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SAR Saratoga Investment

Filed: 8 Jul 20, 4:02pm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

Form 10-Q

 

 

 

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

For the Quarterly Period Ended May 31, 2020

 

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

Commission File No. 814-00732

 

 

SARATOGA INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

 

 

 

Maryland  20-8700615
(State or other jurisdiction of  (I.R.S. Employer
incorporation or organization)  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
6.25% Notes due 2025 SAF The New York Stock Exchange
7.25% Notes due 2025 SAK 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 Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  ☐    No  ☐

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

 

Large accelerated filer   Accelerated filer 
Non-accelerated filer   Smaller reporting company 
   Emerging growth company 

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).    Yes  ☐    No  ☒

The number of outstanding common shares of the registrant as of July 8, 2020 was 11,217,545.

 

 

 


Table of Contents


Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

   May 31, 2020  February 29, 2020 
   (unaudited)    

ASSETS

   

Investments at fair value

   

Non-control/Non-affiliate investments (amortized cost of $442,916,804 and $418,006,725, respectively)

  $420,930,113  $420,442,928 

Affiliate investments (amortized cost of $25,998,569 and $23,998,917, respectively)

   18,041,254   18,485,854 

Control investments (amortized cost of $46,649,515 and $44,293,619, respectively)

   43,975,865   46,703,192 
  

 

 

  

 

 

 

Total investments at fair value (amortized cost of $515,564,888 and $486,299,261, respectively)

   482,947,232   485,631,974 

Cash and cash equivalents

   12,842,608   24,598,905 

Cash and cash equivalents, reserve accounts

   12,952,393   14,851,447 

Interest receivable (net of reserve of $1,500,123 and $1,238,049, respectively)

   4,308,981   4,810,456 

Management fee receivable

   285,588   272,207 

Other assets

   660,775   701,007 
  

 

 

  

 

 

 

Total assets

  $513,997,577  $530,865,996 
  

 

 

  

 

 

 

LIABILITIES

   

Revolving credit facility

  $—    $—   

Deferred debt financing costs, revolving credit facility

   (489,361  (512,628

SBA debentures payable

   170,000,000   150,000,000 

Deferred debt financing costs, SBA debentures payable

   (2,892,760  (2,561,495

2025 Notes payable

   60,000,000   60,000,000 

Deferred debt financing costs, 2025 notes payable

   (1,953,054  (2,046,735

Base management and incentive fees payable

   3,552,457   15,800,097 

Deferred tax liability

   1,070,678   1,347,363 

Accounts payable and accrued expenses

   1,580,913   1,713,157 

Interest and debt fees payable

   994,956   2,234,042 

Directors fees payable

   63,000   61,500 

Due to manager

   439,730   543,842 
  

 

 

  

 

 

 

Total liabilities

   232,366,559   226,579,143 
  

 

 

  

 

 

 

Commitments and contingencies (See Note 8)

   

NET ASSETS

   

Common stock, par value $0.001, 100,000,000 common shares authorized, 11,217,545 and 11,217,545 common shares issued and outstanding, respectively

   11,218   11,218 

Capital in excess of par value

   289,476,991   289,476,991 

Total distributable earnings (loss)

   (7,857,191  14,798,644 
  

 

 

  

 

 

 

Total net assets

   281,631,018   304,286,853 
  

 

 

  

 

 

 

Total liabilities and net assets

  $513,997,577  $530,865,996 
  

 

 

  

 

 

 

NET ASSET VALUE PER SHARE

  $25.11  $27.13 
  

 

 

  

 

 

 

 

See accompanying notes to consolidated financial statements.

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Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

   For the three months ended 
   May 31, 2020  May 31, 2019 

INVESTMENT INCOME

   

Interest from investments

   

Interest income:

   

Non-control/Non-affiliate investments

  $9,955,562  $8,527,740 

Affiliate investments

   398,370   249,325 

Control investments

   1,133,584   1,648,146 

Payment-in-kind interest income:

   

Non-control/Non-affiliate investments

   581,946   151,897 

Affiliate investments

   46,223   40,150 

Control investments

   34,782   985,869 
  

 

 

  

 

 

 

Total interest from investments

   12,150,467   11,603,127 

Interest from cash and cash equivalents

   11,796   51,359 

Management fee income

   634,572   629,516 

Structuring and advisory fee income*

   313,306   316,375 

Other income*

   187,000   150,807 
  

 

 

  

 

 

 

Total investment income

   13,297,141   12,751,184 
  

 

 

  

 

 

 

OPERATING EXPENSES

   

Interest and debt financing expenses

   2,563,876   3,864,576 

Base management fees

   2,160,528   1,812,169 

Incentive management fees expense (benefit)

   (1,858,310  2,113,169 

Professional fees

   386,888   395,126 

Administrator expenses

   556,250   500,000 

Insurance

   67,726   64,619 

Directors fees and expenses

   60,000   60,000 

General & administrative

   350,814   258,601 

Income tax expense (benefit)

   (8,945  2,136 
  

 

 

  

 

 

 

Total operating expenses

   4,278,827   9,070,396 
  

 

 

  

 

 

 

NET INVESTMENT INCOME

   9,018,314   3,680,788 
  

 

 

  

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS

   

Net realized gain (loss) from investments:

   

Non-control/Non-affiliate investments

   8,480   —   
  

 

 

  

 

 

 

Net realized gain (loss) from investments

   8,480   —   
  

 

 

  

 

 

 

Net change in unrealized appreciation (depreciation) on investments:

   

Non-control/Non-affiliate investments

   (24,422,894  2,393,191 

Affiliate investments

   (2,444,252  169,944 

Control investments

   (5,083,223  1,425,995 
  

 

 

  

 

 

 

Net change in unrealized appreciation (depreciation) on investments

   (31,950,369  3,989,130 

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

   267,740   (20,930
  

 

 

  

 

 

 

Net realized and unrealized gain (loss) on investments

   (31,674,149  3,968,200 
  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $(22,655,835 $7,648,988 
  

 

 

  

 

 

 

WEIGHTED AVERAGE—BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE

  $(2.02 $0.99 

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING—BASIC AND DILUTED

   11,217,545   7,746,187 

 

*

Certain prior period amounts have been reclassified to conform to current period presentation.

 

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, 2020  May 31, 2019 

INCREASE (DECREASE) FROM OPERATIONS:

   

Net investment income

  $9,018,314  $3,680,788 

Net realized gain from investments

   8,480   —   

Net change in unrealized appreciation (depreciation) on investments

   (31,950,369  3,989,130 

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

   267,740   (20,930
  

 

 

  

 

 

 

Net increase (decrease) in net assets resulting from operations

   (22,655,835  7,648,988 
  

 

 

  

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

   

Total distributions to shareholders

   —     (4,176,132
  

 

 

  

 

 

 

Net decrease in net assets from shareholder distributions

   —     (4,176,132
  

 

 

  

 

 

 

CAPITAL SHARE TRANSACTIONS:

   

Proceeds from issuance of common stock

   —     1,772,634 

Stock dividend distribution

   —     667,389 

Offering costs

   —     (4,365
  

 

 

  

 

 

 

Net increase in net assets from capital share transactions

   —     2,435,658 
  

 

 

  

 

 

 

Total increase (decrease) in net assets

   (22,655,835  5,908,514 

Net assets at beginning of period

   304,286,853   180,875,187 
  

 

 

  

 

 

 

Net assets at end of period

  $281,631,018  $186,783,701 
  

 

 

  

 

 

 

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, 2020  May 31, 2019 

Operating activities

   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $(22,655,835 $7,648,988 

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

   

Payment-in-kind and other adjustments to cost

   703,636   (2,672,834

Net accretion of discount on investments

   (312,430  (318,260

Amortization of deferred debt financing costs

   272,683   341,688 

Income tax expense (benefit)

   (8,945  2,136 

Net realized (gain) loss from investments

   (8,480  —   

Net change in unrealized (appreciation) depreciation on investments

   31,950,369   (3,989,130

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

   (267,740  20,930 

Proceeds from sales and repayments of investments

   9,350,378   26,917,351 

Purchases of investments

   (38,998,731  (27,368,748

(Increase) decrease in operating assets:

   

Interest receivable

   501,475   (68,898

Due from affiliate

   —     430,550 

Management and incentive fee receivable

   (13,381  262,266 

Other assets

   40,232   45,304 

Increase (decrease) in operating liabilities:

   

Base management and incentive fees payable

   (12,247,640  837,285 

Accounts payable and accrued expenses

   (132,244  (184,742

Interest and debt fees payable

   (1,239,086  (1,246,177

Directors fees payable

   1,500   1,500 

Due to manager

   (104,112  22,661 
  

 

 

  

 

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

   (33,168,351  681,870 
  

 

 

  

 

 

 

Financing activities

   

Borrowings on debt

   20,000,000   —   

Payments of deferred debt financing costs

   (487,000  (39,689

Proceeds from issuance of common stock

   —     1,772,634 

Payments of cash dividends

   —     (3,508,743

Payments of offering costs

   —     (4,219
  

 

 

  

 

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

   19,513,000   (1,780,017
  

 

 

  

 

 

 

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS

   (13,655,351  (1,098,147

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

   39,450,352   62,094,394 
  

 

 

  

 

 

 

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

  $25,795,001  $60,996,247 
  

 

 

  

 

 

 

Supplemental information:

   

Interest paid during the period

  $3,530,278  $4,769,065 

Cash paid for taxes

   1,006   5,761 

Supplemental non-cash information:

   

Payment-in-kind interest income

   (703,636  2,672,834 

Net accretion of discount on investments

   312,430   318,260 

Amortization of deferred debt financing costs

   272,683   341,688 

Stock dividend distribution

   —     667,389 

See accompanying notes to consolidated financial statements.

 

6


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

May 31, 2020

(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—149.5% (b)

       

Apex Holdings Software Technologies, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2021

  9/21/2016  $18,000,000  $17,958,108  $17,220,600   6.1

Apex Holdings Software Technologies, LLC

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2021

  10/1/2018  $1,500,000   1,493,070   1,435,050   0.5

ArbiterSports, LLC (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025

  2/21/2020  $26,000,000   25,776,666   24,195,600   8.6

Arbiter Sports, LLC (d)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025

  2/21/2020  $1,000,000   1,000,000   930,600   0.3

Avionte Holdings, LLC (h)

  Business Services  Class A Units  1/8/2014   100,000   100,000   652,755   0.2

CLEO Communications Holding, LLC (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+8.00%), 9.00% Cash/2.00% PIK, 3/31/2022

  3/31/2017  $13,862,297   13,845,633   13,748,626   4.9

CLEO Communications Holding, LLC (d)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+8.00%), 9.00% Cash/2.00% PIK, 3/31/2022

  3/31/2017  $20,144,170   20,036,042   19,978,987   7.1

CoConstruct, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024

  7/5/2019  $4,200,000   4,163,653   4,082,400   1.4

CoConstruct, LLC

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024

  7/5/2019  $3,500,000   3,467,047   3,402,000   1.2

Davisware, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024

  9/6/2019  $3,000,000   2,973,420   2,844,300   1.0

Davisware, LLC (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024

  9/6/2019  $977,790   968,436   873,990   0.3

Destiny Solutions Inc. (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.25%), 9.25% Cash, 10/23/2024

  5/16/2018  $36,000,000   35,709,234   34,311,600   12.2

Destiny Solutions Inc. (h), (i)

  Business Services  Limited Partner Interests  5/16/2018   2,342   2,468,464   2,765,313   1.0

Emily Street Enterprises, L.L.C.

  Business Services  

Senior Secured Note

(3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2020

  12/28/2012  $3,300,000   3,299,985   3,230,700   1.1

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

  Business Services  

Warrant Membership Interests

Expires 12/28/2022

  12/28/2012   49,318   400,000   307,450   0.1

Erwin, Inc. (d)

  Business Services  

Second Lien Term Loan

(3M USD LIBOR+11.50%), 12.50% Cash/1.00% PIK, 8/28/2021

  2/29/2016  $16,090,374   16,042,089   16,021,185   5.7

FMG Suite Holdings, LLC (d)

  Business Services  

Second Lien Term Loan

(1M USD LIBOR+8.00%), 9.00% Cash, 11/16/2023

  5/16/2018  $23,000,000   22,875,335   22,896,500   8.1

GDS Software Holdings, LLC (h)

  Business Services  Common Stock Class A Units  8/23/2018   250,000   250,000   416,431   0.1

Identity Automation Systems (h)

  Business Services  Common Stock Class A-2 Units  8/25/2014   232,616   232,616   697,848   0.2

Identity Automation Systems (h)

  Business Services  Common Stock Class A-1 Units  3/6/2020   43,715   171,571   174,870   0.1

Identity Automation Systems (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024

  8/25/2014  $17,378,750   17,338,112   16,673,173   5.9

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   12,100,642   11,403,340   4.0

inMotionNow, Inc. (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.25) 9.75% Cash, 5/15/2024

  5/15/2019  $2,000,000   1,982,887   1,869,400   0.7

Knowland Group, LLC

  Business Services  

Second Lien Term Loan

(3M USD LIBOR+8.00%), 10.00% Cash, 5/9/2024

  11/9/2018  $15,379,167   15,379,167   11,445,176   4.1

LogicMonitor, Inc.

  Business Services  

First Lien Term Loan

(3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023

  3/20/2020  $18,000,000   17,872,544   17,305,200   6.1

National Waste Partners (d)

  Business Services  

Second Lien Term Loan

10.00% Cash, 2/13/2022

  2/13/2017  $9,000,000   8,965,278   8,805,600   3.1

Omatic Software, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023

  5/29/2018  $5,500,000   5,463,118   5,358,650   2.0

Passageways, Inc.

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023

  7/5/2018  $5,000,000   4,963,510   4,849,500   1.8

Passageways, Inc. (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023

  1/3/2020  $2,000,000   1,991,661   1,849,500   0.7

Passageways, Inc. (h)

  Business Services  Series A Preferred Stock  7/5/2018   2,027,205   1,000,000   2,105,112   0.8

Sceptre Hospitality Resources, LLC

  Business Services  

First Lien Term Loan

(1M USD LIBOR+9.00%), 10.00% Cash, 4/27/2025

  4/27/2020  $3,000,000   2,970,794   2,970,000   1.1

Vector Controls Holding Co., LLC (d)

  Business Services  First Lien Term Loan 10.50% (9.00% Cash/1.50% PIK), 3/6/2022  3/6/2013  $7,849,846   7,849,770   7,649,675   2.7

Vector Controls Holding Co., LLC (d), (h)

  Business Services  Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343   —     2,289,966   0.8
     

 

 

  

 

 

  

 

 

 
  Total Business Services    271,108,852   264,761,097   94.0
     

 

 

  

 

 

  

 

 

 

Targus Holdings, Inc. (d), (h)

  Consumer Products  Common Stock  12/31/2009   210,456   1,589,630   409,172   0.1
     

 

 

  

 

 

  

 

 

 
  Total Consumer Products    1,589,630   409,172   0.1
     

 

 

  

 

 

  

 

 

 

My Alarm Center, LLC (k)

  Consumer Services  

Preferred Equity Class A Units

8.00% PIK

  7/14/2017   2,227   2,357,879   —     0.0

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   712,343   1,997,158   0.6

My Alarm Center, LLC (h)

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

 

 

  

 

 

  

 

 

 
  Total Consumer Services    4,867,102   1,997,158   0.6
     

 

 

  

 

 

  

 

 

 

C2 Educational Systems (d)

  Education  

First Lien Term Loan

(3M USD LIBOR+7.00%), 8.50% Cash, 5/31/2020

  5/31/2017  $16,000,000   15,987,433   12,872,000   4.6

EMS LINQ, Inc.

  Education  

First Lien Term Loan

(1M USD LIBOR+8.50%), 9.75% Cash, 8/9/2024

  8/9/2019  $14,887,500   14,771,175   13,875,150   4.9

GoReact

  Education  

First Lien Term Loan

(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025

  1/17/2020  $5,000,000   4,934,208   4,709,000   1.7

GoReact (j)

  Education  

Delayed Draw Term Loan

(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025

  1/17/2020  $—     —     (116,400  0.0

Kev Software Inc. (a)

  Education  

First Lien Term Loan

(1M USD LIBOR+8.63%), 9.63% Cash, 9/13/2023

  9/13/2018  $21,178,171   21,046,716   20,210,328   7.2

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

  Education  Common Stock  12/2/2015   750,000   750,000   648,428   0.2

Texas Teachers of Tomorrow, LLC (d)

  Education  

First Lien Term Loan

(3M USD LIBOR+7.25%), 9.75% Cash, 6/28/2024

  6/28/2019  $18,945,824   18,782,577   17,871,596   6.3
     

 

 

  

 

 

  

 

 

 
  Total Education    76,272,109   70,070,102   24.9
     

 

 

  

 

 

  

 

 

 

TMAC Acquisition Co., LLC (k)

  Food and Beverage  

Unsecured Term Loan

8.00% PIK, 9/01/2023

  3/1/2018  $2,261,017   2,261,017   1,848,422   0.7
     

 

 

  

 

 

  

 

 

 
  Total Food and Beverage    2,261,017   1,848,422   0.7
     

 

 

  

 

 

  

 

 

 

Axiom Parent Holdings, LLC (h)

  Healthcare Services  Common Stock Class A Units  6/19/2018   400,000   400,000   331,445   0.1

Axiom Purchaser, Inc. (d)

  Healthcare Services  

First Lien Term Loan

(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023

  6/19/2018  $10,000,000   9,940,487   9,488,000   3.4

Axiom Purchaser, Inc. (d)

  Healthcare Services  

Delayed Draw Term Loan

(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023

  6/19/2018  $4,000,000   3,970,740   3,795,200   1.3

ComForCare Health Care

  Healthcare Services  

First Lien Term Loan

(3M USD LIBOR+7.50%), 8.50% Cash, 1/31/2022

  1/31/2017  $15,000,000   14,936,996   14,737,500   5.2

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   5,947,515   5,868,000   2.1

HemaTerra Holding Company, LLC (d), (j)

  Healthcare Services  

Delayed Draw Term Loan

(3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024

  4/15/2019  $12,000,000   11,896,667   11,692,000   4.2

TRC HemaTerra, LLC (h)

  Healthcare Services  Class D Membership Interests  4/15/2019   2,000,000   2,000,000   2,289,018   0.8

Ohio Medical, LLC (h)

  Healthcare Services  Common Stock  1/15/2016   5,000   500,000   743,607   0.3

Ohio Medical, LLC

  Healthcare Services  

Senior Subordinated Note

12.00% Cash, 6/30/2022

  1/15/2016  $7,300,000   7,279,283   7,300,000   2.6

PDDS Buyer, LLC

  Healthcare Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024

  7/15/2019  $12,000,000   11,894,752   11,648,400   4.1

 

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
 

PDDS Buyer, LLC (j)

  Healthcare Services  Delayed Draw Term Loan(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024  7/15/2019  $2,000,000   1,980,790   1,941,400   0.7

Roscoe Medical, Inc. (d), (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   4,200,000   2,029,020   0.7
     

 

 

  

 

 

  

 

 

 
  Total Healthcare Services    75,455,307   71,863,590   25.5
     

 

 

  

 

 

  

 

 

 

Village Realty Holdings LLC

  Property Management  

First Lien Term Loan

(3M USD LIBOR+6.75%), 9.00% Cash, 10/8/2024

  10/8/2019  $7,250,000   7,183,577   6,443,075   2.3

Village Realty Holdings LLC (j)

  Property Management  

Delayed Draw Term Loan

(3M USD LIBOR+6.75%), 9.00% Cash, 10/8/2024

  10/8/2019  $3,876,322   3,840,981   3,319,822   1.3

V Rental Holdings LLC (h)

  Property Management  Class A-1 Membership Units  10/8/2019   116,700   338,229   217,675   0.1
     

 

 

  

 

 

  

 

 

 
  Total Property Management    11,362,787   9,980,572   3.7
     

 

 

  

 

 

  

 

 

 

Sub Total Non-control/Non-affiliate investments

    442,916,804   420,930,113   149.5
     

 

 

  

 

 

  

 

 

 

Affiliate investments - 6.4% (b)

     

GreyHeller LLC (f)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+11.00%), 12.00% Cash, 11/16/2021

  11/17/2016  $7,000,000   6,975,912   6,930,000   2.5

GreyHeller LLC (f), (h)

  Business Services  Series A Preferred Units  11/17/2016   850,000   850,000   2,693,054   1.0

Top Gun Pressure Washing, LLC (f)

  Business Services  First Lien Term Loan(3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024  8/12/2019  $5,000,000   4,955,507   4,828,000   1.7

Top Gun Pressure Washing, LLC (f), (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024

  8/12/2019  $1,825,000   1,807,719   1,762,220   0.6

TG Pressure Washing Holdings, LLC (f), (h)

  Business Services  Preferred Equity  8/12/2019   488,148   488,148   410,913   0.1
     

 

 

  

 

 

  

 

 

 
  Total Business Services    15,077,286   16,624,187   5.9
     

 

 

  

 

 

  

 

 

 

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

  Metals  Common Stock  7/30/2010   60,000   9,685,028   427,692   0.2

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

  Metals  

Second Lien Term Loan

15.00% PIK, 8/10/2022

  7/30/2010  $1,236,255   1,236,255   989,375   0.3
     

 

 

  

 

 

  

 

 

 
  Total Metals    10,921,283   1,417,067   0.5
     

 

 

  

 

 

  

 

 

 

Sub Total Affiliate investments

    25,998,569   18,041,254   6.4
     

 

 

  

 

 

  

 

 

 

Control investments - 15.6% (b)

     

Netreo Holdings, LLC (g)

  Business Services  

First Lien Term Loan

(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK,

7/3/2023

  7/3/2018  $5,188,591   5,151,190   5,178,733   1.8

Netreo Holdings, LLC (g)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK,

7/3/2023

  5/26/2020  $1,200,000   1,188,071   1,197,720   0.4

Netreo Holdings, LLC (g), (h)

  Business Services  Common Stock Class A Unit  7/3/2018   3,150,000   3,150,000   6,330,311   2.3
     

 

 

  

 

 

  

 

 

 
  Total Business Services    9,489,261   12,706,764   4.5
     

 

 

  

 

 

  

 

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)

  
Structured Finance
Securities
 
 
 

Other/Structured Finance Securities

9.85%, 1/20/2030

  1/22/2008  $69,500,000   22,160,254   18,084,700   6.4

Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Note (a), (g)

  
Structured Finance
Securities
 
 
 

Other/Structured Finance Securities

(3M USD LIBOR+8.75%), 9.09%, 1/20/2030

  12/14/2018  $2,500,000   2,500,000   2,303,000   0.8

Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Note (a), (g)

  
Structured Finance
Securities
 
 
 

Other/Structured Finance Securities

(3M USD LIBOR+10.00%), 10.34%, 1/20/2030

  12/14/2018  $7,500,000   7,500,000   6,918,750   2.5

Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (a), (g), (j)

  
Structured Finance
Securities
 
 
 

Unsecured Loan

(3M USD LIBOR+7.50%), 7.84%, 8/20/2021

  2/18/2020  $5,000,000   5,000,000   3,962,651   1.4
     

 

 

  

 

 

  

 

 

 
  Total Structured Finance Securities    37,160,254   31,269,101   11.1
     

 

 

  

 

 

  

 

 

 

Sub Total Control investments

    46,649,515   43,975,865   15.6
     

 

 

  

 

 

  

 

 

 

TOTAL INVESTMENTS - 171.5% (b)

   $515,564,888  $482,947,232   171.5
     

 

 

  

 

 

  

 

 

 
          Number of
Shares
  Cost  Fair Value  % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 9.2% (b)

 

    

U.S. Bank Money Market (l)

     25,795,001  $25,795,001  $25,795,001   9.2
    

 

 

  

 

 

  

 

 

  

 

 

 

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

 

  25,795,001  $25,795,001  $25,795,001   9.2
    

 

 

  

 

 

  

 

 

  

 

 

 

 

(a)

Represents a non-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of May 31, 2020, non-qualifying assets represent 10.7% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.

(b)

Percentages are based on net assets of $281,631,018 as of May 31, 2020.

(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 9.85% 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, 2020 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
(Depreciation)
 

Elyria Foundry Company, L.L.C.

  $—     $—     $46,223   $—     $—     $(1,758,988

GreyHeller LLC

   —      —      230,371    —      —      (363,252

Top Gun Pressure Washing, LLC

   1,806,750    —      167,999    —      —      (244,777

TG Pressure Washing Holdings, LLC

   138,148    —      —      —      —      (77,235
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
  $1,944,898   $—     $444,593   $—     $—     $(2,444,252
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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, 2020 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)
 

Netreo Holdings, LLC

  $1,188,000   $—     $150,833   $—     $—     $(537,967

Saratoga Investment Corp. CLO 2013-1, Ltd.

   —      —      628,877    634,572    —      (3,112,366

Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes

   —      —      65,530    —      —      (175,000

Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes

   —      —      220,549    —      —      (516,000

Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (j)

   2,500,000    —      102,577    —      —      (741,890
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $3,688,000   $—     $1,168,366   $634,572   $—     $(5,083,223
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(h)

Non-income producing at May 31, 2020.

(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, 2020. (see Note 8 to the consolidated financial statements).

(k)

As of May 31, 2020, the investment was on non-accrual status. The fair value of these investments was approximately $3.9 million, which represented 0.8% 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, 2020.

LIBOR - London Interbank Offered Rate

1M USD LIBOR - The 1 month USD LIBOR rate as of May 31, 2020 was 0.18%.

3M USD LIBOR - The 3 month USD LIBOR rate as of May 31, 2020 was 0.34%.

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

 

 

See accompanying notes to consolidated financial statements.

 

8


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 29, 2020

 

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 - 138.2% (b)

       

Apex Holdings Software Technologies, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+8.00%), 9.46% Cash, 9/21/2021

  9/21/2016  $18,000,000  $17,951,463  $17,589,600   5.8

Apex Holdings Software Technologies, LLC

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+8.00%), 9.46% Cash, 9/21/2021

  10/1/2018  $1,500,000   1,491,938   1,465,800   0.5

ArbiterSports, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025

  2/21/2020  $26,000,000   25,765,288   25,740,000   8.6

Arbiter Sports, LLC (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025

  2/21/2020  $—     —     —     0.0

Avionte Holdings, LLC (h)

  Business Services  Class A Units  1/8/2014   100,000   100,000   922,337   0.3

CLEO Communications Holding, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+8.00%), 9.46% Cash/2.00% PIK, 3/31/2022

  3/31/2017  $13,791,686   13,773,206   14,048,211   4.6

CLEO Communications Holding, LLC

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+8.00%), 9.46% Cash/2.00% PIK, 3/31/2022

  3/31/2017  $20,041,560   19,919,746   20,414,333   6.7

CoConstruct, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024

  7/5/2019  $4,200,000   4,161,917   4,284,000   1.4

CoConstruct, LLC (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024

  7/5/2019  $—     —     —     0.0

Davisware, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024

  9/6/2019  $3,000,000   2,971,896   2,970,000   1.0

Davisware, LLC (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024

  9/6/2019  $—     —     —     0.0

Destiny Solutions Inc. (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.25%), 9.25% Cash, 10/23/2024

  5/16/2018  $36,000,000   35,686,318   35,888,400   11.8

Destiny Solutions Inc. (h), (i)

  Business Services  Limited Partner Interests  5/16/2018   2,342   2,468,464   2,805,839   0.9

Emily Street Enterprises, L.L.C.

  Business Services  

Senior Secured Note

(3M USD LIBOR+8.50%), 10.00% Cash, 4/22/2020

  12/28/2012  $3,300,000   3,299,987   3,300,000   1.1

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

  Business Services  

Warrant Membership Interests

Expires 12/28/2022

  12/28/2012   49,318   400,000   499,464   0.2

Erwin, Inc. (d)

  Business Services  

Second Lien Term Loan

(3M USD LIBOR+11.50%), 12.96% Cash/1.00% PIK, 8/28/2021

  2/29/2016  $16,049,804   15,990,286   16,049,804   5.3

FMG Suite Holdings, LLC (d)

  Business Services  

Second Lien Term Loan

(1M USD LIBOR+8.00%), 9.52% Cash, 11/16/2023

  5/16/2018  $23,000,000   22,863,835   23,000,000   7.6

GDS Holdings US, Inc. (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 8.50% Cash, 8/23/2023

  8/23/2018  $7,500,000   7,444,170   7,650,000   2.5

GDS Holdings US, Inc. (d)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 8.50% Cash, 8/23/2023

  8/23/2018  $1,000,000   990,526   1,020,000   0.3

GDS Software Holdings, LLC (h)

  Business Services  Common Stock Class A Units  8/23/2018   250,000   250,000   421,291   0.1

Identity Automation Systems (h)

  Business Services  Common Stock Class A Units  8/25/2014   232,616   232,616   860,269   0.4

Identity Automation Systems (d)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024

  8/25/2014  $15,422,500   15,389,090   15,524,289   5.1

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   12,094,364   12,200,000   4.1

inMotionNow, Inc. (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.25) 9.75% Cash, 5/15/2024

  5/15/2019  $2,000,000   1,981,329   2,000,000   0.0

Knowland Group, LLC

  Business Services  

Second Lien Term Loan

(3M USD LIBOR+8.00%), 10.00% Cash, 5/9/2024

  11/9/2018  $15,000,000   15,000,000   14,893,500   4.9

National Waste Partners (d)

  Business Services  

Second Lien Term Loan

10.00% Cash, 2/13/2022

  2/13/2017  $9,000,000   8,959,602   9,000,000   3.0

Omatic Software, LLC

  Business Services  

First Lien Term Loan

(3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023

  5/29/2018  $5,500,000   5,459,192   5,554,999   1.9

Omatic Software, LLC (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023

  5/29/2018  $—     —     —     0.0

Passageways, Inc.

  Business Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023

  7/5/2018  $5,000,000   4,961,214   5,034,500   1.7

Passageways, Inc. (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023

  1/3/2020  $2,000,000   1,991,001   2,013,800   0.7

Passageways, Inc. (h)

  Business Services  Series A Preferred Stock  7/5/2018   2,027,205   1,000,000   2,042,180   0.8

Vector Controls Holding Co., LLC (d)

  Business Services  First Lien Term Loan 10.50% (9.00% Cash/1.50% PIK), 3/6/2022  3/6/2013  $7,849,846   7,849,846   7,928,345   2.6

Vector Controls Holding Co., LLC (h)

  Business Services  Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343   —     2,850,231   0.9
     

 

 

  

 

 

  

 

 

 
  Total Business Services    250,447,294   257,971,192   84.8
     

 

 

  

 

 

  

 

 

 

Targus Holdings, Inc. (h)

  Consumer Products  Common Stock  12/31/2009   210,456   1,589,630   417,619   0.1
     

 

 

  

 

 

  

 

 

 
  Total Consumer Products    1,589,630   417,619   0.1
     

 

 

  

 

 

  

 

 

 

My Alarm Center, LLC (k)

  Consumer Services  

Preferred Equity Class A Units

8.00% PIK

  7/14/2017   2,227   2,357,879   —     0.0

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   712,343   1,997,158   0.6

My Alarm Center, LLC (h)

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

 

 

  

 

 

  

 

 

 
  Total Consumer Services    4,867,102   1,997,158   0.6
     

 

 

  

 

 

  

 

 

 

C2 Educational Systems (d)

  Education  

First Lien Term Loan

(3M USD LIBOR+7.00%), 8.50% Cash, 5/31/2020

  5/31/2017  $16,000,000   15,981,853   16,000,000   5.3

EMS LINQ, Inc.

  Education  

First Lien Term Loan

(1M USD LIBOR+8.50%), 10.02% Cash, 8/9/2024

  8/9/2019  $14,925,000   14,780,293   14,823,510   4.8

GoReact

  Education  

First Lien Term Loan

(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025

  1/17/2020  $5,000,000   4,930,819   4,950,000   1.6

GoReact (j)

  Education  

Delayed Draw Term Loan

(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025

  1/17/2020  $—     —     —     0.0

Kev Software Inc. (a)

  Education  

First Lien Term Loan

(1M USD LIBOR+8.63%), 10.15% Cash, 9/13/2023

  9/13/2018  $21,231,923   21,086,573   21,202,198   7.0

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

  Education  Common Stock  12/2/2015   750,000   750,000   703,910   0.2

Texas Teachers of Tomorrow, LLC (d)

  Education  

First Lien Term Loan

(3M USD LIBOR+7.25%), 9.75% Cash, 6/28/2024

  6/28/2019  $19,661,200   19,483,213   19,661,200   6.5
     

 

 

  

 

 

  

 

 

 
  Total Education    77,012,751   77,340,818   25.4
     

 

 

  

 

 

  

 

 

 

TMAC Acquisition Co., LLC

  Food and Beverage  

Unsecured Term Loan

8.00% PIK, 9/01/2023

  3/1/2018  $2,261,017   2,261,017   2,140,880   0.7
     

 

 

  

 

 

  

 

 

 
  Total Food and Beverage    2,261,017   2,140,880   0.7
     

 

 

  

 

 

  

 

 

 

Axiom Parent Holdings, LLC (h)

  Healthcare Services  Common Stock Class A Units  6/19/2018   400,000   400,000   428,706   0.1

Axiom Purchaser, Inc. (d)

  Healthcare Services  

First Lien Term Loan

(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023

  6/19/2018  $10,000,000   9,936,612   9,944,000   3.3

Axiom Purchaser, Inc. (d), (j)

  Healthcare Services  

Delayed Draw Term Loan

(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023

  6/19/2018  $3,000,000   2,977,619   2,983,200   1.0

ComForCare Health Care

  Healthcare Services  

First Lien Term Loan

(3M USD LIBOR+7.50%), 8.96% Cash, 1/31/2022

  1/31/2017  $15,000,000   14,929,216   15,099,000   5.0

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   5,944,473   6,120,000   2.0

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  $10,000,000   9,912,295   10,200,000   3.4

TRC HemaTerra, LLC (h)

  Healthcare Services  Class D Membership Interests  4/15/2019   2,000,000   2,000,000   2,259,190   0.7

Ohio Medical, LLC (h)

  Healthcare Services  Common Stock  1/15/2016   5,000   500,000   416,550   0.1

Ohio Medical, LLC

  Healthcare Services  

Senior Subordinated Note

12.00% Cash, 7/15/2021

  1/15/2016  $7,300,000   7,274,482   7,300,000   2.4

PDDS Buyer, LLC

  Healthcare Services  

First Lien Term Loan

(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024

  7/15/2019  $12,000,000   11,888,585   12,184,800   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
 

PDDS Buyer, LLC (j)

  Healthcare Services  Delayed Draw Term Loan(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024  7/15/2019  $—     —     —     0.0

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   4,200,000   2,136,960   0.7
     

 

 

  

 

 

  

 

 

 
  Total Healthcare Services    70,471,359   69,072,406   22.7
     

 

 

  

 

 

  

 

 

 

Village Realty Holdings LLC

  
Property
Management
 
 
 

First Lien Term Loan

(3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024

  10/8/2019  $7,250,000   7,180,560   7,264,500   2.4

Village Realty Holdings LLC (j)

  
Property
Management
 
 
 

Delayed Draw Term Loan

(3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024

  10/8/2019  $3,876,322   3,838,783   3,884,075   1.4

V Rental Holdings LLC (h)

  
Property
Management
 
 
 Class A-1 Membership Units  10/8/2019   116,700   338,229   354,280   0.1
     

 

 

  

 

 

  

 

 

 
  Total Property Management    11,357,572   11,502,855   3.9
     

 

 

  

 

 

  

 

 

 

Sub Total Non-control/Non-affiliate investments

    418,006,725   420,442,928   138.2
     

 

 

  

 

 

  

 

 

 

Affiliate investments—6.0% (b)

     

Top Gun Pressure Washing, LLC (f)

  Business Services  First Lien Term Loan(3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024  8/12/2019  $5,000,000   4,952,729   5,024,500   1.7

Top Gun Pressure Washing, LLC (f), (j)

  Business Services  

Delayed Draw Term Loan

(3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024

  8/12/2019  $—     —     —     0.0

TG Pressure Washing Holdings, LLC (f), (h)

  Business Services  Preferred Equity  8//12/2019   350,000   350,000   350,000   0.1

GreyHeller LLC (f)

  Business Services  

First Lien Term Loan

(3M USD LIBOR+11.00%), 12.46% Cash, 11/16/2021

  11/17/2016  $7,000,000   6,971,109   7,000,000   2.2

GreyHeller LLC (f), (h)

  Business Services  Series A Preferred Units  11/17/2016   850,000   850,000   2,981,503   1.0
     

 

 

  

 

 

  

 

 

 
  Total Business Services    13,123,838   15,356,003   5.0
     

 

 

  

 

 

  

 

 

 

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

  Metals  Common Stock  7/30/2010   60,000   9,685,028   1,939,800   0.6

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

  Metals  

Second Lien Term Loan

15.00% PIK, 8/10/2022

  7/30/2010  $1,190,051   1,190,051   1,190,051   0.4
     

 

 

  

 

 

  

 

 

 
  Total Metals    10,875,079   3,129,851   1.0
     

 

 

  

 

 

  

 

 

 

Sub Total Affiliate investments

    23,998,917   18,485,854   6.0
     

 

 

  

 

 

  

 

 

 

Control investments - 15.4% (b)

     

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  $5,162,734   5,123,191   5,265,989   1.7

Netreo Holdings, LLC (g), (h)

  Business Services  Common Stock Class A Unit  7/3/2018   3,150,000   3,150,000   6,762,672   2.3
     

 

 

  

 

 

  

 

 

 
  Total Business Services    8,273,191   12,028,661   4.0
     

 

 

  

 

 

  

 

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)

  
Structured Finance
Securities
 
 
 

Other/Structured Finance Securities

10.97%, 1/20/2030

  1/22/2008  $69,500,000   23,520,428   22,557,240   7.4

Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Note (a), (g)

  
Structured Finance
Securities
 
 
 

Other/Structured Finance Securities

(3M USD LIBOR+8.75%), 10.21%, 1/20/2030

  12/14/2018  $2,500,000   2,500,000   2,478,000   0.8

Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Note (a), (g)

  
Structured Finance
Securities
 
 
 

Other/Structured Finance Securities

(3M USD LIBOR+10.00%), 11.46%, 1/20/2030

  12/14/2018  $7,500,000   7,500,000   7,434,750   2.4

Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (a), (g), (j)

  
Structured Finance
Securities
 
 
 

Unsecured Loan

(3M USD LIBOR+7.50%), 8.96%, 8/20/2021

  2/18/2020  $2,500,000   2,500,000   2,204,541   0.8
     

 

 

  

 

 

  

 

 

 
  Total Structured Finance Securities    36,020,428   34,674,531   11.4
     

 

 

  

 

 

  

 

 

 

Sub Total Control investments

    44,293,619   46,703,192   15.4
     

 

 

  

 

 

  

 

 

 

TOTAL INVESTMENTS—159.6% (b)

   $486,299,261  $485,631,974   159.6
     

 

 

  

 

 

  

 

 

 
          Number of
Shares
  Cost  Fair Value  % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.0% (b)

 

    

U.S. Bank Money Market (l)

     39,450,352  $39,450,352  $39,450,352   13.0
    

 

 

  

 

 

  

 

 

  

 

 

 

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

 

  39,450,352  $39,450,352  $39,450,352   13.0
    

 

 

  

 

 

  

 

 

  

 

 

 

 

(a)

Represents a non-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of February 29, 2020, non-qualifying assets represent 11.5% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.

(b)

Percentages are based on net assets of $304,286,853 as of February 29, 2020.

(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 10.97% 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 29, 2020 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
(Depreciation)
 

GreyHeller LLC

  $—     $—     $961,322   $—     $—     $1,331,201 

Elyria Foundry Company, L.L.C.

   —      —      167,835    —      —      135,600 

Top Gun Pressure Washing, LLC

   4,950,000    —      269,257    —      —      71,771 

TG Pressure Washing Holdings, LLC

   350,000    —      —      —      —      —   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $5,300,000   $—     $1,398,414   $—     $—     $1,538,572 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 29, 2020 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

  $—     $(65,219,080 $3,335,320   $—     $31,225,165   $(3,816,610

Easy Ice Masters, LLC

   —      (4,169,121  382,066    —      —      (51,436

Netreo Holdings, LLC

   —      —     578,617    —      —      1,654,603 

Saratoga Investment Corp. CLO 2013-1, Ltd.

   —      —     4,058,715    2,503,804    —      (2,840,298

Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes

   —      —     280,689    —      —      (5,500

Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes

   —      —     937,378    —      —      (15,750

Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd (j)

   2,500,000    —     7,642    —      —      (295,459
  

 

 

   

 

 

  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $2,500,000   $(69,388,201 $9,580,427   $2,503,804   $31,225,165   $(5,370,450
  

 

 

   

 

 

  

 

 

   

 

 

   

 

 

   

 

 

 

 

(h)

Non-income producing at February 29, 2020.

(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 29, 2020. (see Note 8 to the consolidated financial statements).

(k)

As of February 29, 2020, the investment was on non-accrual status. The fair value of these investments was approximately $2.1 million, which represented 0.4% 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 29, 2020.

LIBOR - London Interbank Offered Rate

1M USD LIBOR - The 1 month USD LIBOR rate as of February 29, 2020 was 1.52%.

3M USD LIBOR - The 3 month USD LIBOR rate as of February 29, 2020 was 1.46%.

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

See accompanying notes to consolidated financial statements.

 

10


Table of Contents

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

May 31, 2020

(unaudited)

Note 1. Organization

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-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, as amended (the “1940 Act”). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed its 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 of 1986, as amended (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” or “Saratoga Investment Advisors”), pursuant to an investment advisory and 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-GH, Inc., SIA-MAC, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, 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 U.S. federal income tax purposes and may incur U.S. federal income tax expenses as a result of their ownership of portfolio companies.

On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”), pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. The CLO 2013-1 Warehouse 2 Loan, which expires on August 20, 2021, bears interest at an annual rate of 3M USD LIBOR + 7.5%. As of May 31, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $4.0 million.

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 August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. The new license will provide up to $175.0 million in additional long- term capital in the form of SBA debentures.

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, SBIC II LP, SIA-Avionte, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, 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.

 

11


Table of Contents

The Company, SBIC LP and SBIC II LP are all 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, SBIC LP or SBIC II LP’s status as investment companies during the three months ended May 31, 2020.

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 Rule 12d1-1 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, 2020, 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 subsidiaries, SBIC LP and SBIC II LP.

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 the beginning-of-period and end-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,
2020
   May 31,
2019
 

Cash and cash equivalents

  $12,842,608   $37,183,604 

Cash and cash equivalents, reserve accounts

   12,952,393    23,812,643 
  

 

 

   

 

 

 

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

  $25,795,001   $60,996,247 
  

 

 

   

 

 

 

 

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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 those non-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 the Manager and preliminary valuation conclusions are documented, reviewed and discussed with our senior management; and

 

  

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. CLO 2013-1, 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 the 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.

 

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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 using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts over the life of the investment and amortization of premiums on investments up to the earliest call date.

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-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, 2020, certain investments in three portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $3.9 million, or 0.8% of the fair value of our portfolio. At February 29, 2020, certain investments in two portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $2.1 million, or 0.4% 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/or re-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.

Payment-in-Kind Interest

The Company holds debt and preferred equity investments in its portfolio that contain a payment-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. The Company stops accruing PIK interest if it is expected that the issuer will not be able to pay all principal and interest when due.

Structuring and Advisory Fee Income

Structuring and advisory fee income represents various fee income earned and received performing certain investment structuring and advisory activities during the closing of new investments.

Other Income

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

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.

 

 

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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 each one-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 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 its source-of-income requirements as a RIC. Taxable Blockers are consolidated in the Company’s U.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’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-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-likely than-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 29, 2020, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2017, 2018 and 2019 federal tax years for the Company remain subject to examination by the IRS. As of May 31, 2020 and February 29, 2020, 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 the ex-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.

 

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Table of Contents

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.

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 only reflected those realized capital gains net of realized and unrealized losses for the period.

New Accounting Pronouncements

There are currently no new accounting pronouncements that would have a material impact on the Company.

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 or non-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.

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.

 

 

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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.

The following table presents fair value measurements of investments, by major class, as of May 31, 2020 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements 
   Level 1   Level 2   Level 3   Total 

First lien term loans

  $—     $—     $354,435   $354,435 

Second lien term loans

   —      —      69,487    69,487 

Unsecured term loans

   —      —      5,811    5,811 

Structured finance securities

   —      —      27,306    27,306 

Equity interests

   —      —      25,908    25,908 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $482,947   $482,947 
  

 

 

   

 

 

   

 

 

   

 

 

 

The following table presents fair value measurements of investments, by major class, as of February 29, 2020 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements 
   Level 1   Level 2   Level 3   Total 

First lien term loans

  $—     $—     $346,233   $346,233 

Second lien term loans

   —      —      73,570    73,570 

Unsecured term loans

   —      —      4,346    4,346 

Structured finance securities

   —      —      32,470    32,470 

Equity interests

   —      —      29,013    29,013 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $485,632   $485,632 
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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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, 2020 (dollars in thousands):

 

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

Balance as of February 29, 2020

  $346,233  $73,570  $4,346  $32,470  $29,013  $485,632 

Payment-in-kind and other adjustments to cost

   191   466   —     (1,361  —     (704

Net accretion of discount on investments

   279   33   —     —     —     312 

Net change in unrealized appreciation (depreciation) on investments

   (19,115  (4,582  (1,035  (3,803  (3,415  (31,950

Purchases

   36,189   —     2,500   —     310   38,999 

Sales and repayments

   (9,350  —     —     —     —     (9,350

Net realized gain (loss) from investments

   8   —     —     —     —     8 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Balance as of May 31, 2020

  $354,435  $69,487  $5,811  $27,306  $25,908  $482,947 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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

  $(18,880 $(4,583 $(1,034 $(3,804 $(3,414 $(31,715
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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 interests.

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructures in or out of Levels 1, 2 or 3 during the three months ended May 31, 2020.

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

   157   891   —     1,383    242    2,673 

Net accretion of discount on investments

   166   152   —     —      —      318 

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 year 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 
  

 

 

  

 

 

  

 

 

  

 

 

   

 

 

   

 

 

 

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

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of May 31, 2020 were as follows (dollars in thousands):

 

   Fair Value   Valuation Technique  Unobservable Input Range  Weighted Average*

First lien term loans

  $354,435   Market Comparables  Market Yield (%)   7.5% - 32.1%    11.7%
      EBITDA Multiples (x) 0.0x  0.0x

Second lien term loans

   69,487   Market Comparables  Market Yield (%) 9.2% - 117.3%  15.8%
      EBITDA Multiples (x) 5.0x  5.0x

Unsecured term loans

   5,811   Market Comparables  Market Yield (%) 15.2% - 28.6%  24.3%
      EBITDA Multiples (x) 5.2x  5.2x

Structured finance securities

   27,306   Discounted Cash
Flow
  Discount Rate (%) 12.25% - 24.00%  20.3%
      Recovery Rate (%) 35.0% - 70.0%  70.0%
      Prepayment Rate (%) 10.0%  10.0%

Equity interests

   25,908   Market Comparables  EBITDA Multiples (x) 4.0x - 14.0x  6.3x
      Revenue Multiples (x) 1.0x - 45.1x  8.0x
  

 

 

        

Total

  $482,947        
  

 

 

        

 

*

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 29, 2020 were as follows (dollars in thousands):

 

   Fair Value   Valuation Technique   Unobservable Input  Range   Weighted
Average*
 

First lien term loans

  $346,233    Market Comparables    Market Yield (%)     7.8% - 12.5%      9.7% 
       EBITDA Multiples (x)   0.0x    0.0x 

Second lien term loans

   73,570    Market Comparables    Market Yield (%)   9.5% - 85.1%    13.0% 
       EBITDA Multiples (x)   5.0x    5.0x 

Unsecured term loans

   4,346    Market Comparables    Market Yield (%)   18.3% - 21.3%    19.8% 
       EBITDA Multiples (x)   5.2x    5.2x 

Structured finance securities

   32,470    Discounted Cash Flow    Discount Rate (%)   9.25% - 16.00%    14.2% 
       Recovery Rate (%)   35.0% - 70.0%    70.0% 
       Prepayment Rate (%)   20.0%    20.0% 

Equity interests

   29,013    Market Comparables    EBITDA Multiples (x)   4.0x - 14.0x    6.5x 
       Revenue Multiples (x)   1.0x - 40.7x    7.3x 
  

 

 

        

Total

  $485,632        
  

 

 

        

 

*

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 and prepayment rate, in isolation, would result in a significantly lower (higher) fair value measurement while a significant increase (decrease) in recovery rate, in isolation, would result in a significantly higher (lower) 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, 2020 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

  $370,417    71.9 $354,435    73.4

Second lien term loans

   75,978    14.7   69,487    14.4 

Unsecured term loans

   7,261    1.4   5,811    1.2 

Structured finance securities

   32,160    6.2   27,306    5.6 

Equity interests

   29,749    5.8   25,908    5.4 
  

 

 

   

 

 

  

 

 

   

 

 

 

Total

  $515,565    100.0 $482,947    100.0
  

 

 

   

 

 

  

 

 

   

 

 

 

The composition of our investments as of February 29, 2020 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

  $343,100    70.5 $346,233    71.3

Second lien term loans

   75,478    15.5   73,570    15.1 

Unsecured term loans

   4,761    1.0   4,346    0.9 

Structured finance securities

   33,521    6.9   32,470    6.7 

Equity interests

   29,439    6.1   29,013    6.0 
  

 

 

   

 

 

  

 

 

   

 

 

 

Total

  $486,299    100.0 $485,632    100.0
  

 

 

   

 

 

  

 

 

   

 

 

 

 

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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. For non-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, 2020. The inputs at May 31, 2020 for the valuation model include:

 

  

Default rate: 2.0%

 

  

Recovery rate: 35-70%

 

  

Discount rate: 24.0%

 

  

Prepayment rate: 10.0%

 

  

Reinvestment rate / price: L+400bps / $95.00

Investment Concentration

Set forth is a brief description of each portfolio company in which the fair value of our investment represents greater than 5% of our total assets as of May 31, 2020.

CLEO Communications Holding, LLC

CLEO Communications Holding, LLC (“Cleo”) is a provider of technology enabled data communication and integration platform for daily business transactions. Cleo’s platform allows for the automation of business-to-business transaction information for customers operating in the retail, manufacturing, logistics and the healthcare verticals. The platform also allows for internal application-to-application communication, allowing customers’ core enterprise software applications to easily share and transfer data.

Destiny Solutions Inc.

Destiny Solutions provides a SaaS-based student lifecycle management (“SLM”) software solution used by higher education institutions to manage their continuing education (“CE”) and non-degree educational programs for “non-traditional” students who fall outside of the “traditional” student profile. Traditional students are full-time students working toward an undergraduate, graduate, or doctorate degree. Destiny’s software acts as the ERP, CRM, e-commerce platform, and student information management system for non-traditional student programs.

Saratoga Investment Corp. CLO 2013-1, Ltd.

The Company has a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO invests primarily in senior secured first lien term loans. The Company also holds an investment in the subordinated note and Class F-R-2 and G-R-2 notes of the Saratoga CLO. In addition, the Company entered into an unsecured loan agreement with CLO 2013-1 Warehouse 2, a wholly- owned subsidiary of Saratoga CLO, in order to provide capital necessary to support warehouse activities.

 

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Note 4. Investment in Saratoga Investment Corp. CLO 2013-1, 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.

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. A non-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 the Class F-R-2 and $7.5 million aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD 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.

On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with CLO 2013-1 Warehouse 2, a wholly-owned subsidiary of Saratoga CLO, pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. The CLO 2013-1 Warehouse 2 Loan, which expires on August 20, 2021, bears interest at an annual rate of 3M USD LIBOR + 7.5%. As of May 31, 2020, the aggregate principal amount and fair value of the Company’s investment in the CLO 2013-1 Warehouse 2 Loan was $5.0 million and $4.0 million, respectively.

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 the 2013-1 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, 2020 and May 31, 2019, we accrued management fee income of $0.6 million and $0.6 million, respectively, and interest income of $0.6 million and $1.1 million, respectively, from the Saratoga CLO.

As of May 31, 2020, the aggregate principal amounts of the Company’s investments in the subordinated notes, Class F-R-2 Notes and Class G-R-2 Notes of the Saratoga CLO was $69.5 million, $2.5 million and $7.5 million, respectively, which had a corresponding fair value of $18.1 million, $2.3 million and $6.9 million, respectively. 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, 2020, Saratoga CLO had investments with a principal balance of $519.0 million and a weighted average spread over LIBOR of 4.0% and had debt with a principal balance of $488.5 million with a weighted average spread over LIBOR of 2.2%. 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, 2020, the present value of the projected future cash flows of the subordinated notes was approximately $18.3 CLO Valuation Model million, using a 24.0% 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 $62.5 million, management fees of $22.1 million and incentive fees of $1.2 million. In conjunction with the third refinancing of 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.

As of February 29, 2020, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $22.6 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 February 29, 2020, the fair value of its investment in the Class F-R-2 Notes and G-R-2 Notes of Saratoga CLO was $2.5 million and $7.4 million, respectively. As of February 29, 2020, Saratoga CLO had investments with a principal balance of $528.4 million and a weighted average spread over LIBOR of 4.0% and had debt with a principal balance of $475.1 million with a weighted average spread over LIBOR of 2.2%. As of February 29, 2020, the present value of the projected future cash flows of the subordinated notes was approximately $22.9 million, using a 16.0% discount rate.

 

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Below is certain financial information from the separate financial statements of Saratoga CLO as of May 31, 2020 (unaudited) and February 29, 2020 and for the three months ended May 31, 2020 (unaudited) and May 31, 2019 (unaudited).

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

   May 31, 2020  February 29, 2020 
   (unaudited)    

ASSETS

   

Investments at fair value

   

Loans at fair value (amortized cost of $511,757,973 and $523,438,207, respectively)

  $457,744,271  $500,999,677 

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

   —     257 
  

 

 

  

 

 

 

Total investments at fair value (amortized cost of $514,324,725 and $526,004,959, respectively)

   457,744,271   500,999,934 

Cash and cash equivalents

   5,234,135   9,081,041 

Receivable from open trades

   9,372,675   10,419,700 

Interest receivable (net of reserve of $356,472 and $307,705, respectively)

   2,036,503   1,294,523 

Prepaid expenses and other assets

   58,382   84,526 
  

 

 

  

 

 

 

Total assets

  $474,445,966  $521,879,724 
  

 

 

  

 

 

 

LIABILITIES

   

Interest payable

  $1,999,748  $2,090,188 

Payable from open trades

   9,355,964   36,673,471 

Accrued base management fee

   55,725   54,441 

Accrued subordinated management fee

   222,898   217,766 

Accounts payable and accrued expenses

   68,349   81,822 

Loan payable, related party

   5,000,000   2,500,000 

Loan payable, third party

   13,528,220   2,600,000 

Saratoga Investment Corp. CLO 2013-1, 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 on Class C-R-2 Notes

   (516,720  (530,448

Class D-R-2 Deferrable Mezzanine Floating Rate Notes

   31,000,000   31,000,000 

Discount on Class D-R-2 Notes

   (940,279  (965,259

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

   (2,281,588  (2,340,764

Subordinated Notes

   69,500,000   69,500,000 

Discount on Subordinated Notes

   (22,306,712  (22,899,324
  

 

 

  

 

 

 

Total liabilities

  $543,685,605  $556,981,893 
  

 

 

  

 

 

 

NET ASSETS

   

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

  $250  $250 

Total distributable earnings (loss)

   (69,239,889  (35,102,419
  

 

 

  

 

 

 

Total net assets

   (69,239,639  (35,102,169
  

 

 

  

 

 

 

Total liabilities and net assets

  $474,445,966  $521,879,724 
  

 

 

  

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

   For the three months ended 
   May 31, 2020  May 31, 2019 

INVESTMENT INCOME

   

Total interest from investments

   7,213,489   8,203,707 

Interest from cash and cash equivalents

   3,287   7,363 

Other income

   109,641   140,123 
  

 

 

  

 

 

 

Total investment income

   7,326,417   8,351,193 
  

 

 

  

 

 

 

EXPENSES

  ��

Interest and debt financing expenses

   7,288,568   6,418,808 

Base management fee

   125,521   125,903 

Subordinated management fee

   502,085   503,613 

Professional fees

   88,490   124,508 

Trustee expenses

   51,858   19,879 

Other expense

   28,052   32,538 
  

 

 

  

 

 

 

Total expenses

   8,084,574   7,225,249 
  

 

 

  

 

 

 

NET INVESTMENT INCOME (LOSS)

   (758,157  1,125,944 
  

 

 

  

 

 

 

REALIZED AND UNREALIZED LOSS ON INVESTMENTS

   

Net realized loss from investments

   (1,803,884  (943,934

Net change in unrealized depreciation on investments

   (31,575,429  (2,205,995
  

 

 

  

 

 

 

Net realized and unrealized loss on investments

   (33,379,313  (3,149,929
  

 

 

  

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $(34,137,470 $(2,023,985
  

 

 

  

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

May 31, 2020

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

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

Education Management II LLC (b)

 Services: Consumer Education Management II A-2 Preferred Shares  Equity      0.00  0.00  0.00  —     18,975  $1,897,538  $—   

Education Management II LLC (b)

 Services: Consumer Education Management II A-1 Preferred Shares  Equity      0.00  0.00  0.00  —     6,692   669,214   —   

1011778 B.C. Unlimited Liability Company

 Beverage Food & Tobacco Term Loan B4  Loan   1M USD LIBOR+   1.75  0.00  1.93  11/19/2026  $1,496,250   1,453,849   1,434,530 

24 Hour Fitness Worldwide Inc.

 Services: Consumer Term Loan (5/18)  Loan   3M USD LIBOR+   3.50  0.00  3.84  5/30/2025   2,952,437   2,942,983   826,682 

ABB Con-Cise Optical Group LLC

 Consumer goods: Non-durable Term Loan B  Loan   6M USD LIBOR+   5.00  1.00  6.00  6/15/2023   2,076,547   2,058,435   1,654,323 

ADMI Corp.

 Services: Consumer Term Loan B  Loan   3M USD LIBOR+   2.75  0.00  3.09  4/30/2025   1,965,276   1,957,855   1,798,719 

Advantage Sales & Marketing Inc.

 Services: Business First Lien Term Loan  Loan   3M USD LIBOR+   3.25  1.00  4.25  7/23/2021   2,364,874   2,364,078   2,119,850 

Advantage Sales & Marketing Inc.

 Services: Business Term Loan B Incremental  Loan   3M USD LIBOR+   3.25  1.00  4.25  7/23/2021   488,693   485,128   438,114 

Advisor Group Holdings Inc

 Banking Finance Insurance & Real Estate Term Loan (7/19)  Loan   1M USD LIBOR+   5.00  0.00  5.18  7/31/2026   498,750   497,545   462,177 

Aegis Toxicology Sciences Corporation

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.50  5/9/2025   3,940,000   3,911,716   3,299,750 

Agiliti Health Inc.

 Healthcare & Pharmaceuticals Term Loan (1/19)  Loan   3M USD LIBOR+   3.00  0.00  3.34  1/5/2026   495,000   495,000   480,150 

Agrofresh Inc.

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   4.75  1.00  5.75  7/30/2021   2,881,923   2,879,786   2,633,357 

AI Convoy (Luxembourg) S.a.r.l.

 Aerospace & Defense AI Convoy (Luxembourg) USD T/L B  Loan   6M USD LIBOR+   3.50  1.00  4.50  1/15/2027   1,500,000   1,492,592   1,428,750 

AI Mistral (Luxembourg) Subco Sarl

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   3.00  1.00  4.00  3/11/2024   485,000   485,000   366,175 

AIS Holdco LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   5.00  0.00  5.34  8/15/2025   2,406,250   2,396,870   1,973,125 

Alchemy US Holdco 1 LLC

 Metals & Mining Term Loan  Loan   1M USD LIBOR+   5.50  0.00  5.68  10/10/2025   1,937,500   1,914,018   1,724,375 

Alion Science and Technology Corporation

 Aerospace & Defense Term Loan B (1st Lien)  Loan   1M USD LIBOR+   4.50  1.00  5.50  8/19/2021   3,377,293   3,374,207   3,337,880 

Allen Media LLC

 Media: Advertising Printing & Publishing Allen Media T/L B (1/20)  Loan   2M USD LIBOR+   5.50  0.00  5.78  2/10/2027   3,000,000   2,986,071   2,827,500 

Altisource S.a r.l.

 Banking Finance Insurance & Real Estate Term Loan B (03/18)  Loan   3M USD LIBOR+   4.00  1.00  5.00  4/3/2024   1,454,005   1,446,990   1,066,265 

Altra Industrial Motion Corp.

 Capital Equipment Term Loan  Loan   1M USD LIBOR+   2.00  0.00  2.18  10/1/2025   1,767,163   1,763,700   1,678,805 

American Greetings Corporation

 Media: Advertising Printing & Publishing Term Loan  Loan   1M USD LIBOR+   4.50  1.00  5.50  4/5/2024   4,780,845   4,777,921   4,398,377 

American Residential Services LLC

 Services: Consumer Term Loan B  Loan   3M USD LIBOR+   4.00  1.00  5.00  6/30/2022   3,915,488   3,907,173   3,641,404 

Amerilife Holdings LLC

 Banking Finance Insurance & Real Estate AmeriLife T/L  Loan   1M USD LIBOR+   4.00  0.00  4.18  3/18/2027   886,364   884,237   815,454 

Amerilife Holdings LLC (a)

 Banking Finance Insurance & Real Estate Unfunded Commitment  Loan   1M USD LIBOR+   4.00  0.00  4.18  3/18/2027   —     —     —   

Amynta Agency Borrower Inc.

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   4.50  0.00  4.68  2/28/2025   3,453,572   3,418,544   3,194,554 

Anastasia Parent LLC

 Consumer goods: Non-durable Term Loan  Loan   3M USD LIBOR+   3.75  0.00  4.09  8/11/2025   985,000   981,157   317,249 

Anchor Glass Container Corporation

 Containers Packaging & Glass Term Loan (07/17)  Loan   3M USD LIBOR+   2.75  1.00  3.75  12/7/2023   483,819   482,396   360,750 

Api Group DE Inc

 Services: Business Term Loan B  Loan   1M USD LIBOR+   2.50  0.00  2.68  10/1/2026   997,500   992,795   957,181 

APLP Holdings Limited Partnership

 Utilities APLP Holdings T/L B (01/20)  Loan   1M USD LIBOR+   2.50  1.00  3.50  4/11/2025   1,894,737   1,894,737   1,834,939 

Aramark Services Inc.

 Services: Consumer Term Loan  Loan   1M USD LIBOR+   1.75  0.00  1.93  1/15/2027   2,500,000   2,410,516   2,374,224 

Arctic Glacier U.S.A. Inc.

 Beverage Food & Tobacco Term Loan (3/18)  Loan   3M USD LIBOR+   3.50  1.00  4.50  3/20/2024   3,350,967   3,333,558   2,587,583 

Aretec Group Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/18)  Loan   1M USD LIBOR+   4.25  0.00  4.43  10/1/2025   1,975,000   1,971,083   1,817,000 

Aristocrat International PTY Ltd

 Hotel Gaming & Leisure Term Loan (5/20)  Loan   3M USD LIBOR+   3.75  1.00  4.75  10/21/2024   1,000,000   980,043   993,750 

ASG Technologies Group Inc.

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   3.50  1.00  4.50  7/31/2024   465,137   463,621   406,028 

AssetMark Financial Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan  Loan   3M USD LIBOR+   3.00  0.00  3.34  11/14/2025   1,237,500   1,235,709   1,206,563 

Asurion LLC

 Banking Finance Insurance & Real Estate Term Loan B-4 (Replacement)  Loan   1M USD LIBOR+   3.00  0.00  3.18  8/4/2022   870,960   868,920   852,888 

Asurion LLC

 Banking Finance Insurance & Real Estate Term Loan B6  Loan   1M USD LIBOR+   3.00  0.00  3.18  11/3/2023   491,477   488,707   478,271 

Athenahealth Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   3M USD LIBOR+   4.50  0.00  4.84  2/11/2026   1,980,000   1,946,688   1,905,750 

Avaya Inc.

 Telecommunications Term Loan B  Loan   1M USD LIBOR+   4.25  0.00  4.43  12/16/2024   3,169,156   3,140,053   2,944,146 

Avison Young (Canada) Inc.

 Services: Business Term Loan  Loan   3M USD LIBOR+   5.00  0.00  5.34  1/30/2026   3,467,443   3,412,554   3,097,953 

Avolon TLB Borrower 1 (US) LLC

 Capital Equipment Term Loan B3  Loan   1M USD LIBOR+   1.75  0.75  2.50  1/15/2025   1,000,000   847,650   942,860 

B&G Foods Inc.

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   2.50  0.00  2.68  10/10/2026   248,750   247,605   245,081 

Ball Metalpack Finco LLC

 Containers Packaging & Glass Term Loan  Loan   3M USD LIBOR+   4.50  0.00  4.84  7/31/2025   3,934,925   3,919,453   3,478,474 

Berry Global Inc.

 Chemicals Plastics & Rubber Term Loan Y  Loan   1M USD LIBOR+   2.00  0.00  2.18  7/1/2026   4,974,969   4,969,626   4,850,593 

Blackstone Mortgage Trust Inc.

 Banking Finance Insurance & Real Estate Term Loan B-2  Loan   1M USD LIBOR+   4.75  1.00  5.75  4/23/2026   500,000   485,055   487,500 

Blount International Inc.

 Forest Products & Paper Term Loan B (09/18)  Loan   1M USD LIBOR+   3.75  1.00  4.75  4/12/2023   3,445,038   3,442,502   3,279,951 

Blucora Inc.

 Services: Consumer Term Loan (11/17)  Loan   3M USD LIBOR+   3.00  1.00  4.00  5/22/2024   955,134   953,335   907,377 

Bombardier Recreational Products Inc.

 Consumer goods: Durable Term Loan (1/20)  Loan   1M USD LIBOR+   2.00  0.00  2.18  5/24/2027   992,513   983,756   917,011 

Bracket Intermediate Holding Corp.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   4.25  0.00  4.59  9/5/2025   985,000   981,186   896,350 

Broadstreet Partners Inc.

 Banking Finance Insurance & Real Estate Term Loan B3  Loan   1M USD LIBOR+   3.25  0.00  3.43  1/27/2027   2,024,614   2,022,906   1,940,248 

Brookfield Property REIT Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   2.50  0.00  2.68  8/27/2025   4,000,000   3,112,644   3,024,280 

Brookfield WEC Holdings Inc.

 Energy: Electricity Term Loan 1/20  Loan   1M USD LIBOR+   3.00  0.75  3.75  8/1/2025   496,231   495,158   484,292 

Buckeye Partners L.P.

 Utilities: Oil & Gas Term Loan  Loan   1M USD LIBOR+   2.75  0.00  2.93  11/2/2026   1,000,000   995,596   970,000 

BW Gas & Convenience Holdings LLC

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   6.25  0.00  6.43  11/18/2024   2,962,500   2,853,893   2,784,750 

Calceus Acquisition Inc.

 Consumer goods: Non-durable Term Loan B  Loan   3M USD LIBOR+   5.50  0.00  5.84  2/12/2025   968,750   958,753   900,938 

Callaway Golf Company

 Retail Term Loan B  Loan   1M USD LIBOR+   4.50  0.00  4.68  1/2/2026   695,625   683,433   685,191 

CareerBuilder LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   6.75  1.00  7.75  7/31/2023   1,393,388   1,373,831   1,247,082 

Casa Systems Inc.

 Telecommunications Term Loan  Loan   1M USD LIBOR+   4.00  1.00  5.00  12/20/2023   1,451,250   1,443,042   1,310,363 

Castle US Holding Corporation

 Media: Advertising Printing & Publishing Term Loan B (USD)  Loan   1M USD LIBOR+   3.75  0.00  3.93  1/29/2027   500,000   497,688   462,710 

CCS-CMGC Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   5.50  0.00  5.84  10/1/2025   2,468,750   2,448,592   2,147,813 

Cengage Learning Inc.

 Media: Advertising Printing & Publishing Term Loan  Loan   3M USD LIBOR+   4.25  1.00  5.25  6/7/2023   1,443,708   1,432,362   1,162,907 

CenturyLink Inc.

 Telecommunications Term Loan B (1/20)  Loan   1M USD LIBOR+   2.25  0.00  2.43  3/15/2027   2,992,500   2,989,209   2,867,653 

Chemours Company The

 Chemicals Plastics & Rubber Term Loan  Loan   1M USD LIBOR+   1.75  0.00  1.93  4/3/2025   997,455   938,747   930,955 

Citadel Securities LP

 Banking Finance Insurance & Real Estate Term Loan (2/20)  Loan   1M USD LIBOR+   2.75  0.00  2.93  2/27/2026   990,019   988,954   968,159 

 

25


Table of Contents

Issuer Name

 

Industry

 

Asset Name

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

Clarios Global LP

 Automotive Term Loan B  Loan   1M USD LIBOR+   3.50  0.00  3.68  4/30/2026   1,492,500   1,478,985   1,417,875 

Compass Power Generation L.L.C.

 Utilities: Electric Term Loan B (08/18)  Loan   1M USD LIBOR+   3.50  1.00  4.50  12/20/2024   1,886,209   1,882,170   1,777,752 

Concordia International Corp.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.50  9/6/2024   1,177,580   1,127,951   1,042,900 

Connect U.S. Finco LLC

 Telecommunications Delayed Draw Term Loan B  Loan   1M USD LIBOR+   4.50  1.00  5.50  12/11/2026   3,000,000   2,837,460   2,790,000 

Consolidated Communications Inc.

 Telecommunications Term Loan B  Loan   1M USD LIBOR+   3.00  1.00  4.00  10/5/2023   1,471,612   1,461,859   1,406,316 

Coral-US Co-Borrower LLC

 Telecommunications Term Loan B-5  Loan   1M USD LIBOR+   2.25  0.00  2.43  1/31/2028   2,000,000   2,000,000   1,895,620 

Covia Holdings Corporation

 Metals & Mining Term Loan  Loan   3M USD LIBOR+   4.00  1.00  5.00  6/2/2025   982,500   982,500   591,347 

CPI Acquisition Inc

 Banking Finance Insurance & Real Estate Term Loan B (1st Lien)  Loan   6M USD LIBOR+   4.50  1.00  5.50  8/17/2022   1,436,782   1,428,726   1,050,647 

Crown Subsea Communications Holding Inc.

 Construction & Building Term Loan  Loan   1M USD LIBOR+   6.00  0.00  6.18  11/3/2025   949,545   941,012   906,815 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B (03/17)  Loan   1M USD LIBOR+   2.25  0.00  2.43  7/17/2025   1,969,543   1,948,342   1,892,239 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B  Loan   1M USD LIBOR+   2.25  0.00  2.43  1/15/2026   493,750   492,789   474,770 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B-5  Loan   1M USD LIBOR+   2.50  0.00  2.68  4/15/2027   498,750   498,750   480,361 

Cushman & Wakefield U.S. Borrower LLC

 Construction & Building Term Loan  Loan   1M USD LIBOR+   2.75  0.00  2.93  8/21/2025   3,945,050   3,929,466   3,678,759 

Daseke Companies Inc.

 Transportation: Cargo Replacement Term Loan  Loan   1M USD LIBOR+   5.00  1.00  6.00  2/27/2024   1,950,705   1,942,527   1,576,014 

Dealer Tire LLC

 Automotive Dealer Tire T/L B-1  Loan   1M USD LIBOR+   4.25  0.00  4.43  12/12/2025   2,992,500   2,985,290   2,768,063 

Delek US Holdings Inc.

 Utilities: Oil & Gas Term Loan B  Loan   1M USD LIBOR+   2.25  0.00  2.43  3/31/2025   6,429,673   6,365,806   5,530,869 

Dell International L.L.C.

 High Tech Industries Term Loan B-1  Loan   1M USD LIBOR+   2.00  0.75  2.75  9/19/2025   3,804,870   3,800,748   3,732,425 

Delta 2 (Lux) SARL

 Hotel Gaming & Leisure Term Loan B  Loan   1M USD LIBOR+   2.50  1.00  3.50  2/1/2024   1,318,289   1,316,053   1,240,840 

Delta Air Lines Inc.

 Transportation: Consumer Term Loan B (4/20)  Loan   3M USD LIBOR+   4.75  1.00  5.75  4/27/2023   250,000   242,646   246,458 

DHX Media Ltd.

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   4.25  1.00  5.25  12/29/2023   279,282   278,127   252,052 

Diamond Sports Group LLC

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   3.25  0.00  3.43  8/24/2026   3,470,000   2,878,355   2,971,188 

Digital Room Holdings Inc.

 Media: Advertising Printing & Publishing Term Loan  Loan   6M USD LIBOR+   5.00  0.00  5.51  5/21/2026   2,977,500   2,940,328   2,173,575 

Dole Food Company Inc.

 Beverage Food & Tobacco Term Loan B  Loan   1M USD LIBOR+   2.75  1.00  3.75  4/8/2024   465,625   464,315   454,664 

DRW Holdings LLC

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   4.25  0.00  4.43  11/27/2026   4,987,500   4,940,766   4,788,000 

DynCorp International Inc.

 Aerospace & Defense Term Loan B  Loan   1M USD LIBOR+   6.00  1.00  7.00  8/18/2025   2,925,000   2,846,164   2,749,500 

Eagletree-Carbide Acquisition Corp.

 Consumer goods: Durable Term Loan  Loan   3M USD LIBOR+   4.25  1.00  5.25  8/28/2024   4,887,115   4,863,037   4,654,977 

EIG Investors Corp.

 High Tech Industries Term Loan (06/18)  Loan   3M USD LIBOR+   3.75  1.00  4.75  2/9/2023   2,186,768   2,175,273   2,117,513 

Encapsys LLC

 Chemicals Plastics & Rubber Term Loan B2  Loan   1M USD LIBOR+   3.25  1.00  4.25  11/7/2024   496,142   491,791   467,614 

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

 Healthcare & Pharmaceuticals Term Loan B (4/17)  Loan   1M USD LIBOR+   4.25  0.75  5.00  4/29/2024   3,926,930   3,906,672   3,664,572 

Energy Acquisition LP

 Capital Equipment Term Loan (6/18)  Loan   1M USD LIBOR+   4.25  0.00  4.43  6/26/2025   1,965,000   1,955,242   1,503,225 

Envision Healthcare Corporation

 Healthcare & Pharmaceuticals Term Loan B (06/18)  Loan   1M USD LIBOR+   3.75  0.00  3.93  10/10/2025   4,937,500   4,928,369   3,211,597 

EyeCare Partners LLC

 Healthcare & Pharmaceuticals EyeCare Partners T/L B  Loan   6M USD LIBOR+   3.75  0.00  4.26  2/18/2027   1,621,622   1,619,987   1,475,676 

EyeCare Partners LLC (a)

 Healthcare & Pharmaceuticals Unfunded Commitment  Loan   6M USD LIBOR+   3.75  0.00  4.26  2/18/2027   —     —     —   

FinCo I LLC

 Banking Finance Insurance & Real Estate 2018 Term Loan B  Loan   1M USD LIBOR+   2.00  0.00  2.18  12/27/2022   359,915   359,378   346,418 

First Eagle Holdings Inc.

 Banking Finance Insurance & Real Estate Refinancing Term Loan  Loan   3M USD LIBOR+   2.50  0.00  2.84  2/1/2027   5,436,375   5,414,271   5,106,114 

Fitness International LLC

 Services: Consumer Term Loan B (4/18)  Loan   6M USD LIBOR+   3.25  0.00  3.76  4/18/2025   1,330,058   1,323,314   743,795 

Franklin Square Holdings L.P.

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   2.25  0.00  2.43  8/1/2025   4,432,497   4,404,023   4,244,116 

Froneri US Inc.

 Beverage Food & Tobacco Term Loan B-2  Loan   1M USD LIBOR+   2.25  0.00  2.43  1/29/2027   2,000,000   1,995,302   1,905,000 

Fusion Connect Inc.

 Telecommunications Take Back 2nd Out Term Loan  Loan   3M USD LIBOR+   1.00  2.00  3.00  7/14/2025   771,131   751,777   501,235 

GBT US LLC

 Hotel Gaming & Leisure Term Loan 2/20  Loan   3M USD LIBOR+   4.00  0.00  4.34  2/26/2027   2,993,363   2,933,497   2,544,358 

GBT US LLC (a)

 Hotel Gaming & Leisure Delayed Term Loan (2/20)  Loan   3M USD LIBOR+   4.00  0.00  4.34  2/26/2027   —     —     —   

General Nutrition Centers Inc.

 Retail FILO Term Loan  Loan   1M USD LIBOR+   7.00  0.00  7.18  1/3/2023   585,849   584,910   512,618 

General Nutrition Centers Inc. (b)

 Retail Term Loan B2  Loan   2M USD LIBOR+   8.75  0.75  9.50  3/4/2021   852,377   852,151   584,825 

Genesee & Wyoming Inc.

 Transportation: Cargo Term Loan (11/19)  Loan   3M USD LIBOR+   2.00  0.00  2.34  12/30/2026   1,500,000   1,492,967   1,465,980 

GEO Group Inc. The

 Banking Finance Insurance & Real Estate Term Loan Refinance  Loan   1M USD LIBOR+   2.00  0.75  2.75  3/25/2024   3,994,859   3,630,078   3,516,115 

GI Chill Acquisition LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   4.00  0.00  4.34  8/6/2025   2,462,500   2,452,780   2,216,250 

GI Revelation Acquisition LLC

 Services: Business Term Loan  Loan   1M USD LIBOR+   5.00  0.00  5.18  4/16/2025   1,228,741   1,223,952   1,054,665 

Gigamon Inc.

 Services: Business Term Loan B  Loan   6M USD LIBOR+   4.25  1.00  5.25  12/27/2024   2,952,600   2,931,537   2,804,970 

Global Tel*Link Corporation

 Telecommunications Term Loan B  Loan   3M USD LIBOR+   4.25  0.00  4.59  11/28/2025   3,022,463   3,022,463   2,516,201 

Go Wireless Inc.

 Telecommunications Term Loan  Loan   3M USD LIBOR+   6.50  1.00  7.50  12/22/2024   3,158,117   3,119,216   2,316,289 

Goodyear Tire & Rubber Company The

 Chemicals Plastics & Rubber Second Lien Term Loan  Loan   3M USD LIBOR+   2.00  0.00  2.34  3/7/2025   3,000,000   2,922,576   2,805,000 

Greenhill & Co. Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   3.25  0.00  3.43  4/12/2024   3,661,538   3,626,752   3,423,538 

Grosvenor Capital Management Holdings LLLP

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   2.75  1.00  3.75  3/28/2025   660,340   657,827   637,228 

Guidehouse LLP

 Aerospace & Defense Term Loan  Loan   1M USD LIBOR+   4.50  0.00  4.68  5/1/2025   3,954,873   3,933,151   3,816,453 

Harland Clarke Holdings Corp.

 Media: Advertising Printing & Publishing Term Loan  Loan   3M USD LIBOR+   4.75  1.00  5.75  11/3/2023   1,695,528   1,689,040   1,041,784 

HD Supply Waterworks Ltd.

 Construction & Building Term Loan  Loan   3M USD LIBOR+   2.75  1.00  3.75  8/1/2024   487,500   486,692   466,172 

Helix Acquisition Holdings Inc.

 Capital Equipment Term Loan (2019 Incremental)  Loan   3M USD LIBOR+   3.75  0.00  4.09  9/30/2024   2,970,000   2,920,543   2,494,800 

Helix Gen Funding LLC

 Energy: Electricity Term Loan B (02/17)  Loan   1M USD LIBOR+   3.75  1.00  4.75  6/3/2024   264,030   263,720   254,541 

HLF Financing SaRL LLC

 Consumer goods: Non-durable Term Loan B (08/18)  Loan   1M USD LIBOR+   2.75  0.00  2.93  8/18/2025   3,940,000   3,925,846   3,848,080 

Holley Purchaser Inc.

 Automotive Term Loan B  Loan   3M USD LIBOR+   5.00  0.00  5.34  10/24/2025   2,468,750   2,448,967   1,975,000 

Hudson River Trading LLC

 Banking Finance Insurance & Real Estate Term Loan B (01/20)  Loan   1M USD LIBOR+   3.00  0.00  3.18  2/18/2027   5,985,000   5,961,921   5,775,525 

Hyperion Refinance S.a.r.l.

 Banking Finance Insurance & Real Estate Tem Loan (12/17)  Loan   1M USD LIBOR+   3.50  1.00  4.50  12/20/2024   1,705,420   1,697,964   1,639,693 

ICH US Intermediate Holdings II Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   6M USD LIBOR+   5.75  1.00  6.75  12/24/2026   4,937,500   4,748,836   4,674,183 

Idera Inc.

 High Tech Industries Term Loan B  Loan   1M USD LIBOR+   4.00  1.00  5.00  6/28/2024   3,927,080   3,913,747   3,698,014 

Inmar Inc.

 Services: Business Term Loan B  Loan   6M USD LIBOR+   4.00  1.00  5.00  5/1/2024   3,448,179   3,373,498   2,982,675 

Innophos Holdings Inc.

 Chemicals Plastics & Rubber Term Loan B  Loan   1M USD LIBOR+   3.75  0.00  3.93  2/5/2027   500,000   497,607   479,585 

Intrado Corporation

 Telecommunications Term Loan B  Loan   3M USD LIBOR+   3.50  1.00  4.50  10/10/2024   2,953,656   2,885,855   2,377,693 

ION Media Networks Inc.

 Media: Broadcasting & Subscription Term Loan B  Loan   3M USD LIBOR+   3.00  0.00  3.34  12/18/2024   995,000   990,604   948,046 

Isagenix International LLC

 Beverage Food & Tobacco Term Loan  Loan   3M USD LIBOR+   5.75  1.00  6.75  6/16/2025   2,758,021   2,714,401   999,783 

Jane Street Group LLC

 Banking Finance Insurance & Real Estate Term Loan B (1/20)  Loan   1M USD LIBOR+   3.00  0.00  3.18  1/31/2025   1,000,000   977,897   975,000 

Jefferies Finance LLC / JFIN Co-Issuer Corp

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   3.00  0.00  3.18  6/3/2026   3,221,225   3,204,009   2,954,475 

 

26


Table of Contents

Issuer Name

 

Industry

 

Asset Name

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

Jill Holdings LLC

 Retail Term Loan (1st Lien)  Loan   3M USD LIBOR+   5.00  1.00  6.00  5/9/2022   1,794,987   1,791,984   1,136,819 

JP Intermediate B LLC

 Consumer goods: Non-durable Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.50  11/20/2025   4,624,326   4,580,021   2,913,325 

KAR Auction Services Inc.

 Automotive Term Loan B (09/19)  Loan   1M USD LIBOR+   2.25  0.00  2.43  9/21/2026   248,750   248,204   237,556 

Kindred Healthcare Inc.

 Healthcare & Pharmaceuticals Term Loan (6/18)  Loan   1M USD LIBOR+   5.00  0.00  5.18  7/2/2025   1,994,937   1,975,551   1,879,390 

Lakeland Tours LLC

 Hotel Gaming & Leisure Term Loan B  Loan   3M USD LIBOR+   4.25  1.00  5.25  12/16/2024   2,451,229   2,444,616   1,210,907 

Learfield Communications LLC

 Media: Advertising Printing & Publishing Initial Term Loan (A-L Parent)  Loan   1M USD LIBOR+   3.25  1.00  4.25  12/1/2023   483,750   482,461   338,625 

Lifetime Brands Inc.

 Consumer goods: Non-durable Term Loan B  Loan   1M USD LIBOR+   3.50  1.00  4.50  2/28/2025   2,905,639   2,870,940   2,556,962 

Lighthouse Network LLC

 Banking Finance Insurance & Real Estate Term Loan B  Loan   6M USD LIBOR+   4.50  1.00  5.50  12/2/2024   4,118,558   4,105,606   3,624,331 

Lightstone Holdco LLC

 Energy: Electricity Term Loan B  Loan   3M USD LIBOR+   3.75  1.00  4.75  1/30/2024   1,322,520   1,320,814   1,073,833 

Lightstone Holdco LLC

 Energy: Electricity Term Loan C  Loan   3M USD LIBOR+   3.75  1.00  4.75  1/30/2024   74,592   74,500   60,566 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure US 2018 Term Loan  Loan   1M USD LIBOR+   3.25  0.00  3.43  3/27/2025   393,000   392,318   314,400 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure Cayman Term Loan  Loan   1M USD LIBOR+   3.25  0.00  3.43  3/27/2025   98,250   98,079   78,600 

Liquidnet Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   6M USD LIBOR+   3.25  1.00  4.25  7/15/2024   2,088,642   2,084,101   1,832,784 

LPL Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B1  Loan   1M USD LIBOR+   1.75  0.00  1.93  11/11/2026   1,242,099   1,239,297   1,193,583 

MA FinanceCo. LLC

 High Tech Industries Term Loan  Loan   3M USD LIBOR+   4.25  1.00  5.25  5/29/2025   500,000   487,500   487,500 

Marriott Ownership Resorts Inc.

 Hotel Gaming & Leisure Term Loan (11/19)  Loan   1M USD LIBOR+   1.75  0.00  1.93  8/29/2025   1,496,250   1,496,250   1,410,216 

Match Group Inc.

 Services: Consumer Term Loan (1/20)  Loan   3M USD LIBOR+   1.75  0.00  2.09  2/15/2027   250,000   249,425   243,125 

McAfee LLC

 Services: Business Term Loan B  Loan   1M USD LIBOR+   3.75  0.00  3.93  9/30/2024   1,151,419   1,142,444   1,131,270 

McDermott International (Americas) Inc. (b)

 Construction & Building Term Loan B  Loan   Prime+   4.00  1.00  5.00  5/12/2025   1,965,000   1,933,938   670,065 

McGraw-Hill Global Education Holdings LLC

 Media: Advertising Printing & Publishing Term Loan  Loan   1M USD LIBOR+   4.00  1.00  5.00  5/4/2022   928,592   926,922   789,304 

Meredith Corporation

 Media: Advertising Printing & Publishing Term Loan B2  Loan   3M USD LIBOR+   2.50  0.00  2.84  1/31/2025   578,738   577,776   557,758 

Messer Industries GMBH

 Chemicals Plastics & Rubber Term Loan B  Loan   3M USD LIBOR+   2.50  0.00  2.84  3/2/2026   2,970,000   2,963,431   2,843,240 

Michaels Stores Inc.

 Retail Term Loan B  Loan   3M USD LIBOR+   2.50  1.00  3.50  1/30/2023   2,591,749   2,583,984   2,248,343 

Midwest Physician Administrative Services LLC

 Healthcare & Pharmaceuticals Term Loan (2/18)  Loan   1M USD LIBOR+   2.75  0.75  3.50  8/15/2024   968,433   965,064   889,990 

Milk Specialties Company

 Beverage Food & Tobacco Term Loan (2/17)  Loan   1M USD LIBOR+   4.00  1.00  5.00  8/16/2023   3,889,577   3,841,743   3,463,358 

MKS Instruments Inc.

 High Tech Industries Term Loan B6  Loan   1M USD LIBOR+   1.75  0.00  1.93  2/2/2026   885,063   877,576   858,511 

MLN US HoldCo LLC

 Telecommunications Term Loan  Loan   1M USD LIBOR+   4.50  0.00  4.68  11/28/2025   987,500   985,773   744,950 

MRC Global (US) Inc.

 Metals & Mining Term Loan B2  Loan   1M USD LIBOR+   3.00  0.00  3.18  9/20/2024   488,740   487,885   437,423 

Natgasoline LLC

 Chemicals Plastics & Rubber Term Loan  Loan   6M USD LIBOR+   3.50  0.00  4.01  11/14/2025   493,750   491,812   474,000 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan   1M USD LIBOR+   4.25  0.00  4.43  3/9/2026   1,895,027   1,878,364   1,830,596 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan C  Loan   3M USD LIBOR+   4.25  0.00  4.59  3/9/2026   86,065   85,331   83,139 

NeuStar Inc.

 Telecommunications Term Loan B4 (03/18)  Loan   6M USD LIBOR+   3.50  1.00  4.50  8/8/2024   2,954,545   2,913,787   2,512,280 

NeuStar Inc.

 Telecommunications Term Loan B-5  Loan   3M USD LIBOR+   4.50  1.00  5.50  8/8/2024   990,000   973,946   849,549 

Nexstar Broadcasting Inc.

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   2.75  0.00  2.93  9/18/2026   240,156   239,075   231,002 

NMI Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan  Loan   3M USD LIBOR+   4.75  1.00  5.75  5/24/2023   3,446,137   3,448,371   3,239,369 

NorthPole Newco S.a r.l

 Aerospace & Defense Term Loan  Loan   3M USD LIBOR+   7.00  0.00  7.34  3/3/2025   4,750,000   4,330,953   4,168,125 

Novetta Solutions LLC

 Aerospace & Defense Term Loan  Loan   3M USD LIBOR+   5.00  1.00  6.00  10/17/2022   1,914,870   1,907,111   1,798,178 

Novetta Solutions LLC

 Aerospace & Defense Second Lien Term Loan  Loan   3M USD LIBOR+   8.50  1.00  9.50  10/16/2023   1,000,000   994,639   940,000 

NPC International Inc. (b)

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   3.50  1.00  4.50  4/19/2024   487,500   487,124   198,169 

Octave Music Group Inc. The

 Services: Business Term Loan B  Loan   1M USD LIBOR+   5.25  0.00  5.43  5/29/2025   4,000,000   3,962,190   3,280,000 

Onex Carestream Finance LP

 High Tech Industries Term Loan  Loan   3M USD LIBOR+   6.75  1.00  7.75  5/8/2023   2,359,150   2,354,156   2,194,010 

Owens & Minor Distribution Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   1M USD LIBOR+   4.50  0.00  4.68  4/30/2025   491,250   483,741   426,312 

Patriot Container Corp.

 Environmental Industries Term Loan (3/18)  Loan   1M USD LIBOR+   3.50  1.00  4.50  3/20/2025   498,728   496,388   466,310 

PCI Gaming Authority

 Hotel Gaming & Leisure Term Loan  Loan   1M USD LIBOR+   2.50  0.00  2.68  5/29/2026   878,269   874,285   831,791 

Peraton Corp.

 Aerospace & Defense Term Loan  Loan   2M USD LIBOR+   5.25  1.00  6.25  4/29/2024   2,441,173   2,432,426   2,343,527 

PGX Holdings Inc. (b)

 Services: Consumer Term Loan  Loan   1M USD LIBOR+   5.25  1.00  6.25  9/29/2020   3,458,472   3,454,413   1,867,575 

PI UK Holdco II Limited

 Services: Business Term Loan B1 (PI UK Holdco II)  Loan   3M USD LIBOR+   3.25  1.00  4.25  1/3/2025   1,470,000   1,463,803   1,357,133 

Pitney Bowes Inc.

 Services: Business Term Loan B  Loan   1M USD LIBOR+   5.50  0.00  5.68  1/7/2025   2,500,000   2,248,353   1,980,000 

Pixelle Specialty Solutions LLC

 Forest Products & Paper Term Loan  Loan   1M USD LIBOR+   6.50  1.00  7.50  10/31/2024   1,987,374   1,950,136   1,775,718 

Plastipak Packaging Inc.

 Containers Packaging & Glass Plastipak Packaging T/L B (04/18)  Loan   1M USD LIBOR+   2.50  0.00  2.68  10/15/2024   2,944,583   2,922,086   2,845,821 

Playtika Holding Corp.

 High Tech Industries Trm Loan B (12/19)  Loan   6M USD LIBOR+   6.00  1.00  7.00  12/10/2024   2,950,000   2,895,503   2,946,843 

Polymer Process Holdings Inc

 Containers Packaging & Glass Term Loan  Loan   1M USD LIBOR+   6.00  0.00  6.18  4/30/2026   2,977,500   2,925,077   2,549,484 

Presidio Holdings Inc.

 Services: Business Term Loan B (1/20)  Loan   3M USD LIBOR+   3.50  0.00  3.84  1/22/2027   500,000   498,908   484,065 

Prime Security Services Borrower LLC

 Services: Consumer Term Loan (Protection One/ADT)  Loan   1M USD LIBOR+   3.25  1.00  4.25  9/23/2026   2,985,000   2,968,866   2,905,718 

Priority Payment Systems Holdings LLC

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   6.50  1.00  7.50  1/3/2023   2,466,349   2,456,581   1,973,079 

Project Accelerate Parent LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   4.25  1.00  5.25  1/2/2025   1,960,000   1,953,063   1,553,300 

Prometric Holdings Inc.

 Services: Consumer Term Loan  Loan   1M USD LIBOR+   3.00  1.00  4.00  1/29/2025   490,050   488,344   416,543 

Pug LLC

 Services: Consumer Term Loan B (02/20)  Loan   1M USD LIBOR+   3.50  0.00  3.68  2/12/2027   1,496,250   1,488,962   1,305,478 

Rackspace Hosting Inc.

 High Tech Industries Term Loan B  Loan   3M USD LIBOR+   3.00  1.00  4.00  11/3/2023   1,472,279   1,464,781   1,430,613 

Radiology Partners Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   4.25  0.00  4.59  7/9/2025   1,432,727   1,426,848   1,331,720 

Research Now Group Inc.

 Media: Advertising Printing & Publishing Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.50  12/20/2024   3,917,387   3,811,620   3,564,822 

Resolute Investment Managers Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/17)  Loan   3M USD LIBOR+   3.25  1.00  4.25  4/29/2022   2,673,167   2,674,366   2,549,533 

Rexnord LLC

 Capital Equipment Term Loan (11/19)  Loan   1M USD LIBOR+   1.75  0.00  1.93  8/21/2024   862,069   862,070   849,404 

Reynolds Consumer Products LLC

 Containers Packaging & Glass Reynolds Consumer Products T/L  Loan   1M USD LIBOR+   1.75  0.00  1.93  2/4/2027   1,500,000   1,498,177   1,470,945 

RGIS Services LLC (b)

 Services: Business Term Loan  Loan   3M USD LIBOR+   7.50  1.00  8.50  3/31/2023   482,554   477,953   265,405 

Robertshaw US Holding Corp.

 Consumer goods: Durable Term Loan B  Loan   6M USD LIBOR+   3.25  1.00  4.25  2/28/2025   980,000   978,136   773,896 

Rocket Software Inc.

 High Tech Industries Term Loan (11/18)  Loan   1M USD LIBOR+   4.25  0.00  4.43  11/28/2025   3,960,000   3,944,520   3,724,063 

Russell Investments US Institutional Holdco Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   6M USD LIBOR+   2.75  1.00  3.75  6/1/2023   5,637,965   5,559,901   5,315,530 

Sahara Parent Inc.

 High Tech Industries Term Loan B (11/18)  Loan   3M USD LIBOR+   6.25  0.00  6.59  8/16/2024   1,950,300   1,935,103   1,790,863 

Sally Holdings LLC

 Retail Term Loan B  Loan   1M USD LIBOR+   2.25  0.00  2.43  7/5/2024   768,409   765,760   722,305 

Sally Holdings LLC

 Retail Term Loan (Fixed)  Loan   Fixed   0.00  0.00  0.00  7/5/2024   1,000,000   996,979   945,000 

 

27


Table of Contents

Issuer Name

 

Industry

 

Asset Name

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

Samsonite International S.A.

 Consumer goods: Non-durable Term Loan B2  Loan   1M USD LIBOR+   4.50  1.00  5.50  4/25/2025   1,000,000   970,000   969,580 

Savage Enterprises LLC

 Energy: Oil & Gas Term Loan B (02/20)  Loan   1M USD LIBOR+   3.00  0.00  3.18  8/1/2025   2,449,704   2,423,090   2,409,896 

SCS Holdings I Inc.

 High Tech Industries Term Loan 1/20  Loan   1M USD LIBOR+   3.50  0.00  3.68  7/1/2026   1,985,025   1,980,734   1,932,918 

Seadrill Operating LP

 Energy: Oil & Gas Term Loan B  Loan   3M USD LIBOR+   6.00  1.00  7.00  2/21/2021   902,649   892,542   142,916 

Shutterfly Inc.

 Media: Advertising Printing & Publishing Term Loan B  Loan   3M USD LIBOR+   6.00  1.00  7.00  9/25/2026   870,968   830,571   767,323 

SMB Shipping Logistics LLC

 Transportation: Consumer Term Loan B  Loan   3M USD LIBOR+   4.00  1.00  5.00  2/2/2024   1,931,951   1,930,419   1,690,457 

SMG US Midco 2 Inc.

 Services: Business Term Loan (01/20)  Loan   3M USD LIBOR+   2.50  0.00  2.84  1/23/2025   498,750   498,750   438,900 

Sotheby’s

 Services: Business Term Loan  Loan   1M USD LIBOR+   5.50  1.00  6.50  1/15/2027   3,316,066   3,251,646   2,978,922 

SP PF Buyer LLC

 Consumer goods: Durable Term Loan B  Loan   1M USD LIBOR+   4.50  0.00  4.68  12/19/2025   1,980,000   1,909,760   1,480,763 

SRAM LLC

 Consumer goods: Durable Term Loan  Loan   6M USD LIBOR+   2.75  1.00  3.75  3/15/2024   1,762,897   1,756,175   1,701,196 

SS&C European Holdings S.A.R.L.

 Services: Business Term Loan B4  Loan   1M USD LIBOR+   1.75  0.00  1.93  4/16/2025   192,493   192,148   186,118 

SS&C Technologies Inc.

 Services: Business Term Loan B3  Loan   1M USD LIBOR+   1.75  0.00  1.93  4/16/2025   280,056   279,546   270,780 

SS&C Technologies Inc.

 Services: Business Term Loan B-5  Loan   1M USD LIBOR+   1.75  0.00  1.93  4/16/2025   492,422   491,466   476,359 

Staples Inc.

 Wholesale Term Loan (03/19)  Loan   3M USD LIBOR+   5.00  0.00  5.34  4/16/2026   1,955,250   1,955,250   1,726,740 

Stats Intermediate Holdings LLC

 Hotel Gaming & Leisure Term Loan  Loan   1M USD LIBOR+   5.25  0.00  5.43  7/10/2026   1,995,000   1,950,157   1,782,193 

Steak N Shake Operations Inc.

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   3.75  1.00  4.75  3/19/2021   822,151   820,919   641,278 

Sybil Software LLC

 High Tech Industries Term Loan B (4/18)  Loan   3M USD LIBOR+   2.25  1.00  3.25  9/29/2023   1,890,601   1,862,249   1,830,347 

Teneo Holdings LLC

 Banking Finance Insurance & Real Estate Term Loan  Loan   3M USD LIBOR+   5.25  1.00  6.25  7/11/2025   2,487,500   2,399,481   2,263,625 

Tenneco Inc.

 Capital Equipment Term Loan B  Loan   1M USD LIBOR+   3.00  0.00  3.18  10/1/2025   1,481,250   1,469,552   1,186,541 

Ten-X LLC

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   4.00  1.00  5.00  9/30/2024   1,955,000   1,953,155   1,752,169 

Terex Corporation

 Capital Equipment Term Loan  Loan   3M USD LIBOR+   2.75  0.75  3.50  1/31/2024   990,000   986,353   960,300 

TGG TS Acquisition Company

 Media: Diversified & Production Term Loan (12/18)  Loan   1M USD LIBOR+   6.50  0.00  6.68  12/15/2025   2,746,102   2,624,135   2,478,357 

The Edelman Financial Center LLC

 Banking Finance Insurance & Real Estate Term Loan B (06/18)  Loan   1M USD LIBOR+   3.00  0.00  3.18  7/21/2025   1,234,375   1,229,724   1,175,742 

Thor Industries Inc.

 Automotive Term Loan (USD)  Loan   1M USD LIBOR+   3.75  0.00  3.93  2/2/2026   2,965,878   2,895,389   2,854,658 

Tivity Health Inc.

 Healthcare & Pharmaceuticals Term Loan A  Loan   1M USD LIBOR+   4.25  0.00  4.43  3/8/2024   1,600,000   1,587,055   1,408,000 

Tivity Health Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   1M USD LIBOR+   5.25  0.00  5.43  3/6/2026   2,334,338   2,283,519   2,055,688 

T-Mobile USA Inc.

 Telecommunications Term Loan B  Loan   1M USD LIBOR+   3.00  0.00  3.18  4/1/2027   2,000,000   1,970,000   1,999,540 

Transdigm Inc.

 Aerospace & Defense Term Loan G (02/20)  Loan   1M USD LIBOR+   2.25  0.00  2.43  8/22/2024   4,096,027   4,100,487   3,737,625 

Travel Leaders Group LLC

 Hotel Gaming & Leisure Term Loan B (08/18)  Loan   1M USD LIBOR+   4.00  0.00  4.18  1/25/2024   2,456,250   2,453,261   1,473,750 

TRC Companies Inc.

 Services: Business Term Loan  Loan   3M USD LIBOR+   3.50  1.00  4.50  6/21/2024   3,368,182   3,358,677   3,098,727 

TRC Companies Inc.

 Services: Business Term Loan B  Loan   3M USD LIBOR+   5.00  1.00  6.00  6/21/2024   995,000   981,276   915,400 

Trico Group LLC

 Containers Packaging & Glass Incremental Term Loan  Loan   3M USD LIBOR+   7.00  1.00  8.00  2/2/2024   4,696,562   4,591,232   4,344,320 

Truck Hero Inc.

 Transportation: Cargo First Lien Term Loan  Loan   1M USD LIBOR+   3.75  0.00  3.93  4/22/2024   2,919,937   2,904,610   2,649,843 

Trugreen Limited Partnership

 Services: Consumer Term Loan (03/19)  Loan   1M USD LIBOR+   3.75  0.00  3.93  3/19/2026   978,924   970,466   943,438 

Twin River Worldwide Holdings Inc.

 Hotel Gaming & Leisure Term Loan B  Loan   1M USD LIBOR+   2.75  0.00  2.93  5/11/2026   992,500   988,080   871,226 

United Natural Foods Inc.

 Beverage Food & Tobacco Term Loan B  Loan   1M USD LIBOR+   4.25  0.00  4.43  10/22/2025   3,456,250   3,269,341   3,240,234 

Univar Solutions Inc.

 Chemicals Plastics & Rubber Term Loan B3 (11/17)  Loan   3M USD LIBOR+   2.25  0.00  2.59  7/1/2024   1,627,723   1,622,294   1,581,430 

Univision Communications Inc.

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   2.75  1.00  3.75  3/15/2024   2,700,582   2,690,340   2,576,355 

URS Holdco Inc.

 Transportation: Cargo Term Loan (10/17)  Loan   3M USD LIBOR+   5.75  1.00  6.75  8/30/2024   976,253   966,607   740,322 

US Ecology Holdings Inc.

 Environmental Industries Term Loan B  Loan   1M USD LIBOR+   2.50  0.00  2.68  11/2/2026   498,750   497,679   490,022 

VeriFone Systems Inc.

 Banking Finance Insurance & Real Estate Term Loan (7/18)  Loan   3M USD LIBOR+   4.00  0.00  4.34  8/20/2025   5,417,500   5,391,755   4,382,270 

VFH Parent LLC

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   3.00  0.00  3.18  3/2/2026   3,421,653   3,409,756   3,357,497 

Victory Capital Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B (01/20)  Loan   3M USD LIBOR+   2.50  0.00  2.84  7/1/2026   1,891,235   1,851,368   1,826,611 

Virtus Investment Partners Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   2.25  0.75  3.00  6/3/2024   2,826,626   2,826,194   2,755,960 

Vistra Operations Company LLC

 Utilities: Electric 2018 Incremental Term Loan  Loan   1M USD LIBOR+   1.75  0.00  1.93  12/31/2025   924,960   924,142   905,304 

Vizient Inc.

 Healthcare & Pharmaceuticals Term Loan B-6  Loan   1M USD LIBOR+   2.00  0.00  2.18  5/6/2026   495,000   494,002   475,819 

VM Consolidated Inc.

 Construction & Building Term Loan B1 (02/20)  Loan   1M USD LIBOR+   3.25  0.00  3.43  2/28/2025   479,194   477,393   452,838 

WeddingWire Inc.

 Services: Consumer Term Loan  Loan   3M USD LIBOR+   4.50  0.00  4.84  12/19/2025   3,950,000   3,943,221   3,634,000 

West Corporation

 Telecommunications Term Loan B (Olympus Merger)  Loan   3M USD LIBOR+   4.00  1.00  5.00  10/10/2024   1,234,217   1,164,698   1,001,086 

Western Dental Services Inc.

 Retail Term Loan (12/18)  Loan   3M USD LIBOR+   5.25  1.00  6.25  6/30/2023   2,432,469   2,419,117   1,982,462 

Western Digital Corporation

 High Tech Industries Term Loan B-4  Loan   1M USD LIBOR+   1.75  0.00  1.93  4/29/2023   903,135   886,707   883,564 

Winter Park Intermediate Inc.

 Automotive Term Loan  Loan   6M USD LIBOR+   4.75  0.00  5.26  4/4/2025   1,979,938   1,962,682   1,722,546 

Wirepath LLC

 Consumer goods: Non-durable Term Loan  Loan   6M USD LIBOR+   4.00  1.00  5.00  8/5/2024   2,947,637   2,925,682   2,248,487 

WP CityMD Bidco LLC

 Services: Consumer Term Loan B  Loan   6M USD LIBOR+   4.50  1.00  5.50  8/13/2026   3,491,250   3,459,637   3,406,866 

YS Garments LLC

 Retail Term Loan  Loan   3M USD LIBOR+   6.00  0.00  6.34  8/9/2024   1,925,000   1,909,867   1,694,000 

Zekelman Industries Inc

 Metals & Mining Term Loan (01/20)  Loan   1M USD LIBOR+   2.25  0.00  2.43  1/25/2027   1,000,000   1,000,000   967,810 

Zep Inc.

 Chemicals Plastics & Rubber Term Loan  Loan   6M USD LIBOR+   4.00  1.00  5.00  8/12/2024   2,437,500   2,429,338   1,969,037 

Zest Acquisition Corp.

 Healthcare & Pharmaceuticals Term Loan  Loan   1M USD LIBOR+   3.50  0.00  3.68  3/14/2025   959,762   956,282   808,600 
          

 

 

  

 

 

 
          $514,324,725  $457,744,271 
          

 

 

  

 

 

 
                        Number
of Shares
  Cost  Fair Value 

Cash and cash equivalents

           

U.S. Bank Money Market (c)

          5,234,135  $5,234,135  $5,234,135 
         

 

 

  

 

 

  

 

 

 

Total cash and cash equivalents

          5,234,135  $5,234,135  $5,234,135 
         

 

 

  

 

 

  

 

 

 

(a)    All or a portion of this investment has an unfunded commitment as of May 31, 2020.

(b)    As of May 31, 2020, the investment was in default and on non-accrual status.

(c)    Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of May 31, 2020.

 

28


Table of Contents

LIBOR—London Interbank Offered Rate

 

1W USD LIBOR—The 1 week USD LIBOR rate as of May 31, 2020 was 0.09%.

1M USD LIBOR—The 1 month USD LIBOR rate as of May 31, 2020 was 0.18%.

2M USD LIBOR—The 2 month USD LIBOR rate as of May 31, 2020 was 0.28%.

3M USD LIBOR—The 3 month USD LIBOR rate as of May 31, 2020 was 0.34%.

6M USD LIBOR—The 6 month USD LIBOR rate as of May 31, 2020 was 0.51%.

Prime—The Prime Rate as of May 31, 2020 was 3.25%.

 

29


Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

February 29, 2020

 

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-2 Preferred Shares  Equity      0.00  0.00  0.00  —     18,975  $1,897,538  $190 

Education Management II LLC

 Services: Consumer Education Management II A-1 Preferred Shares  Equity      0.00  0.00  0.00  —     6,692   669,214   67 

1011778 B.C. Unlimited Liability Company

 Beverage Food & Tobacco Term Loan B4  Loan   1M USD LIBOR+   1.75  0.00  3.27  11/19/2026  $500,000.00   498,790   491,665 

24 Hour Fitness Worldwide Inc.

 Services: Consumer Term Loan (5/18)  Loan   1M USD LIBOR+   3.50  0.00  5.02  5/30/2025   2,959,950   2,949,872   1,943,710 

ABB Con-Cise Optical Group LLC

 Consumer goods: Non-durable Term Loan B  Loan   1M USD LIBOR+   5.00  1.00  6.52  6/15/2023   2,081,927   2,062,239   1,969,149 

ADMI Corp.

 Services: Consumer Term Loan B  Loan   1M USD LIBOR+   2.75  0.00  4.27  4/30/2025   1,970,000   1,962,286   1,924,848 

Advantage Sales & Marketing Inc.

 Services: Business First Lien Term Loan  Loan   1M USD LIBOR+   3.25  1.00  4.77  7/23/2021   2,371,131   2,370,010   2,286,173 

Advantage Sales & Marketing Inc.

 Services: Business Term Loan B Incremental  Loan   1M USD LIBOR+   3.25  1.00  4.77  7/23/2021   489,950   485,523   470,352 

Advisor Group Holdings Inc

 Banking Finance Insurance & Real Estate Term Loan (7/19)  Loan   1M USD LIBOR+   5.00  0.00  6.52  7/31/2026   500,000   498,753   486,875 

Aegis Toxicology Sciences Corporation

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.96  5/9/2025   3,950,000   3,919,494   3,695,225 

Agiliti Health Inc.

 Healthcare & Pharmaceuticals Term Loan (1/19)  Loan   1M USD LIBOR+   3.00  0.00  4.52  1/5/2026   496,250   496,250   486,325 

Agrofresh Inc.

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   4.75  1.00  6.27  7/30/2021   2,889,487   2,886,790   2,677,601 

AI Convoy Bidco Limited

 Aerospace & Defense AI Convoy Bidco T/L B (USD)  Loan   3M USD LIBOR+   3.50  1.00  4.96  1/29/2027   1,500,000   1,492,500   1,483,125 

AI Mistral (Luxembourg) Subco Sarl

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   3.00  1.00  4.52  3/11/2024   486,250   486,250   384,138 

AIS Holdco LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   5.00  0.00  6.46  8/15/2025   2,421,875   2,411,617   2,228,125 

Alchemy US Holdco 1 LLC

 Metals & Mining Term Loan  Loan   1M USD LIBOR+   5.50  0.00  7.02  10/10/2025   1,950,000   1,925,236   1,945,125 

Alion Science and Technology Corporation

 Aerospace & Defense Term Loan B (1st Lien)  Loan   1M USD LIBOR+   4.50  1.00  6.02  8/19/2021   3,377,293   3,373,263   3,373,071 

Allen Media LLC

 Media: Advertising Printing & Publishing Allen Media T/L B (1/20)  Loan   3M USD LIBOR+   5.50  0.00  6.96  2/10/2027   3,000,000   2,985,000   2,936,250 

Altisource S.a r.l.

 Banking Finance Insurance & Real Estate Term Loan B (03/18)  Loan   3M USD LIBOR+   4.00  1.00  5.46  4/3/2024   1,454,005   1,446,493   1,353,141 

Altra Industrial Motion Corp.

 Capital Equipment Term Loan  Loan   1M USD LIBOR+   2.00  0.00  3.52  10/1/2025   1,767,163   1,763,366   1,748,943 

American Dental Partners Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   3M USD LIBOR+   4.25  1.00  5.71  3/24/2023   990,000   982,019   982,575 

American Greetings Corporation

 Media: Advertising Printing & Publishing Term Loan  Loan   1M USD LIBOR+   4.50  1.00  6.02  4/5/2024   4,889,524   4,886,331   4,788,702 

American Residential Services LLC

 Services: Consumer Term Loan B  Loan   1M USD LIBOR+   4.00  1.00  5.52  6/30/2022   3,925,767   3,916,564   3,896,324 

AmeriLife Group LLC

 Banking Finance Insurance & Real Estate AmeriLife T/L  Loan   3M USD LIBOR+   4.00  0.00  5.46  2/5/2027   838,710   836,613   832,419 

AmeriLife Group LLC(a)

 Banking Finance Insurance & Real Estate Unfunded Commitment  Loan   3M USD LIBOR+   4.00  0.00  4.00  2/5/2027   —     —     —   

Amex GBT (2/20) T/L

 Banking Finance Insurance & Real Estate Term Loan  Loan   3M USD LIBOR+   4.00  0.00  5.46  2/26/2027   2,993,363   2,933,496   2,926,012 

Amex GBT 2/20 D/T/L(a)

 Banking Finance Insurance & Real Estate Unfunded Commitment  Loan   3M USD LIBOR+   4.00  0.00  5.46  2/26/2027   —     —     —   

Amynta Agency Borrower Inc.

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   4.50  0.00  6.02  2/28/2025   3,462,357   3,425,731   3,224,320 

Anastasia Parent LLC

 Consumer goods: Non-durable Term Loan  Loan   1M USD LIBOR+   3.75  0.00  5.27  8/11/2025   987,500   983,508   759,141 

Anchor Glass Container Corporation

 Containers Packaging & Glass Term Loan (07/17)  Loan   3M USD LIBOR+   2.75  1.00  4.21  12/7/2023   485,063   483,537   354,789 

Api Group DE Inc

 Services: Business Term Loan B  Loan   1M USD LIBOR+   2.50  0.00  4.02  10/1/2026   1,000,000   995,123   990,000 

APLP Holdings Limited Partnership

 Utilities APLP Holdings T/L B (Atlantic Power)  Loan   1M USD LIBOR+   2.75  1.00  4.27  4/13/2023   2,000,000   2,000,000   1,977,500 

Aramark Services Inc.

 Services: Consumer Term Loan  Loan   1M USD LIBOR+   1.75  0.00  3.27  1/15/2027   1,500,000   1,498,209   1,484,070 

Arctic Glacier U.S.A. Inc.

 Beverage Food & Tobacco Term Loan (3/18)  Loan   1M USD LIBOR+   3.50  1.00  5.02  3/20/2024   3,350,967   3,332,339   3,225,306 

Aretec Group Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/18)  Loan   1M USD LIBOR+   4.25  0.00  5.77  10/1/2025   1,980,000   1,975,743   1,937,093 

ASG Technologies Group Inc.

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   3.50  1.00  5.02  7/31/2024   488,775   487,107   476,556 

AssetMark Financial Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan  Loan   3M USD LIBOR+   3.00  0.00  4.46  11/14/2025   1,237,500   1,235,582   1,228,219 

Astoria Energy LLC

 Energy: Electricity Term Loan  Loan   1M USD LIBOR+   4.00  1.00  5.52  12/24/2021   1,391,552   1,385,662   1,384,595 

Asurion LLC

 Banking Finance Insurance & Real Estate Term Loan B-4 (Replacement)  Loan   1M USD LIBOR+   3.00  0.00  4.52  8/4/2022   1,876,925   1,872,057   1,853,069 

Asurion LLC

 Banking Finance Insurance & Real Estate Term Loan B6  Loan   1M USD LIBOR+   3.00  0.00  4.52  11/3/2023   492,773   489,808   485,381 

Athenahealth Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   1M USD LIBOR+   4.50  0.00  6.02  2/11/2026   1,985,000   1,950,006   1,970,113 

Avaya Inc.

 Telecommunications Term Loan B  Loan   1M USD LIBOR+   4.25  0.00  5.77  12/16/2024   3,169,156   3,138,355   3,010,698 

Avison Young (Canada) Inc.

 Services: Business Term Loan  Loan   3M USD LIBOR+   5.00  0.00  6.46  1/30/2026   3,476,222   3,418,777   3,406,697 

B&G Foods Inc.

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   2.50  0.00  4.02  10/10/2026   249,375   248,169   246,881 

Ball Metalpack Finco LLC

 Containers Packaging & Glass Term Loan  Loan   3M USD LIBOR+   4.50  0.00  5.96  7/31/2025   3,944,937   3,928,266   3,432,096 

Bausch Health Companies Inc.

 Healthcare & Pharmaceuticals Term Loan B (05/18)  Loan   1M USD LIBOR+   3.00  0.00  4.52  6/2/2025   25,355   25,274   25,161 

Berry Global Inc.

 Chemicals Plastics & Rubber Term Loan Y  Loan   1M USD LIBOR+   2.00  0.00  3.52  7/1/2026   4,987,500   4,981,754   4,897,974 

Blount International Inc.

 Forest Products & Paper Term Loan B (09/18)  Loan   1M USD LIBOR+   3.75  1.00  5.27  4/12/2023   3,453,781   3,450,952   3,432,195 

Blucora Inc.

 Services: Consumer Term Loan (11/17)  Loan   2M USD LIBOR+   3.00  1.00  4.50  5/22/2024   955,900   953,639   946,341 

Bombardier Recreational Products Inc.

 Consumer goods: Durable Term Loan (1/20)  Loan   1M USD LIBOR+   2.00  0.00  3.52  5/24/2027   995,000   985,847   978,214 

Boxer Parent Company Inc.

 Services: Business Term Loan  Loan   1M USD LIBOR+   4.25  0.00  5.77  10/2/2025   2,475,000   2,454,363   2,374,070 

Bracket Intermediate Holding Corp.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   4.25  0.00  5.71  9/5/2025   987,500   983,437   987,500 

Broadstreet Partners Inc.

 Banking Finance Insurance & Real Estate Term Loan B3  Loan   1M USD LIBOR+   3.25  0.00  4.77  1/27/2027   2,024,614   2,022,736   2,002,687 

Brookfield WEC Holdings Inc.

 Energy: Electricity Term Loan 1/20  Loan   1M USD LIBOR+   3.00  0.75  4.52  8/1/2025   497,487   496,370   488,627 

Buckeye Partners L.P.

 Utilities: Oil & Gas Term Loan  Loan   1M USD LIBOR+   2.75  0.00  4.27  11/2/2026   1,000,000   995,334   989,170 

BW Gas & Convenience Holdings LLC

 Beverage Food & Tobacco Term Loan  Loan   1M USD LIBOR+   6.25  0.00  7.77  11/18/2024   3,000,000   2,884,283   2,992,500 

Calceus Acquisition Inc.

 Consumer goods: Non-durable Term Loan B  Loan   1M USD LIBOR+   5.50  0.00  7.02  2/12/2025   975,000   964,353   964,031 

Callaway Golf Company

 Retail Term Loan B  Loan   1M USD LIBOR+   4.50  0.00  6.02  1/2/2026   697,500   684,758   696,196 

CareerBuilder LLC

 Services: Business Term Loan  Loan   1M USD LIBOR+   6.75  1.00  8.27  7/31/2023   2,266,211   2,232,341   2,223,720 

CareStream Health Inc.

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   6.25  1.00  7.77  2/28/2021   2,362,278   2,356,691   2,263,062 

Casa Systems Inc.

 Telecommunications Term Loan  Loan   1M USD LIBOR+   4.00  1.00  5.52  12/20/2023   1,455,000   1,446,052   1,236,750 

Castle US Holding Corporation

 High Tech Industries Term Loan B (USD)  Loan   1M USD LIBOR+   3.75  0.00  5.27  1/27/2027   500,000   497,509   475,000 

CCS-CMGC Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   5.50  0.00  6.96  10/1/2025   2,475,000   2,453,876   2,338,875 

Cengage Learning Inc.

 Media: Advertising Printing & Publishing Term Loan  Loan   1M USD LIBOR+   4.25  1.00  5.77  6/7/2023   1,447,458   1,435,195   1,329,447 

 

30


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
 

CenturyLink Inc.

 Telecommunications Term Loan B (1/20)  Loan   1M USD LIBOR+   2.25  0.00  3.77  3/15/2027   3,000,000   2,996,438   2,922,180 

C1itadel Securities LP

 Banking Finance Insurance & Real Estate Term Loan (2/20)  Loan   1M USD LIBOR+   2.75  0.00  4.27  2/27/2026   992,500   991,371   983,816 

Clarios Global LP

 Automotive Term Loan B  Loan   1M USD LIBOR+   3.50  0.00  5.02  4/30/2026   1,496,250   1,482,216   1,451,991 

Compass Power Generation L.L.C.

 Utilities: Electric Term Loan B (08/18)  Loan   1M USD LIBOR+   3.50  1.00  5.02  12/20/2024   1,891,221   1,886,758   1,855,761 

Compuware Corporation

 High Tech Industries Term Loan (08/18)  Loan   1M USD LIBOR+   4.00  0.00  5.52  8/22/2025   495,000   493,979   493,763 

Concordia International Corp.

 Healthcare & Pharmaceuticals Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.96  9/6/2024   1,183,650   1,131,380   1,088,224 

Connect U.S. Finco LLC

 Telecommunications Delayed Draw Term Loan B  Loan   1M USD LIBOR+   4.50  1.00  6.02  12/11/2026   2,000,000   1,984,055   1,980,000 

Consolidated Communications Inc.

 Telecommunications Term Loan B  Loan   1M USD LIBOR+   3.00  1.00  4.52  10/5/2023   1,475,404   1,464,720   1,395,481 

Coral-US Co-Borrower LLC

 Telecommunications Term Loan B-5  Loan   1M USD LIBOR+   2.25  0.00  3.77  1/31/2028   2,000,000   2,000,000   1,976,660 

Covia Holdings Corporation

 Metals & Mining Term Loan  Loan   3M USD LIBOR+   4.00  1.00  5.46  6/2/2025   985,000   985,000   711,663 

CPI Acquisition Inc

 Banking Finance Insurance & Real Estate Term Loan B (1st Lien)  Loan   6M USD LIBOR+   4.50  1.00  5.90  8/17/2022   1,436,782   1,427,762   1,089,957 

Crown Subsea Communications Holding Inc

 Construction & Building Term Loan  Loan   1M USD LIBOR+   6.00  0.00  7.52  11/3/2025   1,655,837   1,640,398   1,649,627 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B (03/17)  Loan   1M USD LIBOR+   2.25  0.00  3.77  7/17/2025   1,974,620   1,952,260   1,941,308 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B-5  Loan   1M USD LIBOR+   2.50  0.00  4.02  4/15/2027   500,000   500,000   492,500 

CSC Holdings LLC

 Media: Broadcasting & Subscription Term Loan B  Loan   1M USD LIBOR+   2.25  0.00  3.77  1/15/2026   495,000   493,968   486,031 

Cushman & Wakefield U.S. Borrower LLC

 Construction & Building Term Loan  Loan   1M USD LIBOR+   2.75  0.00  4.27  8/21/2025   3,945,050   3,928,487   3,874,789 

Daseke Companies Inc.

 Transportation: Cargo Replacement Term Loan  Loan   1M USD LIBOR+   5.00  1.00  6.52  2/27/2024   1,955,694   1,946,628   1,867,688 

DaVita Inc.

 High Tech Industries Term Loan B-1  Loan   1M USD LIBOR+   1.75  0.00  3.27  8/12/2026   997,500   995,133   985,859 

Dealer Tire LLC

 Automotive Dealer Tire T/L B-1  Loan   1M USD LIBOR+   4.25  0.00  5.77  12/12/2025   3,000,000   2,992,500   2,977,500 

Delek US Holdings Inc.

 Utilities: Oil & Gas Term Loan B  Loan   1M USD LIBOR+   2.25  0.00  3.77  3/31/2025   6,446,003   6,379,073   6,317,083 

Dell International L.L.C.

 High Tech Industries Term Loan B-1  Loan   1M USD LIBOR+   2.00  0.75  3.52  9/19/2025   3,814,430   3,809,967   3,766,292 

Delta 2 (Lux) SARL

 Hotel Gaming & Leisure Term Loan B  Loan   1M USD LIBOR+   2.50  1.00  4.02  2/1/2024   1,318,289   1,315,922   1,275,445 

DHX Media Ltd.

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   4.25  1.00  5.77  12/29/2023   279,282   278,012   267,413 

Diamond Sports Group LLC

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   3.25  0.00  4.77  8/24/2026   997,500   992,773   907,725 

Digital Room Holdings Inc.

 Media: Advertising Printing & Publishing Term Loan  Loan   1M USD LIBOR+   5.00  0.00  6.52  5/21/2026   2,985,000   2,944,957   2,790,975 

Dole Food Company Inc.

 Beverage Food & Tobacco Term Loan B  Loan   1M USD LIBOR+   2.75  1.00  4.27  4/8/2024   468,750   467,304   461,522 

DRW Holdings LLC

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   4.25  0.00  5.77  11/27/2026   5,000,000   4,950,804   4,962,500 

DynCorp International Inc.

 Aerospace & Defense Term Loan B  Loan   1M USD LIBOR+   6.00  1.00  7.52  8/18/2025   2,962,500   2,879,096   2,925,469 

Eagletree-Carbide Acquisition Corp.

 Consumer goods: Durable Term Loan  Loan   3M USD LIBOR+   4.25  1.00  5.71  8/28/2024   4,927,385   4,901,606   4,804,200 

EIG Investors Corp.

 High Tech Industries Term Loan (06/18)  Loan   3M USD LIBOR+   3.75  1.00  5.21  2/9/2023   2,199,416   2,186,449   2,160,926 

Encapsys LLC

 Chemicals Plastics & Rubber Term Loan B2  Loan   1M USD LIBOR+   3.25  1.00  4.77  11/7/2024   497,428   492,831   491,832 

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

 Healthcare & Pharmaceuticals Term Loan B (4/17)  Loan   1M USD LIBOR+   4.25  0.75  5.77  4/29/2024   3,937,025   3,914,795   3,766,985 

Energy Acquisition LP

 Capital Equipment Term Loan (6/18)  Loan   3M USD LIBOR+   4.25  0.00  5.71  6/26/2025   1,970,000   1,957,901   1,811,179 

Envision Healthcare Corporation

 Healthcare & Pharmaceuticals Term Loan B (06/18)  Loan   1M USD LIBOR+   3.75  0.00  5.27  10/10/2025   4,950,000   4,939,709   3,966,188 

EyeCare Partners LLC

 Healthcare & Pharmaceuticals EyeCare Partners T/L B  Loan   1M USD LIBOR+   3.75  0.00  5.27  2/5/2027   1,621,622   1,619,618   1,583,789 

EyeCare Partners LLC(a)

 Healthcare & Pharmaceuticals EyeCare Partners Delayed Draw Term Loan  Loan   1M USD LIBOR+   3.75  0.00  5.27  2/5/2027   —     —     —   

FinCo I LLC

 Banking Finance Insurance & Real Estate 2018 Term Loan B  Loan   1M USD LIBOR+   2.00  0.00  3.52  12/27/2022   360,538   359,905   356,752 

First Eagle Holdings Inc.

 Banking Finance Insurance & Real Estate Refinancing Term Loan  Loan   3M USD LIBOR+   2.50  0.00  3.96  2/1/2027   5,450,000   5,426,720   5,338,275 

Fitness International LLC

 Services: Consumer Term Loan B (4/18)  Loan   1M USD LIBOR+   3.25  0.00  4.77  4/18/2025   1,330,058   1,322,900   1,312,103 

Franklin Square Holdings L.P.

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   2.25  0.00  3.77  8/1/2025   4,443,748   4,414,007   4,421,530 

Froneri International Ltd

 Beverage Food & Tobacco Term Loan B-2  Loan   1M USD LIBOR+   2.25  0.00  3.77  1/29/2027   2,000,000   1,995,162   1,962,500 

Fusion Connect Inc.

 Telecommunications Exit Term Loan (1/20)  Loan   3M USD LIBOR+   9.50  2.00  11.50  1/14/2025   1,500,000   1,470,716   1,495,005 

Fusion Connect Inc.

 Telecommunications Take Back 2nd Out Term Loan  Loan   6M USD LIBOR+   8.00  2.00  10.00  7/14/2025   757,724   737,560   527,883 

GBT Group Services B.V.

 Hotel Gaming & Leisure Term Loan  Loan   3M USD LIBOR+   2.50  0.00  3.96  8/13/2025   4,443,750   4,442,729   4,410,422 

GC EOS Buyer Inc.

 Automotive Term Loan B (06/18)  Loan   1M USD LIBOR+   4.50  0.00  6.02  8/1/2025   2,962,500   2,940,820   2,888,438 

General Nutrition Centers Inc.

 Retail Term Loan B2  Loan   3M USD LIBOR+   8.75  0.75  10.21  3/4/2021   930,446   929,986   856,010 

General Nutrition Centers Inc.

 Retail FILO Term Loan  Loan   1M USD LIBOR+   7.00  0.00  8.52  1/3/2023   585,849   584,748   583,505 

Genesee & Wyoming Inc.

 Transportation: Cargo Term Loan (11/19)  Loan   3M USD LIBOR+   2.00  0.00  3.46  12/30/2026   1,500,000   1,492,771   1,489,380 

GEO Group Inc. The

 Banking Finance Insurance & Real Estate Term Loan Refinance  Loan   1M USD LIBOR+   2.00  0.75  3.52  3/25/2024   2,000,000   1,911,214   1,846,260 

GI Chill Acquisition LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   4.00  0.00  5.46  8/6/2025   2,468,750   2,458,492   2,450,234 

GI Revelation Acquisition LLC

 Services: Business Term Loan  Loan   1M USD LIBOR+   5.00  0.00  6.52  4/16/2025   1,231,867   1,226,730   1,155,652 

Gigamon Inc.

 Services: Business Term Loan B  Loan   1M USD LIBOR+   4.25  1.00  5.77  12/27/2024   2,960,000   2,937,550   2,952,600 

Global Tel*Link Corporation

 Telecommunications Term Loan B  Loan   1M USD LIBOR+   4.25  0.00  5.77  11/28/2025   3,039,750   3,039,750   2,886,668 

Go Wireless Inc.

 Telecommunications Term Loan  Loan   1M USD LIBOR+   6.50  1.00  8.02  12/22/2024   3,202,597   3,161,265   3,005,093 

Goodyear Tire & Rubber Company The

 Chemicals Plastics & Rubber Second Lien Term Loan  Loan   1M USD LIBOR+   2.00  0.00  3.52  3/7/2025   2,000,000   2,000,000   1,950,000 

Greenhill & Co. Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   3.25  0.00  4.77  4/12/2024   3,661,538   3,624,459   3,644,769 

Grosvenor Capital Management Holdings LLLP

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   2.75  1.00  4.27  3/28/2025   898,530   894,831   898,530 

Guidehouse LLP

 Aerospace & Defense Term Loan  Loan   1M USD LIBOR+   4.50  0.00  6.02  5/1/2025   3,964,937   3,941,954   3,895,550 

Harland Clarke Holdings Corp.

 Media: Advertising Printing & Publishing Term Loan  Loan   3M USD LIBOR+   4.75  1.00  6.21  11/3/2023   1,723,072   1,715,720   1,356,919 

HD Supply Waterworks Ltd.

 Construction & Building Term Loan  Loan   3M USD LIBOR+   2.75  1.00  4.21  8/1/2024   488,750   487,883   481,419 

Helix Acquisition Holdings Inc.

 Capital Equipment Term Loan (2019 Incremental)  Loan   3M USD LIBOR+   3.75  0.00  5.21  9/30/2024   2,977,500   2,925,219   2,754,188 

Helix Gen Funding LLC

 Energy: Electricity Term Loan B (02/17)  Loan   1M USD LIBOR+   3.75  1.00  5.27  6/3/2024   264,030   263,694   253,799 

HLF Financing SaRL LLC

 Consumer goods: Non-durable Term Loan B (08/18)  Loan   1M USD LIBOR+   2.75  0.00  4.27  8/18/2025   3,950,000   3,935,111   3,883,364 

Holley Purchaser Inc.

 Automotive Term Loan B  Loan   3M USD LIBOR+   5.00  0.00  6.46  10/24/2025   2,475,000   2,454,070   2,301,750 

Hudson River Trading LLC

 Banking Finance Insurance & Real Estate Term Loan B (01/20)  Loan   1M USD LIBOR+   3.00  0.00  4.52  2/18/2027   6,000,000   5,975,621   5,955,000 

Hyperion Refinance S.a.r.l.

 Banking Finance Insurance & Real Estate Tem Loan (12/17)  Loan   1M USD LIBOR+   3.50  1.00  5.02  12/20/2024   1,709,781   1,701,824   1,691,623 

ICH US Intermediate Holdings II Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   3M USD LIBOR+   5.75  1.00  7.21  12/24/2026   5,000,000   4,803,288   4,875,000 

Idera Inc.

 High Tech Industries Term Loan B  Loan   1M USD LIBOR+   4.00  1.00  5.52  6/28/2024   2,939,742   2,919,274   2,917,694 

Informatica LLC

 High Tech Industries Term Loan B (02/20)  Loan   1M USD LIBOR+   3.25  0.00  4.77  2/25/2027   500,000   497,500   489,375 

Inmar Inc.

 Services: Business Term Loan B  Loan   3M USD LIBOR+   4.00  1.00  5.46  5/1/2024   3,457,043   3,377,774   3,320,939 

Innophos Holdings Inc

 Chemicals Plastics & Rubber Term Loan B  Loan   1M USD LIBOR+   3.75  0.00  5.27  2/4/2027   500,000   497,521   496,250 

 

31


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
 

ION Media Networks Inc.

 Media: Broadcasting & Subscription Term Loan B  Loan   1M USD LIBOR+   3.00  0.00  4.52  12/18/2024997,500992,818982,538 

Isagenix International LLC

 Beverage Food & Tobacco Term Loan  Loan   3M USD LIBOR+   5.75  1.00  7.21  6/16/2025   2,796,876   2,750,718   1,118,750 

Jefferies Finance LLC / JFIN Co-Issuer Corp

 Banking Finance Insurance & Real Estate 

Term Loan

  Loan   1M USD LIBOR+   3.25  0.00  4.77  6/3/2026   3,229,359   3,211,489   3,172,846 

Jill Holdings LLC

 Retail Term Loan (1st Lien)  Loan   3M USD LIBOR+   5.00  1.00  6.46  5/9/2022   1,800,290   1,796,697   1,458,235 

JP Intermediate B LLC

 Consumer goods: Non-durable Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.96  11/20/2025   4,687,500   4,640,380   2,499,984 

KAR Auction Services Inc.

 Automotive Term Loan B (09/19)  Loan   1M USD LIBOR+   2.25  0.00  3.77  9/19/2026   249,375   248,789   247,505 

Kindred Healthcare Inc.

 Healthcare & Pharmaceuticals Kindred Healthcare T/L (6/18)  Loan   1M USD LIBOR+   5.00  0.00  6.52  7/2/2025   2,000,000   1,980,000   1,975,000 

Lakeland Tours LLC

 Hotel Gaming & Leisure Term Loan B  Loan   3M USD LIBOR+   4.25  1.00  5.71  12/16/2024   2,457,482   2,450,618   2,248,596 

Lannett Company Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   1M USD LIBOR+   5.38  1.00  6.89  11/25/2022   2,379,293   2,356,101   2,343,175 

Learfield Communications LLC

 Media: Advertising Printing & Publishing Initial Term Loan (A-L Parent)  Loan   1M USD LIBOR+   3.25  1.00  4.77  12/1/2023   485,000   483,577   439,531 

Lifetime Brands Inc.

 Consumer goods: Non-durable Term Loan B  Loan   1M USD LIBOR+   3.50  1.00  5.02  2/28/2025   2,992,386   2,955,090   2,857,728 

Lighthouse Network LLC

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   4.50  1.00  6.02  12/2/2024   4,129,092   4,115,428   4,123,930 

Lightstone Holdco LLC

 Energy: Electricity Term Loan B  Loan   1M USD LIBOR+   3.75  1.00  5.27  1/30/2024   1,322,520   1,320,692   1,164,651 

Lightstone Holdco LLC

 Energy: Electricity Term Loan C  Loan   1M USD LIBOR+   3.75  1.00  5.27  1/30/2024   74,592   74,493   65,688 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure US 2018 Term Loan  Loan   1M USD LIBOR+   3.25  0.00  4.77  3/27/2025   394,000   393,227   390,060 

Lindblad Expeditions Inc.

 Hotel Gaming & Leisure Cayman Term Loan  Loan   1M USD LIBOR+   3.25  0.00  4.77  3/27/2025   98,500   98,307   97,515 

Liquidnet Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   3.25  1.00  4.77  7/15/2024   2,131,268   2,126,212   2,093,970 

LPL Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan B1  Loan   1M USD LIBOR+   1.75  0.00  3.27  11/11/2026   1,245,213   1,242,233   1,243,133 

Marriott Ownership Resorts Inc.

 Hotel Gaming & Leisure Term Loan (11/19)  Loan   1M USD LIBOR+   1.75  0.00  3.27  3/12/2026   1,500,000   1,500,000   1,432,500 

Match Group Inc.

 Services: Consumer Term Loan (1/20)  Loan   3M USD LIBOR+   1.75  0.00  3.21  2/5/2027   250,000   249,377   248,438 

McAfee LLC

 Services: Business Term Loan B  Loan   1M USD LIBOR+   3.75  0.00  5.27  9/30/2024   3,159,418   3,131,317   3,136,165 

McDermott International (Americas) Inc.(b)

 Construction & Building Term Loan B  Loan   3M USD LIBOR+   5.00  1.00  6.46  5/12/2025   1,965,000   1,933,938   1,126,928 

McGraw-Hill Global Education Holdings LLC

 Media: Advertising Printing & Publishing Term Loan  Loan   1M USD LIBOR+   4.00  1.00  5.52  5/4/2022   956,813   954,867   897,807 

Meredith Corporation

 Media: Advertising Printing & Publishing Term Loan B2  Loan   1M USD LIBOR+   2.50  0.00  4.02  1/31/2025   578,738   577,724   572,227 

Messer Industries GMBH

 Chemicals Plastics & Rubber Term Loan B  Loan   3M USD LIBOR+   2.50  0.00  3.96  3/2/2026   2,977,500   2,970,753   2,917,950 

Michaels Stores Inc.

 Retail Term Loan B  Loan   1M USD LIBOR+   2.50  1.00  4.02  1/30/2023   2,599,163   2,590,493   2,393,387 

Midwest Physician Administrative Services LLC

 Healthcare & Pharmaceuticals Term Loan (2/18)  Loan   1M USD LIBOR+   2.75  0.75  4.27  8/15/2024   970,910   967,282   951,492 

Milk Specialties Company

 Beverage Food & Tobacco Term Loan (2/17)  Loan   1M USD LIBOR+   4.00  1.00  5.52  8/16/2023   3,899,905   3,848,164   3,696,798 

MKS Instruments Inc.

 High Tech Industries Term Loan B6  Loan   1M USD LIBOR+   1.75  0.00  3.27  2/2/2026   887,425   879,526   875,001 

MLN US HoldCo LLC

 Telecommunications Term Loan  Loan   1M USD LIBOR+   4.50  0.00  6.02  11/28/2025   990,000   988,165   932,144 

MRC Global (US) Inc.

 Metals & Mining Term Loan B2  Loan   1M USD LIBOR+   3.00  0.00  4.52  9/20/2024   490,000   489,047   477,750 

NAI Entertainment Holdings LLC

 Hotel Gaming & Leisure Term Loan B  Loan   1M USD LIBOR+   2.50  1.00  4.02  5/8/2025   870,833   869,104   855,594 

Natgasoline LLC

 Chemicals Plastics & Rubber Term Loan  Loan   6M USD LIBOR+   3.50  0.00  4.90  11/14/2025   495,000   492,907   491,288 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan   1M USD LIBOR+   4.00  0.00  5.52  3/9/2026   1,881,215   1,864,059   1,871,809 

National Mentor Holdings Inc.

 Healthcare & Pharmaceuticals Term Loan C  Loan   1M USD LIBOR+   4.00  0.00  5.52  3/9/2026   104,662   103,730   104,139 

NeuStar Inc.

 Telecommunications Term Loan B4 (03/18)  Loan   1M USD LIBOR+   3.50  1.00  5.02  8/8/2024   2,962,121   2,918,947   2,688,125 

NeuStar Inc.

 Telecommunications Term Loan B-5  Loan   1M USD LIBOR+   4.50  1.00  6.02  8/8/2024   992,500   975,477   959,311 

Nexstar Broadcasting Inc.

 Media: Broadcasting & Subscription Term Loan  Loan   1M USD LIBOR+   2.75  0.00  4.27  9/18/2026   249,375   248,222   247,298 

NMI Holdings Inc.

 Banking Finance Insurance & Real Estate Term Loan  Loan   1M USD LIBOR+   4.75  1.00  6.27  5/23/2023   3,454,906   3,457,271   3,420,357 

NorthPole Newco S.a r.l

 Aerospace & Defense Term Loan  Loan   3M USD LIBOR+   7.00  0.00  8.46  3/3/2025   4,812,500   4,371,041   4,162,813 

Novetta Solutions LLC

 Aerospace & Defense Term Loan  Loan   1M USD LIBOR+   5.00  1.00  6.52  10/17/2022   1,919,870   1,911,097   1,878,478 

Novetta Solutions LLC

 Aerospace & Defense Second Lien Term Loan  Loan   1M USD LIBOR+   8.50  1.00  10.02  10/16/2023   1,000,000   994,137   973,750 

NPC International Inc.(b)

 Beverage Food & Tobacco Term Loan  Loan   3M USD LIBOR+   3.50  1.00  4.96  4/19/2024   487,500   487,124   237,544 

Octave Music Group Inc. The

 Services: Business Term Loan B  Loan   2M USD LIBOR+   5.25  1.00  6.75  5/29/2025   5,000,000   4,950,000   4,937,500 

Office Depot Inc.

 Retail Term Loan B  Loan   1M USD LIBOR+   5.25  1.00  6.77  11/8/2022   2,456,367   2,445,611   2,464,547 

Owens & Minor Distribution Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan   1M USD LIBOR+   4.50  0.00  6.02  4/30/2025   492,500   484,678   413,700 

Patriot Container Corp.

 Environmental Industries Term Loan (3/18)  Loan   1M USD LIBOR+   3.50  1.00  5.02  3/20/2025   500,000   497,500   492,500 

PCI Gaming Authority

 Hotel Gaming & Leisure Term Loan  Loan   1M USD LIBOR+   2.50  0.00  4.02  5/29/2026   878,269   874,086   871,682 

Peraton Corp.

 Aerospace & Defense Term Loan  Loan   2M USD LIBOR+   5.25  1.00  6.75  4/29/2024   2,447,449   2,437,345   2,386,263 

PGX Holdings Inc.

 Services: Consumer Term Loan  Loan   1M USD LIBOR+   5.25  1.00  6.77  9/29/2020   3,564,650   3,555,767   1,782,325 

PI UK Holdco II Limited

 Services: Business Term Loan B1 (PI UK Holdco II)  Loan   1M USD LIBOR+   3.25  1.00  4.77  1/3/2025   1,473,750   1,467,204   1,449,802 

Pixelle Specialty Solutions LLC

 Forest Products & Paper Term Loan  Loan   1M USD LIBOR+   6.50  1.00  8.02  10/31/2024   2,000,000   1,960,340   1,953,120 

Plastipak Packaging Inc

 Containers Packaging & Glass Plastipak Packaging T/L B (04/18)  Loan   1M USD LIBOR+   2.50  0.00  4.02  10/15/2024   2,944,583   2,921,203   2,885,691 

Playtika Holding Corp.

 High Tech Industries Trm Loan B (12/19)  Loan   1M USD LIBOR+   6.00  1.00  7.52  12/10/2024   4,000,000   3,922,736   3,988,760 

Polymer Process Holdings Inc

 Containers Packaging & Glass Term Loan  Loan   1M USD LIBOR+   6.00  0.00  7.52  4/30/2026   2,985,000   2,930,303   2,921,569 

Presidio Inc.

 Services: Business Term Loan B (1/20)  Loan   3M USD LIBOR+   3.50  0.00  4.96  1/22/2027   500,000   498,787   495,000 

Prime Security Services Borrower LLC

 Services: Consumer Term Loan (Protection One/ADT)  Loan   1M USD LIBOR+   3.25  1.00  4.77  9/23/2026   2,992,500   2,975,658   2,905,717 

Priority Payment Systems Holdings LLC

 High Tech Industries Term Loan  Loan   1M USD LIBOR+   5.00  1.00  6.52  1/3/2023   2,472,719   2,462,039   2,404,720 

Project Accelerate Parent LLC

 Services: Business Term Loan  Loan   1M USD LIBOR+   4.25  1.00  5.77  1/2/2025   1,965,000   1,957,491   1,940,438 

Prometric Holdings Inc.

 Services: Consumer Term Loan  Loan   1M USD LIBOR+   3.00  1.00  4.52  1/29/2025   491,288   489,418   473,478 

Pug LLC

 Services: Consumer Pug T/L B (02/20)  Loan   1M USD LIBOR+   3.50  0.00  5.02  2/12/2027   1,500,000   1,492,500   1,395,000 

Rackspace Hosting Inc.

 High Tech Industries Term Loan B  Loan   3M USD LIBOR+   3.00  1.00  4.46  11/3/2023   1,476,064   1,467,715   1,403,486 

Radio Systems Corporation

 Consumer goods: Durable Term Loan  Loan   2M USD LIBOR+   2.75  1.00  4.25  5/2/2024   1,462,500   1,462,500   1,449,703 

Radiology Partners Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan   2M USD LIBOR+   4.25  0.00  5.75  7/9/2025   1,432,727   1,426,403   1,413,386 

Research Now Group Inc.

 Media: Advertising Printing & Publishing Term Loan  Loan   3M USD LIBOR+   5.50  1.00  6.96  12/20/2024   3,927,406   3,816,352   3,868,494 

Resolute Investment Managers Inc.

 Banking Finance Insurance & Real Estate Term Loan (10/17)  Loan   3M USD LIBOR+   3.25  1.00  4.71  4/29/2022   2,680,466   2,681,757   2,673,765 

Rexnord LLC

 Capital Equipment Term Loan (11/19)  Loan   1M USD LIBOR+   1.75  0.00  3.27  8/21/2024   862,069   862,069   858,431 

Reynolds Consumer Products Inc.

 Containers Packaging & Glass Reynolds Consumer Products T/L  Loan   3M USD LIBOR+   1.75  0.00  3.21  2/4/2027   1,500,000   1,498,128   1,483,875 

RGIS Services LLC

 Services: Business Term Loan  Loan   3M USD LIBOR+   7.50  1.00  8.96  3/31/2023   482,554   477,839   421,994 

Robertshaw US Holding Corp.

 Consumer goods: Durable Term Loan B  Loan   1M USD LIBOR+   3.25  1.00  4.77  2/28/2025   982,500   980,484   884,250 

Rocket Software Inc.

 High Tech Industries Term Loan (11/18)  Loan   1M USD LIBOR+   4.25  0.00  5.77  11/28/2025   3,970,000   3,953,381   3,817,393 

 

32


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 

Russell Investments US Institutional Holdco Inc.

 Banking Finance Insurance & Real Estate Term Loan B  Loan   1M USD LIBOR+   2.75  1.00  4.27  6/1/20235,637,9655,554,2765,553,396  
Sahara Parent Inc. High Tech Industries Term Loan B (11/18)  Loan   3M USD LIBOR+   6.25  0.00  7.71  8/16/2024   1,955,250   1,938,956   1,877,040 
Sally Holdings LLC Retail Term Loan (Fixed)  Loan   1M USD LIBOR+   0.00  0.00  0.00  7/5/2024   1,000,000   996,778   980,000 
Sally Holdings LLC Retail Term Loan B  Loan   1M USD LIBOR+   2.25  0.00  3.77  7/5/2024   768,409   765,606   753,041 
Savage Enterprises LLC Energy: Oil & Gas Term Loan  Loan   1M USD LIBOR+   4.00  0.00  5.52  8/1/2025   3,284,831   3,247,280   3,270,049 
SCS Holdings I Inc. High Tech Industries Term Loan 1/20  Loan   1M USD LIBOR+   3.50  0.00  5.02  7/1/2026   1,990,000   1,985,537   1,976,329 
Seadrill Operating LP Energy: Oil & Gas Term Loan B  Loan   3M USD LIBOR+   6.00  1.00  7.46  2/21/2021   905,168   891,491   288,359 
Shutterfly Inc. Media: Advertising Printing & Publishing Term Loan B  Loan   3M USD LIBOR+   6.00  1.00  7.46  9/25/2026   870,968   829,352   827,968 
SMB Shipping Logistics LLC Transportation: Consumer Term Loan B  Loan   3M USD LIBOR+   4.00  1.00  5.46  2/2/2024   1,947,873   1,946,123   1,913,785 
SMG US Midco 2 Inc. Services: Business Term Loan (01/20)  Loan   1M USD LIBOR+   2.50  0.00