity.
(2) Amounts charged directly to operations.
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On December 28, 2016, the Company entered into an amended and restated follow-on dealer manager agreement with CIM and CION Securities, LLC (formerly, ICON Securities, LLC), or CION Securities, in connection with the Company's follow-on continuous public offering, which ended on January 25, 2019. Under the amended and restated dealer manager agreement, the dealer manager fee was reduced from up to 3% to up to 2% of gross offering proceeds and selling commissions to the selling dealers were reduced from up to 7% to up to 3% of gross offering proceeds. Such costs were charged against capital in excess of par value when incurred. Since commencing its initial continuous public offering on July 2, 2012 through January 25, 2019, the Company paid or accrued sales commissions of $65,278 to the selling dealers and dealer manager fees of $32,628 to CION Securities.

32

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The Company has entered into an investment advisory agreement with CIM. On November 5, 2019, 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, 2019. 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 Company receives 100% of pre-incentive fee net investment income once the hurdle rate is exceeded until the annualized rate of 9.375% is exceeded, at which point the Company receives 20% of the amount of pre-incentive fee net investment income that exceeds the annualized rate of 9.375%. For the three months ended March 31, 2020 and 2019, the liabilities recorded for subordinated incentive fees were $3,308 and $5,375, respectively. The second part of the incentive fee, which is referred to as the capital gains incentive fee, is described in Note 2.

The Company accrues the capital gains incentive fee based on net realized gains and net 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 ended March 31, 2020 and 2019, the Company had no liability for and did not record any capital gains incentive fees.

Under the terms of the investment advisory agreement, CIM and certain of its affiliates, which includes CIG, 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 CIG and its affiliates, which includes CIM). With respect to any reimbursements for offering and organizational costs, the Company interprets 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.

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, 2020, the Company raised gross offering proceeds of $1,155,286, of which it can pay up to $17,329 in offering and organizational costs (which represents 1.5% of the actual gross offering proceeds raised). Through March 31, 2020, the Company paid $10,701 of such costs, leaving an additional $6,628 that can be paid.

On April 1, 2018, the Company entered into an administration agreement with CIM pursuant to which CIM furnishes the Company with administrative services including accounting, investor relations and other administrative services necessary to conduct its day-to-day operations. CIM is reimbursed for administrative expenses it incurs on the Company’s behalf in performing its obligations, provided that such reimbursement is for the lower of CIM’s actual costs or the amount that the Company would have been required to pay for comparable administrative services in the same geographic location. Such costs are reasonably allocated to the Company on the basis of assets, revenues, time records or other reasonable methods. The Company does not reimburse CIM 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 CIM. On November 5, 2019, 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 with CIM for a period of twelve months commencing December 17, 2019.

On January 1, 2019, the Company entered into a servicing agreement with CIM’s affiliate, Apollo Investment Administration, L.P., or AIA, pursuant to which AIA furnishes the Company with administrative services including, but not limited to, loan and high yield trading services, trade and settlement support, and monthly valuation reports and support for all broker quoted investments. AIA is reimbursed for administrative expenses it incurs on the Company’s behalf in performing its obligations, provided that such reimbursement is reasonable, and costs and expenses incurred are documented. The servicing agreement may be terminated at any time, without the payment of any penalty, by either party, upon 60 days' written notice to the other party.

On January 30, 2013, the Company entered into the expense support and conditional reimbursement agreement with CIG, whereby CIG 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 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. On January 2, 2018, the Company entered into an expense support and conditional reimbursement agreement with CIM for purposes of, among other things, replacing CIG and AIM with CIM as the expense support provider pursuant to the terms of the expense support and conditional reimbursement agreement. On December 20, 2019, the Company and CIM amended the expense support and conditional reimbursement agreement to extend the termination date of such agreement from December 31, 2019 to December 31, 2020.

33

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Pursuant to the expense support and conditional reimbursement agreement, the Company will have a conditional obligation to reimburse CIM for any amounts funded by CIM under such agreement (i) if expense support amounts funded by CIM 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 CIM funded such amount. The obligation to reimburse CIM for any expense support provided by CIM 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.

Expense support, if any, will be determined as appropriate to meet the objectives of the expense support and conditional reimbursement agreement. For the three months ended March 31, 2020 and 2019, the Company did not receive any expense support from CIM. See Note 5 for additional information on the sources of the Company’s distributions. The Company did not record any obligation to repay expense support from CIM during the three months ended March 31, 2019 or 2020, respectively. The Company did not repay any expense support to CIM during the three months ended March 31, 2019 or 2020. The Company may or may not be requested to reimburse any expense support provided in the future.

The Company or CIM may terminate the expense support and conditional reimbursement agreement at any time. CIM has indicated that it expects to continue such expense support to ensure that the Company bears a reasonable level of expenses in relation to its income. If the Company terminates the investment advisory agreement with CIM, the Company may be required to repay all unreimbursed expense support funded by CIM within three years of the date of termination. There will be no acceleration or increase of such repayment obligation at termination of the investment advisory agreement with CIM. The specific amount of expense support provided by CIM, if any, will be determined at the end of each quarter. There can be no assurance that the expense support and conditional reimbursement agreement will remain in effect or that CIM will support any portion of the Company’s expenses in future quarters.

As of March 31, 2020 and December 31, 2019, the total liability payable to CIM and its affiliates was $12,160 and $15,771, respectively, which primarily related to fees earned by CIM during the three months ended March 31, 2020 and December 31, 2019, respectively.

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, LLC, 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 other clients of CIM rather than to the Company.

Indemnifications

The investment 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

From February 1, 2014 through July 17, 2017, the Company’s board of directors authorized and declared on a monthly basis a weekly distribution amount per share of common stock. On July 18, 2017, the Company's board of directors authorized and declared on a quarterly basis a weekly distribution amount per share of common stock. Effective September 28, 2017, the Company's board of directors delegated to management the authority to determine the amount, record dates, payment dates and other terms of distributions to shareholders, which will be ratified by the board of directors, each on a quarterly basis. Beginning on March 19, 2020, management changed the timing of declaring distributions from quarterly to monthly and temporarily suspended the payment of distributions to shareholders commencing with the month ending April 30, 2020, whether in cash or pursuant to the Company's distribution reinvestment plan, as amended and restated. Distributions in respect of future months will be reevaluated by management and the board of directors based on circumstances and expectations existing at the time of consideration. Declared distributions were paid monthly.

34

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The Company’s board of directors declared or ratified distributions for 53 and 13 record dates during the year ended December 31, 2019 and the three months ended March 31, 2020, respectively.

The following table presents cash distributions per share that were declared during the year ended December 31, 2019 and the three months ended March 31, 2020:

Distributions
Three Months Ended Per Share Amount
2019
March 31, 2019 (thirteen record dates) 0.1829 20,772
June 30, 2019 (thirteen record dates) 0.1829 20,801
September 30, 2019 (thirteen record dates) 0.1829 20,798
December 31, 2019 (fourteen record dates) 0.1969 22,401
Total distributions for the year ended December 31, 2019 0.7456 84,772
2020
March 31, 2020 (thirteen record dates) 0.1829 20,793
Total distributions for the three months ended March 31, 2020 0.1829 20,793

All values are in US Dollars.

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 fifth amended and restated distribution reinvestment plan so as to have their cash distributions reinvested in additional shares of the Company’s common stock.

On December 8, 2016, the Company amended and restated its distribution reinvestment plan pursuant to the fifth amended and restated distribution reinvestment plan, or the Fifth Amended DRIP. The Fifth Amended DRIP became effective as of, and first applied to the reinvestment of cash distributions paid on, February 1, 2017. Under the Fifth Amended DRIP, cash distributions to participating shareholders will be reinvested in additional shares of common stock at a purchase price equal to the estimated net asset value per share of common stock 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 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 CIM, which is subject to repayment by the Company within three years. The Company has not established limits on the amount of funds it may use from available sources to make distributions. For the three months ended March 31, 2020 and the year ended December 31, 2019, none of the Company's distributions resulted from expense support from CIM. 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 CIM provides 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. CIM has 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, 2020 and 2019:

Three Months EndedMarch 31,
2020 2019
Source of Distribution Per Share Amount Percentage Per Share Amount Percentage
Net investment income 0.1829 20,793 100.0 % 0.1829 20,772 100.0 %
Total distributions 0.1829 20,793 100.0 % 0.1829 20,772 100.0 %

All values are in US Dollars.

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 for the year ended December 31, 2019.

35

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

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 and accumulated undistributed realized gain on investments.

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 2019 were characterized as ordinary income distributions for federal income tax purposes.

The tax components of accumulated earnings for the current year will be determined at year end. As of December 31, 2019, the components of accumulated losses on a tax basis were as follows:

December 31, 2019
Undistributed ordinary income 2,959
Other accumulated losses (1,810 )
Net unrealized depreciation on investments (103,765 )
Total accumulated losses (102,616 )

All values are in US Dollars.

As of March 31, 2020, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $9,674; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $227,861; the net unrealized depreciation was $218,187; and the aggregate cost of securities for Federal income tax purposes was $1,855,807.

As of December 31, 2019, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $24,416; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $128,181; the net unrealized depreciation was $103,765; and the aggregate cost of securities for Federal income tax purposes was $1,868,837.

Note 6. Investments

The composition of the Company’s investment portfolio as of March 31, 2020 and December 31, 2019 at amortized cost and fair value was as follows:

March 31, 2020 December 31, 2019
Cost(1) FairValue Percentage of<br><br>Investment<br><br>Portfolio Cost(1) FairValue Percentage of<br><br>Investment<br><br>Portfolio
Senior secured first lien debt 1,396,530 1,274,325 80.6 % 1,388,942 1,351,767 77.9 %
Senior secured second lien debt 234,407 201,165 12.7 % 264,280 248,253 14.3 %
Collateralized securities and structured products - debt — — — 7,212 7,212 0.4 %
Collateralized securities and structured products - equity 16,286 10,972 0.7 % 16,476 14,182 0.8 %
Unsecured debt 4,905 4,800 0.3 % 4,901 4,900 0.3 %
Equity 114,216 89,701 5.7 % 115,738 109,231 6.3 %
Subtotal/total percentage 1,766,344 1,580,963 100.0 % 1,797,549 1,735,545 100.0 %
Short term investments(2) 56,657 56,657 29,527 29,527
Total investments 1,823,001 1,637,620 1,827,076 1,765,072

All values are in US Dollars.

(1) Cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, for debt investments and cost for equity 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.
--- ---

36

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(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, 2020 and December 31, 2019:

March 31, 2020 December 31, 2019
Industry Classification Investments atFair Value Percentage of<br><br>Investment Portfolio Investments atFair Value Percentage of<br><br>Investment Portfolio
Healthcare & Pharmaceuticals 286,586 18.1 % 294,947 17.0 %
Services: Business 171,713 10.9 % 191,126 11.0 %
Media: Diversified & Production 132,468 8.4 % 206,159 11.9 %
Chemicals, Plastics & Rubber 121,045 7.7 % 102,906 5.9 %
Media: Advertising, Printing & Publishing 115,946 7.3 % 120,810 7.0 %
Services: Consumer 86,297 5.5 % 94,058 5.4 %
Capital Equipment 78,316 4.9 % 73,586 4.2 %
High Tech Industries 65,754 4.2 % 60,197 3.5 %
Telecommunications 62,424 3.9 % 61,577 3.6 %
Beverage, Food & Tobacco 62,308 3.9 % 68,440 3.9 %
Retail 60,952 3.9 % 53,599 3.1 %
Diversified Financials 49,528 3.1 % 66,897 3.9 %
Banking, Finance, Insurance & Real Estate 39,738 2.5 % 62,738 3.6 %
Construction & Building 35,871 2.3 % 37,096 2.1 %
Energy: Oil & Gas 35,869 2.3 % 48,742 2.8 %
Consumer Goods: Non-Durable 33,156 2.1 % 33,609 1.9 %
Aerospace & Defense 29,741 1.9 % 30,378 1.8 %
Consumer Goods: Durable 29,081 1.8 % 31,705 1.8 %
Forest Products & Paper 19,818 1.2 % 24,217 1.4 %
Metals & Mining 19,437 1.2 % 10,373 0.6 %
Hotel, Gaming & Leisure 18,694 1.2 % 25,081 1.4 %
Transportation: Cargo 18,391 1.2 % 27,291 1.6 %
Automotive 7,830 0.5 % 10,013 0.6 %
Subtotal/total percentage 1,580,963 100.0 % 1,735,545 100.0 %
Short term investments 56,657 29,527
Total investments 1,637,620 1,765,072

All values are in US Dollars.

37

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

March 31, 2020 December 31, 2019
Geographic Dispersion(1) Investments atFair Value Percentage of<br><br>Investment Portfolio Investments atFair Value Percentage of<br><br>Investment Portfolio
United States 1,524,687 96.4 % 1,656,031 95.4 %
Canada 24,413 1.6 % 27,648 1.7 %
Cayman Islands 10,972 0.7 % 14,182 0.8 %
Luxembourg 8,584 0.6 % 10,693 0.6 %
Netherlands 8,137 0.5 % 8,314 0.5 %
Cyprus 3,952 0.2 % 4,155 0.2 %
Bermuda 218 — 528 —
Germany — — 7,212 0.4 %
Marshall Islands — — 6,782 0.4 %
Subtotal/total percentage 1,580,963 100.0 % 1,735,545 100.0 %
Short term investments 56,657 29,527
Total investments 1,637,620 1,765,072

All values are in US Dollars.

(1) The geographic dispersion is determined by the portfolio company's country of domicile.

As of March 31, 2020 and December 31, 2019, investments on non-accrual status represented 2.1% and 0.4%, respectively, of the Company's investment portfolio on a fair value basis.

The Company’s investment portfolio may contain senior secured investments that are in the form of lines of credit, delayed draw term loans, 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, 2020 and December 31, 2019, the Company’s unfunded commitments amounted to $76,759 and $83,694, respectively. As of May 13, 2020, the Company’s unfunded commitments amounted to $68,119. 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. CION SOF

CION SOF was organized on May 21, 2019 as a Delaware limited liability company, and commenced operations on October 2, 2019 when the Company and BCP Special Opportunities Fund I, LP, or BCP, entered into the limited liability company agreement of CION SOF for purposes of establishing the manner in which the parties would invest in and co-manage CION SOF. CION SOF invests primarily in senior secured loans of U.S. middle-market companies. The Company and BCP contributed a portfolio of loans to CION SOF representing membership equity of $31,289 and $4,470, respectively, in exchange for 87.5% and 12.5% of the membership interests of CION SOF, respectively. The Company and BCP are not required to make any additional capital contributions to CION SOF. The Company’s equity investment in CION SOF is not redeemable. All portfolio and other material decisions regarding CION SOF 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 BCP. Further, all portfolio and other material decisions require the affirmative vote of at least one board member from the Company and one board member from BCP.

The Company also serves as administrative agent to CION SOF to provide loan servicing functions and other administrative services. In certain cases, these loan servicing functions and other administrative services may be performed by CIM.

On October 2, 2019, CION SOF entered into a senior secured credit facility with MS, or the SOF Credit Facility, for borrowings of up to a maximum amount of $75,000. Advances under the SOF Credit Facility are available through October 2, 2022 and bear interest at a floating rate equal to the three-month LIBOR, plus a spread of (i) 3.0% per year through October 1, 2022 and (i) 3.5% per year thereafter through October 2, 2024. CION SOF's obligations to MS under the SOF Credit Facility are secured by a first priority security interest in all of the assets of CION SOF. On October 2, 2019, CION SOF drew down $64,702 of borrowings under the SOF Credit Facility. As of December 31, 2019 and March 31, 2020, the principal amount outstanding on the SOF Credit Facility was $60,702 and $64,144, respectively. The obligations of CION SOF under the SOF Credit Facility are non-recourse to the Company.

For the three months ended March 31, 2020, the Company recorded $1,412 in dividend income from its equity interest in CION SOF.

38

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

In accordance with ASU 2015-02, Consolidation, the Company has determined that CION SOF is a variable interest entity, or VIE. However, the Company is not the primary beneficiary and therefore does not consolidate CION SOF. The Company's maximum exposure to losses from CION SOF is limited to its equity contribution to CION SOF.

The following table sets forth the individual investments in CION SOF's portfolio as of March 31, 2020:

Portfolio Company Index Rate(a) Industry Principal/Par Amount/Units Cost(b) FairValue
Senior Secured First Lien Debt
Anthem Sports & Entertainment Inc., L+950, 1.00% LIBOR Floor, 9/9/2024 3 Month LIBOR Media: Diversified & Production 3,864 3,829 3,545
Cadence Aerospace, LLC, L+650, 1.00% LIBOR Floor, 11/14/2023 3 Month LIBOR Aerospace & Defense 4,975 4,885 4,626
Central Security Group, Inc., L+563, 1.00% LIBOR Floor, 10/6/2021 1 Month LIBOR Services: Consumer 4,974 4,878 3,872
CircusTrix Holdings, LLC, L+550, 1.00% LIBOR Floor, 12/16/2021 1 Month LIBOR Hotel, Gaming & Leisure 5,985 5,890 5,566
Coyote Buyer, LLC, L+600, 1.00% LIBOR Floor, 2/6/2026 3 Month LIBOR Chemicals, Plastics & Rubber 5,000 4,951 4,800
Extreme Reach, Inc., L+750, 0.00% LIBOR Floor, 3/29/2024 1 Month LIBOR Media: Diversified & Production 4,819 4,753 4,626
Foundation Consumer Healthcare, LLC, L+550, 1.00% LIBOR Floor, 11/2/2023 3 Month LIBOR Healthcare & Pharmaceuticals 4,953 4,953 4,929
Genesis Healthcare, Inc., L+600, 0.50% LIBOR Floor, 3/6/2023 1 Month LIBOR Healthcare & Pharmaceuticals 5,000 4,912 4,744
Geon Performance Solutions, LLC, L+625, 1.63% LIBOR Floor, 10/25/2024 1 Month LIBOR Chemicals, Plastics & Rubber 4,988 4,987 4,688
Jab Wireless, Inc., L+800, 0.00% LIBOR Floor, 5/2/2023 1 Month LIBOR Telecommunications 5,970 5,970 5,910
LAV Gear Holdings, Inc., L+550, 1.00% LIBOR Floor, 10/31/2024 3 Month LIBOR Services: Business 4,975 4,883 4,546
Manna Pro Products, LLC, L+600, 0.00% LIBOR Floor, 12/8/2023 1 Month LIBOR Retail 5,970 5,916 5,910
NewsCycle Solutions, Inc., L+700, 1.00% LIBOR Floor, 12/29/2022 3 Month LIBOR Media: Advertising, Printing & Publishing 4,865 4,823 4,719
Optio Rx, LLC, L+700, 0.00% LIBOR Floor, 6/28/2024 3 Month LIBOR Healthcare & Pharmaceuticals 4,988 4,987 4,963
PH Beauty Holdings III. Inc., L+500, 0.00% LIBOR Floor, 9/28/2025 6 Month LIBOR Consumer Goods: Non-Durable 4,975 4,719 4,577
Pixelle Specialty Solutions LLC, L+650, 1.00% LIBOR Floor, 10/31/2024 1 Month LIBOR Forest Products & Paper 3,975 3,762 3,816
Polymer Process Holdings, Inc., L+600, 0.00% LIBOR Floor, 5/1/2026 1 Month LIBOR Chemicals, Plastics & Rubber 4,975 4,905 4,726
Woodstream Corp., L+600, 1.00% LIBOR Floor, 5/29/2022 1 Month LIBOR Consumer Goods: Non-Durable 4,982 4,962 4,920
Total Senior Secured First Lien Debt 88,965 85,483
Senior Secured Second Lien Debt
1A Smart Start LLC, L+825, 1.00% LIBOR Floor, 8/21/2022 6 Month LIBOR High Tech Industries 4,000 3,914 3,820
PetroChoice Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023 3 Month LIBOR Chemicals, Plastics & Rubber 5,000 4,933 4,375
Total Senior Secured Second Lien Debt 8,847 8,195
Short Term Investments(c)
First American Treasury Obligations Fund, Class Z Shares, 0.28%(d) 2,180 2,180
Total Short Term Investments 2,180 2,180
TOTAL INVESTMENTS 99,992 95,858

All values are in US Dollars.

a. The 1, 3 and 6 month LIBOR rates were 0.99%, 1.45% and 1.18%, respectively, as of March 31, 2020. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of March 31, 2020, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to March 31, 2020.
b. Represents amortized cost for debt securities and cost for equity investments.
--- ---
c. 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.
--- ---
d. 7-day effective yield as of March 31, 2020.
--- ---

39

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The following table sets forth the individual investments in CION SOF's portfolio as of December 31, 2019:

Portfolio Company Index Rate(a) Industry Principal/Par Amount/Units Cost(b) FairValue
Senior Secured First Lien Debt
Allen Media, LLC, L+650, 1.00% LIBOR Floor, 8/30/2023 3 Month LIBOR Media: Diversified & Production 5,920 5,738 5,979
Analogic Corp., L+600, 1.00% LIBOR Floor, 6/21/2024 1 Month LIBOR Healthcare & Pharmaceuticals 4,923 4,876 4,874
Anthem Sports & Entertainment Inc., L+950, 1.00% LIBOR Floor, 9/9/2024 3 Month LIBOR Media: Diversified & Production 3,978 3,939 3,938
Cadence Aerospace, LLC, L+650, 1.00% LIBOR Floor, 11/14/2023 3 Month LIBOR Aerospace & Defense 4,987 4,892 4,937
Central Security Group, Inc., L+563, 1.00% LIBOR Floor, 10/6/2021 1 Month LIBOR Services: Consumer 4,987 4,876 4,339
CircusTrix Holdings, LLC, L+550, 1.00% LIBOR Floor, 12/16/2021 1 Month LIBOR Hotel, Gaming & Leisure 5,985 5,877 5,865
Extreme Reach, Inc., L+750, 0.00% LIBOR Floor, 3/29/2024 1 Month LIBOR Media: Diversified & Production 4,909 4,839 4,885
Genesis Healthcare, Inc., L+600, 0.50% LIBOR Floor, 3/6/2023 1 Month LIBOR Healthcare & Pharmaceuticals 5,000 4,905 4,913
Jab Wireless, Inc., L+800, 0.00% LIBOR Floor, 5/2/2023 1 Month LIBOR Telecommunications 6,000 6,000 6,000
LAV Gear Holdings, Inc., L+550, 1.00% LIBOR Floor, 10/31/2024 3 Month LIBOR Services: Business 4,987 4,891 4,900
Manna Pro Products, LLC, L+600, 0.00% LIBOR Floor, 12/8/2023 1 Month LIBOR Retail 5,985 5,927 5,925
NewsCycle Solutions, Inc., L+700, 1.00% LIBOR Floor, 12/29/2022 1 Month LIBOR Media: Advertising, Printing & Publishing 4,933 4,886 4,883
PH Beauty Holdings III. Inc., L+500, 0.00% LIBOR Floor, 9/28/2025 1 Month LIBOR Consumer Goods: Non-Durable 4,987 4,722 4,788
Polymer Process Holdings, Inc., L+600, 0.00% LIBOR Floor, 5/1/2026 1 Month LIBOR Chemicals, Plastics & Rubber 4,987 4,914 4,913
Woodstream Corp., L+600, 1.00% LIBOR Floor, 5/29/2022 1 Month LIBOR Consumer Goods: Non-Durable 5,000 4,976 5,000
Total Senior Secured First Lien Debt 76,258 76,139
Senior Secured Second Lien Debt
1A Smart Start LLC, L+825, 1.00% LIBOR Floor, 8/21/2022 1 Month LIBOR High Tech Industries 4,000 3,907 3,940
ABG Intermediate Holdings 2 LLC, L+775, 1.00% LIBOR Floor, 9/29/2025 1 Month LIBOR Retail 3,000 3,005 3,000
PetroChoice Holdings, Inc., L+875, 1.00% LIBOR Floor, 8/21/2023 3 Month LIBOR Chemicals, Plastics & Rubber 5,000 4,928 4,800
STG-Fairway Acquisitions, Inc., L+925, 1.00% LIBOR Floor, 6/30/2023 1 Month LIBOR Services: Business 5,000 4,809 5,000
Total Senior Secured Second Lien Debt 16,649 16,740
Short Term Investments(c)
First American Treasury Obligations Fund, Class Z Shares, 1.49%(d) 2,757 2,757
Total Short Term Investments 2,757 2,757
TOTAL INVESTMENTS 95,664 95,636

All values are in US Dollars.

a. The 1 and 3 month LIBOR rates were 1.76% and 1.91%, respectively, as of December 31, 2019. The actual LIBOR rate for each loan listed may not be the applicable LIBOR rate as of December 31, 2019, as the loan may have been priced or repriced based on a LIBOR rate prior to or subsequent to December 31, 2019.
b. Represents amortized cost for debt securities and cost for equity investments.
--- ---
c. 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.
--- ---
d. 7-day effective yield as of December 31, 2019.
--- ---

40

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

The following tables include certain summarized financial information for CION SOF as of March 31, 2020 and December 31, 2019 and for the three months ended March 31, 2020:

Selected Balance Sheet Information: March 31, 2020 December 31, 2019
Investments, at fair value (amortized cost of 99,992 and 95,664, respectively) 95,858 95,636
Cash and other assets 38 363
Receivable for investments sold and repaid 145 80
Interest receivable on investments 675 727
Total assets 96,716 96,806
Credit facility (net of unamortized debt issuance costs of 1,064 and 1,123, respectively) 63,080 59,579
Other liabilities 2,011 1,495
Total liabilities 65,091 61,074
Members' capital 31,625 35,732
Total liabilities and members' capital 96,716 96,806

All values are in US Dollars.

Selected Statement of Operations Information: Three Months Ended March 31, 2020
Total revenues 2,589
Total expenses 942
Net change in unrealized depreciation on investments (4,107 )
Net decrease in net assets (2,460 )

All values are in US Dollars.

Note 8. Financing Arrangements

The following table presents summary information with respect to the Company’s outstanding financing arrangements as of March 31, 2020:

Financing Arrangement(1) Type of Financing Arrangement Rate Amount Outstanding Amount Available Maturity Date
JPM Credit Facility Term Loan Credit Facility L+3.00% 250,000 25,000 August 24, 2021
UBS Facility Repurchase Agreement L+3.50% 200,000 — May 19, 2020
Citibank Credit Facility Revolving Credit Facility L+2.00% 229,442 120,558 March 30, 2022
MS Credit Facility Revolving Credit Facility L+3.00% 127,417 22,583 December 19, 2022
806,859 168,141

All values are in US Dollars.

(1) See the relevant discussion below for material events subsequent to March 31, 2020.

JPM Credit Facility

On August 26, 2016, 34th Street entered into a senior secured credit facility with JPM. The senior secured credit facility with JPM, or the JPM Credit Facility, provided for borrowings in an aggregate principal amount of $150,000, of which $25,000 may be funded as a revolving credit facility, each subject to conditions described in the JPM Credit Facility. On August 26, 2016, 34th Street drew down $57,000 of borrowings under the JPM Credit Facility. On August 21, 2018, 34th Street drew down $25,577 of additional borrowings under the Amended JPM Credit Facility (as defined below).

On September 30, 2016, July 11, 2017, November 28, 2017 and May 23, 2018, 34th Street amended and restated the JPM Credit Facility, or the Amended JPM Credit Facility, with JPM. Under the Amended JPM Credit Facility entered into on September 30, 2016, the aggregate principal amount available for borrowings was increased from $150,000 to $225,000, of which $25,000 may be funded as a revolving credit facility, subject to conditions described in the Amended JPM Credit Facility. On September 30, 2016, 34th Street drew down $167,423 of additional borrowings under the Amended JPM Credit Facility, a portion of which was used to purchase the portfolio of loans from Credit Suisse Park View BDC, Inc. Under the Amended JPM Credit Facility entered into on July 11, 2017 and November 28, 2017, certain immaterial administrative amendments were made as a result of the termination of AIM as the Company's investment sub-adviser as discussed in Note 1. Under the Amended JPM Credit Facility entered into on May 23, 2018, (i) the aggregate principal amount available for borrowings was increased from $225,000 to $275,000, of which $25,000 may be funded as a revolving credit facility, subject to conditions described in the Amended JPM Credit Facility, (ii) the reinvestment period was extended until August 24, 2020 and (iii) the maturity date was extended to August 24, 2021.

41

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

On May 15, 2020, 34th Street amended and restated the Amended JPM Credit Facility, or the Second Amended JPM Credit Facility, with JPM in order to fully repay all amounts outstanding under the Citibank Credit Facility and the MS Credit Facility (as described below). Under the Second Amended JPM Credit Facility, the aggregate principal amount available for borrowings was increased from $275,000 to $700,000, of which $75,000 may be funded as a revolving credit facility, subject to conditions described in the Second Amended JPM Credit Facility, during the reinvestment period. Under the Second Amended JPM Credit Facility, the reinvestment period was extended until May 15, 2022 and the maturity date was extended to May 15, 2023. Advances under the Second Amended JPM Credit Facility bear interest at a floating rate equal to the three-month LIBOR, plus a spread of 3.25% per year. On May 15, 2020, 34th Street drew down $358,878 of borrowings under the Second Amended JPM Credit Facility.

Advances under the Second Amended JPM Credit Facility bear interest at a floating rate equal to the three-month LIBOR, plus a spread of 3.25% per year, which was increased from 3.00% under the Second Amended JPM Credit Facility. Interest is payable quarterly in arrears. All advances under the Second Amended JPM Credit Facility will mature, and all accrued and unpaid interest thereunder will be due and payable, by no later than May 15, 2023, which was extended from August 24, 2021. 34th Street may prepay advances pursuant to the terms and conditions of the Second Amended JPM Credit Facility, subject to a 1% premium in certain circumstances. In addition, 34th Street will be subject to a non-usage fee of 1.0% per year on the amount, if any, of the aggregate principal amount available under the Second Amended JPM Credit Facility that has not been borrowed during the period from August 23, 2018, and ending on, but excluding, May 15, 2022. The non-usage fees, if any, are payable quarterly in arrears.

As of March 31, 2020 and December 31, 2019, the principal amount outstanding on the Amended JPM Credit Facility was $250,000.

The Company contributed loans and other corporate debt securities to 34th Street in exchange for 100% of the membership interests of 34th Street, and may contribute additional loans and other corporate debt securities to 34th Street in the future. 34th Street’s obligations to JPM under the Amended JPM Credit Facility are secured by a first priority security interest in all of the assets of 34th Street. The obligations of 34th Street under the Amended JPM Credit Facility are non-recourse to the Company, and the Company’s exposure under the Amended JPM Credit Facility is limited to the value of the Company’s investment in 34th Street.

In connection with the Amended JPM Credit Facility, 34th Street has made certain representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar facilities. As of and for the three months ended March 31, 2020, 34th Street was in compliance with all covenants and reporting requirements.

The Company incurred debt issuance costs of $4,052 in connection with obtaining and amending the JPM Credit Facility, which were recorded as a direct reduction to the outstanding balance of the Amended JPM Credit Facility, which is included in the Company’s consolidated balance sheet as of March 31, 2020 and will amortize to interest expense over the term of the Amended JPM Credit Facility. At March 31, 2020, the unamortized portion of the debt issuance costs was $850.

For the three months ended March 31, 2020 and 2019, the components of interest expense, average borrowings, and weighted average interest rate for the Amended JPM Credit Facility were as follows:

Three Months Ended March 31,
2020 2019
Stated interest expense 3,036 3,549
Amortization of deferred financing costs 152 306
Non-usage fee 63 62
Total interest expense 3,251 3,917
Weighted average interest rate(1) 4.90 % 5.78 %
Average borrowings 250,000 250,000

All values are in US Dollars.

(1) Includes the stated interest expense and non-usage fee, if any, on the unused portion of the Amended JPM Credit Facility and is annualized for periods covering less than one year.

UBS Facility

On May 19, 2017, the Company, through two newly-formed, wholly-owned, special-purpose financing subsidiaries, entered into a financing arrangement with UBS pursuant to which up to $125,000 was made available to the Company.

Pursuant to the financing arrangement, assets in the Company's portfolio may be contributed from time to time to Murray Hill Funding II through Murray Hill Funding, LLC, or Murray Hill Funding, each a newly-formed, wholly-owned, special-purpose financing subsidiary of the Company. On May 19, 2017, the Company contributed assets to Murray Hill Funding II. The assets held by Murray Hill Funding II secure the obligations of Murray Hill Funding II under Class A Notes, or the Notes, issued by Murray Hill Funding II. Pursuant to an Indenture, dated May 19, 2017, between Murray Hill Funding II and U.S. Bank National Association, or U.S. Bank, as trustee, or the Indenture, the aggregate principal amount of Notes that may be issued by Murray Hill Funding II from time to time was $192,308. Murray Hill Funding purchased the Notes issued by Murray Hill Funding II at a purchase price equal to their par value. Murray Hill Funding makes capital contributions to Murray Hill Funding II to, among other things, maintain the value of the portfolio of assets held by Murray Hill Funding II.

42

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Principal on the Notes will be due and payable on the stated maturity date of May 19, 2027. Pursuant to the Indenture, Murray Hill Funding II has made certain representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar transactions. The Indenture contains events of default customary for similar transactions, including, without limitation: (a) the failure to make principal payments on the Notes at their stated maturity or any earlier redemption date or to make interest payments on the Notes and such failure is not cured within three business days; (b) the failure to disburse amounts in accordance with the priority of payments and such failure is not cured within three business days; and (c) the occurrence of certain bankruptcy and insolvency events with respect to Murray Hill Funding II or Murray Hill Funding.

Murray Hill Funding, in turn, entered into a repurchase transaction with UBS, pursuant to the terms of a Global Master Repurchase Agreement and the related Annex and Master Confirmation thereto, each dated May 19, 2017, or collectively, the UBS Facility. Pursuant to the UBS Facility, on May 19, 2017 and June 19, 2017, UBS purchased Notes held by Murray Hill Funding for an aggregate purchase price equal to 65% of the principal amount of Notes purchased. Subject to certain conditions, the maximum principal amount of Notes that may be purchased under the UBS Facility was $192,308. Accordingly, the aggregate maximum amount payable to Murray Hill Funding under the UBS Facility would not exceed $125,000. Murray Hill Funding will repurchase the Notes sold to UBS under the UBS Facility by no later than May 19, 2020. The repurchase price paid by Murray Hill Funding to UBS will be equal to the purchase price paid by UBS for the repurchased Notes (giving effect to any reductions resulting from voluntary partial prepayment(s)). If the UBS Facility is accelerated prior to May 19, 2020 due to an event of default or a mandatory or voluntary full payment by Murray Hill Funding, then Murray Hill Funding must pay to UBS a fee equal to the present value of the spread portion of the financing fees that would have been payable to UBS from the date of acceleration through May 19, 2020 had the acceleration not occurred. The financing fee under the UBS Facility is equal to the three-month LIBOR plus a spread of up to 3.50% per year for the relevant period.

On December 1, 2017, Murray Hill Funding II amended and restated the Indenture, or the Amended Indenture, pursuant to which the aggregate principal amount of Notes that may be issued by Murray Hill Funding II was increased from $192,308 to $266,667. Murray Hill Funding will purchase the Notes to be issued by Murray Hill Funding II from time to time. On December 1, 2017, Murray Hill Funding entered into a First Amended and Restated Master Confirmation to the Global Master Repurchase Agreement, or the Amended Master Confirmation, which sets forth the terms of the repurchase transaction between Murray Hill Funding and UBS under the UBS Facility. As part of the Amended Master Confirmation, on December 15, 2017 and April 2, 2018, UBS purchased the increased aggregate principal amount of Notes held by Murray Hill Funding for an aggregate purchase price equal to 75% of the principal amount of Notes issued. As a result of the Amended Master Confirmation, the aggregate maximum amount payable to Murray Hill Funding and made available to the Company under the UBS Facility was increased from $125,000 to $200,000. No other material terms of the UBS Facility were revised in connection with the amended UBS Facility, or the Amended UBS Facility.

UBS may require Murray Hill Funding to post cash collateral if, without limitation, the sum of the market value of the portfolio of assets and the cash and eligible investments held by Murray Hill Funding II, together with any posted cash collateral, is less than the required margin amount under the UBS Facility; provided, however, that Murray Hill Funding will not be required to post cash collateral with UBS until such market value has declined at least 10% from the initial market value of the portfolio assets.

The Company has no contractual obligation to post any such cash collateral or to make any payments to UBS on behalf of Murray Hill Funding. The Company may, but is not obligated to, increase its investment in Murray Hill Funding for the purpose of funding any cash collateral or payment obligations for which Murray Hill Funding becomes obligated in connection with the Amended UBS Facility. The Company’s exposure under the Amended UBS Facility is limited to the value of the Company’s investment in Murray Hill Funding.

Pursuant to the Amended UBS Facility, Murray Hill Funding has made certain representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar transactions. The Amended UBS Facility contains events of default customary for similar financing transactions, including, without limitation: (a) failure to transfer the Notes to UBS on the applicable purchase date or repurchase the Notes from UBS on the applicable repurchase date; (b) failure to pay certain fees and make-whole amounts when due; (c) failure to post cash collateral as required; (d) the occurrence of insolvency events with respect to Murray Hill Funding; and (e) the admission by Murray Hill Funding of its inability to, or its intention not to, perform any of its obligations under the Amended UBS Facility.

Murray Hill Funding paid an upfront fee and incurred certain other customary costs and expenses totaling $2,637 in connection with obtaining the Amended UBS Facility, which were recorded as a direct reduction to the outstanding balance of the Amended UBS Facility, which is included in the Company’s consolidated balance sheets and will amortize to interest expense over the term of the Amended UBS Facility. At March 31, 2020, the unamortized portion of the upfront fee and other expenses was $125.

43

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

As of March 31, 2020, Notes in the aggregate principal amount of $266,667 had been purchased by Murray Hill Funding from Murray Hill Funding II and subsequently sold to UBS under the Amended UBS Facility for aggregate proceeds of $200,000. The carrying amount outstanding under the Amended UBS Facility approximates its fair value. The Company funded each purchase of Notes by Murray Hill Funding through a capital contribution to Murray Hill Funding. As of March 31, 2020, the amount due at maturity under the Amended UBS Facility was $200,000. The Notes issued by Murray Hill Funding II and purchased by Murray Hill Funding eliminate in consolidation on the Company’s consolidated financial statements.

As of March 31, 2020, the fair value of assets held by Murray Hill Funding II was $343,149.

For the three months ended March 31, 2020 and 2019, the components of interest expense, average borrowings, and weighted average interest rate for the Amended UBS Facility were as follows:

Three Months Ended March 31,
2020 2019
Stated interest expense 2,703 3,072
Amortization of deferred financing costs 234 232
Total interest expense 2,937 3,304
Weighted average interest rate(1) 5.35 % 6.14 %
Average borrowings 200,000 200,000

All values are in US Dollars.

(1) Includes the stated interest expense and non-usage fee, if any, on the unused portion of the Amended UBS Facility and is annualized for periods covering less than one year.

Citibank Credit Facility

On March 29, 2017, Flatiron Funding II entered into a senior secured credit facility with Citibank. The senior secured credit facility with Citibank, or the Citibank Credit Facility, provided for a revolving credit facility in an aggregate principal amount of $325,000, subject to compliance with a borrowing base. On July 11, 2017, Flatiron Funding II amended the Citibank Credit Facility, or the Amended Citibank Credit Facility, with Citibank to make certain immaterial administrative amendments as a result of the termination of AIM as the Company's investment sub-adviser as discussed in Note 1.

On March 14, 2019, Flatiron Funding II further amended the Citibank Credit Facility, or the Second Amended Citibank Credit Facility, with Citibank to (i) increase the aggregate principal amount available for borrowings from $325,000 to $350,000, subject to compliance with a borrowing base, (ii) extend the reinvestment period for two years until March 29, 2021 and (iii) extend the maturity date until March 30, 2022.

As of March 31, 2020 and December 31, 2019, the principal amount outstanding on the Second Amended Citibank Credit Facility was $229,442 and $278,542, respectively. On May 15, 2020, Flatiron Funding II repaid all amounts outstanding on the Second Amended Citibank Credit Facility using a portion of the proceeds from the Second Amended JPM Credit Facility.

Advances under the Second Amended Citibank Credit Facility bore interest at a floating rate equal to (1) the higher of (a) the Citibank prime rate, (b) the federal funds rate plus 1.5% or (c) the three-month LIBOR plus 1.0%, plus (2) a spread of 2% per year. In addition, Flatiron Funding II was subject to a non-usage fee of 0.75% per year of the amount of the aggregate principal amount available under the Second Amended Citibank Credit Facility that had not been borrowed. Flatiron Funding II incurred certain customary costs and expenses in connection with obtaining and amending the Citibank Credit Facility.

The Company incurred debt issuance costs of $3,373 in connection with obtaining and amending the Citibank Credit Facility, which were recorded as a direct reduction to the outstanding balance of the Second Amended Citibank Credit Facility, which is included in the Company’s consolidated balance sheets and amortized to interest expense over the term of the Second Amended Citibank Credit Facility. At March 31, 2020, the unamortized portion of the debt issuance costs was $1,379.

Flatiron Funding II’s obligations to Citibank under the Second Amended Citibank Credit Facility were secured by a first priority security interest in all of the assets of Flatiron Funding II. The obligations of Flatiron Funding II under the Second Amended Citibank Credit Facility were non-recourse to the Company, and the Company’s exposure under the Second Amended Citibank Credit Facility was limited to the value of the Company’s investment in Flatiron Funding II.

In connection with the Second Amended Citibank Credit Facility, Flatiron Funding II made certain representations and warranties and was required to comply with various covenants, reporting requirements and other customary requirements for similar facilities. As of and for the three months ended March 31, 2020, Flatiron Funding II was in compliance with all covenants and reporting requirements.

44

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

For the three months ended March 31, 2020 and 2019, the components of interest expense, average borrowings, and weighted average interest rate for the Second Amended Citibank Credit Facility were as follows:

Three Months Ended March 31,
2020 2019
Stated interest expense 2,369 3,184
Non-usage fee 177 115
Amortization of deferred financing costs 172 162
Total interest expense 2,718 3,461
Weighted average interest rate(1) 3.91 % 4.92 %
Average borrowings 256,609 268,497

All values are in US Dollars.

(1) Includes the stated interest expense and non-usage fee, if any, on the unused portion of the Second Amended Citibank Credit Facility and is annualized for periods covering less than one year.

MS Credit Facility

On December 19, 2017, 33rd Street entered into a senior secured credit facility, or the MS Credit Facility, with MS. The MS Credit Facility provided for a revolving credit facility in an aggregate principal amount of up to $200,000, subject to compliance with a borrowing base.

On July 9, 2018, 33rd Street amended and restated the MS Credit Facility to make certain immaterial administrative amendments. 33rd Street further amended and restated the MS Credit Facility, or the Amended MS Credit Facility, with MS on December 18, 2018. Pursuant to the Amended MS Credit Facility, 33rd Street could have prepaid advances pursuant to the terms and conditions of the loan and servicing agreement, subject to a 1% premium if the amount of the Amended MS Credit Facility was reduced or terminated on or prior to December 19, 2020.

Pursuant to the terms of the loan and servicing agreement, on March 15, 2019, 33rd Street reduced the aggregate principal amount available for borrowings under the Amended MS Credit Facility from $200,000 to $150,000.

On June 5, 2018, June 12, 2018, June 28, 2018, March 11, 2020 and March 23, 2020, 33rd Street drew down $25,000, $75,000, $50,000, $10,000 and $4,917 of borrowings under the Amended MS Credit Facility, respectively. On May 8, 2019, May 23, 2019, July 29, 2019 and November 6, 2019, 33rd Street repaid $20,000, $5,000, $10,000 and $2,500 of borrowings under the Amended MS Credit Facility, respectively. As of March 31, 2020 and December 31, 2019, the principal amount outstanding on the Amended MS Credit Facility was $127,417 and $112,500, respectively. On May 15, 2020, 33rd Street repaid all amounts outstanding on the Amended MS Credit Facility using a portion of the proceeds from the Second Amended JPM Credit Facility.

Advances under the Amended MS Credit Facility were available through December 19, 2020 and bore interest at a floating rate equal to the three-month LIBOR, plus a spread of 3.0% per year through December 19, 2020. All advances under the Amended MS Credit Facility and all accrued and unpaid interest thereunder were due and payable by no later than December 19, 2022. 33rd Street incurred certain customary costs and expenses in connection with obtaining and amending the MS Credit Facility.

In connection with the Amended MS Credit Facility, 33rd Street made certain representations and warranties and was required to comply with various covenants, reporting requirements and other customary requirements for similar facilities. The Amended MS Credit Facility contained customary events of default for similar financing transactions.

33rd Street's obligations to MS under the Amended MS Credit Facility were secured by a first priority security interest in all of the assets of 33rd Street. The obligations of 33rd Street under the Amended MS Credit Facility were non-recourse to the Company, and the Company's exposure under the Amended MS Credit Facility was limited to the value of the Company's investment in 33rd Street. 33rd Street appointed CIM to manage its portfolio.

33rd Street paid an upfront fee and incurred certain other customary costs and expenses totaling $2,591 in connection with obtaining and amending the MS Credit Facility, which the Company initially recorded as prepaid expenses and other assets on the Company’s consolidated balance sheets and amortized to interest expense over the term of the Amended MS Credit Facility. On June 5, 2018, unamortized upfront fees were recorded as a direct reduction to the outstanding balance of the Amended MS Credit Facility, which is included in the Company’s consolidated balance sheet as of March 31, 2020. At March 31, 2020, the unamortized portion of the upfront fee and other expenses was $1,415.

45

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

For the three months ended March 31, 2020 and 2019, the components of interest expense, average borrowings, and weighted average interest rate for the Amended MS Credit Facility were as follows:

Three Months Ended March 31,
2020 2019
Stated interest expense 1,362 2,154
Amortization of deferred financing costs 129 128
Non-usage fee 67 76
Total interest expense 1,558 2,358
Weighted average interest rate(1) 4.90 % 5.95
Average borrowings 115,294 150,000

All values are in US Dollars.

(1) Includes the stated interest expense and non-usage fee, if any, on the unused portion of the Amended MS Credit Facility and is annualized for periods covering less than one year.

46

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(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 as of March 31, 2020 and December 31, 2019, according to the fair value hierarchy:

March 31, 2020(1) December 31, 2019(2)
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
Senior secured first lien debt — — 1,274,325 1,274,325 — — 1,351,767 1,351,767
Senior secured second lien debt — — 201,165 201,165 — — 248,253 248,253
Collateralized securities and structured products - debt — — — — — — 7,212 7,212
Collateralized securities and structured products - equity — — 10,972 10,972 — — 14,182 14,182
Unsecured debt — — 4,800 4,800 — — 4,900 4,900
Equity 4,690 — 46,455 51,145 6,842 — 56,886 63,728
Short term investments 56,657 — — 56,657 29,527 — — 29,527
Total Investments 61,347 — 1,537,717 1,599,064 36,369 — 1,683,200 1,719,569

All values are in US Dollars.

(1) Excludes the Company's $27,672 investment in CION SOF and $10,884 investment in BCP Great Lakes Fund LP, which were measured at NAV.
(2) Excludes the Company's $31,265 investment in CION SOF and $14,238 investment in BCP Great Lakes Fund LP, which were measured at NAV.
--- ---

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, 2020 and 2019:

Three Months EndedMarch 31, 2020
Senior Secured First Lien Debt Senior Secured Second Lien Debt Collateralized Securities and Structured Products - Debt Collateralized Securities and Structured Products - Equity Unsecured Debt Equity Total
Beginning balance, December 31, 2019 1,351,767 248,253 7,212 14,182 4,900 56,886 1,683,200
Investments purchased 177,154 354 — — — 611 178,119
Net realized (loss) gain (4,195 ) 1 — — — — (4,194 )
Net change in unrealized depreciation (85,030 ) (17,215 ) — (3,020 ) (104 ) (11,042 ) (116,411 )
Accretion of discount 4,689 488 — — 4 — 5,181
Sales and principal repayments (170,060 ) (30,716 ) (7,212 ) (190 ) — — (208,178 )
Ending balance, March 31, 2020 1,274,325 201,165 — 10,972 4,800 46,455 1,537,717
Change in net unrealized depreciation on investments still held as of March 31, 2020(1) (81,934 ) (16,670 ) — (3,020 ) (104 ) (11,042 ) (112,770 )

All values are in US Dollars.

(1) Included in net change in unrealized (depreciation) appreciation on investments in the consolidated statements of operations.

47

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Three Months EndedMarch 31, 2019
Senior Secured First Lien Debt Senior Secured Second Lien Debt Collateralized Securities and Structured Products - Debt Collateralized Securities and Structured Products - Equity Equity Total
Beginning balance, December 31, 2018 1,462,989 323,365 15,193 14,827 29,076 1,845,450
Investments purchased 134,777 9,824 — — 4,254 148,855
Net realized loss (895 ) (13 ) (49 ) — — (957 )
Net change in unrealized (depreciation) appreciation (2,837 ) (2,471 ) (114 ) 755 (346 ) (5,013 )
Accretion of discount 2,663 354 — — — 3,017
Sales and principal repayments (183,229 ) (20,867 ) — (107 ) — (204,203 )
Ending balance, March 31, 2019 1,413,468 310,192 15,030 15,475 32,984 1,787,149
Change in net unrealized (depreciation) appreciation on investments still held as of March 31, 2019(1) (3,537 ) (2,397 ) (114 ) 755 (346 ) (5,639 )

All values are in US Dollars.

(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, 2020 and December 31, 2019 were as follows:

March 31, 2020
Fair Value Valuation Techniques/<br><br>Methodologies Unobservable<br><br>Inputs Range Weighted Average(1)
Senior secured first lien debt 1,166,046 Discounted Cash Flow Discount Rates 6.3% — 23.1% 10.9%
47,442 Broker Quotes Broker Quotes N/A N/A
34,547 Market Comparable Approach EBITDA Multiple 2.13x — 7.50x 4.79x
25,886 Revenue Multiple 0.28x — 2.72x 1.87x
404 Other(2) Other(2) N/A N/A
Senior secured second lien debt 190,167 Discounted Cash Flow Discount Rates 9.5% — 17.7% 12.4%
9,814 Broker Quotes Broker Quotes N/A N/A
1,184 Market Comparable Approach EBITDA Multiple 6.50x — 9.25x 9.25x
Collateralized securities and structured products - equity 8,884 Discounted Cash Flow Discount Rates 15.5% — 18.0% 15.7%
2,088 Other(2) Other(2) N/A N/A
Unsecured debt 4,800 Discounted Cash Flow Discount Rates 16.1% N/A
Equity 25,817 Market Comparable Approach EBITDA Multiple 3.25x — 9.50x 5.98x
6,661 Revenue Multiple 0.25x — 1.63x 0.48x
13,877 Discounted Cash flow Discount Rates 21.6% N/A
100 Options Pricing Model Expected Volatility 50.0% — 96.0% 64.6%
Total 1,537,717

All values are in US Dollars.

(1) Weighted average amounts are based on the estimated fair values.
(2) Fair value based on expected outcome of proposed corporate transactions and/or other factors.
--- ---

48

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

December 31, 2019
Fair Value Valuation Techniques/<br><br>Methodologies Unobservable<br><br>Inputs Range Weighted Average(1)
Senior secured first lien debt 1,115,676 Discounted Cash Flow Discount Rates 5.0% - 24.7% 10.0%
225,310 Broker Quotes Broker Quotes N/A N/A
7,591 Market Comparable Approach EBITDA Multiple 5.25x - 9.00x 7.49x
3,190 Other(2) Other(2) N/A N/A
Senior secured second lien debt 139,363 Discounted Cash Flow Discount Rates 9.0% - 14.9% 11.0%
107,816 Broker Quotes Broker Quotes N/A N/A
1,074 Market Comparable Approach EBITDA Multiple 5.25x - 7.55x 7.55x
Collateralized securities and structured products - debt 7,212 Other(2) Other(2) N/A N/A
Collateralized securities and structured products - equity 11,274 Discounted Cash Flow Discount Rates 12.5% - 16.0% 13.0%
2,908 Other(2) Other(2) N/A N/A
Unsecured debt 4,900 Discounted Cash Flow Discount Rates 15.5% N/A
Equity 33,230 Market Comparable Approach EBITDA Multiple 4.50x - 13.00x 7.18x
9,456 Revenue Multiple 0.30x - 3.50x 0.77x
13,270 Discounted Cash Flow Discount Rates 21.6% N/A
914 Broker Quotes Broker Quotes N/A N/A
16 Options Pricing Model Expected Volatility 60.0% - 92.0% 61.7%
Total 1,683,200

All values are in US Dollars.

(1) Weighted average amounts are based on the estimated fair values.
(2) Fair value based on expected outcome of proposed corporate transactions and/or other factors.
--- ---

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 equity are discount rates, EBITDA multiples, revenue multiples, broker quotes and expected volatility. 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 EBITDA multiples, revenue multiples, expected proceeds from proposed corporate transactions, broker quotes and expected volatility would result in a significantly higher or lower fair value measurement, respectively.

49

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Note 10. General and Administrative Expense

General and administrative expense consisted of the following items for the three months ended March 31, 2020 and 2019:

Three Months Ended March 31,
2020 2019
Transfer agent expense 395 265
Professional fees 297 553
Valuation expense 276 115
Accounting and administration costs 146 15
Director fees and expenses 116 121
Insurance expense 108 101
Dues and subscriptions 82 135
Printing and marketing expense 15 22
Due diligence fees — 61
Other expenses 35 1
Total general and administrative expense 1,470 1,389

All values are in US Dollars.

Note 11. Commitments and Contingencies

The Company entered into certain contracts with related and 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.

50

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

As of March 31, 2020 and December 31, 2019, the Company’s unfunded commitments were as follows:

Unfunded Commitments March 31, 2020(1) December 31, 2019(1)
Palmetto Solar, LLC 15,021 19,142
Mimeo.com, Inc. 10,000 11,500
West Dermatology Management Holdings, LLC 8,840 —
Independent Pet Partners Intermediate Holdings, LLC 7,363 7,852
Volta Charging, LLC 5,850 10,000
Manna Pro Products, LLC 4,413 5,528
Foundation Consumer Healthcare, LLC 4,211 4,211
BCP Great Lakes Fund LP 2,924 792
CircusTrix Holdings, LLC 2,898 2,892
Lift Brands, Inc. 2,500 3,950
Coyote Buyer, LLC 2,250 —
Moss Holding Company 2,232 2,232
Echo US Holdings, LLC 2,037 2,586
Adapt Laser Acquisition, Inc. 2,000 2,000
Anthem Sports & Entertainment Inc. 1,333 1,333
Teladoc, Inc. 1,250 1,250
LAV Gear Holdings, Inc. 864 864
AMCP Staffing Intermediate Holdings III, LLC 603 1,059
American Media, Inc. 170 128
Instant Web, LLC — 2,704
Extreme Reach, Inc. — 1,744
Adams Publishing Group, LLC — 1,600
Country Fresh Holdings, LLC — 327
Total 76,759 83,694

All values are in US Dollars.

(1) Unless otherwise noted, the funding criteria for these unfunded commitments had not been met at the date indicated.

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, proceeds from borrowings, 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, 2020 and December 31, 2019, refer to the table above and the consolidated schedules of investments. As of May 13, 2020, the Company was committed, upon the satisfaction of certain conditions, to fund an additional $68,119.

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 financing arrangements and/or cash flows from operations). The Company will not fund its unfunded commitments from future net proceeds generated by securities offerings, if any. 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.

As of March 31, 2020, no contingencies have been recorded on the Company’s consolidated financial statements as a result of COVID-19, however as the global pandemic continues and the economic implications worsen, it may have long-term impacts on the Company’s financial condition, results of operations, and cash flows. Refer to Note 2 for a further discussion of COVID-19.

51

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

Note 12. Fee Income

Fee income consists of amendment fees and capital structuring and other fees. The following table summarizes the Company’s fee income for the three months ended March 31, 2020 and 2019:

Three Months EndedMarch 31,
2020 2019
Amendment fees 489 298
Capital structuring and other fees 115 —
Total 604 298

All values are in US Dollars.

Income from all fees was non-recurring.

52

CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(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, 2020 and 2019:

Three Months EndedMarch 31,
2020 2019
Per share data:(1)
Net asset value at beginning of period 8.40 8.69
Results of operations:
Net investment income 0.19 0.19
Net realized and change in unrealized losses(2) (1.12 ) (0.05 )
Net (decrease) increase in net assets resulting from operations(2) (0.93 ) 0.14
Shareholder distributions:
Distributions from net investment income (0.18 ) (0.18 )
Net decrease in net assets from shareholders' distributions (0.18 ) (0.18 )
Capital share transactions:
Issuance of common stock above net asset value(3) — —
Repurchases of common stock(4) — —
Net increase in net assets resulting from capital share transactions — —
Net asset value at end of period 7.29 8.65
Shares of common stock outstanding at end of period 113,313,249 113,401,873
Total investment return-net asset value(5) (11.25 )% 1.68 %
Net assets at beginning of period 952,563 979,271
Net assets at end of period 825,858 981,135
Average net assets 917,565 987,393
Ratio/Supplemental data:
Ratio of net investment income to average net assets(6) 2.36 % 2.18 %
Ratio of gross operating expenses to average net assets(6)(7) 2.62 % 3.00 %
Ratio of expenses to average net assets(6) 2.62 % 3.00 %
Portfolio turnover rate(8) 10.53 % 7.92 %
Asset coverage ratio(9) 2.02 2.11

All values are in US Dollars.

(1) The per share data for the three months ended March 31, 2020 and 2019 was derived by using the weighted average shares of common stock outstanding during each period.
(2) The amount shown for net realized loss and net change in unrealized depreciation 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 (decrease) increase in net assets resulting from operations in this schedule may vary from the consolidated statements of operations.
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CĪON Investment Corporation

Notes to Consolidated Financial Statements (unaudited)

March 31, 2020

(in thousands, except share and per share amounts)

(3) The continuous issuance of shares of common stock may have caused 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, 2019.
(4) 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, 2020 and 2019.
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(5) 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.
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(6) Ratio is not annualized.
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(7) Ratio of gross operating expenses to average net assets does not include expense support provided by CIM, if any.
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(8) 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.
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(9) 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.
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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, 2019. 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, including our and their ability to achieve our respective objectives as a result of COVID-19;
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• the impact of the investments that we expect to make;
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• the ability of our portfolio companies to achieve their objectives;
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• our current and expected financings and investments;
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• the adequacy of our cash resources, financing sources and working capital;
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• the use of borrowed money to finance a portion of our investments;
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• the timing of cash flows, if any, from the operations of our portfolio companies;
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• our contractual arrangements and relationships with third parties;
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• the actual and potential conflicts of interest with CIM and Apollo and their respective affiliates;
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• the ability of CIM's and AIM's investment professionals to locate suitable investments for us and the ability of CIM to monitor and administer our investments;
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• the ability of CIM and its affiliates to attract and retain highly talented professionals;
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• the dependence of our future success on the general economy and its impact on the industries in which we invest, including COVID-19 and the related economic disruptions caused thereby;
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• the effects of a changing interest rate environment;
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• our ability to source favorable private investments;
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• our tax status;
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• the effect of changes to tax legislation and our tax position;
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• the tax status of the companies in which we invest; and
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• the timing and amount of distributions and dividends from the companies in which we invest.
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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, pandemics, or natural disasters; and
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• future changes in laws or regulations and conditions in our operating areas.
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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 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, unsecured debt and equity, 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 equity interests in the form of common or preferred stock 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. Pursuant to an investment advisory agreement with us, CIM oversees the management of our activities and is responsible for making investment decisions for our portfolio. On November 5, 2019, our board of directors, including a majority of directors who are not interested persons, approved the renewal of the investment advisory agreement with CIM for a period of twelve months commencing December 17, 2019. We and CIM previously engaged AIM to act as our investment sub-adviser.

On July 11, 2017, the members of CIM entered into the Third Amended CIM LLC Agreement for the purpose of creating a joint venture between AIM and CIG. Under the Third Amended CIM LLC Agreement, AIM became a member of CIM and was issued a newly-created class of membership interests in CIM pursuant to which AIM, among other things, shares in the profits, losses, distributions and expenses of CIM with the other members in accordance with the terms of the Third Amended CIM LLC Agreement, which results in CIG and AIM each owning a 50% economic interest in CIM.

On July 10, 2017, our independent directors unanimously approved the termination of the investment sub-advisory agreement with AIM, effective as of July 11, 2017, as part of the new and ongoing relationship among us, CIM and AIM. Although the investment sub-advisory agreement and AIM's engagement as our investment sub-adviser were terminated, AIM's investment professionals continue to perform certain services for CIM and us, including, without limitation, identifying investment opportunities for approval by CIM's investment committee. AIM is not paid a separate fee in exchange for such services, but is entitled to receive distributions as a member of CIM as described above.

On December 4, 2017, the members of CIM entered into the Fourth Amended CIM LLC Agreement. Under the Fourth Amended CIM LLC Agreement, AIM’s investment professionals perform certain services for CIM, which include, among other services, (i) assistance with identifying and providing information about potential investment opportunities for approval by CIM’s investment committee; and (ii) providing (a) trade and settlement support; (b) portfolio and cash reconciliation; (c) market pipeline information regarding syndicated deals, in each case, as reasonably requested by CIM; and (d) monthly valuation reports and support for all broker-quoted investments. All of our investment decisions are the sole responsibility of, and are made at the sole discretion of, CIM's investment committee, which consists entirely of CIG personnel.

We seek to meet our investment objective by utilizing the experienced management team of CIM, which includes its access to the relationships and human capital of its affiliates in sourcing, evaluating and structuring transactions, as well as monitoring and servicing our investments. 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.

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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 and capital structuring 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 subordinated incentive fees on income under the investment advisory agreement and interest expense on our financing arrangements. Our investment advisory fees compensate CIM for its work in identifying, evaluating, negotiating, executing, monitoring and servicing our investments. We bear all other expenses of our operations and transactions.

Recent Developments - COVID-19

The rapid spread of COVID-19, and associated impacts on the U.S. and global economies and the financial and credit markets, has negatively impacted, and is likely to continue to negatively impact, our business operations and the business operations of some of our portfolio companies. We cannot at this time fully predict the impact of COVID-19 on our business or the business of our portfolio companies, its duration or magnitude or the extent to which it will negatively impact our portfolio companies’ operating results or our own results of operations or financial condition, including, without limitation, our ability to pay distributions. We expect that certain of our portfolio companies will continue to experience economic distress for the foreseeable future and may significantly limit business operations if subjected to prolonged economic distress. These developments could result in a decrease in the value of our investments.

COVID-19 has already had adverse effects on our investment income and we expect that such adverse effects will continue for some time. These adverse effects may require us to restructure certain of our investments, which could result in further reductions to our investment income or in impairments on our investments. In addition, disruptions in the capital markets have resulted in illiquidity in certain market areas. These market disruptions and illiquidity are likely to have an adverse effect on our business, financial condition, results of operations and cash flows. Unfavorable economic conditions caused by COVID-19 can also be expected to increase our funding costs and limit our access to the capital markets. These events have limited our investment originations, which is likely to continue for the immediate future, and have also had a material negative impact on our operating results.

We will continue to carefully monitor the impact of COVID-19 on our business and the business of our portfolio companies. Because the full effects of COVID-19 are not capable of being known at this time, we cannot estimate the impacts of COVID-19 on our future financial condition, results of operations or cash flows, including its effects on us with respect to our compliance with covenants in our loan facilities with lenders. We do, however, expect that it will continue to have a negative impact on our business and the financial condition of our portfolio companies.

Portfolio Investment Activity for the Three Months Ended March 31, 2020 and 2019

The following table summarizes our investment activity, excluding short term investments and PIK securities, for the three months ended March 31, 2020 and 2019:

Three Months EndedMarch 31,
Net Investment Activity 2020 2019
Purchases and drawdowns
Senior secured first lien debt 175,543 134,130
Senior secured second lien debt — 9,824
Equity 88 1,691
Sales and principal repayments (210,398 ) (204,203 )
Net portfolio activity (34,767 ) (58,558 )

All values are in US Dollars.

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The following tables summarize the composition of our investment portfolio at amortized cost and fair value as of March 31, 2020 and December 31, 2019:

March 31, 2020
Investments Cost(1) Investments FairValue Percentage of<br><br>Investment<br><br>Portfolio
Senior secured first lien debt 1,396,530 1,274,325 80.6 %
Senior secured second lien debt 234,407 201,165 12.7 %
Collateralized securities and structured products - equity 16,286 10,972 0.7 %
Unsecured debt 4,905 4,800 0.3 %
Equity 114,216 89,701 5.7 %
Subtotal/total percentage 1,766,344 1,580,963 100.0 %
Short term investments(2) 56,657 56,657
Total investments 1,823,001 1,637,620
Number of portfolio companies 134
Average annual EBITDA of portfolio companies 78.8 million
Median annual EBITDA of portfolio companies 54.6 million
Purchased at a weighted average price of par 97.96 %
Gross annual portfolio yield based upon the purchase price(3) 8.52 %

All values are in US Dollars.

(1) Represents amortized cost for debt investments and cost for equity investments. 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.
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(3) The gross annual 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 and does not consider the cost of leverage.
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December 31, 2019
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Investments Cost(1) Investments FairValue Percentage of<br><br>Investment<br><br>Portfolio
Senior secured first lien debt 1,388,942 1,351,767 77.9 %
Senior secured second lien debt 264,280 248,253 14.3 %
Collateralized securities and structured products - debt 7,212 7,212 0.4 %
Collateralized securities and structured products - equity 16,476 14,182 0.8 %
Unsecured debt 4,901 4,900 0.3 %
Equity 115,738 109,231 6.3 %
Subtotal/total percentage 1,797,549 1,735,545 100.0 %
Short term investments(2) 29,527 29,527
Total investments 1,827,076 1,765,072
Number of portfolio companies 136
Average annual EBITDA of portfolio companies 81.7 million
Median annual EBITDA of portfolio companies 56.1 million
Purchased at a weighted average price of par 97.68 %
Gross annual portfolio yield based upon the purchase price(3) 9.33 %

All values are in US Dollars.

(1) Represents amortized cost for debt investments and cost for equity investments. 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.
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(3) The gross annual 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 and does not consider the cost of leverage.

The following table summarizes the composition of our investment portfolio by the type of interest rate as of March 31, 2020 and December 31, 2019, excluding short term investments of $56,657 and $29,527, respectively:

March 31, 2020 December 31, 2019
Interest Rate Allocation Investments Cost Investments Fair Value Percentage of<br><br>Investment<br><br>Portfolio Investments Cost Investments Fair Value Percentage of<br><br>Investment<br><br>Portfolio
Floating interest rate investments 1,604,188 1,451,604 91.8 % 1,648,380 1,594,594 91.8 %
Fixed interest rate investments 79,636 70,526 4.5 % 66,460 65,233 3.8 %
Non-income producing equity 51,888 32,768 2.1 % 51,887 45,213 2.6 %
Other income producing investments 30,632 26,065 1.6 % 30,822 30,505 1.8 %
Total investments 1,766,344 1,580,963 100.0 % 1,797,549 1,735,545 100.0 %

All values are in US Dollars.

The following table shows the composition of our investment portfolio by industry classification and the percentage, by fair value, of the total assets in such industries as of March 31, 2020 and December 31, 2019:

March 31, 2020 December 31, 2019
Industry Classification Investments Fair Value Percentage of<br><br>Investment Portfolio Investments Fair Value Percentage of<br><br>Investment Portfolio
Healthcare & Pharmaceuticals 286,586 18.1 % 294,947 17.0 %
Services: Business 171,713 10.9 % 191,126 11.0 %
Media: Diversified & Production 132,468 8.4 % 206,159 11.9 %
Chemicals, Plastics & Rubber 121,045 7.7 % 102,906 5.9 %
Media: Advertising, Printing & Publishing 115,946 7.3 % 120,810 7.0 %
Services: Consumer 86,297 5.5 % 94,058 5.4 %
Capital Equipment 78,316 4.9 % 73,586 4.2 %
High Tech Industries 65,754 4.2 % 60,197 3.5 %
Telecommunications 62,424 3.9 % 61,577 3.6 %
Beverage, Food & Tobacco 62,308 3.9 % 68,440 3.9 %
Retail 60,952 3.9 % 53,599 3.1 %
Diversified Financials 49,528 3.1 % 66,897 3.9 %
Banking, Finance, Insurance & Real Estate 39,738 2.5 % 62,738 3.6 %
Construction & Building 35,871 2.3 % 37,096 2.1 %
Energy: Oil & Gas 35,869 2.3 % 48,742 2.8 %
Consumer Goods: Non-Durable 33,156 2.1 % 33,609 1.9 %
Aerospace & Defense 29,741 1.9 % 30,378 1.8 %
Consumer Goods: Durable 29,081 1.8 % 31,705 1.8 %
Forest Products & Paper 19,818 1.2 % 24,217 1.4 %
Metals & Mining 19,437 1.2 % 10,373 0.6 %
Hotel, Gaming & Leisure 18,694 1.2 % 25,081 1.4 %
Transportation: Cargo 18,391 1.2 % 27,291 1.6 %
Automotive 7,830 0.5 % 10,013 0.6 %
Subtotal/total percentage 1,580,963 100.0 % 1,735,545 100.0 %
Short term investments 56,657 29,527
Total investments 1,637,620 1,765,072

All values are in US Dollars.

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Our investment portfolio may contain senior secured investments that are in the form of lines of credit, delayed draw term loans, 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, 2020 and December 31, 2019, our unfunded commitments amounted to $76,759 and $83,694, respectively. As of May 13, 2020, our unfunded commitments amounted to $68,119. Since these commitments may expire without being drawn upon, unfunded commitments do not necessarily represent future cash requirements or future earning assets for us. Refer to the section “Commitments and Contingencies and Off-Balance Sheet Arrangements” for further details on our unfunded commitments.

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 Description
1 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 based on the 1 to 5 investment rating scale at fair value as of March 31, 2020 and December 31, 2019, excluding short term investments of $56,657 and $29,527, respectively:

March 31, 2020 December 31, 2019
Investment Rating InvestmentsFair Value Percentage of<br><br>Investment Portfolio InvestmentsFair Value Percentage of<br><br>Investment Portfolio
1 25,970 1.7 % 154,264 8.9 %
2 1,241,913 78.6 % 1,278,576 73.7 %
3 228,229 14.4 % 282,140 16.3 %
4 46,328 2.9 % 16,463 0.9 %
5 38,523 2.4 % 4,102 0.2 %
1,580,963 100.0 % 1,735,545 100.0 %

All values are in US Dollars.

The amount of the investment portfolio in each rating category may vary substantially from period to period resulting primarily from changes in the composition of such 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.

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Current Investment Portfolio

The following table summarizes the composition of our investment portfolio at fair value as of May 13, 2020:

Investments FairValue Percentage of<br><br>Investment<br><br>Portfolio
Senior secured first lien debt 1,264,499 80.5 %
Senior secured second lien debt 199,827 12.7 %
Collateralized securities and structured products - equity 10,942 0.7 %
Unsecured debt 4,800 0.3 %
Equity 91,430 5.8 %
Subtotal/total percentage 1,571,498 100.0 %
Short term investments(2) 55,579
Total investments 1,627,077
Number of portfolio companies 134
Average annual EBITDA of portfolio companies 79.3 million
Median annual EBITDA of portfolio companies 54.6 million
Purchased at a weighted average price of par 97.66 %
Gross annual portfolio yield based upon the purchase price(2) 8.58 %

All values are in US Dollars.

(1) 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.
(2) The gross annual 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 and does not consider the cost of leverage.
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Results of Operations for the Three Months Ended March 31, 2020 and 2019

Our results of operations for the three months ended March 31, 2020 and 2019 were as follows:

Three Months EndedMarch 31,
2020 2019
Investment income 45,748 51,171
Net operating expenses 24,087 29,632
Net investment income 21,661 21,539
Net realized loss on investments and foreign currency (4,196 ) (960 )
Net change in unrealized depreciation on investments (123,377 ) (4,050 )
Net change in unrealized depreciation on foreign currency translation — (113 )
Net (decrease) increase in net assets resulting from operations (105,912 ) 16,416

All values are in US Dollars.

Investment Income

For the three months ended March 31, 2020 and 2019, we generated investment income of $45,748 and $51,171, respectively, consisting primarily of interest income on investments in senior secured debt, collateralized securities and structured products, and unsecured debt of 136 and 155 portfolio companies held during each respective period. Our average investment portfolio size, excluding our short term investments, decreased $165,850, from $1,824,104 for the three months ended March 31, 2019 to $1,658,254 for the three months ended March 31, 2020, as (i) the non-income producing equity portion of our portfolio increased from 1.4% as of March 31, 2019 to 2.1% as of March 31, 2020 and (ii) the size of our investment portfolio as a whole decreased. COVID-19 could cause liquidity issues at our portfolio companies, which could restrict their ability to make cash interest payments to us. Additionally, we may experience full or partial losses on our investments, which may ultimately reduce our investment income in future periods.

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Operating Expenses

The composition of our operating expenses for the three months ended March 31, 2020 and 2019 was as follows:

Three Months EndedMarch 31,
2020 2019
Management fees 8,451 9,331
Administrative services expense 394 497
Subordinated incentive fee on income 3,308 5,375
General and administrative 1,470 1,389
Interest expense 10,464 13,040
Total operating expenses 24,087 29,632

All values are in US Dollars.

The decrease in interest expense was primarily the result of lower LIBOR rates during the three months ended March 31, 2020 as compared to the three months ended March 31, 2019. The decrease in interest expense was also the result of lower average borrowings on our financing arrangements during the three months ended March 31, 2020 as compared to the three months ended March 31, 2019, which also resulted in a decrease in total assets and a decrease in management fees during the three months ended March 31, 2020.

The composition of our general and administrative expenses for the three months ended March 31, 2020 and 2019 was as follows:

Three Months EndedMarch 31,
2020 2019
Transfer agent expense 395 265
Professional fees 297 553
Valuation expense 276 115
Accounting and administration costs 146 15
Director fees and expenses 116 121
Insurance expense 108 101
Dues and subscriptions 82 135
Printing and marketing expense 15 22
Due diligence fees — 61
Other expenses 35 1
Total general and administrative expense 1,470 1,389

All values are in US Dollars.

Net Investment Income

Our net investment income totaled $21,661 and $21,539 for the three months ended March 31, 2020 and 2019, respectively. A decrease in investment income during the three months ended March 31, 2020 as compared to the three months ended March 31, 2019 was offset by a decrease in operating expenses during the same period.

Net Realized Loss on Investments and Foreign Currency

Our net realized loss on investments and foreign currency totaled $(4,196) and $(960) for the three months ended March 31, 2020 and 2019, respectively. This change was driven primarily by realized losses on the liquidation of certain portfolio companies during the three months ended March 31, 2020 as compared to the three months ended March 31, 2019. COVID-19 may cause us to experience full or partial losses on our investments, which may result in realized losses upon the exit of our investments.

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Net Change in Unrealized Depreciation on Investments

The net change in unrealized depreciation on our investments totaled $(123,377) and $(4,050) for the three months ended March 31, 2020 and 2019, respectively. This change was driven primarily by the outbreak and spread of COVID-19 around the world during the three months ended March 31, 2020, which caused significant uncertainty and volatility in the U.S. and global economies as well as in the financial and credit markets. To the extent that the credit risk of our portfolio companies increases as a result of financial impacts due to COVID-19, we may incur additional unrealized depreciation in future periods.

Net Change in Unrealized Depreciation on Foreign Currency Translation

The net change in unrealized depreciation on foreign currency translation totaled $0 and $(113) for the three months ended March 31, 2020 and 2019, respectively. This depreciation was driven primarily by unfavorable changes in foreign currency exchange rates around March 31, 2019.

Net (Decrease) Increase in Net Assets Resulting from Operations

For the three months ended March 31, 2020 and 2019, we recorded a net (decrease) increase in net assets resulting from operations of $(105,912) and $16,416, respectively, as a result of our operating activity for the respective periods. The decrease was driven primarily by the outbreak and spread of COVID-19 around the world during the three months ended March 31, 2020, which caused significant uncertainty and volatility in the U.S. and global economies as well as in the financial and credit markets.

This “Results of Operations” discussion should also be read in conjunction with “Recent Developments - COVID-19” above.

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

Our net asset value per share was $7.29 and $8.40 on March 31, 2020 and December 31, 2019, 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, 2020, and (iii) the assumed reinvestment of those distributions in accordance with our distribution reinvestment plan then in effect, the total investment return-net asset value was (11.25)% for the three-month period ended March 31, 2020. 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 excluding sales load) have seen an annualized return of 5.24% and a cumulative total return of 45.13% through March 31, 2020 (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 3.73% and a cumulative total return of 30.62% through March 31, 2020. 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 2.12% and a cumulative total return of 16.51%. 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 3.56% and a cumulative total return of 29.02% over the same period.

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(1) Cumulative performance: December 17, 2012 to March 31, 2020

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.

Financial Condition, Liquidity and Capital Resources

We generate cash primarily from cash flows from interest, fees and dividends earned from our investments as well as principal repayments and proceeds from sales of our investments. We also employ leverage to seek to enhance our returns as market conditions permit and at the discretion of CIM. On March 23, 2018, an amendment to Section 61(a) of the 1940 Act was signed into law to permit BDCs to reduce the minimum "asset coverage" ratio from 200% to 150% and, as a result, to potentially increase the ratio of a BDC's debt to equity from a maximum of 1-to-1 to a maximum of 2-to-1, so long as certain approval and disclosure requirements are satisfied. We currently have not determined whether to seek to utilize such additional leverage. We generated cash from the net proceeds from our continuous public offerings. 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 and ended on January 25, 2019.

The outbreak and spread of COVID-19 have caused severe stress and uncertainty in the U.S. and global economies as well as in the financial and credit markets. Given the uncertainty as to the full severity and duration of the pandemic and its effects on us with respect to our compliance with covenants in our loan facilities with lenders and our borrowers’ ability to timely meet their financial obligations to us, management and our board of directors determined that it was in the best interest of our company and all of our shareholders to take certain steps disclosed below during the three months ended March 31, 2020 that were necessary to improve our cash position and preserve financial flexibility in the short term. This “Financial Condition, Liquidity and Capital Resources” discussion should also be read in conjunction with “Recent Developments - COVID-19” above.

On March 19, 2020, our co-chief executive officers determined to (i) change the timing of declaring distributions to shareholders from quarterly to monthly; and (ii) temporarily suspend the payment of distributions to shareholders commencing with the month ending April 30, 2020, whether in cash or pursuant to our distribution reinvestment plan, as amended and restated. Distributions in respect of future months will be reevaluated by management and our board of directors based on circumstances and expectations existing at the time of consideration.

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On March 19, 2020, our board of directors, including the independent directors, determined to temporarily suspend our share repurchase program commencing with the second quarter of 2020. Share repurchases for future quarters will be reevaluated by our board of directors based on circumstances and expectations existing at the time of consideration.

During the three months ended March 31, 2020, we indefinitely deferred the payment of subordinated incentive fees to CIM in the amount of $3,308.

As of March 31, 2020 and December 31, 2019, we had $56,657 and $29,527 in short term investments, respectively, invested in a fund that primarily invests in U.S. government securities.

JPM Credit Facility

As of March 31, 2020, our outstanding borrowings under the Amended JPM Credit Facility were $250,000 and the aggregate unfunded principal amount in connection with the Amended JPM Credit Facility was $25,000. As of May 15, 2020, our outstanding borrowings under the Second Amended JPM Credit Facility were $595,035 and the aggregate unfunded principal amount in connection with the Second Amended JPM Credit Facility was $104,965. For a detailed discussion of our Second Amended JPM Credit Facility, refer to Note 8 to our consolidated financial statements included in this report.

UBS Facility

As of March 31, 2020 and May 15, 2020, our outstanding borrowings under the Amended UBS Facility were $200,000 and no additional principal amount was available for borrowing under the Amended UBS Facility. We intend to extend the Amended UBS Facility prior to May 19, 2020, otherwise we will pursue an orderly wind down of the transaction. For a detailed discussion of our Amended UBS Facility, refer to Note 8 to our consolidated financial statements included in this report.

Citibank Credit Facility

As of March 31, 2020, our outstanding borrowings under the Second Amended Citibank Credit Facility were $229,442 and the aggregate unfunded principal amount in connection with the Second Amended Citibank Credit Facility was $120,558. On May 15, 2020, all outstanding borrowings under the Second Amended Citibank Credit Facility were repaid using a portion of the proceeds from the Second Amended JPM Credit Facility. For a detailed discussion of our Second Amended Citibank Credit Facility, refer to Note 8 to our consolidated financial statements included in this report.

MS Credit Facility

As of March 31, 2020, our outstanding borrowings under the Amended MS Credit Facility were $127,417 and the aggregate unfunded principal amount in connection with the Amended MS Credit Facility was $22,583. On May 15, 2020, all outstanding borrowings under the Amended MS Credit Facility were repaid using a portion of the proceeds from the Second Amended JPM Credit Facility. For a detailed discussion of our Amended MS Credit Facility, refer to Note 8 to our consolidated financial statements included in this report.

Unfunded Commitments

As of March 31, 2020 and May 13, 2020, our unfunded commitments amounted to $76,759 and $68,119, respectively. For a detailed discussion of our unfunded commitments, refer to Note 11 to our consolidated financial statements included in this report.

Cash and cash equivalents as of March 31, 2020, taken together with our available borrowing capacity under our financing arrangements, is expected to be sufficient for our investing activities and to conduct our operations in the near term. However, disruption in the financial markets caused by COVID-19 may restrict our access to financing. We may not be able to find new financing for future investments or liquidity needs and, even if we are able to obtain such financing, such financing will likely not be on as favorable terms as we could have obtained prior to the outbreak of COVID-19. Furthermore, because of declining values of certain of our assets, we may need to post additional unencumbered assets to secure certain of our financing arrangements, leaving less remaining unencumbered assets for future financing. These factors may limit our ability to make new investments and adversely impact our results of operations.

Recent Accounting Pronouncements

See Note 2 to our consolidated financial statements included in this report for a discussion of certain recent accounting pronouncements that are applicable to us.

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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.

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, if applicable;
• preliminary valuation conclusions are then documented and discussed with members of CIM’s management team;
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• designated members of CIM’s management team review the preliminary valuation, and, if applicable, deliver such preliminary valuation to an independent valuation firm for its review;
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• designated members of CIM’s management team and, if appropriate, the relevant investment professionals meet with the independent valuation firm to discuss the preliminary valuation;
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• designated members of CIM’s management team respond and supplement the preliminary valuation to reflect any comments provided by the independent valuation firm;
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• our audit committee meets with members of CIM’s management team and the independent valuation firms to discuss the assistance provided and the results of the independent valuation firms' review; and
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• 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.
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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 by an independent valuation firm. Finally, certain investments are not evaluated by an independent valuation firm unless certain aspects of such investments in the aggregate meet certain criteria.

Given the expected types of investments, excluding short term investments and stock of publicly traded companies 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.

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Related Party Transactions

For a discussion of our relationship with related parties including CION Securities, CIM, CIG, and AIA 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 August 26, 2016, 34th Street entered into the JPM Credit Facility with JPM, as amended and restated on September 30, 2016, July 11, 2017, November 28, 2017 May 23, 2018 and May 15, 2020. See Note 8 to our consolidated financial statements for a more detailed description of the JPM Credit Facility.

On March 29, 2017, Flatiron Funding II entered into the Citibank Credit Facility with Citibank, as amended on July 11, 2017 and March 14, 2019. See Note 8 to our consolidated financial statements for a more detailed description of the Citibank Credit Facility.

On May 19, 2017, Murray Hill Funding II entered into the UBS Facility with UBS, as amended on December 1, 2017. See Note 8 to our consolidated financial statements for a more detailed description of the UBS Facility.

On December 19, 2017, 33rd Street entered into the MS Credit Facility with MS, as amended on July 9, 2018 and December 18, 2018. See Note 8 to our consolidated financial statements for a more detailed description of the MS Credit Facility.

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, delayed draw term loans, revolving credit facilities, or other unfunded commitments, which may require us to provide funding when requested in accordance with the terms of the underlying agreements. 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 11 to our consolidated financial statements included in this report.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

Uncertainty with respect to the economic effects of COVID-19 has introduced significant volatility in the financial markets, and the effect of such volatility could materially impact our market risks, including those listed below. We are subject to financial market risks, including changes in interest rates. As of March 31, 2020, 91.8% of our investments 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. In recent weeks, the U.S. Federal Reserve and other central banks have reduced certain interest rates in response to COVID-19 and market conditions. A prolonged reduction in interest rates may reduce our net investment income.

Under the terms of the Amended JPM Credit Facility, advances currently bear interest at a floating rate equal to the three-month LIBOR, plus a spread of 3.25% per year. Under the terms of the Second Amended Citibank Credit Facility, advances bore interest at a floating rate equal to the three-month LIBOR plus 2.00%. Pursuant to the terms of the Amended UBS Facility, we currently pay a financing fee equal to the three-month LIBOR plus a spread of 3.50%. Under the terms of the Amended MS Credit Facility, advances bore interest at a floating rate equal to the three-month LIBOR plus a spread of 3.00% per year. In addition, we may seek to further borrow funds in order to make additional investments. Our net investment income will be impacted, in part, by the difference between the rate at which we borrow funds 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, the Second Amended Citibank Credit Facility, the Amended JPM Credit Facility, the Amended UBS Facility or the Amended MS Credit Facility in effect as of March 31, 2020:

Basis Point Change in Interest Rates (Decrease) Increase in Net Interest Income(1) Percentage Change in Net Interest Income
Down 100 basis points (2,525 ) (2.3 )%
Down 50 basis points (2,137 ) (1.9 )%
No change to current base rate (1.38% as of March 31, 2020) — —
Up 50 basis points 3,855 3.5 %
Up 100 basis points 7,884 7.2 %
Up 200 basis points 16,191 14.8 %
Up 300 basis points 25,018 22.8 %

All values are in US Dollars.

(1) 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 changes in interest rates. Approximately 4.5% of our investments paid fixed interest rates as of March 31, 2020. 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.

Item 4. Controls and Procedures

Evaluation of disclosure controls and procedures

In connection with the preparation of this Quarterly Report on Form 10-Q for the three months ended March 31, 2020, 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.

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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, 2020 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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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

The risk factors presented below supplement, update, supersede and/or replace, as appropriate, the risk factors disclosed in “Item 1A. Risk Factors” of our Annual Report on Form 10-K for the year ended December 31, 2019.

Global markets could enter a period of severe disruption and instability due to catastrophic events, such as terrorist attacks, acts of war, natural disasters, and outbreaks of epidemic, pandemic or contagious diseases, which could impair our portfolio companies’ financial positions and operating results and affect the industries in which we invest and, in turn, harm our operating results.

The U.S. and global markets have, from time to time, experienced periods of disruption due to events such as terrorist attacks; acts of war; natural disasters, such as earthquakes, tsunamis, fires, floods or hurricanes; and outbreaks of epidemic, pandemic or contagious diseases. Such events have created, and continue to create, economic and political uncertainties and have contributed to recent global economic instability. In particular, outbreaks of epidemic, pandemic or contagious diseases may cause serious harm to our business, operating results and financial condition. Historically, disease pandemics such as the Ebola virus, Middle East Respiratory Syndrome, and Severe Acute Respiratory Syndrome (or the H1N1 virus), have diverted resources and priorities towards the treatment of such diseases. During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19, which spread to over 100 countries, including the United States, and spread to every state in the United States. The World Health Organization designated COVID-19 as a pandemic, and numerous countries, including the United States, declared national emergencies with respect to COVID-19. The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19 continued to be identified in additional countries, many countries reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading, and limiting operations of non-essential businesses. Such actions created and will continue to create disruption in global supply chains, and adversely impacted global commercial activity and a number of industries. See “Item 1A. Risk Factors - Risks Related to Our Business and Structure - The current outbreak of COVID-19 has caused severe disruptions in the U.S. and global economy and already has had and is expected to continue to have a materially adverse impact on our financial condition and results of operations.”

Any prolonged disruptions in the business of our portfolio companies, including a disruption in their supply chains, may adversely affect their ability to obtain the necessary raw materials or components to make their products or cause a decline in the demand for their products or services, leading to a negative impact on their operating results. In addition, such events may lead to restrictions on travel to and from the affected areas, making it more difficult for our portfolio companies to conduct their businesses. As a result of pandemic outbreaks, including COVID-19, businesses can be shut down, supply chains can be interrupted, slowed, or rendered inoperable, and individuals can become ill, quarantined, or otherwise unable to work and/or travel due to health reasons or governmental restrictions. Governmental mandates may require forced shutdowns of our portfolio companies’ facilities for extended or indefinite periods. In addition, these widespread outbreaks of illness, particularly in North America, Europe, or other locations significant to the operations of our portfolio companies, could adversely affect their workforce, resulting in serious health issues and absenteeism, and may cause serious harm to our results of operations, business, or prospects.

Furthermore, future terrorist activities, military or security operations, natural disasters, disease outbreaks, pandemics or other similar events could further weaken the domestic/global economies and create additional uncertainties, which may negatively impact our portfolio companies. During these periods of disruption, general economic conditions may deteriorate with material and adverse consequences for the broader financial and credit markets, and the availability of debt and equity capital for the market as a whole, and financial services firms in particular. Such economic adversity could impair our portfolio companies’ financial positions and operating results and affect the industries in which we invest, which could, in turn, harm our operating results. These conditions may reoccur for a prolonged period of time or materially worsen in the future.

The current outbreak of COVID-19 has caused severe disruptions in the U.S. and global economy and already has had and is expected to continue to have a materially adverse impact on our financial condition and results of operations.

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, COVID-19, which spread to over 100 countries, including the United States, and spread to every state in the United States. On March 11, 2020, the World Health Organization designated COVID-19 as a pandemic, and on March 13, 2020, the United States declared a national emergency with respect to COVID-19. The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19 continued to be identified in additional countries, many countries reacted by instituting quarantines, restrictions on travel, closing financial markets and/or restricting trading, and limiting hours of operations of non-essential businesses. Such actions created and will continue to create disruption in global supply chains, and adversely impacted many industries, including industries in which our portfolio companies operate. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

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The outbreak of COVID-19 has had, and is expected to continue to have, a material adverse impact on our NAV, financial condition, liquidity, results of operations, and the businesses of our portfolio companies, among other factors. We expect that these impacts are likely to continue to some extent as the outbreak persists and potentially even longer. Although many or all facets of our business have been or could be impacted by COVID-19, we currently believe the following impacts to be the most material to us:

• Our NAV has significantly decreased as a result of the outbreak. As of March 31, 2020, our NAV per share was $7.29 as compared to $8.40 as of December 31, 2019. We expect our NAV per share in the future will be different, and possibly materially different, from our March 31, 2020 NAV per share. The recent decrease was the result of significant mark downs in the fair value of our investment portfolio, including our quoted syndicated loan investments and our private loan and other investments. The fair value of these investments deteriorated as a result of market conditions triggered by COVID-19, including increased credit risk for our portfolio companies as their businesses were impacted by the outbreak and technical selling pressure as other market participants began selling assets in an effort to realize liquidity. It is possible that the fair value of our investments, and therefore our NAV per share, could continue to decrease during the period of the COVID-19 outbreak and potentially longer. We believe our investments in portfolio companies in certain industries have been and will continue to be most affected by the COVID-19 outbreak, but the majority of our investments have been and may continue to be affected by the outbreak.
• The portfolio companies that are borrowers of our loans may not be able to make interest payments, which would adversely impact our net income and results of operations. Many of these portfolio companies’ businesses are adversely affected by COVID-19 and are experiencing lost revenue as quarantines and other social disruption have slowed or stopped purchases of their products or services or have forced them to limit or suspend operations. Furthermore, although most of our loans are secured by first lien security interests in the applicable portfolio company’s assets, if a portfolio company defaults on its loan there is no guarantee we will be able to recover the principal amount of the loan.
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• Disruption in the financial markets caused by the COVID-19 outbreak may restrict our access to financing. We may not be able to find new financing for future investments or liquidity needs and, even if we are able to obtain such financing, such financing may not be on as favorable terms as we could have obtained prior to the outbreak of the pandemic. Furthermore, because of declining values of certain of our assets, we may need to post additional unencumbered assets to secure certain of our financing arrangements, leaving less remaining unencumbered assets for future financing. These factors may limit our ability to make new investments and adversely impact our results of operations.
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Additionally, we may experience other negative impacts to our business as a result of COVID-19 that could exacerbate other risks described in this report, including:

• weakening financial conditions of or the bankruptcy or insolvency of portfolio companies, which may result in the inability of such portfolio companies to meet debt obligations, delays in collecting accounts receivable, defaults, or forgiveness or deferral of interest payments from such portfolio companies;
• deteriorations in credit and financing market conditions, which may adversely impact our ability to access financing for our investments on favorable terms or at all;
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• operational impacts on our service providers, vendors and counterparties, including our lenders and other providers of financing, brokers and other counterparties that we purchase and sell assets to and from, and legal and diligence professionals that we rely on for acquiring our investments;
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• limitations on our ability to ensure business continuity in the event our, or our third-party service providers’, continuity of operations plan is not effective or improperly implemented or deployed during a disruption;
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• the availability of key personnel of our service providers as they face changed circumstances and potential illness during the pandemic;
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• difficulty in valuing our assets in light of significant changes in the financial markets, including difficulty in forecasting discount rates and making market comparisons, and circumstances affecting our service providers’ personnel during the pandemic;
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• limitations on our ability to raise new capital;
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• significant changes to the valuations of pending investments; and
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• limitations on our ability to make distributions to and/or repurchase shares from our shareholders due to material adverse impacts on our cash flows from operations or liquidity.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments. The full extent of the impact and effects of COVID-19 will depend on future developments, including, among other factors, the duration and spread of the outbreak, along with related travel advisories, quarantines and restrictions, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown. COVID-19 and the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our performance, financial condition, results of operations and ability to pay distributions to our shareholders.

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

We did not engage in any unregistered sales of equity securities during the three months ended March 31, 2020.

The table below provides information concerning our repurchases of shares of our common stock during the three months ended March 31, 2020 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 Programs
January 1 to January 31, 2020 — — — —
February 1 to February 29, 2020 — — — —
March 1 to March 31, 2020 1,076,229 7.50 1,076,229 (1 )
Total 1,076,229 7.50 1,076,229 (1 )

All values are in US Dollars.

(1) A description of the maximum number of shares of our common stock that may be repurchased is set forth in a detailed discussion of the terms of our share repurchase program in Note 3 to our unaudited consolidated financial statements contained in this Quarterly Report on Form 10-Q.

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

Not applicable.

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Item 6. Exhibits

Exhibit<br><br>Number Description of Document
2.1 Purchase and Sale Agreement, dated as of September 30, 2016, by and between Park South Funding, LLC and Credit Suisse Alternative Capital, LLC (Incorporated by reference to Exhibit 2.1 to Registrant’s Current Report on Form 8-K filed with the SEC on October 4, 2016 (File No. 814-00941)).
3.1 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)).
3.2 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 Final Prospectus on Form 497 filed with the SEC on September 25, 2018 (File No. 333-203683)).
4.2 Fifth Amended and Restated Distribution Reinvestment Plan of CĪON Investment Corporation (Incorporated by reference to Exhibit 4.1 to Registrant’s Current Report on Form 8-K filed with the SEC on December 8, 2016 (File No. 814-00941)).
4.3 Description of Registrant’s Securities (Incorporated by reference to Exhibit 4.3 to Registrant’s Annual Report on Form 10-K filed with the SEC on March 17, 2020 (File No. 814-00941)).
10.1 Investment Advisory Agreement by and between CĪON Investment Corporation and CION 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 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)).
10.3 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)).
10.4 Second Amended and Restated Expense Support and Conditional Reimbursement Agreement, dated as of December 20, 2019, by and between CĪON Investment Corporation and CION Investment Management, LLC (Incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 26, 2019 (File No. 814-00941)).
10.5 Amended and Restated Follow-On Dealer Manager Agreement, dated as of December 28, 2016, by and among CĪON Investment Corporation, CION Investment Management, LLC and CION Securities, LLC (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on January 4, 2017 (File No. 814-00941)).
10.6 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)).

73

Exhibit<br><br>Number Description of Document
10.7 Sale and Contribution Agreement, dated as of August 26, 2016, by and between 34th Street Funding, LLC and CĪON Investment Corporation (Incorporated by reference to Exhibit 10.2 to Registrant’s Current Report on Form 8-K filed with the SEC on September 1, 2016 (File No. 814-00941)).
10.8 Master Participation Agreement, dated as of August 26, 2016, by and between 34th Street Funding, LLC and CĪON Investment Corporation (Incorporated by reference to Exhibit 10.3 to Registrant’s Current Report on Form 8-K filed with the SEC on September 1, 2016 (File No. 814-00941)).
10.9 Amended and Restated Loan and Security Agreement, dated as of September 30, 2016, by and among 34th Street Funding, LLC, JPMorgan Chase Bank, National Association, U.S. Bank National Association and CION Investment Management, LLC (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on October 4, 2016 (File No. 814-00941)).
10.10 Amended and Restated Portfolio Management Agreement, dated as of September 30, 2016, by and among 34th Street Funding, LLC, CION Investment Management, LLC and JPMorgan Chase Bank, National Association (Incorporated by reference to Exhibit 10.3 to Registrant’s Current Report on Form 8-K filed with the SEC on October 4, 2016 (File No. 814-00941)).
10.11 Credit and Security Agreement, dated as of March 29, 2017, by and among Flatiron Funding II, LLC, CION Investment Management, LLC, CĪON Investment Corporation, Citibank, N.A. and U.S. Bank National Association (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on April 4, 2017 (File No. 814-00941)).
10.12 Second Amendment, dated as of March 14, 2019, to Credit and Security Agreement, dated as of March 29, 2017, by and among Flatiron Funding II, LLC, CION Investment Management, LLC, CĪON Investment Corporation, the Lenders from time to time party thereto, Citibank, N.A. and U.S. Bank National Association. (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on March 18, 2019 (File No. 814-00941)).
10.13 Account Control Agreement, dated as of March 29, 2017, by and among Flatiron Funding II, LLC, CION Investment Management, LLC 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 April 4, 2017 (File No. 814-00941)).
10.14 Master Participation and Assignment Agreement, dated as of March 29, 2017, by and between 15th Street Loan Funding LLC and Flatiron Funding II, LLC (Incorporated by reference to Exhibit 10.3 to Registrant’s Current Report on Form 8-K filed with the SEC on April 4, 2017 (File No. 814-00941)).
10.15 Master Participation and Assignment Agreement, dated as of March 29, 2017, by and between 15th Street Loan Funding 2 LLC and Flatiron Funding II, LLC (Incorporated by reference to Exhibit 10.4 to Registrant’s Current Report on Form 8-K filed with the SEC on April 4, 2017 (File No. 814-00941)).
10.16 Contribution Agreement, dated as of May 19, 2017, by and among CĪON Investment Corporation, Murray Hill Funding, LLC and Murray Hill Funding II, LLC (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2017 (File No. 814-00941)).

74

Exhibit<br><br>Number Description of Document
10.17 Amended and Restated Indenture, dated as of December 1, 2017, by and between Murray Hill Funding II, LLC and U.S. Bank National Association (Incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 7, 2017 (File No. 814-00941)).
10.18 Murray Hill Funding II, LLC Class A Notes Due 2027 (Incorporated by reference to Exhibit 10.3 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2017 (File No. 814-00941)).
10.19 Contribution Agreement, dated as of May 19, 2017, by and among UBS AG, London Branch, Murray Hill Funding II, LLC, U.S. Bank National Association, Murray Hill Funding, LLC and CION Investment Management, LLC (Incorporated by reference to Exhibit 10.4 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2017 (File No. 814-00941)).
10.20 October 2000 Version Global Master Repurchase Agreement, by and between UBS AG and Murray Hill Funding, LLC, together with the related Annex and Master Confirmation thereto, each dated as of May 19, 2017 (Incorporated by reference to Exhibit 10.5 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2017 (File No. 814-00941)).
10.21 Collateral Management Agreement, dated as of May 19, 2017, by and between CION Investment Management, LLC and Murray Hill Funding II, LLC (Incorporated by reference to Exhibit 10.6 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2017 (File No. 814-00941)).
10.22 Collateral Administration Agreement, dated as of May 19, 2017, by and among Murray Hill Funding II, LLC, CION Investment Management, LLC and U.S. Bank National Association (Incorporated by reference to Exhibit 10.7 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2017 (File No. 814-00941)).
10.23 Murray Hill Funding II, LLC Class A Notes Due 2027 (Incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 7, 2017 (File No. 814-00941)).
10.24 First Amended and Restated Master Confirmation, dated as of December 1, 2017, to the October 2000 Version Global Master Repurchase Agreement, dated as of May 19, 2017, by and between UBS AG, London Branch and Murray Hill Funding, LLC (Incorporated by reference to Exhibit 10.3 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 7, 2017 (File No. 814-00941)).
10.25 Loan and Servicing Agreement, dated as of December 19, 2017, by and among 33rd Street Funding, LLC, CION Investment Management, LLC, Morgan Stanley Asset Funding Inc., Morgan Stanley Bank, N.A. and U.S. Bank National Association (Incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 22, 2017 (File No. 814-00941)).
10.26 Sale and Contribution Agreement, dated as of December 19, 2017, by and between 33rd Street Funding, LLC and CĪON Investment Corporation (Incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 22, 2017 (File No. 814-00941)).
10.27 Portfolio Management Agreement, dated as of December 19, 2017, by and between 33rd Street Funding, LLC and CION Investment Management, LLC (Incorporated by reference to Exhibit 10.3 to the Registrant’s Current Report on Form 8-K filed with the SEC on December 22, 2017 (File No. 814-00941)).
10.28 Administration Agreement, dated as of April 1, 2018, by and between CĪON Investment Corporation and CION Investment Management, LLC (Incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed with the SEC on April 3, 2018 (File No. 814-00941)).
10.29 Third Amendment to Amended and Restated Loan Agreement, dated as of May 23, 2018, by and among 34th Street Funding, LLC, JPMorgan Chase Bank, National Association, U.S. Bank National Association and CION Investment Management, LLC (Incorporated by reference to Exhibit 10.1 to Registrant’s Current Report on Form 8-K filed with the SEC on May 25, 2018 (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.

75

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 15, 2020

CĪON Investment Corporation

(Registrant)

By: /s/ Michael A. Reisner
Michael A. Reisner
Co-Chief Executive Officer
(Principal Executive Officer)
By: /s/ Mark Gatto
---
Mark Gatto
Co-Chief Executive Officer
(Principal Executive Officer)
By: /s/ Keith S. Franz
---
Keith S. Franz
Chief Financial Officer
(Principal Financial and Accounting Officer)

76

Exhibit

Exhibit 31.1

CERTIFICATION OF CO-CHIEF EXECUTIVE OFFICER

PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Michael A. Reisner, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of CĪON Investment Corporation;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
--- ---
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
--- ---
4. I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
--- ---
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared;
--- ---
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
--- ---
(c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
--- ---
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
--- ---
5. I have disclosed, based on my most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
--- ---
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
--- ---
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
--- ---

Date: May 15, 2020

/s/ Michael A. Reisner

Michael A. Reisner

Co-Chief Executive Officer

(Principal Executive Officer)

CĪON Investment Corporation

Exhibit

Exhibit 31.2

CERTIFICATION OF CO-CHIEF EXECUTIVE OFFICER

PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Mark Gatto, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of CĪON Investment Corporation;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
--- ---
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
--- ---
4. I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
--- ---
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared;
--- ---
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
--- ---
(c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
--- ---
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
--- ---
5. I have disclosed, based on my most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
--- ---
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
--- ---
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
--- ---

Date: May 15, 2020

/s/ Mark Gatto

Mark Gatto

Co-Chief Executive Officer

(Principal Executive Officer)

CĪON Investment Corporation

Exhibit

Exhibit 31.3

CERTIFICATION OF CHIEF FINANCIAL OFFICER

PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002

I, Keith S. Franz, certify that:

1. I have reviewed this Quarterly Report on Form 10-Q of CĪON Investment Corporation;
2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
--- ---
3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
--- ---
4. I am responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
--- ---
(a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under my supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to me by others within those entities, particularly during the period in which this report is being prepared;
--- ---
(b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under my supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
--- ---
(c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report my conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
--- ---
(d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
--- ---
5. I have disclosed, based on my most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
--- ---
(a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and
--- ---
(b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
--- ---

Date: May 15, 2020

/s/ Keith S. Franz

Keith S. Franz

Chief Financial Officer

(Principal Financial and Accounting Officer)

CĪON Investment Corporation

Exhibit

Exhibit 32.1

CERTIFICATION OF CO-CHIEF EXECUTIVE OFFICER

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Michael A. Reisner, Co-Chief Executive Officer, in connection with the Quarterly Report of CĪON Investment Corporation (the "Company") on Form 10-Q for the quarter ended March 31, 2020, as filed with the Securities and Exchange Commission on the date hereof (the “Quarterly Report”), certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. The Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
2. The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
--- ---

Date: May 15, 2020

/s/ Michael A. Reisner

Michael A. Reisner

Co-Chief Executive Officer

(Principal Executive Officer)

CĪON Investment Corporation

Exhibit

Exhibit 32.2

CERTIFICATION OF CO-CHIEF EXECUTIVE OFFICER

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Mark Gatto, Co-Chief Executive Officer, in connection with the Quarterly Report of CĪON Investment Corporation (the “Company”) on Form 10-Q for the quarter ended March 31, 2020, as filed with the Securities and Exchange Commission on the date hereof (the “Quarterly Report”), certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. The Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
2. The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
--- ---

Date: May 15, 2020

/s/ Mark Gatto

Mark Gatto

Co-Chief Executive Officer

(Principal Executive Officer)

CĪON Investment Corporation

Exhibit

Exhibit 32.3

CERTIFICATION OF CHIEF FINANCIAL OFFICER

PURSUANT TO 18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Keith S. Franz, Chief Financial Officer, in connection with the Quarterly Report of CĪON Investment Corporation (the “Company”) on Form 10-Q for the quarter ended March 31, 2020, as filed with the Securities and Exchange Commission on the date hereof (the “Quarterly Report”), certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

1. The Quarterly Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
2. The information contained in the Quarterly Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
--- ---

Date: May 15, 2020

/s/ Keith S. Franz

Keith S. Franz

Chief Financial Officer

(Principal Financial and Accounting Officer)

CĪON Investment Corporation

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