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SAR Saratoga Investment

Filed: 7 Jul 21, 4:35pm
 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

 

Form 10-Q

 

 

 

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

 

For the Quarterly Period Ended May 31, 2021

 

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 filerSmaller 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 July 7, 2021 was 11,183,471.

 

 

 

 

 

 

TABLE OF CONTENTS

 

   Page
PART I.FINANCIAL INFORMATION 
    
Item 1.Consolidated Financial Statements 1
    
 Consolidated Statements of Assets and Liabilities as of May 31, 2021 (unaudited) and February 28, 2021 1
    
 Consolidated Statements of Operations for the three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited) 2
    
 Consolidated Statements of Changes in Net Assets for three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited) 3
    
 

Consolidated Statements of Cash Flows for the three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited)

 4
    
 Consolidated Schedules of Investments as of May 31, 2021 (unaudited) and February 28, 2021 5
    
 Notes to Consolidated Financial Statements as of May 31, 2021 (unaudited) 17
    
Item 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations 75
    
Item 3.Quantitative and Qualitative Disclosures About Market Risk 110
    
Item 4.Controls and Procedures 111
    
PART II.OTHER INFORMATION  
    
Item 1.Legal Proceedings 112
    
Item 1A.Risk Factors 112
    
Item 2.Unregistered Sales of Equity Securities and Use of Proceeds 112
    
Item 3.Defaults Upon Senior Securities 112
    
Item 4.Mine Safety Disclosures 112
    
Item 5.Other Information 112
    
Item 6.Exhibits 113
   
Signatures 116

 

i

 

 

PART I. FINANCIAL INFORMATION

 

Item 1. Consolidated Financial Statements

 

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

  May 31, 2021  February 28, 2021 
  (unaudited)    
ASSETS      
Investments at fair value      
Non-control/Non-affiliate investments (amortized cost of $546,808,095 and $471,328,212, respectively) $550,875,264  $469,946,494 
Affiliate investments (amortized cost of $34,774,328 and $17,331,707, respectively)  39,872,709   19,367,740 
Control investments (amortized cost of $75,078,830 and $61,353,761, respectively)  87,024,892   64,998,481 
Total investments at fair value (amortized cost of $656,661,253 and $550,013,680, respectively)  677,772,865   554,312,715 
Cash and cash equivalents  317,932   18,828,047 
Cash and cash equivalents, reserve accounts  19,659,681   11,087,027 
Interest receivable (net of reserve of $588,904 and $1,152,086, respectively)  6,622,330   4,223,630 
Due from affiliate (See Note 6)  2,600,000   2,719,000 
Management fee receivable  852,876   34,644 
Other assets  848,278   947,315 
Total assets $708,673,962  $592,152,378 
         
LIABILITIES        
Revolving credit facility $39,000,000  $- 
Deferred debt financing costs, revolving credit facility  (715,161)  (639,983)
SBA debentures payable  168,000,000   158,000,000 
Deferred debt financing costs, SBA debentures payable  (3,397,674)  (2,642,622)
6.25% Notes Payable 2025  60,000,000   60,000,000 
Deferred debt financing costs, 6.25% notes payable 2025  (1,581,383)  (1,675,064)
7.25% Notes Payable 2025  43,125,000   43,125,000 
Deferred debt financing costs, 7.25% notes payable 2025  (1,319,867)  (1,401,307)
7.75% Notes Payable 2025  5,000,000   5,000,000 
Deferred debt financing costs, 7.75% notes payable 2025  (225,397)  (239,222)
4.375% Notes Payable 2026  50,000,000   - 
Deferred debt financing costs,  (1,205,274)  - 
6.25% Notes Payable 2027  15,000,000   15,000,000 
Deferred debt financing costs, 6.25% notes payable 2027  (469,585)  (476,820)
Base management and incentive fees payable  10,727,948   6,556,674 
Deferred tax liability  2,180,727   1,922,664 
Accounts payable and accrued expenses  1,986,517   1,750,267 
Interest and debt fees payable  1,763,342   2,645,784 
Directors fees payable  92,000   70,500 
Due to manager  368,013   279,065 
Excise tax payable  -   691,672 
Total liabilities  388,329,206   287,966,608 
         
Commitments and contingencies (See Note 8)        
         
NET ASSETS        
Common stock, par value $0.001, 100,000,000 common shares authorized, 11,159,995 and 11,161,416 common shares issued and outstanding, respectively  11,160   11,161 
Capital in excess of par value  304,784,840   304,874,957 
Total distributable earnings (deficit)  15,548,756   (700,348)
Total net assets  320,344,756   304,185,770 
Total liabilities and net assets $708,673,962  $592,152,378 
NET ASSET VALUE PER SHARE $28.70  $27.25 

 

See accompanying notes to consolidated financial statements.

 

1

 

 

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

  For the three months ended 
  May 31, 2021  May 31, 2020 
INVESTMENT INCOME      
Interest from investments      
Interest income:      
Non-control/Non-affiliate investments $11,236,737  $9,955,562 
Affiliate investments  340,512   398,370 
Control investments  1,854,985   1,133,584 
Payment-in-kind interest income:        
Non-control/Non-affiliate investments  176,766   581,946 
Affiliate investments  -   46,223 
Control investments  77,675   34,782 
Total interest from investments  13,686,675   12,150,467 
Interest from cash and cash equivalents  522   11,796 
Management fee income  818,232   634,572 
Structuring and advisory fee income  1,301,875   313,306 
Other income  1,008,686   187,000 
Total investment income  16,815,990   13,297,141 
         
OPERATING EXPENSES        
Interest and debt financing expenses  4,340,912   2,563,876 
Base management fees  2,758,908   2,160,528 
Incentive management fees expense (benefit)  5,262,536   (1,858,310)
Professional fees  507,061   386,888 
Administrator expenses  693,750   556,250 
Insurance  86,318   67,726 
Directors fees and expenses  92,000   60,000 
General & administrative  490,651   350,814 
Income tax expense (benefit)  27,919   (8,945)
Total operating expenses  14,260,055   4,278,827 
NET INVESTMENT INCOME  2,555,935   9,018,314 
         
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS        
Net realized gain (loss) from investments:        
Non-control/Non-affiliate investments  1,910,141   8,480 
Net realized gain (loss) from investments  1,910,141   8,480 
Net change in unrealized appreciation (depreciation) on investments:        
Non-control/Non-affiliate investments  5,448,887   (24,422,894)
Affiliate investments  3,062,348   (2,444,252)
Control investments  8,301,342   (5,083,223)
Net change in unrealized appreciation (depreciation) on investments  16,812,577   (31,950,369)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments  (230,144)  267,740 
Net realized and unrealized gain (loss) on investments  18,492,574   (31,674,149)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $21,048,509  $(22,655,835)
         
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE $1.88  $(2.02)
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED  11,170,045   11,217,545 

 

See accompanying notes to consolidated financial statements.

 

2

 

 

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

  For the three months ended 
  May 31, 2021  May 31, 2020 
INCREASE (DECREASE) FROM OPERATIONS:      
Net investment income $2,555,935  $9,018,314 
Net realized gain from investments  1,910,141   8,480 
Net change in unrealized appreciation (depreciation) on investments  16,812,577   (31,950,369)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments  (230,144)  267,740 
Net increase (decrease) in net assets resulting from operations  21,048,509   (22,655,835)
         
DECREASE FROM SHAREHOLDER DISTRIBUTIONS:        
Total distributions to shareholders  (4,799,405)  - 
Net decrease in net assets from shareholder distributions  (4,799,405)  - 
         
CAPITAL SHARE TRANSACTIONS:        
Stock dividend distribution  914,102   - 
Repurchases of common stock  (1,003,420)  - 
Repurchase fees  (800)  - 
Net increase in net assets from capital share transactions  (90,118)  - 
Total increase (decrease) in net assets  16,158,986   (22,655,835)
Net assets at beginning of period  304,185,770   304,286,853 
Net assets at end of period $320,344,756  $281,631,018 

 

See accompanying notes to consolidated financial statements.

 

3

 

 

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

  For the three months ended 
  May 31, 2021  May 31, 2020 
Operating activities      
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $21,048,509  $(22,655,835)
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  (191,699)  703,636 
Net accretion of discount on investments  (321,106)  (312,430)
Amortization of deferred debt financing costs  470,314   272,683 
Income tax expense (benefit)  27,919   (8,945)
Net realized (gain) loss from investments  (1,910,141)  (8,480)
Net change in unrealized (appreciation) depreciation on investments  (16,812,577)  31,950,369 
Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments  230,144   (267,740)
Proceeds from sales and repayments of investments  14,941,409   9,350,378 
Purchases of investments  (119,166,038)  (38,998,731)
(Increase) decrease in operating assets:        
Interest receivable  (2,398,700)  501,475 
Due from affiliate  119,000   - 
Management and incentive fee receivable  (818,232)  (13,381)
Other assets  78,581   40,232 
Increase (decrease) in operating liabilities:        
Base management and incentive fees payable  4,171,274   (12,247,640)
Accounts payable and accrued expenses  236,250   (132,244)
Interest and debt fees payable  (882,442)  (1,239,086)
Directors fees payable  21,500   1,500 
Excise tax payable  (691,672)  - 
Due to manager  88,948   (104,112)
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES  (101,758,759)  (33,168,351)
         
Financing activities        
Borrowings on debt  49,000,000   20,000,000 
Paydowns on debt  -   (487,000)
Issuance of notes  50,000,000   - 
Repayments of notes  -   - 
Payments of deferred debt financing costs  (2,289,179)  - 
Proceeds from issuance of common stock  -   - 
Payments of cash dividends  (3,885,303)  - 
Repurchases of common stock  (1,003,420)  - 
Repurchases fees  (800)  - 
Payments of offering costs  -   - 
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES  91,821,298   19,513,000 
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS  (9,937,461)  (13,655,351)
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD  29,915,074   39,450,352 
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD $19,977,613  $25,795,001 
         
Supplemental information:        
Interest paid during the period $4,753,043  $3,530,278 
Cash paid for taxes  692,740   1,006 
Supplemental non-cash information:        
Payment-in-kind interest income and other adjustments to cost  191,699   (703,636)
Net accretion of discount on investments  321,106   312,430 
Amortization of deferred debt financing costs  470,314   272,683 
Stock dividend distribution  914,102   - 

 

See accompanying notes to consolidated financial statements.

 

4

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

May 31, 2021

(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 - 171.9% (b)                      
Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009  210,456   1,589,630  $522,061   0.2%
    Total Consumer Products        1,589,630   522,061   0.2%
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   -   0.0%
My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017  96,224   -   -   0.0%
    Total Consumer Services        4,867,102   -   0.0%
Schoox, Inc. (h), (i) Corporate Education Software Series 1 Membership Interest 12/8/2020  226,782   1,050,000   3,107,700   1.0%
    Total Corporate Education Software        1,050,000   3,107,700   1.0%
Passageways, Inc. Corporate Governance First Lien Term Loan
(3M USD LIBOR+7.00%), 8.75% Cash, 12/31/2025
 7/5/2018 $5,000,000  $4,972,664   5,050,000   1.6%
Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 8.75% Cash, 12/31/2025
 1/3/2020 $5,000,000   4,981,026   5,050,000   1.6%
Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018  2,027,205   1,000,000   7,498,384   2.3%
    Total Corporate Governance        10,953,690   17,598,384   5.5%
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   6,496,025   6,632,349   2.1%
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 $2,150,000   2,130,433   2,175,370   0.7%
    Total Dental Practice Management        8,626,458   8,807,719   2.8%
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   13,904,721   14,278,600   4.5%
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   6,943,964   7,139,300   2.2%
PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020  1,755,831   2,000,000   2,472,430   0.8%
    Total Dental Practice Management Software        22,848,685   23,890,330   7.5%
C2 Educational Systems (d) Education Services First Lien Term Loan
(3M USD LIBOR+8.50%), 10.00% Cash, 5/31/2023
 5/31/2017 $18,500,000   18,474,451   16,033,950   5.0%
C2 Education Systems, Inc. (h) Education Services Series A-1 Preferred Stock 5/18/2021  3,127   499,904   502,621   0.2%
Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015  750   750,000   1,163,583   0.4%
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 $25,763,417   25,581,181   25,737,653   8.0%

 

5

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Zollege PBC Education Services First Lien Term Loan
(3M USD LIBOR+5.50%), 6.50% Cash, 5/11/2026
 5/11/2021 $16,000,000   15,860,000   15,840,000   4.9%
Zollege PBC (j) Education Services Delayed Draw Term Loan
(3M USD LIBOR+5.50%), 6.50% Cash, 5/11/2026
 5/11/2021 $-   -   -   0.0%
Zollege PBC (h) Education Services Class A Units 5/11/2021  250,000   250,000   250,000   0.1%
    Total Education Services        61,415,536   59,527,807   18.6%
Destiny Solutions Inc. (d) Education Software First Lien Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 10/24/2024
 5/16/2018 $43,500,000   43,240,511   43,500,000   13.6%
Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018  2,342   2,468,464   3,894,965   1.2%
Identity Automation Systems (d) Education Software First Lien Term Loan
(3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024
 8/25/2014 $17,203,750   17,203,750   17,203,750   5.4%
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   189,269   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   4,944,183   5,100,000   1.6%
GoReact (j) Education Software Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025
 1/17/2020 $1,200,000   1,200,000   1,224,000   0.4%
Kev Software Inc. (a) Education Software First Lien Term Loan
(1M USD LIBOR+8.63%), 9.63% Cash, 9/13/2023
 9/13/2018 $17,701,539   17,624,605   17,889,175   5.6%
    Total Education Software        87,085,700   89,699,007   28.1%
Top Gun Pressure Washing, LLC Facilities Maintenance First Lien Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 12/31/2025
 8/12/2019 $5,000,000   4,964,114   4,958,500   1.5%
Top Gun Pressure Washing, LLC (j) Facilities Maintenance Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.50% Cash, 12/31/2025
 8/12/2019 $5,500,000   5,449,645   5,454,350   1.8%
TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019  488,148   488,148   318,329   0.1%
    Total Facilities Maintenance        10,901,907   10,731,179   3.4%
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   2,979,495   3,032,400   0.9%
Davisware, LLC Field Service Management Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024
 9/6/2019 $977,790   974,822   988,350   0.3%
    Total Field Service Management        3,954,317   4,020,750   1.2%
GDS Software Holdings, LLC (h) Financial Services Common Stock Class A Units 8/23/2018  250,000   250,000   445,913   0.1%
    Total Financial Services        250,000   445,913   0.1%
Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016  5,000   380,353   564,042   0.2%
    Total Healthcare Products Manufacturing        380,353   564,042   0.2%
Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018  400,000   400,000   900,986   0.3%
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   9,959,761   10,059,000   3.1%
Axiom Purchaser, Inc. (d) Healthcare Services Delayed Draw Term Loan
(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023
 6/19/2018 $6,000,000   5,965,638   6,035,400   1.9%
ComForCare Health Care Healthcare Services First Lien Term Loan
(3M USD LIBOR+7.75%), 8.75% Cash, 1/31/2025
 1/31/2017 $25,000,000   24,875,298   24,957,500   7.8%
    Total Healthcare Services        41,200,697   41,952,886   13.1%

 

6

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Greenphire, Inc. (h), (i) Healthcare Software Series A Preferred Stock 3/24/2021  102   10,181,700   10,381,661   3.2%
TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019  2,241   2,310,929   2,816,291   0.9%
HemaTerra Holding Company, LLC Healthcare Software First Lien Term Loan
(3M USD LIBOR+6.75%), 8.25% Cash, 1/31/2026
 4/15/2019 $36,000,000   35,660,359   35,776,800   11.2%
HemaTerra Holding Company, LLC (d), (j) Healthcare Software Delayed Draw Term Loan
(3M USD LIBOR+6.75%), 8.25% Cash, 1/31/2026
 4/15/2019 $12,000,000   11,919,627   11,925,600   3.7%
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   7,928,456   8,023,200   2.5%
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   11/12/2020  300,000   300,000   339,111   0.1%
    Total Healthcare Software        68,301,071   69,262,663   21.6%
Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014  5,081   508,077   187,153   0.1%
Roscoe Medical, Inc. Healthcare Supply Second Lien Term Loan
11.25% Cash, 6/28/2021
 3/26/2014 $5,141,413   5,141,413   5,141,413   1.6%
    Total Healthcare Supply        5,649,490   5,328,566   1.7%
Book4Time, Inc. (a) Hospitality/Hotel First Lien Term Loan
(3M USD LIBOR+8.50%), 10.25%, 12/22/2025
 12/22/2020 $3,136,517   3,108,278   3,105,152   1.0%
Book4Time, Inc. (a), (j) Hospitality/Hotel Delayed Draw Term Loan
(3M USD LIBOR+8.50%), 10.25%, 12/22/2025
 12/22/2020 $-   -   -   0.0%
Book4Time, Inc. (a), (i) Hospitality/Hotel Class A Preferred Shares 12/22/2020  200,000   156,826   200,000   0.1%
Knowland Group, LLC Hospitality/Hotel Second Lien Term Loan
(3M USD LIBOR+8.00%), 10.00% Cash/1.00% PIK, 5/9/2024
 11/9/2018 $15,767,918   15,767,918   11,280,368   3.5%
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   2,975,728   3,000,000   0.9%
    Total Hospitality/Hotel        22,008,750   17,585,520   5.5%
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 $20,000,000   19,815,082   19,950,000   6.2%
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        19,815,082   19,950,000   6.2%
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 $6,843,746   6,843,746   6,843,746   2.1%
Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015  343   -   2,188,389   0.7%
    Total Industrial Products        6,843,746   9,032,135   2.8%
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 $14,146,020   14,138,542   14,249,286   4.4%
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 $20,556,466   20,507,075   20,706,528   6.5%
LogicMonitor, Inc. IT Services First Lien Term Loan
(3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023
 3/20/2020 $23,000,000   22,883,641   23,101,200   7.2%
    Total IT Services        57,529,258   58,057,014   18.1%
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   12,124,363   12,389,100   3.9%

 

7

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
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   4,963,878   5,077,500   1.6%
    Total Marketing Services        17,088,241   17,466,600   5.5%
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   5,474,886   5,500,000   1.7%
    Total Non-profit Services        5,474,886   5,500,000   1.7%
Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note
(3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2023
 12/28/2012 $3,300,000   3,300,000   3,248,190   1.0%
Emily Street Enterprises, L.L.C. (h) Office Supplies Warrant Membership Interests
Expires 12/28/2022
 12/28/2012  49,318   400,000   151,202   0.0%
    Total Office Supplies        3,700,000   3,399,392   1.0%
Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024
 9/21/2016 $18,000,000   17,983,170   17,380,801   5.3%
Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024
 10/1/2018 $1,000,000   994,942   965,600   0.3%
    Total Payroll Services        18,978,112   18,346,401   5.6%
Lexipol, LLC (h), (i) Public Safety/Local Government Software Series A Preferred Stock 3/30/2021  102   10,204,900   10,204,900   3.2%
    Total Public Safety/Local Government Software        10,204,900   10,204,900   3.2%
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   13,880,144   13,976,200   4.4%
Buildout, Inc. Real Estate Services Delayed Draw Term Loan
(3M USD LIBOR+7.75%), 9.25% Cash, 7/9/2025
 2/12/2021 $3,000,000   2,971,412   2,994,900   0.8%
Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020  1,071   1,071,301   1,215,084   0.4%
    Total Real Estate Services        17,922,857   18,186,184   5.6%
TMAC Acquisition Co., LLC (k) Restaurant Unsecured Term Loan
8.00% PIK, 9/01/2023
 3/1/2018 $2,261,017   2,261,017   2,169,383   0.7%
    Total Restaurant        2,261,017   2,169,383   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   25,818,242   24,603,800   7.6%
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   946,300   0.3%
    Total Sports Management        26,818,242   25,550,100   7.9%
Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014  100,000   100,000   968,628   0.3%
    Total Staffing Services        100,000   968,628   0.3%
National Waste Partners (d) Waste Services Second Lien Term Loan
10.00% Cash, 2/13/2022
 2/13/2017 $9,000,000   8,988,368   9,000,000   2.8%
    Total Waste Services        8,988,368   9,000,000   2.8%
Sub Total Non-control/Non-affiliate investments            546,808,095   550,875,264   171.9%
                       
Affiliate investments - 12.4% (b)                      
Artemis Wax Corp. (f), (j) Consumer Services Delayed Draw Term Loan
(1M USD LIBOR+9.00%), 12.00% Cash, 5/20/2026
 5/20/2021 $15,295,662   15,142,705   15,142,705   4.7%
Artemis Wax Corp. (f) (h) Consumer Services Series B-1 Preferred Stock 5/20/2021  934,463   1,500,000   1,500,000   0.5%
Artemis Wax Corp. (f) (h) Consumer Services Series C Preferred Stock 5/20/2021  4,099   4,099,260   4,099,261   1.3%
    Total Consumer Services        20,741,965   20,741,966   6.5%

 

8

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
GreyHeller LLC (f) Cyber Security First Lien Term Loan
(3M USD LIBOR+9.00%), 10.00% Cash, 12/31/2025
 11/17/2016 $7,000,000   6,988,553   7,000,000   2.2%
GreyHeller LLC (d), (f), (j) Cyber Security Delayed Draw Term Loan
(3M USD LIBOR+9.00%), 10.00% Cash, 12/31/2025
 10/19/2020 $6,250,000   6,193,810   6,250,001   1.9%
GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016  850,000   850,000   5,880,742   1.8%
    Total Cyber Security        14,032,363   19,130,743   5.9%
Sub Total Affiliate investments            34,774,328   39,872,709   12.4%
                       
Control investments - 27.2% (b)                      
Netreo Holdings, LLC (g) IT Services First Lien Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 12/31/2025
 7/3/2018 $5,332,239   5,304,439   5,361,034   1.6%
Netreo Holdings, LLC (g), (j) IT Services Delayed Draw Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 12/31/2025
 5/26/2020 $10,241,069   10,142,979   10,296,371   3.2%
Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018  4,600,677   8,344,500   17,946,180   5.6%
    Total IT Services        23,791,918   33,603,585   10.4%
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities
15.87%, 4/20/2033
 1/22/2008 $111,000,000   33,411,912   35,546,307   11.1%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 10.13%, 4/20/2033
 2/26/2021 $17,875,000   17,875,000   17,875,000   5.7%
    Total Structured Finance Securities        51,286,912   53,421,307   16.8%
Sub Total Control investments            75,078,830   87,024,892   27.2%
TOTAL INVESTMENTS - 211.5% (b)           $656,661,253  $677,772,865   211.5%

 

  Number of
Shares
  Cost  Fair Value  % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 6.1% (b)                
U.S. Bank Money Market (l)  19,659,681  $19,659,681  $19,659,681   6.1%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts  19,659,681  $19,659,681  $19,659,681   6.1%

 

(a)Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of May 31, 2021 non-qualifying assets represent 8.4% 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 $320,344,756 as of May 31, 2021.
(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 15.87% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f)As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the quarter ended May 31, 2021 in which the issuer was an Affiliate are as follows:

 

9

 

 

Company Purchases  Sales  Total Interest from Investments  Management
Fee Income
  Net Realized
Gain (Loss) from
Investments
  Net Change in Unrealized Appreciation (Depreciation) 
Artemis Wax Corp. $20,732,455  $        -  $31,122  $        -  $        -  $1 
GreyHeller LLC  3,960,000   -   309,390   -   -   1,995,811 
Total $24,692,455  $-  $340,512  $-  $-  $1,995,812 

 

(g)As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the quarter ended May 31, 2021 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 $14,104,500  $         -  $279,628  $-  $         2  $4,224,061 
Saratoga Investment Corp. CLO 2013-1, Ltd.  -   -   1,133,296   818,232   -   4,531,306 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note  -   -   465,738   -   -   (454,025)
Total $14,104,500  $-  $1,878,661  $818,232  $2  $8,301,342 

 

(h)Non-income producing at May 31, 2021.
(i)Includes securities issued by an affiliate of the company.
(j)All or a portion of this investment has an unfunded commitment as of May 31, 2021. (see Note 8 to the consolidated financial statements).
(k)As of May 31, 2021, the investment was on non-accrual status. The fair value of these investments was approximately $2.2 million, which represented 0.3% of the Company’s portfolio (see Note 2 to the consolidated financial statements).
(l)Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of May 31, 2021.

 

LIBOR - London Interbank Offered Rate

 

1M USD LIBOR - The 1 month USD LIBOR rate as of May 31, 2021 was 0.09%.

3M USD LIBOR - The 3 month USD LIBOR rate as of May 31, 2021 was 0.13%.

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 28, 2021

 

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 - 154.5% (b)                      
Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009  210,456   1,589,630  $475,116   0.2%
    Total Consumer Products        1,589,630   475,116   0.2%
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   181,240   0.1%
My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017  96,224   -   -   0.0%
    Total Consumer Services        4,867,102   181,240   0.1%
Schoox, Inc. (h), (i) Corporate Education Software Series 1 Membership Interest 12/8/2020  226,782   1,050,000   1,050,000   0.3%
    Total Corporate Education Software        1,050,000   1,050,000   0.3%
Passageways, Inc. Corporate Governance First Lien Term Loan
(3M USD LIBOR+7.00%), 8.75% Cash, 12/31/2025
 7/5/2018 $5,000,000  $4,972,250   5,050,000   1.7%
Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 8.75% Cash, 12/31/2025
 1/3/2020 $5,000,000   4,980,871   5,050,000   1.7%
Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018  2,027,205   1,000,000   3,164,579   1.0%
    Total Corporate Governance        10,953,121   13,264,579   4.4%
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   6,491,331   6,489,450   2.1%
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 $650,000   644,419   643,500   0.2%
    Total Dental Practice Management        7,135,750   7,132,950   2.3%
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   13,895,777   14,278,600   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   6,938,964   7,139,300   2.3%
PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020  1,755,831   2,000,000   2,240,946   0.7%
    Total Dental Practice Management Software        22,834,741   23,658,846   7.7%
C2 Educational Systems (d) Education Services First Lien Term Loan
(3M USD LIBOR+8.50%), 10.00% Cash, 5/31/2023
 5/31/2017 $16,000,000   15,998,379   13,499,200   4.4%
Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015  750   750,000   1,011,596   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 $25,947,024   25,748,711   25,874,372   8.5%
    Total Education Services        42,497,090   40,385,168   13.2%
Destiny Solutions Inc. (d) Education Software First Lien Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 10/24/2024
 5/16/2018 $43,500,000   43,204,446   43,630,500   14.3%
Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018  2,342   2,468,464   3,069,267   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 $17,247,500   17,247,500   17,357,884   5.7%

 

11

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Identity Automation Systems (h) Education Software Common Stock Class A-2 Units 8/25/2014  232,616   232,616   725,726   0.2%
Identity Automation Systems (h) Education Software Common Stock Class A-1 Units 3/6/2020  43,715   171,571   185,553   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   4,940,297   5,100,000   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 $17,835,914   17,745,629   18,021,407   5.9%
    Total Education Software        86,010,523   88,090,337   28.9%
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   2,977,590   3,030,000   1.0%
Davisware, LLC Field Service Management Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024
 9/6/2019 $977,790   974,399   987,568   0.3%
    Total Field Service Management        3,951,989   4,017,568   1.3%
GDS Software Holdings, LLC (h) Financial Services Common Stock Class A Units 8/23/2018  250,000   250,000   418,531   0.1%
    Total Financial Services        250,000   418,531   0.1%
Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016  5,000   380,353   566,592   0.2%
    Total Healthcare Products Manufacturing        380,353   566,592   0.2%
Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018  400,000   400,000   1,415,301   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   9,955,177   10,059,000   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 $6,000,000   5,961,748   6,035,400   2.0%
ComForCare Health Care Healthcare Services First Lien Term Loan
(3M USD LIBOR+7.75%), 8.75% Cash, 1/31/2025
 1/31/2017 $25,000,000   24,871,639   24,900,000   8.2%
    Total Healthcare Services        41,188,564   42,409,701   14.0%
TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019  2,000,000   2,000,000   2,572,002   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   5,956,593   6,060,000   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   11,914,035   12,120,000   4.0%
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   7,924,230   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   11/12/2020  300,000   300,000   300,000   0.1%
    Total Healthcare Software        28,094,858   28,972,002   9.5%
Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014  5,081   508,077   280,346 �� 0.1%
Roscoe Medical, Inc. Healthcare Supply Second Lien Term Loan
11.25% Cash, 6/28/2021
 3/26/2014 $5,141,413   5,141,413   5,141,413   1.7%
    Total Healthcare Supply        5,649,490   5,421,759   1.8%
Book4Time, Inc. (a) Hospitality/Hotel First Lien Term Loan
(3M USD LIBOR+8.50%), 10.25%, 12/22/2025
 12/22/2020 $3,136,517   3,105,788   3,105,152   1.0%
Book4Time, Inc. (a), (j) Hospitality/Hotel Delayed Draw Term Loan
(3M USD LIBOR+8.50%), 10.25%, 12/22/2025
 12/22/2020 $-   -   -   0.0%

 

12

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Book4Time, Inc. (a), (i) Hospitality/Hotel Class A Preferred Shares 12/22/2020  200,000   156,826   156,826   0.1%
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   10,788,409   3.5%
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   2,973,387   3,030,000   1.0%
    Total Hospitality/Hotel        22,003,919   17,080,387   5.6%
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   6,932,689   6,950,300   2.3%
Granite Comfort, LP HVAC Services and Sales Delayed Draw Term Loan
(1M USD LIBOR+9.00%), 10.00% Cash, 11/16/2025
 11/16/2020 $8,000,000   7,922,181   7,943,200   2.6%
    Total HVAC Services and Sales        14,854,870   14,893,500   4.9%
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 $7,021,046   7,021,046   7,021,046   2.3%
Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015  343   -   2,025,598   0.7%
    Total Industrial Products        7,021,046   9,046,644   3.0%
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 $14,073,964   14,064,807   14,176,704   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 $20,451,756   20,388,504   20,601,054   6.8%
LogicMonitor, Inc. IT Services First Lien Term Loan
(3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023
 3/20/2020 $23,000,000   22,865,749   23,089,700   7.6%
    Total IT Services        57,319,060   57,867,458   19.1%
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   12,116,232   12,322,000   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   4,960,820   5,050,000   1.7%
    Total Marketing Services        17,077,052   17,372,000   5.8%
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   5,470,787   5,554,450   1.8%
    Total Non-profit Services        5,470,787   5,554,450   1.8%
Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note
(3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2023
 12/28/2012 $3,300,000   3,300,000   3,287,460   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   322,853   0.1%
    Total Office Supplies        3,700,000   3,610,313   1.2%
Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024
 9/21/2016 $18,000,000   17,981,413   17,368,200   5.7%
Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024
 10/1/2018 $1,000,000   994,557   964,900   0.3%
    Total Payroll Services        18,975,970   18,333,100   6.0%
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   7,189,591   7,395,000   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   4,838,617   4,973,850   1.6%

 

13

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
V Rental Holdings LLC (h) Property Management Class A-1 Membership Units 10/8/2019  122,578   365,914   2,208,681   0.7%
    Total Property Management        12,394,122   14,577,531   4.7%
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   13,873,317   13,952,400   4.6%
Buildout, Inc. Real Estate Services Delayed Draw Term Loan
(3M USD LIBOR+7.75%), 9.25% Cash, 7/9/2025
 2/12/2021 $3,000,000   2,970,361   2,989,800   1.0%
Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020  1,071   1,071,301   1,090,002   0.4%
    Total Real Estate Services        17,914,979   18,032,202   6.0%
TMAC Acquisition Co., LLC (k) Restaurant Unsecured Term Loan
8.00% PIK, 9/01/2023
 3/1/2018 $2,261,017   2,261,017   2,140,911   0.7%
    Total Restaurant        2,261,017   2,140,911   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   25,800,743   24,525,800   8.1%
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   943,300   0.3%
    Total Sports Management        26,800,743   25,469,100   8.4%
Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014  100,000   100,000   924,509   0.3%
    Total Staffing Services        100,000   924,509   0.3%
National Waste Partners (d) Waste Services Second Lien Term Loan
10.00% Cash, 2/13/2022
 2/13/2017 $9,000,000   8,981,436   9,000,000   3.0%
    Total Waste Services        8,981,436   9,000,000   3.0%
Sub Total Non-control/Non-affiliate investments            471,328,212   469,946,494   154.5%
                       
Affiliate investments - 6.4% (b)                      
GreyHeller LLC (f) Cyber Security First Lien Term Loan
(3M USD LIBOR+11.00%), 12.00% Cash, 12/31/2025
 11/17/2016 $7,000,000   6,988,549   7,000,000   2.3%
GreyHeller LLC (d), (f), (j) Cyber Security Delayed Draw Term Loan
(3M USD LIBOR+11.00%), 12.00% Cash, 12/31/2025
 10/19/2020 $2,250,000   2,233,173   2,250,000   0.7%
GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016  850,000   850,000   3,924,291   1.3%
    Total Cyber Security        10,071,722   13,174,291   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   4,961,639   4,491,500   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   1,810,198   1,639,397   0.6%
TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019  488,148   488,148   62,552   0.0%
    Total Facilities Maintenance        7,259,985   6,193,449   2.1%
Sub Total Affiliate investments            17,331,707   19,367,740   6.4%
                       
Control investments - 21.4% (b)                      
Netreo Holdings, LLC (g) IT Services First Lien Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK,
12/31/2025
 7/3/2018 $5,296,555   5,268,156   5,349,521   1.8%
Netreo Holdings, LLC (g), (j) IT Services Delayed Draw Term Loan
(3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK,
12/31/2020
 5/26/2020 $1,223,203   1,213,962   1,235,435   0.4%
Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018  3,150,000   3,150,000   8,634,768   2.8%
    Total IT Services        9,632,118   15,219,724   5.0%

 

14

 

 

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. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities
11.72%, 1/20/2030
 1/22/2008 $111,000,000   33,846,643   31,449,732   10.3%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 10.19%, 4/20/2033
 2/26/2021 $17,875,000   17,875,000   18,329,025   6.1%
    Total Structured Finance Securities        51,721,643   49,778,757   16.4%
Sub Total Control investments            61,353,761   64,998,481   21.4%
TOTAL INVESTMENTS - 182.2% (b)           $550,013,680  $554,312,715   182.2%
                       
  Number of
Shares
  Cost  Fair Value  % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 6.2% (b)            
U.S. Bank Money Market (l)  18,828,047  $18,828,047  $18,828,047   6.2%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts  18,828,047  $18,828,047  $18,828,047   6.2%

 

(a)Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of February 28, 2021 non-qualifying assets represent 9.5% 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 $304,185,770 as of February 28, 2021.
(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 11.72% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f)As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the year ended February 28, 2021 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. $-  $(2,309,806) $172,626  $          -  $(8,726,013) $7,745,228 
GreyHeller LLC  2,227,500   -   987,969   -   -   942,175 
Top Gun Pressure Washing, LLC  1,806,750   -   668,294   -   -   (712,711)
TG Pressure Washing Holdings, LLC  138,148   -   -   -   -   (425,596)
Total $4,172,398  $(2,309,806) $1,828,889  $-  $(8,726,013) $7,549,096 

 

15

 

 

(g)As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 28, 2021 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  $-  $738,012  $-  $          -  $1,832,136 
Saratoga Investment Corp. CLO 2013-1, Ltd.  14,000,000   -   3,535,591   2,507,626   -   (1,433,723)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes  -   (2,500,000)  237,163   -   -   22,000 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note  17,875,000   -   15,187   -   -   454,025 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes  -   (7,500,000)  805,759   -   -   65,250 
Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd.  22,500,000   (25,000,000)  679,926   -   -   295,459 
Total $55,563,000  $(35,000,000) $6,011,638  $2,507,626  $-  $1,235,147 

 

(h)Non-income producing at February 28, 2021.
(i)Includes securities issued by an affiliate of the company.
(j)All or a portion of this investment has an unfunded commitment as of February 28, 2021. (see Note 8 to the consolidated financial statements).
(k)As of February 28, 2021, 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 28, 2021.

 

LIBOR - London Interbank Offered Rate

 

1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2021 was 0.12%.

3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2021 was 0.19%.

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

 

See accompanying notes to consolidated financial statements.

 

16

 

 

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

May 31, 2021

(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 income tax purposes and may incur income tax expense as a result of their ownership of portfolio companies.

 

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

 

17

 

 

The Company, SBIC LP and SBIC II LP are all considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services — Investment Companies” (“ASC 946”). There have been no changes to the Company, SBIC LP or SBIC II LP’s status as investment companies during the three months ended May 31, 2021.

 

Use of Estimates in the Preparation of Financial Statements

 

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

 

Cash and Cash Equivalents

 

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

 

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

 

we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets, except as allowed pursuant to Rule 12d1-1 of Section 12(d)(1) of the 1940 Act which is designed to permit “cash sweep” arrangements rather than investments directly in short-term instruments; or

 

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

 

As of May 31, 2021, the Company did not exceed any of these limitations.

 

Cash and Cash Equivalents, Reserve Accounts

 

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

 

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

 

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

 

The following table provides a reconciliation of cash and cash equivalents and cash and cash equivalents, reserve accounts reported within the consolidated statements of assets and liabilities that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
 
  May 31, 2021  May 31, 2020 
Cash and cash equivalents $317,932  $12,842,608 
Cash and cash equivalents, reserve accounts  19,659,681   12,952,393 
Total cash and cash equivalents and cash and cash equivalents, reserve accounts $19,977,613  $25,795,001 

 

18

 

 

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 measurement 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.

 

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.

 

We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

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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 valuation technique that utilizes prepayment, re-investment and loss inputs 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 flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs 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.

 

Investment Transactions and Income Recognition

 

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

 

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. At May 31, 2021, certain investments in two portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $2.2 million, or 0.3% of the fair value of our portfolio. At February 28, 2021, 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.

 

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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.

 

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 (1) 98.0% of its net ordinary income in any calendar year, (2) 98.2% of its capital gain net income for each one-year period ending on October 31and (3) any net ordinary income and capital gain net income that it recognized for preceding years, but were not distributed during such year, and on which the Company paid no U.S federal income tax.

 

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 the 4.0% U.S. federal 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 U.S. federal excise tax purposes, the Company accrues the U.S. federal 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.

 

21

 

 

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 28, 2021, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2018, 2019, 2020 and 2021 federal tax years for the Company remain subject to examination by the IRS. As of May 31, 2021 and February 28, 2021, 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.

 

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.

 

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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. 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 independent market participants at the measurement date.

 

ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability of inputs used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.

 

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

 

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

 

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

 

Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. 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 technique. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

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

 

The following table presents fair value measurements of investments, by major class, as of May 31, 2021 (dollars in thousands), according to the fair value hierarchy:
             
  Fair Value Measurements 
  Level 1  Level 2  Level 3  Total 
First lien term loans $          -  $          -  $516,154  $516,154 
Second lien term loans  -   -   25,422   25,422 
Unsecured term loans  -   -   2,169   2,169 
Structured finance securities  -   -   53,421   53,421 
Equity interests  -   -   80,607   80,607 
Total $-  $-  $677,773  $677,773 

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2021 (dollars in thousands), according to the fair value hierarchy:

 

  Fair Value Measurements 
  Level 1  Level 2  Level 3  Total 
First lien term loans $          -  $          -  $440,456  $440,456 
Second lien term loans  -   -   24,930   24,930 
Unsecured term loans  -   -   2,141   2,141 
Structured finance securities  -   -   49,779   49,779 
Equity interests  -   -   37,007   37,007 
Total $-  $-  $554,313  $554,313 

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2021 (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, 2021 $440,456  $24,930  $2,141  $49,779  $37,007  $554,313 
Payment-in-kind and other adjustments to cost  231           (435)  396   192 
Net accretion of discount on investments  314   7       -   -   321 
Net change in unrealized appreciation (depreciation) on investments  497   485   28   4,077   11,725   16,812 
Purchases  87,321               31,845   119,166 
Sales and repayments  (12,665)              (2,276)  (14,941)
Net realized gain (loss) from investments                  1,910   1,910 
Balance as of May 31, 2021 $516,154  $25,422  $2,169  $53,421  $80,607  $677,773 
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 $838  $485  $28  $4,076  $13,568  $18,995 

 

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

 

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

 

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructures in or out of Levels 1, 2 or 3 during the three months ended May 31, 2021.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2020 (dollars in thousands):

 

  First lien term loans  Second lien term loans  Unsecured term loans  Structured finance securities  Equity interests  Total 
Balance as of February 29, 2020 $346,233  $73,570  $4,346  $32,470  $29,013  $485,632 
Payment-in-kind and other adjustments to cost  191   466   -   (1,361)  -   (704)
Net accretion of discount on investments  279   33   -   -   -   312 
Net change in unrealized appreciation (depreciation) on investments  (19,115)  (4,582)  (1,035)  (3,803)  (3,415)  (31,950)
Purchases  36,189   -   2,500   -   310   38,999 
Sales and repayments  (9,350)  -   -   -   -   (9,350)
Net realized gain (loss) from investments  8   -   -   -   -   8 
Balance as of May 31, 2020 $354,435  $69,487  $5,811  $27,306  $25,908  $482,947 
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the period $(18,880) $(4,583) $(1,034) $(3,804) $(3,414) $(31,715)

 

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

 

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The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of May 31, 2021 were as follows (dollars in thousands):

 

  Fair Value  Valuation Technique Unobservable Input Range  Weighted Average* 
First lien term loans $516,154  Market Comparables Market Yield (%) 5.8% - 18.1%  9.6%
        EBITDA Multiples (x) 6.8x 6.8x
        Revenue Multiples (x) 4.7x - 11.2x  8.2x
Second lien term loans  25,422  Market Comparables Market Yield (%) 10.0% - 23.7%  17.6%
        EBITDA Multiples (x) 7.5x 7.5x
Unsecured term loans  2,169  Market Comparables Market Yield (%) 25.2% 25.2%
        EBITDA Multiples (x) 5.2x 5.2x
Structured finance securities  53,421  Discounted Cash Flow Discount Rate (%) 10.0% - 15.0%  13.9%
        Recovery Rate (%) 35% - 70%  70.0%
        Prepayment Rate (%) 20.0% 20.0%
Equity interests  80,607  Enterprise Value Waterfall EBITDA Multiples (x) 3.3x - 74.0x  32.6x
        Revenue Multiples (x) 0.5x - 21.8x  9.2x
Total $677,773           

 

 

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

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2021 were as follows (dollars in thousands):

 
  Fair Value  Valuation Technique Unobservable Input Range  Weighted Average* 
First lien term loans $440,456  Market Comparables Market Yield (%) 5.8% - 18.7%  9.7%
        EBITDA Multiples (x) 6.8x 6.8x
        Revenue Multiples (x) 4.1x - 8.0x  7.5x
Second lien term loans  24,930  Market Comparables Market Yield (%) 10.0% - 24.5%  16.5%
        EBITDA Multiples (x) 7.5x 7.5x
Unsecured term loans  2,141  Market Comparables Market Yield (%) 31.1% 31.1%
        EBITDA Multiples (x) 5.2x 5.2x
Structured finance securities  49,779  Discounted Cash Flow Discount Rate (%) 10.0% - 15.00%  13.8%
        Recovery Rate (%) 35.0% - 70.0%  70.0%
        Prepayment Rate (%) 20.0% 20.0%
Equity interests  37,007  Enterprise Value Waterfall EBITDA Multiples (x) 4.0x - 14.0x  9.7x
        Revenue Multiples (x) 0.5x - 38.3x  4.6x
Total $554,313           

 

 

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

 

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

 

The composition of our investments as of May 31, 2021 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 $516,790   78.7% $516,154   76.2%
Second lien term loans  29,898   4.6   25,422   3.7 
Unsecured term loans  2,261   0.3   2,169   0.3 
Structured finance securities  51,287   7.8   53,421   7.9 
Equity interests  56,425   8.6   80,607   11.9 
Total $656,661   100.0% $677,773   100.0%

 

The composition of our investments as of February 28, 2021 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 $441,590   80.3% $440,456   79.5%
Second lien term loans  29,891   5.4   24,930   4.4 
Unsecured term loans  2,261   0.4   2,141   0.4 
Structured finance securities  51,722   9.4   49,779   9.0 
Equity interests  24,550   4.5   37,007   6.7 
Total $550,014   100.0% $554,313   100.0%

 

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 inputs that a hypothetical market participant would use to value the security in a current hypothetical sale using a market comparables valuation technique. In applying the market comparables valuation technique, we determine the fair value based on such factors as market participant inputs 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 comparables technique is not sufficient or appropriate, we may use additional techniques such as an asset liquidation or expected recovery model.

 

For equity securities of portfolio companies and partnership interests, we determine the fair value using an enterprise value waterfall valuation technique. Under the enterprise value waterfall valuation technique, 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 techniques and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The techniques 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.

 

27

 

 

Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs 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 flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs 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 inputs about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at May 31, 2021. The inputs at May 31, 2021 for the valuation model include:

 

Default rate: 2%

 

Recovery rate: 35% -70%

 

Discount rate: 10% – 15%

 

Prepayment rate: 20%

 

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 May 31, 2021.

 

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 Inc. (“Destiny”) 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.

 

Hematerra Holdings Company, LLC

 

HemaTerra Holding Company, LLC (“HemaTerra”) provides SaaS-based software solutions addressing complex supply chain issues across a variety of medical environments, including blood, plasma, tissue, implants and DNA sample management, to customers in blood centers, hospitals, pharmaceuticals, and law enforcement settings.

 

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-3.

 

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Note 4. Investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”)

 

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

 

On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period ending January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, the Company also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par.

 

On February 11, 2020, the Company entered into an unsecured loan agreement with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd., (“CLO 2013-1 Warehouse 2”) a wholly-owned subsidiary Saratoga CLO.

 

On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. As of May 31, 2021, there remained an outstanding receivable of $2.6 million for such transaction costs which is presented as due from affiliate on the Company’s consolidated statement of assets and liabilities.

 

The Saratoga CLO remains 100.0% owned and managed by the Company. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

 

For the three months ended May 31, 2021 and May 31, 2020, we accrued management fee income of $0.8 million and $0.6 million, respectively, and interest income of $1.1 million and $0.6 million, respectively, from the Saratoga CLO.

 

As of May 31, 2021, the aggregate principal amounts of the Company’s investments in the subordinated notes and Class F-R-3 Notes of the Saratoga CLO was $111.0 million and $17.9 million, respectively, which had a corresponding fair value of $35.5 million and $17.9 million, respectively. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of May 31, 2021, Saratoga CLO had investments with a principal balance of $685.6 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. As of May 31, 2021, the present value of the projected future cash flows of the subordinated notes was approximately $36.2 million, using a 15.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 which consists of investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021; to date the Company has since received distributions of $68.4 million, management fees of $25.7 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.

 

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As of February 28, 2021, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $31.4 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of February 28, 2021, the fair value of its investment in the Class F-R-3 Notes was $18.3 million, As of February 28, 2021, Saratoga CLO had investments with a principal balance of $603.7 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. As of February 28, 2021, the present value of the projected future cash flows of the subordinated notes was approximately $31.7 million, using a 15.0% discount rate.

 

Below is certain financial information from the separate financial statements of Saratoga CLO as of May 31, 2021 (unaudited) and February 28, 2021 and for the three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited).

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

  May 31, 2021  February 28, 2021 
  (unaudited)    
ASSETS      
Investments at fair value      
Loans at fair value (amortized cost of $676,759,933 and $594,722,350, respectively) $672,967,501  $591,518,866 
Equities at fair value (amortized cost of $385,327 and $527,124, respectively)  467,214   501,175 
Total investments at fair value (amortized cost of $677,145,260 and $595,249,474, respectively)  673,434,715   592,020,041 
Cash and cash equivalents  10,710,367   114,145,406 
Receivable from open trades  4,531,236   1,901,754 
Interest receivable (net of reserve of $37,834 and $35,000, respectively)  2,027,683   1,497,333 
Prepaid expenses and other assets  71,753   118,868 
Total assets $690,775,754  $709,683,402 
         
LIABILITIES        
Interest payable $3,847,101  $124,233 
Payable from open trades  41,198,406   66,298,568 
Accrued base management fee  170,576   6,930 
Accrued subordinated management fee  682,301   27,715 
Accounts payable and accrued expenses  78,545   809,760 
Due to Affiliate  2,600,000   2,600,000 
Saratoga Investment Corp. CLO 2013-1, Ltd. Notes:        
Class A-1-R-3 Senior Secured Floating Rate Notes  357,500,000   357,500,000 
Class A-2-R-3 Senior Secured Floating Rate Notes  65,000,000   65,000,000 
Class B-FL-R-3 Senior Secured Floating Rate Notes  60,500,000   60,500,000 
Class B-FXD-R-3 Senior Secured Fixed Rate Notes  11,000,000   11,000,000 
Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes  26,000,000   26,000,000 
Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes  6,500,000   6,500,000 
Class D-R-3 Deferrable Mezzanine Floating Rate Notes  39,000,000   39,000,000 
Discount on Class D-R-3 Notes  (286,302)  (292,368)
Class E-R-3 Deferrable Mezzanine Floating Rate Notes  27,625,000   27,625,000 
Discount on Class E-R-3 Notes  (2,974,358)  (3,037,380)
Class F-R-3 Notes Deferrable Junior Floating Rate Notes  17,875,000   17,875,000 
Deferred debt financing costs  (2,229,317)  (2,276,780)
Subordinated Notes  111,000,000   111,000,000 
Discount on Subordinated Notes  (47,042,654)  (48,039,412)
Total liabilities $718,044,298  $738,221,266 
         
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)  (27,268,794)  (28,538,114)
Total net assets  (27,268,544)  (28,537,864)
Total liabilities and net assets $690,775,754  $709,683,402 

 

See accompanying notes to financial statements.

 

30

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

  For the three months ended 
  May 31, 2021  May 31, 2020 
INVESTMENT INCOME      
Total interest from investments $7,747,740  $7,213,489 
Interest from cash and cash equivalents  572   3,287 
Other income  317,057   109,641 
Total investment income  8,065,369   7,326,417 
EXPENSES        
Interest and debt financing expenses  4,836,177   7,288,568 
Base management fee  163,646   125,521 
Subordinated management fee  654,586   502,085 
Professional fees  35,666   88,490 
Trustee expenses  -   51,858 
Other expense  59,783   28,052 
Total expenses  5,749,858   8,084,574 
NET INVESTMENT INCOME (LOSS)  2,315,511   (758,157)
         
REALIZED AND UNREALIZED LOSS ON INVESTMENTS        
Net realized loss from investments  (565,094)  (1,803,884)
Net change in unrealized depreciation on investments  (481,097)  (31,575,429)
Net realized and unrealized gain (loss) on investments  (1,046,191)  (33,379,313)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $1,269,320  $(34,137,470)

 

See accompanying notes to financial statements

 

31

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

May 31, 2021

(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 
Covia Holdings C/S (Unimin) Metals & Mining Common Stock Equity -  -   -   -   -   49,312   385,327  $369,840 
Fusion Connect Warrant Telecommunications Warrants Equity -  -   -   -   -   32,832   -   - 
J Jill Common Stock Retail Common Stock Equity -  -   -   -   -   5,085   -   97,374 
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  $2,055,028  $2,042,826   1,972,827 
Adtalem Global Education Inc. Services: Business Term Loan B (02/21) Loan  1M USD LIBOR+  4.50%  0.75%  5.25%  2/12/2028   2,000,000   1,980,000   1,984,580 
Aegis Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan  3M USD LIBOR+  5.50%  1.00%  6.50%  5/9/2025   3,386,421   3,367,055   3,265,797 
Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan  1M USD LIBOR+  2.75%  0.00%  2.88%  1/4/2026   490,000   490,000   488,775 
Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (09/20) Loan  1M USD LIBOR+  2.75%  0.75%  3.50%  1/4/2026   384,464   381,065   383,503 
AHEAD DB Holdings, LLC Services: Business Term Loan (04/21) Loan  3M USD LIBOR+  3.75%  0.75%  4.50%  10/18/2027   3,000,000   2,888,935   2,995,770 
AI Convoy (Luxembourg) S.a.r.l. Aerospace & Defense Term Loan B (USD) Loan  3M USD LIBOR+  3.50%  1.00%  4.50%  1/18/2027   1,485,000   1,479,037   1,484,376 
AIS HoldCo, LLC Services: Business Term Loan Loan  3M USD LIBOR+  5.00%  0.00%  5.19%  8/15/2025   5,212,127   5,058,226   5,107,885 
Alchemy Copyrights, LLC Media: Diversified & Production Term Loan B Loan  1M USD LIBOR+  3.00%  0.50%  3.50%  3/10/2028   497,503   494,212   496,259 
Alchemy US Holdco 1, LLC Metals & Mining Term Loan Loan  1M USD LIBOR+  5.50%  0.00%  5.59%  10/10/2025   1,887,500   1,868,406   1,850,939 
Alion Science and Technology Corporation Aerospace & Defense Term Loan (2/21) Loan  1M USD LIBOR+  2.75%  0.75%  3.50%  7/23/2024   3,990,000   3,975,478   3,974,040 
AlixPartners, LLP Banking, Finance, Insurance & Real Estate Term Loan B (01/21) Loan  1M USD LIBOR+  2.75%  0.50%  3.25%  2/4/2028   250,000   249,391   248,958 
Alkermes, Inc. Healthcare & Pharmaceuticals Term Loan B (3/21) Loan  3M USD LIBOR+  2.50%  0.50%  3.00%  3/12/2026   500,000   498,791   496,250 
Allen Media, LLC Media: Diversified & Production Term Loan Loan  3M USD LIBOR+  5.50%  0.00%  5.70%  2/10/2027   2,969,527   2,957,931   2,962,103 
Alliant Holdings I, Inc. Banking, Finance, Insurance & Real Estate Term Loan B3 Loan  1M USD LIBOR+  3.75%  0.50%  4.25%  11/6/2027   500,000   497,500   500,375 
Altisource Solutions 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   1,223,297   1,219,007   1,026,554 
Altium Packaging LLC Containers, Packaging & Glass Term Loan (01/21) Loan  1M USD LIBOR+  2.75%  0.50%  2.84%  1/29/2028   500,000   497,552   496,485 
Altra Industrial Motion Corp. Capital Equipment Term Loan Loan  1M USD LIBOR+  2.00%  0.00%  2.09%  10/1/2025   1,477,611   1,475,296   1,470,223 
American Greetings Corporation Media: Advertising, Printing & Publishing Term Loan Loan  1M USD LIBOR+  4.50%  1.00%  5.50%  4/6/2024   3,878,028   3,876,039   3,878,028 
American Trailer World Corp Automotive Term Loan Loan  1M USD LIBOR+  3.75%  0.75%  4.50%  3/3/2028   2,000,000   1,990,352   1,996,260 
AmeriLife Holdings LLC Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  4.00%  0.00%  4.11%  3/18/2027   1,488,901   1,480,666   1,487,040 
AmWINS Group, LLC Banking, Finance, Insurance & Real Estate Term Loan 2/21 Loan  1M USD LIBOR+  2.25%  0.75%  3.00%  2/17/2028   1,995,000   1,990,338   1,984,826 
Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan  3M USD LIBOR+  3.75%  0.00%  3.95%  8/11/2025   975,000   971,940   698,519 
Anchor Glass Container Corporation Containers, Packaging & Glass Term Loan (07/17) Loan  3M USD LIBOR+  2.75%  1.00%  3.75%  12/7/2023   478,844   477,830   431,333 

 

 

 

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  Issuer Name 
Anchor Packaging, LLC Containers, Packaging & Glass Term Loan B Loan 1M USD LIBOR+  4.00%  0.00%  4.11%  7/18/2026   994,937   985,812   996,180 
ANI Pharmaceuticals, Inc. Healthcare & Pharmaceuticals ANI Pharmaceuticals 5/21 T/L B Loan 3M USD LIBOR+  6.00%  0.75%  6.75%  5/24/2027   3,000,000   2,940,000   2,947,500 
APi Group DE, Inc. (J2 Acquisition) Services: Business Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  2.59%  10/1/2026   987,500   983,568   980,094 
APLP Holdings Limited Partnership Energy: Electricity Term Loan B (3/21) Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  4/1/2027   1,000,000   990,055   1,000,630 
Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  2.84%  5/15/2026   2,992,386   2,954,312   2,962,462 
Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate Term Loan B1 (2/21) Loan 1M USD LIBOR+  3.50%  0.50%  4.00%  3/6/2028   1,000,000   990,216   997,500 
AppLovin Corporation High Tech Industries Term Loan B Loan 1M USD LIBOR+  3.25%  0.00%  3.34%  8/15/2025   997,449   997,449   995,893 
Aramark Corporation Services: Consumer Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  1.84%  1/15/2027   2,475,000   2,398,873   2,438,915 
Aramark Corporation Services: Consumer Term Loan B (4/21) Loan 1M USD LIBOR+  2.50%  0.00%  2.59%  4/1/2028   2,000,000   1,990,169   1,989,580 
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   3,338,111   3,200,174 
Aretec Group, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+  4.25%  0.00%  4.34%  10/1/2025   2,455,000   2,447,156   2,444,763 
ARISTOCRAT LEISURE LIMITED Hotel, Gaming & Leisure Term Loan (5/20) Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  10/19/2024   992,500   976,985   993,741 
ASP MSG Acquisition Co., Inc Beverage, Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+  4.00%  1.00%  5.00%  8/16/2023   3,820,663   3,787,713   3,820,663 
Aspen Dental Management, Inc. Services: Consumer Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  2.84%  4/30/2025   1,945,276   1,939,344   1,922,069 
Asplundh Tree Expert, LLC Services: Business Term Loan 2/21 Loan 1M USD LIBOR+  1.75%  0.00%  1.84%  9/7/2027   995,000   990,535   992,353 
Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+  3.00%  0.00%  3.09%  11/3/2023   328,929   327,614   328,037 
Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B8 Loan 1M USD LIBOR+  3.25%  0.00%  3.34%  12/18/2026   3,017,802   3,005,209   3,001,777 
Avast Software S.R.O. (Sybil Finance) High Tech Industries Term Loan (Sybil Software) Loan 3M USD LIBOR+  2.00%  0.00%  2.20%  3/12/2028   2,000,000   1,995,063   1,993,920 
Avaya, Inc. Telecommunications Term Loan B1 Loan 1M USD LIBOR+  4.25%  0.00%  4.35%  12/15/2027   1,755,766   1,746,470   1,760,156 
Avaya, Inc. Telecommunications Term Loan B-2 (2/21) Loan 1M USD LIBOR+  4.00%  0.00%  4.10%  12/15/2027   1,000,000   1,000,000   1,001,880 
Avison Young (Canada) Inc Services: Business Term Loan Loan 3M USD LIBOR+  6.00%  0.00%  6.19%  1/31/2026   3,432,330   3,386,981   3,380,845 
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   877,024   996,350 
Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B5 Loan 1M USD LIBOR+  2.50%  0.75%  3.25%  12/1/2027   498,750   494,114   499,234 
Azalea TopCo, Inc. Services: Business Incremental Term Loan (4/21) Loan 1M USD LIBOR+  3.75%  0.75%  4.50%  7/24/2026   998,750   991,814   998,331 
B&G Foods, Inc. Beverage, Food & Tobacco Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.59%  10/10/2026   706,458   701,043   705,724 
B.C. Unlimited Liability Co (Burger King) Beverage, Food & Tobacco Term Loan B4 Loan 1M USD LIBOR+  1.75%  0.00%  1.84%  11/19/2026   1,481,250   1,445,382   1,457,639 
Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  0.75%  4.75%  10/14/2027   995,000   981,284   996,244 
Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 3M USD LIBOR+  3.50%  0.50%  4.00%  10/14/2027   250,000   249,375   250,313 
BALL METALPACK, LLC (PE Spray) Containers, Packaging & Glass Term Loan Loan 3M USD LIBOR+  4.50%  0.00%  4.64%  7/25/2025   3,894,875   3,882,778   3,881,905 
Bass Pro Group, LLC Retail Term Loan B (02/21) Loan 6M USD LIBOR+  4.25%  0.75%  5.00%  3/6/2028   997,500   992,617   1,004,233 

 

 

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  Issuer Name 
Belfor Holdings Inc. Services: Consumer Term Loan Loan  1M USD LIBOR+  4.00%  0.00%  4.09%  4/6/2026   250,000   249,697   250,625 
Belron Finance US LLC Automotive Term Loan B (3/21) Loan  3M USD LIBOR+  2.75%  0.50%  3.25%  4/13/2028   2,000,000   1,980,293   1,993,760 
Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  4/23/2026   997,468   990,420   987,494 
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   1,491,237   1,480,658   1,491,237 
Blount International, Inc. Forest Products & Paper Term Loan B (09/18) Loan  1M USD LIBOR+  3.75%  1.00%  4.75%  4/12/2023   3,410,063   3,408,500   3,415,757 
Blucora, Inc. Services: Consumer Term Loan (11/17) Loan  3M USD LIBOR+  4.00%  1.00%  5.00%  5/22/2024   2,449,255   2,442,432   2,455,378 
Blue Tree Holdings, Inc. Chemicals, Plastics, & Rubber Term Loan (2/21) Loan  3M USD LIBOR+  2.50%  0.00%  2.65%  3/4/2028   1,000,000   997,582   992,500 
Bombardier Recreational Products, Inc. Consumer goods: Durable Term Loan (1/20) Loan  1M USD LIBOR+  2.00%  0.00%  2.09%  5/24/2027   1,481,300   1,470,721   1,463,613 
Boxer Parent Company, Inc. High Tech Industries Term Loan (2/21) Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  10/2/2025   527,385   527,385   524,442 
Bracket Intermediate Holding Corp Healthcare & Pharmaceuticals Term Loan Loan  3M USD LIBOR+  4.25%  0.00%  4.44%  9/5/2025   975,000   971,950   972,563 
BrightSpring Health Services (Phoenix Guarantor) Healthcare & Pharmaceuticals Term Loan B-3 Loan  1M USD LIBOR+  3.50%  0.00%  3.60%  3/5/2026   1,000,000   1,000,000   992,500 
BroadStreet Partners, Inc. Banking, Finance, Insurance & Real Estate Term Loan B3 Loan  1M USD LIBOR+  3.25%  0.00%  3.34%  1/22/2027   3,001,849   2,995,634   2,972,251 
Brookfield WEC Holdings Inc. Energy: Electricity Term Loan (1/21) Loan  1M USD LIBOR+  2.75%  0.50%  3.25%  8/1/2025   1,488,731   1,491,426   1,478,504 
Buckeye Partners, L.P. Utilities: Oil & Gas Term Loan (1/21) Loan  1M USD LIBOR+  2.25%  0.00%  2.36%  11/1/2026   1,985,012   1,971,201   1,973,321 
BW Gas & Convenience Holdings LLC Beverage, Food & Tobacco Term Loan B Loan  1M USD LIBOR+  3.50%  0.00%  4.00%  3/31/2028   2,500,000   2,475,522   2,503,125 
Cable & Wireless Communications Limited Telecommunications Term Loan B-5 Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  1/31/2028   4,000,000   3,985,297   3,941,440 
Callaway Golf Company Retail Term Loan B Loan  1M USD LIBOR+  4.50%  0.00%  4.59%  1/4/2026   688,125   678,077   691,394 
Cardtronics Inc Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  4.00%  1.00%  5.00%  6/29/2027   1,491,237   1,485,752   1,490,119 
CareerBuilder, LLC Services: Business Term Loan Loan  3M USD LIBOR+  6.75%  1.00%  7.75%  7/31/2023   5,393,388   5,178,845   5,140,600 
CareStream Health, Inc. Healthcare & Pharmaceuticals Term Loan Loan  6M USD LIBOR+  6.75%  1.00%  7.75%  5/8/2023   2,266,801   2,263,321   2,265,849 
Casa Systems, Inc Telecommunications Term Loan Loan  3M USD LIBOR+  4.00%  1.00%  5.00%  12/20/2023   1,402,375   1,396,875   1,391,857 
Castle US Holding Corporation Media: Advertising, Printing & Publishing Term Loan B (USD) Loan  3M USD LIBOR+  3.75%  0.00%  3.95%  1/27/2027   1,992,689   1,979,966   1,958,135 
CBI BUYER, INC. Consumer goods: Durable Term Loan Loan  1M USD LIBOR+  3.25%  0.50%  3.75%  1/6/2028   1,000,000   997,820   997,500 
CCI Buyer, Inc Telecommunications Term Loan Loan  3M USD LIBOR+  4.00%  0.75%  4.75%  12/17/2027   250,000   247,660   250,313 
CCRR Parent, Inc. Healthcare & Pharmaceuticals Term Loan B Loan  3M USD LIBOR+  4.25%  0.75%  5.00%  3/5/2028   1,000,000   995,059   1,003,750 
CCS-CMGC Holdings, Inc. Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+  5.50%  0.00%  5.59%  9/25/2025   2,443,750   2,427,421   2,405,872 
Cengage Learning Acquisitions, Inc. Media: Advertising, Printing & Publishing Term Loan Loan  6M USD LIBOR+  4.25%  1.00%  5.25%  6/7/2023   3,922,164   3,896,977   3,917,811 
CenturyLink, Inc. Telecommunications Term Loan B (1/20) Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  3/15/2027   3,959,975   3,953,704   3,921,880 
Chemours Company, (The) Chemicals, Plastics, & Rubber Term Loan Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  4/3/2025   987,277   940,471   972,468 
Churchill Downs Incorporated Hotel, Gaming & Leisure Term Loan B1 (3/21) Loan  1M USD LIBOR+  2.00%  0.00%  2.10%  3/17/2028   500,000   498,779   495,625 
CIMPRESS PUBLIC LIMITED COMPANY Media: Advertising, Printing & Publishing USD Term Loan Loan  1M USD LIBOR+  3.50%  0.50%  4.00%  4/30/2028   1,000,000   990,029   998,130 

 

 

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  Issuer Name 
CITADEL SECURITIES LP Banking, Finance, Insurance & Real Estate Term Loan B (01/21) Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  2/2/2028   5,000,000   4,993,963   4,963,400 
Clarios Global LP Automotive Term Loan B1 Loan  1M USD LIBOR+  3.25%  0.00%  3.34%  4/30/2026   1,432,521   1,421,559   1,424,915 
Claros Mortgage Trust, Inc Banking, Finance, Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+  5.00%  1.00%  6.00%  8/9/2026   2,989,886   2,968,157   2,997,361 
CNT Holdings I Corp Retail Term Loan Loan  6M USD LIBOR+  3.75%  0.75%  4.50%  11/8/2027   500,000   497,761   500,625 
Cole Haan Consumer goods: Non-durable Term Loan B Loan  3M USD LIBOR+  5.50%  0.00%  5.64%  2/7/2025   943,750   936,747   898,922 
Columbus McKinnon Corporation Capital Equipment Term Loan (4/21) Loan  1M USD LIBOR+  2.75%  0.50%  3.25%  4/7/2028   500,000   498,750   500,625 
Compass Power Generation, LLC Utilities: Electric Term Loan B (08/18) Loan  1M USD LIBOR+  3.50%  1.00%  4.50%  12/20/2024   1,796,999   1,794,130   1,787,260 
Concordia Healthcare Corp. Healthcare & Pharmaceuticals Term Loan Loan  1W USD LIBOR+  5.50%  1.00%  6.50%  9/6/2024   1,153,300   1,114,883   1,146,092 
Connect Finco SARL Telecommunications Term Loan (1/21) Loan  1M USD LIBOR+  3.50%  1.00%  4.50%  12/11/2026   2,970,000   2,829,372   2,971,485 
Consolidated Communications, Inc. Telecommunications Term Loan B Loan  1M USD LIBOR+  3.50%  0.75%  4.25%  10/2/2027   714,005   704,187   714,133 
CoreCivic, Inc. Banking, Finance, Insurance & Real Estate Term Loan (12/19) Loan  1M USD LIBOR+  4.50%  1.00%  5.50%  12/18/2024   3,386,364   3,340,744   3,259,375 
Corelogic, Inc. Services: Business Term Loan (4/21) Loan  3M USD LIBOR+  3.50%  0.50%  4.00%  4/14/2028   2,500,000   2,487,500   2,487,500 
Cortes NP Acquisition Corp (Vertiv) Capital Equipment Term Loan 2/21 Loan  1M USD LIBOR+  2.75%  0.00%  2.86%  3/2/2027   1,995,000   1,995,000   1,986,282 
COWEN INC. Banking, Finance, Insurance & Real Estate Term Loan Loan  6M USD LIBOR+  3.25%  0.00%  4.00%  3/12/2028   2,992,500   2,977,753   2,977,538 
Cross Financial Corp Banking, Finance, Insurance & Real Estate Term Loan B (3/21) Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  9/15/2027   500,000   499,401   500,000 
Crown Subsea Communications Holding, Inc. Construction & Building Term Loan (4/21) Loan  1M USD LIBOR+  5.00%  0.75%  5.75%  4/27/2027   2,876,712   2,848,428   2,881,516 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B (03/17) Loan  1M USD LIBOR+  2.25%  0.00%  2.35%  7/15/2025   1,949,239   1,932,192   1,925,361 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B Loan  1M USD LIBOR+  2.25%  0.00%  2.35%  1/15/2026   488,750   487,986   483,007 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B-5 Loan  1M USD LIBOR+  2.50%  0.00%  2.60%  4/15/2027   493,750   493,750   490,417 
CTS Midco, LLC High Tech Industries Term Loan B Loan  3M USD LIBOR+  6.00%  1.00%  7.00%  11/2/2027   1,995,000   1,939,439   1,995,000 
Daseke Inc Transportation: Cargo Term Loan 2/21 Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  3/5/2028   1,500,000   1,492,658   1,497,495 
DCert Buyer, Inc. High Tech Industries Term Loan Loan  1M USD LIBOR+  4.00%  0.00%  4.09%  10/16/2026   1,496,222   1,496,222   1,496,222 
Dealer Tire, LLC Automotive Term Loan B-1 Loan  1M USD LIBOR+  4.25%  0.00%  4.34%  12/12/2025   2,962,500   2,956,828   2,958,797 
Delek US Holdings, Inc. Utilities: Oil & Gas Term Loan B Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  3/31/2025   6,364,352   6,313,748   6,192,514 
Dell International LLC High Tech Industries Term Loan B-2 Loan  1M USD LIBOR+  1.75%  0.25%  2.00%  9/19/2025   2,524,048   2,522,032   2,523,594 
Delta 2 (Lux) S.a.r.l. Hotel, Gaming & Leisure Term Loan B Loan  1M USD LIBOR+  2.50%  1.00%  3.50%  2/1/2024   818,289   817,607   812,536 
Diamond Sports Group, LLC Media: Broadcasting & Subscription Term Loan Loan  1M USD LIBOR+  3.25%  0.00%  3.35%  8/24/2026   3,435,126   2,925,919   2,459,344 
Digital Room LLC Media: Advertising, Printing & Publishing Term Loan Loan  6M USD LIBOR+  5.00%  0.00%  5.20%  5/21/2026   2,947,500   2,920,541   2,890,024 
Dispatch Acquisition Holdings, LLC Environmental Industries Term Loan B Loan  3M USD LIBOR+  4.25%  0.75%  5.00%  3/25/2028   500,000   495,153   498,750 
Dole Food Company Inc. Beverage, Food & Tobacco Term Loan B Loan  1M USD LIBOR+  2.75%  1.00%  3.75%  4/6/2024   451,599   450,672   451,098 
DRW Holdings, LLC Banking, Finance, Insurance & Real Estate Term Loan (2/21) Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  2/24/2028   6,500,000   6,450,231   6,467,500 

 

 

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  Issuer Name 
DTZ U.S. Borrower, LLC Construction & Building Term Loan Loan  1M USD LIBOR+  2.75%  0.00%  2.84%  8/21/2025   3,905,600   3,893,098   3,857,483 
EagleTree - Carbride Acquisition (Corsair Components) Consumer goods: Durable Term Loan Loan  1M USD LIBOR+  3.75%  1.00%  4.75%  8/28/2024   2,622,418   2,622,540   2,625,696 
Edelman Financial Group Inc., The Banking, Finance, Insurance & Real Estate Term Loan B (3/21) Loan  1M USD LIBOR+  3.75%  0.75%  4.50%  4/7/2028   2,221,875   2,213,226   2,223,275 
Electrical Components Inter., Inc. Capital Equipment Term Loan (6/18) Loan  2M USD LIBOR+  4.25%  0.00%  4.37%  6/26/2025   1,918,921   1,918,167   1,884,534 
ELO Touch Solutions, Inc. Media: Diversified & Production Term Loan (12/18) Loan  1M USD LIBOR+  6.50%  0.00%  6.59%  12/14/2025   2,466,935   2,374,020   2,466,935 
Encapsys, LLC (Cypress Performance Group) Chemicals, Plastics, & Rubber Term Loan B2 Loan  1M USD LIBOR+  3.25%  1.00%  4.25%  11/7/2024   490,998   487,627   490,384 
Endo Luxembourg Finance Company I S.a.r.l. Healthcare & Pharmaceuticals Term Loan (3/21) Loan  1M USD LIBOR+  5.00%  0.75%  5.75%  3/27/2028   2,364,846   2,355,240   2,306,056 
Endure Digital, Inc. High Tech Industries Term Loan B Loan  6M USD LIBOR+  3.50%  0.75%  4.25%  2/10/2028   2,500,000   2,488,102   2,481,775 
Ensemble RCM LLC Services: Business Term Loan Loan  3M USD LIBOR+  3.75%  0.00%  3.94%  8/3/2026   2,992,405   2,985,523   2,995,397 
Enterprise Merger Sub Inc. Healthcare & Pharmaceuticals Term Loan B (06/18) Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  10/10/2025   4,887,500   4,880,760   4,162,000 
EVERI Payments Inc. Hotel, Gaming & Leisure Term Loan B Loan  1M USD LIBOR+  2.75%  0.75%  3.50%  5/9/2024   3,000,000   3,000,000   2,983,140 
EyeCare Partners, LLC Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  2/18/2027   1,982,868   1,981,856   1,963,535 
Finco I LLC Banking, Finance, Insurance & Real Estate Term Loan B (9/20) Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  6/27/2025   2,815,198   2,810,264   2,808,751 
First Brands Group, LLC Automotive 1st Lien Term Loan (3/21) Loan  3M USD LIBOR+  5.00%  1.00%  6.00%  3/30/2027   9,000,000   8,879,410   9,039,420 
First Eagle Investment Management Banking, Finance, Insurance & Real Estate Refinancing Term Loan Loan  3M USD LIBOR+  2.50%  0.00%  2.70%  2/1/2027   5,241,509   5,223,448   5,184,167 
Fitness International, LLC (LA Fitness) Services: Consumer Term Loan B (4/18) Loan  1M USD LIBOR+  3.25%  1.00%  4.25%  4/18/2025   1,330,058   1,324,600   1,259,951 
FOCUS FINANCIAL PARTNERS, LLC Banking, Finance, Insurance & Real Estate Term Loan (1/20) Loan  1M USD LIBOR+  2.00%  0.00%  2.09%  7/3/2024   498,718   498,194   493,626 
Franchise Group, Inc. Services: Consumer First Out Term Loan Loan  3M USD LIBOR+  4.75%  0.75%  5.50%  3/10/2026   1,000,000   990,447   1,000,000 
Franklin Square Holdings, L.P. Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  2.25%  0.00%  2.38%  8/1/2025   4,387,491   4,364,611   4,343,616 
Froneri International (R&R Ice Cream) Beverage, Food & Tobacco Term Loan B-2 Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  1/29/2027   1,985,000   1,981,071   1,956,972 
Fusion Telecommunications International Inc. Telecommunications Take Back 2nd Out Term Loan Loan  6M USD LIBOR+  1.00%  2.00%  3.00%  7/14/2025   827,334   811,091   442,624 
Garrett LX III S.a r.l. Automotive Dollar Term Loan Loan  3M USD LIBOR+  3.25%  0.50%  3.75%  4/28/2028   1,500,000   1,492,558   1,494,375 
Gemini HDPE LLC Chemicals, Plastics, & Rubber Term Loan B (12/20) Loan  3M USD LIBOR+  3.00%  0.50%  3.50%  12/31/2027   2,467,432   2,448,531   2,463,311 
General Nutrition Centers, Inc. Retail Second Lien Term Loan Loan  3M USD LIBOR+  6.00%  0.00%  6.20%  10/7/2026   362,697   362,697   327,033 
Genesee & Wyoming, Inc. Transportation: Cargo Term Loan (11/19) Loan  3M USD LIBOR+  2.00%  0.00%  2.20%  12/30/2026   1,485,000   1,479,107   1,478,080 
GEO Group, Inc., The Banking, Finance, Insurance & Real Estate Term Loan Refinance Loan  1M USD LIBOR+  2.00%  0.75%  2.75%  3/22/2024   3,953,674   3,679,283   3,339,946 
GGP Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  8/27/2025   3,959,389   3,232,212   3,820,811 
GI Chill Acquisition LLC Services: Business Term Loan Loan  3M USD LIBOR+  4.00%  0.00%  4.20%  8/1/2025   3,937,500   3,915,210   3,907,969 
Gigamon Inc. Services: Business Term Loan B Loan  3M USD LIBOR+  3.75%  0.75%  4.50%  12/27/2024   2,923,000   2,906,780   2,915,693 

 

 

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  Issuer Name 
Global Business Travel (GBT) III Inc. Hotel, Gaming & Leisure Term Loan Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  8/13/2025   4,387,500   4,386,754   4,213,843 
Global Tel*Link Corporation Telecommunications Term Loan B Loan  1M USD LIBOR+  4.25%  0.00%  4.34%  11/29/2025   4,938,649   4,716,522   4,517,481 
Go Daddy Operating Company, LLC High Tech Industries Term Loan 2/21 Loan  1M USD LIBOR+  2.00%  0.00%  2.09%  8/10/2027   1,994,975   1,994,975   1,985,319 
Go Wireless Holdings, Inc. Telecommunications Term Loan Loan  1M USD LIBOR+  6.50%  1.00%  7.50%  12/22/2024   2,980,195   2,950,622   2,970,271 
Goodyear Tire & Rubber Company, The Chemicals, Plastics, & Rubber Second Lien Term Loan Loan  1M USD LIBOR+  2.00%  -   2.12%  3/3/2025   3,000,000   2,937,621   2,949,990 
Graham Packaging Co Inc Containers, Packaging & Glass Term Loan (2/21) Loan  1M USD LIBOR+  3.00%  0.75%  3.75%  8/7/2027   979,661   973,157   978,995 
Greenhill & Co., Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+  3.25%  0.00%  3.34%  4/12/2024   3,210,385   3,187,540   3,202,359 
Grosvenor Capital Management Holdings, LLLP Banking, Finance, Insurance & Real Estate Amendment 5 Term Loan Loan  1M USD LIBOR+  2.50%  0.50%  3.00%  2/24/2028   3,899,991   3,894,681   3,886,575 
Guidehouse LLP (fka PricewaterhouseCoopers) Aerospace & Defense Term Loan Loan  1M USD LIBOR+  4.00%  0.00%  4.09%  5/1/2025   4,924,683   4,905,261   4,922,910 
Harbor Freight Tools USA, Inc. Retail Term Loan B (10/20) Loan  1M USD LIBOR+  3.00%  0.75%  3.75%  10/20/2027   2,985,000   2,960,963   2,989,358 
Harland Clarke Holdings Corp. Media: Advertising, Printing & Publishing Term Loan Loan  3M USD LIBOR+  4.75%  1.00%  5.75%  11/3/2023   1,585,355   1,581,292   1,402,596 
Helix Gen Funding, LLc Energy: Electricity Term Loan B (02/17) Loan  1M USD LIBOR+  3.75%  1.00%  4.75%  6/3/2024   238,657   238,480   230,354 
Hillman Group Inc. (The) (New) Consumer goods: Durable Term Loan B-1 Loan  6M USD LIBOR+  2.75%  0.50%  3.25%  2/23/2028   4,156,118   4,145,728   4,148,346 
Hillman Group Inc. (The) (New)(a) Consumer goods: Durable Delayed Draw Term Loan (2/21) Loan  6M USD LIBOR+  2.75%  0.50%  3.25%  2/24/2028   -   (2,110)  (1,578)
HLF Financing SARL (Herbalife) Consumer goods: Non-durable Term Loan B (08/18) Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  8/18/2025   3,900,000   3,888,684   3,875,625 
Holley Purchaser, Inc Automotive Term Loan B Loan  3M USD LIBOR+  5.00%  0.00%  5.19%  10/24/2025   2,443,750   2,427,780   2,435,612 
Howden Group Holdings Banking, Finance, Insurance & Real Estate Term Loan (1/21) Loan  1M USD LIBOR+  3.25%  0.75%  4.00%  11/12/2027   1,688,104   1,682,245   1,686,230 
Hudson River Trading LLC Banking, Finance, Insurance & Real Estate Term Loan (3/21) Loan  1M USD LIBOR+  3.00%  0.00%  3.09%  3/17/2028   6,000,000   5,941,399   5,958,000 
Idera, Inc. High Tech Industries Term Loan (02/21) Loan  6M USD LIBOR+  3.75%  0.75%  4.50%  3/2/2028   4,896,805   4,884,403   4,871,293 
INEOS US PETROCHEM LLC Chemicals, Plastics, & Rubber Term Loan (1/21) Loan  3M USD LIBOR+  2.75%  0.50%  3.25%  1/29/2026   1,000,000   995,462   995,420 
INFINITE BIDCO LLC Wholesale Term Loan Loan  1M USD LIBOR+  3.75%  0.50%  4.25%  3/2/2028   1,500,000   1,496,283   1,492,500 
Ingram Micro Inc. High Tech Industries Term Loan B Loan  3M USD LIBOR+  3.50%  0.50%  4.00%  3/31/2028   1,500,000   1,485,000   1,500,630 
Inmar Acquisition Sub, Inc. Services: Business Term Loan B Loan  3M USD LIBOR+  4.00%  1.00%  5.00%  5/1/2024   3,412,722   3,356,456   3,399,924 
Innophos, Inc. Chemicals, Plastics, & Rubber Term Loan B Loan  1M USD LIBOR+  3.50%  0.00%  3.59%  2/4/2027   495,000   492,965   492,936 
INSTANT BRANDS HOLDINGS INC. Consumer goods: Durable Term Loan 4/21 Loan  3M USD LIBOR+  5.00%  0.75%  5.75%  4/7/2028   2,500,000   2,475,429   2,481,250 
Intermediate Dutch Holdings Services: Business Term Loan B Loan  1M USD LIBOR+  4.00%  0.00%  4.11%  3/6/2028   1,250,000   1,249,974   1,253,438 
Isagenix International, LLC Beverage, Food & Tobacco Term Loan Loan  3M USD LIBOR+  5.75%  1.00%  6.75%  6/14/2025   2,573,824   2,540,638   2,060,681 
Ivory Merger Sub, Inc. Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+  3.50%  0.00%  3.61%  3/14/2025   2,957,262   2,935,237   2,879,634 
J Jill Group, Inc Retail Priming Term Loan Loan  3M USD LIBOR+  5.00%  1.00%  6.00%  5/8/2024   1,773,779   1,772,060   1,259,383 
Jane Street Group Banking, Finance, Insurance & Real Estate Term Loan (1/21) Loan  1M USD LIBOR+  2.75%  0.00%  2.84%  1/31/2028   3,990,000   3,983,483   3,960,793 
Jefferies Finance LLC / JFIN Co-Issuer Corp Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  3.00%  0.00%  3.13%  6/3/2026   3,785,681   3,771,444   3,765,579 

 

 

37

 

 

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  Issuer Name 
Journey Personal Care Corp. Consumer goods: Non-durable Term Loan B Loan  3M USD LIBOR+  4.25%  0.75%  5.00%  3/1/2028   1,000,000   995,057   1,002,500 
JP Intermediate B, LLC Consumer goods: Non-durable Term Loan Loan  3M USD LIBOR+  5.50%  1.00%  6.50%  11/15/2025   4,356,412   4,321,901   4,149,483 
KAR Auction Services, Inc. Automotive Term Loan B (09/19) Loan  1M USD LIBOR+  2.25%  0.00%  2.38%  9/19/2026   246,250   245,803   240,709 
Kindred Healthcare, Inc. Healthcare & Pharmaceuticals Term Loan (6/18) Loan  1M USD LIBOR+  4.50%  0.00%  4.63%  7/2/2025   1,979,747   1,964,017   1,974,797 
Klockner-Pentaplast of America, Inc. Containers, Packaging & Glass Term Loan (1/21) (USD) Loan  3M USD LIBOR+  4.75%  0.50%  5.25%  2/12/2026   1,500,000   1,492,500   1,495,620 
Kodiak BP, LLC Construction & Building Term Loan Loan  3M USD LIBOR+  3.25%  0.75%  4.00%  3/13/2028   500,000   497,544   498,540 
KREF Holdings X LLC Banking, Finance, Insurance & Real Estate Term Loan Loan  3M USD LIBOR+  4.75%  1.00%  5.75%  9/1/2027   498,750   487,470   501,244 
Lakeland Tours, LLC Hotel, Gaming & Leisure Priority Exit PIK Term Loan (9/20) Loan  3M USD LIBOR+  6.00%  1.25%  7.25%  9/25/2023   310,482   296,563   310,560 
Lakeland Tours, LLC Hotel, Gaming & Leisure 2nd Out Take Back PIK Term Loan Loan  3M USD LIBOR+  1.50%  1.25%  2.75%  9/25/2025   593,161   490,262   556,089 
Lakeland Tours, LLC Hotel, Gaming & Leisure Third Out PIK Term Loan Loan  3M USD LIBOR+  1.50%  1.25%  2.75%  9/25/2025   787,437   472,454   653,572 
Lakeland Tours, LLC Hotel, Gaming & Leisure Holdco Fixed Term Loan Loan  Fixed  0.00%  0.00%  13.25%  9/27/2027   814,236   168,153   419,331 
Lealand Finance Company B.V. Energy: Oil & Gas Exit Term Loan Loan  1M USD LIBOR+  1.00%  0.00%  1.09%  6/30/2025   327,151   327,151   142,965 
Learfield Communications, Inc Media: Advertising, Printing & Publishing Initial Term Loan (A-L Parent) Loan  1M USD LIBOR+  3.25%  1.00%  4.25%  12/1/2023   478,750   477,864   444,979 
LIAISON ACQUISITION, LLC High Tech Industries Term Loan (3/21) Loan  6M USD LIBOR+  3.75%  0.75%  4.50%  3/4/2028   997,500   995,060   997,500 
Lifetime Brands, Inc Consumer goods: Non-durable Term Loan B Loan  1M USD LIBOR+  3.50%  1.00%  4.50%  2/28/2025   2,694,077   2,668,083   2,673,871 
Liftoff Mobile, Inc. Media: Advertising, Printing & Publishing Term Loan Loan  3M USD LIBOR+  3.50%  0.75%  4.25%  3/16/2028   997,500   992,653   995,006 
Lightstone Generation LLC Energy: Electricity Term Loan B Loan  3M USD LIBOR+  3.75%  1.00%  4.75%  1/30/2024   1,322,520   1,321,304   1,051,020 
Lightstone Generation LLC Energy: Electricity Term Loan C Loan  3M USD LIBOR+  3.75%  1.00%  4.75%  1/30/2024   74,592   74,526   59,279 
Lindblad Expeditions, Inc. Hotel, Gaming & Leisure US 2018 Term Loan Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  3/21/2025   393,005   392,519   368,442 
Lindblad Expeditions, Inc. Hotel, Gaming & Leisure Cayman Term Loan Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  3/21/2025   98,251   98,130   92,110 
Liquid Tech Solutions Holdings, LLC Services: Business Term Loan Loan  6M USD LIBOR+  4.75%  0.00%  5.50%  3/17/2028   1,000,000   995,165   995,000 
LogMeIn, Inc. High Tech Industries Term Loan (8/20) Loan  1M USD LIBOR+  4.75%  0.00%  4.85%  8/31/2027   3,990,000   3,920,399   3,989,362 
LPL Holdings, Inc. Banking, Finance, Insurance & Real Estate Term Loan B1 Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  11/11/2026   1,229,647   1,227,310   1,220,806 
MA FinanceCo LLC High Tech Industries Term Loan B4 Loan  3M USD LIBOR+  4.25%  1.00%  5.25%  6/5/2025   2,459,296   2,451,618   2,477,741 
MAGNITE, INC. Services: Business Term Loan Loan  3M USD LIBOR+  5.00%  0.75%  5.75%  4/1/2028   2,000,000   1,940,468   1,985,000 
Marriott Ownership Resorts, Inc. Hotel, Gaming & Leisure Term Loan (11/19) Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  8/29/2025   1,317,074   1,317,074   1,295,671 
Match Group, Inc, The Services: Consumer Term Loan (1/20) Loan  3M USD LIBOR+  1.75%  0.00%  1.91%  2/15/2027   250,000   249,518   247,500 
Mayfield Agency Borrower Inc. (FeeCo) Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  4.50%  0.00%  4.59%  2/28/2025   3,418,429   3,390,515   3,378,912 
McAfee, LLC Services: Business Term Loan B Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  9/30/2024   1,922,926   1,916,721   1,923,407 
Meredith Corporation Media: Advertising, Printing & Publishing Term Loan B2 Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  1/31/2025   578,738   578,006   576,278 
Mermaid Bidco Inc. High Tech Industries Term Loan 12/20 Loan  3M USD LIBOR+  4.25%  0.75%  5.00%  12/22/2027   498,750   496,516   497,503 

 

 

38

 

 

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  Issuer Name 
Messer Industries, LLC Chemicals, Plastics, & Rubber Term Loan B Loan  3M USD LIBOR+  2.50%  0.00%  2.70%  3/1/2026   3,844,694   3,824,827   3,812,014 
Michaels Companies Inc Retail Term Loan B (Magic Mergeco) Loan  3M USD LIBOR+  4.25%  0.75%  5.00%  4/8/2028   1,500,000   1,485,239   1,502,970 
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   995,000   945,375   997,667 
MKS Instruments, Inc. High Tech Industries Term Loan B6 Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  2/2/2026   875,615   869,473   872,113 
MLN US Holdco LLC Telecommunications Term Loan Loan  1M USD LIBOR+  4.50%  0.00%  4.61%  12/1/2025   977,500   976,320   864,648 
MMM Holdings, Inc. Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+  5.75%  1.00%  6.75%  12/24/2026   6,635,552   6,525,213   6,639,732 
MRC Global Inc. Metals & Mining Term Loan B2 Loan  1M USD LIBOR+  3.00%  0.00%  3.09%  9/20/2024   351,484   351,032   348,556 
MW Industries, Inc. (Helix Acquisition Holdings) Capital Equipment Term Loan (2019 Incremental) Loan  3M USD LIBOR+  3.75%  0.00%  3.95%  9/30/2024   2,842,097   2,805,201   2,766,299 
Natgasoline LLC Chemicals, Plastics, & Rubber Term Loan Loan  1M USD LIBOR+  3.50%  0.00%  3.63%  11/14/2025   1,483,661   1,455,310   1,457,697 
National Mentor Holdings, Inc. Healthcare & Pharmaceuticals Term Loan 2/21 Loan  3M USD LIBOR+  3.75%  0.75%  4.50%  3/2/2028   2,783,615   2,770,882   2,785,369 
National Mentor Holdings, Inc. Healthcare & Pharmaceuticals Term Loan C 2/21 Loan  3M USD LIBOR+  3.75%  0.75%  4.50%  3/2/2028   87,464   87,043   87,519 
National Mentor Holdings, Inc.(a) Healthcare & Pharmaceuticals Delayed Draw Term Loan 2/21 Loan  3M USD LIBOR+  3.75%  0.75%  4.50%  3/2/2028   -   -   81 
Neenah, Inc. Forest Products & Paper Term Loan B (03/21) Loan  2M USD LIBOR+  3.00%  0.50%  3.50%  4/6/2028   2,000,000   1,990,101   2,000,000 
NeuStar, Inc. Telecommunications Term Loan B4 (03/18) Loan  3M USD LIBOR+  3.50%  1.00%  4.50%  8/8/2024   2,641,566   2,613,561   2,553,734 
NeuStar, Inc. Telecommunications Term Loan B-5 Loan  3M USD LIBOR+  4.50%  1.00%  5.50%  8/8/2024   885,162   874,100   854,624 
Nexstar Broadcasting, Inc. (Mission Broadcasting) Media: Broadcasting & Subscription Term Loan Loan  1M USD LIBOR+  2.50%  0.00%  2.61%  9/18/2026   1,113,795   1,101,650   1,109,930 
Next Level Apparel, Inc. Retail Term Loan Loan  3M PL WIBOR+  6.00%  1.00%  7.00%  8/9/2024   1,762,840   1,752,237   1,621,813 
NM Z Parent Inc (Zep Inc) Chemicals, Plastics, & Rubber Term Loan Loan  6M USD LIBOR+  4.00%  1.00%  5.00%  8/9/2024   2,412,500   2,406,434   2,374,503 
NorthPole Newco S.a.r.l Aerospace & Defense Term Loan Loan  3M USD LIBOR+  7.00%  0.00%  7.20%  3/3/2025   5,239,726   4,845,245   4,506,164 
Novetta Solutions, LLC Aerospace & Defense Term Loan Loan  1M USD LIBOR+  5.00%  1.00%  6.00%  10/16/2022   1,894,870   1,890,672   1,886,589 
Novetta Solutions, LLC Aerospace & Defense Second Lien Term Loan Loan  1M USD LIBOR+  8.50%  1.00%  9.50%  10/16/2023   823,529   820,462   821,471 
Novolex Holdings, Inc (Flex Acquisition) Containers, Packaging & Glass Term Loan (02/21) Loan  3M USD LIBOR+  3.50%  0.50%  4.00%  3/2/2028   1,000,000   995,145   994,110 
NPC International, Inc.(b) Beverage, Food & Tobacco Term Loan Loan  Prime+  4.50%  1.00%  7.75%  4/19/2024   69,157   69,104   2,075 
Nuvei Technologies Corp. High Tech Industries US Term Loan Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  9/29/2025   250,000   249,767   250,000 
Organon & Co. Healthcare & Pharmaceuticals Term Loan USD Loan  3M USD LIBOR+  3.00%  0.50%  3.50%  4/7/2028   2,500,000   2,487,500   2,496,425 
Pacific Gas and Electric Company Utilities: Electric Term Loan Loan  3M USD LIBOR+  3.00%  0.50%  3.50%  6/18/2025   1,491,237   1,484,160   1,478,189 
PAE Holding Corp Aerospace & Defense Term Loan B (10/20) Loan  1M USD LIBOR+  4.50%  0.75%  5.25%  10/14/2027   1,995,000   1,967,492   1,995,000 
Panther Guarantor II, L.P. (Forcepoint) High Tech Industries Term Loan 1/21 Loan  3M USD LIBOR+  4.50%  0.50%  5.00%  1/7/2028   500,000   496,497   500,000 
Pathway Partners Vet Management Company LLC Services: Business Term Loan Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  3/30/2027   495,196   485,099   492,720 
PaySafe Group PLC Services: Business Term Loan B1 (PI UK Holdco II) Loan  1M USD LIBOR+  3.00%  1.00%  4.00%  1/3/2025   1,052,873   1,049,412   1,053,010 
PCI Gaming Authority Hotel, Gaming & Leisure Term Loan Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  5/29/2026   855,192   851,939   850,814 
Penn National Gaming Hotel, Gaming & Leisure Term Loan B-1 Loan  1M USD LIBOR+  2.25%  0.75%  3.00%  10/15/2025   1,777,903   1,720,767   1,774,134 

 

 

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  Issuer Name 
Peraton Corp. Aerospace & Defense Term Loan B Loan  1M USD LIBOR+  3.75%  0.75%  4.50%  2/1/2028   5,000,000   4,975,338   5,004,850 
PGX Holdings, Inc. Services: Consumer Term Loan Loan  12M USD LIBOR+  5.25%  1.00%  6.25%  9/29/2023   3,075,640   3,057,381   2,919,305 
Pitney Bowes Inc Services: Business Term Loan B Loan  1M USD LIBOR+  4.00%  0.00%  4.10%  3/17/2028   3,000,000   2,981,661   3,001,255 
Pixelle Specialty Solutions LLC Forest Products & Paper Term Loan Loan  1M USD LIBOR+  6.50%  1.00%  7.50%  10/31/2024   3,535,026   3,512,371   3,521,028 
Plastipak Holdings Inc. Containers, Packaging & Glass Term Loan B (04/18) Loan  1M USD LIBOR+  2.50%  0.00%  2.60%  10/14/2024   2,789,599   2,773,113   2,784,132 
Playtika Holding Corp. High Tech Industries Term Loan B (3/21) Loan  1M USD LIBOR+  2.75%  0.00%  2.84%  3/13/2028   4,500,000   4,490,104   4,480,560 
PointClickCare Technologies, Inc. High Tech Industries Term Loan B Loan  6M USD LIBOR+  3.00%  0.75%  3.75%  12/29/2027   500,000   497,710   499,065 
Polymer Process Holdings, Inc. Containers, Packaging & Glass Term Loan Loan  1M USD LIBOR+  4.75%  0.75%  5.50%  2/12/2028   5,500,000   5,427,787   5,493,125 
PPD, Inc. Healthcare & Pharmaceuticals Term Loan (12/20) Loan  1M USD LIBOR+  2.25%  0.50%  2.75%  1/13/2028   500,000   497,667   498,930 
Pre-Paid Legal Services, Inc. Services: Consumer Incremental Term Loan Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  5/1/2025   995,000   982,061   994,383 
Presidio, Inc. Services: Business Term Loan B (1/20) Loan  1M USD LIBOR+  3.50%  0.00%  3.60%  1/22/2027   496,250   495,369   493,977 
Prime Security Services Borrower, LLC (ADT) Services: Consumer Term Loan (1/21) Loan  12M USD LIBOR+  2.75%  0.75%  3.50%  9/23/2026   3,583,174   3,571,738   3,580,952 
PRIORITY HOLDINGS, LLC Services: Consumer Term Loan Loan  3M USD LIBOR+  5.75%  1.00%  6.75%  4/27/2027   4,525,424   4,435,373   4,440,570 
PRIORITY HOLDINGS, LLC(a) Services: Consumer Delayed Draw Term Loan Loan  3M USD LIBOR+  5.75%  1.00%  6.75%  4/21/2027   -   -   (27,648)
PriSo Acquisition Corporation Construction & Building Term Loan (01/21) Loan  3M USD LIBOR+  3.25%  0.75%  4.00%  12/28/2027   500,000   497,590   496,640 
Project Leopard Holdings Inc High Tech Industries Term Loan Loan  6M USD LIBOR+  4.75%  1.00%  5.75%  7/5/2024   498,750   497,503   499,284 
Prometric Inc. (Sarbacane Bidco) Services: Consumer Term Loan Loan  1M USD LIBOR+  3.00%  1.00%  4.00%  1/29/2025   485,100   483,799   477,217 
PUG LLC Services: Consumer Term Loan B (02/20) Loan  1M USD LIBOR+  3.50%  0.00%  3.59%  2/12/2027   488,788   486,755   475,957 
Rackspace Technology Global, Inc. High Tech Industries Term Loan (1/21) Loan  3M USD LIBOR+  2.75%  0.75%  3.50%  2/15/2028   500,000   497,684   497,550 
Radiology Partners Holdings, LLC Healthcare & Pharmaceuticals Term Loan Loan  1M USD LIBOR+  4.25%  0.00%  4.35%  7/4/2025   1,432,727   1,427,844   1,431,452 
RealPage, Inc. High Tech Industries Term Loan (04/21) Loan  1M USD LIBOR+  3.25%  0.50%  3.75%  4/24/2028   1,000,000   997,719   998,500 
Renaissance Learning, Inc. Services: Consumer Term Loan (5/18) Loan  1M USD LIBOR+  3.25%  0.00%  3.34%  5/30/2025   2,982,444   2,954,678   2,951,009 
Rent-A-Center, Inc. Retail Term Loan B (01/21) Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  2/17/2028   500,000   497,671   502,710 
REP WWEX (Worldwide Express) Aquisition Parent, LLC Transportation: Consumer Term Loan B Loan  6M USD LIBOR+  4.00%  1.00%  5.00%  2/2/2024   1,922,830   1,921,852   1,913,812 
Research Now Group, Inc Media: Advertising, Printing & Publishing Term Loan Loan  6M USD LIBOR+  5.50%  1.00%  6.50%  12/20/2024   3,877,311   3,791,756   3,835,630 
Resideo Funding Inc. Services: Consumer Term Loan (1/21) Loan  1M USD LIBOR+  2.25%  0.50%  2.75%  2/11/2028   1,500,000   1,496,263   1,498,125 
Resolute Investment Managers (American Beacon), Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/20) Loan  3M USD LIBOR+  3.75%  1.00%  4.75%  4/30/2024   2,644,078   2,644,078   2,647,383 
Rexnord LLC Capital Equipment Term Loan (11/19) Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  8/21/2024   862,069   862,069   860,681 
Reynolds Consumer Products LLC Containers, Packaging & Glass Term Loan Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  1/29/2027   1,303,182   1,301,941   1,296,666 
Reynolds Group Holdings Inc. Metals & Mining Term Loan B2 Loan  1M USD LIBOR+  3.25%  0.00%  3.34%  2/5/2026   3,491,250   3,472,633   3,460,073 
Robertshaw US Holding Corp. Consumer goods: Durable Term Loan B Loan  1M USD LIBOR+  3.50%  1.00%  4.50%  2/28/2025   970,000   968,628   931,811 
Rocket Software, Inc. High Tech Industries Term Loan (11/18) Loan  1M USD LIBOR+  4.25%  0.00%  4.34%  11/28/2025   2,927,595   2,918,755   2,869,951 

 

 

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  Issuer Name 
RP Crown Parent, LLC High Tech Industries Term Loan B (07/20) Loan  1M USD LIBOR+  3.00%  1.00%  4.00%  1/31/2026   1,985,000   1,976,585   1,980,038 
Russell Investments US Inst'l Holdco, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/20) Loan  6M USD LIBOR+  3.50%  1.00%  4.50%  6/2/2025   5,637,965   5,593,655   5,590,381 
RV Retailer LLC Automotive Term Loan Loan  3M USD LIBOR+  4.00%  0.75%  4.75%  2/8/2028   2,000,000   1,981,119   2,002,500 
Ryan Specialty Group LLC Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  3.00%  0.75%  3.75%  9/1/2027   497,500   490,812   497,192 
S&S HOLDINGS LLC Services: Business Term Loan Loan  3M USD LIBOR+  5.00%  0.50%  5.50%  3/10/2028   2,000,000   1,941,161   1,960,000 
Sally Holdings LLC Retail Term Loan B Loan  1M USD LIBOR+  2.25%  0.00%  2.35%  7/5/2024   768,409   766,408   767,449 
Samsonite International S.A. Consumer goods: Non-durable Term Loan B2 Loan  1M USD LIBOR+  4.50%  1.00%  5.50%  4/25/2025   992,500   968,147   997,463 
Savage Enterprises, LLC Energy: Oil & Gas Term Loan B (02/20) Loan  1M USD LIBOR+  3.00%  0.00%  3.10%  8/1/2025   1,769,504   1,755,546   1,769,186 
Schweitzer-Mauduit International, Inc. High Tech Industries Term Loan B Loan  1M USD LIBOR+  3.75%  0.75%  4.50%  2/9/2028   3,000,000   2,982,752   2,962,500 
Shutterfly Inc Media: Advertising, Printing & Publishing Term Loan B Loan  3M USD LIBOR+  6.00%  1.00%  7.00%  9/25/2026   800,968   768,718   803,539 
Sirius Computer Solutions, Inc. High Tech Industries Term Loan 1/20 Loan  1M USD LIBOR+  3.50%  0.00%  3.59%  7/1/2026   1,965,125   1,961,756   1,957,756 
SiteOne Landscape Supply, LLC Services: Business Term Loan (3/21) Loan  3M USD LIBOR+  2.00%  0.50%  2.50%  3/18/2028   1,000,000   997,527   998,125 
SMG US Midco 2, Inc. Services: Business Term Loan (01/20) Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  1/23/2025   493,750   493,750   477,397 
Sotheby's Services: Business Term Loan (1/21) Loan  3M USD LIBOR+  4.75%  0.75%  5.50%  1/15/2027   3,281,059   3,225,334   3,300,188 
Sparta U.S. HoldCo LLC Chemicals, Plastics, & Rubber Term Loan (04/21) Loan  3M USD LIBOR+  3.50%  0.75%  4.25%  4/29/2028   2,000,000   1,990,000   2,001,260 
Specialty Pharma III Inc. Services: Business Term Loan Loan  1M USD LIBOR+  4.50%  0.75%  5.25%  2/24/2028   2,000,000   1,980,475   1,980,000 
Spectrum Brands, Inc. Consumer goods: Durable Term Loan (2/21) Loan  3M USD LIBOR+  2.00%  0.50%  2.50%  3/3/2028   500,000   498,801   496,875 
Spin Holdco, Inc. Services: Consumer Term Loan 3/21 Loan  3M USD LIBOR+  4.00%  0.75%  4.75%  3/4/2028   3,000,000   2,982,790   2,994,390 
SRAM, LLC Consumer goods: Durable Term Loan (05/21) Loan  1M USD LIBOR+  2.75%  0.50%  3.25%  5/12/2028   4,000,000   3,993,419   4,003,320 
SS&C Technologies, Inc. Services: Business Term Loan B3 Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  4/16/2025   227,838   227,511   225,248 
SS&C Technologies, Inc. Services: Business Term Loan B4 Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  4/16/2025   171,974   171,731   170,019 
SS&C Technologies, Inc. Services: Business Term Loan B-5 Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  4/16/2025   487,250   486,503   482,455 
Staples, Inc. Wholesale Term Loan (03/19) Loan  3M USD LIBOR+  5.00%  0.00%  5.18%  4/16/2026   4,420,291   4,281,071   4,311,021 
Stats LLC Hotel, Gaming & Leisure Term Loan Loan  3M USD LIBOR+  5.25%  0.00%  5.41%  7/10/2026   1,975,000   1,937,408   1,966,369 
Storable, Inc High Tech Industries Term Loan B Loan  3M USD LIBOR+  3.25%  0.50%  3.75%  4/17/2028   500,000   498,796   497,500 
Syncsort Incorporated High Tech Industries Term Loan (3/21) Loan  3M USD LIBOR+  4.25%  0.75%  5.00%  4/23/2028   2,000,000   1,990,148   1,990,620 
Teneo Holdings LLC Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  5.25%  1.00%  6.25%  7/15/2025   4,462,500   4,375,178   4,458,038 
Tenneco Inc Capital Equipment Term Loan B Loan  1M USD LIBOR+  3.00%  0.00%  3.09%  10/1/2025   1,466,250   1,456,872   1,442,057 
Ten-X, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan  1M USD LIBOR+  4.00%  1.00%  5.00%  9/27/2024   1,935,000   1,933,403   1,854,369 
The Octave Music Group, Inc (Touchtunes) Services: Business Term Loan B Loan  1M USD LIBOR+  5.25%  1.00%  6.25%  5/29/2025   3,862,069   3,830,224   3,717,241 
Thor Industries, Inc. Automotive USD Term Loan (3/21) Loan  1M USD LIBOR+  3.00%  0.00%  3.13%  2/1/2026   2,935,080   2,877,153   2,937,276 
Tivity Health, Inc. Healthcare & Pharmaceuticals Term Loan A Loan  1M USD LIBOR+  4.25%  0.00%  4.34%  3/7/2024   558,772   555,397   557,549 

 

 

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  Issuer Name 
Tivity Health, Inc. Healthcare & Pharmaceuticals Term Loan B Loan  1M USD LIBOR+  5.25%  0.00%  5.34%  3/6/2026   1,008,704   990,066   1,006,435 
Tosca Services, LLC Containers, Packaging & Glass Term Loan (2/21) Loan  1M USD LIBOR+  3.50%  0.75%  4.25%  8/18/2027   498,750   492,116   498,750 
Transdigm, Inc. Aerospace & Defense Term Loan G (02/20) Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  8/22/2024   4,054,964   4,058,185   4,004,277 
Travel Leaders Group, LLC Hotel, Gaming & Leisure Term Loan B (08/18) Loan  1M USD LIBOR+  4.00%  0.00%  4.09%  1/25/2024   2,431,250   2,429,510   2,313,748 
TRC Companies, Inc. Services: Business Term Loan Loan  1M USD LIBOR+  3.50%  1.00%  4.50%  6/21/2024   3,315,141   3,308,144   3,290,277 
TRC Companies, Inc. Services: Business Term Loan (1/21) Loan  1M USD LIBOR+  4.50%  0.75%  5.25%  6/21/2024   2,479,433   2,469,041   2,467,035 
Trident LS Merger Sub Corporation Services: Consumer Term Loan (03/18) Loan  1M USD LIBOR+  3.25%  0.00%  3.34%  5/1/2025   2,000,000   2,004,661   1,981,880 
TRITON WATER HOLDINGS, INC. Beverage, Food & Tobacco Term Loan (03/21) Loan  3M USD LIBOR+  3.50%  0.50%  4.00%  3/31/2028   1,500,000   1,492,701   1,498,125 
Tronox Pigments (Netherlands) B.V. Chemicals, Plastics, & Rubber Term Loan Loan  3M USD LIBOR+  2.50%  0.00%  2.68%  3/10/2028   495,769   494,555   492,051 
Truck Hero, Inc. Transportation: Cargo Term Loan (1/21) Loan  1M USD LIBOR+  3.75%  0.75%  4.50%  1/29/2028   1,500,000   1,500,000   1,500,000 
TruGreen Limited Partnership Services: Consumer Term Loan Loan  1M USD LIBOR+  4.00%  0.75%  4.75%  10/29/2027   971,545   964,300   973,061 
Twin River Worldwide Holdings, Inc. Hotel, Gaming & Leisure Term Loan B Loan  3M USD LIBOR+  2.75%  0.00%  2.95%  5/10/2026   982,500   978,885   973,412 
Uber Technologies, Inc. Transportation: Consumer Term Loan B (2/21) Loan  1M USD LIBOR+  3.50%  0.00%  3.59%  2/25/2027   3,979,194   3,935,742   3,976,727 
Ultra Clean Holdings, Inc. High Tech Industries Incremental Term Loan 3/21 Loan  1M USD LIBOR+  3.75%  0.00%  3.84%  8/27/2025   993,750   988,949   994,992 
Unimin Corporation Metals & Mining Term Loan (12/20) Loan  3M USD LIBOR+  4.00%  1.00%  5.00%  7/31/2026   496,815   467,847   484,891 
United Natural Foods, Inc Beverage, Food & Tobacco Term Loan B Loan  1M USD LIBOR+  3.50%  0.00%  3.59%  10/22/2025   1,929,662   1,842,097   1,931,418 
United Road Services Inc. Transportation: Cargo Term Loan (10/17) Loan  6M USD LIBOR+  5.75%  1.00%  6.75%  9/1/2024   944,590   937,482   758,034 
Univar Inc. Chemicals, Plastics, & Rubber Term Loan B3 (11/17) Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  7/1/2024   1,627,723   1,623,611   1,625,949 
Univar Inc. Chemicals, Plastics, & Rubber Univar 5/21 T/L B6 Loan  3M USD LIBOR+  2.00%  0.00%  2.00%  5/26/2028   2,000,000   1,990,000   1,996,260 
Univision Communications Inc. Media: Broadcasting & Subscription 2020 Replacement Term Loan Loan  1M USD LIBOR+  3.75%  1.00%  4.75%  3/13/2026   2,483,907   2,476,102   2,489,769 
US Concrete Inc Construction & Building Term Loan (5/21) Loan  3M USD LIBOR+  3.00%  0.50%  3.50%  6/30/2028   2,000,000   1,995,000   2,000,000 
US Ecology, Inc. Environmental Industries Term Loan B Loan  1M USD LIBOR+  2.50%  0.00%  2.59%  11/2/2026   493,750   492,881   494,061 
Utz Quality Foods, LLC Beverage, Food & Tobacco Term Loan B Loan  1M USD LIBOR+  3.00%  0.00%  3.09%  1/20/2028   99,750   99,524   99,646 
Verifone Systems, Inc. Banking, Finance, Insurance & Real Estate Term Loan (7/18) Loan  3M USD LIBOR+  4.00%  0.00%  4.15%  8/20/2025   1,393,034   1,386,950   1,372,724 
VFH Parent LLC Banking, Finance, Insurance & Real Estate Term Loan B Loan  1M USD LIBOR+  3.00%  0.00%  3.10%  3/1/2026   3,100,888   3,091,860   3,098,966 
Virence Intermediate Holdings LLC (Athenahealth / VVC Holding) Healthcare & Pharmaceuticals Term Loan B (01/21) Loan  1M USD LIBOR+  4.25%  0.00%  4.35%  2/11/2026   2,965,000   2,937,251   2,973,154 
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   2,278,506   2,278,252   2,275,658 
Vistra Energy Corp Utilities: Electric 2018 Incremental Term Loan Loan  1M USD LIBOR+  1.75%  0.00%  1.85%  12/31/2025   914,798   914,187   909,464 
Vizient, Inc Healthcare & Pharmaceuticals Term Loan B-6 Loan  1M USD LIBOR+  2.00%  0.00%  2.09%  5/6/2026   490,000   489,184   487,246 
VM Consolidated, Inc. Construction & Building Term Loan B (3/21) Loan  3M USD LIBOR+  3.25%  0.00%  3.45%  3/19/2028   2,357,005   2,353,437   2,347,176 
Vouvray US Finance LLC High Tech Industries Term Loan Loan  1M USD LIBOR+  3.00%  1.00%  4.00%  3/11/2024   480,000   480,000   429,600 
Warner Music Group Corp. (WMG Acquisition Corp.) Hotel, Gaming & Leisure Term Loan G Loan  1M USD LIBOR+  2.13%  0.00%  2.22%  1/20/2028   1,250,000   1,249,724   1,241,925 

 

 

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  Issuer Name 
Wastequip, LLC (HPCC Merger/Patriot Container) Environmental Industries Term Loan (3/18) Loan  1M USD LIBOR+  3.50%  1.00%  4.50%  3/15/2025   493,639   491,781   488,293 
Watlow Electric Manufacturing Company High Tech Industries Term Loan B Loan  3M USD LIBOR+  4.00%  0.50%  4.50%  3/2/2028   2,500,000   2,487,754   2,504,175 
WeddingWire, Inc. Services: Consumer Term Loan Loan  2M USD LIBOR+  4.50%  0.00%  4.65%  12/19/2025   4,907,449   4,899,471   4,895,180 
West Corporation Telecommunications Term Loan B (Olympus Merger) Loan  3M USD LIBOR+  4.00%  1.00%  5.00%  10/10/2024   1,221,591   1,167,084   1,187,802 
West Corporation Telecommunications Term Loan B Loan  3M USD LIBOR+  3.50%  1.00%  4.50%  10/10/2024   2,923,593   2,870,970   2,828,986 
Western Dental Services, Inc. Retail Term Loan (12/18) Loan  1M USD LIBOR+  5.25%  1.00%  6.25%  6/30/2023   422,920   423,244   421,863 
Western Digital Corporation High Tech Industries Term Loan B-4 Loan  1M USD LIBOR+  1.75%  0.00%  1.84%  4/29/2023   583,135   576,100   582,511 
WEX Inc. Services: Business Term Loan B (3/21) Loan  1M USD LIBOR+  2.25%  0.00%  2.34%  3/31/2028   2,000,000   1,990,153   1,990,500 
WildBrain Ltd. Media: Diversified & Production Term Loan Loan  1M USD LIBOR+  4.25%  0.75%  5.00%  3/27/2028   2,000,000   1,960,819   1,987,080 
Wirepath LLC Consumer goods: Non-durable Term Loan Loan  3M USD LIBOR+  4.00%  0.00%  4.20%  8/5/2024   2,917,712   2,901,034   2,859,358 
WP CITYMD BIDCO LLC Services: Consumer Term Loan B (1/21) Loan  6M USD LIBOR+  3.75%  0.75%  4.50%  8/13/2026   5,451,338   5,425,517   5,464,094 
Xperi Corporation High Tech Industries Term Loan Loan  1M USD LIBOR+  4.00%  0.00%  4.09%  6/1/2025   2,811,915   2,673,536   2,811,915 
ZEBRA BUYER LLC Banking, Finance, Insurance & Real Estate Term Loan 4/21 Loan  3M USD LIBOR+  3.25%  0.50%  3.75%  4/22/2028   1,000,000   995,000   1,003,330 
Zekelman Industries, Inc. Metals & Mining Term Loan (01/20) Loan  1M USD LIBOR+  2.00%  0.00%  2.10%  1/25/2027   970,775   970,775   961,067 
                              $677,145,260  $673,434,715 

 

 

  Number of Shares  Cost  Fair Value 
Cash and cash equivalents            
U.S. Bank Money Market (c)  10,710,367  $10,710,367  $10,710,367 
Total cash and cash equivalents  10,710,367  $10,710,367  $10,710,367 

 

(a)All or a portion of this investment has an unfunded commitment as of May 31, 2021
(b)As of May 31, 2021, the investment was in default and on non-accrual status.
(c)Included within cash and cash equivalents in Saratoga CLO's Statements of Assets and Liabilities as of May 31, 2021.

 

LIBOR—London Interbank Offered Rate

 

1W USD LIBOR—The 1 week USD LIBOR rate as of May 31, 2021 was 0.06%.

1M USD LIBOR—The 1 month USD LIBOR rate as of May 31, 2021 was 0.09%.

2M USD LIBOR—The 2 month USD LIBOR rate as of May 31, 2021 was 0.12%.

3M USD LIBOR—The 3 month USD LIBOR rate as of May 31, 2021 was 0.13%.

6M USD LIBOR—The 6 month USD LIBOR rate as of May 31, 2021 was 0.17%.

12M USD LIBOR - The 12 month USD LIBOR rate as of May 31, 2021 was 0.25%

3M PL WIBOR - The 3 month PL WIBOR rate as of May 31, 2021 was 0.21%

Prime—The Prime Rate as of May 31, 2021 was 3.25%.

 

43

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

February 28, 2021

 

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 
Covia Holdings C/S (Unimin) Metals & Mining Common Stock Equity -  -   -   -   -   49,312   385,327  $362,443 
Fusion Connect Warrant Telecommunications Warrants Equity -  -   -   -   -   32,832   -   328 
J Jill Common Stock Retail Common Stock Equity -  -   -   -   -   5,085   -   24,966 
McDermott International (Americas), Inc. Energy: Oil & Gas Lealand Finance (McDermott International) C/S - Cl Equity -  -   -   -   -   141,797   141,797   113,438 
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   2,060,408  $2,046,779   1,952,875 
Adtalem Global Education Inc. Services: Business Adtalem Global Education T/L B (02/21) Loan 1M USD LIBOR+  4.50%  0.75%�� 5.25%  2/12/2028   2,000,000   1,980,000   1,980,000 
Advisor Group, Inc. Banking, Finance, Insurance & Real Estate Advisor Group Holdings T/L B1 Loan 1M USD LIBOR+  4.50%  0.00%  4.61%  7/31/2026   995,000   994,026   996,383 
Aegis Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  5.50%  1.00%  6.50%  5/9/2025   3,867,445   3,842,999   3,527,419 
Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (09/20) Loan 1M USD LIBOR+  2.75%  0.75%  3.50%  1/4/2026   500,000   495,337   497,500 
Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan 1M USD LIBOR+  2.75%  0.00%  2.88%  1/4/2026   491,250   491,250   487,566 
Ahead Data Blue, LLC Services: Business Term Loan (10/20) Loan 6M USD LIBOR+  5.00%  1.00%  6.00%  9/18/2027   3,000,000   2,885,073   3,017,250 
AI Convoy (Luxembourg) S.a.r.l. Aerospace & Defense AI Convoy (Luxembourg) USD T/L B Loan 6M USD LIBOR+  3.50%  1.00%  4.50%  1/18/2027   1,488,750   1,482,360   1,486,353 
AIS HoldCo, LLC Services: Business Term Loan Loan 3M USD LIBOR+  5.00%  0.00%  5.21%  8/15/2025   5,246,875   5,082,782   5,089,469 
Alchemy Copyrights, LLC Media: Diversified & Production Term Loan B Loan 1M USD LIBOR+  3.25%  0.75%  4.00%  8/16/2027   498,750   495,356   498,750 
Alchemy US Holdco 1, LLC Metals & Mining Term Loan Loan 1M USD LIBOR+  5.50%  0.00%  5.61%  10/10/2025   1,900,000   1,879,839   1,850,923 
Alion Science and Technology Corporation Aerospace & Defense Term Loan (2/21) Loan 1M USD LIBOR+  2.75%  0.75%  3.50%  7/23/2024   3,990,000   3,974,081   3,998,299 
AlixPartners, LLP Banking, Finance, Insurance & Real Estate AlixPartners T/L B (01/21) Loan 1M USD LIBOR+  2.75%  0.50%  3.25%  1/27/2028   250,000   249,375   249,888 
Allen Media, LLC Media: Diversified & Production Allen Media T/L B (1/20) Loan 3M USD LIBOR+  5.50%  0.00%  5.75%  2/10/2027   2,977,027   2,964,383   2,971,460 
Altisource Solutions 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   1,223,297   1,218,530   1,040,940 
Altium Packaging LLC Containers, Packaging & Glass Altium Packaging (Consolidated Container) T/L (01/ Loan 3M USD LIBOR+  2.75%  0.50%  3.25%  1/29/2028   500,000   497,500   499,000 
Altra Industrial Motion Corp. Capital Equipment Term Loan Loan 1M USD LIBOR+  2.00%  0.00%  2.11%  10/1/2025   1,522,387   1,519,700   1,520,012 
American Greetings Corporation Media: Advertising, Printing & Publishing Term Loan Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  4/6/2024   4,230,503   4,228,066   4,239,302 
American Trailer World Corp Automotive American Trailer World T/L Loan 1M USD LIBOR+  3.75%  0.75%  4.50%  2/17/2028   2,000,000   1,990,000   1,990,000 
AmeriLife Holdings LLC Banking, Finance, Insurance & Real Estate AmeriLife T/L Loan 1M USD LIBOR+  4.00%  0.00%  4.12%  3/18/2027   1,492,642   1,484,080   1,490,149 
AmWINS Group, LLC Banking, Finance, Insurance & Real Estate AmWINS Group (2/21) T/L Loan 1M USD LIBOR+  2.25%  0.75%  3.00%  2/17/2028   2,000,000   1,995,000   1,999,160 

 

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 
Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+  3.75%  0.00%  4.00%  8/11/2025   977,500   974,191   669,891 
Anchor Glass Container Corporation Containers, Packaging & Glass Term Loan (07/17) Loan 3M USD LIBOR+  2.75%  1.00%  3.75%  12/7/2023   480,088   478,981   407,076 
Anchor Packaging, LLC Containers, Packaging & Glass Term Loan B Loan 1M USD LIBOR+  4.00%  0.00%  4.11%  7/10/2026   997,468   987,853   999,962 
APi Group DE, Inc. (J2 Acquisition) Services: Business Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  10/1/2026   990,000   985,758   990,000 
APLP Holdings Limited Partnership Energy: Electricity APLP Holdings T/L B (01/20) Loan 1M USD LIBOR+  2.50%  1.00%  3.50%  4/14/2025   1,618,421   1,618,421   1,617,207 
Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  2.86%  5/15/2026   3,000,000   2,960,051   2,925,000 
AppLovin Corporation High Tech Industries Applovin T/L B Loan 1M USD LIBOR+  3.50%  0.00%  3.61%  8/15/2025   1,000,000   1,000,000   998,100 
Aramark Corporation Services: Consumer Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  1.86%  1/15/2027   2,481,250   2,401,701   2,454,105 
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   3,337,028   3,140,124 
Aretec Group, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+  4.25%  0.00%  4.36%  10/1/2025   1,960,000   1,956,623   1,954,492 
ARISTOCRAT LEISURE LIMITED Hotel, Gaming & Leisure Term Loan (5/20) Loan 2M USD LIBOR+  3.75%  1.00%  4.75%  10/19/2024   995,000   978,205   1,000,184 
ASG Technologies Group, Inc High Tech Industries Term Loan Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  7/31/2024   461,401   460,194   454,480 
ASP MSG Acquisition Co., Inc Beverage, Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+  4.00%  1.00%  5.00%  8/16/2023   3,830,991   3,793,847   3,835,779 
Aspen Dental Management, Inc. Services: Consumer Term Loan B Loan 1M USD LIBOR+  2.75%  0.00%  2.86%  4/30/2025   1,950,276   1,944,024   1,926,872 
Asplundh Tree Expert, LLC Services: Business Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  9/4/2027   997,500   992,854   998,128 
Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+  3.00%  0.00%  3.11%  11/3/2023   328,929   327,483   328,244 
Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B8 Loan 1M USD LIBOR+  3.25%  0.00%  3.36%  12/18/2026   1,525,365   1,515,790   1,520,362 
Avast Software S.R.O. (Sybil Finance) High Tech Industries Term Loan B (4/18) Loan 3M USD LIBOR+  2.25%  1.00%  3.25%  9/29/2023   650,351   642,686   650,351 
Avaya, Inc. Telecommunications Term Loan B1 Loan 1M USD LIBOR+  4.25%  0.00%  4.36%  12/15/2027   1,755,766   1,745,975   1,760,437 
Avaya, Inc. Telecommunications Avaya T/L B-2 Loan 1M USD LIBOR+  4.00%  0.00%  4.11%  12/15/2027   1,000,000   1,000,000   1,001,250 
Avison Young (Canada) Inc Services: Business Term Loan Loan 3M USD LIBOR+  5.00%  0.00%  5.19%  1/31/2026   3,441,108   3,392,968   3,441,108 
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   869,301   996,390 
Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B5 Loan 1M USD LIBOR+  2.50%  0.75%  3.25%  12/20/2027   500,000   495,171   500,625 
Azalea TopCo, Inc. Services: Business Incremental Term Loan Loan 3M USD LIBOR+  4.00%  0.75%  4.75%  7/24/2026   500,000   495,287   501,250 
B&G Foods, Inc. Beverage, Food & Tobacco Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  10/10/2026   706,458   700,750   706,960 
B.C. Unlimited Liability Co (Burger King) Beverage, Food & Tobacco Term Loan B4 Loan 1M USD LIBOR+  1.75%  0.00%  1.86%  11/19/2026   1,485,000   1,447,423   1,469,912 
Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  0.75%  4.75%  10/14/2027   997,500   983,184   1,002,488 
BALL METALPACK, LLC (PE Spray) Containers, Packaging & Glass Term Loan Loan 3M USD LIBOR+  4.50%  0.00%  4.69%  7/25/2025   3,904,887   3,891,579   3,887,823 
Bass Pro Group, LLC Retail Term Loan B (02/21) Loan 1M USD LIBOR+  4.25%  0.75%  5.00%  2/26/2028   1,000,000   995,000   1,000,780 
Berry Plastics Holding Corporation Chemicals, Plastics, & Rubber Term Loan Y Loan 1M USD LIBOR+  2.00%  0.00%  2.12%  7/1/2026   4,937,374   4,932,962   4,932,980 
Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  4/23/2026   1,000,000   992,500   985,000 

 

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 
Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate Blackstone Mortgage T/L B-2 Loan 1M USD LIBOR+  4.75%  1.00%  5.75%  4/23/2026   1,494,994   1,484,017   1,498,731 
Blount International, Inc. Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  4/12/2023   3,418,806   3,416,907   3,422,225 
Blucora, Inc. Services: Consumer Term Loan (11/17) Loan 3M USD LIBOR+  4.00%  1.00%  5.00%  5/22/2024   2,451,227   2,443,549   2,454,291 
Bombardier Recreational Products, Inc. Consumer goods: Durable Term Loan (1/20) Loan 1M USD LIBOR+  2.00%  0.00%  2.12%  5/24/2027   1,485,050   1,473,875   1,475,620 
Boxer Parent Company, Inc. High Tech Industries Boxer Parent Company T/L (BMC Software) (2/21) Loan 1M USD LIBOR+  3.75%  0.00%  3.90%  10/2/2025   528,897   528,897   528,829 
Bracket Intermediate Holding Corp Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+  4.25%  0.00%  4.49%  9/5/2025   977,500   974,177   975,868 
BrightSpring Health Services (Phoenix Guarantor) Healthcare & Pharmaceuticals Phoenix Guarantor (Brightspring) T/L (02/21) Loan 6M USD LIBOR+  3.50%  0.00%  3.76%  3/5/2026   1,000,000   1,000,000   1,000,710 
BroadStreet Partners, Inc. Banking, Finance, Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+  3.25%  0.00%  3.36%  1/22/2027   2,009,429   2,007,872   1,996,207 
Brookfield WEC Holdings Inc. Energy: Electricity Brookfield WEC T/L (Westinghouse) (1/21) Loan 1M USD LIBOR+  2.75%  0.50%  3.25%  8/1/2025   1,492,462   1,495,340   1,488,492 
Buckeye Partners, L.P. Utilities: Oil & Gas Buckeye Partners T/L (1/21) Loan 1M USD LIBOR+  2.25%  0.00%  2.37%  11/1/2026   1,989,987   1,975,617   1,987,182 
BW Gas & Convenience Holdings LLC Beverage, Food & Tobacco Term Loan Loan 1M USD LIBOR+  6.25%  0.00%  6.37%  11/18/2024   2,230,357   2,160,253   2,255,449 
Cable & Wireless Communications Limited Telecommunications Term Loan B-5 Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  1/31/2028   2,000,000   2,000,000   1,988,220 
Callaway Golf Company Retail Term Loan B Loan 1M USD LIBOR+  4.50%  0.00%  4.61%  1/4/2026   690,000   679,310   692,298 
Cardtronics Inc Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.00%  1.00%  5.00%  6/29/2027   1,494,994   1,489,184   1,495,936 
CareerBuilder, LLC Services: Business Term Loan Loan 3M USD LIBOR+  6.75%  1.00%  7.75%  7/31/2023   3,393,388   3,230,834   3,230,505 
CareStream Health, Inc. Healthcare & Pharmaceuticals Term Loan Loan 6M USD LIBOR+  6.75%  1.00%  7.75%  5/8/2023   2,306,786   2,302,501   2,298,136 
Casa Systems, Inc Telecommunications Term Loan Loan 6M USD LIBOR+  4.00%  1.00%  5.00%  12/20/2023   1,440,000   1,433,828   1,435,205 
Castle US Holding Corporation Media: Advertising, Printing & Publishing Term Loan B (USD) Loan 3M USD LIBOR+  3.75%  0.00%  4.00%  1/27/2027   496,875   494,809   493,059 
Catalent Pharma Solutions, Inc. Healthcare & Pharmaceuticals Term Loan B3 (2/21) Loan 1M USD LIBOR+  2.00%  0.50%  2.50%  5/18/2026   500,000   500,000   500,780 
CBI BUYER, INC. Consumer goods: Durable New Trojan Parent (Careismatic/CBI Buyer) 1st Lien Loan 1M USD LIBOR+  3.25%  0.50%  3.75%  1/6/2028   1,000,000   997,597   1,000,630 
CCI Buyer, Inc Telecommunications Term Loan Loan 3M USD LIBOR+  4.00%  0.75%  4.75%  12/17/2027   250,000   247,558   251,720 
CCS-CMGC Holdings, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  5.50%  0.00%  5.61%  9/25/2025   2,450,000   2,432,841   2,417,856 
Cengage Learning Acquisitions, Inc. Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+  4.25%  1.00%  5.25%  6/7/2023   1,432,459   1,424,074   1,410,370 
CenturyLink, Inc. Telecommunications Term Loan B (1/20) Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  3/15/2027   2,970,000   2,967,083   2,957,170 
Chemours Company, (The) Chemicals, Plastics, & Rubber Term Loan Loan 1M USD LIBOR+  1.75%  0.00%  1.87%  4/3/2025   989,822   940,018   979,617 
CITADEL SECURITIES LP Banking, Finance, Insurance & Real Estate Citadel Securities T/L B (01/21) Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  2/27/2028   5,000,000   4,993,750   4,970,300 
Clarios Global LP Automotive Term Loan B Loan 1M USD LIBOR+  3.50%  0.00%  3.61%  4/30/2026   1,454,464   1,442,855   1,455,381 

 

46

 

 

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 
Claros Mortgage Trust, Inc Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  5.00%  1.00%  6.00%  8/9/2026   997,475   972,272   999,968 
CNT Holdings I Corp Retail Term Loan Loan 6M USD LIBOR+  3.75%  0.75%  4.50%  11/8/2027   500,000   497,627   501,955 
Cole Haan Consumer goods: Non-durable Term Loan B Loan 3M USD LIBOR+  5.50%  0.00%  5.69%  2/7/2025   950,000   942,246   874,000 
Compass Power Generation, LLC Utilities: Electric Term Loan B (08/18) Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  12/20/2024   1,802,012   1,798,648   1,796,390 
Concordia Healthcare Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  5.50%  1.00%  6.50%  9/6/2024   1,159,370   1,118,148   1,156,472 
Connect Finco SARL Telecommunications Term Loan (1/21) Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  12/11/2026   2,977,500   2,831,053   2,987,058 
Consolidated Communications, Inc. Telecommunications Term Loan B (10/20) Loan 1M USD LIBOR+  4.75%  1.00%  5.75%  10/2/2027   997,500   983,260   1,002,328 
CoreCivic, Inc. Banking, Finance, Insurance & Real Estate Term Loan (12/19) Loan 1M USD LIBOR+  4.50%  1.00%  5.50%  12/18/2024   3,454,545   3,404,660   3,340,822 
CPI Card Group Banking, Finance, Insurance & Real Estate Term Loan B (1st Lien) Loan 3M USD LIBOR+  4.50%  1.00%  5.50%  8/17/2022   1,436,782   1,431,179   1,422,414 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  1/15/2026   490,000   489,175   486,849 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  7/15/2025   1,954,315   1,936,120   1,941,925 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B-5 Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  4/15/2027   495,000   495,000   492,911 
CTS Midco, LLC High Tech Industries Term Loan B Loan 3M USD LIBOR+  6.00%  1.00%  7.00%  11/2/2027   2,000,000   1,942,014   2,002,500 
Daseke Inc Transportation: Cargo Replacement Term Loan Loan 1M USD LIBOR+  5.00%  1.00%  6.00%  2/27/2024   1,935,738   1,928,854   1,939,978 
DCert Buyer, Inc. High Tech Industries DCert Buyer T/L (Digicert) Loan 1M USD LIBOR+  4.00%  0.00%  4.11%  10/16/2026   1,500,000   1,500,000   1,500,540 
Dealer Tire, LLC Automotive Dealer Tire T/L B-1 Loan 1M USD LIBOR+  4.25%  0.00%  4.36%  12/12/2025   2,970,000   2,963,784   2,966,288 
Delek US Holdings, Inc. Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  3/31/2025   6,380,682   6,326,939   6,247,773 
Dell International LLC High Tech Industries Term Loan B-2 Loan 1M USD LIBOR+  1.75%  0.75%  2.00%  9/19/2025   2,530,374   2,528,058   2,537,763 
Delta 2 (Lux) S.a.r.l. Hotel, Gaming & Leisure Term Loan B Loan 1M USD LIBOR+  2.50%  1.00%  3.50%  2/1/2024   818,289   817,549   813,175 
Delta Air Lines, Inc. Transportation: Consumer Term Loan B (4/20) Loan 1M USD LIBOR+  4.75%  1.00%  5.75%  4/29/2023   2,243,737   2,240,713   2,257,761 
DHX Media Ltd. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  4.25%  1.00%  5.25%  12/29/2023   279,282   278,315   278,584 
Diamond Sports Group, LLC Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+  3.25%  0.00%  3.37%  8/24/2026   3,443,844   2,912,847   2,582,883 
Digital Room LLC Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+  5.00%  0.00%  5.27%  5/21/2026   2,955,000   2,925,480   2,910,675 
Dole Food Company Inc. Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+  2.75%  1.00%  3.75%  4/6/2024   456,250   455,172   456,410 
DRW Holdings, LLC Banking, Finance, Insurance & Real Estate DRW Holdings T/L (2/21) Loan 1M USD LIBOR+  3.75%  0.00%  3.87%  2/24/2028   552,519   549,756   551,138 
DRW Holdings, LLC Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  4.36%  11/29/2026   5,947,481   5,897,811   5,932,612 
DTZ U.S. Borrower, LLC Construction & Building Term Loan Loan 1M USD LIBOR+  2.75%  0.00%  2.86%  8/21/2025   3,915,462   3,901,786   3,886,801 
EagleTree - Carbride Acquisition (Corsair Components) Consumer goods: Durable Term Loan Loan 1M USD LIBOR+  3.75%  1.00%  4.75%  8/28/2024   2,868,047   2,867,816   2,868,047 
Edelman Financial Group Inc., The Banking, Finance, Insurance & Real Estate Term Loan B (06/18) Loan 1M USD LIBOR+  3.00%  0.00%  3.11%  7/21/2025   1,225,000   1,220,875   1,214,502 
Electrical Components Inter., Inc. Capital Equipment Term Loan (6/18) Loan 1M USD LIBOR+  4.25%  0.00%  4.36%  6/26/2025   1,950,000   1,947,116   1,903,083 
ELO Touch Solutions, Inc. Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+  6.50%  0.00%  6.61%  12/14/2025   2,558,602   2,457,436   2,564,999 

 

47

 

 

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 
Encapsys, LLC (Cypress Performance Group) Chemicals, Plastics, & Rubber Term Loan B2 Loan 1M USD LIBOR+  3.25%  1.00%  4.25%  11/7/2024   492,284   488,655   492,284 
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   3,896,646   3,879,939   3,869,057 
Endure Digital, Inc. High Tech Industries Endurance International T/L B Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  1/27/2028   2,500,000   2,487,500   2,481,250 
Ensemble RCM LLC Services: Business Term Loan Loan 3M USD LIBOR+  3.75%  0.00%  3.96%  7/24/2026   3,000,000   2,992,500   3,004,230 
Enterprise Merger Sub Inc. Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+  3.75%  0.00%  3.86%  10/10/2025   4,900,000   4,891,890   4,204,200 
EVERI Payments Inc. Hotel, Gaming & Leisure Everi Payments T/L B Loan 1M USD LIBOR+  2.75%  0.75%  3.50%  5/9/2024   3,000,000   3,000,000   2,988,120 
EyeCare Partners, LLC Healthcare & Pharmaceuticals EyeCare Partners T/L B Loan 1M USD LIBOR+  3.75%  0.00%  3.86%  2/18/2027   1,987,838   1,986,442   1,956,032 
Finco I LLC Banking, Finance, Insurance & Real Estate FinCo T/L B (9/20) (Fortress Investment) Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  6/27/2025   1,822,272   1,815,715   1,821,142 
First Eagle Investment Management Banking, Finance, Insurance & Real Estate Refinancing Term Loan Loan 3M USD LIBOR+  2.50%  0.00%  2.75%  2/1/2027   5,395,500   5,375,893   5,378,990 
Fitness International, LLC (LA Fitness) Services: Consumer Term Loan B (4/18) Loan 1M USD LIBOR+  3.25%  1.00%  4.25%  4/18/2025   1,330,058   1,324,204   1,196,813 
Flex Acquisition Company (Hilex Poly/Novolex) T/L (02/21) Containers, Packaging & Glass Term Loan Loan 3M USD LIBOR+  4.00%  0.50%  4.50%  3/2/2028   1,000,000   995,000   997,810 
FOCUS FINANCIAL PARTNERS, LLC Banking, Finance, Insurance & Real Estate Focus Financial T/L (1/20) Loan 1M USD LIBOR+  2.00%  0.00%  2.11%  7/3/2024   500,000   499,435   497,815 
Franchise Group, Inc. Services: Consumer Franchise Group First Out T/L Loan 6M USD LIBOR+  4.75%  0.75%  5.50%  10/25/2026   1,000,000   990,000   1,000,000 
Franklin Square Holdings, L.P. Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  2.25%  0.00%  2.38%  8/1/2025   4,398,742   4,374,564   4,382,247 
Froneri International (R&R Ice Cream) Beverage, Food & Tobacco Term Loan B-2 Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  1/29/2027   1,990,000   1,985,937   1,971,453 
Fusion Telecommunications International Inc. Telecommunications Take Back 2nd Out Term Loan Loan 6M USD LIBOR+  1.00%  2.00%  3.00%  7/14/2025   813,105   795,920   412,651 
Gemini HDPE LLC Chemicals, Plastics, & Rubber Term Loan B (12/20) Loan 3M USD LIBOR+  3.00%  0.50%  3.50%  12/31/2027   2,000,000   1,980,103   1,995,000 
General Nutrition Centers, Inc. (b) Retail Term Loan B2 Loan Prime+  7.75%  0.75%  11.00%  3/4/2021   389,896   389,896   292,422 
Genesee & Wyoming, Inc. Transportation: Cargo Term Loan (11/19) Loan 3M USD LIBOR+  2.00%  0.00%  2.25%  12/30/2026   1,488,750   1,482,600   1,489,986 
GEO Group, Inc., The Banking, Finance, Insurance & Real Estate Term Loan Refinance Loan 1M USD LIBOR+  2.00%  0.75%  2.75%  3/22/2024   3,963,971   3,665,551   3,609,710 
GGP Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  8/27/2025   3,969,542   3,201,121   3,862,603 
GI Chill Acquisition LLC Services: Business Term Loan Loan 3M USD LIBOR+  4.00%  0.00%  4.25%  8/1/2025   2,443,750   2,435,372   2,448,344 
Gigamon Inc. Services: Business Term Loan B Loan 6M USD LIBOR+  3.75%  0.75%  4.50%  12/27/2024   2,930,400   2,913,040   2,930,400 
Global Business Travel (GBT) III Inc. Hotel, Gaming & Leisure Term Loan Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  8/13/2025   4,398,750   4,397,949   4,215,454 
Global Tel*Link Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+  4.25%  0.00%  4.36%  11/29/2025   5,000,167   4,764,345   4,675,956 
Go Wireless Holdings, Inc. Telecommunications Term Loan Loan 1M USD LIBOR+  6.50%  1.00%  7.50%  12/22/2024   3,024,675   2,992,914   3,017,114 
Goodyear Tire & Rubber Company, The Chemicals, Plastics, & Rubber Second Lien Term Loan Loan 1M USD LIBOR+  2.00%  0.00%  2.12%  3/3/2025   3,000,000   2,933,783   2,953,740 
Graham Packaging T/L (2/21) Containers, Packaging & Glass Term Loan Loan 1M USD LIBOR+  3.75%  0.75%  4.50%  8/4/2027   979,661   972,912   980,660 
Greenhill & Co., Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+  3.25%  0.00%  3.36%  4/12/2024   3,419,615   3,393,171   3,398,243 

 

48

 

 

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%  3/31/2025   2,399,991   2,398,303   2,395,791 
Guidehouse LLP (fka PricewaterhouseCoopers) Aerospace & Defense Term Loan Loan 1M USD LIBOR+  4.00%  0.00%  4.11%  5/1/2025   4,924,683   4,903,634   4,951,572 
Harbor Freight Tools USA, Inc. Retail Term Loan B (10/20) Loan 1M USD LIBOR+  3.25%  0.75%  4.00%  10/20/2027   2,992,500   2,967,649   3,004,979 
Harland Clarke Holdings Corp. Media: Advertising, Printing & Publishing Term Loan Loan 3M USD LIBOR+  4.75%  1.00%  5.75%  11/3/2023   1,612,899   1,607,974   1,536,738 
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   244,418   243,418 
Hillman Group Inc. (The) (New) Consumer goods: Durable Hillman Group T/L B-1 (2/21) Loan 6M USD LIBOR+  2.75%  0.50%  3.25%  2/23/2028   3,523,207   3,514,399   3,523,207 
Hillman Group Inc. (The) (New) Consumer goods: Durable Hillman Group T/L B-2 (2/21) Loan 6M USD LIBOR+  2.75%  0.50%  2.99%  2/23/2028   632,911   631,329   632,911 
Hillman Group Inc. (The) (New)(a) Consumer goods: Durable Unfunded Commitment Loan 3M USD LIBOR+  2.75%  0.50%  0.00%  2/23/2028   -   (2,110)  - 
HLF Financing SARL (Herbalife) Consumer goods: Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  8/18/2025   3,910,000   3,897,913   3,912,111 
Holley Purchaser, Inc Automotive Term Loan B Loan 3M USD LIBOR+  5.00%  0.00%  5.21%  10/24/2025   2,450,000   2,432,788   2,423,981 
Howden Group Holdings Banking, Finance, Insurance & Real Estate Term Loan (1/21) Loan 3M USD LIBOR+  3.25%  0.75%  4.00%  11/12/2027   1,692,335   1,686,025   1,695,212 
Hudson River Trading LLC Banking, Finance, Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+  3.00%  0.00%  3.11%  2/18/2027   5,940,000   5,920,701   5,925,150 
Idera, Inc. High Tech Industries Idera T/L (1/21) Loan 1M USD LIBOR+  3.75%  0.75%  4.50%  6/28/2028   1,000,000   997,500   1,000,000 
Idera, Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+  4.00%  1.00%  5.00%  6/27/2024   3,896,805   3,886,520   3,896,805 
INEOS US PETROCHEM LLC Chemicals, Plastics, & Rubber INEOS US Petrochem T/L (INEOS Quattro) Loan 1M USD LIBOR+  2.75%  0.50%  3.25%  1/20/2026   1,000,000   995,073   1,003,750 
INFINITE BIDCO LLC Wholesale Infinite Bidco T/L Loan 1M USD LIBOR+  3.75%  0.75%  4.50%  2/22/2028   1,500,000   1,496,250   1,500,000 
Inmar Acquisition Sub, Inc. Services: Business Term Loan B Loan 3M USD LIBOR+  4.00%  1.00%  5.00%  5/1/2024   3,421,586   3,360,370   3,400,920 
Innophos, Inc. Chemicals, Plastics, & Rubber Term Loan B Loan 1M USD LIBOR+  3.50%  0.00%  3.61%  2/4/2027   496,250   494,123   498,424 
Intermediate Dutch Holdings Services: Business Nielsen Consumer T/L B Loan 1M USD LIBOR+  4.00%  0.00%  4.13%  2/3/2028   250,000   248,750   250,313 
Isagenix International, LLC Beverage, Food & Tobacco Term Loan Loan 3M USD LIBOR+  5.75%  1.00%  6.75%  6/14/2025   2,622,582   2,586,650   1,652,227 
Ivory Merger Sub, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+  3.50%  0.00%  3.62%  3/14/2025   957,262   954,285   944,100 
J Jill Group, Inc Retail Priming Term Loan Loan 6M USD LIBOR+  5.00%  1.00%  6.00%  5/8/2024   1,779,081   1,776,970   1,138,612 
Jane Street Group Banking, Finance, Insurance & Real Estate Jane Street Group T/L (1/21) Loan 1M USD LIBOR+  2.75%  0.00%  2.86%  1/31/2028   2,500,000   2,496,997   2,491,975 
Jefferies Finance LLC / JFIN Co-Issuer Corp Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  3.00%  0.00%  3.13%  6/3/2026   3,796,822   3,781,950   3,789,380 
Journey Personal Care Corp. Consumer goods: Non-durable Journey Personal Care T/L B (Domtar) Loan 6M USD LIBOR+  4.25%  0.75%  5.00%  2/19/2028   1,000,000   995,000   1,002,500 
JP Intermediate B, LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+  5.50%  1.00%  6.50%  11/15/2025   4,423,877   4,386,340   4,154,021 
KAR Auction Services, Inc. Automotive Term Loan B (09/19) Loan 1M USD LIBOR+  2.25%  0.00%  2.44%  9/19/2026   246,875   246,391   243,172 
Kindred Healthcare, Inc. Healthcare & Pharmaceuticals Term Loan (6/18) Loan 1M USD LIBOR+  4.50%  0.00%  4.63%  7/2/2025   1,979,747   1,962,749   1,982,222 
Klockner-Pentaplast of America, Inc. Containers, Packaging & Glass Klockner Pentaplast T/L (Kleopatra) Loan 1M USD LIBOR+  4.75%  0.50%  5.25%  2/4/2026   1,500,000   1,492,500   1,500,945 
Kodiak BP, LLC Construction & Building Term Loan Loan 1M USD LIBOR+  3.25%  0.75%  4.00%  2/26/2028   500,000   497,500   499,375 

49

 

 

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