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SAR Saratoga Investment

Filed: 6 Jan 21, 4:02pm

 

 

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 November 30, 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
incorporation or organization)
 (I.R.S. Employer
Identification Number)

 

535 Madison Avenue

New York, New York 10022

(Address of principal executive offices)

 

(212) 906-7800

(Registrant’s telephone number, including area code)

 

 

 

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

 

Title of each class Trading Symbol(s) Name of each exchange on which registered
Common Stock, par value $0.001 per share SAR The New York Stock Exchange
6.25% 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 filerAccelerated 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 Exchange Act).  Yes ☐  No ☒

 

The number of outstanding common shares of the registrant as of January 6, 2021 was 11,170,028.

 

 

 

 

 

 

TABLE OF CONTENTS

 

 

 

  Page
PART I.FINANCIAL INFORMATION1
   
Item 1.Consolidated Financial Statements1
   
 Consolidated Statements of Assets and Liabilities as of November 30, 2020 (unaudited) and February 29, 20201
   
 Consolidated Statements of Operations for the three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited)2
   
 Consolidated Statements of Changes in Net Assets for three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited)3
   
 Consolidated Statements of Cash Flows for the three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited)4
   
 Consolidated Schedules of Investments as of November 30, 2020 (unaudited) and February 29, 20205
   
 Notes to Consolidated Financial Statements as of November 30, 2020 (unaudited)16
   
Item 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations64
   
Item 3.Quantitative and Qualitative Disclosures About Market Risk96
   
Item 4.Controls and Procedures97
   
PART II.OTHER INFORMATION98
   
Item 1.Legal Proceedings98
   
Item 1A.Risk Factors98
   
Item 2.Unregistered Sales of Equity Securities and Use of Proceeds99
   
Item 3.Defaults Upon Senior Securities99
   
Item 4.Mine Safety Disclosures99
   
Item 5.Other Information99
   
Item 6.Exhibits 100
   
Signatures103

  

i

 

  

PART I. FINANCIAL INFORMATION

 

Item 1. Consolidated Financial Statements

 

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

  November 30,
2020
  February 29,
2020
 
  (unaudited)    
ASSETS      
Investments at fair value      
Non-control/Non-affiliate investments (amortized cost of $463,588,455 and $418,006,725, respectively) $456,552,179  $420,442,928 
Affiliate investments (amortized cost of $28,338,471 and $23,998,917, respectively)  21,403,802   18,485,854 
Control investments (amortized cost of $65,055,003 and $44,293,619, respectively)  68,987,521   46,703,192 
Total investments at fair value (amortized cost of $556,981,929 and $486,299,261, respectively)  546,943,502   485,631,974 
Cash and cash equivalents  21,060,224   24,598,905 
Cash and cash equivalents, reserve accounts  12,836,663   14,851,447 
Interest receivable (net of reserve of $1,982,033 and $1,238,049, respectively)  4,192,177   4,810,456 
Management fee receivable  284,256   272,207 
Other assets  740,361   701,007 
Total assets $586,057,183  $530,865,996 
         
LIABILITIES        
Revolving credit facility $-  $- 
Deferred debt financing costs, revolving credit facility  (674,638)  (512,628)
SBA debentures payable  176,000,000   150,000,000 
Deferred debt financing costs, SBA debentures payable  (2,725,309)  (2,561,495)
6.25% Notes Payable 2025  60,000,000   60,000,000 
Deferred debt financing costs, 6.25% notes payable 2025  (1,766,709)  (2,046,735)
7.25% Notes Payable 2025  43,125,000   - 
Deferred debt financing costs, 7.25% notes payable 2025  (1,480,977)  - 
7.75% Notes Payable 2025  5,000,000   - 
Deferred debt financing costs, 7.75% notes payable 2025  (252,746)  - 
Base management and incentive fees payable  4,775,801   15,800,097 
Deferred tax liability  1,434,505   1,347,363 
Accounts payable and accrued expenses  1,514,585   1,713,157 
Interest and debt fees payable  931,938   2,234,042 
Directors fees payable  44,500   61,500 
Due to manager  278,343   543,842 
Total liabilities  286,204,293   226,579,143 
         
Commitments and contingencies (See Note 8)        
         
NET ASSETS        
Common stock, par value $0.001, 100,000,000 common shares authorized, 11,170,028 and 11,217,545 common shares issued and outstanding, respectively  11,170   11,218 
Capital in excess of par value  288,590,554   289,476,991 
Total distributable earnings  11,251,166   14,798,644 
Total net assets  299,852,890   304,286,853 
Total liabilities and net assets $586,057,183  $530,865,996 
NET ASSET VALUE PER SHARE $26.84  $27.13 

 

See accompanying notes to consolidated financial statements.

 

1

 

 

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

  For the three months ended  For the nine months ended 
  November 30,
2020
  November 30,
2019
  November 30,
2020
  November 30,
2019
 
INVESTMENT INCOME            
Interest from investments            
Interest income:            
Non-control/Non-affiliate investments $10,422,586  $9,749,294  $30,585,868  $26,862,643 
Affiliate investments  418,418   356,958   1,204,840   873,816 
Control investments  1,654,359   1,300,923   4,037,915   4,627,395 
Payment-in-kind interest income:                
Non-control/Non-affiliate investments  214,422   198,984   1,125,306   530,728 
Affiliate investments  49,333   42,397   143,574   123,812 
Control investments  44,896   1,250,824   117,449   3,226,060 
Total interest from investments  12,804,014   12,899,380   37,214,952   36,244,454 
Interest from cash and cash equivalents  770   119,539   14,176   316,691 
Management fee income  623,817   629,671   1,883,825   1,888,932 
Structuring and advisory fee income*  545,354   511,500   1,798,660   1,875,225 
Other income*  308,802   35,665   523,862   509,850 
Total investment income  14,282,757   14,195,755   41,435,475   40,835,152 
                 
OPERATING EXPENSES                
Interest and debt financing expenses  3,559,870   3,896,968   9,452,193   11,628,266 
Base management fees  2,324,564   2,146,214   6,694,144   5,955,623 
Incentive management fees expense (benefit)  2,295,000   3,102,139   1,966,367   7,300,794 
Professional fees  502,979   401,010   1,257,420   1,181,010 
Administrator expenses  693,750   556,250   1,852,083   1,575,000 
Insurance  67,010   63,936   202,463   193,174 
Directors fees and expenses  60,000   60,000   195,000   217,500 
General & administrative  278,734   395,024   963,372   1,036,498 
Income tax expense (benefit)  29,748   (1,001,089)  28,304   (1,464,878)
Total operating expenses  9,811,655   9,620,452   22,611,346   27,622,987 
NET INVESTMENT INCOME  4,471,102   4,575,303   18,824,129   13,212,165 
                 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                
Net realized gain (loss) from investments:                
Non-control/Non-affiliate investments  1,798   10,739,678   22,207   12,609,767 
Net realized gain (loss) from investments  1,798   10,739,678   22,207   12,609,767 
Income tax (provision) benefit from realized gain on investments  (3,895,354)  -   (3,895,354)  - 
Net change in unrealized appreciation (depreciation) on investments:                
Non-control/Non-affiliate investments  4,348,888   (4,322,305)  (9,472,477)  (1,563,573)
Affiliate investments  385,414   (41,295)  (1,421,606)  859,953 
Control investments  1,264,528   3,827,449   1,522,945   5,614,471 
Net change in unrealized appreciation (depreciation) on investments  5,998,830   (536,151)  (9,371,138)  4,910,851 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments  (210,057)  (1,061,608)  (58,838)  (1,786,801)
Net realized and unrealized gain (loss) on investments  1,895,217   9,141,919   (13,303,123)  15,733,817 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $6,366,319  $13,717,222  $5,521,006  $28,945,982 
                 
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE $0.57  $1.37  $0.49  $3.33 
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED  11,169,817   10,036,086   11,198,287   8,702,190 

 

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

 

See accompanying notes to consolidated financial statements.

 

2

 

 

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

  For the nine months ended 
  November 30,
2020
  November 30,
2019
 
INCREASE (DECREASE) FROM OPERATIONS:      
Net investment income $18,824,129  $13,212,165 
Net realized gain from investments  22,207   12,609,767 
Income tax (provision) benefit from realized gain on investments  (3,895,354)  - 
Net change in unrealized appreciation (depreciation) on investments  (9,371,138)  4,910,851 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments  (58,838)  (1,786,801)
Net increase (decrease) in net assets resulting from operations  5,521,006   28,945,982 
         
DECREASE FROM SHAREHOLDER DISTRIBUTIONS:        
Total distributions to shareholders  (9,068,484)  (13,835,741)
Net decrease in net assets from shareholder distributions  (9,068,484)  (13,835,741)
         
CAPITAL SHARE TRANSACTIONS:        
Proceeds from issuance of common stock  -   85,228,325 
Stock dividend distribution  1,580,919   2,188,811 
Repurchases of common stock  (2,464,661)  - 
Repurchase fees  (2,743)  - 
Offering costs  -   (1,222,214)
Net increase in net assets from capital share transactions  (886,485)  86,194,922 
Total increase (decrease) in net assets  (4,433,963)  101,305,163 
Net assets at beginning of period  304,286,853   180,875,187 
Net assets at end of period $299,852,890  $282,180,350 

 

See accompanying notes to consolidated financial statements.

 

3

 

 

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

  For the nine months ended 
  November 30,
2020
  November 30,
2019
 
Operating activities      
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $5,521,006  $28,945,982 
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  1,402,751   (3,082,715)
Net accretion of discount on investments  (964,524)  (888,292)
Amortization of deferred debt financing costs  992,592   1,037,764 
Income tax expense (benefit)  28,304   - 
Net realized (gain) loss from investments  (22,207)  (12,609,767)
Net change in unrealized (appreciation) depreciation on investments  9,371,138   (4,910,851)
Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments  58,838   1,786,801 
Proceeds from sales and repayments of investments  50,928,681   97,152,448 
Purchases of investments  (122,027,366)  (160,672,062)
(Increase) decrease in operating assets:        
Interest receivable  618,279   (1,009,242)
Due from affiliate  -   1,673,747 
Management and incentive fee receivable  (12,049)  255,374 
Other assets  (59,043)  826 
Deferred tax asset  -   (1,464,878)
Increase (decrease) in operating liabilities:        
Base management and incentive fees payable  (11,024,296)  3,791,110 
Accounts payable and accrued expenses  (198,572)  (162,098)
Interest and debt fees payable  (1,302,104)  (1,314,274)
Directors fees payable  (17,000)  (60,500)
Due to manager  (265,499)  61,580 
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES  (66,971,071)  (51,469,047)
         
Financing activities        
Borrowings on debt  26,000,000   20,200,000 
Paydowns on debt  -   (20,200,000)
Issuance of notes  48,125,000   - 
Payments of deferred debt financing costs  (2,752,425)  (745,133)
Proceeds from issuance of common stock  -   84,064,237 
Payments of cash dividends  (7,487,565)  (11,646,930)
Repurchases of common stock  (2,464,661)  - 
Repurchases fees  (2,743)  - 
Payments of offering costs  -   (1,184,892)
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES  61,417,606   70,487,282 
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS  (5,553,465)  19,018,235 
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 $33,896,887  $81,112,629 
         
Supplemental information:        
Interest paid during the period $9,761,705  $11,904,776 
Cash paid for taxes  4,103,200   18,153 
Supplemental non-cash information:        
Payment-in-kind interest income  (1,402,751)  3,082,715 
Net accretion of discount on investments  964,524   888,292 
Amortization of deferred debt financing costs  992,592   1,037,764 
Stock dividend distribution  1,580,919   2,188,811 

 

See accompanying notes to consolidated financial statements.

 

4

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 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 - 152.3% (b)                  
CoConstruct, LLC Construction Management Services First Lien Term Loan
(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024
 7/5/2019 $14,200,000   14,077,075   14,134,680   4.7%
CoConstruct, LLC (j) Construction Management Services Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024
 7/5/2019 $-   -   -   0.0%
    Total Construction Management Services        14,077,075   14,134,680   4.7%
Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009  210,456   1,589,630   392,270   0.1%
    Total Consumer Products        1,589,630   392,270   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   305,911   0.1%
My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017  96,224   -   -   0.0%
    Total Consumer Services        4,867,102   305,911   0.1%
Passageways, Inc. Corporate Governance First Lien Term Loan
(3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023
 7/5/2018 $5,000,000   4,968,225   5,060,000   1.7%
Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023
 1/3/2020 $2,000,000   1,992,775   2,024,000   0.6%
Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018  2,027,205   1,000,000   2,438,010   0.8%
    Total Corporate Governance        7,961,000   9,522,010   3.1%
New England Dental Partners Dental Practice Management First Lien Term Loan
(3M USD LIBOR+8.00%), 8.50% Cash, 11/25/2025
 11/25/2020 $6,555,000   6,489,677   6,489,450   2.2%
New England Dental Partners (j) Dental Practice Management Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 8.50% Cash, 11/25/2025
 11/25/2020 $-   -   -   0.0%
    Total Dental Practice Management        6,489,677   6,489,450   2.2%
PDDS Buyer, LLC Dental Practice Management Software First Lien Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024
 7/15/2019 $14,000,000   13,887,080   13,953,800   4.7%
PDDS Buyer, LLC Dental Practice Management Software Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024
 7/15/2019 $7,000,000   6,933,884   6,976,900   2.3%
PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020  1,755,831   2,000,000   2,000,000   0.7%
    Total Dental Practice Management Software        22,820,964   22,930,700   7.7%

 

See accompanying notes to consolidated financial statements.

5

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
C2 Educational Systems (d) Education Services First Lien Term Loan
(3M USD LIBOR+7.00%), 8.50% Cash, 5/31/2021
 5/31/2017 $16,000,000   15,993,296   12,987,200   4.3%
Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015  750   750,000   789,168   0.3%
Texas Teachers of Tomorrow, LLC (d) Education Services First Lien Term Loan
(3M USD LIBOR+7.25%), 9.75% Cash, 6/28/2024
 6/28/2019 $18,709,024   18,564,444   18,581,803   6.2%
    Total Education Services        35,307,740   32,358,171   10.8%
Destiny Solutions Inc. (d) Education Software First Lien Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 10/24/2024
 5/16/2018 $38,000,000   37,731,402   37,730,200   12.6%
Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018  2,342   2,468,464   3,010,778   1.0%
Identity Automation Systems (d) Education Software First Lien Term Loan
(3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024
 8/25/2014 $17,291,250   17,287,446   17,180,585   5.7%
Identity Automation Systems (h) Education Software Common Stock Class A-2 Units 8/25/2014  232,616   232,616   697,848   0.2%
Identity Automation Systems (h) Education Software Common Stock Class A-1 Units 3/6/2020  43,715   171,571   181,935   0.1%
GoReact Education Software First Lien Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025
 1/17/2020 $5,000,000   4,937,712   5,076,000   1.7%
GoReact (j) Education Software 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 Software First Lien Term Loan
(1M USD LIBOR+8.63%), 9.63% Cash, 9/13/2023
 9/13/2018 $21,070,667   20,954,138   20,735,644   6.9%
    Total Education Software        83,783,349   84,612,990   28.2%
Davisware, LLC Field Service Management First Lien Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024
 9/6/2019 $3,000,000   2,975,581   2,980,500   1.0%
Davisware, LLC (j) Field Service Management Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024
 9/6/2019 $977,790   969,611   971,434   0.3%
    Total Field Service Management        3,945,192   3,951,934   1.3%
GDS Software Holdings, LLC  (h) Financial Services Common Stock Class A Units 8/23/2018  250,000   250,000   424,507   0.1%
    Total Financial Services        250,000   424,507   0.1%
Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016  5,000   500,000   852,968   0.3%
Ohio Medical, LLC Healthcare Products Manufacturing Senior Subordinated Note
12.00% Cash, 6/30/2022
 1/15/2016 $7,300,000   7,285,925   7,300,000   2.4%
    Total Healthcare Products Manufacturing        7,785,925   8,152,968   2.7%
Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018  400,000   400,000   1,443,763   0.5%
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   9,948,656   10,018,000   3.3%
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   3,974,808   4,007,200   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   14,955,975   15,000,000   5.0%
    Total Healthcare Services        29,279,439   30,468,963   10.1%

 

See accompanying notes to consolidated financial statements.

6

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019  2,000,000   2,000,000   2,471,900   0.8%
HemaTerra Holding Company, LLC Healthcare Software First Lien Term Loan
(3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024
 4/15/2019 $6,000,000   5,952,752   6,072,600   2.0%
HemaTerra Holding Company, LLC (d), (j) Healthcare Software Delayed Draw Term Loan
(3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024
 4/15/2019 $12,000,000   11,907,646   12,145,200   4.1%
Procurement Partners, LLC Healthcare Software First Lien Term Loan
(3M USD LIBOR+6.50%), 7.50% Cash, 11/12/2025
 11/12/2020 $8,000,000   7,921,058   7,920,000   2.6%
Procurement Partners, LLC (j) Healthcare Software Delayed Draw Term Loan
(3M USD LIBOR+6.50%), 7.50% Cash, 11/12/2025
 11/12/2020 $-   -   -   0.0%
Procurement Partners Holdings LLC (h) Healthcare Software Class A Units 11/12/2020  300,000   300,000   300,000   0.1%
    Total Healthcare Software        28,081,456   28,909,700   9.6%
Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014  5,081   508,077   138,107   0.0%
Roscoe Medical, Inc. (k) Healthcare Supply Second Lien Term Loan
11.25% Cash, 3/28/2021
 3/26/2014 $4,200,000   4,200,000   4,200,000   1.4%
    Total Healthcare Supply        4,708,077   4,338,107   1.4%
Knowland Group, LLC Hospitality/Hotel Second Lien Term Loan
(3M USD LIBOR+8.00%), 10.00% Cash, 5/9/2024
 11/9/2018 $15,767,918   15,767,918   12,117,645   3.9%
Sceptre Hospitality Resources, LLC Hospitality/Hotel First Lien Term Loan
(1M USD LIBOR+9.00%), 10.00% Cash, 4/27/2025
 4/27/2020 $3,000,000   2,972,698   2,970,000   1.0%
    Total Hospitality/Hotel        18,740,616   15,087,645   4.9%
Granite Comfort, LP HVAC Services and Sales First Lien Term Loan
(1M USD LIBOR+9.00%), 10.00% Cash, 11/16/2025
 11/16/2020 $7,000,000   6,930,701   6,930,000   2.3%
Granite Comfort, LP (j) HVAC Services and Sales Delayed Draw Term Loan
(1M USD LIBOR+9.00%), 10.00% Cash, 11/16/2025
 11/16/2020 $-   -   -   0.0%
    Total HVAC Services and Sales        6,930,701   6,930,000   2.3%
Vector Controls Holding Co., LLC (d) Industrial Products First Lien Term Loan
11.50% (9.75% Cash/1.75% PIK), 3/6/2022
 3/6/2013 $7,590,846   7,590,236   7,544,542   2.5%
Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015  343   -   1,957,083   0.7%
    Total Industrial Products        7,590,236   9,501,625   3.2%
CLEO Communications Holding, LLC (d) IT Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash/2.00% PIK, 3/31/2022
 3/31/2017 $14,003,828   13,991,467   14,136,865   4.7%
CLEO Communications Holding, LLC (d), (j) IT Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash/2.00% PIK, 3/31/2022
 3/31/2017 $20,349,838   20,270,501   20,543,161   6.9%
Erwin, Inc. (d) IT Services Second Lien Term Loan
(3M USD LIBOR+10.75%), 12.75% Cash/1.00% PIK, 8/28/2021
 2/29/2016 $16,172,271   16,143,067   16,172,270   5.4%
LogicMonitor, Inc. IT Services First Lien Term Loan
(3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023
 3/20/2020 $18,000,000   17,889,800   17,847,000   6.0%
    Total IT Services        68,294,835   68,699,296   23.0%
inMotionNow, Inc. Marketing Services First Lien Term Loan
(3M USD LIBOR+7.50), 10.00% Cash, 5/15/2024
 5/15/2019 $12,200,000   12,108,936   12,200,000   4.1%
inMotionNow, Inc. Marketing Services Delayed Draw Term Loan
(3M USD LIBOR+7.50)  10.00% Cash, 5/15/2024
 5/15/2019 $5,000,000   4,957,043   5,000,000   1.7%
    Total Marketing Services        17,065,979   17,200,000   5.8%

 

See accompanying notes to consolidated financial statements.

7

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Omatic Software, LLC Non-profit Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023
 5/29/2018 $5,500,000   5,467,123   5,525,300   1.8%
    Total Non-profit Services        5,467,123   5,525,300   1.8%
Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note
(3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2020
 12/28/2012 $3,300,000   3,300,000   3,278,880   1.1%
Emily Street Enterprises, L.L.C. (h) Office Supplies Warrant Membership Interests
Expires 12/28/2022
 12/28/2012  49,318   400,000   247,814   0.1%
    Total Office Supplies        3,700,000   3,526,694   1.2%
Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2021
 9/21/2016 $18,000,000   17,973,081   17,620,200   5.9%
Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2021
 10/1/2018 $1,500,000   1,495,547   1,468,350   0.5%
    Total Payroll Services        19,468,628   19,088,550   6.4%
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   7,186,815   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 $4,876,322   4,835,575   4,886,075   1.7%
V Rental Holdings LLC (h) Property Management Class A-1 Membership Units 10/8/2019  122,578   365,914   822,228   0.3%
    Total Property Management        12,388,304   12,972,803   4.4%
Buildout, Inc. Real Estate Services First Lien Term Loan
(3M USD LIBOR+7.75%), 9.25% Cash, 7/9/2025
 7/9/2020 $14,000,000   13,867,762   13,860,000   4.6%
Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020  999   999,000   999,000   0.4%
    Total Real Estate Services        14,866,762   14,859,000   5.0%
TMAC Acquisition Co., LLC (k) Restaurant Unsecured Term Loan
8.00% PIK, 9/01/2023
 3/1/2018 $2,261,017   2,261,017   1,984,653   0.7%
    Total Restaurant        2,261,017   1,984,653   0.7%
ArbiterSports, LLC (d) Sports Management First Lien Term Loan
(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025
 2/21/2020 $26,000,000   25,793,049   23,613,200   7.9%
ArbiterSports, LLC (d) Sports Management Delayed Draw Term Loan
(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025
 2/21/2020 $1,000,000   1,000,000   908,200   0.3%
    Total Sports Management        26,793,049   24,521,400   8.3%
Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014  100,000   100,000   693,452   0.2%
    Total Staffing Services        100,000   693,452   0.2%

 

See accompanying notes to consolidated financial statements.

8

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
National Waste Partners (d) Waste Services Second Lien Term Loan
10.00% Cash, 2/13/2022
 2/13/2017 $9,000,000   8,974,579   8,969,400   3.0%
    Total Waste Services        8,974,579   8,969,400   3.0%
Sub Total Non-control/Non-affiliate investments            463,588,455   456,552,179   152.3%
Affiliate investments - 7.1% (b)                      
GreyHeller LLC (f) Cyber Security First Lien Term Loan
(3M USD LIBOR+11.00%), 12.00% Cash, 11/16/2021
 11/17/2016 $7,000,000   6,982,889   6,983,200   2.4%
GreyHeller LLC (d), (f) Cyber Security Delayed Draw Term Loan
(3M USD LIBOR+11.00%), 12.00% Cash, 11/16/2021
 10/19/2020 $2,250,000   2,229,956   2,244,600   0.7%
GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016  850,000   850,000   3,640,200   1.2%
    Total Cyber Security        10,062,845   12,868,000   4.3%
Top Gun Pressure Washing, LLC (f) Facilities Maintenance First Lien Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024
 8/12/2019 $5,000,000   4,959,412   4,644,000   1.5%
Top Gun Pressure Washing, LLC (f), (j) Facilities Maintenance Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024
 8/12/2019 $1,825,000   1,809,473   1,695,060   0.6%
TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019  488,148   488,149   199,100   0.1%
    Total Facilities Maintenance        7,257,034   6,538,160   2.2%
Elyria Foundry Company, L.L.C. (d), (f) Metals Second Lien Term Loan
15.00% PIK, 8/10/2022
 7/30/2010 $1,333,565   1,333,564   1,267,154   0.4%
Elyria Foundry Company, L.L.C. (d), (f), (h) Metals Common Stock 7/30/2010  60,000   9,685,028   730,488   0.2%
    Total Metals        11,018,592   1,997,642   0.6%
Sub Total Affiliate investments            28,338,471   21,403,802   7.1%
Control investments - 23.0% (b)                      
Netreo Holdings, LLC (g) IT Services First Lien Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK,
7/3/2023
 7/3/2018 $5,271,157   5,238,302   5,272,738   1.8%
Netreo Holdings, LLC (g) IT Services Delayed Draw Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK,
7/3/2023
 5/26/2020 $1,217,338   1,206,896   1,217,703   0.4%
Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018  3,150,000   3,150,000   6,365,883   2.2%
    Total IT Services        9,595,198   12,856,324   4.4%
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities
22.02%, 1/20/2030
 1/22/2008 $69,500,000   20,459,805   21,536,355   7.2%
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%), 8.98%, 1/20/2030
 12/14/2018 $2,500,000   2,500,000   2,435,250   0.7%
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%), 10.23%, 1/20/2030
 12/14/2018 $7,500,000   7,500,000   7,327,500   2.4%
Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (a), (g) Structured Finance Securities Unsecured Loan
(3M USD LIBOR+4.46%), 4.69%, 8/20/2021
 2/18/2020 $25,000,000   25,000,000   24,832,092   8.3%
    Total Structured Finance Securities        55,459,805   56,131,197   18.6%
Sub Total Control investments            65,055,003   68,987,521   23.0%
TOTAL INVESTMENTS - 182.4% (b)           $556,981,929  $546,943,502   182.4%

 

See accompanying notes to consolidated financial statements.

9

 

 

  Number of Shares  Cost  Fair Value  % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 11.3% (b)                
U.S. Bank Money Market (l)  33,896,887  $33,896,887  $33,896,887   11.3%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts  33,896,887  $33,896,887  $33,896,887   11.3%

 

(a)Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of November 30, 2020 non-qualifying assets represent 14.1% 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 $299,852,890 as of November 30, 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 22.02% 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 nine months ended November 30, 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. $-  $-  $143,574  $-  $-  $(1,275,722)
GreyHeller LLC  2,227,500   -   701,592   -   -   644,761 
Top Gun Pressure Washing, LLC  1,806,750   -   503,248   -   -   (501,596)
TG Pressure Washing Holdings, LLC  138,148   -   -   -   -   (289,049)
Total $4,219,898  $-  $1,348,414  $-  $-  $(1,421,606)

 

(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 nine months ended November 30, 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  $-  $541,309  $-  $-  $(494,344)
Saratoga Investment Corp. CLO 2013-1, Ltd.  -   -   2,426,007   1,883,825   -   2,039,738 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes  -   -   182,964   -   -   (42,750)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes  -   -   620,508   -   -   (107,250)
Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (j)  22,500,000   -   384,576   -   -   127,551 
Total $23,688,000  $-  $4,155,364  $1,883,825  $-  $1,522,945 

 

(h)Non-income producing at November 30, 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 November 30, 2020. (see Note 8 to the consolidated financial statements).
(k)As of November 30, 2020, the investment was on non-accrual status. The fair value of these investments was approximately $6.2 million, which represented 1.1% 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 November 30, 2020.

 

LIBOR - London Interbank Offered Rate

 

1M USD LIBOR - The 1 month USD LIBOR rate as of November 30, 2020 was 0.15%.

3M USD LIBOR - The 3 month USD LIBOR rate as of November 30, 2020 was 0.23%.

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

 

See accompanying notes to consolidated financial statements.

10

 

  

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)                      
CoConstruct, LLC Construction Management 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) Construction Management Services Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024
 7/5/2019 $-   -   -   0.0%
    Total Construction Management Services        4,161,917   4,284,000   1.4%
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   0.60%
Passageways, Inc. Corporate Governance 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) Corporate Governance 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) Corporate Governance Series A Preferred Stock 7/5/2018  2,027,205   1,000,000   2,042,180   0.8%
    Total Corporate Governance        7,952,215   9,090,480   0.03 
C2 Educational Systems (d) Education Services 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%
Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015  750,000   750,000   703,910   0.2%
Texas Teachers of Tomorrow, LLC (d) Education Services 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 Services        36,215,066   36,365,110   12.0%
Destiny Solutions Inc. (d) Education Software 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) Education Software Limited Partner Interests 5/16/2018  2,342   2,468,464   2,805,839   0.9%
Identity Automation Systems (h) Education Software Common Stock Class A Units 8/25/2014  232,616   232,616   860,269   0.4%
Identity Automation Systems (d) Education Software 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%
EMS LINQ, Inc. Education Software 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 Software 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 Software 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 Software 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%
    Total Education Software        94,574,173   96,054,505   31.6%
Davisware, LLC Field Service Management 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) Field Service Management Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024
 9/6/2019 $-   -   -   0.0%
    Total Field Service Management        2,971,896   2,970,000   1.0%

 

See accompanying notes to consolidated financial statements.

11

 

Company Industry Investment
Interest Rate/
Maturity
 Original
Acquisition
Date
 Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 
GDS Holdings US, Inc. (d) Financial 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) Financial 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) Financial Services Common Stock Class A Units 8/23/2018  250,000   250,000   421,291   0.1%
FMG Suite Holdings, LLC (d) Financial 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%
    Total Financial Services        31,548,531   32,091,291   10.5%
Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016  5,000   500,000   416,550   0.1%
Ohio Medical, LLC Healthcare Products Manufacturing Senior Subordinated Note
12.00% Cash, 7/15/2021
 1/15/2016 $7,300,000   7,274,482   7,300,000   2.4%
    Total Healthcare Products Manufacturing        7,774,482   7,716,550   2.5%
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%
    Total Healthcare Services        28,243,447   28,454,906   9.4%
HemaTerra Holding Company, LLC Healthcare Software 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 Software 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 Software Class D Membership Interests 4/15/2019  2,000,000   2,000,000   2,259,190   0.7%
PDDS Buyer, LLC Healthcare Software 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%
PDDS Buyer, LLC (j) Healthcare Software Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024
 7/15/2019 $-   -   -   0.0%
    Total Healthcare Software        29,745,353   30,763,990   10.1%
Roscoe Medical, Inc. (h) Healthcare Supply Common Stock 3/26/2014  5,081   508,077   -   0.0%
Roscoe Medical, Inc. (k) Healthcare Supply 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 Supply        4,708,077   2,136,960   0.7%
Knowland Group, LLC Hospitality/Hotel 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%
    Total Hospitality/Hotel        15,000,000   14,893,500   4.9%
Vector Controls Holding Co., LLC (d) Industrial Products 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) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015  343   -   2,850,231   0.9%
    Total Industrial Products        7,849,846   10,778,576   3.5%
CLEO Communications Holding, LLC IT 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 IT 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%
Erwin, Inc. (d) IT 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%
    Total IT Services        49,683,238   50,512,348   16.6%
inMotionNow, Inc. Marketing 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) Marketing 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%
    Total Marketing Services        14,075,693   14,200,000   4.1%
Omatic Software, LLC Non-profit 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%

 

See accompanying notes to consolidated financial statements.

12

 

Company Industry Investment
Interest Rate/
Maturity
 Original
Acquisition
Date
 Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Omatic Software, LLC (j) Non-profit Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023
 5/29/2018 $-   -   -   0.0%
    Total Non-profit Services        5,459,192   5,554,999   1.9%
Emily Street Enterprises, L.L.C. Office Supplies 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) Office Supplies Warrant Membership Interests 
Expires 12/28/2022
 12/28/2012  49,318   400,000   499,464   0.2%
    Total Office Supplies        3,699,987   3,799,464   1.3%
Apex Holdings Software Technologies, LLC Payroll 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 Payroll 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%
    Total Payroll Services        19,443,401   19,055,400   6.3%
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%
TMAC Acquisition Co., LLC Restaurant Unsecured Term Loan
8.00% PIK, 9/01/2023
 3/1/2018 $2,261,017   2,261,017   2,140,880   0.7%
    Total Restaurant        2,261,017   2,140,880   0.7%
ArbiterSports, LLC Sports Management 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) Sports Management Delayed Draw Term Loan
(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025
 2/21/2020 $-   -   -   0.0%
    Total Sports Management        25,765,288   25,740,000   8.6%
Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014  100,000   100,000   922,337   0.3%
    Total Staffing Services        100,000   922,337   0.3%
National Waste Partners (d) Waste 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%
    Total Waste Services        8,959,602   9,000,000   3.0%
Sub Total Non-control/Non-affiliate investments            418,006,725   420,442,928   138.2%
Affiliate investments - 6.0% (b)                      
GreyHeller LLC (f) Cyber Security 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) Cyber Security Series A Preferred Units 11/17/2016  850,000   850,000   2,981,503   1.0%
    Total Cyber Security        7,821,109   9,981,503   3.2%
Top Gun Pressure Washing, LLC (f) Facililties Maintenance 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) Facililties Maintenance 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) Facililties Maintenance Preferred Equity 8/12/2019  350,000   350,000   350,000   0.1%
    Total Facililties Maintenance        5,302,729   5,374,500   1.8%
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) IT 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) IT Services Common Stock Class A Unit 7/3/2018  3,150,000   3,150,000   6,762,672   2.3%
    Total IT 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%

 

See accompanying notes to consolidated financial statements. 

13

 

 

Company Industry Investment
Interest Rate/
Maturity
 Original
Acquisition
Date
 Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 
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%

 

*Certain reclassifications have been made to previously reported industry groupings to show results on a consistent basis across periods.
(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 

 

See accompanying notes to consolidated financial statements.

14

 

 

(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.

15

 

 

SARATOGA INVESTMENT CORP. 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 

November 30, 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-PP, 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. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and, which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 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-PP, 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.

 

16

 

 

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 November 30, 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 November 30, 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:

 

  November 30,
2020
  November 30,
2019
 
Cash and cash equivalents $21,060,224  $51,646,844 
Cash and cash equivalents, reserve accounts  12,836,663   29,465,785 
Total cash and cash equivalents and cash and cash equivalents, reserve accounts $33,896,887  $81,112,629 

 

17

 

 

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.

 

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.

 

18

 

 

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 November 30, 2020, certain investments in three portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $6.2 million, or 1.1% 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, prepayment income fees, and origination, monitoring, administration and amendment 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.

 

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.

 

19

 

 

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 and long-term capital gains, 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 November 30, 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.

 

20

 

 

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

 

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. Management does not believe this optional guidance has a material impact on the Company’s consolidated financial statements and disclosures.

 

SEC Rule 12b-2 Update

 

In March 2020, the SEC adopted a final rule under SEC Release No. 34-88365 (the “Final Rule”), amending the accelerated filer and large accelerated filer definitions in Exchange Act Rule 12b-2. The amendments include a provision under which a BDC will be excluded from the “accelerated filer” and “large accelerated filer” definitions if the BDC has (1) a public float of $75 million or more, but less than $700 million, and (2) has annual investment income of less than $100 million. In addition, BDCs are subject to the same transition provisions for accelerated filer and large accelerated filer status as other issuers, but instead substituting investment income for revenue. The amendments will reduce the number of issuers required to comply with the auditor attestation on the internal control over financial reporting requirement provided under Section 404(b) of the Sarbanes-Oxley Act of 2002. The Final Rule applies to annual report filings due on or after April 27, 2020. The Company has assessed the Final Rule, and believes that effective February 28, 2021, it will no longer be an accelerated filer. As a result, the Company will file its Annual Report on Form 10-K for the fiscal year ending February 28, 2021 as a non-accelerated filer.

 

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.

 

21

 

 

Based on the observability of the inputs used in the valuation techniques, the Company is required to provide disclosures on fair value measurements according to the fair value hierarchy. The fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three categories:

 

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

 

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

 

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

 

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

 

The following table presents fair value measurements of investments, by major class, as of November 30, 2020 (dollars in thousands), according to the fair value hierarchy:

 

  Fair Value Measurements 
  Level 1  Level 2  Level 3  Total 
First lien term loans $        -  $        -  $407,699  $407,699 
Second lien term loans  -   -   50,027   50,027 
Unsecured term loans  -   -   26,817   26,817 
Structured finance securities  -   -   31,299   31,299 
Equity interests  -   -   31,102   31,102 
Total $-  $-  $546,944  $546,944 

 

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 

 

22

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 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  625   1,034   -   (3,061)  -   (1,402)
Net accretion of discount on investments  772   193   -   -   -   965 
Net change in unrealized appreciation (depreciation) on investments  (7,915)  (1,770)  (29)  1,890   (1,547)  (9,371)
Purchases  95,891   -   22,500   -   3,636   122,027 
Sales and repayments  (27,929)  (23,000)  -   -   -   (50,929)
Net realized gain (loss) from investments  22   -   -   -   -   22 
Balance as of November 30, 2020 $407,699  $50,027  $26,817  $31,299  $31,102  $546,944 
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 $(7,636) $(1,722) $(29) $1,889  $(1,546) $(9,044)

 

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 nine months ended November 30, 2020.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 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  488   2,716   -   751   (872)  3,083 
Net accretion of discount on investments  641   247   -   -   -   888 
Net change in unrealized appreciation (depreciation) on investments  (672)  350   (27)  (1,773)  7,033   4,911 
Purchases  155,588   -   -   -   5,084   160,672 
Sales and repayments  (56,178)  (28,000)  -   -   (12,975)  (97,153)
Net realized gain (loss) from investments  60   -   -   -   12,550   12,610 
Balance as of November 30, 2019 $302,773  $101,099  $2,073  $34,306  $46,780  $487,031 
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 $(558) $196  $(27) $(1,773) $8,422  $6,260 

 

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 nine months ended November 30, 2019.

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2020 were as follows (dollars in thousands):

 

  Fair Value  Valuation
Technique
 Unobservable
Input
 Range Weighted
Average*
 
First lien term loans    Market Comparables Market Yield (%) 6.4% - 53.9%  11.3% 
  $407,699    EBITDA Multiples (x) 0.0x  0.0x 
Second lien term loans    Market Comparables Market Yield (%) 10.3% - 19.4%  14.1% 
   50,027    EBITDA Multiples (x) 5.0x  5.0x 
Unsecured term loans    Market Comparables Market Yield (%) 22.0% - 25.5%  22.3% 
   26,817    EBITDA Multiples (x) 5.2x  5.2x 
Structured finance securities    Discounted Cash Flow Discount Rate (%) 10.75% - 22.0%  19.0% 
        Recovery Rate (%) 35% - 70%  70.0% 
   31,299    Prepayment Rate (%) 20.0%  20.0% 
Equity interests    Market Comparables EBITDA Multiples (x) 4.0x - 14.0x  9.6x 
   31,102    Revenue Multiples (x) 0.5x - 38.3x  4.9x 
Total $546,944           

 

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

23

 

 

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    Market Comparables Market Yield (%) 7.8% - 12.5%  9.7% 
  $346,233    EBITDA Multiples (x) 0.0x  0.0x 
Second lien term loans    Market Comparables Market Yield (%) 9.5% - 85.1%  13.0% 
   73,570    EBITDA Multiples (x) 5.0x  5.0x 
Unsecured term loans    Market Comparables Market Yield (%) 18.3% - 21.3%  19.8% 
   4,346    EBITDA Multiples (x) 5.2x  5.2x 
Structured finance securities    Discounted Cash Flow Discount Rate (%) 9.25% - 16.00%  14.2% 
        Recovery Rate (%) 35.0% - 70.0%  70.0% 
   32,470    Prepayment Rate (%) 20.0%  20.0% 
Equity interests    Market Comparables EBITDA Multiples (x) 4.0x - 14.0x  6.5x 
   29,013    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 November 30, 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 $412,481   74.1% $407,699   74.5%
Second lien term loans  53,704   9.6   50,027   9.2 
Unsecured term loans  27,261   4.9   26,817   4.9 
Structured finance securities  30,460   5.5   31,299   5.7 
Equity interests  33,076   5.9   31,102   5.7 
Total $556,982   100.0% $546,944   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%

 

24

 

 

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 November 30, 2020. The inputs at November 30, 2020 for the valuation model include:

 

Default rate: 2.0%

 

Recovery rate: 35% -70%

 

Discount rate: 22.0%

 

Prepayment rate: 20.0%

 

Reinvestment rate / price: L+365bps / $99.00

 

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 November 30, 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.

 

25

 

 

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.

 

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 with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd., a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. 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. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and, which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 million.

 

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 November 30, 2020 and November 30, 2019, we accrued management fee income of $0.6  million and $0.6 million, respectively, and interest income of $1.1 million and $1.0 million, respectively, from the Saratoga CLO.

 

For the nine months ended November 30, 2020 and November 30, 2019, we accrued management fee income of $1.9 million and $1.9 million, respectively, and interest income of $2.4 million and $3.2 million, respectively, from the Saratoga CLO.

 

As of November 30, 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 $21.5 million, $2.4 million and $7.3 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 November 30, 2020, Saratoga CLO had investments with a principal balance of $540.0 million and a weighted average spread over LIBOR of 3.9% and had debt with a principal balance of $509.2 million with a weighted average spread over LIBOR of 2.4%. 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 November 30, 2020, the present value of the projected future cash flows of the subordinated notes was approximately $22.0    million, using a 22.0% 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 $65.7 million, management fees of $24.0 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.

 

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2020 (unaudited) and February 29, 2020 and for the three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited).

26

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

  November 30,
2020
  February 29,
2020
 
  (unaudited)    
ASSETS      
Investments at fair value      
Loans at fair value (amortized cost of $531,770,821 and $523,438,207, respectively) $516,568,831  $500,999,677 
Equities at fair value (amortized cost of $141,797 and $2,566,752, respectively)  145,068   257 
Total investments at fair value (amortized cost of $531,912,618 and $526,004,959, respectively)  516,713,899   500,999,934 
Cash and cash equivalents  20,123,980   9,081,041 
Receivable from open trades  1,041,393   10,419,700 
Interest receivable (net of reserve of $63,415 and $307,705, respectively)  1,461,247   1,294,523 
Prepaid expenses and other assets  116,579   84,526 
Total assets $539,457,098  $521,879,724 
         
LIABILITIES        
Interest payable $1,482,511  $2,090,188 
Payable from open trades  18,514,109   36,673,471 
Accrued base management fee  56,851   54,441 
Accrued subordinated management fee  227,405   217,766 
Accounts payable and accrued expenses  189,917   81,822 
Loan payable, related party  25,000,000   2,500,000 
Loan payable, third party  14,161,707   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  (489,414)  (530,448)
Class D-R-2 Deferrable Mezzanine Floating Rate Notes  31,000,000   31,000,000 
Discount on Class D-R-2 Notes  (890,591)  (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  (2,163,235)  (2,340,764)
Subordinated Notes  69,500,000   69,500,000 
Discount on Subordinated Notes  (21,127,928)  (22,899,324)
Total liabilities $574,461,332  $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)  (35,004,484)  (35,102,419)
Total net assets  (35,004,234)  (35,102,169)
Total liabilities and net assets $539,457,098  $521,879,724 

 

27

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Consolidated Statements of Operations

(unaudited)

 

  For the three months ended  For the nine months ended 
  November 30, 2020  November 30, 2019  November 30, 2020  November 30, 2019 
INVESTMENT INCOME            
Total interest from investments $6,646,110.0   8,052,668  $20,297,400  $24,560,867 
Interest from cash and cash equivalents  191   39,788   3,692   73,591 
Other income  174,585   54,333   469,195   235,301 
Total investment income  6,820,886   8,146,789   20,770,287   24,869,759 
EXPENSES                
Interest and debt financing expenses  5,773,135   8,136,345   18,831,060   21,303,661 
Base management fee  124,763   125,934   376,765   377,786 
Subordinated management fee  499,054   503,737   1,507,060   1,511,146 
Professional fees  146,170   37,967   329,442   250,679 
Trustee expenses  54,706   56,810   160,440   194,825 
Other expense  1,935   (1,606)  42,215   42,128 
Total expenses  6,599,763   8,859,187   21,246,982   23,680,225 
NET INVESTMENT INCOME (LOSS)  221,123   (712,398)  (476,695)  1,189,534 
                 
REALIZED AND UNREALIZED LOSS ON INVESTMENTS                
Net realized loss from investments  (3,089,206)  -   (9,231,676)  (2,162,298)
Net change in unrealized depreciation on investments  14,923,956   (7,516,752)  9,806,306   (11,896,807)
Net realized and unrealized gain (loss) on investments  11,834,750.00   (7,516,752)  574,630   (14,059,105)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $12,055,873  $(8,229,150) $97,935  $(12,869,571)

 

28

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd. 

Schedule of Investments 

November 30, 2020

(unaudited)

 

Issuer Name Industry Asset Name Asset
Type
 Reference Rate/Spread  LIBOR Floor  Current Rate (All In)  Maturity Date  Principal/
Number of Shares
  Cost  Fair Value 
J Jill Common Stock Retail Common Stock Equity -  0.00%  0.00%  0.00%  -   5,085  $-  $18,344 
McDermott International (Americas) Inc. Construction & Building McDermott International - Class A C/S (07/20) Equity -  0.00%  0.00%  0.00%  -   141,797   141,797   126,724 
1011778 B.C. Unlimited Liability Company Beverage Food & Tobacco Term Loan B4 Loan  1M USD LIBOR+  1.75%  0.00%  1.90%  11/19/2026  $1,488,750   1,449,552   1,445,487 
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   2,065,788   2,050,427   1,817,893 
ADMI Corp. Services: Consumer Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  2.90%  4/30/2025   1,955,276   1,948,516   1,882,305 
Advisor Group Holdings Inc Banking Finance Insurance & Real Estate Term Loan (7/19) Loan 1M USD LIBOR+  5.00%  0.00%  5.15%  7/31/2026   496,250   495,154   477,780 
Aegis Toxicology Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  5.50%  1.00%  6.50%  5/9/2025   3,920,000   3,893,791   3,170,300 
Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  1/5/2026   492,500   492,500   485,113 
Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (09/20) Loan 1M USD LIBOR+  3.00%  0.75%  3.75%  1/5/2026   500,000   495,101   496,250 
Ahead DB Holdings LLC Services: Business Term Loan (10/20) Loan 3M USD LIBOR+  5.00%  1.00%  6.00%  10/13/2027   3,000,000   2,881,426   2,887,500 
AI Convoy (Luxembourg) USD T/L B Aerospace & Defense   Loan 6M USD LIBOR+  3.50%  1.00%  4.50%  1/15/2027   1,492,500   1,485,717   1,485,978 
AI Mistral (Luxembourg) Subco Sarl High Tech Industries Term Loan Loan 1M USD LIBOR+  3.00%  1.00%  4.00%  3/11/2024   482,500   482,500   388,813 
AIS Holdco LLC Services: Business Term Loan Loan 3M USD LIBOR+  5.00%  0.00%  5.23%  8/15/2025   4,275,000   4,128,561   3,975,750 
Alchemy Copyrights LLC Media: Diversified & Production Term Loan B Loan 1M USD LIBOR+  3.25%  0.75%  4.00%  8/16/2027   500,000   496,407   498,750 
Alchemy US Holdco 1 LLC Metals & Mining Term Loan Loan 1M USD LIBOR+  5.50%  0.00%  5.65%  10/10/2025   1,912,500   1,891,043   1,812,094 
Alion Science and Technology Corporation Aerospace & Defense Term Loan 7/20 Loan 2M USD LIBOR+  3.75%  1.00%  4.75%  7/23/2024   4,000,000   3,982,859   3,995,000 
Allen Media T/L B (1/20) Media: Advertising Printing & Publishing Term Loan B (1/20) Loan 3M USD LIBOR+  5.50%  0.00%  5.74%  2/10/2027   2,984,527   2,971,053   2,950,951 
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   1,280,251   1,274,721   928,182 
Altra Industrial Motion Corp. Capital Equipment Term Loan Loan 1M USD LIBOR+  2.00%  0.00%  2.15%  10/1/2025   1,582,088   1,579,199   1,554,402 
American Greetings Corporation Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  4/5/2024   4,595,528   4,592,871   4,526,595 
Amerilife Holdings LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  0.00%  4.15%  3/18/2027   1,496,383   1,487,246   1,458,973 
Amynta Agency Borrower Inc. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.50%  0.00%  4.65%  2/28/2025   3,436,000   3,404,374   3,267,052 
Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+  3.75%  0.00%  3.98%  8/11/2025   980,000   976,431   475,457 
Anchor Glass Container Corporation Containers Packaging & Glass Term Loan (07/17) Loan 1M USD LIBOR+  2.75%  1.00%  3.75%  12/7/2023   481,331   480,127   379,198 

 

29

 

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 
Anchor Packaging Inc. Containers Packaging & Glass Term Loan B Loan 1M USD LIBOR+  3.75%  0.00%  3.90%  7/20/2026   1,000,000   990,000   992,500 
Api Group DE Inc Services: Business Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  10/1/2026   992,500   988,113   975,131 
APLP Holdings T/L B (01/20) Utilities Term Loan B (01/20) Loan 1M USD LIBOR+  2.50%  1.00%  3.50%  4/11/2025   1,715,789   1,715,789   1,707,742 
Aramark Services Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  1/15/2027   2,487,500   2,404,586   2,407,278 
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   3,335,582   2,881,128 
Aretec Group Inc. Banking Finance Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  10/1/2025   1,965,000   1,961,394   1,866,750 
Aristocrat International PTY Ltd Hotel Gaming & Leisure Term Loan (5/20) Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  10/21/2024   997,500   979,557   998,438 
ASG Technologies Group Inc. High Tech Industries Term Loan Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  7/31/2024   462,646   461,303   447,175 
Asplundh Tree Expert LLC Services: Business Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  9/7/2027   1,000,000   995,111   1,000,890 
AssetMark Financial Holdings Inc. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  11/14/2025   2,237,500   2,235,829   2,231,906 
Asurion LLC Banking Finance Insurance & Real Estate Term Loan B-4 (Replacement) Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  8/4/2022   865,408   863,813   861,081 
Asurion LLC Banking Finance Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  11/3/2023   488,886   486,509   483,489 
Athenahealth Inc. Healthcare & Pharmaceuticals Term Loan B Loan 3M USD LIBOR+  4.50%  0.00%  4.73%  2/11/2026   1,970,000   1,939,279   1,955,225 
Avaya Inc. Telecommunications Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  12/16/2024   1,413,390   1,397,010   1,410,916 
Avaya Inc. Telecommunications Term Loan B1 Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  12/15/2027   1,755,766   1,745,581   1,731,993 
Avison Young (Canada) Inc. Services: Business Term Loan Loan 3M USD LIBOR+  5.00%  0.00%  5.23%  1/30/2026   3,449,887   3,399,338   3,311,891 
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   861,993   979,690 
Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan (11/20) Loan 3M USD LIBOR+  2.50%  0.75%  3.25%  12/31/2027   500,000   495,000   496,750 
Azalea TopCo Inc. Services: Business Incremental Term Loan Loan 3M USD LIBOR+  4.00%  0.75%  4.75%  7/24/2026   500,000   495,091   493,750 
B&G Foods Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  10/10/2026   206,458   205,571   205,426 
Baldwin Risk Partners LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  0.75%  4.75%  10/8/2027   1,000,000   985,182   995,000 
Ball Metalpack Finco LLC Containers Packaging & Glass Term Loan Loan 3M USD LIBOR+  4.50%  0.00%  4.73%  7/31/2025   3,914,900   3,900,699   3,780,345 
Berry Global Inc. Chemicals Plastics & Rubber Term Loan Y Loan 1M USD LIBOR+  2.00%  0.00%  2.15%  7/1/2026   4,949,906   4,944,854   4,858,234 
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   1,498,750   1,487,375   1,491,256 
Blount International Inc. Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  4/12/2023   3,427,550   3,425,369   3,428,990 
Blucora Inc. Services: Consumer Term Loan (11/17) Loan 6M USD LIBOR+  4.00%  1.00%  5.00%  5/22/2024   2,453,199   2,444,845   2,416,401 
Bombardier Recreational Products Inc. Consumer goods: Durable Term Loan (1/20) Loan 1M USD LIBOR+  2.00%  0.00%  2.15%  5/24/2027   987,538   979,627   956,983 
Bracket Intermediate Holding Corp. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  4.25%  0.00%  4.48%  9/5/2025   980,000   976,452   964,692 
Broadstreet Partners Inc. Banking Finance Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+  3.25%  0.00%  3.40%  1/27/2027   2,014,491   2,012,881   1,955,728 
Brookfield Property REIT Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  8/27/2025   3,979,695   3,171,065   3,656,344 
Brookfield WEC Holdings Inc. Energy: Electricity Term Loan 1/20 Loan 1M USD LIBOR+  3.00%  0.75%  3.75%  8/1/2025   493,719   492,757   488,549 
Buckeye Partners L.P. Utilities: Oil & Gas Term Loan Loan 1M USD LIBOR+  2.75%  0.00%  2.90%  11/2/2026   1,995,000   1,979,702   1,976,546 
BW Gas & Convenience Holdings LLC Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+  6.25%  0.00%  6.40%  11/18/2024   2,230,357   2,156,348   2,229,420 

 

30

 

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 
Calceus Acquisition Inc. Consumer goods: Non-durable Term Loan B Loan 3M USD LIBOR+  5.50%  0.00%  5.73%  2/12/2025   956,250   948,027   908,438 
Callaway Golf Company Retail Term Loan B Loan 1M USD LIBOR+  4.50%  0.00%  4.65%  1/2/2026   691,875   680,665   691,584 
Cardtronics USA Inc Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  1.00%  5.00%  6/29/2027   1,498,750   1,492,891   1,495,468 
CareerBuilder LLC Services: Business Term Loan Loan 3M USD LIBOR+  6.75%  1.00%  7.75%  7/31/2023   3,393,388   3,215,856   3,059,716 
Casa Systems Inc. Telecommunications Term Loan Loan 6M USD LIBOR+  4.00%  1.00%  5.00%  12/20/2023   1,443,750   1,436,852   1,382,838 
Castle US Holding Corporation Media: Advertising Printing & Publishing Term Loan B (USD) Loan 3M USD LIBOR+  3.75%  0.00%  3.98%  1/29/2027   497,917   495,740   479,947 
CCS-CMGC Holdings Inc. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  5.50%  0.00%  5.73%  10/1/2025   2,456,250   2,437,583   2,329,336 
Cengage Learning Inc. Media: Advertising Printing & Publishing Term Loan Loan 6M USD LIBOR+  4.25%  1.00%  5.25%  6/7/2023   1,436,209   1,426,740   1,332,687 
CenturyLink Inc. Telecommunications Term Loan B (1/20) Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  3/15/2027   2,977,500   2,974,403   2,908,333 
Chemours Company The Chemicals Plastics & Rubber Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  4/3/2025   992,366   939,564   968,381 
Citadel Securities LP Banking Finance Insurance & Real Estate Term Loan (2/20) Loan 1M USD LIBOR+  2.75%  0.00%  2.90%  2/27/2026   3,985,056   3,961,875   3,967,642 
Clarios Global LP Automotive Term Loan B Loan 1M USD LIBOR+  3.50%  0.00%  3.65%  4/30/2026   1,458,214   1,445,963   1,441,022 
Claros Mortgage Trust Inc Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.25%  1.00%  4.25%  8/10/2026   1,000,000   973,750   978,750 
CNT Holdings I Corp Retail Term Loan Loan 6M USD LIBOR+  3.75%  0.75%  4.50%  11/8/2027   500,000   497,519   495,355 
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   1,863,647   1,859,980   1,843,855 
Concordia International Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  5.50%  1.00%  6.50%  9/6/2024   1,165,440   1,121,243   1,128,810 
Connect U.S. Finco LLC Telecommunications Term Loan B Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  12/11/2026   2,985,000   2,833,008   2,976,911 
Consolidated Communications Inc. Telecommunications Term Loan B (10/20) Loan 1M USD LIBOR+  4.75%  1.00%  5.75%  10/4/2027   1,000,000   985,197   999,130 
Coral-US Co-Borrower LLC Telecommunications Term Loan B-5 Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  1/31/2028   2,000,000   2,000,000   1,955,000 
CoreCivic Inc. Banking Finance Insurance & Real Estate Term Loan (12/19) Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  12/12/2024   3,500,000   3,447,500   3,395,000 
Covia Holdings Corporation (b) Metals & Mining Term Loan Loan Prime+  5.00%  1.00%  6.00%  6/2/2025   982,500   982,500   785,823 
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   1,430,314   1,305,374 
CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  7/17/2025   1,959,391   1,940,157   1,907,604 
CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  1/15/2026   491,250   490,363   477,844 
CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B-5 Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  4/15/2027   496,250   496,250   484,196 
Cushman & Wakefield U.S. Borrower LLC Construction & Building Term Loan Loan 1M USD LIBOR+  2.75%  0.00%  2.90%  8/21/2025   3,925,325   3,911,009   3,797,752 
Daseke Companies Inc. Transportation: Cargo Replacement Term Loan Loan 1M USD LIBOR+  5.00%  1.00%  6.00%  2/27/2024   1,940,727   1,933,434   1,921,320 
Dealer Tire T/L B-1 Automotive Term Loan B-1 Loan 1M USD LIBOR+  4.25%  0.00%  4.41%  12/12/2025   2,977,500   2,970,861   2,947,725 
Delek US Holdings Inc. Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  3/31/2025   6,397,012   6,339,615   5,975,193 
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   3,776,190   3,772,472   3,767,392 
Delta 2 (Lux) SARL Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+  2.50%  1.00%  3.50%  2/1/2024   818,289   817,451   795,328 
Delta Air Lines Inc. Transportation: Consumer Term Loan B (4/20) Loan 3M USD LIBOR+  4.75%  1.00%  5.75%  5/1/2023   2,249,375   2,245,677   2,270,924 
DHX Media Ltd. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  4.25%  1.00%  5.25%  12/29/2023   279,282   278,253   271,602 

 

31

 

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 
Diamond Sports Group LLC Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  3.25%  0.00%  3.40%  8/24/2026   3,452,563   2,901,175   2,865,627 
Digital Room Holdings Inc. Media: Advertising Printing & Publishing Term Loan Loan 6M USD LIBOR+  5.00%  0.00%  5.26%  5/21/2026   2,962,500   2,930,017   2,714,391 
Dole Food Company Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+  2.75%  1.00%  3.75%  4/8/2024   459,375   458,214   454,717 
DRW Holdings LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  11/27/2026   5,962,500   5,911,294   5,873,063 
Eagletree-Carbide Acquisition Corp. Consumer goods: Durable Eagletree-Carbide T/L (Corsair Components) Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  8/28/2024   2,192,140   2,184,935   2,183,919 
EIG Investors Corp. High Tech Industries Term Loan (06/18) Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  2/9/2023   2,161,472   2,151,966   2,157,235 
Encapsys LLC Chemicals Plastics & Rubber Term Loan B2 Loan 1M USD LIBOR+  3.25%  1.00%  4.25%  11/7/2024   493,570   489,678   488,634 
Endo Luxembourg Finance Company I S.a.r.l. Healthcare & Pharmaceuticals Term Loan B (4/17) Loan 3M USD LIBOR+  4.25%  0.75%  5.00%  4/29/2024   3,906,740   3,888,518   3,784,655 
Energy Acquisition LP Capital Equipment Term Loan (6/18) Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  6/26/2025   1,955,000   1,949,825   1,856,429 
Envision Healthcare Corporation Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+  3.75%  0.00%  3.90%  10/10/2025   4,912,500   4,903,992   3,991,947 
EyeCare Partners DD T/L (a) Healthcare & Pharmaceuticals Unfunded Commitment Loan 6M USD LIBOR+  3.75%  0.00%  3.75%  2/18/2027   32,432   32,432   16,083 
EyeCare Partners T/L B Healthcare & Pharmaceuticals EyeCare Partners T/L B Loan 6M USD LIBOR+  3.75%  0.00%  4.06%  2/18/2027   1,613,514   1,612,025   1,543,794 
FinCo I LLC Banking Finance Insurance & Real Estate Term Loan B (9/20) Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  6/27/2025   826,839   825,204   817,537 
First Brands Group LLC Automotive Term Loan B-3 Loan 3M USD LIBOR+  7.50%  1.00%  8.50%  2/2/2024   5,102,673   4,986,035   5,086,753 
First Eagle Holdings Inc. Banking Finance Insurance & Real Estate Refinancing Term Loan Loan 3M USD LIBOR+  2.50%  0.00%  2.73%  2/1/2027   5,409,125   5,388,372   5,291,639 
Fitness International LLC Services: Consumer Term Loan B (4/18) Loan 3M USD LIBOR+  3.25%  0.00%  3.48%  4/18/2025   1,330,058   1,323,836   1,115,028 
Franklin Square Holdings L.P. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  8/1/2025   4,409,994   4,384,204   4,299,744 
Froneri US Inc. Beverage Food & Tobacco Term Loan B-2 Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  1/29/2027   1,995,000   1,990,637   1,945,444 
Fusion Connect Inc. Telecommunications Take Back 2nd Out Term Loan Loan 3M USD LIBOR+  1.00%  2.00%  3.00%  7/14/2025   798,815   780,801   319,526 
GBT Group Services B.V. Hotel Gaming & Leisure Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  8/13/2025   4,410,000   4,409,116   4,128,863 
General Nutrition Centers Inc. (b) Retail Term Loan B2 Loan 6M USD LIBOR+  6.00%  0.75%  6.75%  3/4/2021   389,896   389,896   301,000 
Genesee & Wyoming Inc. Transportation: Cargo Term Loan (11/19) Loan 3M USD LIBOR+  2.00%  0.00%  2.23%  12/30/2026   1,492,500   1,486,008   1,480,381 
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   3,974,267   3,653,766   3,540,952 
GI Chill Acquisition LLC Services: Business Term Loan Loan 3M USD LIBOR+  4.00%  0.00%  4.23%  8/6/2025   2,450,000   2,440,947   2,404,063 
Gigamon Inc. Services: Business Term Loan B Loan 6M USD LIBOR+  4.25%  1.00%  5.25%  12/27/2024   2,937,800   2,918,957   2,904,750 
Global Tel*Link Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  11/28/2025   5,012,922   4,766,294   4,470,574 
Go Wireless Inc. Telecommunications Term Loan Loan 1M USD LIBOR+  6.50%  1.00%  7.50%  12/22/2024   3,069,156   3,034,740   3,011,609 
Goodyear Tire & Rubber Company The Chemicals Plastics & Rubber Second Lien Term Loan Loan 1M USD LIBOR+  0.00%  0.00%  0.00%  3/7/2025   3,000,000   2,929,942   2,925,000 
Graham Packaging Company Inc Containers Packaging & Glass Initial Term Loan Loan 1M USD LIBOR+  3.75%  0.75%  4.50%  8/4/2027   1,000,000   992,806   998,380 
Greenhill & Co. Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.25%  0.00%  3.40%  4/12/2024   3,628,846   3,598,386   3,574,413 

 

32

 

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 
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   1,660,340   1,658,009   1,652,553 
Guidehouse LLP Aerospace & Defense Term Loan Loan 1M USD LIBOR+  4.50%  0.00%  4.65%  5/1/2025   3,934,746   3,914,971   3,908,934 
Harbor Freight Tools USA Inc. Retail Term Loan B (10/20) Loan 1M USD LIBOR+  3.25%  0.75%  4.00%  10/19/2027   3,000,000   2,974,082   2,976,150 
Harland Clarke Holdings Corp. Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+  4.75%  1.00%  5.75%  11/3/2023   1,640,442   1,634,865   1,409,615 
Helix Acquisition Holdings Inc. Capital Equipment Term Loan (2019 Incremental) Loan 3M USD LIBOR+  3.75%  0.00%  3.98%  9/30/2024   2,842,097   2,799,574   2,660,914 
Helix Gen Funding LLC Energy: Electricity Term Loan B (02/17) Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  6/3/2024   244,627   244,376   242,256 
HLF Financing SaRL LLC Consumer goods: Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+  2.75%  0.00%  2.90%  8/18/2025   3,920,000   3,907,099   3,899,185 
Holley Purchaser Inc. Automotive Term Loan B Loan 3M USD LIBOR+  5.00%  0.00%  5.23%  10/24/2025   2,456,250   2,438,060   2,367,211 
Hudson River Trading LLC Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  2/18/2027   5,955,000   5,934,142   5,899,202 
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   1,696,696   1,689,952   1,677,608 
ICH US Intermediate Holdings II Inc. Healthcare & Pharmaceuticals Term Loan B Loan 6M USD LIBOR+  5.75%  1.00%  6.75%  12/24/2026   4,812,500   4,639,656   4,812,500 
Idera Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+  4.00%  1.00%  5.00%  6/28/2024   3,906,897   3,895,231   3,880,838 
Inmar Inc. Services: Business Term Loan B Loan 3M USD LIBOR+  4.00%  1.00%  5.00%  5/1/2024   3,430,451   3,364,343   3,306,646 
Innophos Holdings Inc. Chemicals Plastics & Rubber Term Loan B Loan 1M USD LIBOR+  3.50%  0.00%  3.65%  2/5/2027   497,500   495,259   493,147 
Intrado Corporation Telecommunications Term Loan B (Olympus Merger) Loan 3M USD LIBOR+  4.00%  1.00%  5.00%  10/10/2024   1,227,904   1,165,633   1,166,362 
Intrado Corporation Telecommunications Term Loan B Loan 3M USD LIBOR+  3.50%  1.00%  4.50%  10/10/2024   2,938,625   2,878,000   2,776,530 
ION Media Networks Inc. Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  12/18/2024   2,987,481   2,942,872   2,970,691 
Isagenix International LLC Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+  5.75%  1.00%  6.75%  6/16/2025   2,671,340   2,632,565   1,471,454 
Jane Street Group LLC Banking Finance Insurance & Real Estate Term Loan B (1/20) Loan 3M USD LIBOR+  3.00%  0.00%  3.23%  1/31/2025   1,994,987   1,967,847   1,979,526 
Jefferies Finance LLC / JFIN Co-Issuer Corp Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  6/3/2026   3,204,956   3,189,146   3,142,203 
Jill Acquisition LLC Retail Priming Term Loan Loan 6M USD LIBOR+  5.00%  1.00%  6.00%  5/8/2024   1,784,383   1,781,768   1,213,381 
JP Intermediate B LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+  5.50%  1.00%  6.50%  11/20/2025   4,491,342   4,451,315   3,963,609 
KAR Auction Services Inc. Automotive Term Loan B (09/19) Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  9/21/2026   247,500   246,987   241,313 
Kindred Healthcare Inc. Healthcare & Pharmaceuticals Term Loan (6/18) Loan 1M USD LIBOR+  5.00%  0.00%  5.15%  7/2/2025   1,984,810   1,967,031   1,979,848 
KREF Holdings X LLC Banking Finance Insurance & Real Estate Term Loan Loan 3M USD LIBOR+  4.75%  1.00%  5.75%  9/1/2027   500,000   487,836   497,500 
Lakeland Tours LLC Hotel Gaming & Leisure Term Loan B Loan 3M USD LIBOR+  4.25%  1.00%  5.25%  12/16/2024   1,872,440   1,867,419   748,976 
Lakeland Tours LLC Hotel Gaming & Leisure Roll Up DIP Term Loan Loan 3M USD LIBOR+  1.50%  1.25%  2.75%  1/20/2021   572,536   572,217   458,028 
Lakeland Tours LLC Hotel Gaming & Leisure Priority Exit PIK Term Loan (9/20) Loan 1M USD LIBOR+  6.00%  1.25%  7.25%  9/25/2023   302,753   292,230   290,643 
Lealand Finance Company B.V. Energy: Oil & Gas Exit Term Loan Loan 1M USD LIBOR+  1.00%  0.00%  1.15%  6/30/2025   322,313   322,313   212,727 
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   481,250   480,118   408,610 
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   2,874,127   2,825,734 

 

33

 

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 
Lightstone Holdco LLC Energy: Electricity Term Loan B Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  1/30/2024   1,322,520   1,321,010   1,191,921 
Lightstone Holdco LLC Energy: Electricity Term Loan C Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  1/30/2024   74,592   74,511   67,226 
Lindblad Expeditions Inc. Hotel Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  3/27/2025   392,565   391,927   365,086 
Lindblad Expeditions Inc. Hotel Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  3/27/2025   98,141   97,982   91,271 
Liquidnet Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 6M USD LIBOR+  3.25%  1.00%  4.25%  7/15/2024   2,003,392   1,999,416   1,983,358 
LogMeIn Inc. High Tech Industries Term Loan (8/20) Loan 1M USD LIBOR+  4.75%  0.00%  4.90%  8/31/2027   3,000,000   2,932,743   2,962,500 
LPL Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B1 Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  11/11/2026   1,235,873   1,233,250   1,212,318 
MA FinanceCo. LLC High Tech Industries Term Loan B4 Loan 3M USD LIBOR+  4.25%  1.00%  5.25%  6/5/2025   2,490,625   2,481,708   2,486,466 
Marriott Ownership Resorts Inc. Hotel Gaming & Leisure Term Loan (11/19) Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  8/29/2025   1,488,750   1,488,750   1,440,827 
Match Group Inc. Services: Consumer Term Loan (1/20) Loan 3M USD LIBOR+  1.75%  0.00%  1.98%  2/15/2027   250,000   249,453   245,833 
McAfee LLC Services: Business Term Loan B Loan 1M USD LIBOR+  3.75%  0.00%  3.90%  9/30/2024   2,145,575   2,137,577   2,139,417 
McGraw-Hill Global Education Holdings LLC Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+  4.00%  1.00%  5.00%  5/4/2022   2,918,194   2,674,102   2,751,011 
Meredith Corporation Media: Advertising Printing & Publishing Term Loan B2 Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  1/31/2025   578,738   577,867   567,886 
Messer Industries GMBH Chemicals Plastics & Rubber Term Loan B Loan 3M USD LIBOR+  2.50%  0.00%  2.73%  3/2/2026   3,955,000   3,932,723   3,894,093 
Michaels Stores Inc. Retail Term Loan B (9/20) Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  10/1/2027   2,577,875   2,571,175   2,534,051 
Midwest Physician Administrative Services LLC Healthcare & Pharmaceuticals Term Loan (2/18) Loan 1M USD LIBOR+  2.75%  0.75%  3.50%  8/15/2024   963,479   960,461   948,228 
Milk Specialties Company Beverage Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+  4.00%  1.00%  5.00%  8/16/2023   3,841,318   3,800,635   3,785,311 
Mitchell International Inc. Banking Finance Insurance & Real Estate Term Loan (7/20) Loan 1M USD LIBOR+  4.25%  0.50%  4.75%  11/29/2024   1,000,000   943,651   983,440 
MKS Instruments Inc. High Tech Industries Term Loan B6 Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  2/2/2026   880,339   873,475   867,962 
MLN US HoldCo LLC Telecommunications Term Loan Loan 1M USD LIBOR+  4.50%  0.00%  4.65%  11/28/2025   982,500   980,984   855,080 
MRC Global (US) Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  9/20/2024   486,221   485,447   459,479 
Natgasoline LLC Chemicals Plastics & Rubber Term Loan Loan 6M USD LIBOR+  3.50%  0.00%  3.76%  11/14/2025   1,491,250   1,459,645   1,435,328 
National Mentor Holdings Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  3/9/2026   1,885,456   1,870,141   1,867,959 
National Mentor Holdings Inc. Healthcare & Pharmaceuticals Term Loan C Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  3/9/2026   86,065   85,383   85,266 
NeuStar Inc. Telecommunications Term Loan B4 (03/18) Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  8/8/2024   2,641,566   2,609,026   2,514,110 
NeuStar Inc. Telecommunications Term Loan B-5 Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  8/8/2024   885,162   872,332   848,207 
Nexstar Broadcasting Inc. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  2.75%  0.00%  2.90%  9/18/2026   1,113,795   1,100,547   1,099,316 
NorthPole Newco S.a r.l Aerospace & Defense Term Loan Loan 3M USD LIBOR+  7.00%  0.00%  7.23%  3/3/2025   4,625,000   4,250,051   4,159,633 
Novetta Solutions LLC Aerospace & Defense Term Loan Loan 3M USD LIBOR+  5.00%  1.00%  6.00%  10/17/2022   1,904,870   1,898,604   1,863,210 
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   995,232   965,000 
NPC International Inc. (b) Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+  3.50%  1.00%  4.50%  4/19/2024   487,500   487,124   457,182 
Octave Music Group Inc. The Services: Business Term Loan B Loan 1M USD LIBOR+  5.25%  1.00%  6.25%  5/29/2025   3,931,034   3,895,765   3,420,000 
Onex Carestream Finance LP Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  6.75%  1.00%  7.75%  5/8/2023   2,358,581   2,353,833   2,287,824 
Owens & Minor Distribution Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  4.50%  0.00%  4.65%  4/30/2025   488,750   481,954   481,951 

 

34

 

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 
PAE Incorporated Aerospace & Defense Term Loan B (10/20) Loan 3M USD LIBOR+  4.50%  0.75%  5.25%  10/14/2027   2,000,000   1,970,258   1,986,660 
Pathway Vet Alliance LLC Services: Business Term Loan (3/20) Loan 1M USD LIBOR+  4.00%  0.00%  4.15%  3/31/2027   460,106   449,175   453,586 
Pathway Vet Alliance LLC (a) Services: Business Delayed Draw Term Loan (3/20) Loan 1M USD LIBOR+  4.00%  0.00%  4.15%  3/31/2027   16,112   16,112   15,579 
Patriot Container Corp. Environmental Industries Term Loan (3/18) Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  3/20/2025   496,183   494,036   483,158 
PCI Gaming Authority Hotel Gaming & Leisure Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  5/29/2026   878,269   874,562   859,404 
Penn National Gaming Inc. Hotel Gaming & Leisure Term Loan B-1 Loan 1M USD LIBOR+  2.25%  0.75%  3.00%  10/15/2025   1,788,056   1,724,458   1,756,765 
Peraton Corp. Aerospace & Defense Term Loan Loan 2M USD LIBOR+  5.25%  1.00%  6.25%  4/29/2024   1,431,200   1,431,200   1,426,734 
PG&E Corporation Utilities: Electric Term Loan Loan 3M USD LIBOR+  4.50%  1.00%  5.50%  6/23/2025   1,498,750   1,490,608   1,508,117 
PGX Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+  5.25%  1.00%  6.25%  9/29/2023   3,124,095   3,100,486   2,907,377 
PI UK Holdco II Limited Services: Business Term Loan B1 (PI UK Holdco II) Loan 3M USD LIBOR+  3.50%  1.00%  4.50%  1/3/2025   1,462,500   1,456,844   1,441,542 
Pitney Bowes Inc. Services: Business Term Loan B Loan 1M USD LIBOR+  5.50%  0.00%  5.65%  1/7/2025   2,925,000   2,645,690   2,884,781 
Pixelle Specialty Solutions LLC Forest Products & Paper Term Loan Loan 1M USD LIBOR+  6.50%  1.00%  7.50%  10/31/2024   3,962,121   3,931,283   3,946,035 
Plastipak Packaging Inc. Containers Packaging & Glass Term Loan B (04/18) Loan 1M USD LIBOR+  2.50%  0.00%  2.65%  10/15/2024   2,944,583   2,924,426   2,899,796 
Playtika Holding Corp. High Tech Industries Trm Loan B (12/19) Loan 6M USD LIBOR+  6.00%  1.00%  7.00%  12/10/2024   2,875,316   2,826,817   2,886,415 
Polymer Process Holdings Inc Containers Packaging & Glass Term Loan Loan 1M USD LIBOR+  6.00%  0.00%  6.15%  4/30/2026   2,962,500   2,913,635   2,918,063 
Premier Dental Services Inc. Retail Term Loan (12/18) Loan 3M USD LIBOR+  5.25%  1.00%  6.25%  6/30/2023   425,117   425,604   392,523 
Pre-Paid Legal Services Inc. Services: Business Incremental Term Loan Loan 1M USD LIBOR+  4.00%  0.75%  4.75%  5/1/2025   1,000,000   985,455   985,420 
Presidio Holdings Inc. Services: Business Term Loan B (1/20) Loan 3M USD LIBOR+  3.50%  0.00%  3.73%  1/22/2027   498,750   497,691   492,206 
Prime Security Services Borrower LLC Services: Consumer Term Loan (Protection One/ADT) Loan 9M USD LIBOR+  3.25%  1.00%  4.25%  9/23/2026   3,970,000   3,951,407   3,945,187 
Priority Payment Systems Holdings LLC High Tech Industries Term Loan Loan 1M USD LIBOR+  6.50%  1.00%  7.50%  1/3/2023   1,696,126   1,690,596   1,645,243 
Prometric Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+  3.00%  1.00%  4.00%  1/29/2025   487,575   486,008   465,839 
Pug LLC Services: Consumer Term Loan B (02/20) Loan 1M USD LIBOR+  3.50%  0.00%  3.65%  2/12/2027   491,263   489,016   458,716 
Rackspace Hosting Inc. High Tech Industries Term Loan B Loan 3M USD LIBOR+  3.00%  1.00%  4.00%  11/3/2023   469,851   467,011   466,548 
Radiology Partners Inc. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  4.25%  0.00%  4.48%  7/9/2025   1,432,727   1,427,203   1,378,699 
Redstone Buyer LLC High Tech Industries Term Loan Loan 2M USD LIBOR+  5.00%  1.00%  6.00%  9/1/2027   1,000,000   980,810   996,250 
Research Now Group Inc. Media: Advertising Printing & Publishing Term Loan Loan 6M USD LIBOR+  5.50%  1.00%  6.50%  12/20/2024   3,897,349   3,801,391   3,765,112 
Resolute Investment Managers Inc. Banking Finance Insurance & Real Estate Term Loan (10/20) Loan 2M USD LIBOR+  3.75%  1.00%  4.75%  2/22/2021   2,658,569   2,658,569   2,635,307 
Rexnord LLC Capital Equipment Term Loan (11/19) Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  8/21/2024   862,069   862,069   858,681 
Reynolds Consumer Products T/L Metals & Mining Reynolds Group (Pactiv Evergreen) 9/20 TL Loan 1M USD LIBOR+  3.25%  0.00%  3.25%  2/5/2026   1,371,288   1,369,770   1,353,927 
Reynolds Group Holdings Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+  3.25%  0.00%  3.40%  2/5/2026   2,000,000   1,985,315   1,965,620 
Robertshaw US Holding Corp. Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  2/28/2025   975,000   973,291   911,625 
Rocket Software Inc. High Tech Industries Term Loan (11/18) Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  11/28/2025   2,942,532   2,932,347   2,890,419 
RP Crown Parent LLC High Tech Industries Term Loan B (07/20) Loan 1M USD LIBOR+  3.00%  1.00%  4.00%  2/2/2026   1,995,000   1,985,571   1,975,050 

35

 

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 (10/20) Loan 3M USD LIBOR+  3.00%  1.00%  4.00%  5/30/2025   5,637,965   5,588,293   5,581,586 
Ryan Specialty Group LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  3.25%  0.75%  4.00%  9/1/2027   500,000   492,741   497,500 
Sahara Parent Inc. High Tech Industries Term Loan B (11/18) Loan 3M USD LIBOR+  6.25%  0.00%  6.48%  8/16/2024   1,940,400   1,926,742   1,901,592 
Sally Holdings LLC Retail Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  7/5/2024   768,409   766,056   754,962 
Sally Holdings LLC Retail Term Loan (Fixed) Loan Fixed  0.00%  0.00%  0.00%  7/5/2024   810,003   807,788   804,941 
Samsonite International S.A. Consumer goods: Non-durable Term Loan B2 Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  4/25/2025   997,500   970,130   973,809 
Savage Enterprises LLC Energy: Oil & Gas Term Loan B (02/20) Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  8/1/2025   1,831,540   1,815,334   1,813,994 
SCS Holdings I Inc. High Tech Industries Term Loan 1/20 Loan 1M USD LIBOR+  3.50%  0.00%  3.65%  7/1/2026   1,975,075   1,971,183   1,946,693 
Seadrill Operating LP (b) Energy: Oil & Gas Term Loan B Loan 3M USD LIBOR+  0.00%  0.00%  0.00%  2/21/2021   897,442   894,400   82,762 
Seadrill Operating LP (b) Energy: Oil & Gas PIK Revolver Loan 3M USD LIBOR+  0.00%  1.00%  1.00%  2/22/2021   25,162   25,076   25,162 
Shutterfly Inc. Media: Advertising Printing & Publishing Term Loan B Loan 3M USD LIBOR+  6.00%  1.00%  7.00%  9/25/2026   870,968   833,098   844,839 
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   1,930,449   1,893,312 
SMG US Midco 2 Inc. Services: Business Term Loan (01/20) Loan 3M USD LIBOR+  2.50%  0.00%  2.73%  1/23/2025   496,250   496,250   452,416 
Sotheby's Services: Business Term Loan Loan 1M USD LIBOR+  5.50%  1.00%  6.50%  1/15/2027   3,298,210   3,237,743   3,283,105 
SP PF Buyer LLC Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+  4.50%  0.00%  4.65%  12/19/2025   1,970,000   1,905,459   1,849,692 
SRAM LLC Consumer goods: Durable Term Loan Loan 6M USD LIBOR+  2.75%  1.00%  3.75%  3/15/2024   2,502,486   2,499,621   2,480,590 
SS&C European Holdings S.A.R.L. Services: Business Term Loan B4 Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  4/16/2025   187,832   187,527   184,616 
SS&C Technologies Inc. Services: Business Term Loan B3 Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  4/16/2025   248,006   247,597   243,760 
SS&C Technologies Inc. Services: Business Term Loan B-5 Loan 1M USD LIBOR+  1.75%  0.00%  1.90%  4/16/2025   489,872   489,001   482,798 
Staples Inc. Wholesale Term Loan (03/19) Loan 3M USD LIBOR+  5.00%  0.00%  5.23%  4/16/2026   2,942,843   2,802,699   2,833,222 
Stats Intermediate Holdings LLC Hotel Gaming & Leisure Term Loan Loan 3M USD LIBOR+  5.25%  0.00%  5.48%  7/10/2026   1,985,000   1,943,374   1,945,300 
Steak N Shake Operations Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  3/19/2021   816,284   815,695   677,516 
Sybil Software LLC High Tech Industries Term Loan B (4/18) Loan 3M USD LIBOR+  2.25%  1.00%  3.25%  9/29/2023   682,747   673,919   678,480 
Teneo Holdings LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  5.25%  1.00%  6.25%  7/11/2025   2,475,000   2,394,437   2,410,031 
Tenneco Inc. Capital Equipment Term Loan B Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  10/1/2025   1,473,750   1,463,107   1,412,220 
Ten-X LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  1.00%  5.00%  9/30/2024   1,945,000   1,943,263   1,831,547 
Terex Corporation Capital Equipment Term Loan Loan 2M USD LIBOR+  2.75%  0.75%  3.50%  1/31/2024   985,000   982,211   965,300 
TGG TS Acquisition Company Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+  6.50%  0.00%  6.65%  12/15/2025   2,608,602   2,501,015   2,559,691 
The Edelman Financial Center LLC Banking Finance Insurance & Real Estate Term Loan B (06/18) Loan 1M USD LIBOR+  3.00%  0.00%  3.15%  7/21/2025   1,228,125   1,223,839   1,202,801 
Thor Industries Inc. Automotive Term Loan (USD) Loan 1M USD LIBOR+  3.75%  0.00%  3.90%  2/2/2026   2,935,080   2,870,990   2,913,067 
Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan A Loan 1M USD LIBOR+  4.25%  0.00%  4.40%  3/8/2024   1,450,000   1,439,655   1,423,900 
Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  5.25%  0.00%  5.40%  3/6/2026   2,293,751   2,247,426   2,256,477 

36

 

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 
Tosca Services LLC Containers Packaging & Glass Term Loan B Loan 1M USD LIBOR+  4.25%  1.00%  5.25%  8/18/2027   500,000   492,774   500,210 
Transdigm Inc. Aerospace & Defense Term Loan G (02/20) Loan 1M USD LIBOR+  2.25%  0.00%  2.40%  8/22/2024   4,075,496   4,079,399   3,949,970 
Travel Leaders Group LLC Hotel Gaming & Leisure Term Loan B (08/18) Loan 1M USD LIBOR+  4.00%  0.00%  4.15%  1/25/2024   2,443,750   2,441,105   2,199,375 
TRC Companies Inc. Services: Business Term Loan Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  6/21/2024   3,315,141   3,306,650   3,219,830 
TRC Companies Inc. Services: Business Term Loan B Loan 1M USD LIBOR+  5.00%  1.00%  6.00%  6/21/2024   979,433   967,317   968,414 
Truck Hero Inc. Transportation: Cargo First Lien Term Loan Loan 1M USD LIBOR+  3.75%  0.00%  3.75%  4/22/2024   2,904,925   2,891,318   2,833,754 
Trugreen Limited Partnership Services: Consumer Term Loan Loan 1M USD LIBOR+  4.00%  0.75%  4.75%  10/29/2027   973,980   966,099   969,110 
Twin River Worldwide Holdings Inc. Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  2.75%  5/11/2026   987,500   983,430   945,531 
Uber Technologies Inc Transportation: Consumer Term Loan B (06/18) Loan 1M USD LIBOR+  3.50%  0.00%  3.50%  7/13/2023   1,994,805   1,941,902   1,983,275 
United Natural Foods Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  4.25%  10/22/2025   1,973,611   1,875,220   1,958,533 
Univar Solutions USA Inc. Chemicals Plastics & Rubber Term Loan B3 (11/17) Loan 1M USD LIBOR+  2.25%  0.00%  2.25%  7/1/2024   1,627,723   1,622,895   1,606,807 
Univision Communications Inc. Media: Broadcasting & Subscription 2020 Replacement Term Loan Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  3/13/2026   2,523,362   2,514,424   2,495,680 
URS Holdco Inc. Transportation: Cargo Term Loan (10/17) Loan 6M USD LIBOR+  5.75%  1.00%  6.75%  8/30/2024   960,422   951,841   859,577 
US Ecology Holdings Inc. Environmental Industries Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  2.50%  11/2/2026   496,250   495,268   491,908 
Veregy Consolidated Inc. High Tech Industries Term Loan B Loan  3M USD LIBOR+  6.00%  1.00%  7.00%  11/2/2027   2,000,000   1,940,196   1,945,000 
VeriFone Systems Inc. Banking Finance Insurance & Real Estate Term Loan (7/18) Loan  3M USD LIBOR+  4.00%  0.00%  4.00%  8/20/2025   1,400,178   1,393,093   1,325,717 
VFH Parent LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.00%  0.00%  3.00%  3/2/2026   3,209,493   3,199,075   3,188,856 
Victory Capital Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 3M USD LIBOR+  2.50%  0.00%  2.50%  7/1/2026   1,760,810   1,726,404   1,738,799 
Virtus Investment Partners Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 6M USD LIBOR+  2.25%  0.75%  3.00%  6/3/2024   2,416,856   2,416,533   2,408,809 
Vistra Operations Company LLC Utilities: Electric 2018 Incremental Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  1.75%  12/31/2025   919,879   919,129   909,971 
Vizient Inc. Healthcare & Pharmaceuticals Term Loan B-6 Loan 1M USD LIBOR+  2.00%  0.00%  2.00%  5/6/2026   492,500   491,579   480,311 
VM Consolidated Inc. Construction & Building Term Loan B1 (02/20) Loan 1M USD LIBOR+  3.25%  0.00%  3.25%  2/28/2025   476,694   475,079   468,352 
WeddingWire Inc. Services: Consumer Term Loan Loan 3M USD LIBOR+  4.50%  0.00%  4.50%  12/19/2025   3,930,000   3,923,643   3,831,750 
Western Digital Corporation High Tech Industries Term Loan B-4 Loan 1M USD LIBOR+  1.75%  0.00%  1.75%  4/29/2023   743,135   731,826   739,650 
Wirepath LLC Consumer goods: Non-durable Term Loan Loan 6M USD LIBOR+  4.00%  0.00%  4.00%  8/5/2024   2,932,674   2,912,941   2,830,031 
WP CityMD Bidco LLC Services: Consumer Term Loan B Loan 6M USD LIBOR+  4.50%  1.00%  5.50%  8/13/2026   3,473,750   3,444,780   3,459,751 
Xperi Holding Corporation High Tech Industries Term Loan Loan 1M USD LIBOR+  4.00%  0.00%  4.00%  6/2/2025   3,387,775   3,202,685   3,383,540 
YS Garments LLC Retail Term Loan Loan  3M USD LIBOR+  6.00%  0.00%  6.00%  8/9/2024   1,878,750   1,865,342   1,719,056 
Zekelman Industries Inc Metals & Mining Term Loan (01/20) Loan  1M USD LIBOR+  2.00%  0.00%  2.00%  1/25/2027   995,000   995,000   975,518 
Zep Inc. Chemicals Plastics & Rubber Term Loan Loan  6M USD LIBOR+  4.00%  1.00%  5.00%  8/12/2024   2,425,000   2,417,537   2,275,717 
Zest Acquisition Corp. Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+  3.50%  0.00%  3.50%  3/14/2025   957,262   954,067   900,430 
                                     
                              $531,912,618  $516,713,899 

 

37

 

 

  Number of Shares  Cost  Fair Value 
Cash and cash equivalents            
U.S. Bank Money Market (c)  20,123,980  $20,123,980  $20,123,980 
Total cash and cash equivalents  20,123,980  $20,123,980  $20,123,980 

 

(a)All or a portion of this investment has an unfunded commitment as of November 30, 2020
(b)As of November 30, 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 November 30, 2020.

 

LIBOR—London Interbank Offered Rate

 

1W USD LIBOR—The 1 week USD LIBOR rate as of November 30, 2020 was 0.01%.

1M USD LIBOR—The 1 month USD LIBOR rate as of November 30, 2020 was 0.15%.

2M USD LIBOR—The 2 month USD LIBOR rate as of November 30, 2020 was 0.18%.

3M USD LIBOR—The 3 month USD LIBOR rate as of November 30, 2020 was 0.23%.

6M USD LIBOR—The 6 month USD LIBOR rate as of November 30, 2020 was 0.26%.

Prime—The Prime Rate as of November 30, 2020 was 3.25%.

 

38

 

 

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 

39

 

 

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
 
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 

40

 

 

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 
Citadel 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  -   -   - 

41

 

 

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
 
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 
ION Media Networks Inc. Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  3.00%  0.00%  4.52% 12/18/2024  997,500   992,818   982,538 

42

 

 

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
 
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 

43

 

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
 
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 
Russell Investments US Institutional Holdco Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.75%  1.00%  4.27% 6/1/2023  5,637,965   5,554,276   5,553,396 
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 

44

 

 

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
 
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%  4.02% 1/23/2025  500,000   500,000   495,000 
Snacking Investment BidCo Pty Limited Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+  4.00%  1.00%  5.52% 12/18/2026  1,000,000   990,193   987,500 
Sotheby’s Services: Business Term Loan Loan 1M USD LIBOR+  5.50%  1.00%  7.02% 1/15/2027  3,324,994   3,258,223   3,315,285 
SP PF Buyer LLC Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+  4.50%  0.00%  6.02% 12/19/2025  1,985,000   1,911,678   1,801,388 
SRAM LLC Consumer goods: Durable Term Loan Loan 1M USD LIBOR+  2.75%  1.00%  3.72% 3/15/2024  1,769,661   1,762,426   1,756,388 
SS&C European Holdings S.A.R.L. Services: Business Term Loan B4 Loan 1M USD LIBOR+  1.75%  0.00%  3.27% 4/16/2025  199,839   199,466   196,841 
SS&C Technologies Inc. Services: Business Term Loan B-5 Loan 1M USD LIBOR+  1.75%  0.00%  3.27% 4/16/2025  493,682   492,653   486,000 
SS&C Technologies Inc. Services: Business Term Loan B3 Loan 1M USD LIBOR+  1.75%  0.00%  3.27% 4/16/2025  280,056   279,525   275,855 
Staples Inc. Wholesale Term Loan (03/19) Loan 1M USD LIBOR+  5.00%  0.00%  6.52% 4/16/2026  1,960,188   1,960,188   1,928,334 
Stats Intermediate Holdings LLC Hotel Gaming & Leisure Term Loan Loan 6M USD LIBOR+  5.25%  0.00%  6.65% 7/10/2026  2,000,000   1,953,068   1,920,000 
Steak N Shake Operations Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+  3.75%  1.00%  5.27% 3/19/2021  824,991   823,352   662,740 
STG-Fairway Holdings LLC Services: Business STG Fairway T/L (First Advantage) (Fastball Merger Loan 1M USD LIBOR+  3.50%  0.00%  5.02% 1/29/2027  500,000   497,500   496,040 
Sybil Software LLC High Tech Industries Term Loan B (4/18) Loan 3M USD LIBOR+  2.25%  1.00%  3.71% 9/29/2023  263,565   262,651   261,918 
Teneo Holdings LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  5.25%  1.00%  6.77% 7/11/2025  2,493,750   2,401,489   2,381,531 
Tenneco Inc Capital Equipment Term Loan B Loan 1M USD LIBOR+  3.00%  0.00%  4.52% 10/1/2025  1,485,000   1,472,625   1,386,619 
Ten-X LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  1.00%  5.52% 9/30/2024  1,960,000   1,958,142   1,927,327 
Terex Corporation Capital Equipment Term Loan Loan 1M USD LIBOR+  2.75%  0.75%  4.27% 1/31/2024  992,500   988,635   991,567 
TGG TS Acquisition Company Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+  6.50%  0.00%  8.02% 12/15/2025  2,766,667   2,639,073   2,711,333 
The Edelman Financial Center LLC Banking Finance Insurance & Real Estate Term Loan B (06/18) Loan 1M USD LIBOR+  3.25%  0.00%  4.77% 7/21/2025  1,237,500   1,232,467   1,211,203 
The Knot Worldwide Inc Services: Consumer Term Loan Loan 1M USD LIBOR+  4.50%  0.00%  6.02% 12/19/2025  3,960,000   3,952,856   3,890,700 
Thor Industries Inc. Automotive Term Loan (USD) Loan 2M USD LIBOR+  3.75%  0.00%  5.25% 2/2/2026  2,031,203   2,018,102   2,000,735 
Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+  5.25%  0.00%  6.77% 3/6/2026  2,334,338   2,281,664   2,209,288 
Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan A Loan 1M USD LIBOR+  4.25%  0.00%  5.77% 3/8/2024  1,600,000   1,586,231   1,504,000 
Transdigm Inc. Aerospace & Defense Term Loan G (02/20) Loan 1M USD LIBOR+  2.25%  0.00%  3.77% 8/22/2024  4,106,293   4,111,126   4,013,901 
Travel Leaders Group LLC Hotel Gaming & Leisure Term Loan B (08/18) Loan 1M USD LIBOR+  4.00%  0.00%  5.52% 1/25/2024  2,462,500   2,458,773   2,410,172 
TRC Companies Inc. Services: Business Term Loan Loan 1M USD LIBOR+  3.50%  1.00%  5.02% 6/21/2024  3,376,818   3,366,553   3,250,188 
TRC Companies Inc. Services: Business Term Loan B Loan 1M USD LIBOR+  5.00%  1.00%  6.52% 6/21/2024  997,500   982,926   980,044 
Trico Group LLC Containers Packaging & Glass Incremental Term Loan Loan 3M USD LIBOR+  7.00%  1.00%  8.46% 2/2/2024  4,758,359   4,645,140   4,675,088 
Truck Hero Inc. Transportation: Cargo First Lien Term Loan Loan 1M USD LIBOR+  3.75%  0.00%  5.27% 4/22/2024  2,927,444   2,910,795   2,874,984 
Trugreen Limited Partnership Services: Consumer Term Loan (03/19) Loan 1M USD LIBOR+  3.75%  1.00%  5.27% 3/19/2026  981,396   972,628   981,396 
Twin River Worldwide Holdings Inc. Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  4.27% 5/11/2026  995,000   990,418   971,060 
United Natural Foods Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  5.77% 10/22/2025  3,465,000   3,270,106   2,875,950 
Univar Solutions Inc. Chemicals Plastics & Rubber Term Loan B3 (11/17) Loan 1M USD LIBOR+  2.25%  0.00%  3.77% 7/1/2024  1,627,723   1,621,989   1,603,307 

45

 

 

Issuer Name Industry Asset
Name
 Asset
Type
 Reference
Rate/Spread
 LIBOR
Floor
  Current
Rate
(All In)
  Maturity
Date
 Principal/
Number
of Shares
  Cost  Fair
Value
 
Univision Communications Inc. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  2.75%  1.00%  4.27% 3/15/2024  2,746,369   2,735,251   2,634,565 
URS Holdco Inc. Transportation: Cargo Term Loan (10/17) Loan 1M USD LIBOR+  5.75%  1.00%  7.27% 8/30/2024  984,169   973,856   821,778 
US Ecology Inc. Environmental Industries Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  4.02% 11/2/2026  500,000   498,859   496,250 
VeriFone Systems Inc. Banking Finance Insurance & Real Estate Term Loan (7/18) Loan 3M USD LIBOR+  4.00%  0.00%  5.46% 8/20/2025  5,431,250   5,403,194   5,214,000 
Verra Mobility Corp. Construction & Building Term Loan B1 (02/20) Loan 1M USD LIBOR+  3.25%  0.00%  4.77% 2/28/2025  491,250   489,331   483,881 
VFH Parent LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.50%  0.00%  5.02% 3/2/2026  3,801,266   3,787,581   3,793,663 
Victory Capital Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+  2.50%  0.00%  4.02% 7/1/2026  422,273   418,485   415,939 
Virtus Investment Partners Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.25%  0.75%  3.77% 6/3/2024  3,218,500   3,217,979   3,213,479 
Vistra Operations Company LLC Utilities: Electric 2018 Incremental Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  3.27% 12/31/2025  927,500   926,595   919,094 
Vizient Inc. Healthcare & Pharmaceuticals Term Loan B-6 Loan 1M USD LIBOR+  2.00%  0.00%  3.52% 5/6/2026  496,250   495,208   491,600 
VS Buyer T/L (Veeam Software) High Tech Industries Term Loan Loan 3M USD LIBOR+  3.25%  0.00%  4.71% 2/28/2027  1,000,000   1,000,000   986,250 
Weight Watchers International Inc. Services: Consumer Term Loan B Loan 3M USD LIBOR+  4.75%  0.75%  6.21% 11/29/2024  1,670,130   1,645,266   1,665,955 
West Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+  3.50%  1.00%  5.02% 10/10/2024  2,961,172   2,889,546   2,319,573 
West Corporation Telecommunications Term Loan B (Olympus Merger) Loan 1M USD LIBOR+  4.00%  1.00%  5.52% 10/10/2024  1,237,374   1,164,156   981,002 
Western Dental Services Inc. Retail Term Loan (12/18) Loan 1M USD LIBOR+  5.25%  1.00%  6.77% 6/30/2023  2,438,722   2,424,403   2,444,819 
Western Digital Corporation High Tech Industries Term Loan B-4 Loan 1M USD LIBOR+  1.75%  0.00%  3.27% 4/29/2023  903,135   885,248   892,975 
Winter Park Intermediate Inc. Automotive Term Loan Loan 1M USD LIBOR+  4.75%  0.00%  6.27% 4/4/2025  1,984,953   1,966,855   1,951,864 
Wirepath LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+  4.00%  1.00%  5.46% 8/5/2024  2,955,118   2,931,790   2,766,730 
WP CityMD Bidco LLC Services: Consumer Term Loan B Loan 3M USD LIBOR+  4.50%  1.00%  5.96% 8/13/2026  3,500,000   3,467,362   3,476,375 
YS Garments LLC Retail Term Loan Loan 1W USD LIBOR+  6.00%  1.00%  7.57% 8/9/2024  1,937,500   1,921,365   1,908,438 
Zekelman Industries Inc Metals & Mining Term Loan (01/20) Loan 1M USD LIBOR+  2.25%  0.00%  3.77% 1/19/2027  1,000,000   1,000,000   977,500 
Zep Inc. Chemicals Plastics & Rubber Term Loan Loan 3M USD LIBOR+  4.00%  1.00%  5.46% 8/12/2024  2,443,750   2,434,999   1,840,461 
Zest Acquisition Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+