NiosII booting from on-chip memory

I am trying to boot a NiosII (HAL only, no other bigger OS) on a Cyclone IV directly from the on-chip memory. I have initialized the memory .hex file and included it in my project. I then recompiled the project again. I downloaded the *.sof file to the FPGA. However, the NiosII is not booting.

Would anyone have any suggestions for me?