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Saratoga Investment (SAR)

Filed: 10 Jul 19, 4:02pm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

Form10-Q

 

 

 

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended May 31, 2019

 

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission FileNo. 001-33376

 

 

SARATOGA INVESTMENT CORP.

(Exact name of Registrant as specified in its charter)

 

 

 

Maryland 20-8700615

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification Number)

535 Madison Avenue

New York, New York 10022

(Address of principal executive offices)

(212)906-7800

(Registrant’s telephone number, including area code)

 

 

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

 

Title of each class

 

Trading

Symbol(s)

 

Name of each exchange

on which registered

Common Stock, par value $0.001 per share SAR The New York Stock Exchange
6.75% Notes due 2023 SAB The New York Stock Exchange
6.25% Notes due 2025 SAF The New York Stock Exchange

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  ☒    No  ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of RegulationS-T 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, anon-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 Rule12b-2 of the Exchange Act. (Check one):

 

Large accelerated filer   Accelerated filer 
Non-accelerated filer   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 Rule12b-2 of the Act).    Yes  ☐    No  ☒

The number of outstanding common shares of the registrant as of July 9, 2019 was 8,018,188.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

 

PART I. FINANCIAL INFORMATION

 

      Page 

PART I.

  FINANCIAL INFORMATION   3 

Item 1.

  

Consolidated Financial Statements

   3 
  

Consolidated Statements of Assets and Liabilities as of May  31, 2019 (unaudited) and February 28, 2019

   3 
  

Consolidated Statements of Operations for the three months ended May  31, 2019 (unaudited) and May 31, 2018 (unaudited)

   4 
  

Consolidated Schedules of Investments as of May  31, 2019 (unaudited) and February 28, 2019

   5 
  

Consolidated Statements of Changes in Net Assets for the three months ended May 31, 2019 (unaudited) and May 31, 2018 (unaudited)

   18 
  

Consolidated Statements of Cash Flows for the three months ended May  31, 2019 (unaudited) and May 31, 2018 (unaudited)

   19 
  

Notes to Consolidated Financial Statements as of May  31, 2019 (unaudited)

   20 

Item 2.

  

Management’s Discussion and Analysis of Financial Condition and Results of Operations

   76 

Item 3.

  

Quantitative and Qualitative Disclosures About Market Risk

   107 

Item 4.

  

Controls and Procedures

   109 

PART II.

  OTHER INFORMATION   110 

Item 1.

  

Legal Proceedings

   110 

Item 1A.

  

Risk Factors

   110 

Item 2.

  

Unregistered Sales of Equity Securities and Use of Proceeds

   110 

Item 3.

  

Defaults Upon Senior Securities

   110 

Item 4.

  

Mine Safety Disclosures

   110 

Item 5.

  

Other Information

   110 

Item 6.

  

Exhibits

   111 

Signatures

   114 

 

2


Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

  May 31, 2019  February 28, 2019 
  (unaudited)    

ASSETS

  

Investments at fair value

  

Non-control/Non-affiliate investments (amortized cost of $308,061,752 and $307,136,188, respectively)

 $309,830,182  $306,511,427 

Affiliate investments (amortized cost of $18,557,809 and $18,514,716, respectively)

  11,676,118   11,463,081 

Control investments (amortized cost of $78,739,023 and $76,265,189, respectively)

  87,945,041   84,045,212 
 

 

 

  

 

 

 

Total investments at fair value (amortized cost of $405,358,584 and $401,916,093, respectively)

  409,451,341   402,019,720 

Cash and cash equivalents

  37,183,604   30,799,068 

Cash and cash equivalents, reserve accounts

  23,812,643   31,295,326 

Interest receivable (net of reserve of $873,414 and $647,210, respectively)

  3,815,502   3,746,604 

Due from affiliate (See Note 6)

  1,243,197   1,673,747 

Management and incentive fee receivable

  279,828   542,094 

Other assets

  550,093   595,543 
 

 

 

  

 

 

 

Total assets

 $476,336,208  $470,672,102 
 

 

 

  

 

 

 

LIABILITIES

  

Revolving credit facility

 $—    $—   

Deferred debt financing costs, revolving credit facility

  (581,922  (605,189

SBA debentures payable

  150,000,000   150,000,000 

Deferred debt financing costs, SBA debentures payable

  (2,274,866  (2,396,931

2023 Notes payable

  74,450,500   74,450,500 

Deferred debt financing costs, 2023 notes payable

  (1,819,617  (1,919,620

2025 Notes payable

  60,000,000   60,000,000 

Deferred debt financing costs, 2025 notes payable

  (2,320,888  (2,377,551

Base management and incentive fees payable

  7,522,070   6,684,785 

Deferred tax liability

  762,783   739,716 

Accounts payable and accrued expenses

  1,430,701   1,615,443 

Interest and debt fees payable

  1,978,494   3,224,671 

Directors fees payable

  63,500   62,000 

Due to manager

  341,752   319,091 
 

 

 

  

 

 

 

Total liabilities

 $289,552,507  $289,796,915 
 

 

 

  

 

 

 

Commitments and contingencies (See Note 8)

  

NET ASSETS

  

Common stock, par value $.001, 100,000,000 common shares authorized, 7,764,844 and 7,657,156 common shares issued and outstanding, respectively

 $7,765  $7,657 

Capital in excess of par value

  205,988,350   203,552,800 

Total distributable earnings (loss)

  (19,212,414  (22,685,270
 

 

 

  

 

 

 

Total net assets

  186,783,701   180,875,187 
 

 

 

  

 

 

 

Total liabilities and net assets

 $476,336,208  $470,672,102 
 

 

 

  

 

 

 

NET ASSET VALUE PER SHARE

 $24.06  $23.62 
 

 

 

  

 

 

 

See accompanying notes to consolidated financial statements.

 

3


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

   For the three months ended 
   May 31, 2019  May 31, 2018 

INVESTMENT INCOME

   

Interest from investments

   

Interest income:

   

Non-control/Non-affiliate investments

  $8,527,740  $7,405,909 

Affiliate investments

   249,325   239,350 

Control investments

   1,648,146   1,146,665 

Payment-in-kind interest income:

   

Non-control/Non-affiliate investments

   151,897   216,010 

Affiliate investments

   40,150   34,147 

Control investments

   985,869   564,857 
  

 

 

  

 

 

 

Total interest from investments

   11,603,127   9,606,938 

Interest from cash and cash equivalents

   51,359   16,293 

Management fee income

   629,516   385,194 

Incentive fee income

   —     199,183 

Other income

   467,182   280,410 
  

 

 

  

 

 

 

Total investment income

   12,751,184   10,488,018 
  

 

 

  

 

 

 

OPERATING EXPENSES

   

Interest and debt financing expenses

   3,864,576   2,722,792 

Base management fees

   1,812,169   1,532,468 

Incentive management fees

   2,113,169   1,072,612 

Professional fees

   395,126   542,797 

Administrator expenses

   500,000   437,500 

Insurance

   64,619   63,859 

Directors fees and expenses

   60,000   95,500 

General & administrative

   258,601   347,850 

Income tax expense (benefit)

   2,136   (267,310

Excise tax expense (credit)

   —     (270

Other expense

   —     12,572 
  

 

 

  

 

 

 

Total operating expenses

   9,070,396   6,560,370 
  

 

 

  

 

 

 

NET INVESTMENT INCOME

   3,680,788   3,927,648 
  

 

 

  

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

   

Net realized gain (loss) from investments:

   

Non-control/Non-affiliate investments

   —     212,008 
  

 

 

  

 

 

 

Net realized gain (loss) from investments

   —     212,008 

Net change in unrealized appreciation (depreciation) on investments:

   

Non-control/Non-affiliate investments

   2,393,191   303,705 

Affiliate investments

   169,944   (475,562

Control investments

   1,425,995   815,062 
  

 

 

  

 

 

 

Net change in unrealized appreciation (depreciation) on investments

   3,989,130   643,205 

Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments

   (20,930  (940,546
  

 

 

  

 

 

 

Net realized and unrealized gain (loss) on investments

   3,968,200   (85,333
  

 

 

  

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $7,648,988  $3,842,315 
  

 

 

  

 

 

 

WEIGHTED AVERAGE—BASIC AND DILUTED EARNINGS PER COMMON SHARE

  $0.99  $0.61 

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING—BASIC AND DILUTED

   7,746,187   6,275,494 

See accompanying notes to consolidated financial statements.

 

4


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

May 31, 2019

(unaudited)

 

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Non-control/Non-affiliate investments—165.9% (b)

       

Apex Holdings Software Technologies, LLC

 Business Services First Lien Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash, 9/21/2021
  9/21/2016  $18,000,000  $17,932,070  $18,000,000   9.7

Apex Holdings Software Technologies, LLC

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash, 9/21/2021
  10/1/2018  $1,500,000   1,488,728   1,500,000   0.8

Avionte Holdings, LLC (h)

 Business Services Class A Units  1/8/2014   100,000   100,000   707,472   0.4

CLEO Communications Holding, LLC

 Business Services First Lien Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash/2.00% PIK, 3/31/2022
  3/31/2017  $13,583,511   13,517,395   13,583,512   7.3

CLEO Communications Holding, LLC

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash/2.00% PIK, 3/31/2022
  3/31/2017  $12,204,179   12,105,751   12,204,179   6.5

Destiny Solutions Inc. (a)

 Business Services First Lien Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 5/16/2023
  5/16/2018  $8,500,000   8,429,988   8,513,600   4.6

Destiny Solutions Inc. (a), (j)

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 5/16/2023
  5/16/2018  $—     —     —     0.0

Destiny Solutions Inc. (a), (h), (i)

 Business Services Limited Partner Interests  5/16/2018   999,000   999,000   1,083,543   0.6

Emily Street Enterprises, L.L.C.

 Business Services Senior Secured Note
(3M USD LIBOR+8.50%), 11.00% Cash, 1/23/2020
  12/28/2012  $3,300,000   3,299,665   3,307,657   1.8

Emily Street Enterprises, L.L.C. (h)

 Business Services Warrant Membership Interests
Expires 12/28/2022
  12/28/2012   49,318   400,000   414,271   0.2

Erwin, Inc. (d)

 Business Services Second Lien Term Loan
(3M USD LIBOR+11.50%), 14.00% Cash/1.00% PIK, 8/28/2021
  2/29/2016  $15,928,264   15,845,224   15,928,264   8.5

 

See accompanying notes to consolidated financial statements.

 

5


Table of Contents

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Fancy Chap, Inc.

 Business Services First Lien Term Loan
(3M USD LIBOR+7.50%), 10.00% Cash, 4/8/2024
  4/8/2019  $6,000,000   5,940,434   5,991,000   3.2

Fancy Chap, Inc. (j)

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 10.00% Cash, 4/8/2024
  4/8/2019  $—     —     —     0.0

Fancy Chap, Inc. (h)

 Business Services Series C Preferred Stock  4/8/2019   38,398   925,123   2,076,658   1.1

FMG Suite Holdings, LLC (d)

 Business Services Second Lien Term Loan
(1M USD LIBOR+8.00%), 10.43% Cash, 11/16/2023
  5/16/2018  $23,000,000   22,849,679   22,958,600   12.3

GDS Holdings US, Inc. (d)

 Business Services First Lien Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 8/23/2023
  8/23/2018  $7,500,000   7,435,464   7,492,500   4.0

GDS Holdings US, Inc.

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 8/23/2023
  3/29/2019  $1,000,000   990,143   999,000   0.5

GDS Software Holdings, LLC (h)

 Business Services Common Stock Class A Units  8/23/2018   250,000   250,000   299,892   0.2

Identity Automation Systems (h)

 Business Services Common Stock Class A Units  8/25/2014   232,616   232,616   640,811   0.3

Identity Automation Systems (d)

 Business Services First Lien Term Loan
(3M USD LIBOR+9.24%), 11.74% Cash, 3/31/2021
  8/25/2014  $15,500,000   15,437,640   15,500,000   8.3

inMotionNow, Inc.

 Business Services First Lien Term Loan
(3M USD LIBOR+7.25), 9.75% Cash, 5/15/2024
  5/15/2019  $12,200,000   12,078,703   12,078,000   6.5

inMotionNow, Inc. (j)

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+7.25) 9.75% Cash, 5/15/2024
  5/15/2019  $—     —     —     0.0

Knowland Group, LLC

 Business Services Second Lien Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash, 5/9/2024
  11/9/2018  $15,000,000   15,000,000   14,953,500   8.0

National Waste Partners (d)

 Business Services Second Lien Term Loan
10.00% Cash, 2/13/2022
  2/13/2017  $9,000,000   8,946,185   8,853,300   4.7

Omatic Software, LLC

 Business Services First Lien Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash, 5/29/2023
  5/29/2018  $5,500,000   5,453,319   5,527,500   3.0

 

See accompanying notes to consolidated financial statements.

 

6


Table of Contents

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Omatic Software, LLC (j)

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 10.50% Cash, 5/29/2023
  5/29/2018  $—     —     —     0.0

Passageways, Inc.

 Business Services First Lien Term Loan
(3M USD LIBOR+7.75%), 10.25% Cash, 7/5/2023
  7/5/2018  $5,000,000   4,956,214   5,059,500   2.7

Passageways, Inc. (h)

 Business Services Series A Preferred Stock  7/5/2018   2,027,205   1,000,000   1,395,128   0.7

Vector Controls Holding Co.,
LLC (d)

 Business Services First Lien Term Loan
11.50% (9.75% Cash/1.75% PIK), 3/6/2022
  3/6/2013  $9,098,356   9,097,625   9,166,594   4.9

Vector Controls Holding Co.,
LLC (h)

 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343   —     2,076,854   1.1
     

 

 

  

 

 

  

 

 

 
  Total Business Services    184,710,966   190,311,335   101.9
     

 

 

  

 

 

  

 

 

 

Targus Holdings, Inc. (h)

 Consumer Products Common Stock  12/31/2009   210,456   1,713,605   501,112   0.3
     

 

 

  

 

 

  

 

 

 
  Total Consumer Products    1,713,605   501,112   0.3
     

 

 

  

 

 

  

 

 

 

My Alarm Center, LLC (k)

 Consumer Services Preferred Equity Class A Units
8.00% PIK
  7/14/2017   2,227   2,357,879   374,662   0.2

My Alarm Center, LLC (h)

 Consumer Services Preferred Equity Class B Units  7/14/2017   1,797   1,796,880   —     0.0

My Alarm Center, LLC (h)

 Consumer Services Preferred Equity Class Z Units  9/12/2018   676   655,987   1,997,158   1.0

My Alarm Center, LLC (h)

 Consumer Services Common Stock  7/14/2017   96,224   —     —     0.0
     

 

 

  

 

 

  

 

 

 
  Total Consumer Services    4,810,746   2,371,820   1.2
     

 

 

  

 

 

  

 

 

 

C2 Educational Systems (d)

 Education First Lien Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 5/31/2020
  5/31/2017  $16,000,000   15,943,708   15,920,139   8.5

Kev Software Inc. (a)

 Education First Lien Term Loan
(1M USD LIBOR+8.63%), 11.06% Cash, 9/13/2023
  9/13/2018  $21,393,178   21,226,465   21,388,899   11.5

M/C Acquisition Corp., L.L.C. (h)

 Education Class A Common Stock  6/22/2009   544,761   30,241   —     0.0

M/C Acquisition Corp., L.L.C. (k)

 Education First Lien Term Loan
1.00% Cash, 3/31/2020
  8/10/2004  $2,315,090   1,189,177   6,260   0.0

Texas Teachers of Tomorrow,
LLC (h), (i)

 Education Common Stock  12/2/2015   750,000   750,000   801,908   0.4

 

See accompanying notes to consolidated financial statements.

 

7


Table of Contents

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Texas Teachers of Tomorrow, LLC

 Education Second Lien Term Loan
(3M USD LIBOR+9.75%), 12.25% Cash, 6/2/2021
  12/2/2015  $10,000,000   9,956,443   9,953,204   5.3
     

 

 

  

 

 

  

 

 

 
  Total Education    49,096,034   48,070,410   25.7
     

 

 

  

 

 

  

 

 

 

TMAC Acquisition Co., LLC (k)

 Food and Beverage Unsecured Term Loan
8.00% PIK, 9/01/2023
  3/1/2018  $2,216,427   2,216,427   2,057,888   1.1
     

 

 

  

 

 

  

 

 

 
  Total Food and Beverage    2,216,427   2,057,888   1.1
     

 

 

  

 

 

  

 

 

 

Axiom Parent Holdings, LLC (h)

 Healthcare Services Common Stock Class A Units  6/19/2018   400,000   400,000   424,155   0.2

Axiom Purchaser, Inc. (d)

 Healthcare Services First Lien Term Loan
(3M USD LIBOR+6.00%), 8.50% Cash, 6/19/2023
  6/19/2018  $10,000,000   9,926,809   9,999,000   5.4

Axiom Purchaser, Inc. (j)

 Healthcare Services Delayed Draw Term Loan
(3M USD LIBOR+6.00%), 8.50% Cash, 6/19/2023
  6/19/2018  $—     —     —     0.0

Censis Technologies, Inc.

 Healthcare Services First Lien Term Loan B
(1M USD LIBOR+8.30%), 10.73% Cash, 9/27/2023
  7/25/2014  $19,900,000   19,873,291   19,963,680   10.7

Censis Technologies, Inc. (h), (i)

 Healthcare Services Limited Partner Interests  7/25/2014   999   999,000   4,018,452   2.1

ComForCare Health Care

 Healthcare Services First Lien Term Loan
(3M USD LIBOR+7.50%), 10.00% Cash, 1/31/2022
  1/31/2017  $15,000,000   14,905,794   15,063,000   8.1

HemaTerra Holding Company, LLC

 Healthcare Services First Lien Term Loan
(3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024
  4/15/2019  $6,000,000   5,941,146   5,940,000   3.2

HemaTerra Holding Company,
LLC (j)

 Healthcare Services Delayed Draw Term Loan
(3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024
  4/15/2019  $—     —     —     0.0

TRC HemaTerra, LLC (h)

 Healthcare Services Class D Membership Interests  4/15/2019   1,000,000   1,000,000   1,000,000   0.5

Ohio Medical, LLC (h)

 Healthcare Services Common Stock  1/15/2016   5,000   500,000   441,950   0.2

Ohio Medical, LLC

 Healthcare Services Senior Subordinated Note
12.00% Cash, 7/15/2021
  1/15/2016  $7,300,000   7,266,535   7,262,040   4.0

Roscoe Medical, Inc. (h)

 Healthcare Services Common Stock  3/26/2014   5,081   508,077   —     0.0

Roscoe Medical, Inc. (k)

 Healthcare Services Second Lien Term Loan
11.25% Cash, 3/28/2021
  3/26/2014  $4,200,000   4,193,322   2,405,340   1.3
     

 

 

  

 

 

  

 

 

 
  Total Healthcare Services    65,513,974   66,517,617   35.7
     

 

 

  

 

 

  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

8


Table of Contents

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Sub TotalNon-control/Non-affiliate investments

      308,061,752   309,830,182   165.9
    

 

 

  

 

 

  

 

 

 

Affiliate investments—6.3% (b)

       

GreyHeller LLC (f)

 Business Services First Lien Term Loan
(3M USD LIBOR+11.00%), 13.50% Cash, 11/16/2021
  11/17/2016  $7,000,000   6,960,362   7,140,000   3.8

GreyHeller LLC (f), (h)

 Business Services Series A Preferred Units  11/17/2016   850,000   850,000   1,629,899   0.9
     

 

 

  

 

 

  

 

 

 
  Total Business Services    7,810,362   8,769,899   4.7
     

 

 

  

 

 

  

 

 

 

Elyria Foundry Company, L.L.C. (f), (h)

 Metals Common Stock  7/30/2010   60,000   9,685,028   1,843,800   1.0

Elyria Foundry Company, L.L.C. (d), (f)

 Metals Second Lien Term Loan
15.00% PIK, 8/10/2022
  7/30/2010  $1,062,419   1,062,419   1,062,419   0.6
  Total Metals    10,747,447   2,906,219   1.6
     

 

 

  

 

 

  

 

 

 

Sub Total Affiliate investments

      18,557,809   11,676,118   6.3
     

 

 

  

 

 

  

 

 

 

Control investments—47.0% (b)

       

Easy Ice, LLC (g)

 Business Services Preferred Equity
10.00% PIK
  2/3/2017   5,080,000   9,925,702   13,510,126   7.2

Easy Ice, LLC (d), (g)

 Business Services Second Lien Term Loan
7.03% Cash/5.97% PIK, 2/28/2023
  3/29/2013  $21,867,482   21,820,919   21,976,819   11.8

Easy Ice Masters, LLC (d), (g)

 Business Services Second Lien Term Loan
7.03% Cash/5.97% PIK, 2/28/2023
  10/31/2018  $3,931,585   3,895,045   3,951,243   2.1

Netreo Holdings, LLC (g)

 Business Services First Lien Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.00% PIK,
7/3/2023
  7/3/2018  $5,092,999   5,048,142   5,135,271   2.7

Netreo Holdings, LLC (g), (h)

 Business Services Common Stock Class A Unit  7/3/2018   3,150,000   3,150,000   5,406,229   2.9
     

 

 

  

 

 

  

 

 

 
  Total Business Services    43,839,808   49,979,688   26.7
     

 

 

  

 

 

  

 

 

 

Saratoga Investment Corp. CLO2013-1, Ltd. (a), (e), (g)

 Structured Finance Securities Other/Structured Finance Securities
19.50%, 1/20/2030
  1/22/2008  $69,500,000   24,899,215   28,024,105   15.0

Saratoga Investment Corp. CLO2013-1, Ltd.Class F-R-2
Note (a), (g)

 Structured Finance Securities Other/Structured Finance Securities
(3M USD LIBOR+8.75%), 11.25%, 1/20/2030
  12/14/2018  $2,500,000   2,500,000   2,485,183   1.3

Saratoga Investment Corp. CLO2013-1, Ltd.Class G-R-2
Note (a), (g)

 Structured Finance Securities Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 12.50%, 1/20/2030
  12/14/2018  $7,500,000   7,500,000   7,456,065   4.0
     

 

 

  

 

 

  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

9


Table of Contents

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 
  Total Structured Finance Securities    34,899,215   37,965,353   20.3
     

 

 

  

 

 

  

 

 

 

Sub Total Control investments

      78,739,023   87,945,041   47.0
     

 

 

  

 

 

  

 

 

 

TOTAL INVESTMENTS—219.2% (b)

     $405,358,584  $409,451,341   219.2
     

 

 

  

 

 

  

 

 

 
         Number of
Shares
  Cost  Fair Value  % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts—32.7% (b)

 

    

U.S. Bank Money Market (l)

 

  60,996,247  $60,996,247  $60,996,247   32.7
    

 

 

  

 

 

  

 

 

  

 

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

 

  60,996,247  $60,996,247  $60,996,247   32.7
    

 

 

  

 

 

  

 

 

  

 

 

 

 

(a)

Represents anon-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of May 31, 2019,non-qualifying assets represent 16.5% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio innon-qualifying assets.

(b)

Percentages are based on net assets of $186,783,701 as of May 31, 2019.

(c)

Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).

(d)

These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).

(e)

This investment does not have a stated interest rate that is payable thereon. As a result, the 19.50% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.

(f)

As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the quarter ended May 31, 2019 in which the issuer was an Affiliate are as follows:

 

Company

  Purchases   Sales   Total Interest
from
Investments
   Management Fee
Income
   Net Realized
Gain (Loss) from
Investments
   Net Change in
Unrealized
Appreciation
 

GreyHeller LLC

  $—     $—     $249,325   $—     $—     $130,344 

Elyria Foundry Company, L.L.C.

   —      —      40,150    —      —      39,600 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $289,475   $—     $—     $169,944 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to consolidated financial statements.

 

10


Table of Contents
(g)

As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the quarter ended May 31, 2019 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

  Purchases   Sales   Total Interest
from
Investments
   Management
Fee Income
   Net Realized
Gain (Loss) from
Investments
   Net Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

  $—     $—     $961,894   $—     $—     $(76,286

Easy Ice Masters, LLC

   —      —      130,808    —      —      4,762 

Netreo Holdings, LLC

   —      —      143,991    —      —      242,491 

Saratoga Investment Corp. CLO2013-1, Ltd.

   —      —      1,081,435    629,516    —      1,247,780 

Saratoga Investment Corp. CLO2013-1, Ltd.Class F-R-2 Notes

   —      —      72,982    —      —      1,683 

Saratoga Investment Corp. CLO2013-1, Ltd.Class G-R-2 Notes

     —      242,905    —      —      5,565 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $2,634,015   $629,516   $—     $1,425,995 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(h)

Non-income producing at May 31, 2019.

(i)

Includes securities issued by an affiliate of the Company.

(j)

All or a portion of this investment has an unfunded commitment as of May 31, 2019. (see Note 7 to the consolidated financial statements).

(k)

As of May 31, 2019, the investment was onnon-accrual status. The fair value of these investments was approximately $4.9 million, which represented 1.2% of the Company’s portfolio (see Note 2 to the consolidated financial statements).

(l)

Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of May 31, 2019.

LIBOR—London Interbank Offered Rate

1M USD LIBOR - The 1 month USD LIBOR rate as of May 31, 2019 was 2.43%.

3M USD LIBOR - The 3 month USD LIBOR rate as of May 31, 2019 was 2.50%.

PIK -Payment-in-Kind (see Note 2 to the consolidated financial statements).

 

 

See accompanying notes to consolidated financial statements.

 

11


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2019

 

Company

 Industry  

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Non-control/Non-affiliate investments—169.5% (b)

       

Apex Holdings Software Technologies, LLC

  Business Services  First Lien Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash, 9/21/2021
  9/21/2016  $18,000,000  $17,922,851  $18,000,000   10.0

Apex Holdings Software Technologies, LLC

  Business Services  Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash, 9/21/2021
  10/1/2018  $1,000,000   992,183   1,000,000   0.6

Avionte Holdings, LLC (h)

  Business Services  Class A Units  1/8/2014   100,000   100,000   635,781   0.4

CLEO Communications Holding, LLC

  Business Services  First Lien Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash/2.00% PIK, 3/31/2022
  3/31/2017  $13,514,320   13,437,153   13,514,320   7.5

CLEO Communications Holding, LLC

  Business Services  Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash/2.00% PIK, 3/31/2022
  3/31/2017  $12,142,015   12,040,280   12,142,015   6.7

Destiny Solutions Inc. (a)

  Business Services  First Lien Term Loan
(3M USD LIBOR+7.00%), 9.62% Cash, 5/16/2023
  5/16/2018  $8,500,000   8,426,441   8,489,800   4.7

Destiny Solutions Inc. (a), (j)

  Business Services  Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.62% Cash, 5/16/2023
  5/16/2018  $—     —     —     0.0

Destiny Solutions Inc. (a), (h), (i)

  Business Services  Limited Partner Interests  5/16/2018   999,000   999,000   1,062,440   0.6

Emily Street Enterprises, L.L.C.

  Business Services  Senior Secured Note
(3M USD LIBOR+8.50%), 11.12% Cash, 1/23/2020
  12/28/2012  $3,300,000   3,299,122   3,314,520   1.8

Emily Street Enterprises,
L.L.C. (h)

  Business Services  Warrant Membership Interests
Expires 12/28/2022
  12/28/2012   49,318   400,000   505,509   0.3

Erwin, Inc. (d)

  Business Services  Second Lien Term Loan
(3M USD LIBOR+11.50%), 14.12% Cash/1.00% PIK, 8/28/2021
  2/29/2016  $15,888,102   15,796,316   15,888,102   8.8

FMG Suite Holdings, LLC (d)

  Business Services  Second Lien Term Loan
(1M USD LIBOR+8.00%), 10.49% Cash, 11/16/2023
  5/16/2018  $23,000,000   22,844,123   23,000,000   12.7

 

See accompanying notes to consolidated financial statements.

 

12


Table of Contents

Company

 Industry 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net��Assets
 

GDS Holdings US, LLC (d)

 Business Services First Lien Term Loan
(3M USD LIBOR+7.00%), 9.62% Cash, 8/23/2023
  8/23/2018  $7,500,000   7,430,649   7,495,500   4.0

GDS Holdings US, LLC (j)

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.62% Cash, 8/23/2023
  8/23/2018  $—     —     —     0.0

GDS Software Holdings, LLC (h)

 Business Services Common Stock Class A Units  8/23/2018   250,000   250,000   277,139   0.2

Identity Automation Systems (h)

 Business Services Common Stock Class A Units  8/25/2014   232,616   232,616   629,555   0.3

Identity Automation Systems (d)

 Business Services First Lien Term Loan
(3M USD LIBOR+9.00%), 11.62% Cash, 3/31/2021
  8/25/2014  $24,100,000   23,991,294   24,100,000   13.3

Knowland Group, LLC

 Business Services Second Lien Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash, 5/9/2024
  11/9/2018  $15,000,000   15,000,000   15,000,000   8.3

Microsystems Company

 Business Services Second Lien Term Loan
(3M USD LIBOR+8.25%), 10.87% Cash, 7/1/2022
  7/1/2016  $18,000,000   17,889,554   17,881,200   9.9

National Waste Partners (d)

 Business Services Second Lien Term Loan
10.00% Cash, 2/13/2022
  2/13/2017  $9,000,000   8,942,155   8,864,100   4.9

Omatic Software, LLC

 Business Services First Lien Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash, 5/29/2023
  5/29/2018  $5,500,000   5,451,758   5,537,400   3.1

Omatic Software, LLC (j)

 Business Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 10.62% Cash, 5/29/2023
  5/29/2018  $—     —     —     0.0

Passageways, Inc.

 Business Services First Lien Term Loan
(3M USD LIBOR+7.75%), 10.37% Cash, 7/5/2023
  7/5/2018  $5,000,000   4,955,204   5,063,500   2.8

Passageways, Inc. (h)

 Business Services Series A Preferred Stock  7/5/2018   2,027,205   1,000,000   1,339,705   0.7

Vector Controls Holding Co.,
LLC (d)

 Business Services First Lien Term Loan
11.50% (9.75% Cash/1.75% PIK), 3/6/2022
  3/6/2013  $9,311,956   9,310,703   9,371,929   5.2

Vector Controls Holding Co.,
LLC (h)

 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343   —     2,210,149   1.2
     

 

 

  

 

 

  

 

 

 
  Total Business Services    190,711,402   195,322,664   108.0
     

 

 

  

 

 

  

 

 

 

Targus Holdings, Inc. (h)

 Consumer Products Common Stock  12/31/2009   210,456   1,713,605   505,094   0.3
     

 

 

  

 

 

  

 

 

 
  Total Consumer Products    1,713,605   505,094   0.3
     

 

 

  

 

 

  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

13


Table of Contents

Company

 Industry 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

My Alarm Center, LLC (k)

 Consumer Services Preferred Equity Class A Units
8.00% PIK
  7/14/2017   2,227   2,357,879   1,112,543   0.6

My Alarm Center, LLC (h)

 Consumer Services Preferred Equity Class B Units  7/14/2017   1,797   1,796,880   —     0.0

My Alarm Center, LLC

 Consumer Services Preferred Equity Class Z Units
25.00% PIK
  9/12/2018   676   655,987   2,053,514   1.1

My Alarm Center, LLC (h)

 Consumer Services Common Stock  7/14/2017   96,224   —     —     0.0
     

 

 

  

 

 

  

 

 

 
  Total Consumer Services    4,810,746   3,166,057   1.7
     

 

 

  

 

 

  

 

 

 

C2 Educational Systems (d)

 Education First Lien Term Loan
(3M USD LIBOR+7.00%), 9.62% Cash, 5/31/2020
  5/31/2017  $16,000,000   15,929,485   16,032,000   8.9

Kev Software Inc. (a)

 Education First Lien Term Loan
(1M USD LIBOR+8.63%), 11.12% Cash, 9/13/2023
  9/13/2018  $21,446,929   21,273,211   21,438,351   11.9

M/C Acquisition Corp., L.L.C. (h)

 Education Class A Common Stock  6/22/2009   544,761   30,241   —     0.0

M/C Acquisition Corp., L.L.C. (k)

 Education First Lien Term Loan
1.00% Cash, 3/31/2020
  8/10/2004  $2,315,090   1,189,177   6,260   0.0

Texas Teachers of Tomorrow, LLC (h), (i)

 Education Common Stock  12/2/2015   750,000   750,000   792,165   0.4

Texas Teachers of Tomorrow, LLC

 Education Second Lien Term Loan
(3M USD LIBOR+9.75%), 12.37% Cash, 6/2/2021
  12/2/2015  $10,000,000   9,952,251   9,807,000   5.4
     

 

 

  

 

 

  

 

 

 
  Total Education    49,124,365   48,075,776   26.6
     

 

 

  

 

 

  

 

 

 

TMAC Acquisition Co., LLC (k)

 Food and Beverage Unsecured Term Loan
8.00% PIK, 9/01/2023
  3/1/2018  $2,216,427   2,216,427   2,100,286   1.2
     

 

 

  

 

 

  

 

 

 
  Total Food and Beverage    2,216,427   2,100,286   1.2
     

 

 

  

 

 

  

 

 

 

Axiom Parent Holdings, LLC (h)

 Healthcare Services Common Stock Class A Units  6/19/2018   400,000   400,000   402,990   0.2

Axiom Purchaser, Inc. (d)

 Healthcare Services First Lien Term Loan
(3M USD LIBOR+6.00%), 8.62% Cash, 6/19/2023
  6/19/2018  $10,000,000   9,923,962   10,020,000   5.5

Axiom Purchaser, Inc. (j)

 Healthcare Services 

Delayed Draw Term Loan

(3M USD LIBOR+6.00%), 8.62% Cash, 6/19/2023

  6/19/2018  $—     —     —     0.0

Censis Technologies, Inc.

 Healthcare Services First Lien Term Loan B
(1M USD LIBOR+8.30%), 10.79% Cash, 9/27/2023
  7/25/2014  $19,950,000   19,877,861   19,991,895   11.1

 

See accompanying notes to consolidated financial statements.

 

14


Table of Contents

Company

 Industry 

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Censis Technologies, Inc. (h), (i)

 Healthcare Services Limited Partner Interests  7/25/2014   999   999,000   2,387,705   1.3

ComForCare Health Care

 Healthcare Services First Lien Term Loan
(3M USD LIBOR+7.50%), 10.12% Cash, 1/31/2022
  1/31/2017  $15,000,000   14,898,535   15,096,000   8.3

Ohio Medical, LLC (h)

 Healthcare Services Common Stock  1/15/2016   5,000   500,000   208,250   0.1

Ohio Medical, LLC

 Healthcare Services Senior Subordinated Note
12.00% Cash, 7/15/2021
  1/15/2016  $7,300,000   7,263,114   6,735,710   3.8

Roscoe Medical, Inc. (h)

 Healthcare Services Common Stock  3/26/2014   5,081   508,077   —     0.0

Roscoe Medical, Inc. (k)

 Healthcare Services Second Lien Term Loan
11.25% Cash, 3/28/2021
  3/26/2014  $4,200,000   4,189,094   2,499,000   1.4
  Total Healthcare Services    58,559,643   57,341,550   31.7
     

 

 

  

 

 

  

 

 

 

Sub TotalNon-control/Non-affiliate investments

     307,136,188   306,511,427   169.5
     

 

 

  

 

 

  

 

 

 

Affiliate investments - 6.3% (b)

       

GreyHeller LLC (f)

 Business Services First Lien Term Loan
(3M USD LIBOR+11.00%), 13.62% Cash, 11/16/2021
  11/17/2016  $7,000,000   6,956,976   7,140,000   4.0

GreyHeller LLC (f), (h)

 Business Services Series A Preferred Units  11/17/2016   850,000   850,000   1,496,169   0.8
     

 

 

  

 

 

  

 

 

 
  Total Business Services    7,806,976   8,636,169   4.8
     

 

 

  

 

 

  

 

 

 

Elyria Foundry Company,
L.L.C. (f), (h)

 Metals Common Stock  7/30/2010   60,000   9,685,028   1,804,200   1.0

Elyria Foundry Company,
L.L.C. (d), (f)

 Metals Second Lien Term Loan
15.00% PIK, 8/10/2022
  7/30/2010  $1,022,712   1,022,712   1,022,712   0.5
     

 

 

  

 

 

  

 

 

 
  Total Metals    10,707,740   2,826,912   1.5
     

 

 

  

 

 

  

 

 

 

Sub Total Affiliate investments

      18,514,716   11,463,081   6.3
     

 

 

  

 

 

  

 

 

 

Control investments—46.5% (b)

       

Easy Ice, LLC (g)

 Business Services Preferred Equity
10.00% PIK
  2/3/2017   5,080,000   9,683,612   13,357,444   7.4

Easy Ice, LLC (d), (g)

 Business Services Second Lien Term Loan
7.03% Cash/5.97% PIK, 2/28/2023
  3/29/2013  $21,184,063   21,126,021   21,268,799   11.8

Easy Ice Masters, LLC (d), (g)

 Business Services Second Lien Term Loan
7.03% Cash/5.97% PIK, 2/28/2023
  10/31/2018  $3,804,244   3,768,025   3,819,461   2.1

Netreo Holdings, LLC (g)

 Business Services First Lien Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.00% PIK,
7/3/2023
  7/3/2018  $5,067,057   5,021,133   5,092,899   2.8

 

See accompanying notes to consolidated financial statements.

 

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Company

 Industry  

Investment Interest Rate/
Maturity

 Original
Acquisition
Date
  Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 

Netreo Holdings, LLC (g), (h)

  Business Services  Common Stock Class A Unit  7/3/2018   3,150,000   3,150,000   5,179,101   2.9
     

 

 

  

 

 

  

 

 

 
  Total Business Services    42,748,791   48,717,704   27.0
     

 

 

  

 

 

  

 

 

 

Saratoga Investment Corp. CLO2013-1, Ltd. (a), (e), (g)

  Structured Finance Securities  Other/Structured Finance Securities
16.67%, 1/20/2030
  1/22/2008  $69,500,000   23,516,398   25,393,508   14.0

Saratoga Investment Corp. CLO2013-1, Ltd.Class F-R-2
Note (a), (g)

  Structured Finance Securities  Other/Structured Finance Securities
(3M USD LIBOR+8.75%), 11.37%, 1/20/2030
  12/14/2018  $2,500,000   2,500,000   2,483,500   1.4

Saratoga Investment Corp. CLO2013-1, Ltd.Class G-R-2
Note (a), (g)

  Structured Finance Securities  Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 12.62%, 1/20/2030
  12/14/2018  $7,500,000   7,500,000   7,450,500   4.1
     

 

 

  

 

 

  

 

 

 
  Total Structured Finance Securities    33,516,398   35,327,508   19.5
     

 

 

  

 

 

  

 

 

 

Sub Total Control investments

      76,265,189   84,045,212   46.5
     

 

 

  

 

 

  

 

 

 

TOTAL INVESTMENTS—222.3% (b)

     $401,916,093  $402,019,720   222.3
     

 

 

  

 

 

  

 

 

 
          Number of
Shares
  Cost  Fair Value  % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 34.3% (b)

 

    

U.S. Bank Money Market (l)

 

  62,094,394  $62,094,394  $62,094,394   34.3
    

 

 

  

 

 

  

 

 

  

 

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

 

  62,094,394  $62,094,394  $62,094,394   34.3
    

 

 

  

 

 

  

 

 

  

 

 

 

 

(a)

Represents anon-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of February 28, 2019,non-qualifying assets represent 16.5% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio innon-qualifying assets.

(b)

Percentages are based on net assets of $180,875,187 as of February 28, 2019.

(c)

Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).

(d)

These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 7 to the consolidated financial statements).

(e)

This investment does not have a stated interest rate that is payable thereon. As a result, the 16.67% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.

(f)

As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the year ended February 28, 2019 in which the issuer was an Affiliate are as follows:

 

Company

  Purchases   Sales   Total Interest
from
Investments
   Management and
Incentive Fee
Income
   Net Realized
Gain (Loss) from
Investments
   Net Change in
Unrealized
Appreciation
(Depreciation)
 

GreyHeller LLC

  $—     $—     $963,289   $—     $—     $776,012 

Elyria Foundry Company, L.L.C.

   —      —      150,284    —      —      (1,629,600
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $1,113,573   $—     $—     $(853,588
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

See accompanying notes to consolidated financial statements.

 

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Table of Contents
(g)

As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 28, 2019 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

 Purchases  Sales  Total
Interest
from
Investments
  Management and
Incentive Fee
Income
  Net Realized
Gain (Loss) from
Investments
  Net Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

 $1,684,448  $—    $3,424,369  $—    $—    $1,720,004 

Easy Ice Masters, LLC

  3,629,682   —     161,468   —     —     51,436 

Netreo Holdings, LLC

  8,100,000   —     374,843   —     —     2,100,867 

Saratoga Investment Corp. CLO2013-1, Ltd.

  14,268,609   (48,083  2,922,372   2,355,412   —     (701,722

Saratoga Investment Corp. CLO2013-1, Ltd. Class F Note

  —     (4,500,000  412,069   —     —     900 

Saratoga Investment Corp. CLO2013-1, Ltd.Class F-R-2 Notes

  2,500,000   —     61,761   —     —     (16,500

Saratoga Investment Corp. CLO2013-1, Ltd.Class G-R-2 Notes

  7,500,000   —     205,333   —     —     (49,500

Saratoga Investment Corp. CLO2013-1 Warehouse, Ltd.

  20,000,000   (20,000,000  511,731   —     —     —   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total

 $57,682,739  $(24,548,083 $8,073,946  $2,355,412  $—    $3,105,485 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

 

(h)

Non-income producing at February 28, 2019.

(i)

Includes securities issued by an affiliate of the Company.

(j)

All or a portion of this investment has an unfunded commitment as of February 28, 2019. (see Note 8 to the consolidated financial statements).

(k)

As of February 28, 2019, the investment was onnon-accrual status. The fair value of these investments was approximately $5.7 million, which represented 1.4% of the Company’s portfolio (see Note 2 to the consolidated financial statements).

(l)

Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of February 28, 2019.

LIBOR - London Interbank Offered Rate

1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2019 was 2.49%.

3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2019 was 2.62%.

PIK -Payment-in-Kind (see Note 2 to the consolidated financial statements).

 

See accompanying notes to consolidated financial statements.

 

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Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

   For the three months ended 
   May 31, 2019  May 31, 2018 

INCREASE FROM OPERATIONS:

   

Net investment income

  $3,680,788  $3,927,648 

Net realized gain from investments

   —     212,008 

Net change in unrealized appreciation on investments

   3,989,130   643,205 

Net change in provision for deferred taxes on unrealized appreciation on investments

   (20,930  (940,546
  

 

 

  

 

 

 

Net increase in net assets resulting from operations

   7,648,988   3,842,315 
  

 

 

  

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

   

Total distributions to shareholders

   (4,176,132  (3,128,513
  

 

 

  

 

 

 

Net decrease in net assets from shareholder distributions

   (4,176,132  (3,128,513
  

 

 

  

 

 

 

CAPITAL SHARE TRANSACTIONS:

   

Proceeds from issuance of common stock

   1,772,634   —   

Stock dividend distribution

   667,389   504,878 

Offering costs

   (4,365  —   
  

 

 

  

 

 

 

Net increase in net assets from capital share transactions

   2,435,658   504,878 
  

 

 

  

 

 

 

Total increase in net assets

   5,908,514   1,218,680 

Net assets at beginning of period, as previously reported

   180,875,187   143,691,367 

Cumulative effect of the adoption of ASC 606 (See Note 2)

   —     (65,300
  

 

 

  

 

 

 

Net assets at beginning of period, as adjusted

   180,875,187   143,626,067 
  

 

 

  

 

 

 

Net assets at end of period

  $186,783,701  $144,844,747 
  

 

 

  

 

 

 

 

See accompanying notes to consolidated financial statements.

 

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Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

   For the three months ended 
   May 31, 2019  May 31, 2018 

Operating activities

   

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $7,648,988  $3,842,315 

ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH PROVIDED BY OPERATING ACTIVITIES:

   

Payment-in-kind and other adjustments to cost

   (2,672,834  (758,415

Net accretion of discount on investments

   (318,260  (380,862

Amortization of deferred debt financing costs

   341,688   254,601 

Net realized (gain) loss from investments

   —     (212,008

Net change in unrealized (appreciation) depreciation on investments

   (3,989,130  (643,205

Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments

   20,930   940,546 

Proceeds from sales and repayments of investments

   26,917,351   36,540,803 

Purchases of investments

   (27,368,748  (35,203,552

(Increase) decrease in operating assets:

   

Interest receivable

   (68,898  (733,644

Due from affiliate

   430,550   —   

Management and incentive fee receivable

   262,266   49,099 

Cumulative effect of the adoption of ASC 606 (See Note 2)

   —     (65,300

Other assets

   45,304   40,331 

Deferred tax asset

   2,136   (267,310

Receivable from unsettled trades

   —     (159,271

Increase (decrease) in operating liabilities:

   

Base management and incentive fees payable

   837,285   173,779 

Accounts payable and accrued expenses

   (184,742  135,183 

Interest and debt fees payable

   (1,246,177  (1,036,724

Directors fees payable

   1,500   43,000 

Due to manager

   22,661   17,589 
  

 

 

  

 

 

 

NET CASH PROVIDED BY OPERATING ACTIVITIES

   681,870   2,576,955 
  

 

 

  

 

 

 

Financing activities

   

Payments of deferred debt financing costs

   (39,689  —   

Proceeds from issuance of common stock

   1,772,634   —   

Payments of cash dividends

   (3,508,743  (2,623,635

Payments of offering costs

   (4,219  —   
  

 

 

  

 

 

 

NET CASH USED IN FINANCING ACTIVITIES

   (1,780,017  (2,623,635
  

 

 

  

 

 

 

NET DECREASE IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS

   (1,098,147  (46,680

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD

   62,094,394   13,777,491 
  

 

 

  

 

 

 

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD

  $60,996,247  $13,730,811 
  

 

 

  

 

 

 

Supplemental information:

   

Interest paid during the period

  $4,769,065  $3,504,914 

Cash paid for taxes

   5,761   14,070 

Supplementalnon-cash information:

   

Payment-in-kind interest income

  $2,672,834  $758,415 

Net accretion of discount on investments

   318,260   380,862 

Amortization of deferred debt financing costs

   341,688   254,601 

Stock dividend distribution

   667,389   504,878 

See accompanying notes to consolidated financial statements.

 

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Table of Contents

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

May 31, 2019

(unaudited)

Note 1. Organization

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is anon-diversified closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (“BDC”) under the Investment Company Act of 1940 (the “1940 Act”). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed the initial public offering (“IPO”) on March 28, 2007. The Company has elected to be treated as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code (the “Code”). The Company expects to continue to qualify and to elect to be treated, for tax purposes, as a RIC. The Company’s investment objective is to generate current income and, to a lesser extent, capital appreciation from its investments.

GSC Investment, LLC (the “LLC”) was organized in May 2006 as a Maryland limited liability company. As of February 28, 2007, the LLC had not yet commenced its operations and investment activities.

On March 21, 2007, the Company was incorporated and concurrently therewith the LLC was merged with and into the Company, with the Company as the surviving entity, in accordance with the procedure for such merger in the LLC’s limited liability company agreement and Maryland law. In connection with such merger, each outstanding limited liability company interest of the LLC was converted into a share of common stock of the Company.

On July 30, 2010, the Company changed its name from “GSC Investment Corp.” to “Saratoga Investment Corp.” in connection with the consummation of a recapitalization transaction.

The Company is externally managed and advised by the investment adviser, Saratoga Investment Advisors, LLC (the “Manager”), pursuant to a management agreement (the “Management Agreement”). Prior to July 30, 2010, the Company was managed and advised by GSCP (NJ), L.P.

The Company has established wholly-owned subsidiaries, SIA-Avionte, Inc., SIA-Easy Ice, LLC, SIA-GH, Inc.,SIA-HT, Inc., SIA-MAC, Inc., SIA-TT, Inc. and SIA-Vector, Inc., which are structured as Delaware entities, or tax blockers (“Taxable Blockers”), to hold equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). Tax Blockers are consolidated for accounting purposes, but are not consolidated for income tax purposes and may incur income tax expense as a result of their ownership of portfolio companies.

On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received a Small Business Investment Company (“SBIC”) license from the Small Business Administration (“SBA”).

On September 27, 2018, the SBA issued a “green light” letter inviting us to file a formal license application for a second SBIC license. If approved, the additional SBIC license would provide the Company with an incremental source of long-term capital by permitting us to issue, subject to SBA approval, up to $175.0 million of additionalSBA-guaranteed debentures in addition to the $150.0 million already approved under the Company’s first license. Receipt of a green light letter from the SBA does not assure an applicant that the SBA will ultimately issue an SBIC license and the Company has received no assurance or indication from the SBA that it will receive an additional SBIC license, or of the timeframe in which it would receive an additional license, should one ultimately be granted.

 

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Table of Contents

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SIA-Avionte, Inc., SIA-Easy Ice, LLC, SIA-GH, Inc.,SIA-HT, Inc., SIA-MAC, Inc., SIA-TT, Inc. and SIA-Vector, Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.

The Company and SBIC LP are both considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services—Investment Companies” (“ASC 946”). There have been no changes to the Company or SBIC LP’s status as investment companies during the three months ended May 31, 2019.

Use of Estimates in the Preparation of Financial Statements

The preparation of the accompanying consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements, and income, gains (losses) and expenses during the period reported. Actual results could differ materially from those estimates.

Cash and Cash Equivalents

Cash and cash equivalents include short-term, liquid investments in a money market fund. Cash and cash equivalents are carried at cost which approximates fair value. Per section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another registered investment company such as, a money market fund if such investment would cause the Company to exceed any of the following limitations:

 

  

we were to own more than 3.0% of the total outstanding voting stock of the money market fund;

 

  

we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets, except as allowed pursuant to Rule12d1-1 of Section 12(d)(1) of the 1940 Act which is designed to permit “cash sweep” arrangements rather than investments directly in short-term instruments; or

 

  

we were to hold securities in money market funds and other registered investment companies and BDCs having an aggregate value in excess of 10.0% of the value of our total assets.

As of May 31, 2019, the Company did not exceed any of these limitations.

Cash and Cash Equivalents, Reserve Accounts

Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds, representing payments received on secured investments or other reserved amounts associated with the Company’s $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility.

In addition, cash and cash equivalents, reserve accounts also include amounts held in designated bank accounts, in the form of cash and short-term liquid investments in money market funds, within our wholly-owned subsidiary, SBIC LP.

 

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The statements of cash flows explain the change during the period in the total of cash, cash equivalents and amounts generally described as restricted cash and restricted cash equivalents when reconciling thebeginning-of-period andend-of-period total amounts.

The following table provides a reconciliation of cash and cash equivalents and cash and cash equivalents, reserve accounts reported within the consolidated statements of assets and liabilities that sum to the total of the same such amounts shown in the consolidated statements of cash flows:

 

   May 31, 2019   May 31, 2018 

Cash and cash equivalents

  $37,183,604   $3,313,448 

Cash and cash equivalents, reserve accounts

   23,812,643    10,417,363 
  

 

 

   

 

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

  $60,996,247   $13,730,811 
  

 

 

   

 

 

 

Investment Classification

The Company classifies its investments in accordance with the requirements of the 1940 Act. Under the 1940 Act, “Control Investments” are defined as investments in companies in which we own more than 25.0% of the voting securities or maintain greater than 50.0% of the board representation. Under the 1940 Act, “Affiliated Investments” are defined as thosenon-control investments in companies in which we own between 5.0% and 25.0% of the voting securities. Under the 1940 Act,“Non-affiliated Investments” are defined as investments that are neither Control Investments nor Affiliated Investments.

Investment Valuation

The Company accounts for its investments at fair value in accordance with the FASB ASC Topic 820,Fair Value Measurement (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Company to assume that its investments are to be sold or its liabilities are to be transferred at the balance sheet date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third party independent valuation firm. Determinations of fair value may involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.

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

 

  

Each investment is initially valued by the responsible investment professionals of Saratoga Investment Advisors and preliminary valuation conclusions are documented, reviewed and discussed with our senior management; and

 

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An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year.

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

 

  

The audit committee of our board of directors reviews and approves each preliminary valuation and our Manager and independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and

 

  

Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of our Manager, independent valuation firm (to the extent applicable) and the audit committee of our board of directors.

The Company’s investment in Saratoga Investment Corp. CLO2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. The Company’s net asset value could be materially affected if the determinations regarding the fair value of our investments were materially higher or lower than the values that we ultimately realize upon the disposal of such investments.

Derivative Financial Instruments

The Company accounts for derivative financial instruments in accordance with FASB ASC Topic 815,Derivatives and Hedging(“ASC 815”). ASC 815 requires recognizing all derivative instruments as either assets or liabilities on the consolidated statements of assets and liabilities at fair value. The Company values derivative contracts at the closing fair value provided by the counterparty. Changes in the values of derivative contracts are included in the consolidated statements of operations.

Investment Transactions and Income Recognition

Purchases and sales of investments and the related realized gains or losses are recorded on a trade-date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis to the extent that such amounts are expected to be collected. The Company stops accruing interest on its investments when it is determined that interest is no longer collectible. Discounts and premiums on investments purchased are accreted/amortized over the life of the respective investment using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts and amortization of premiums on investments.

Loans are generally placed onnon-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed onnon-accrual status. Interest

 

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payments received onnon-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability.Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. At May 31, 2019, certain investments in four portfolio companies, including preferred equity interests, were onnon-accrual status with a fair value of approximately $4.9 million, or 1.2% of the fair value of our portfolio. At February 28, 2019, certain investments in four portfolio companies, including preferred equity interests, were onnon-accrual status with a fair value of approximately $5.7 million, or 1.4% of the fair value of our portfolio.

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325,Investments-Other, Beneficial Interests in Securitized Financial Assets, (“ASC 325”), based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/orre-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

Adoption of ASC 606

In May 2014, the FASB issued ASU2014-09,Revenue from Contracts with Customers(“ASC 606”), which supersedes the revenue recognition requirements in Revenue Recognition (ASC 605). In May 2016, ASU2016-12 amended ASU2014-09 and deferred the effective period for annual periods beginning after December 15, 2017.

Under the new guidance, the Company recognizes revenue in a way that depicts the transfer of promised goods or services to customers in an amount that reflects the consideration to which the Company expects to be entitled in exchange for those goods or services. Under this standard, revenue is based on a contract with a determinable transaction price and distinct performance obligations with probable collectability. Revenues cannot be recognized until the performance obligation(s) are satisfied and control is transferred to the customer. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606, and has concluded that the only significant impact relates to the timing of the recognition of the CLO incentive fee income. The adoption of ASC 606 did not have an impact on the Company’s management fee income or investment income.

The Company adopted ASC 606 to all applicable contracts under the modified retrospective approach using the practical expedient provided for within paragraph606-10-65-1(f)(4); therefore, the presentation of prior year periods has not been adjusted. The Company recognized the cumulative effect of initially adopting ASC 606 as an adjustment to the opening balance of components of equity as of March 1, 2018.

Incentive Fee Income

Incentive fee income is recognized based on the performance of Saratoga CLO during the period, subject to the achievement of minimum return levels in accordance with the terms set out in the investment management agreement between the Company and Saratoga CLO. Incentive fee income is realized in cash on a quarterly basis. Once realized, such fees are no longer subject to reversal.

Upon the adoption of ASC 606, the Company recognizes incentive fee income only when the amount is realized and no longer subject to reversal. Therefore, the Company no longer recognizes unrealized incentive fee income in the consolidated financial statements. The adoption of ASC 606 results in the delayed recognition of unrealized incentive fee income in the consolidated financial statements until it becomes realized at the end of the measurement period and all uncertainties are eliminated, which is typically quarterly.

 

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The Company adopted ASC 606 for incentive fee income using the modified retrospective approach with an effective date of March 1, 2018. The cumulative effect of the adoption resulted in the reversal of $0.07 million of unrealized incentive fee income and is presented as a reduction to the opening balances of components of equity as of March 1, 2018.

In conjunction with the third refinancing and issuance of the Saratoga CLO’s2013-1 Reset CLO Notes (the“2013-1 Reset CLO Notes”) on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. See Note 4 for additional information. Prior to the refinancing, the Company reported $0.2 million in incentive fees from the Saratoga CLO for the three months ended May 31, 2018 and is reported as incentive fee income on the Company’s consolidated statement of operations.

The following table presents the impact of incentive fees on the consolidated statement of assets and liabilities upon the adoption of ASC 606 effective March 1, 2018:

Consolidated Statement of Assets and Liabilities

 

   February 28, 2018 
   As Reported   Adjustments(1)  As Adjusted for
Adoption of
ASC 606
 

Management and incentive fee receivable

  $233,024   $(65,300 $167,724 

Total assets

   360,336,361    (65,300  360,271,061 

Cumulative effect adjustment for Adoption of ASC 606

   —      (65,300  (65,300

Total net assets

   143,691,367    (65,300  143,626,067 

NET ASSET VALUE PER SHARE

  $22.96   $(0.01 $22.95 

 

(1)

Unrealized incentive fees receivable balance as of February 28, 2018.

Without the adoption of ASC 606, there was no impact to either the consolidated statements of assets and liabilities as of May 31, 2019 and February 28, 2019 or the consolidated statement of operations for the three months ended May 31, 2019.

For the three months ended May 31, 2018, the impact on the consolidated statement of operations without the adoption of ASC 606 is shown in the table below:

Consolidated Statement of Operations

 

   For the Three Months Ended May 31, 2018 
   As Reported   Adjustments   Without
Adoption of
ASC 606
 

Incentive fee income

  $199,183   $27,652   $226,835 

Total investment income

   10,488,018    27,652    10,515,670 

NET INVESTMENT INCOME

   3,927,648    27,652    3,955,300 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   3,842,315    27,652    3,869,967 

WEIGHTED AVERAGE—BASIC AND DILUTED EARNINGS PER COMMON SHARE

  $0.61   $0.01   $0.62 

Other Income

Other income includes dividends received, origination fees, structuring fees and advisory fees, and is recorded in the consolidated statements of operations when earned.

 

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Payment-in-Kind Interest

The Company holds debt and preferred equity investments in its portfolio that contain apayment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due.

Deferred Debt Financing Costs

Financing costs incurred in connection with our credit facility and notes are deferred and amortized using the straight-line method over the life of the respective facility and debt securities. Financing costs incurred in connection with our SBA debentures are deferred and amortized using the straight-line method over the life of the debentures.

The Company presents deferred debt financing costs on the balance sheet as a contra-liability as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.

Contingencies

In the ordinary course of business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management feels that the likelihood of such an event is remote. Therefore, the Company has not accrued any liabilities in connection with such indemnifications.

In the ordinary course of business, the Company may directly or indirectly be a defendant or plaintiff in legal actions with respect to bankruptcy, insolvency or other types of proceedings. Such lawsuits may involve claims that could adversely affect the value of certain financial instruments owned by the Company.

Income Taxes

The Company has elected to be treated for tax purposes as a RIC under the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes, except as related to the Taxable Blockers when applicable.

In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least 90.0% of its investment company taxable income, as defined by the Code, for each fiscal tax year. The Company will be subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does not distribute at least 98.0% of its ordinary income in any calendar year and 98.2% of its capital gain net income for eachone-year period ending on October 31.

Depending on the level of taxable income earned in a tax year, the Company may choose to carry forward taxable income in excess of current year dividend distributions into the next tax year and pay a 4.0% excise tax on such income, as required. To the extent that the Company determines that its estimated current year annual taxable income will be in excess of estimated current year dividend distributions for excise tax purposes, the Company accrues excise tax, if any, on estimated excess taxable income as taxable income is earned.

In accordance with certain applicable U.S. Treasury regulations and private letter rulings issued by the Internal Revenue Service (“IRS”), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution. If too many stockholders elect to receive cash, each stockholder electing to receive cash will receive a pro rata amount of cash (with the balance of the distribution paid in stock). In no event will any stockholder, electing to receive cash, receive less than 20.0% of his or her

 

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entire distribution in cash. If these and certain other requirements are met, for U.S. federal income tax purposes, the amount of the dividend paid in stock will be equal to the amount of cash that could have been received instead of stock.

The Company may utilize wholly-owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet itssource-of-income requirements as a RIC. Taxable Blockers are consolidated in the Company’s GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’stax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s GAAP andtax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likelythan-not that some portion or all of the deferred tax assets will not be realized.

FASB ASC Topic 740,Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are“more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a“more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2019, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2016, 2017 and 2018 federal tax years for the Company remain subject to examination by the IRS. As of May 31, 2019 and February 28, 2019, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.

Dividends

Dividends to common stockholders are recorded on theex-dividend date. The amount to be paid out as a dividend is determined by the board of directors. Net realized capital gains, if any, are generally distributed at least annually, although we may decide to retain such capital gains for reinvestment.

We have adopted a dividend reinvestment plan (“DRIP”) that provides for reinvestment of our dividend distributions on behalf of our stockholders unless a stockholder elects to receive cash. As a result, if our board of directors authorizes, and we declare, a cash dividend, then our stockholders who have not “opted out” of the DRIP by the dividend record date will have their cash dividends automatically reinvested into additional shares of our common stock, rather than receiving the cash dividends. We have the option to satisfy the share requirements of the DRIP through the issuance of new shares of common stock or through open market purchases of common stock by the DRIP plan administrator.

Capital Gains Incentive Fee

The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the consolidated statements of assets and liabilities, by the Company to the Manager when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time.

 

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The actual incentive fee payable to the Company’s Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains net of realized and unrealized losses for the period.

Regulatory Matters

In August 2018, the SEC issued Final Rule ReleaseNo.33-10532,Disclosure Update and Simplification, which in part amends certain disclosure requirements of RegulationS-X that have become redundant, duplicative, overlapping, outdated, or superseded, in light of other Commission disclosure requirements, U.S. GAAP or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The effective date for these disclosures was November 5, 2018. Management has adopted these amendments as currently required and these are reflected in the Company’s consolidated financial statements and related disclosures. The presentation of certain prior year information has been adjusted to conform with these amendments.

New Accounting Pronouncements

In August 2018, FASB issued ASU2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement(“ASU2018-13”). The primary focus of ASU2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has assessed these changes and does not believe they would have a material impact on the Company’s consolidated financial statements and disclosures.

In March 2017, the FASB issued ASU2017-08,Receivables—Nonrefundable Fees and Other Costs (Subtopic310-20), Premium Amortization on Purchased Callable Debt Securities(“ASU2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management has assessed these changes and concluded these changes do not have a material impact on the Company’s consolidated financial statements and disclosures.

Risk Management

In the ordinary course of its business, the Company manages a variety of risks, including market risk and credit risk. Market risk is the risk of potential adverse changes to the value of investments because of changes in market conditions such as interest rate movements and volatility in investment prices.

Credit risk is the risk of default ornon-performance by portfolio companies, equivalent to the investment’s carrying amount. The Company is also exposed to credit risk related to maintaining all of its cash and cash equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.

The Company has investments in lower rated and comparable quality unrated high yield bonds and bank loans. Investments in high yield investments are accompanied by a greater degree of credit risk. The risk of loss due to default by the issuer is significantly greater for holders of high yield securities, because such investments are generally unsecured and are often subordinated to other creditors of the issuer.

 

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Note 3. Investments

As noted above, the Company values all investments in accordance with ASC 820. ASC 820 requires enhanced disclosures about assets and liabilities that are measured and reported at fair value. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability of inputs used in measuring investments at fair value. 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 fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three categories:

 

  

Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.

 

  

Level 2— Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments which are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed.

 

  

Level 3— Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. These inputs into the determination of fair value may require significant management judgment or estimation. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation methodology.

In addition to using the above inputs in investment valuations, the Company continues to employ the valuation policy approved by the board of directors that is consistent with ASC 820 and the 1940 Act (see Note 2). Consistent with our valuation policy, we evaluate the source of inputs, including any markets in which our investments are trading, in determining fair value.

 

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The following table presents fair value measurements of investments, by major class, as of May 31, 2019 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements 
   Level 1   Level 2   Level 3   Total 

First lien term loans

  $—     $—     $219,479   $219,479 

Second lien term loans

   —      —      109,305    109,305 

Unsecured term loans

   —      —      2,058    2,058 

Structured finance securities

   —      —      37,965    37,965 

Equity interests

   —      —      40,644    40,644 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $409,451   $409,451 
  

 

 

   

 

 

   

 

 

   

 

 

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2019 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements 
   Level 1   Level 2   Level 3   Total 

First lien term loans

  $—     $—     $202,846   $202,846 

Second lien term loans

   —      —      125,786    125,786 

Unsecured term loans

   —      —      2,100    2,100 

Structured finance securities

   —      —      35,328    35,328 

Equity interests

   —      —      35,960    35,960 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $402,020   $402,020 
  

 

 

   

 

 

   

 

 

   

 

 

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2019 (dollars in thousands):

 

  First lien
term loans
  Second
lien term
loans
  Unsecured
term loans
  Structured
finance
securities
  Equity
interests
  Total 

Balance as of February 28, 2019

 $202,846  $125,786  $2,100  $35,328  $35,960  $402,020 

Payment-in-kind and other adjustments to cost

  323   1,043   —     1,383   242   2,991 

Net change in unrealized appreciation (depreciation) on investments

  (217  476   (42  1,254   2,517   3,988 

Purchases

  25,444   —     —     —     1,925   27,369 

Sales and repayments

  (8,917  (18,000  —     —     —     (26,917

Net realized gain (loss) from investments

  —     —     —     —     —     —   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Balance as of May 31, 2019

 $219,479  $109,305  $2,058  $37,965  $40,644  $409,451 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period

 $(217 $468  $(42 $1,254  $2,517  $3,980 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Purchases and other adjustments to cost include purchases of new investments at cost, effects of refinancing/restructuring, accretion/amortization of income from discount/premium on debt securities, and PIK.

Sales and repayments represent net proceeds received from investments sold, and principal paydowns received during the period.

 

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Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no restructures in or out of Levels 1, 2 or 3 during the three months ended May 31, 2019.

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2018 (dollars in thousands):

 

  Syndicated
loans
  First lien
term loans
  Second
lien term
loans
  Unsecured
term loans
  Structured
finance
securities
  Equity
interests
  Total 

Balance as of February 28, 2018

 $4,106  $197,359  $95,075  $—    $16,374  $29,780  $342,694 

Payment-in-kind and other adjustments to cost

  73   271   531   —     —     265   1,140 

Net change in unrealized appreciation (depreciation) on investments

  (73  (22  (186  (66  130   860   643 

Purchases

  —     16,335   15,653   2,216   —     999   35,203 

Sales and repayments

  (4,106  (18,387  (14,000  —     (48  —     (36,541

Net realized gain from investments

  —     212   —     —     —     —     212 

Restructures in

  —     —     —     —     —     —     —   

Restructures out

  —     —     —     —     —     —     —   
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Balance as of May 31, 2018

 $—    $195,768  $97,073  $2,150  $16,456  $31,904  $343,351 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period

 $—    $(167 $(93 $(66 $130  $860  $664 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of May 31, 2019 were as follows (dollars in thousands):

 

                                                                                                                        
  Fair Value  Valuation Technique  

Unobservable Input

 Range  Weighted Average* 

First lien term loans

 $219,479   Market Comparables  Market Yield (%)  8.5% - 13.0%   10.8% 
   EBITDA Multiples (x)  3.0x   3.0x 

Second lien term loans

  109,305   Market Comparables  Market Yield (%)  10.5% - 47.5%   12.7% 
        EBITDA Multiples (x) 5.0x  5.0x 

Unsecured term loans

  2,058   Market Comparables  Market Yield (%)  19.2%- 19.2%   19.2% 
   EBITDA Multiples (x)  4.8x   4.8x 

Structured finance securities

  37,965   Discounted Cash Flow  Discount Rate (%)  9.0% - 15.0%   13.7% 

Equity interests

  40,644   Market Comparables  EBITDA Multiples (x)  4.0x - 14.0x   7.3x 
   Revenue Multiples (x)  0.6x - 39.5x   8.2x 
 

 

 

     

Total

 $409,451     
 

 

 

     

 

*

The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

 

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The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2019 were as follows (dollars in thousands):

 

                                                                                                                        
  Fair Value  Valuation Technique  

Unobservable Input

 Range  Weighted Average* 

First lien term loans

 $202,846   Market Comparables  Market Yield (%)  8.6% - 13.2%   11.0% 
   EBITDA Multiples (x)  3.0x   3.0x 

Second lien term loans

  125,786   Market Comparables  Market Yield (%)  10.5% - 41.1%   12.8% 
   EBITDA Multiples (x)  5.0x   5.0x 

Unsecured term loans

  2,100   Market Comparables  Market Yield (%)  15.00%   15.0% 
   EBITDA Multiples (x)  4.8x   4.8x 

Structured finance securities

  35,328   Discounted Cash Flow  Discount Rate (%)  9.0%- 15.0%   13.6% 

Equity interests

  35,960   Market Comparables  EBITDA Multiples (x)  4.0x - 14.7x   6.7x 
   Revenue Multiples (x)  0.6x - 39.6x   10.1x 
 

 

 

     

Total

 $402,020     
 

 

 

     

 

*

The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

For investments utilizing a market comparables valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the earnings before interest, tax, depreciation and amortization (“EBITDA”) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. For investments utilizing a market quote in deriving a value, a significant increase (decrease) in the market quote, in isolation, would result in a significantly higher (lower) fair value measurement.

The composition of our investments as of May 31, 2019 at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized
Cost
   Amortized Cost
Percentage of Total
Portfolio
  Investments at
Fair Value
   Fair Value
Percentage of Total
Portfolio
 

First lien term loans

  $219,178    54.1 $219,479    53.6

Second lien term loans

   110,836    27.3   109,305    26.7 

Unsecured term loans

   2,217    0.6   2,058    0.5 

Structured finance securities

   34,899    8.6   37,965    9.3 

Equity interests

   38,229    9.4   40,644    9.9 
  

 

 

   

 

 

  

 

 

   

 

 

 

Total

  $405,359    100.0 $409,451    100.0
  

 

 

   

 

 

  

 

 

   

 

 

 

The composition of our investments as of February 28, 2019 at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized
Cost
   Amortized Cost
Percentage of Total
Portfolio
  Investments at
Fair Value
   Fair Value
Percentage of Total
Portfolio
 

First lien term loans

  $202,328    50.3 $202,846    50.5

Second lien term loans

   127,793    31.8   125,786    31.3 

Unsecured term loans

   2,217    0.6   2,100    0.5 

Structured finance securities

   33,516    8.3   35,328    8.8 

Equity interests

   36,062    9.0   35,960    8.9 
  

 

 

   

 

 

  

 

 

   

 

 

 

Total

  $401,916    100.0 $402,020    100.0
  

 

 

   

 

 

  

 

 

   

 

 

 

 

32


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For loans and debt securities for which market quotations are not available, we determine their fair value based on third party indicative broker quotes, where available, or the assumptions that a hypothetical market participant would use to value the security in a current hypothetical sale using a market yield valuation methodology. In applying the market yield valuation methodology, we determine the fair value based on such factors as market participant assumptions including synthetic credit ratings, estimated remaining life, current market yield and interest rate spreads of similar securities as of the measurement date. If, in our judgment, the market yield methodology is not sufficient or appropriate, we may use additional methodologies such as an asset liquidation or expected recovery model.

For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then waterfall the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. Fornon-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. We also take into account historical and anticipated financial results.

Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. In connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at May 31, 2019. The significant inputs at May 31, 2019 for the valuation model include:

 

  

Default rate: 2.0%

 

  

Recovery rate:35-70%

 

  

Discount rate: 15.0%

 

  

Prepayment rate: 20.0%

 

  

Reinvestment rate / price: L+375bps / $99.50

Note 4. Investment in Saratoga Investment Corp. CLO2013-1, Ltd. (“Saratoga CLO”)

On January 22, 2008, the Company entered into a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, the Company completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.

 

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Table of Contents

On August 7, 2018, the Company entered into an unsecured loan agreement (“CLO2013-1 Warehouse Loan”) with Saratoga Investment Corp. CLO2013-1 Warehouse, Ltd (“CLO2013-1 Warehouse”), a wholly-owned subsidiary of Saratoga CLO, pursuant to which CLO2013-1 Warehouse may borrow from time to time up to $20 million from the Company in order to provide capital necessary to support warehouse activities. The CLO2013-1 Warehouse Loan, which expires on February 7, 2020, bears interest at an annual rate of 3M USD LIBOR + 7.5%. Interest accrued on the investment in the CLO2013-1 Warehouse Loan is included in interest income on the Company’s consolidated statement of operations. During the year ended February 28, 2019, the maximum amount invested by the Company in the CLO2013-1 Warehouse Loan amounted to $20.0 million.

On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the“2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. Anon-call period ending January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of theClass F-R-2 and $7.5 million aggregate principal amount of theClass G-R-2 notes tranches at par, with a coupon of LIBOR plus 8.75% and LIBOR plus 10.00%, respectively. As part of this refinancing, the Company also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par.

The Saratoga CLO remains 100.0% owned and managed by the Company. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

For the three months ended May 31, 2019 and May 31, 2018, we accrued management fee income of $0.6 million and $0.4 million, respectively, and interest income of $1.1 million and $0.8 million, respectively, from the Saratoga CLO. For the three months ended May 31, 2018, we accrued $0.2 million related to the incentive management fee from Saratoga CLO.

As of May 31, 2019, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $28.0 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of May 31, 2019, the fair value of its investment in theClass F-R-2 Notes andG-R-2 Notes of Saratoga CLO was $2.5 million and $7.5 million, respectively. As of May 31, 2019, Saratoga CLO had investments with a principal balance of $513.4 million and a weighted average spread over LIBOR of 4.0% and had debt with a principal balance of $470.0 million with a weighted average spread over LIBOR of 2.0%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. As of May 31, 2019, the present value of the projected future cash flows of the subordinated notes was approximately $28.6 million, using a 15.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $43.8 million, which is comprised of the initial investment of $30.0 million in January 2008 plus the additional investment of $13.8 million in December 2018, and to date the Company has since received distributions of $55.9 million, management fees of $20.2 million and incentive fees of $1.2 million.

As of February 28, 2019, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $25.4 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the

 

34


Table of Contents

subordinated notes over the life of Saratoga CLO. As of February 28, 2019, the fair value of its investment in theClass F-R-2 Notes andG-R-2 Notes of Saratoga CLO was $2.5 million and $7.5 million, respectively. As of February 28, 2019, Saratoga CLO had investments with a principal balance of $510.3 million and a weighted average spread over LIBOR of 4.0% and had debt with a principal balance of $470.0 million with a weighted average spread over LIBOR of 2.3%. As of February 28, 2019, the present value of the projected future cash flows of the subordinated notes was approximately $26.6 million, using a 15.0% discount rate.

Below is certain financial information from the separate financial statements of Saratoga CLO as of May 31, 2019 (unaudited) and February 28, 2019 and for the three months ended May 31, 2019 (unaudited) and May 31, 2018 (unaudited).

 

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Table of Contents

Saratoga Investment Corp. CLO2013-1, Ltd.

Statements of Assets and Liabilities

 

   May 31, 2019  February 28, 2019 
   (unaudited)    

ASSETS

   

Investments at fair value

   

Loans at fair value (amortized cost of $508,645,633 and $506,145,483, respectively)

  $497,734,598  $498,389,369 

Equities at fair value (amortized cost of $2,566,752 and $3,531,218, respectively)

   151   15,691 
  

 

 

  

 

 

 

Total investments at fair value (amortized cost of $511,212,385 and $509,676,701, respectively)

   497,734,749   498,405,060 

Cash and cash equivalents

   8,579,399   18,495,653 

Receivable from open trades

   1,204,614   7,855,309 

Interest receivable (net of reserve of $291,580 and $168,443, respectively)

   1,886,128   2,104,495 
  

 

 

  

 

 

 

Total assets

  $509,404,890  $526,860,517 
  

 

 

  

 

 

 

LIABILITIES

   

Interest payable

  $2,461,179  $4,963,472 

Payable from open trades

   14,504,906   26,232,247 

Accrued base management fee

   55,966   108,419 

Accrued subordinated management fee

   223,862   433,675 

Due to affiliate

   1,243,197   1,673,747 

Accounts payable and accrued expenses

   23,136   1,221,110 

Saratoga Investment Corp. CLO2013-1, Ltd. Notes:

   

Class  A-1FL-R-2 Senior Secured Floating Rate Notes

   255,000,000   255,000,000 

Class  A-1FXD-R-2 Senior Secured Fixed Rate Notes

   25,000,000   25,000,000 

Class-A-2-R-2 Senior Secured Floating Rate Notes

   40,000,000   40,000,000 

Class B-R-2 Senior Secured Floating Rate Notes

   59,500,000   59,500,000 

Class C-R-2 Deferrable Mezzanine Floating Rate Notes

   22,500,000   22,500,000 

Discount onClass C-R-2 Notes

   (571,332  (585,059

Class D-R-2 Deferrable Mezzanine Floating Rate Notes

   31,000,000   31,000,000 

Discount onClass D-R-2 Notes

   (1,039,656  (1,064,636

Class  E-1-R-2 Deferrable Mezzanine Floating Rate Notes

   27,000,000   27,000,000 

Class  E-2-R-2 Deferrable Mezzanine Fixed Rate Notes

   —     —   

Class F-R-2 Deferrable Junior Floating Rate Notes

   2,500,000   2,500,000 

Class G-R-2 Deferrable Junior Floating Rate Notes

   7,500,000   7,500,000 

Deferred debt financing costs

   (2,408,435  (2,465,897

Subordinated Notes

   69,500,000   69,500,000 

Discount on Subordinated Notes

   (24,664,279  (25,256,892
  

 

 

  

 

 

 

Total liabilities

  $529,328,544  $544,760,186 
  

 

 

  

 

 

 

NET ASSETS

   

Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 issued and outstanding, respectively

  $250  $250 

Total distributable earnings (loss)

   (19,923,904  (17,899,919
  

 

 

  

 

 

 

Total net assets (deficit)

   (19,923,654  (17,899,669
  

 

 

  

 

 

 

Total liabilities and net assets

  $509,404,890  $526,860,517 
  

 

 

  

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO2013-1, Ltd.

Statements of Operations

(unaudited)

 

   For the three months ended 
   May 31, 2019  May 31, 2018 

INVESTMENT INCOME

   

Interest from investments

  $8,203,707  $5,032,427 

Interest from cash and cash equivalents

   7,363   4,015 

Other income

   140,123   142,957 
  

 

 

  

 

 

 

Total investment income

   8,351,193   5,179,399 
  

 

 

  

 

 

 

EXPENSES

   

Interest and debt financing expenses

   6,418,808   3,994,176 

Base management fee

   125,903   77,039 

Subordinated management fee

   503,613   308,155 

Incentive fees

   —     226,835 

Professional fees

   124,508   25,888 

Trustee expenses

   19,879   45,468 

Miscellaneous fee expense

   32,538   27,389 
  

 

 

  

 

 

 

Total expenses

   7,225,249   4,704,950 
  

 

 

  

 

 

 

NET INVESTMENT INCOME

   1,125,944   474,449 
  

 

 

  

 

 

 

REALIZED AND UNREALIZED LOSS ON INVESTMENTS:

   

Net realized loss on investments

   (943,934  (1,157,929

Net change in unrealized depreciation on investments

   (2,205,995  (110,177
  

 

 

  

 

 

 

Net realized and unrealized loss on investments

   (3,149,929  (1,268,106
  

 

 

  

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $(2,023,985 $(793,657
  

 

 

  

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO2013-1 Ltd.

Schedule of Investments

May 31, 2019

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Education Management II LLC

 Services: Consumer Education Management II A-1 Preferred Shares Equity  -       6,692  $669,214  $134 

Education Management II LLC

 Services: Consumer Education Management IIA-2 Preferred Shares Equity  -       18,975   1,897,538   17 

24 Hour Fitness Worldwide Inc.

 Services: Consumer Term Loan (5/18) Loan  1M USD LIBOR+   3.50  0.00  5.93  5/30/2025  $2,982,487   2,971,392   2,965,100 

ABB Con-Cise Optical Group LLC

 Healthcare & Pharmaceuticals Term Loan B Loan  3M USD LIBOR+   5.00  1.00  7.50  6/15/2023   2,098,066   2,074,926   1,966,936 

Achilles Acquisition LLC

 Banking Finance Insurance & Real Estate Term Loan (09/18) Loan  1M USD LIBOR+   4.00  0.00  6.43  10/13/2025   3,000,000   2,993,593   2,992,500 

Acosta Inc.

 Media: Advertising Printing & Publishing Term Loan B (1st Lien) Loan  1M USD LIBOR+   3.25  1.00  5.68  9/27/2021   1,910,400   1,904,699   788,040 

ADMI Corp.

 Services: Consumer Term Loan B Loan  1M USD LIBOR+   2.75  0.00  5.18  4/30/2025   1,985,000   1,976,388   1,956,873 

Advantage Sales & Marketing Inc.

 Services: Business First Lien Term Loan Loan  1M USD LIBOR+   3.25  1.00  5.68  7/23/2021   2,389,899   2,388,562   2,067,574 

Advantage Sales & Marketing Inc.

 Services: Business Term Loan B Incremental Loan  1M USD LIBOR+   3.25  1.00  5.68  7/23/2021   493,719   487,181   424,909 

Aegis Toxicology Sciences Corporation

 Healthcare & Pharmaceuticals Term Loan Loan  3M USD LIBOR+   5.50  1.00  8.00  5/9/2025   3,980,000   3,946,077   3,831,984 

Agiliti Health Inc.

 Healthcare & Pharmaceuticals Term Loan (1/19) Loan  1M USD LIBOR+   3.00  0.00  5.43  1/5/2026   500,000   500,000   500,000 

Agrofresh Inc.

 Beverage Food & Tobacco Term Loan Loan  6M USD LIBOR+   4.75  1.00  7.27  7/30/2021   2,912,180   2,908,470   2,824,814 

AI Mistral (Luxembourg) Subco Sarl

 High Tech Industries Term Loan Loan  1M USD LIBOR+   3.00  1.00  5.43  3/11/2024   490,000   490,000   426,300 

AIS Holdco LLC

 Services: Business Term Loan Loan  3M USD LIBOR+   5.00  0.00  7.50  8/15/2025   2,468,750   2,457,800   2,271,250 

Akorn Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+   7.00  1.00  9.43  4/16/2021   398,255   397,752   371,624 

Albertson’s LLC

 Retail Term Loan B7 Loan  1M USD LIBOR+   3.00  0.75  5.43  11/17/2025   4,141,132   4,130,851   4,113,717 

Alchemy US Holdco 1 LLC

 Metals & Mining Term Loan Loan  1M USD LIBOR+   5.50  0.00  7.93  10/10/2025   1,987,500   1,959,956   1,977,562 

Alera Group Intermediate Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+   4.50  0.00  6.93  8/1/2025   497,500   496,377   498,744 

Alion Science and Technology Corporation

 Aerospace & Defense Term Loan B (1st Lien) Loan  1M USD LIBOR+   4.50  1.00  6.93  8/19/2021   3,626,521   3,620,887   3,626,521 

 

38


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Allen Media LLC

 Media: Diversified & Production Term Loan B Loan  4M USD LIBOR+   6.50  1.00  7.50  8/30/2023   2,962,500   2,898,258   2,943,984 

Altisource S.a r.l.

 Banking Finance Insurance & Real Estate Term Loan B (03/18) Loan  3M USD LIBOR+   4.00  1.00  6.50  4/3/2024   1,676,074   1,666,089   1,651,637 

Altra Industrial Motion Corp.

 Capital Equipment Term Loan Loan  1M USD LIBOR+   2.00  0.00  4.43  10/1/2025   1,917,909   1,913,622   1,893,130 

American Dental Partners Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  3M USD LIBOR+   4.25  1.00  6.75  3/24/2023   997,500   987,844   985,031 

American Greetings Corporation

 Media: Advertising Printing & Publishing Term Loan Loan  1M USD LIBOR+   4.50  1.00  6.93  4/5/2024   4,969,900   4,967,612   4,957,475 

American Residential Services LLC

 Services: Consumer Term Loan B Loan  1M USD LIBOR+   4.00  1.00  6.43  6/30/2022   3,956,604   3,945,057   3,897,255 

Amynta Agency Borrower Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan  1M USD LIBOR+   4.50  0.00  6.93  2/28/2025   3,488,714   3,448,337   3,384,053 

Anastasia Parent LLC

 Consumer goods:Non-durable Term Loan Loan  1M USD LIBOR+   3.75  0.00  6.18  8/11/2025   995,000   990,594   856,526 

Anchor Glass Container Corporation

 Containers Packaging & Glass Term Loan (07/17) Loan  1M USD LIBOR+   2.75  1.00  5.18  12/7/2023   488,794   487,055   439,000 

Arctic Glacier U.S.A. Inc.

 Beverage Food & Tobacco Term Loan (3/18) Loan  1M USD LIBOR+   3.50�� 1.00  5.93  3/20/2024   3,350,967   3,330,502   3,346,778 

Aretec Group Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/18) Loan  1M USD LIBOR+   4.25  0.00  6.68  10/1/2025   1,995,000   1,990,648   1,960,088 

ASG Technologies Group Inc.

 High Tech Industries Term Loan Loan  1M USD LIBOR+   3.50  1.00  5.93  7/31/2024   492,516   490,599   489,437 

AssetMark Financial Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan  3M USD LIBOR+   3.50  0.00  6.00  11/14/2025   2,493,750   2,490,117   2,499,984 

Astoria Energy LLC

 Energy: Electricity Term Loan Loan  1M USD LIBOR+   4.00  1.00  6.43  12/24/2021   1,406,149   1,398,360   1,408,202 

Asurion LLC

 Banking Finance Insurance & Real Estate Term LoanB-4 (Replacement) Loan  1M USD LIBOR+   3.00  0.00  5.43  8/4/2022   2,078,304   2,071,534   2,068,660 

Asurion LLC

 Banking Finance Insurance & Real Estate Term Loan B6 Loan  1M USD LIBOR+   3.00  0.00  5.43  11/3/2023   496,660   493,172   494,549 

Athenahealth Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  3M USD LIBOR+   4.50  0.00  7.00  2/11/2026   2,000,000   1,962,053   2,002,500 

Avaya Inc.

 Telecommunications Term Loan B Loan  1M USD LIBOR+   4.25  0.00  6.68  12/16/2024   1,984,975   1,970,465   1,945,275 

Avison Young (Canada) Inc.

 Services: Business Term Loan Loan  3M USD LIBOR+   5.00  0.00  7.50  1/30/2026   1,995,000   1,955,885   1,955,100 

Ball Metalpack Finco LLC

 Containers Packaging & Glass Term Loan Loan  3M USD LIBOR+   4.50  0.00  7.00  7/31/2025   3,974,975   3,956,970   3,967,542 

Bausch Health Companies Inc.

 Healthcare & Pharmaceuticals Term Loan B (05/18) Loan  1M USD LIBOR+   3.00  0.00  5.43  6/2/2025   1,708,604   1,701,767   1,701,137 

Berry Global Group Inc.

 Chemicals Plastics & Rubber Term Loan (05/19) Loan  3M USD LIBOR+   2.50  0.00  5.00  6/15/2026   5,000,000   4,987,500   4,968,050 

 

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Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Blount International Inc.

 Forest Products & Paper Term Loan B (09/18) Loan  1M USD LIBOR+   3.75  1.00  6.18  4/12/2023   3,480,013   3,476,754   3,481,091 

Blucora Inc.

 High Tech Industries Term Loan (11/17) Loan  2M USD LIBOR+   3.00  1.00  4.00  5/22/2024   956,667   952,736   954,878 

Boxer Parent Company Inc.

 Services: Business Term Loan Loan  3M USD LIBOR+   4.25  0.00  6.75  10/2/2025   2,493,750   2,471,351   2,411,357 

Bracket Intermediate Holding Corp.

 Healthcare & Pharmaceuticals Term Loan Loan  3M USD LIBOR+   4.25  0.00  6.75  9/5/2025   995,000   990,507   990,025 

Broadstreet Partners Inc.

 Banking Finance Insurance & Real Estate Term Loan B2 Loan  1M USD LIBOR+   3.25  1.00  5.68  11/8/2023   1,032,536   1,030,459   1,025,763 

Cable & Wireless Communications Limited

 Telecommunications Term Loan B4 Loan  1M USD LIBOR+   3.25  0.00  5.68  1/30/2026   2,186,667   2,184,342   2,188,591 

Calceus Acquisition Inc.

 Consumer goods:Non-durable Term Loan B Loan  1M USD LIBOR+   5.50  0.00  7.93  2/12/2025   993,750   981,768   985,989 

Callaway Golf Company

 Retail Term Loan B Loan  1M USD LIBOR+   4.50  0.00  6.93  1/2/2026   748,125   733,835   754,671 

Canyon Valor Companies Inc.

 Media: Advertising Printing & Publishing Term Loan B Loan  3M USD LIBOR+   2.75  0.00  5.25  6/16/2023   936,691   934,349   929,956 

Capital Automotive L.P.

 Banking Finance Insurance & Real Estate First Lien Term Loan Loan  1M USD LIBOR+   2.50  1.00  4.93  3/25/2024   476,840   475,124   470,965 

CareerBuilder LLC

 Services: Business Term Loan Loan  3M USD LIBOR+   6.75  1.00  9.25  7/31/2023   2,266,211   2,226,525   2,246,382 

CareStream Health Inc.

 High Tech Industries Term Loan Loan  1M USD LIBOR+   5.75  1.00  8.18  2/28/2021   2,809,881   2,798,872   2,725,585 

Casa Systems Inc.

 Telecommunications Term Loan Loan  1M USD LIBOR+   4.00  1.00  6.43  12/20/2023   1,466,250   1,456,054   1,319,625 

CCS-CMGC Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+   5.25  0.00  7.68  10/1/2025   2,493,750   2,471,156   2,428,288 

Cengage Learning Inc.

 Media: Advertising Printing & Publishing Term Loan Loan  1M USD LIBOR+   4.25  1.00  6.68  6/7/2023   1,458,708   1,444,248   1,390,338 

CenturyLink Inc.

 Telecommunications Term Loan B Loan  1M USD LIBOR+   2.75  0.00  5.18  1/31/2025   3,959,975   3,937,524   3,849,214 

Charter Communications Operating LLC.

 Media: Broadcasting & Subscription Term Loan (12/17) Loan  1M USD LIBOR+   2.00  0.00  4.43  4/30/2025   1,580,000   1,578,463   1,578,562 

Compass Power Generation L.L.C.

 Utilities: Electric Term Loan B (08/18) Loan  1M USD LIBOR+   3.50  1.00  5.93  12/20/2024   1,948,039   1,943,458   1,948,039 

Compuware Corporation

 High Tech Industries Term Loan (08/18) Loan  1M USD LIBOR+   3.50  0.00  5.93  8/22/2025   498,750   497,630   498,336 

Concordia International Corp.

 Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+   5.50  1.00  7.93  9/6/2024   1,201,860   1,142,088   1,121,636 

Consolidated Aerospace Manufacturing LLC

 Aerospace & Defense Term Loan (1st Lien) Loan  1M USD LIBOR+   3.75  1.00  6.18  8/11/2022   2,418,750   2,412,778   2,400,609 

Consolidated Communications Inc.

 Telecommunications Term Loan B Loan  1M USD LIBOR+   3.00  1.00  5.43  10/5/2023   1,486,781   1,474,512   1,454,726 

Covia Holdings Corporation

 Metals & Mining Term Loan Loan  3M USD LIBOR+   4.00  1.00  6.50  6/2/2025   992,500   992,500   836,181 

 

40


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

CPI Acquisition Inc

 Banking Finance Insurance & Real Estate Term Loan B (1st Lien) Loan  3M USD LIBOR+   4.50  1.00  7.00  8/17/2022   1,436,782   1,425,623   1,149,425 

Crown Subsea Communications Holding Inc

 Construction & Building Term Loan Loan  1M USD LIBOR+   6.00  0.00  8.43  11/3/2025   3,950,000   3,908,672   3,903,904 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B (03/17) Loan  1M USD LIBOR+   2.25  0.00  4.68  7/17/2025   1,989,848   1,966,492   1,946,569 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B Loan  1M USD LIBOR+   2.25  0.00  4.68  1/15/2026   498,750   497,591   486,072 

CT Technologies Intermediate Hldgs Inc

 Healthcare & Pharmaceuticals New Term Loan Loan  1M USD LIBOR+   4.25  1.00  6.68  12/1/2021   1,436,531   1,430,430   1,147,070 

Cumulus Media New Holdings Inc.

 Media: Broadcasting & Subscription Term Loan Loan  1M USD LIBOR+   4.50  1.00  6.93  5/13/2022   334,968   332,401   333,504 

Daseke Companies Inc.

 Transportation: Cargo Replacement Term Loan Loan  1M USD LIBOR+   5.00  1.00  7.43  2/27/2024   1,970,662   1,960,592   1,966,346 

Dealer Tire LLC

 Automotive Term Loan B Loan  1M USD LIBOR+   5.50  0.00  7.93  12/12/2025   3,000,000   2,895,065   3,000,000 

Delek US Holdings Inc.

 Utilities: Oil & Gas Term Loan B Loan  1M USD LIBOR+   2.25  0.00  4.68  3/31/2025   4,484,924   4,438,638   4,440,075 

Dell International L.L.C.

 High Tech Industries Term Loan B Loan  1M USD LIBOR+   2.00  0.75  4.43  9/7/2023   3,964,874   3,914,817   3,940,966 

Delta 2 (Lux) SARL

 Hotel Gaming & Leisure Term Loan B Loan  1M USD LIBOR+   2.50  1.00  4.93  2/1/2024   1,318,289   1,315,604   1,286,505 

DHX Media Ltd.

 Media: Broadcasting & Subscription Term Loan Loan  Prime+   3.72  1.00  4.72  12/29/2023   332,042   330,617   325,401 

Digital Room Holdings Inc.

 Media: Advertising Printing & Publishing Term Loan Loan  1M USD LIBOR+   5.00  0.00  7.43  5/21/2026   3,000,000   2,955,000   2,947,500 

Dole Food Company Inc.

 Beverage Food & Tobacco Term Loan B Loan  Prime+   2.75  1.00  3.75  4/8/2024   478,125   476,404   466,024 

Drew Marine Group Inc.

 Transportation: Consumer First Lien Term Loan Loan  1M USD LIBOR+   3.25  1.00  5.68  11/19/2020   2,833,564   2,822,926   2,817,639 

DTZ U.S. Borrower LLC

 Construction & Building Term Loan B Loan  1M USD LIBOR+   3.25  0.00  5.68  8/21/2025   3,975,013   3,957,093   3,961,338 

Eagletree-Carbide Acquisition Corp.

 High Tech Industries Term Loan Loan  3M USD LIBOR+   4.25  1.00  6.75  8/28/2024   3,957,456   3,939,756   3,878,307 

Education Management II LLC (a)

 Services: Consumer Term Loan B Loan  Prime+   8.50  1.00  9.50  7/2/2020   954,307   947,426   477 

Education Management II LLC (a)

 Services: Consumer Term Loan A Loan  Prime+   5.50  1.00  6.50  7/2/2020   423,861   420,013   8,477 

EIG Investors Corp.

 High Tech Industries Term Loan (06/18) Loan  3M USD LIBOR+   3.75  1.00  6.25  2/9/2023   2,370,640   2,354,858   2,362,058 

Emerald 2 Ltd. (Eagle US / Emerald Newco / ERM Canada / ERM US)

 Environmental Industries Term Loan Loan  3M USD LIBOR+   4.00  1.00  6.50  5/14/2021   988,553   984,749   985,152 

Endo Luxembourg Finance Company I S.a.r.l.

 Healthcare & Pharmaceuticals Term Loan B (4/17) Loan  1M USD LIBOR+   4.25  0.75  6.68  4/29/2024   3,967,310   3,943,497   3,853,250 

 

41


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Energy Acquisition LP

 Capital Equipment Term Loan (6/18) Loan  3M USD LIBOR+   4.25  0.00  6.75  6/26/2025   1,985,000   1,967,240   1,875,825 

Envision Healthcare Corporation

 Healthcare & Pharmaceuticals Term Loan B (06/18) Loan  1M USD LIBOR+   3.75  0.00  6.18  10/10/2025   4,987,500   4,976,718   4,518,125 

Fastener Acquisition Inc.

 Construction & Building Term Loan B Loan  Prime+   3.25  1.00  4.25  3/28/2025   495,000   492,889   490,050 

FinCo I LLC

 Banking Finance Insurance & Real Estate 2018 Term Loan B Loan  1M USD LIBOR+   2.00  0.00  4.43  12/27/2022   360,542   359,822   359,576 

First Eagle Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B (10/18) Loan  3M USD LIBOR+   2.75  0.00  5.25  12/2/2024   4,987,500   4,961,905   4,968,796 

Fitness International LLC

 Services: Consumer Term Loan B (4/18) Loan  1M USD LIBOR+   3.25  0.00  5.68  4/18/2025   2,717,217   2,699,813   2,702,788 

Franklin Square Holdings L.P.

 Banking Finance Insurance & Real Estate Term Loan Loan  2M USD LIBOR+   2.50  0.00  2.50  8/1/2025   4,477,500   4,447,102   4,477,500 

Fusion Connect Inc. (a)

 Telecommunications Term Loan B Loan  Prime+   7.00  1.00  8.00  5/4/2023   1,964,623   1,900,115   1,326,120 

Fusion Connect Inc.

 Telecommunications Bridge Term Loan Loan  1M USD LIBOR+   10.00  0.00  12.43  6/3/2019   67,108   64,843   62,746 

GBT Group Services B.V.

 Hotel Gaming & Leisure Term Loan Loan  3M USD LIBOR+   2.50  0.00  5.00  8/13/2025   4,477,500   4,476,395   4,466,306 

GC EOS Buyer Inc.

 Automotive Term Loan B (06/18) Loan  1M USD LIBOR+   4.50  0.00  6.93  8/1/2025   2,985,000   2,957,516   2,970,075 

General Nutrition Centers Inc.

 Retail Term Loan B2 Loan  1M USD LIBOR+   8.75  0.75  11.18  3/4/2021   930,446   928,194   840,193 

General Nutrition Centers Inc.

 Retail FILO Term Loan Loan  1M USD LIBOR+   7.00  0.00  9.43  1/3/2023   585,849   584,477   590,243 

GI Chill Acquisition LLC

 Services: Business Term Loan Loan  3M USD LIBOR+   4.00  0.00  6.50  8/6/2025   2,487,500   2,476,465   2,475,063 

GI Revelation Acquisition LLC

 Services: Business Term Loan Loan  1M USD LIBOR+   5.00  0.00  7.43  4/16/2025   1,241,247   1,235,779   1,225,731 

Gigamon Inc.

 Services: Business Term Loan B Loan  3M USD LIBOR+   4.25  1.00  6.75  12/27/2024   1,975,000   1,958,439   1,910,813 

Global Tel*Link Corporation

 Telecommunications Term Loan B Loan  1M USD LIBOR+   4.25  0.00  6.68  11/28/2025   3,062,779   3,062,779   3,069,150 

Go Wireless Inc.

 Telecommunications Term Loan Loan  1M USD LIBOR+   6.50  1.00  8.93  12/22/2024   3,336,039   3,288,820   3,242,897 

GoodRX Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+   3.00  0.00  5.43  10/10/2025   2,959,472   2,952,670   2,947,457 

Goodyear Tire & Rubber Company The

 Chemicals Plastics & Rubber Second Lien Term Loan Loan  1M USD LIBOR+   2.00  0.00  4.43  3/7/2025   2,000,000   2,000,000   1,968,120 

Greenhill & Co. Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+   3.25  0.00  5.68  4/12/2024   2,000,000   1,990,279   1,988,760 

Grosvenor Capital Management Holdings LLLP

 Banking Finance Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+   2.75  1.00  5.18  3/28/2025   920,941   916,908   916,337 

Guidehouse LLP

 Aerospace & Defense Term Loan Loan  1M USD LIBOR+   3.00  0.00  5.43  5/1/2025   1,985,000   1,980,727   1,960,188 

Harland Clarke Holdings Corp.

 Media: Advertising Printing & Publishing Term Loan Loan  3M USD LIBOR+   4.75  1.00  7.25  11/3/2023   1,805,702   1,797,111   1,497,974 

 

42


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

HD Supply Waterworks Ltd.

 Construction & Building Term Loan Loan  3M USD LIBOR+   3.00  1.00  5.50  8/1/2024   492,500   491,492   490,860 

Helix Acquisition Holdings Inc.

 Capital Equipment Term Loan (04/18) Loan  3M USD LIBOR+   3.75  0.00  6.25  9/30/2024   3,000,000   2,940,659   2,925,000 

Helix Gen Funding LLC

 Energy: Electricity Term Loan B (02/17) Loan  1M USD LIBOR+   3.75  1.00  6.18  6/3/2024   264,030   263,595   245,474 

HLF Financing SaRL LLC

 Consumer goods:Non-durable Term Loan B (08/18) Loan  1M USD LIBOR+   3.25  0.00  5.68  8/18/2025   3,980,000   3,964,169   3,973,791 

Hoffmaster Group Inc.

 Forest Products & Paper Term Loan B1 Loan  1M USD LIBOR+   4.00  1.00  6.43  11/21/2023   1,071,649   1,074,400   1,066,966 

Holley Purchaser Inc.

 Automotive Term Loan B Loan  3M USD LIBOR+   5.00  0.00  7.50  10/24/2025   2,493,750   2,470,922   2,418,938 

Hostess Brands LLC

 Beverage Food & Tobacco Cov-Lite Term Loan B Loan  3M USD LIBOR+   2.25  0.75  4.75  8/3/2022   1,464,027   1,461,004   1,451,583 

Hudson River Trading LLC

 Banking Finance Insurance & Real Estate Term Loan B (10/18) Loan  1M USD LIBOR+   3.50  0.00  5.93  4/3/2025   4,470,050   4,448,109   4,467,279 

Hyperion Refinance S.a.r.l.

 Banking Finance Insurance & Real Estate Term Loan (12/17) Loan  1M USD LIBOR+   3.50  1.00  5.93  12/20/2024   1,722,866   1,714,213   1,719,145 

Idera Inc.

 High Tech Industries Term Loan B Loan  1M USD LIBOR+   4.50  1.00  6.93  6/28/2024   1,959,799   1,942,451   1,953,273 

IG Investments Holdings LLC

 Services: Business Term Loan Loan  3M USD LIBOR+   4.00  1.00  6.50  5/23/2025   1,389,718   1,383,349   1,380,338 

Inmar Inc.

 Services: Business Term Loan B Loan  3M USD LIBOR+   4.00  1.00  6.50  5/1/2024   3,483,636   3,392,605   3,281,167 

Isagenix International LLC

 Beverage Food & Tobacco Term Loan Loan  3M USD LIBOR+   5.75  1.00  8.25  6/16/2025   2,912,179   2,859,684   2,286,061 

Jefferies Finance LLC / JFINCo-Issuer Corp

 Banking Finance Insurance & Real Estate Term Loan Loan  3M USD LIBOR+   3.75  0.00  6.25  5/22/2026   2,000,000   1,995,000   1,996,260 

Jill Holdings LLC

 Retail Term Loan (1st Lien) Loan  3M USD LIBOR+   5.00  1.00  7.50  5/9/2022   1,854,084   1,849,857   1,798,462 

JP Intermediate B LLC

 Consumer goods:Non-durable Term Loan Loan  3M USD LIBOR+   5.50  1.00  8.00  11/20/2025   4,875,000   4,823,515   4,302,188 

Kinetic Concepts Inc.

 Healthcare & Pharmaceuticals 1/17 USD Term Loan Loan  3M USD LIBOR+   3.25  1.00  5.75  2/2/2024   2,358,000   2,349,801   2,358,660 

KUEHG Corp.

 Services: Consumer Term LoanB-3 Loan  3M USD LIBOR+   3.75  1.00  6.25  2/21/2025   496,250   495,190   494,285 

Lakeland Tours LLC

 Hotel Gaming & Leisure Term Loan B Loan  3M USD LIBOR+   4.00  1.00  6.50  12/16/2024   2,476,241   2,467,719   2,470,050 

Lannett Company Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+   5.38  1.00  7.81  11/25/2022   2,506,885   2,476,921   2,341,856 

Learfield Communications LLC

 Media: Advertising Printing & Publishing Initial Term Loan(A-L Parent) Loan  1M USD LIBOR+   3.25  1.00  5.68  12/1/2023   488,750   487,145   488,291 

Lighthouse Network LLC

 Banking Finance Insurance & Real Estate Term Loan B Loan  3M USD LIBOR+   4.50  1.00  7.00  12/2/2024   3,406,875   3,394,841   3,404,047 

Lightstone Holdco LLC

 Energy: Electricity Term Loan B Loan  1M USD LIBOR+   3.75  1.00  6.18  1/30/2024   1,322,520   1,320,446   1,306,491 

Lightstone Holdco LLC

 Energy: Electricity Term Loan C Loan  1M USD LIBOR+   3.75  1.00  6.18  1/30/2024   74,592   74,483   73,688 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure US 2018 Term Loan Loan  1M USD LIBOR+   3.25  0.00  5.68  3/27/2025   397,000   396,154   397,496 

 

43


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure Cayman Term Loan Loan  1M USD LIBOR+   3.25  0.00  5.68  3/27/2025   99,250   99,039   99,374 

Liquidnet Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+   3.25  1.00  5.68  7/15/2024   3,111,651   3,102,514   3,103,872 

LPL Holdings Inc.

 Banking Finance Insurance & Real Estate Incremental Term Loan B Loan  1M USD LIBOR+   2.25  0.00  4.68  9/23/2024   1,719,441   1,716,271   1,712,993 

McAfee LLC

 Services: Business Term Loan B Loan  1M USD LIBOR+   3.75  0.00  6.18  9/30/2024   2,683,414   2,655,341   2,676,329 

McDermott International Inc.

 Construction & Building Term Loan B Loan  1M USD LIBOR+   5.00  1.00  7.43  5/12/2025   1,980,000   1,945,314   1,929,946 

McGraw-Hill Global Education Holdings LLC

 Media: Advertising Printing & Publishing Term Loan Loan  1M USD LIBOR+   4.00  1.00  6.43  5/4/2022   964,313   961,874   917,004 

MedPlast Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan (06/18) Loan  3M USD LIBOR+   3.75  0.00  6.25  7/2/2025   497,500   495,284   492,938 

Meredith Corporation

 Media: Advertising Printing & Publishing Term Loan B (10/18) Loan  1M USD LIBOR+   2.75  0.00  5.18  1/31/2025   619,590   618,326   618,685 

Messer Industries GMBH

 Chemicals Plastics & Rubber Term Loan B Loan  3M USD LIBOR+   2.50  0.00  5.00  3/2/2026   3,000,000   2,992,539   2,947,500 

Michaels Stores Inc.

 Retail Term Loan B Loan  1M USD LIBOR+   2.50  1.00  4.93  1/30/2023   2,621,402   2,610,806   2,552,591 

Midwest Physician Administrative Services LLC

 Healthcare & Pharmaceuticals Term Loan (2/18) Loan  1M USD LIBOR+   2.75  0.75  5.18  8/15/2024   977,985   973,973   954,758 

Milk Specialties Company

 Beverage Food & Tobacco Term Loan (2/17) Loan  1M USD LIBOR+   4.00  1.00  6.43  8/16/2023   3,959,345   3,898,674   3,880,158 

MKS Instruments Inc.

 High Tech Industries Term LoanB-5 Loan  1M USD LIBOR+   2.25  0.00  4.68  2/2/2026   1,000,000   990,347   999,250 

MLN US HoldCo LLC

 Telecommunications Term Loan Loan  1M USD LIBOR+   4.50  0.00  6.93  11/28/2025   997,500   995,329   984,672 

MRC Global (US) Inc.

 Metals & Mining Term Loan B2 Loan  1M USD LIBOR+   3.00  0.00  5.43  9/20/2024   493,750   492,710   493,444 

NAI Entertainment Holdings LLC

 Hotel Gaming & Leisure Term Loan B Loan  1M USD LIBOR+   2.50  1.00  4.93  5/8/2025   995,000   992,867   988,363 

Natgasoline LLC

 Chemicals Plastics & Rubber Term Loan Loan  3M USD LIBOR+   3.50  0.00  6.00  11/14/2025   498,750   496,587   498,750 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+   4.25  0.00  6.68  3/9/2026   1,883,041   1,864,622   1,885,790 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan C Loan  1M USD LIBOR+   4.25  0.00  6.68  3/9/2026   116,959   115,834   117,130 

NeuStar Inc.

 Telecommunications Term Loan B4 (03/18) Loan  1M USD LIBOR+   3.50  1.00  5.93  8/8/2024   2,984,848   2,939,264   2,875,394 

NeuStar Inc.

 Telecommunications Term LoanB-5 Loan  1M USD LIBOR+   4.50  0.00  6.93  8/8/2024   1,000,000   980,732   984,380 

New Media Holdings II LLC

 Media: Diversified & Production Term Loan Loan  1M USD LIBOR+   6.25  1.00  8.68  7/14/2022   5,958,652   5,946,847   5,913,962 

NMI Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan  1M USD LIBOR+   4.75  1.00  7.18  5/23/2023   3,481,212   3,486,036   3,472,509 

 

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Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

NorthPole Newco S.a r.l

 Aerospace & Defense Term Loan Loan  1M USD LIBOR+   7.00  0.00  9.43  4/10/2025   5,000,000   4,500,000   4,475,000 

Novetta Solutions LLC

 Aerospace & Defense Term Loan Loan  1M USD LIBOR+   5.00  1.00  7.43  10/17/2022   1,934,870   1,924,512   1,896,173 

Novetta Solutions LLC

 Aerospace & Defense Second Lien Term Loan Loan  1M USD LIBOR+   8.50  1.00  10.93  10/16/2023   1,000,000   993,643   970,000 

NPC International Inc.

 Beverage Food & Tobacco Term Loan Loan  1M USD LIBOR+   3.50  1.00  5.93  4/19/2024   491,250   490,836   388,579 

Ocean Bidco Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan  6M USD LIBOR+   4.75  1.00  7.27  3/21/2025   473,186   471,045   469,046 

OCI Partners LP

 Chemicals Plastics & Rubber Term Loan B (2/18) Loan  3M USD LIBOR+   4.00  0.00  6.50  3/13/2025   3,059,470   3,038,507   3,055,646 

Office Depot Inc.

 Retail Term Loan B Loan  1M USD LIBOR+   5.25  1.00  7.68  11/8/2022   2,796,480   2,779,363   2,826,766 

Outcomes Group Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan  3M USD LIBOR+   3.50  0.00  6.00  10/24/2025   498,750   497,590   490,855 

Owens & Minor Distribution Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+   4.50  0.00  6.93  4/30/2025   496,250   487,460   415,818 

Panther BF Aggregator 2 LP

 Automotive Term Loan B Loan  1M USD LIBOR+   3.50  0.00  5.93  4/30/2026   1,500,000   1,491,226   1,493,130 

PCI Gaming Authority

 Hotel Gaming & Leisure Term Loan Loan  3M USD LIBOR+   3.00  0.00  5.50  5/15/2026   1,000,000   995,000   998,750 

Peraton Corp.

 Aerospace & Defense Term Loan Loan  1M USD LIBOR+   5.25  1.00  7.68  4/29/2024   1,965,000   1,957,705   1,933,069 

PGX Holdings Inc.

 Services: Consumer Term Loan Loan  1M USD LIBOR+   5.25  1.00  7.68  9/29/2020   3,646,940   3,627,894   3,428,124 

PI UK Holdco II Limited

 Services: Business Term Loan B1 (PI UK Holdco II) Loan  1M USD LIBOR+   3.25  1.00  5.68  1/3/2025   1,485,000   1,477,652   1,463,839 

Plastipak Packaging Inc

 Containers Packaging & Glass Term Loan B (04/18) Loan  1M USD LIBOR+   2.50  0.00  4.93  10/15/2024   985,000   980,865   979,090 

Polymer Process Holdings Inc

 Containers Packaging & Glass Term Loan Loan  1M USD LIBOR+   6.00  0.00  8.43  4/30/2026   3,000,000   2,940,389   2,940,000 

Presidio Inc.

 Services: Business Term Loan B 2017 Loan  3M USD LIBOR+   2.75  1.00  5.25  2/2/2024   1,644,326   1,612,761   1,636,515 

Prime Security Services Borrower LLC

 Services: Consumer Refi Term LoanB-1 Loan  1M USD LIBOR+   2.75  1.00  5.18  5/2/2022   1,696,914   1,691,626   1,681,082 

Priority Payment Systems Holdings LLC

 High Tech Industries Term Loan Loan  1M USD LIBOR+   5.00  1.00  7.43  1/3/2023   2,491,830   2,479,932   2,488,715 

Project Accelerate Parent LLC

 Services: Business Term Loan Loan  1M USD LIBOR+   4.25  1.00  6.68  1/2/2025   1,980,000   1,971,620   1,980,000 

Prometric Holdings Inc.

 Services: Business Term Loan Loan  1M USD LIBOR+   3.00  1.00  5.43  1/29/2025   495,000   492,950   487,575 

Quad/Graphics Inc.

 Media: Advertising Printing & Publishing Term Loan B (12/18) Loan  1M USD LIBOR+   5.00  0.00  7.43  2/2/2026   4,500,000   4,436,948   4,511,250 

Rackspace Hosting Inc.

 High Tech Industries Term Loan B Loan  3M USD LIBOR+   3.00  1.00  5.50  11/3/2023   1,487,418   1,477,523   1,376,101 

Radio Systems Corporation

 Consumer goods: Durable Term Loan Loan  1M USD LIBOR+   2.75  1.00  5.18  5/2/2024   1,473,750   1,473,750   1,457,170 

Radiology Partners Inc.

 Healthcare & Pharmaceuticals Term Loan Loan  6M USD LIBOR+   4.75  0.00  7.27  7/9/2025   1,497,494   1,491,212   1,499,830 

 

45


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Research Now Group Inc.

 Media: Advertising Printing & Publishing Term Loan Loan  3M USD LIBOR+   5.50  1.00  8.00  12/20/2024   3,957,462   3,831,367   3,938,664 

Resolute Investment Managers Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/17) Loan  3M USD LIBOR+   3.25  1.00  5.75  4/29/2022   2,702,363   2,704,763   2,712,496 

Revspring Inc.

 Services: Business Term Loan B Loan  1M USD LIBOR+   4.25  0.00  6.68  10/10/2025   997,500   995,294   996,253 

Reynolds Group Holdings Inc.

 Metals & Mining Term Loan (01/17) Loan  1M USD LIBOR+   2.75  0.00  5.18  2/6/2023   1,721,509   1,721,509   1,702,865 

RGIS Services LLC

 Services: Business Term Loan Loan  3M USD LIBOR+   7.50  1.00  10.00  3/31/2023   482,554   477,021   375,587 

Robertshaw US Holding Corp.

 Consumer goods: Durable Term Loan B Loan  1M USD LIBOR+   3.50  1.00  5.93  2/28/2025   990,000   987,840   918,225 

Rocket Software Inc.

 High Tech Industries Term Loan (11/18) Loan  1M USD LIBOR+   4.25  0.00  6.68  11/28/2025   4,000,000   3,983,420   3,923,000 

Rovi Solutions Corporation

 Media: Diversified & Production Term Loan B Loan  1M USD LIBOR+   2.50  0.75  4.93  7/2/2021   1,332,669   1,330,506   1,293,795 

Russell Investments US Institutional Holdco Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan  3M USD LIBOR+   3.25  1.00  5.75  6/1/2023   4,174,054   4,060,948   4,140,995 

Sahara Parent Inc.

 High Tech Industries Term Loan B (11/18) Loan  1M USD LIBOR+   4.50  0.00  6.93  8/16/2024   1,970,100   1,952,021   1,959,895 

Sally Holdings LLC

 Retail Term Loan (Fixed) Loan  Fixed   0.00  0.00  4.50  7/5/2024   1,000,000   996,257   962,500 

Sally Holdings LLC

 Retail Term Loan B Loan  1M USD LIBOR+   2.25  0.00  4.68  7/5/2024   775,864   772,678   770,045 

Savage Enterprises LLC

 Transportation: Cargo Term Loan Loan  1M USD LIBOR+   4.50  0.00  6.93  8/1/2025   3,582,692   3,537,920   3,590,538 

SCS Holdings I Inc.

 High Tech Industries Term Loan Loan  1M USD LIBOR+   4.25  1.00  6.68  10/31/2022   3,393,482   3,379,666   3,397,724 

Seadrill Operating LP

 Energy: Oil & Gas Term Loan B Loan  3M USD LIBOR+   6.00  1.00  8.50  2/21/2021   912,725   889,081   696,810 

SG Acquisition Inc.

 Banking Finance Insurance & Real Estate Term Loan (Safe-Guard) Loan  3M USD LIBOR+   5.00  1.00  7.50  3/29/2024   1,590,000   1,578,207   1,578,075 

Shearer’s Foods LLC

 Beverage Food & Tobacco Term Loan Loan  1M USD LIBOR+   4.25  1.00  6.68  6/30/2021   2,877,498   2,869,886   2,865,498 

Shutterfly Inc.

 Media: Advertising Printing & Publishing Term Loan B2 Loan  1M USD LIBOR+   2.50  0.00  4.93  8/19/2024   3,010,328   2,961,429   2,989,647 

Sirius Computer Solutions Inc.

 High Tech Industries Term Loan Loan  3M USD LIBOR+   4.25  0.00  6.75  5/22/2026   2,000,000   1,995,000   2,001,660 

Sirva Worldwide Inc.

 Transportation: Cargo Term Loan B Loan  3M USD LIBOR+   5.50  0.00  8.00  8/4/2025   2,484,375   2,457,050   2,422,266 

SMB Shipping Logistics LLC

 Transportation: Consumer Term Loan B Loan  6M USD LIBOR+   4.00  1.00  6.52  2/2/2024   1,957,930   1,956,288   1,948,140 

SP PF Buyer LLC

 Consumer goods: Durable Term Loan B Loan  1M USD LIBOR+   4.50  0.00  6.93  12/19/2025   2,000,000   1,923,708   1,907,500 

SRAM LLC

 Consumer goods: Durable Term Loan Loan  Prime+   2.72  1.00  3.72  3/15/2024   1,868,791   1,855,885   1,861,783 

SS&C Technologies Inc.

 Services: Business Term LoanB-5 Loan  1M USD LIBOR+   2.25  0.00  4.68  4/16/2025   497,459   496,373   494,489 

SS&C Technologies Inc.

 Services: Business Term Loan B3 Loan  1M USD LIBOR+   2.25  0.00  4.68  4/16/2025   324,131   323,440   322,070 

 

46


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

SS&C Technologies Inc.

 Services: Business Term Loan B4 Loan  1M USD LIBOR+   2.25  0.00  4.68  4/16/2025   227,364   226,879   225,918 

SSH Group Holdings Inc.

 Consumer goods:Non-durable Term Loan Loan  3M USD LIBOR+   4.25  0.00  6.75  7/30/2025   2,390,000   2,381,638   2,354,150 

Staples Inc.

 Retail Term Loan (03/19) Loan  3M USD LIBOR+   5.00  0.00  7.50  4/16/2026   1,975,000   1,970,370   1,896,830 

Stats LLC

 Hotel Gaming & Leisure Term Loan Loan  3M USD LIBOR+   5.25  0.00  7.75  5/22/2026   2,000,000   1,950,000   1,950,000 

Steak N Shake Operations Inc.

 Beverage Food & Tobacco Term Loan Loan  1M USD LIBOR+   3.75  1.00  6.18  3/19/2021   832,491   830,052   645,180 

Sybil Software LLC

 High Tech Industries Term Loan B (4/18) Loan  3M USD LIBOR+   2.25  1.00  4.75  9/29/2023   355,219   353,781   353,571 

Tenneco Inc

 Capital Equipment Term Loan B Loan  1M USD LIBOR+   2.75  0.00  5.18  10/1/2025   1,496,250   1,482,744   1,412,086 

Ten-X LLC

 Banking Finance Insurance & Real Estate Term Loan Loan  1M USD LIBOR+   4.00  1.00  6.43  9/30/2024   1,975,000   1,973,156   1,953,611 

Terex Corporation

 Capital Equipment Term Loan Loan  1M USD LIBOR+   2.75  0.75  5.18  1/31/2024   1,000,000   995,199   999,380 

TGG TS Acquisition Company

 Media: Diversified & Production Term Loan (12/18) Loan  3M USD LIBOR+   6.50  0.00  9.00  12/15/2025   2,962,500   2,821,992   2,936,578 

The Edelman Financial Center LLC

 Banking Finance Insurance & Real Estate Term Loan B (06/18) Loan  1M USD LIBOR+   3.25  0.00  5.68  7/21/2025   1,246,875   1,241,358   1,241,164 

Thor Industries Inc.

 Automotive Term Loan (USD) Loan  1M USD LIBOR+   3.75  0.00  6.18  2/2/2026   2,641,515   2,611,274   2,573,285 

Tivity Health Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+   5.25  0.00  7.68  3/6/2026   2,390,814   2,332,247   2,380,055 

Tivity Health Inc.

 Healthcare & Pharmaceuticals Term Loan A Loan  1M USD LIBOR+   4.25  0.00  6.68  3/8/2024   1,750,000   1,733,049   1,733,953 

Townsquare Media Inc.

 Media: Broadcasting & Subscription Term Loan B (02/17) Loan  1M USD LIBOR+   3.00  1.00  5.43  4/1/2022   881,975   879,413   880,873 

Transdigm Inc.

 Aerospace & Defense Term Loan G Loan  1M USD LIBOR+   2.50  0.00  4.93  8/22/2024   4,137,719   4,144,231   4,040,317 

Travel Leaders Group LLC

 Hotel Gaming & Leisure Term Loan B (08/18) Loan  1M USD LIBOR+   4.00  0.00  6.43  1/25/2024   2,481,250   2,476,769   2,471,945 

TRC Companies Inc.

 Services: Business Term Loan Loan  1M USD LIBOR+   3.50  1.00  5.93  6/21/2024   3,402,727   3,391,459   3,389,967 

Trico Group LLC

 Containers Packaging & Glass Incremental Term Loan Loan  3M USD LIBOR+   7.00  1.00  9.50  2/2/2024   4,912,852   4,779,805   4,679,491 

Truck Hero Inc.

 Transportation: Cargo First Lien Term Loan Loan  1M USD LIBOR+   3.75  1.00  6.18  4/22/2024   2,949,962   2,931,468   2,800,016 

Trugreen Limited Partnership

 Services: Consumer Term Loan (03/19) Loan  1M USD LIBOR+   3.75  1.00  6.18  3/19/2026   988,813   979,250   991,285 

Twin River Worldwide Holdings Inc.

 Hotel Gaming & Leisure Term Loan B Loan  1M USD LIBOR+   2.75  0.00  5.18  5/11/2026   1,000,000   995,019   998,500 

United Natural Foods Inc.

 Beverage Food & Tobacco Term Loan B Loan  1M USD LIBOR+   4.25  0.00  6.68  10/22/2025   3,489,306   3,274,799   2,974,633 

Univar USA Inc.

 Chemicals Plastics & Rubber Term Loan B3 (11/17) Loan  1M USD LIBOR+   2.25  0.00  4.68  7/1/2024   1,851,592   1,844,293   1,844,649 

Univar USA Inc.

 Chemicals Plastics & Rubber Term LoanB-4 Loan  1M USD LIBOR+   2.50  0.00  4.93  7/1/2024   1,633,588   1,625,629   1,630,729 

 

47


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Reference Rate/Spread  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number
of Shares
  Cost  Fair Value 

Univision Communications Inc.

 Media: Broadcasting & Subscription Term Loan Loan  1M USD LIBOR+   2.75  1.00  5.18  3/15/2024   2,746,369   2,734,005   2,607,897 

UOS LLC

 Capital Equipment Term Loan B Loan  1M USD LIBOR+   5.50  1.00  7.93  4/18/2023   589,746   592,139   592,695 

UPC Financing Partnership

 Media: Broadcasting & Subscription Term Loan (10/17) Loan  1M USD LIBOR+   2.50  0.00  4.93  1/15/2026   832,911   832,134   830,912 

VeriFone Systems Inc.

 Banking Finance Insurance & Real Estate Term Loan (7/18) Loan  3M USD LIBOR+   4.00  0.00  6.50  8/20/2025   5,472,500   5,443,430   5,396,377 

Verra Mobility Corp.

 Construction & Building Term Loan Loan  1M USD LIBOR+   3.75  0.00  6.18  3/3/2025   495,000   492,872   496,445 

VFH Parent LLC

 Banking Finance Insurance & Real Estate Term Loan B Loan  3M USD LIBOR+   3.50  0.00  6.00  3/2/2026   2,900,000   2,885,855   2,897,941 

Virtus Investment Partners Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan  3M USD LIBOR+   2.25  0.75  4.75  6/3/2024   3,567,004   3,566,338   3,547,671 

Vistra Operations Company LLC

 Utilities: Electric 2018 Incremental Term Loan Loan  1M USD LIBOR+   2.00  0.00  4.43  12/31/2025   992,500   991,395   990,644 

Vizient Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+   2.75  0.00  5.18  5/6/2026   500,000   498,608   500,210 

Wand NewCo 3 Inc.

 Automotive Term Loan B Loan  1M USD LIBOR+   3.50  0.00  5.93  2/5/2026   250,000   247,584   250,625 

Web.Com Group Inc.

 High Tech Industries Term Loan B (08/18) Loan  1M USD LIBOR+   3.75  0.00  6.18  10/10/2025   454,338   453,310   449,890 

WeddingWire Inc.

 Services: Consumer Term Loan Loan  1M USD LIBOR+   4.50  0.00  6.93  12/19/2025   3,990,000   3,983,163   3,980,025 

Weight Watchers International Inc.

 Services: Consumer Term Loan B Loan  3M USD LIBOR+   4.75  0.75  7.25  11/29/2024   1,810,065   1,780,006   1,776,126 

West Corporation

 Telecommunications Term Loan B Loan  3M USD LIBOR+   3.50  1.00  6.00  10/10/2024   2,983,719   2,901,690   2,702,145 

West Corporation

 Telecommunications Term Loan B (Olympus Merger) Loan  3M USD LIBOR+   4.00  1.00  6.50  10/10/2024   1,246,843   1,163,421   1,153,642 

Western Dental Services Inc.

 Retail Term Loan (12/18) Loan  1M USD LIBOR+   5.25  1.00  7.68  6/30/2023   2,457,481   2,441,265   2,408,332 

Western Digital Corporation

 High Tech Industries Term LoanB-4 Loan  1M USD LIBOR+   1.75  0.00  4.18  4/29/2023   1,296,349   1,265,285   1,254,217 

Wheel Pros LLC

 Automotive Term Loan Loan  1M USD LIBOR+   4.75  0.00  7.18  4/4/2025   2,000,000   1,982,141   1,980,000 

Wirepath LLC

 Consumer goods:Non-durable Term Loan Loan  1M USD LIBOR+   4.00  1.00  6.43  8/5/2024   2,977,562   2,951,058   2,962,675 

Wynn Resorts Limited

 Hotel Gaming & Leisure Term Loan B Loan  1M USD LIBOR+   2.25  0.00  4.68  10/30/2024   1,995,000   1,977,968   1,978,661 

YS Garments LLC

 Retail Term Loan Loan  1W USD LIBOR+  6.00  1.00  8.39  8/9/2024   1,975,000   1,957,489   1,955,250 

Zep Inc.

 Chemicals Plastics & Rubber Term Loan Loan  3M USD LIBOR+   4.00  1.00  6.50  8/12/2024   2,462,500   2,453,195   1,955,225 

Zest Acquisition Corp.

 Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+   3.50  0.00  5.93  3/14/2025   990,000   985,734   937,203 
          

 

 

  

 

 

 
          $511,212,385  $497,734,749 
          

 

 

  

 

 

 

 

48


Table of Contents
                        Number
of Shares
  Cost  Fair Value 

Cash and cash equivalents

           

U.S. Bank Money Market (b)

          8,579,399  $8,579,399  $8,579,399 
         

 

 

  

 

 

  

 

 

 

Total cash and cash equivalents

          8,579,399  $8,579,399  $8,579,399 
         

 

 

  

 

 

  

 

 

 

 

(a)

Security is in default as of May 31, 2019.

(b)

Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of May 31, 2019.

LIBOR—London Interbank Offered Rate

1W USD LIBOR—The 1 week USD LIBOR rate as of May 31, 2019 was 2.47%.

1M USD LIBOR—The 1 month USD LIBOR rate as of May 31, 2019 was 2.43%.

2M USD LIBOR—The 2 month USD LIBOR rate as of May 31, 2019 was 2.47%.

3M USD LIBOR—The 3 month USD LIBOR rate as of May 31, 2019 was 2.50%.

6M USD LIBOR—The 6 month USD LIBOR rate as of May 31, 2019 was 2.52%.

Prime—The Prime Rate as of May 31, 2019 was 5.50%.

 

49


Table of Contents

Saratoga Investment Corp. CLO2013-1 Ltd.

Schedule of Investments

February 28, 2019

 

 

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

Education Management II LLC

 Services: Consumer A-1 Preferred Shares Equity       6,692  $669,214  $13,384 

Education Management II LLC

 Services: Consumer A-2 Preferred Shares Equity       18,975   1,897,538   1,670 

New Millennium Holdco, Inc.

 Healthcare & Pharmaceuticals Common Stock Equity       14,813   964,466   637 

24 Hour Fitness Worldwide Inc.

 Services: Consumer Term Loan (5/18) Loan 1M USD LIBOR+  3.50  0.00  5.99  5/30/2025  $2,990,000   2,978,426   2,987,518 

ABBCon-Cise Optical Group LLC

 Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  5.00  1.00  7.49  6/15/2023   2,103,445   2,080,167   2,037,712 

Achilles Acquisition LLC

 Banking Finance Insurance & Real Estate Term Loan (09/18) Loan 1M USD LIBOR+  4.00  0.00  6.49  10/13/2025   6,000,000   5,985,885   5,962,500 

Acosta Inc.

 Media: Advertising Printing & Publishing Term Loan B (1st Lien) Loan 1M USD LIBOR+  3.25  1.00  5.74  9/27/2021   1,915,375   1,909,171   957,687 

ADMI Corp.

 Services: Consumer Term Loan B Loan 1M USD LIBOR+  3.00  0.00  5.49  4/30/2025   1,990,000   1,981,204   1,968,607 

Advantage Sales & Marketing Inc.

 Services: Business First Lien Term Loan Loan 1M USD LIBOR+  3.25  1.00  5.74  7/23/2021   2,396,156   2,394,791   2,098,889 

Advantage Sales & Marketing Inc.

 Services: Business Term Loan B Incremental Loan 1M USD LIBOR+  3.25  1.00  5.74  7/23/2021   494,975   487,610   431,247 

Aegis Toxicology Sciences Corporation

 Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  5.50  1.00  8.11  5/9/2025   3,990,000   3,954,925   3,850,350 

Agiliti Health Inc.

 Healthcare & Pharmaceuticals Delayed Draw Term Loan Loan 1M USD LIBOR+  3.00  0.00  5.49  1/5/2026   500,000   500,000   499,375 

Agrofresh Inc.

 Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+  4.75  1.00  7.36  7/30/2021   2,919,744   2,915,422   2,883,247 

AI Mistral (Luxembourg) Subco Sarl

 High Tech Industries Term Loan Loan 1M USD LIBOR+  3.00  1.00  5.49  3/11/2024   491,250   491,250   455,020 

AIS Holdco LLC

 Services: Business Term Loan Loan 3M USD LIBOR+  5.00  0.00  7.61  8/15/2025   2,484,375   2,472,344   2,422,266 

Akorn Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  5.50  1.00  7.99  4/16/2021   398,056   397,485   316,455 

Albertson’s LLC

 Retail Term Loan B7 Loan 1M USD LIBOR+  3.00  0.75  5.49  11/17/2025   4,151,511   4,140,731   4,124,733 

Alchemy US Holdco 1 LLC

 Metals & Mining Term Loan Loan 6M USD LIBOR+  5.50  0.00  8.19  10/10/2025   2,000,000   1,971,432   1,990,000 

Alera Group Intermediate Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  4.50  0.00  6.99  8/1/2025   498,750   497,585   499,997 

Alion Science and Technology Corporation

 Aerospace & Defense Term Loan B (1st Lien) Loan 1M USD LIBOR+  4.50  1.00  6.99  8/19/2021   3,626,521   3,620,261   3,614,445 

Allen Media LLC

 Media: Diversified & Production Term Loan B Loan 3M USD LIBOR+  6.50  1.00  7.50  8/30/2023   3,000,000   2,931,901   2,872,500 

 

50


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

Altisource S.a r.l.

 Banking Finance Insurance & Real Estate Term Loan B (03/18) Loan 3M USD LIBOR+  4.00  1.00  6.61  4/3/2024   1,677,030   1,666,628   1,639,296 

Altra Industrial Motion Corp.

 Capital Equipment Term Loan Loan 1M USD LIBOR+  2.00  0.00  4.49  10/1/2025   1,955,223   1,950,844   1,930,783 

American Greetings Corporation

 Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  4.50  1.00  6.99  4/5/2024   4,982,450   4,979,868   4,929,536 

American Residential Services LLC

 Services: Consumer Term Loan B Loan 1M USD LIBOR+  4.00  1.00  6.49  6/30/2022   3,966,883   3,954,749   3,907,380 

Amynta Agency Borrower Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00  0.00  6.49  2/28/2025   3,497,500   3,455,778   3,410,063 

Anastasia Parent LLC

 Consumer goods:Non-durable Term Loan Loan 1M USD LIBOR+  3.75  0.00  6.24  8/11/2025   997,500   992,909   944,732 

Anchor Glass Container Corporation

 Containers Packaging & Glass Term Loan (07/17) Loan 1M USD LIBOR+  2.75  1.00  5.24  12/7/2023   490,038   488,206   392,520 

AqGen Ascensus Inc.

 Services: Consumer Term Loan Loan 1M USD LIBOR+  3.50  1.00  5.99  12/5/2022   408,906   408,242   405,839 

Aramark Services Inc.

 Services: Consumer Term LoanB-2 Loan 1M USD LIBOR+  1.75  0.00  4.24  3/28/2024   1,294,904   1,294,904   1,287,212 

Arctic Glacier U.S.A. Inc.

 Beverage Food & Tobacco Term Loan (3/18) Loan 1M USD LIBOR+  3.50  1.00  5.99  3/20/2024   3,350,967   3,329,140   3,283,948 

Aretec Group Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+  4.25  0.00  6.74  10/1/2025   2,000,000   1,995,758   1,975,000 

ASG Technologies Group Inc.

 High Tech Industries Term Loan Loan 1M USD LIBOR+  3.50  1.00  5.99  7/31/2024   493,763   491,798   485,739 

AssetMark Financial Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan 3M USD LIBOR+  3.50  0.00  6.11  11/14/2025   2,500,000   2,496,120   2,490,625 

Astoria Energy LLC

 Energy: Electricity Term Loan Loan 1M USD LIBOR+  4.00  1.00  6.49  12/24/2021   1,406,149   1,397,673   1,407,612 

Asurion LLC

 Banking Finance Insurance & Real Estate Term LoanB-4 (Replacement) Loan 1M USD LIBOR+  3.00  0.00  5.49  8/4/2022   2,084,268   2,077,055   2,082,788 

Asurion LLC

 Banking Finance Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+  3.00  0.00  5.49  11/3/2023   497,955   494,277   497,512 

Athenahealth Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 3M USD LIBOR+  4.50  0.00  7.11  2/11/2026   2,000,000   1,960,211   1,988,760 

Avaya Inc.

 Telecommunications Term Loan B Loan 2M USD LIBOR+  4.25  0.00  6.82  12/16/2024   1,990,000   1,974,743   1,987,015 

Avolon TLB Borrower 1 US LLC

 Capital Equipment Term Loan B3 Loan 1M USD LIBOR+  2.00  0.75  4.49  1/15/2025   913,731   909,648   912,763 

Ball Metalpack Finco LLC

 Containers Packaging & Glass Term Loan Loan 1M USD LIBOR+  4.50  0.00  6.99  7/31/2025   3,984,987   3,966,751   3,970,044 

Bausch Health Companies Inc.

 Healthcare & Pharmaceuticals Term Loan B (05/18) Loan 1M USD LIBOR+  3.00  0.00  5.49  6/2/2025   1,752,582   1,745,304   1,752,144 

Bausch Health Companies Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  2.75  0.00  5.24  11/27/2025   481,250   476,571   479,310 

Blackboard Inc.

 High Tech Industries Term Loan B4 Loan 3M USD LIBOR+  5.00  1.00  7.61  6/30/2021   2,932,500   2,919,562   2,818,866 

Blount International Inc.

 Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+  3.75  1.00  6.24  4/12/2023   3,488,756   3,485,266   3,484,395 

Blucora Inc.

 High Tech Industries Term Loan (11/17) Loan 1M USD LIBOR+  3.00  1.00  5.49  5/22/2024   706,667   703,725   704,900 

 

51


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

Boxer Parent Company Inc.

 Services: Business Term Loan Loan 3M USD LIBOR+  4.25  0.00  6.86  10/2/2025   2,500,000   2,476,591   2,484,150 

Bracket Intermediate Holding Corp.

 Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  4.25  0.00  6.86  9/5/2025   997,500   992,812   985,031 

Broadstreet Partners Inc.

 Banking Finance Insurance & Real Estate Term Loan B2 Loan 1M USD LIBOR+  3.25  1.00  5.74  11/8/2023   1,035,177   1,032,997   1,032,589 

Brookfield WEC Holdings Inc.

 Energy: Electricity Term Loan Loan 1M USD LIBOR+  3.75  0.75  6.24  8/1/2025   2,000,000   1,990,924   2,001,880 

Cable & Wireless Communications Limited

 Telecommunications Term Loan B4 Loan 1M USD LIBOR+  3.25  0.00  5.74  1/30/2026   2,500,000   2,497,271   2,488,200 

Cable One Inc.

 Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  1.75  0.00  4.24  5/1/2024   492,500   492,049   490,348 

Calceus Acquisition Inc.

 Consumer goods:Non-durable Term Loan B Loan 1M USD LIBOR+  5.50  0.00  7.99  2/12/2025   1,000,000   987,601   995,420 

Callaway Golf Company

 Retail Term Loan B Loan 1M USD LIBOR+  4.50  0.00  6.99  1/2/2026   750,000   735,504   753,127 

Canyon Valor Companies Inc.

 Media: Advertising Printing & Publishing Term Loan B Loan 3M USD LIBOR+  2.75  0.00  5.36  6/16/2023   939,191   936,843   929,019 

Capital Automotive L.P.

 Banking Finance Insurance & Real Estate First Lien Term Loan Loan 1M USD LIBOR+  2.50  1.00  4.99  3/25/2024   478,053   476,166   470,284 

CareerBuilder LLC

 Services: Business Term Loan Loan 3M USD LIBOR+  6.75  1.00  9.36  7/31/2023   2,266,211   2,224,216   2,257,713 

Casa Systems Inc.

 Telecommunications Term Loan Loan 1M USD LIBOR+  4.00  1.00  6.49  12/20/2023   1,470,000   1,459,340   1,451,625 

CCS-CMGC Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  5.50  0.00  7.99  10/1/2025   2,500,000   2,476,183   2,393,750 

Cengage Learning Inc.

 Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  4.25  1.00  6.74  6/7/2023   1,462,458   1,450,545   1,343,999 

CenturyLink Inc.

 Telecommunications Term Loan B Loan 1M USD LIBOR+  2.75  0.00  5.24  1/31/2025   3,970,000   3,946,810   3,904,813 

CEOC LLC

 Hotel Gaming & Leisure Term Loan Loan 1M USD LIBOR+  2.00  0.00  4.49  10/4/2024   990,000   990,000   980,734 

Charter Communications Operating LLC.

 Media: Broadcasting & Subscription Term Loan (12/17) Loan 1M USD LIBOR+  2.00  0.00  4.49  4/30/2025   1,584,000   1,582,488   1,578,773 

Compass Power Generation L.L.C.

 Utilities: Electric Term Loan B (08/18) Loan 1M USD LIBOR+  3.50  1.00  5.99  12/20/2024   1,953,052   1,948,283   1,948,775 

Compuware Corporation

 High Tech Industries Term Loan (08/18) Loan 1M USD LIBOR+  3.50  0.00  5.99  8/22/2025   500,000   498,788   501,250 

Concordia International Corp.

 Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  5.50  1.00  7.99  9/6/2024   1,207,930   1,145,627   1,145,190 

Consolidated Aerospace Manufacturing LLC

 Aerospace & Defense Term Loan (1st Lien) Loan 1M USD LIBOR+  3.75  1.00  6.24  8/11/2022   2,418,750   2,412,445   2,409,680 

Consolidated Communications Inc.

 Telecommunications Term Loan B Loan 1M USD LIBOR+  3.00  1.00  5.49  10/5/2023   1,490,574   1,477,850   1,451,133 

Covia Holdings Corporation

 Metals & Mining Term Loan Loan 3M USD LIBOR+  3.75  1.00  6.36  6/2/2025   995,000   995,000   844,685 

CPI Acquisition Inc

 Banking Finance Insurance & Real Estate Term Loan B (1st Lien) Loan 6M USD LIBOR+  4.50  1.00  7.19  8/17/2022   1,436,782   1,424,775   894,396 

Crown Subsea Communications Holding Inc

 Construction & Building Term Loan Loan 1M USD LIBOR+  6.00  0.00  8.49  11/3/2025   4,000,000   3,957,810   3,975,000 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+  2.25  0.00  4.74  7/17/2025   1,994,924   1,970,647   1,967,853 

 

52


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  2.25  0.00  4.74  1/15/2026   500,000   498,804   493,250 

CT Technologies Intermediate Hldgs Inc

 Healthcare & Pharmaceuticals New Term Loan Loan 1M USD LIBOR+  4.25  1.00  6.74  12/1/2021   1,440,263   1,433,574   1,229,984 

Cumulus Media New Holdings Inc.

 Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  4.50  1.00  6.99  5/13/2022   335,864   333,061   329,006 

Daseke Companies Inc.

 Transportation: Cargo Replacement Term Loan Loan 1M USD LIBOR+  5.00  1.00  7.49  2/27/2024   1,975,651   1,965,011   1,965,772 

Dealer Tire LLC

 Automotive Term Loan B Loan 1M USD LIBOR+  5.50  0.00  7.99  12/12/2025   3,000,000   2,892,107   3,000,000 

Delek US Holdings Inc.

 Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+  2.25  0.00  4.74  3/31/2025   2,992,462   2,956,032   2,952,572 

Dell International L.L.C.

 High Tech Industries Term Loan B Loan 1M USD LIBOR+  2.00  0.75  4.49  9/7/2023   3,974,937   3,922,161   3,960,031 

Delta 2 (Lux) SARL

 Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+  2.50  1.00  4.99  2/1/2024   1,318,289   1,315,251   1,289,036 

DHX Media Ltd.

 Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  3.75  1.00  6.24  12/29/2023   332,042   330,546   320,005 

Digital Room Holdings Inc.

 Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  5.00  1.00  7.49  12/29/2023   3,101,339   3,074,510   3,070,325 

Dole Food Company Inc.

 Beverage Food & Tobacco Term Loan B Loan Prime+  2.75  1.00  3.75  4/8/2024   481,250   479,436   473,733 

Drew Marine Group Inc.

 Transportation: Consumer First Lien Term Loan Loan 1M USD LIBOR+  3.25  1.00  5.74  11/19/2020   2,841,040   2,828,735   2,819,732 

DTZ U.S. Borrower LLC

 Construction & Building Term Loan B Loan 1M USD LIBOR+  3.25  0.00  5.74  8/21/2025   5,985,000   5,957,110   5,936,402 

Dynatrace LLC

 High Tech Industries Term Loan Loan 1M USD LIBOR+  3.25  0.00  5.74  8/22/2025   1,000,000   1,000,000   994,580 

Eagletree-Carbide Acquisition Corp.

 High Tech Industries Term Loan Loan 3M USD LIBOR+  4.25  1.00  6.86  8/28/2024   3,967,480   3,948,716   3,927,805 

Education Management
II LLC (a)

 Services: Consumer Term Loan A Loan Prime+  5.50  1.00  6.50  7/2/2020   423,861   419,105   8,477 

Education Management
II LLC (a)

 Services: Consumer Term Loan B Loan Prime+  8.50  1.00  9.50  7/2/2020   954,307   945,813   840 

EIG Investors Corp.

 High Tech Industries Term Loan (06/18) Loan 3M USD LIBOR+  3.75  1.00  6.36  2/9/2023   2,410,685   2,394,658   2,397,282 

Emerald 2 Ltd. (Eagle US / Emerald Newco / ERM Canada / ERM US)

 Environmental Industries Term Loan Loan 3M USD LIBOR+  4.00  1.00  6.61  5/14/2021   988,553   985,300   978,745 

Emerald Performance Materials LLC

 Chemicals Plastics & Rubber Term Loan Loan 1M USD LIBOR+  3.50  1.00  5.99  7/30/2021   475,777   474,869   469,682 

Endo Luxembourg Finance Company I S.a.r.l.

 Healthcare & Pharmaceuticals Term Loan B (4/17) Loan 1M USD LIBOR+  4.25  0.75  6.74  4/29/2024   3,977,405   3,952,044   3,978,240 

Energy Acquisition LP

 Capital Equipment Term Loan (6/18) Loan 3M USD LIBOR+  4.25  0.00  6.86  6/26/2025   1,990,000   1,971,730   1,910,400 

Envision Healthcare Corporation

 Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+  3.75  0.00  6.24  10/10/2025   5,000,000   4,988,764   4,807,800 

Evergreen AcqCo 1 LP

 Retail Term Loan C Loan 3M USD LIBOR+  3.75  1.25  6.36  7/9/2019   935,156   934,453   883,723 

EWT Holdings III Corp.

 Capital Equipment Term Loan Loan 1M USD LIBOR+  3.00  1.00  5.49  12/20/2024   2,809,641   2,798,064   2,806,129 

 

53


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

Extreme Reach Inc.

 Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  6.25  1.00  8.74  2/7/2020   5,492,555   5,432,541   5,351,836 

Fastener Acquisition Inc.

 Construction & Building Term Loan B Loan 3M USD LIBOR+  4.25  1.00  6.86  3/28/2025   496,250   493,979   486,325 

FinCo I LLC

 Banking Finance Insurance & Real Estate 2018 Term Loan B Loan 1M USD LIBOR+  2.00  0.00  4.49  12/27/2022   415,611   414,701   412,236 

First Eagle Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B (10/18) Loan 3M USD LIBOR+  2.75  0.00  5.36  12/2/2024   5,000,000   4,973,959   4,987,500 

Fitness International LLC

 Services: Consumer Term Loan B (4/18) Loan 1M USD LIBOR+  3.25  0.00  5.74  4/18/2025   2,776,214   2,759,824   2,755,392 

Franklin Square Holdings L.P.

 Banking Finance Insurance & Real Estate Term Loan Loan 2M USD LIBOR+  2.50  0.00  5.07  8/1/2025   4,488,750   4,457,527   4,474,745 

Fusion Connect Inc.

 Telecommunications Term Loan B Loan 3M USD LIBOR+  7.50  1.00  10.11  5/4/2023   1,925,000   1,857,064   1,732,500 

GBT Group Services B.V.

 Hotel Gaming & Leisure Term Loan Loan 3M USD LIBOR+  2.50  0.00  5.11  8/13/2025   4,488,750   4,487,571   4,466,306 

GC EOS Buyer Inc.

 Automotive Term Loan B (06/18) Loan 1M USD LIBOR+  4.50  0.00  6.99  8/1/2025   2,992,500   2,964,056   2,955,094 

General Nutrition Centers Inc.

 Retail FILO Term Loan Loan 1M USD LIBOR+  7.00  0.00  9.49  1/3/2023   585,849   585,849   593,172 

General Nutrition Centers Inc.

 Retail Term Loan B2 Loan Prime+  9.16  0.75  9.91  3/4/2021   1,035,789   1,035,789   1,008,341 

GI Chill Acquisition LLC

 Services: Business Term Loan Loan 3M USD LIBOR+  4.00  0.00  6.61  8/6/2025   2,493,750   2,482,280   2,487,516 

GI Revelation Acquisition LLC

 Services: Business Term Loan Loan 1M USD LIBOR+  5.00  0.00  7.49  4/16/2025   1,244,373   1,238,702   1,231,930 

Gigamon Inc.

 Services: Business Term Loan B Loan 3M USD LIBOR+  4.25  1.00  6.86  12/27/2024   1,980,000   1,962,889   1,952,775 

Global Tel*Link Corporation

 Telecommunications Term Loan B Loan 1M USD LIBOR+  4.25  0.00  6.74  11/28/2025   3,070,455   3,070,455   3,070,455 

Go Wireless Inc.

 Telecommunications Term Loan Loan 1M USD LIBOR+  6.50  1.00  8.99  12/22/2024   3,380,519   3,331,962   3,250,944 

GoodRX Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  3.00  0.00  5.49  10/10/2025   3,000,000   2,992,953   2,976,570 

Goodyear Tire & Rubber Company The

 Chemicals Plastics & Rubber Second Lien Term Loan Loan 1M USD LIBOR+  2.00  0.00  4.49  3/7/2025   2,000,000   2,000,000   1,956,660 

Grosvenor Capital Management Holdings LLLP

 Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.75  1.00  5.24  3/28/2025   920,941   916,777   916,337 

Guidehouse LLP

 Aerospace & Defense Term Loan Loan 1M USD LIBOR+  3.00  0.00  5.49  5/1/2025   1,990,000   1,985,566   1,965,125 

Hargray Communications Group Inc.

 Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  3.00  1.00  5.49  5/16/2024   985,000   983,012   973,308 

Harland Clarke Holdings Corp.

 Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+  4.75  1.00  7.36  11/3/2023   1,833,245   1,824,008   1,741,583 

HD Supply Waterworks Ltd.

 Construction & Building Term Loan Loan 6M USD LIBOR+  3.00  1.00  5.69  8/1/2024   493,750   492,687   489,430 

Helix Gen Funding LLC

 Energy: Electricity Term Loan B (02/17) Loan 1M USD LIBOR+  3.75  1.00  6.24  6/3/2024   264,030   263,460   256,204 

HLF Financing SaRL LLC

 Consumer goods:Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+  3.25  0.00  5.74  8/18/2025   3,990,000   3,973,021   3,990,000 

Hoffmaster Group Inc.

 Forest Products & Paper Term Loan B1 Loan 1M USD LIBOR+  4.00  1.00  6.49  11/21/2023   1,074,390   1,077,199   1,070,361 

Holley Purchaser Inc.

 Automotive Term Loan B Loan 3M USD LIBOR+  5.00  0.00  7.61  10/24/2025   2,500,000   2,475,886   2,450,000 

 

54


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

Hostess Brands LLC

 Beverage Food & Tobacco Cov-Lite Term Loan B Loan 3M USD LIBOR+  2.25  0.75  4.86  8/3/2022   1,467,734   1,464,418   1,448,169 

Hudson River Trading LLC

 Banking Finance Insurance & Real Estate Term Loan B (10/18) Loan 1M USD LIBOR+  3.50  0.00  5.99  4/3/2025   3,980,025   3,958,223   3,960,125 

Hyland Software Inc.

 High Tech Industries Term Loan 3 Loan 1M USD LIBOR+  3.50  0.75  5.99  7/1/2024   1,586,222   1,584,204   1,588,205 

Hyperion Refinance S.a.r.l.

 Banking Finance Insurance & Real Estate Tem Loan (12/17) Loan 1M USD LIBOR+  3.50  1.00  5.99  12/20/2024   2,229,370   2,219,751   2,225,647 

Idera Inc.

 High Tech Industries Term Loan B Loan 1M USD LIBOR+  4.50  1.00  6.99  6/28/2024   1,964,786   1,947,430   1,962,330 

IG Investments Holdings LLC

 Services: Business Term Loan Loan 3M USD LIBOR+  3.50  1.00  6.11  5/23/2025   3,398,256   3,380,175   3,382,115 

Inmar Inc.

 Services: Business Term Loan B Loan 1M USD LIBOR+  3.50  1.00  5.99  5/1/2024   3,492,500   3,398,589   3,389,471 

Isagenix International LLC

 Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+  5.75  1.00  8.36  6/16/2025   2,950,000   2,895,451   2,787,750 

Jill Holdings LLC

 Retail Term Loan (1st Lien) Loan 3M USD LIBOR+  5.00  1.00  7.61  5/9/2022   1,859,387   1,854,837   1,830,343 

JP Intermediate B LLC

 Consumer goods:Non-durable Term Loan Loan 3M USD LIBOR+  5.50  1.00  8.11  11/20/2025   4,937,500   4,883,059   4,702,969 

Kinetic Concepts Inc.

 Healthcare & Pharmaceuticals 1/17 USD Term Loan Loan 3M USD LIBOR+  3.25  1.00  5.86  2/2/2024   2,364,000   2,355,394   2,357,499 

KUEHG Corp.

 Services: Consumer Term LoanB-3 Loan 3M USD LIBOR+  3.75  1.00  6.36  2/21/2025   497,500   496,313   493,023 

Lakeland Tours LLC

 Hotel Gaming & Leisure Term Loan B Loan 3M USD LIBOR+  4.00  1.00  6.61  12/16/2024   2,482,494   2,474,016   2,458,836 

Lannett Company Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  5.38  1.00  7.87  11/25/2022   2,546,382   2,513,728   2,338,419 

Learfield Communications LLC

 Media: Advertising Printing & Publishing Initial Term Loan(A-L Parent) Loan 1M USD LIBOR+  3.25  1.00  5.74  12/1/2023   490,000   488,374   488,775 

Lighthouse Network LLC

 Banking Finance Insurance & Real Estate Term Loan B Loan 3M USD LIBOR+  4.50  1.00  7.11  12/2/2024   3,415,500   3,402,695   3,402,692 

Lightstone Holdco LLC

 Energy: Electricity Term Loan B Loan 1M USD LIBOR+  3.75  1.00  6.24  1/30/2024   1,353,009   1,350,840   1,320,199 

Lightstone Holdco LLC

 Energy: Electricity Term Loan C Loan 1M USD LIBOR+  3.75  1.00  6.24  1/30/2024   74,592   74,478   72,783 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+  3.50  0.00  5.99  3/27/2025   398,000   397,117   397,005 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+  3.50  0.00  5.99  3/27/2025   99,500   99,279   99,251 

Liquidnet Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.25  1.00  5.74  7/15/2024   3,154,276   3,144,386   3,150,333 

LPL Holdings Inc.

 Banking Finance Insurance & Real Estate Incremental Term Loan B Loan 1M USD LIBOR+  2.25  0.00  4.74  9/23/2024   1,723,805   1,720,511   1,708,721 

McAfee LLC

 Services: Business Term Loan B Loan 1M USD LIBOR+  3.75  0.00  6.24  9/30/2024   2,690,156   2,661,137   2,694,810 

McDermott International Inc.

 Construction & Building Term Loan B Loan 1M USD LIBOR+  5.00  1.00  7.49  5/12/2025   1,985,000   1,948,934   1,907,625 

McGraw-Hill Global Education Holdings LLC

 Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  4.00  1.00  6.49  5/4/2022   974,920   972,268   897,229 

MedPlast Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan (06/18) Loan 3M USD LIBOR+  3.75  0.00  6.36  7/2/2025   498,750   496,426   500,620 

 

55


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

Meredith Corporation

 Media: Advertising Printing & Publishing Term Loan B (10/18) Loan 1M USD LIBOR+  2.75  0.00  5.24  1/31/2025   681,944   680,552   681,563 

Messer Industries LLC

 Chemicals Plastics & Rubber Term Loan Loan 3M USD LIBOR+  2.50  0.00  5.11  2/5/2026   3,000,000   2,992,500   2,977,500 

Michaels Stores Inc.

 Retail Term Loan B Loan 1M USD LIBOR+  2.50  1.00  4.99  1/30/2023   2,628,816   2,617,545   2,600,898 

Midwest Physician Administrative Services LLC

 Healthcare & Pharmaceuticals Term Loan (2/18) Loan 1M USD LIBOR+  2.75  0.75  5.24  8/15/2024   977,985   973,790   958,836 

Milk Specialties Company

 Beverage Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+  4.00  1.00  6.49  8/16/2023   3,969,672   3,905,366   3,946,529 

MKS Instruments Inc.

 High Tech Industries Term LoanB-5 Loan 1M USD LIBOR+  2.25  0.00  4.74  2/2/2026   1,000,000   990,327   998,750 

MLN US HoldCo LLC

 Telecommunications Term Loan Loan 1M USD LIBOR+  4.50  0.00  6.99  11/28/2025   1,000,000   997,824   992,500 

MRC Global (US) Inc.

 Metals & Mining Term Loan B2 Loan 1M USD LIBOR+  3.00  0.00  5.49  9/20/2024   495,000   493,864   495,000 

NAI Entertainment Holdings LLC

 Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+  2.50  1.00  4.99  5/8/2025   997,500   995,282   989,600 

Natgasoline LLC

 Chemicals Plastics & Rubber Term Loan Loan 3M USD LIBOR+  3.50  0.00  6.11  11/14/2025   500,000   497,720   500,625 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  4.25  0.00  6.86  2/5/2026   2,000,000   1,980,000   2,005,840 

Navistar Financial Corporation

 Automotive Term Loan Loan 1M USD LIBOR+  3.75  0.00  6.24  7/30/2025   1,990,000   1,980,604   1,982,538 

NeuStar Inc.

 Telecommunications Term Loan B4 (03/18) Loan 1M USD LIBOR+  3.50  1.00  5.99  8/8/2024   3,992,424   3,925,243   3,822,746 

New Media Holdings II LLC

 Media: Diversified & Production Term Loan Loan 1M USD LIBOR+  6.25  1.00  8.74  7/14/2022   5,973,699   5,959,159   5,921,430 

NMI Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.75  1.00  7.24  5/23/2023   3,489,981   3,494,699   3,489,981 

Novetta Solutions LLC

 Aerospace & Defense Term Loan Loan 1M USD LIBOR+  5.00  1.00  7.49  10/17/2022   1,939,870   1,928,782   1,898,648 

Novetta Solutions LLC

 Aerospace & Defense Second Lien Term Loan Loan 1M USD LIBOR+  8.50  1.00  10.99  10/16/2023   1,000,000   993,349   945,000 

NPC International Inc.

 Beverage Food & Tobacco Term Loan Loan 2M USD LIBOR+  3.50  1.00  6.07  4/19/2024   492,500   492,068   461,719 

Ocean Bidco Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan 2M USD LIBOR+  4.75  1.00  7.32  3/21/2025   473,186   470,976   464,115 

OCI Partners LP

 Chemicals Plastics & Rubber Term Loan B (2/18) Loan 3M USD LIBOR+  4.00  0.00  6.61  3/13/2025   3,067,196   3,045,069   3,059,528 

Office Depot Inc.

 Retail Term Loan B Loan 1M USD LIBOR+  5.25  1.00  7.74  11/8/2022   2,909,851   2,888,913   2,971,685 

Onex Carestream Finance LP

 High Tech Industries Term Loan Loan 1M USD LIBOR+  5.75  1.00  8.24  2/28/2021   2,834,110   2,822,053   2,780,970 

Outcomes Group Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan Loan 3M USD LIBOR+  3.50  0.00  6.11  10/24/2025   500,000   498,833   493,125 

Owens & Minor Distribution Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  4.50  0.00  6.99  4/30/2025   497,500   488,393   420,800 

P2 Upstream Acquisition Co.

 High Tech Industries Term Loan Loan 3M USD LIBOR+  4.00  1.00  6.61  10/30/2020   945,558   943,988   929,011 

Peraton Corp.

 Aerospace & Defense Term Loan Loan 3M USD LIBOR+  5.25  1.00  7.86  4/29/2024   1,970,000   1,962,137   1,915,825 

PGX Holdings Inc.

 Services: Consumer Term Loan Loan 1M USD LIBOR+  5.25  1.00  7.74  9/29/2020   2,674,370   2,667,939   2,614,197 

 

56


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

PI UK Holdco II Limited

 Services: Business Term Loan B1 (PI UK Holdco II) Loan 1M USD LIBOR+  3.50  1.00  5.99  1/3/2025   1,488,750   1,481,083   1,473,237 

Plastipak Packaging Inc

 Containers Packaging & Glass Term Loan B (04/18) Loan 1M USD LIBOR+  2.50  0.00  4.99  10/15/2024   987,500   983,130   974,100 

Presidio Inc.

 Services: Business Term Loan B 2017 Loan 3M USD LIBOR+  2.75  1.00  5.36  2/2/2024   1,697,600   1,663,332   1,678,078 

Prime Security Services
Borrower LLC

 Services: Consumer Refi Term LoanB-1 Loan 1M USD LIBOR+  2.75  1.00  5.24  5/2/2022   1,950,361   1,943,928   1,943,925 

Priority Payment Systems
Holdings LLC

 High Tech Industries Term Loan Loan 1M USD LIBOR+  5.00  1.00  7.49  1/3/2023   1,150,910   1,145,156   1,145,881 

Priority Payment Systems
Holdings LLC

 High Tech Industries Delayed Draw Term Loan Loan 3M USD LIBOR+  5.00  1.00  7.61  1/3/2023   —     —     —   

Project Accelerate Parent LLC

 Services: Business Term Loan Loan 1M USD LIBOR+  4.25  1.00  6.74  1/2/2025   1,985,000   1,976,356   1,985,000 

Prometric Holdings Inc.

 Services: Business Term Loan Loan 1M USD LIBOR+  3.00  1.00  5.49  1/29/2025   496,250   494,124   492,528 

Quad/Graphics Inc.

 Media: Advertising Printing & Publishing Term Loan B (12/18) Loan 1M USD LIBOR+  5.00  0.00  7.49  2/2/2026   4,500,000   4,434,606   4,483,125 

Rackspace Hosting Inc.

 High Tech Industries Term Loan B Loan 3M USD LIBOR+  3.00  1.00  5.61  11/3/2023   1,491,203   1,480,810   1,418,969 

Radio Systems Corporation

 Consumer goods: Durable Term Loan Loan 1M USD LIBOR+  2.75  1.00  5.24  5/2/2024   1,477,500   1,477,500   1,457,184 

Radiology Partners Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  4.75  0.00  7.36  7/9/2025   1,000,000   995,568   1,005,000 

Research Now Group Inc.

 Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  5.50  1.00  7.99  12/20/2024   3,967,481   3,836,608   3,942,684 

Resolute Investment
Managers Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/17) Loan 3M USD LIBOR+  3.25  1.00  5.86  4/29/2022   2,709,661   2,712,126   2,713,049 

Restaurant Technologies Inc.

 Beverage Food & Tobacco Term Loan (9/18) Loan 1M USD LIBOR+  3.25  0.00  5.74  10/1/2025   1,000,000   997,720   999,380 

Revspring Inc.

 Services: Business Term Loan B Loan 3M USD LIBOR+  4.25  0.00  6.86  10/10/2025   1,000,000   997,767   985,000 

Reynolds Group Holdings Inc.

 Metals & Mining Term Loan (01/17) Loan 1M USD LIBOR+  2.75  0.00  5.24  2/6/2023   1,725,912   1,725,912   1,718,369 

RGIS Services LLC

 Services: Business Term Loan Loan 3M USD LIBOR+  7.50  1.00  10.11  3/31/2023   486,033   480,179   415,558 

Robertshaw US Holding Corp.

 Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+  3.50  1.00  5.99  2/28/2025   992,500   990,321   929,228 

Rocket Software Inc.

 High Tech Industries Term Loan (11/18) Loan 1M USD LIBOR+  4.25  0.00  6.74  11/28/2025   4,000,000   3,982,916   4,000,000 

Rovi Solutions Corporation

 Media: Diversified & Production Term Loan B Loan 1M USD LIBOR+  2.50  0.75  4.99  7/2/2021   1,332,669   1,330,256   1,311,013 

Russell Investments US Institutional Holdco Inc.

 Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.25  1.00  5.74  6/1/2023   4,184,784   4,064,980   4,142,936 

Sahara Parent Inc.

 High Tech Industries Term Loan B (11/18) Loan 1M USD LIBOR+  4.50  0.00  6.99  8/16/2024   1,975,050   1,956,153   1,967,031 

Sally Holdings LLC

 Retail Term Loan B Loan 1M USD LIBOR+  2.25  0.00  4.74  7/5/2024   987,455   983,210   973,877 

Sally Holdings LLC

 Retail Term Loan (Fixed) Loan Fixed  4.50  0.00  4.50  7/5/2024   1,000,000   996,030   963,750 

Savage Enterprises LLC

 Transportation: Cargo Term Loan Loan 1M USD LIBOR+  4.50  0.00  6.99  8/1/2025   3,823,951   3,774,062   3,836,684 

 

57


Table of Contents

Issuer Name

 

Industry

 

Asset Name

 

Asset

Type

 

Reference Rate/Spread

  LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
  Principal/
Number of
Shares
  Cost  Fair Value 

SCS Holdings I Inc.

 High Tech Industries Term Loan Loan 1M USD LIBOR+  4.25  1.00  6.74  10/31/2022   3,393,482   3,378,749   3,401,966 

Seadrill Operating LP

 Energy: Oil & Gas Term Loan B Loan 3M USD LIBOR+  6.00  1.00  8.61  2/21/2021   915,243   888,341   763,084 

SG Acquisition Inc.

 Banking Finance Insurance & Real Estate Term Loan (Safe-Guard) Loan 3M USD LIBOR+  5.00  1.00  7.61  3/29/2024   1,660,000   1,647,194   1,647,550 

Shearer’s Foods LLC

 Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+  4.25  1.00  6.74  6/30/2021   2,925,531