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Saratoga Investment (SAR)

Filed: 5 Oct 21, 4:00pm

 

 

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 August 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
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 October 5, 2021 was 11,364,831.

 

 

 

 

 

 

TABLE OF CONTENTS

 

   Page
    
PART I.FINANCIAL INFORMATION 1
    
Item 1.Consolidated Financial Statements 1
    
 Consolidated Statements of Assets and Liabilities as of August 31, 2021 (unaudited) and February 28, 2021 1
    
 Consolidated Statements of Operations for the three and six months ended August 31, 2021 (unaudited) and August 31, 2020 (unaudited) 2
    
 Consolidated Statements of Changes in Net Assets for three and six months ended August 31, 2021 (unaudited) and August 31, 2020 (unaudited) 3
    
 Consolidated Statements of Cash Flows for the six months ended August 31, 2021 (unaudited) and August 31, 2020 (unaudited) 4
    
 Consolidated Schedules of Investments as of August 31, 2021 (unaudited) and February 28, 2021 5
    
 Notes to Consolidated Financial Statements as of August 31, 2021 (unaudited) 19
    
Item 2.Management’s Discussion and Analysis of Financial Condition and Results of Operations 83
    
Item 3.Quantitative and Qualitative Disclosures About Market Risk 117
    
Item 4.Controls and Procedures 118
    
PART II.OTHER INFORMATION 119
    
Item 1.Legal Proceedings 119
    
Item 1A.Risk Factors 119
    
Item 2.Unregistered Sales of Equity Securities and Use of Proceeds 120
    
Item 3.Defaults Upon Senior Securities 120
    
Item 4.Mine Safety Disclosures 120
    
Item 5.Other Information 120
    
Item 6.Exhibits 121
   
Signatures 124

 

i

 

 

PART I. FINANCIAL INFORMATION

 

Item 1. Consolidated Financial Statements

 

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

(unaudited)

 

  August 31,
2021
  February 28,
2021
 
  (unaudited)    
ASSETS      
Investments at fair value*      
Non-control/Non-affiliate investments (amortized cost of $525,118,034 and $478,588,197, respectively) $531,442,136  $476,139,943 
Affiliate investments (amortized cost of $48,669,364 and $10,071,722, respectively)  56,449,385   13,174,291 
Control investments (amortized cost of $67,821,806 and $61,353,761, respectively)  78,205,835   64,998,481 
Total investments at fair value (amortized cost of $641,609,204 and $550,013,680, respectively)  666,097,356   554,312,715 
Cash and cash equivalents  60,268,602   18,828,047 
Cash and cash equivalents, reserve accounts  13,040,805   11,087,027 
Interest receivable (net of reserve of $0 and $1,152,086, respectively)  5,114,727   4,223,630 
Due from affiliate (See Note 6)  -   2,719,000 
Management fee receivable  364,374   34,644 
Other assets  926,156   947,315 
Total assets $745,812,020  $592,152,378 
         
LIABILITIES        
Revolving credit facility $-  $- 
Deferred debt financing costs, revolving credit facility  (782,102)  (639,983)
SBA debentures payable  172,000,000   158,000,000 
Deferred debt financing costs, SBA debentures payable  (3,632,458)  (2,642,622)
6.25% Notes Payable 2025  -   60,000,000 
Deferred debt financing costs, 6.25% notes payable 2025  -   (1,675,064)
7.25% Notes Payable 2025  43,125,000   43,125,000 
Deferred debt financing costs, 7.25% notes payable 2025  (1,238,426)  (1,401,307)
7.75% Notes Payable 2025  5,000,000   5,000,000 
Deferred debt financing costs, 7.75% notes payable 2025  (211,573)  (239,222)
4.375% Notes Payable 2026  175,000,000   - 
Premium on 4.375% notes payable 2026  1,229,376   - 
Deferred debt financing costs, 4.375% notes payable 2026  (3,813,346)  - 
6.25% Notes Payable 2027  15,000,000   15,000,000 
Deferred debt financing costs, 6.25% notes payable 2027  (451,613)  (476,820)
Base management and incentive fees payable  11,424,984   6,556,674 
Deferred tax liability  3,512,481   1,922,664 
Accounts payable and accrued expenses  2,760,847   1,750,267 
Interest and debt fees payable  2,468,265   2,645,784 
Directors fees payable  -   70,500 
Due to manager  308,740   279,065 
Excise tax payable  -   691,672 
Total liabilities  421,700,175   287,966,608 
         
Commitments and contingencies (See Note 8)        
         
NET ASSETS        
Common stock, par value $0.001, 100,000,000 common shares        
authorized, 11,188,912 and 11,161,416 common shares issued and outstanding, respectively  11,189   11,161 
Capital in excess of par value  305,520,631   304,874,957 
Total distributable earnings (deficit)  18,580,025   (700,348)
Total net assets  324,111,845   304,185,770 
Total liabilities and net assets $745,812,020  $592,152,378 
NET ASSET VALUE PER SHARE $28.97  $27.25 

  

*

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

 

See accompanying notes to consolidated financial statements.

 

1

 

 

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

  For the three months ended  For the six months ended 
  August 31,
2021
  August 31,
2020
  August 31,
2021
  August 31,
2020
 
INVESTMENT INCOME            
Interest from investments            
Interest income:*            
Non-control/Non-affiliate investments $11,298,024  $10,375,636  $22,534,761  $20,499,197 
Affiliate investments  936,508   220,136   1,277,020   450,507 
Control investments  2,059,101   1,249,971   3,914,086   2,383,556 
Payment-in-kind interest income:                
Non-control/Non-affiliate investments  710,329   328,938   887,095   910,884 
Affiliate investments  -   48,018   -   94,241 
Control investments  109,971   37,771   187,646   72,553 
Total interest from investments  15,113,933   12,260,470   28,800,608   24,410,938 
Interest from cash and cash equivalents  1,071   1,610   1,593   13,406 
Management fee income  814,622   625,436   1,632,854   1,260,008 
Dividend Income  658,881   -   1,057,498   - 
Structuring and advisory fee income  1,038,250   940,000   2,340,125   1,253,306 
Other income  814,926   28,060   1,424,995   215,060 
Total investment income  18,441,683   13,855,576   35,257,673   27,152,718 
                 
OPERATING EXPENSES                
Interest and debt financing expenses  5,184,184   3,328,447   9,525,096   5,892,323 
Base management fees  3,002,097   2,209,052   5,761,005   4,369,580 
Incentive management fees expense (benefit)  2,018,163   1,529,677   7,280,699   (328,633)
Professional fees  460,753   367,553   967,814   754,441 
Administrator expenses  712,500   602,083   1,406,250   1,158,333 
Insurance  86,318   67,727   172,636   135,453 
Directors fees and expenses  100,500   75,000   192,500   135,000 
General & administrative  453,225   333,824   943,876   684,638 
Income tax expense (benefit)  30,682   7,501   58,601   (1,444)
Total operating expenses  12,048,422   8,520,864   26,308,477   12,799,691 
NET INVESTMENT INCOME  6,393,261   5,334,712   8,949,196   14,353,027 
                 
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                
Net realized gain (loss) from investments:                
Non-control/Non-affiliate investments  1,641,462   11,929   3,551,605   20,409 
Control investments  (139,867)  -   (139,867)  - 
Net realized gain (loss) from investments  1,501,595   11,929   3,411,738   20,409 
Income tax (provision) benefit from realized gain on investments  (448,883)  -   (448,883)  - 
Net change in unrealized appreciation (depreciation) on investments:*                
Non-control/Non-affiliate investments  2,256,932   10,532,000   8,772,357   (14,212,906)
Affiliate investments  2,681,640   706,760   4,677,451   (1,415,479)
Control investments  (1,562,033)  5,341,641   6,739,309   258,417 
Net change in unrealized appreciation (depreciation) on investments  3,376,539   16,580,401   20,189,117   (15,369,968)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments  (1,328,711)  (116,521)  (1,558,855)  151,219 
Net realized and unrealized gain (loss) on investments  3,100,540   16,475,809   21,593,117   (15,198,340)
Realized losses on extinguishment of debt  (1,552,140)  -   (1,552,140)  - 
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $7,941,661  $21,810,521  $28,990,173  $(845,313)
                 
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE $0.71  $1.95  $2.59  $(0.08)
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED  11,175,436   11,207,142   11,172,787   11,212,315 

 

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

 

See accompanying notes to consolidated financial statements.

 

2

 

 

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

  For the six months ended 
  August 31,
2021
  August 31,
2020
 
INCREASE (DECREASE) FROM OPERATIONS:      
Net investment income $8,949,196  $14,353,027 
Net realized gain from investments  3,411,738   20,409 
Realized losses on extinguishment of debt  (1,552,140)  - 
Income tax (provision) benefit from realized gain on investments  (448,883)  - 
Net change in unrealized appreciation (depreciation) on investments  20,189,117   (15,369,968)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments  (1,558,855)  151,219 
Net increase (decrease) in net assets resulting from operations  28,990,173   (845,313)
         
DECREASE FROM SHAREHOLDER DISTRIBUTIONS:        
Total distributions to shareholders  (9,709,800)  (4,487,015)
Net decrease in net assets from shareholder distributions  (9,709,800)  (4,487,015)
         
CAPITAL SHARE TRANSACTIONS:        
Proceeds from issuance of common stock  157,040   - 
Stock dividend distribution  1,742,614   774,990 
Repurchases of common stock  (1,252,143)  (1,550,417)
Repurchase fees  (992)  (1,740)
Offering costs  (817)  - 
Net increase in net assets from capital share transactions  645,702   (777,167)
Total increase (decrease) in net assets  19,926,075   (6,109,495)
Net assets at beginning of period  304,185,770   304,286,853 
Net assets at end of period $324,111,845  $298,177,358 

 

See accompanying notes to consolidated financial statements.

 

3

 

 

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

  For the six months ended 
  August 31,
2021
  August 31,
2020
 
Operating activities      
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $28,990,173  $(845,313)
ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE) IN NET ASSETS RESULTING        
FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:        
Payment-in-kind and other adjustments to cost  (1,905,423)  846,330 
Net accretion of discount on investments  (884,936)  (605,955)
Amortization of deferred debt financing costs  1,023,062   622,164 
Realized losses on extinguishment of debt  1,552,140   - 
Income tax expense (benefit)  30,964   (1,444)
Net realized (gain) loss from investments  (3,411,738)  (20,409)
Net change in unrealized (appreciation) depreciation on investments  (20,189,117)  15,369,968 
Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments  1,558,855   (151,219)
Proceeds from sales and repayments of investments  149,787,188   32,632,779 
Purchases of investments  (235,180,617)  (70,707,731)
(Increase) decrease in operating assets:        
Interest receivable  (891,097)  413,938 
Due from affiliate  2,719,000   - 
Management and incentive fee receivable  (329,730)  (11,915)
Other assets  (60,140)  61,775 
Increase (decrease) in operating liabilities:        
Base management and incentive fees payable  4,868,310   (12,061,368)
Accounts payable and accrued expenses  1,010,580   103,461 
Interest and debt fees payable  (177,519)  53,271 
Directors fees payable  (70,500)  (2,000)
Excise tax payable  (691,672)  - 
Due to manager  29,675   (247,861)
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES  (72,222,542)  (34,551,529)
         
Financing activities        
Borrowings on debt  87,500,000   20,000,000 
Paydowns on debt  (73,500,000)  - 
Issuance of notes  175,000,000   48,125,000 
Repayments of notes  (60,000,000)  - 
Payments of deferred debt financing costs  (5,569,027)  (2,364,458)
Premium on  debt issuance, 4.375% notes 2026  1,250,000   - 
Proceeds from issuance of common stock  157,040   -
Payments of cash dividends  (7,967,186)  (3,712,025)
Repurchases of common stock  (1,252,143)  (1,550,417)
Repurchases fees  (992)  (1,740)
Payments of offering costs  (817)  - 
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES  115,616,875   60,496,360 
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS  43,394,333   25,944,831 
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 $73,309,407  $65,395,183 
         
Supplemental information:        
Interest paid during the period $8,679,552  $5,216,888 
Cash paid for taxes  703,158   13,830 
Supplemental non-cash information:        
Payment-in-kind interest income and other adjustments to cost  1,905,423   (846,330)
Net accretion of discount on investments  884,936   605,955 
Amortization of deferred debt financing costs  1,023,062   622,164 
Stock dividend distribution  1,742,614   774,990 

 

See accompanying notes to consolidated financial statements.

 

4

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

August 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 - 163.5% (b)                  
Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009  210,456  $1,589,630  $531,247   0.2%
    Total Consumer Products        1,589,630   531,247   0.2%
Schoox, Inc. (h), (i) Corporate Education Software Series 1 Membership Interest 12/8/2020  226,782   475,698   3,258,360   1.0%
    Total Corporate Education Software        475,698   3,258,360   1.0%
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   6,497,689   6,630,383   2.0%
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   2,130,984   2,174,725   0.7%
    Total Dental Practice Management        8,628,673   8,805,108   2.7%
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   13,910,371   14,140,000   4.4%
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   6,947,336   7,070,000   2.2%
PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020  1,755,831   2,000,000   2,567,171   0.8%
    Total Dental Practice Management Software        22,857,707   23,777,171   7.4%
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   18,475,029   16,141,250   5.0%
C2 Education Systems, Inc. (h) Education Services Series A-1 Preferred Stock 5/18/2021  3,127   499,904   508,955   0.2%
Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015  750   750,000   3,334,832   1.0%
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 $25,695,971   25,523,797   25,988,906   8.0%
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   15,864,040   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        61,362,770   62,063,943   19.2%

 

5

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018  3,064   3,969,291   6,217,585   1.9%
Identity Automation Systems (d) Education Software First Lien Term Loan
(3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024
 8/25/2014 $17,160,000   17,160,000   17,160,000   5.3%
Identity Automation Systems (h) Education Software Common Stock Class A-2 Units 8/25/2014  232,616   232,616   747,032   0.2%
Identity Automation Systems (h) Education Software Common Stock Class A-1 Units 3/6/2020  43,715   171,571   193,081   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   4,946,581   5,000,000   1.5%
GoReact Education Software Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025
 1/17/2020 $2,000,000   2,000,000   2,000,000   0.6%
      Total Education Software        28,480,059   31,317,698   9.6%
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   4,964,713   4,956,500   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   5,450,772   5,452,150   1.8%
TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019  488,148   488,148   307,180   0.1%
      Total Facilities Maintenance        10,903,633   10,715,830   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   2,980,638   3,033,900   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   975,088   988,839   0.3%
    Total Field Service Management        3,955,726   4,022,739   1.2%
GDS Software Holdings, LLC  (h) Financial Services Common Stock Class A Units 8/23/2018  250,000   250,000   470,147   0.1%
    Total Financial Services        250,000   470,147   0.1%
Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016  5,000   380,353   624,713   0.2%
    Total Healthcare Products Manufacturing        380,353   624,713   0.2%
Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018  400,000   400,000   903,096   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   9,963,054   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   5,968,772   6,035,400   1.9%
ComForCare Health Care (d) Healthcare Services First Lien Term Loan
(3M USD LIBOR+7.75%), 8.75% Cash, 1/31/2025
 1/31/2017 $25,000,000   24,878,938   25,000,000   7.7%
      Total Healthcare Services        41,210,764   41,997,496   13.0%

 

6

 

  

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019  2,241   2,310,929   2,875,793   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   35,669,821   35,899,200   11.1%
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   11,922,307   11,966,400   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 $23,125,000   22,909,487   22,974,688   7.1%
Procurement Partners, LLC (j) Healthcare Software Delayed Draw Term Loan
(3M USD LIBOR+6.50%), 7.50% Cash, 11/12/2025
 11/12/2020 $-   -   -   0.0%
Procurement Partners Holdings LLC (h) Healthcare Software Class A Units   11/12/2020  381,456   381,456   433,543   0.1%
    Total Healthcare Software        73,194,000   74,149,624   22.9%
Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014  5,081   508,077   209,500   0.1%
Roscoe Medical, Inc. Healthcare Supply Second Lien Term Loan
11.25% Cash, 3/31/2022
 3/26/2014 $5,141,413   5,141,413   5,205,680   1.6%
      Total Healthcare Supply        5,649,490   5,415,180   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   3,108,872   3,137,144   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), (h), (i) Hospitality/Hotel Class A Preferred Shares 12/22/2020 $200,000   156,826   211,273   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 $15,798,140   15,798,140   10,837,346   3.3%
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   2,976,412   2,985,000   0.9%
      Total Hospitality/Hotel        22,040,250   17,170,763   5.3%

 

7

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
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   19,819,474   19,952,000   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        19,819,474   19,952,000   6.2%
Vector Controls Holding Co., LLC (d) Industrial Products First Lien Term Loan
(3M USD LIBOR+6.50%), 8.00% Cash, 3/6/2025
 3/6/2013 $5,596,946   5,596,946   5,596,946   1.7%
Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015  343   -   2,273,252   0.7%
      Total Industrial Products        5,596,946   7,870,198   2.4%
LogicMonitor, Inc. IT Services First Lien Term Loan
(3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023
 3/20/2020 $33,000,000   32,826,640   33,000,000   10.2%
       Total IT Services        32,826,640   33,000,000   10.2%
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   12,129,007   12,385,440   3.8%
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   4,968,203   5,076,000   1.6%
    Total Marketing Services        17,097,210   17,461,440   5.4%
Chronus LLC Mentoring Software First Lien Term Loan
(3M USD LIBOR+5.25), 6.25% Cash, 8/26/2026
 8/26/2021 $15,000,000   14,850,218   14,850,000   4.6%
Chronus LLC (h) Mentoring Software Series A Preferred Stock 8/26/2021  3,000   3,000,000   3,000,000   0.9%
      Total Mentoring Software        17,850,218   17,850,000   5.5%
Omatic Software, LLC Non-profit Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.75% Cash/1.00% PIK, 5/29/2023
 5/29/2018 $8,209,323   8,158,925   8,142,007   2.5%
      Total Non-profit Services        8,158,925   8,142,007   2.5%
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   3,291,750   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   330,018   0.1%
    Total Office Supplies        3,700,000   3,621,768   1.1%

 

8

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
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 $17,500,000   17,482,760   17,314,500   5.2%
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 $-   -   -   0.0%
      Total Payroll Services        17,482,760   17,314,500   5.2%
Lexipol, LLC (h), (i) Public Safety/Local Government Software Series A Preferred Stock 3/30/2021  105   10,516,900   10,516,759   3.2%
      Total Public Safety/Local Government Software        10,516,900   10,516,759   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   13,883,370   14,002,800   4.3%
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   2,972,260   3,000,600   0.8%
Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020  1,071   1,071,301   1,268,298   0.4%
      Total Real Estate Services        17,926,931   18,271,698   5.5%
TMAC Acquisition Co., LLC Restaurant Unsecured Term Loan
8.00% PIK, 9/01/2023
 3/1/2018 $2,758,622   2,758,622   2,687,649   0.8%
      Total Restaurant        2,758,622   2,687,649   0.8%
Pepper Palace, Inc. Specialty Food Retailer First Lien Term Loan
(3M USD LIBOR+6.25%), 7.25% Cash, 6/30/2026
 6/30/2021 $34,000,000   33,662,362   33,660,000   10.3%
Pepper Palace, Inc. (j) Specialty Food Retailer Delayed Draw Term Loan
(3M USD LIBOR+6.25%), 7.25% Cash, 6/30/2026
 6/30/2021 $-   -   -   0.0%
Pepper Palace, Inc. (j) Specialty Food Retailer Revolving Credit Facility
(3M USD LIBOR+6.25%), 7.25% Cash, 6/30/2026
 6/30/2021 $-   -   -   0.0%
Pepper Palace, Inc. (h) Specialty Food Retailer Membership Interest 6/30/2021  1,000,000   1,000,000   1,000,000   0.2%
    Total Specialty Food Retailer        34,662,362   34,660,000   10.5%
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   25,824,985   24,715,599   7.5%
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   950,600   0.3%
      Total Sports Management        26,824,985   25,666,199   7.8%
Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014  100,000   100,000   1,281,900   0.4%
      Total Staffing Services        100,000   1,281,900   0.4%
Jobvite, Inc. (d) Talent Acquisition Software Second Lien Term Loan
(3M USD LIBOR+7.50%), 8.50% Cash, 1/6/2027
 7/6/2021 $20,000,000   19,825,000   19,826,000   6.1%
      Total Talen Acquisition Software        19,825,000   19,826,000   6.1%
National Waste Partners (d) Waste Services Second Lien Term Loan
10.00% Cash, 2/13/2022
 2/13/2017 $9,000,000   8,992,308   8,999,999   2.8%
      Total Waste Services        8,992,308   8,999,999   2.8%
Sub Total Non-control/Non-affiliate investments            525,118,034   531,442,136   163.5%
Affiliate investments - 17.3% (b)                      
Artemis Wax Corp. (f), (j) Consumer Services Delayed Draw Term Loan
(1M USD LIBOR+9.00%), 11.00% Cash, 5/20/2026
 5/20/2021 $18,700,000   18,515,545   18,513,000   5.7%
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  5,175   5,175,211   5,175,212   1.6%
      Total Consumer Services        25,190,756   25,188,212   7.8%

 

9

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Axero Holdings, LLC(f) Employee Collaboration Software First Lien Term Loan
(3 USD LIBOR+10.00%), 11.00% Cash, 6/30/2026
 6/30/2021 $5,500,000   5,445,000   5,445,000   1.7%
Axero Holdings, LLC (f), (j) Employee Collaboration Software Delayed Draw Term Loan
(3 USD LIBOR+10.00%), 11.00% Cash, 6/30/2026
 6/30/2021 $-   -   -   0.0%
Axero Holdings, LLC (f), (h) Employee Collaboration Software Series A Preferred Units 6/30/2021  2,000,000   2,000,000   2,000,000   0.6%
Axero Holdings, LLC (f), (h) Employee Collaboration Software Series B Preferred Units 6/30/2021  2,000,000   2,000,000   2,000,000   0.6%
    Total Employee Collaboration Software        9,445,000   9,445,000   2.9%
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   6,195,055   6,250,000   1.8%
GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016  850,000   850,000   8,566,173   2.6%
    Total Cyber Security        14,033,608   21,816,173   6.6%
Sub Total Affiliate investments            48,669,364   56,449,385   17.3%
Control investments - 24.1% (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 $5,382,517   5,355,321   5,414,274   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 $10,337,632   10,242,097   10,398,624   3.2%
Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018  4,600,677   8,344,500   17,957,123   5.5%
    Total IT Services        23,941,918   33,770,021   10.3%
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities
14.22%, 4/20/2033
 1/22/2008 $111,000,000   34,504,888   35,060,814   10.8%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 10.12%, 4/20/2033
 8/9/2021 $9,375,000   9,375,000   9,375,000   3.0%
      Total Structured Finance Securities        43,879,888   44,435,814   13.8%
Sub Total Control investments            67,821,806   78,205,835   24.1%
TOTAL INVESTMENTS - 204.9% (b)           $641,609,204  $666,097,356   204.9%

  

  Number of Shares  Cost  Fair Value  % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 22.6% (b)            
U.S. Bank Money Market (l)  73,309,407  $73,309,407  $73,309,407   22.6%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts  73,309,407  $73,309,407  $73,309,407   22.6%

 

(a)Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of August 31, 2021 non-qualifying assets represent 7.2% 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 $324,111,845 as of August 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).

 

10

 

 

(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 14.22% 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 six months ended August 31, 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) 
Artemis Wax Corp. $25,013,000  $         -  $521,897  $          -  $         -  $(2,544)
Axero Holdings, LLC  9,445,000   -   105,875   -   -   - 
GreyHeller LLC  3,960,000   -   649,248   -   -   4,679,996 
Total $38,418,000  $-  $1,277,020  $-  $-  $4,677,452 

 

(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 six months ended August 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 $10,076,667  $-  $806,671  $-  $-  $4,240,497 
Saratoga Investment Corp. CLO 2013-1, Ltd.  -   -   2,415,144   1,632,854   -   2,952,837 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note  -   (17,875,000)  814,431   -   -   (454,025)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-1-R-3 Note  8,500,000   (8,500,000)  4,786   -   (139,867)  - 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note  9,375,000   -   60,700   -   -   - 
Total $27,951,667  $(26,375,000) $4,101,732  $1,632,854  $(139,867) $6,739,309 

 

(h)Non-income producing at August 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 August 31, 2021. (see Note 8 to the consolidated financial statements).

 

(k)As of August 31, 2021, there were no investments was on non-accrual status. (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 August 31, 2021.

 

LIBOR - London Interbank Offered Rate

 

1M USD LIBOR - The 1 month USD LIBOR rate as of August 31, 2021 was 0.08%.

3M USD LIBOR - The 3 month USD LIBOR rate as of August 31, 2021 was 0.12%.

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

 

See accompanying notes to consolidated financial statements.

 

11

 

 

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 - 156.6% (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%

 

12

 

 

Company Industry Investment Interest Rate/
Maturity
 Original
Acquisition Date
 Principal/
Number of
Shares
  Cost  Fair Value (c)  % of
Net Assets
 
C2 Educational Systems (d) Education Services First Lien Term Loan
(3M USD LIBOR+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%
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%
Top Gun Pressure Washing, LLC 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 (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 (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%
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%

 

13

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019  2,000,000   2,000,000   2,572,002   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 Class A Units 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%
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%

 

14

 

 

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

 

15

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Omatic Software, LLC Non-profit Services First Lien Term Loan
(3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023
 5/29/2018 $5,500,000   5,470,787   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%
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            478,588,197   476,139,943   156.6%

 

16

 

 

Company Industry Investment Interest Rate/
Maturity
 Original Acquisition Date Principal/
Number of Shares
  Cost  Fair Value (c)  % of
Net Assets
 
Affiliate investments - 4.3% (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%
Sub Total Affiliate investments            10,071,722   13,174,291   4.3%
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%
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%

 

*Certain reclassifications have been made to previously reported Non-control/Non-affiliate and Affiliate groups to show results on a consistent basis across periods.
  
(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).

 

17

 

 

(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 
Total $2,227,500  $(2,309,806) $1,160,595  $-  $(8,726,013) $8,687,403 

 

(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.

 

18

 

  

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

August 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-AX, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PEP, 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), Saratoga Investment Funding II, LLC, SBIC LP, SBIC II LP, SIA-Avionte, Inc., SIA-AX, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PEP., 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.

 

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 August 31, 2021.

 

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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 August 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:

 

  August 31,
2021
  August 31,
2020
 
Cash and cash equivalents $60,268,602  $39,052,320 
Cash and cash equivalents, reserve accounts  13,040,805   26,342,863 
Total cash and cash equivalents and cash and cash equivalents, reserve accounts $73,309,407  $65,395,183 

 

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.

 

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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.

 

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.

 

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Derivative Financial Instruments

 

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

 

Investment Transactions and Income Recognition

 

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

  

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. At August 31, 2021, there were no investments on non-accrual status. 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.

 

Dividend Income

 

Dividends received are recorded in the consolidated statements of operations when earned.

 

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 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.

 

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

 

Income Taxes

 

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

 

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 August 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.

 

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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.

 

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.

 

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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.

  

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 August 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 $     -  $           -  $493,593  $493,593 
Second lien term loans  -   -   44,868   44,868 
Unsecured term loans  -   -   2,688   2,688 
Structured finance securities  -   -   44,436   44,436 
Equity interests  -   -   80,512   80,512 
Total $-  $-  $666,097  $666,097 

 

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

 

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The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the six months ended August 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  389   30   498   658   331   1,906 
Net accretion of discount on investments  874   10   -   -   -   884 
Net change in unrealized appreciation (depreciation) on investments  285   73   49   2,499   17,283   20,189 
Purchases  173,018   19,825   -   -   42,338   235,181 
Sales and repayments  (121,429)  -   -   (8,360)  (19,998)  (149,787)
Net realized gain (loss) from investments  -   -   -   (140)  3,551   3,411 
Balance as of August 31, 2021 $493,593  $44,868  $2,688  $44,436  $80,512  $666,097 
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 $1,790  $73  $49  $2,952  $16,605  $21,469 

 

Purchases, payment-in-kind 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 six months ended August 31, 2021.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the six months ended August 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  408   943   -   (2,197)  -   (846)
Net accretion of discount on investments  431   175   -   -   -   606 
Net change in unrealized appreciation (depreciation) on investments  (12,446)  (1,393)  (324)  823   (2,030)  (15,370)
Purchases  64,899   -   2,500   -   3,309   70,708 
Sales and repayments  (9,633)  (23,000)  -   -   -   (32,633)
Net realized gain (loss) from investments  20   -   -   -   -   20 
Balance as of August 31, 2020 $389,912  $50,295  $6,522  $31,096  $30,292  $508,117 
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 $(12,211) $(1,345) $(324) $822  $(2,028) $(15,086)

 

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 six months ended August 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 August 31, 2021 were as follows (dollars in thousands):

 

  Fair Value  Valuation Technique Unobservable Input Range  Weighted Average* 
First lien term loans $493,593  Market Comparables Market Yield (%)  6.0% - 18.7%   9.2% 
        EBITDA Multiples (x)  6.5x   6.5x 
        Revenue Multiples (x)  3.5x - 6.7x   5.8x 
Second lien term loans  44,868  Market Comparables Market Yield (%)  8.7% - 28.0%   19.9% 
        EBITDA Multiples (x)  7.5x   7.5x 
Unsecured term loans  2,688  Market Comparables Market Yield (%)  16.7%   16.7% 
Structured finance securities  44,436  Discounted Cash Flow Discount Rate (%)  10.0% - 15.0%   14.3% 
        Recovery Rate (%)  35% - 70%   70.0% 
        Prepayment Rate (%)  20.0%   20.0% 
Equity interests  80,512  Enterprise Value Waterfall EBITDA Multiples (x)  3.3x - 20.0x   13.0x 
        Revenue Multiples (x)  1.0x - 11.7x   6.5x 
Total $666,097             

 

*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.

 

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 August 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 $494,441   77.1% $493,593   74.1%
Second lien term loans  49,757   7.8   44,868   6.7 
Unsecured term loans  2,759   0.4   2,688   0.4 
Structured finance securities  43,880   6.8   44,436   6.7 
Equity interests  50,772   7.9   80,512   12.1 
Total $641,609   100.0% $666,097   100.0%

 

27

 

 

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.

 

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 August 31, 2021. The inputs at August 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 / $99.25

 

28

 

 

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 August 31, 2021.

 

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-2-R-3 Notes of the Saratoga CLO.

 

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 August 31, 2021 the outstanding receivable of $2.6 million was repaid in full.

 

On August 9, 2021, the Company exchanged its existing $17.9 million Class F-R-3 Notes for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, the Company sold its Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.

 

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

 

For the three months ended August 31, 2021 and August 31, 2020, we accrued management fee income of $0.8 million and $0.6 million, respectively, and interest income of $1.3 million and $0.7 million, respectively, from the subordinated notes of Saratoga CLO.

 

For the six months ended August 31, 2021 and August 31, 2020, we accrued management fee income of $1.6 million and $1.3 million, respectively, and interest income of $2.4 million and $1.4 million, respectively, from the subordinated notes of the Saratoga CLO.

 

29

 

 

As of August 31, 2021, the aggregate principal amounts of the Company’s investments in the subordinated notes and Class F-2-R-3 Notes of the Saratoga CLO was $111.0 million and $9.4 million, respectively, which had a corresponding fair value of $35.1 million and $9.4 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 August 31, 2021, Saratoga CLO had investments with a principal balance of $658.7 million and a weighted average spread over LIBOR of 3.7% 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 August 31, 2021, the present value of the projected future cash flows of the subordinated notes was approximately $35.6 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 $27.0 million and incentive fees of $1.2 million. In conjunction with the third refinancing of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO.

 

As of February 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 August 31, 2021 (unaudited) and February 28, 2021 and for the three and six months ended August 31, 2021 (unaudited) and August 31, 2020 (unaudited).

 

30

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

  August 31,
2021
  February 28,
2021
 
  (unaudited)    
ASSETS      
Investments at fair value      
Loans at fair value (amortized cost of $650,634,393 and $594,722,350, respectively) $646,261,753  $591,518,866 
Equities at fair value (amortized cost of $0 and $527,124, respectively)  -   501,175 
Total investments at fair value (amortized cost of $650,634,393 and $595,249,474, respectively)  646,261,753   592,020,041 
Cash and cash equivalents  11,897,501   114,145,406 
Receivable from open trades  8,802,545   1,901,754 
Interest receivable (net of reserve of $38,766 and $35,000, respectively)  1,987,100   1,497,333 
Prepaid expenses and other assets  37,581   118,868 
Total assets $668,986,480  $709,683,402 
         
LIABILITIES        
Interest payable $1,695,146  $124,233 
Payable from open trades  22,634,199   66,298,568 
Accrued base management fee  72,876   6,930 
Accrued subordinated management fee  291,500   27,715 
Accounts payable and accrued expenses  69,769   809,760 
Due to Affiliate  -   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  (280,236)  (292,368)
Class E-R-3 Deferrable Mezzanine Floating Rate Notes  27,625,000   27,625,000 
Discount on Class E-R-3 Notes  (2,911,336)  (3,037,380)
Class F-1-R-3 Notes Deferrable Junior Floating Rate Notes  8,500,000   17,875,000 
Class F-2-R-3 Notes Deferrable Junior Floating Rate Notes  9,375,000   - 
Deferred debt financing costs  (2,181,854)  (2,276,780)
Subordinated Notes  111,000,000   111,000,000 
Discount on Subordinated Notes  (46,045,896)  (48,039,412)
Total liabilities $695,344,168  $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)  (26,357,938)  (28,538,114)
Total net assets  (26,357,688)  (28,537,864)
Total liabilities and net assets $668,986,480  $709,683,402 

 

See accompanying notes to financial statements.

 

31

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

  For the three months ended  For the six months ended 
  August 31,
2021
  August 31,
2020
  August 31,
2021
  August 31,
2020
 
INVESTMENT INCOME            
Total interest from investments $7,866,198  $6,437,801   15,613,938   13,651,290 
Interest from cash and cash equivalents  119   214   691   3,501 
Other income  200,320   184,969   517,377   294,610 
Total investment income  8,066,637   6,622,984   16,132,006   13,949,401 
EXPENSES                
Interest and debt financing expenses  5,569,557   5,769,357   10,405,734   13,057,925 
Base management fee  162,925   126,481   326,571   252,002 
Subordinated management fee  651,697   505,921   1,306,283   1,008,006 
Professional fees  109,691   94,782   145,357   183,272 
Trustee expenses  121,329   53,876   121,329   105,734 
Other expense  54,156   12,228   113,939   40,280 
Total expenses  6,669,355   6,562,645   12,419,213   14,647,219 
NET INVESTMENT INCOME (LOSS)  1,397,282   60,339   3,712,793   (697,818)
                 
REALIZED AND UNREALIZED LOSS ON INVESTMENTS                
Net realized loss from investments  175,669   (4,338,586)  (389,425)  (6,142,470)
Net change in unrealized depreciation on investments  (662,095)  26,457,779   (1,143,192)  (5,117,650)
Net realized and unrealized gain (loss) on investments  (486,426)  22,119,193   (1,532,617)  (11,260,120)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $910,856  $22,179,532  $2,180,176  $(11,957,938)

 

See accompanying notes to financial statements.

  

32

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

August 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
Fusion Connect Warrant Telecommunications Warrants Equity -                32,832   -  $- 
ABB Con-Cise Optical Group LLC Consumer goods: Non-durable First Lien Loan 6M USD LIBOR+  5.00%  1.00%  6.00% 6/15/2023 $2,049,649  $2,038,765   1,969,589 
ADMI Corp. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.83% 4/30/2025  1,940,276   1,934,594   1,901,742 
Adtalem Global Education Inc. Services: Business First Lien Loan  1M USD LIBOR+  4.50%  0.75%  5.25% 2/12/2028  2,000,000   1,980,113   2,001,500 
Aegis Sciences Corporation Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  5.50%  1.00%  6.50% 5/9/2025  3,169,960   3,152,537   3,059,012 
Agiliti Health Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.88% 1/4/2026  488,750   488,750   485,392 
Agiliti Health Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  2.75%  0.75%  3.50% 1/4/2026  384,464   381,210   382,542 
AHEAD DB Holdings, LLC Services: Business First Lien Loan  3M USD LIBOR+  3.75%  0.75%  4.50% 10/18/2027  3,000,000   2,892,517   3,004,830 
AI Convoy (Luxembourg) S.a.r.l. Aerospace & Defense First Lien Loan  6M USD LIBOR+  3.50%  1.00%  4.50% 1/18/2027  1,477,269   1,471,586   1,476,043 
AIS HoldCo, LLC Services: Business First Lien Loan  3M USD LIBOR+  5.00%  0.00%  5.13% 8/15/2025  5,177,380   5,032,236   5,073,832 
Alchemy Copyrights, LLC Media: Diversified & Production First Lien Loan  1M USD LIBOR+  3.00%  0.50%  3.50% 3/10/2028  496,256   493,056   495,016 
Alchemy US Holdco 1, LLC Metals & Mining First Lien Loan  1M USD LIBOR+  5.50%  0.00%  5.58% 10/10/2025  1,654,803   1,638,753   1,638,255 
AlixPartners, LLP Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 2/4/2028  249,375   248,779   247,781 
Alkermes, Inc. Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  2.50%  0.50%  3.00% 3/12/2026  498,750   497,607   496,256 
Allen Media, LLC(a) Media: Diversified & Production First Lien Loan  3M USD LIBOR+  5.50%  0.00%  0.00% 2/10/2027  -   (7,143)  (8,571)
Allen Media, LLC Media: Diversified & Production First Lien Loan  3M USD LIBOR+  5.50%  0.00%  5.68% 2/10/2027  785,714   777,857   776,286 
Allen Media, LLC Media: Diversified & Production First Lien Loan  2M USD LIBOR+  5.50%  0.00%  5.65% 2/10/2027  2,962,027   2,950,747   2,926,483 
Alliant Holdings I, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.75%  0.50%  4.25% 11/6/2027  498,950   498,280   498,891 
Altisource Solutions S.a r.l. Banking, Finance, Insurance & Real Estate First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 4/3/2024  1,223,297   1,219,309   1,016,107 
Altium Packaging LLC Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 1/29/2028  498,750   496,360   494,386 
Altra Industrial Motion Corp. Capital Equipment First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.08% 10/1/2025  1,388,059   1,385,957   1,374,525 
American Greetings Corporation Media: Advertising, Printing & Publishing First Lien Loan  1M USD LIBOR+  4.50%  1.00%  5.50% 4/6/2024  3,578,958   3,576,900   3,582,537 
AmeriLife Holdings LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.10% 3/18/2027  1,485,160   1,477,210   1,477,734 
AmWINS Group, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.25%  0.75%  3.00% 2/17/2028  1,990,000   1,965,359   1,969,821 

 

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
Anastasia Parent LLC Consumer goods: Non-durable First Lien Loan  3M USD LIBOR+  3.75%  0.00%  3.90% 8/11/2025  972,500   969,575   802,313 
Anchor Glass Container Corporation Containers, Packaging & Glass First Lien Loan  3M USD LIBOR+  2.75%  1.00%  3.75% 12/7/2023  477,600   476,664   439,855 
Anchor Packaging, LLC Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.09% 7/18/2026  992,405   983,623   987,443 
ANI Pharmaceuticals, Inc. Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  6.00%  0.75%  6.75% 5/24/2027  3,000,000   2,940,000   3,000,000 
AP Core Holdings II LLC High Tech Industries First Lien Loan  3M USD LIBOR+  5.50%  0.75%  6.25% 7/21/2027  2,000,000   1,970,000   1,980,840 
AP Core Holdings II LLC High Tech Industries First Lien Loan  3M USD LIBOR+  5.50%  0.75%  6.25% 7/21/2027  500,000   492,500   495,000 
APi Group DE, Inc. (J2 Acquisition) Services: Business First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.59% 10/1/2026  950,000   946,347   940,206 
APLP Holdings Limited Partnership Energy: Electricity First Lien Loan  1M USD LIBOR+  3.75%  1.00%  4.75% 5/14/2027  986,486   977,051   987,720 
Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.84% 5/15/2026  2,984,772   2,948,354   2,932,538 
Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 3/6/2028  997,500   987,973   990,019 
AppLovin Corporation High Tech Industries First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 8/15/2025  994,898   994,898   991,167 
Aramark Corporation Services: Consumer First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 1/15/2027  2,468,750   2,395,893   2,416,289 
Aramark Corporation Services: Consumer First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.59% 4/1/2028  1,995,000   1,985,419   1,981,035 
Arctic Glacier U.S.A., Inc. Beverage, Food & Tobacco First Lien Loan  3M USD LIBOR+  3.50%  1.00%  4.50% 3/20/2024  3,350,967   3,338,966   3,182,212 
Aretec Group, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.25%  0.00%  4.33% 10/1/2025  2,448,721   2,442,363   2,430,356 
ARISTOCRAT LEISURE LIMITED Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  3.75%  1.00%  4.75% 10/19/2024  990,000   975,506   990,495 
Asplundh Tree Expert, LLC Services: Business First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 9/7/2027  992,500   988,177   985,215 
Assuredpartners Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 2/12/2027  1,000,000   1,000,000   997,500 
Asurion, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.13%  0.00%  3.21% 11/3/2023  282,351   281,316   279,233 
Asurion, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 12/18/2026  3,010,239   2,998,091   2,950,515 
Avast Software S.R.O. (Sybil Finance) High Tech Industries First Lien Loan  3M USD LIBOR+  2.00%  0.00%  2.15% 3/12/2028  1,975,000   1,970,229   1,969,450 
Avaya, Inc. Telecommunications First Lien Loan  1M USD LIBOR+  4.25%  0.00%  4.35% 12/15/2027  1,755,766   1,746,665   1,756,714 

 

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
Avaya, Inc. Telecommunications First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.10% 12/15/2027  1,000,000   1,000,000   1,000,140 
Avison Young (Canada) Inc Services: Business First Lien Loan  3M USD LIBOR+  6.00%  0.00%  6.12% 1/31/2026  3,423,552   3,383,416   3,375,040 
Avolon TLB Borrower 1 (US) LLC Capital Equipment First Lien Loan  1M USD LIBOR+  1.75%  0.75%  2.50% 1/15/2025  1,000,000   884,597   993,850 
Avolon TLB Borrower 1 (US) LLC Capital Equipment First Lien Loan  1M USD LIBOR+  2.25%  0.50%  2.75% 12/1/2027  497,500   492,997   497,112 
B&G Foods, Inc. Beverage, Food & Tobacco First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 10/10/2026  706,458   701,247   705,575 
B.C. Unlimited Liability Co (Burger King) Beverage, Food & Tobacco First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 11/19/2026  1,477,500   1,443,206   1,451,023 
Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 10/14/2027  1,245,000   1,231,069   1,239,559 
BALL METALPACK, LLC (PE Spray) Containers, Packaging & Glass First Lien Loan  3M USD LIBOR+  4.50%  0.00%  4.62% 7/25/2025  3,884,862   3,873,359   3,854,521 
Bass Pro Group, LLC Retail First Lien Loan  6M USD LIBOR+  4.25%  0.75%  5.00% 3/6/2028  995,000   990,164   998,313 
Belfor Holdings Inc. Services: Consumer First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.08% 4/6/2026  249,364   249,074   249,052 
Belron Finance US LLC Automotive First Lien Loan  3M USD LIBOR+  2.75%  0.50%  3.25% 4/13/2028  1,995,000   1,975,906   1,992,506 
Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.34% 4/23/2026  994,937   988,200   982,500 
Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 4/23/2026  1,487,509   1,477,399   1,478,212 
Blount International, Inc. Forest Products & Paper First Lien Loan  1M USD LIBOR+  3.75%  1.00%  4.75% 4/12/2023  1,401,319   1,403,478   1,400,814 
Blucora, Inc. Services: Consumer First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 5/22/2024  2,447,283   2,440,931   2,450,342 
Blue Tree Holdings, Inc. Chemicals, Plastics, & Rubber First Lien Loan  3M USD LIBOR+  2.50%  0.00%  2.65% 3/4/2028  997,500   995,152   987,525 
Bombardier Recreational Products, Inc. Consumer goods: Durable First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.09% 5/24/2027  1,477,550   1,467,547   1,461,297 
Boxer Parent Company, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  3.75%  0.00%  3.83% 10/2/2025  525,872   525,872   522,201 
Bracket Intermediate Holding Corp Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  4.25%  0.00%  4.39% 9/5/2025  972,500   969,591   966,422 
BrightSpring Health Services (Phoenix Guarantor) Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.60% 3/5/2026  997,500   997,500   991,405 
BroadStreet Partners, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.08% 1/22/2027  2,994,268   2,988,243   2,949,025 
Brookfield WEC Holdings Inc. Energy: Electricity First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 8/1/2025  1,485,000   1,487,451   1,471,769 

 

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
Buckeye Partners, L.P. Utilities: Oil & Gas First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.35% 11/1/2026  1,980,038   1,966,762   1,957,148 
BW Gas & Convenience Holdings LLC Beverage, Food & Tobacco First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 3/31/2028  2,500,000   2,476,121   2,487,500 
Cable & Wireless Communications Limited Telecommunications First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 1/31/2028  4,000,000   3,985,723   3,957,520 
Callaway Golf Company Retail First Lien Loan  1M USD LIBOR+  4.50%  0.00%  4.59% 1/4/2026  686,250   676,663   687,966 
CareerBuilder, LLC Services: Business First Lien Loan  3M USD LIBOR+  6.75%  1.00%  7.75% 7/31/2023  5,393,388   5,200,819   5,029,334 
CareStream Health, Inc. Healthcare & Pharmaceuticals First Lien Loan  6M USD LIBOR+  6.75%  1.00%  7.75% 5/8/2023  2,236,938   2,233,676   2,245,326 
Casa Systems, Inc Telecommunications First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 12/20/2023  1,398,625   1,393,530   1,389,450 
Castle US Holding Corporation Media: Advertising, Printing & Publishing First Lien Loan  3M USD LIBOR+  3.75%  0.00%  3.90% 1/27/2027  1,988,502   1,976,281   1,959,232 
CBI BUYER, INC. Consumer goods: Durable First Lien Loan  2M USD LIBOR+  3.25%  0.50%  3.75% 1/6/2028  1,000,000   997,848   993,130 
CCI Buyer, Inc Telecommunications First Lien Loan  3M USD LIBOR+  4.00%  0.75%  4.75% 12/17/2027  249,375   247,104   249,844 
CCRR Parent, Inc. Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  4.25%  0.75%  5.00% 3/5/2028  997,500   992,638   1,001,241 
CCS-CMGC Holdings, Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  5.50%  0.00%  5.58% 9/25/2025  2,437,500   2,421,781   2,384,679 
Cengage Learning, Inc. Media: Advertising, Printing & Publishing First Lien Loan  6M USD LIBOR+  4.75%  1.00%  5.75% 6/29/2026  3,000,000   2,970,549   3,006,660 
CENTURI GROUP, INC. Construction & Building First Lien Loan  3M USD LIBOR+  2.50%  0.50%  3.00% 8/18/2028  1,000,000   990,000   995,830 
CenturyLink, Inc. Telecommunications First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 3/15/2027  3,949,950   3,943,833   3,898,916 
Chemours Company, (The) Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.84% 4/3/2025  984,673   940,820   962,104 
Churchill Downs Incorporated Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.09% 3/17/2028  498,750   497,555   493,139 
CIMPRESS PUBLIC LIMITED COMPANY Media: Advertising, Printing & Publishing First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 5/17/2028  1,000,000   990,271   998,330 
CITADEL SECURITIES LP Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 2/2/2028  4,987,500   4,981,642   4,918,024 
Clarios Global LP Automotive First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 4/30/2026  1,362,981   1,352,941   1,347,075 
Claros Mortgage Trust, Inc Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  5.00%  1.00%  6.00% 8/9/2026  2,982,298   2,961,119   2,982,298 
CNT Holdings I Corp Retail First Lien Loan  6M USD LIBOR+  3.75%  0.75%  4.50% 11/8/2027  498,750   496,576   498,196 
Cole Haan Consumer goods: Non-durable First Lien Loan  3M USD LIBOR+  5.50%  0.00%  5.62% 2/7/2025  937,500   930,883   890,625 

 

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
Columbus McKinnon Corporation Capital Equipment First Lien Loan  3M USD LIBOR+  2.75%  0.50%  3.25% 5/14/2028  500,000   498,768   499,375 
Compass Power Generation, LLC Utilities: Electric First Lien Loan  1M USD LIBOR+  3.50%  1.00%  4.50% 12/20/2024  1,769,501   1,766,781   1,742,321 
Connect Finco SARL Telecommunications First Lien Loan  1M USD LIBOR+  3.50%  1.00%  4.50% 12/11/2026  2,962,500   2,827,213   2,959,419 
Consolidated Communications, Inc. Telecommunications First Lien Loan  1M USD LIBOR+  3.50%  0.75%  4.25% 10/2/2027  714,005   704,465   713,876 
CoreCivic, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.50%  1.00%  5.50% 12/18/2024  3,318,182   3,275,957   3,282,246 
Corelogic, Inc. Services: Business First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 6/2/2028  2,500,000   2,487,515   2,488,275 
Cortes NP Acquisition Corp (Vertiv) Capital Equipment First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.85% 3/2/2027  1,990,000   1,990,000   1,976,329 
COWEN INC. Banking, Finance, Insurance & Real Estate First Lien Loan  6M USD LIBOR+  3.25%  0.00%  4.00% 3/12/2028  2,985,000   2,970,564   2,981,269 
Cross Financial Corp Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 9/15/2027  500,000   499,415   500,415 
Crown Subsea Communications Holding, Inc. Construction & Building First Lien Loan  1M USD LIBOR+  5.00%  0.75%  5.75% 4/27/2027  2,691,781   2,665,904   2,706,370 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.35% 7/15/2025  1,944,163   1,928,046   1,914,300 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.35% 1/15/2026  487,500   486,761   479,403 
CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.60% 4/15/2027  492,500   492,500   485,905 
CTS Midco, LLC High Tech Industries First Lien Loan  3M USD LIBOR+  6.00%  1.00%  7.00% 11/2/2027  1,990,000   1,936,163   1,990,000 
Daseke Inc Transportation: Cargo First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 3/5/2028  1,496,250   1,489,073   1,495,008 
DCert Buyer, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.08% 10/16/2026  1,492,443   1,492,443   1,489,130 
Dealer Tire, LLC Automotive First Lien Loan  1M USD LIBOR+  4.25%  0.00%  4.33% 12/12/2025  2,955,000   2,949,495   2,946,135 
Delek US Holdings, Inc. Utilities: Oil & Gas First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 3/31/2025  6,348,022   6,300,365   6,178,720 
Dell International LLC High Tech Industries First Lien Loan  1M USD LIBOR+  1.75%  0.25%  2.00% 9/19/2025  2,517,723   2,515,771   2,516,564 
Delta 2 (Lux) S.a.r.l. Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  2.50%  1.00%  3.50% 2/1/2024  818,289   817,645   814,811 
Diamond Sports Group, LLC Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.34% 8/24/2026  3,426,407   2,938,384   2,131,499 
Digital Room LLC Media: Advertising, Printing & Publishing First Lien Loan  6M USD LIBOR+  5.00%  0.00%  5.20% 5/21/2026  2,940,000   2,915,287   2,887,315 
DIRECTV FINANCING, LLC Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  5.00%  0.75%  5.75% 7/22/2027  4,000,000   3,960,166   3,997,720 

 

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
Dispatch Acquisition Holdings, LLC Environmental Industries First Lien Loan  3M USD LIBOR+  4.25%  0.75%  5.00% 3/25/2028  500,000   495,298   498,440 
DRW Holdings, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.75%  0.00%  3.83% 3/1/2028  6,500,000   6,451,506   6,463,470 
DTZ U.S. Borrower, LLC Construction & Building First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.83% 8/21/2025  3,895,737   3,883,752   3,850,936 
EAB Global, Inc. Services: Business First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.60% 8/16/2028  1,000,000   995,000   992,710 
EagleTree - Carbride Acquisition (Corsair Components) Consumer goods: Durable First Lien Loan  Prime+  2.75%  1.00%  7.00% 8/28/2024  2,403,107   2,403,095   2,403,107 
Edelman Financial Group Inc., The Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.50%  0.75%  4.25% 4/7/2028  2,221,875   2,213,381   2,208,833 
Electrical Components Inter., Inc. Capital Equipment First Lien Loan  1M USD LIBOR+  4.25%  0.00%  5.10% 6/26/2025  1,913,925   1,913,925   1,892,394 
ELO Touch Solutions, Inc. Media: Diversified & Production First Lien Loan  1M USD LIBOR+  6.50%  0.00%  6.59% 12/14/2025  2,383,602   2,297,744   2,383,602 
Encapsys, LLC (Cypress Performance Group) Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  3.25%  1.00%  4.25% 11/7/2024  489,712   486,540   488,948 
Endo Luxembourg Finance Company I S.a.r.l. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  5.00%  0.75%  5.75% 3/27/2028  2,358,934   2,349,479   2,286,845 
Endure Digital, Inc. High Tech Industries First Lien Loan  6M USD LIBOR+  3.50%  0.75%  4.25% 2/10/2028  2,500,000   2,488,334   2,480,475 
Ensemble RCM LLC Services: Business First Lien Loan  3M USD LIBOR+  3.75%  0.00%  3.88% 8/3/2026  2,984,810   2,978,219   2,981,616 
Enterprise Merger Sub Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  3.75%  0.00%  3.83% 10/10/2025  4,875,000   4,868,539   4,274,790 
EyeCare Partners, LLC Healthcare & Pharmaceuticals First Lien Loan  2M USD LIBOR+  3.75%  0.00%  3.86% 2/18/2027  1,977,899   1,977,219   1,959,188 
Finco I LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 6/27/2025  2,808,125   2,803,375   2,786,558 
First Brands Group, LLC Automotive First Lien Loan  3M USD LIBOR+  5.00%  1.00%  6.00% 3/30/2027  8,977,500   8,859,653   9,033,609 
First Eagle Investment Management Banking, Finance, Insurance & Real Estate First Lien Loan  3M USD LIBOR+  2.50%  0.00%  2.65% 2/1/2027  5,227,885   5,210,482   5,141,834 
First Student Bidco Inc. Transportation: Consumer First Lien Loan  3M USD LIBOR+  3.00%  0.50%  3.50% 7/14/2028  730,392   725,158   724,505 
First Student Bidco Inc. Transportation: Consumer First Lien Loan  3M USD LIBOR+  3.00%  0.50%  3.50% 7/14/2028  269,608   267,676   267,435 
Fitness International, LLC (LA Fitness) Services: Consumer First Lien Loan  1M USD LIBOR+  3.25%  1.00%  4.25% 4/18/2025  1,330,058   1,324,869   1,231,474 
FOCUS FINANCIAL PARTNERS, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.08% 7/3/2024  497,436   496,935   492,049 
Franchise Group, Inc. Services: Consumer First Lien Loan  3M USD LIBOR+  4.75%  0.75%  5.50% 3/10/2026  815,445   807,954   817,997 

 

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
Franklin Square Holdings, L.P. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.38% 8/1/2025  4,376,239   4,354,501   4,343,417 
Froneri International (R&R Ice Cream) Beverage, Food & Tobacco First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 1/29/2027  1,980,000   1,976,171   1,948,379 
Fusion Telecommunications International Inc. Telecommunications First Lien Loan  6M USD LIBOR+  1.00%  2.00%  3.00% 7/14/2025  847,376   831,761   444,872 
Garrett LX III S.a r.l. Automotive First Lien Loan  3M USD LIBOR+  3.25%  0.50%  3.75% 4/28/2028  1,500,000   1,492,791   1,490,625 
Gemini HDPE LLC Chemicals, Plastics, & Rubber First Lien Loan  3M USD LIBOR+  3.00%  0.50%  3.50% 12/31/2027  2,442,722   2,424,564   2,436,615 
General Nutrition Centers, Inc. Retail Second Lien Loan  1M USD LIBOR+  6.00%  0.00%  6.20% 10/7/2026  362,697   362,697   327,878 
Genesee & Wyoming, Inc. Transportation: Cargo First Lien Loan  3M USD LIBOR+  2.00%  0.00%  2.15% 12/30/2026  1,481,250   1,475,581   1,464,586 
GEO Group, Inc., The Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.00%  0.75%  2.75% 3/22/2024  3,943,378   3,691,910   3,672,271 
GGP Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 8/27/2025  3,949,237   3,263,359   3,854,218 
GI Chill Acquisition LLC Services: Business First Lien Loan  3M USD LIBOR+  3.75%  0.00%  3.90% 8/1/2025  3,927,404   3,905,897   3,907,767 
Gigamon Inc. Services: Business First Lien Loan  6M USD LIBOR+  3.75%  0.75%  4.50% 12/27/2024  2,915,536   2,900,270   2,915,536 
Global Business Travel (GBT) III Inc. Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.59% 8/13/2025  4,376,250   4,375,524   3,982,388 
Global Tel*Link Corporation Telecommunications First Lien Loan  1M USD LIBOR+  4.25%  0.00%  4.33% 11/29/2025  4,938,649   4,726,941   4,570,028 
Go Daddy Operating Company, LLC High Tech Industries First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.85% 8/10/2027  1,989,950   1,989,950   1,970,667 
Go Wireless Holdings, Inc. Telecommunications First Lien Loan  1M USD LIBOR+  6.50%  1.00%  7.50% 12/22/2024  2,935,714   2,907,976   2,927,142 
Goodyear Tire & Rubber Company, The Chemicals, Plastics, & Rubber Second Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.09% 3/3/2025  3,000,000   2,941,442   2,956,260 
Graham Packaging Co Inc Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  3.00%  0.75%  3.75% 8/7/2027  977,212   970,886   972,453 
Greenhill & Co., Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 4/12/2024  3,053,462   3,033,355   3,042,011 
Grosvenor Capital Management Holdings, LLLP Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.50%  0.50%  3.00% 2/24/2028  3,890,241   3,886,532   3,865,927 
Guidehouse LLP (fka PricewaterhouseCoopers) Aerospace & Defense First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.08% 5/1/2025  4,912,371   4,893,863   4,912,371 
Harbor Freight Tools USA, Inc. Retail First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 10/19/2027  3,491,206   3,468,009   3,476,927 
Harland Clarke Holdings Corp. Media: Advertising, Printing & Publishing First Lien Loan  1M USD LIBOR+  4.75%  1.00%  5.75% 11/3/2023  1,262,555   1,259,517   1,186,802 

 

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
Helix Gen Funding, LLc Energy: Electricity First Lien Loan  1M USD LIBOR+  3.75%  1.00%  4.75% 6/3/2024  236,269   236,103   228,368 
Hillman Group Inc. (The) (New) Consumer goods: Durable First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 7/14/2028  4,156,118   4,145,829   4,131,015 
Hillman Group Inc. (The) (New)(a) Consumer goods: Durable First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 7/14/2028  67,511   67,511   62,414 
HLF Financing SARL (Herbalife) Consumer goods: Non-durable First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 8/18/2025  3,570,000   3,560,052   3,541,940 
Holley Purchaser, Inc Automotive First Lien Loan  3M USD LIBOR+  5.00%  0.00%  5.13% 10/24/2025  2,437,500   2,422,379   2,430,383 
Howden Group Holdings Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.25%  0.75%  4.00% 11/12/2027  1,683,873   1,678,145   1,677,558 
Hudson River Trading LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.08% 3/17/2028  5,985,000   5,928,126   5,891,993 
Idera, Inc. High Tech Industries First Lien Loan  6M USD LIBOR+  3.75%  0.75%  4.50% 3/2/2028  4,884,563   4,872,280   4,863,218 
INEOS US PETROCHEM LLC Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  2.75%  0.50%  3.25% 1/29/2026  1,000,000   995,663   996,750 
INFINITE BIDCO LLC Wholesale First Lien Loan  1M USD LIBOR+  3.75%  0.50%  4.25% 3/2/2028  1,500,000   1,496,283   1,491,870 
Ingram Micro Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  3.50%  0.50%  4.00% 6/30/2028  1,500,000   1,485,154   1,502,250 
Inmar Acquisition Sub, Inc. Services: Business First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 5/1/2024  3,403,858   3,352,030   3,399,603 
Innophos, Inc. Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.58% 2/4/2027  493,750   491,769   491,489 
INSTANT BRANDS HOLDINGS INC. Consumer goods: Durable First Lien Loan  3M USD LIBOR+  5.00%  0.75%  5.75% 4/7/2028  2,500,000   2,476,039   2,493,750 
Intermediate Dutch Holdings Services: Business First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.10% 3/6/2028  1,246,875   1,246,739   1,244,282 
Isagenix International, LLC Beverage, Food & Tobacco First Lien Loan  3M USD LIBOR+  5.75%  1.00%  6.75% 6/14/2025  2,525,067   2,494,212   2,083,180 
Ivory Merger Sub, Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.59% 3/14/2025  2,957,262   2,936,383   2,883,331 
J Jill Group, Inc Retail First Lien Loan  3M USD LIBOR+  5.00%  1.00%  6.00% 5/8/2024  1,574,907   1,573,417   1,338,671 
Jane Street Group Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.83% 1/31/2028  3,980,000   3,973,671   3,920,300 
Journey Personal Care Corp. Consumer goods: Non-durable First Lien Loan  3M USD LIBOR+  4.25%  0.75%  5.00% 3/1/2028  1,000,000   995,144   1,001,880 
JP Intermediate B, LLC Consumer goods: Non-durable First Lien Loan  3M USD LIBOR+  5.50%  1.00%  6.50% 11/15/2025  4,288,948   4,256,548   4,229,975 
KAR Auction Services, Inc. Automotive First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.38% 9/19/2026  245,625   245,189   241,327 
Kindred Healthcare, Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  4.50%  0.00%  4.63% 7/2/2025  1,974,797   1,959,819   1,972,329 
Klockner-Pentaplast of America, Inc. Containers, Packaging & Glass First Lien Loan  3M USD LIBOR+  4.75%  0.50%  5.25% 2/12/2026  1,496,250   1,488,906   1,493,916 

 

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
Kodiak BP, LLC Construction & Building First Lien Loan  3M USD LIBOR+  3.25%  0.75%  4.00% 3/13/2028  498,750   496,345   496,670 
KREF Holdings X LLC Banking, Finance, Insurance & Real Estate First Lien Loan  3M USD LIBOR+  4.75%  1.00%  5.75% 9/1/2027  497,500   486,581   496,256 
Lakeland Tours, LLC Hotel, Gaming & Leisure First Lien Loan  3M USD LIBOR+  6.00%  1.25%  7.25% 9/25/2023  305,396   292,231   306,007 
Lakeland Tours, LLC Hotel, Gaming & Leisure First Lien Loan  3M USD LIBOR+  1.50%  1.25%  2.75% 9/25/2025  600,713   502,453   578,937 
Lakeland Tours, LLC Hotel, Gaming & Leisure First Lien Loan  3M USD LIBOR+  1.50%  1.25%  2.75% 9/25/2025  797,461   494,069   684,485 
Lakeland Tours, LLC Hotel, Gaming & Leisure First Lien Loan  Fixed  0.00%  0.00%  13.25% 9/27/2027  814,236   169,100   510,257 
Lealand Finance Company B.V. Energy: Oil & Gas First Lien Loan  1M USD LIBOR+  1.00%  0.00%  1.08% 6/30/2025  329,748   329,748   144,815 
Learfield Communications, Inc Media: Advertising, Printing & Publishing First Lien Loan  1M USD LIBOR+  3.25%  1.00%  4.25% 12/1/2023  477,500   476,669   453,878 
LIAISON ACQUISITION, LLC High Tech Industries First Lien Loan  6M USD LIBOR+  3.75%  0.75%  4.50% 3/4/2028  995,000   992,679   995,000 
Lifetime Brands, Inc Consumer goods: Non-durable First Lien Loan  1M USD LIBOR+  3.50%  1.00%  4.50% 2/28/2025  2,694,077   2,669,386   2,675,569 
Liftoff Mobile, Inc. Media: Advertising, Printing & Publishing First Lien Loan  3M USD LIBOR+  3.50%  0.75%  4.25% 3/16/2028  995,000   990,347   991,269 
Lightstone Generation LLC Energy: Electricity First Lien Loan  3M USD LIBOR+  3.75%  1.00%  4.75% 1/30/2024  1,322,520   1,321,413   980,913 
Lightstone Generation LLC Energy: Electricity First Lien Loan  3M USD LIBOR+  3.75%  1.00%  4.75% 1/30/2024  74,592   74,532   55,325 
Lindblad Expeditions, Inc. Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 3/21/2025  393,300   392,823   370,685 
Lindblad Expeditions, Inc. Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 3/21/2025  98,325   98,206   92,671 
Liquid Tech Solutions Holdings, LLC Services: Business First Lien Loan  6M USD LIBOR+  4.75%  0.00%  5.50% 3/17/2028  1,000,000   995,194   997,500 
LogMeIn, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  4.75%  0.00%  4.85% 8/31/2027  3,980,000   3,912,495   3,964,438 
LPL Holdings, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 11/11/2026  1,226,534   1,224,262   1,216,722 
MA FinanceCo LLC High Tech Industries First Lien Loan  3M USD LIBOR+  4.25%  1.00%  5.25% 6/5/2025  2,443,632   2,436,332   2,449,741 
MAGNITE, INC. Services: Business First Lien Loan  3M USD LIBOR+  5.00%  0.75%  5.75% 4/28/2028  2,000,000   1,942,141   1,985,000 
Marriott Ownership Resorts, Inc. Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 8/29/2025  1,317,074   1,317,074   1,287,440 
Match Group, Inc, The Services: Consumer First Lien Loan  3M USD LIBOR+  1.75%  0.00%  1.87% 2/15/2027  250,000   249,529   247,438 

 

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
Mayfield Agency Borrower Inc. (FeeCo) Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.50%  0.00%  4.58% 2/28/2025  3,409,643   3,383,172   3,391,163 
McAfee, LLC Services: Business First Lien Loan  1M USD LIBOR+  3.75%  0.00%  3.83% 9/30/2024  1,653,176   1,648,146   1,652,978 
McGraw-Hill Education, Inc. Media: Advertising, Printing & Publishing First Lien Loan  1M USD LIBOR+  4.75%  0.50%  5.25% 7/20/2028  2,000,000   1,980,033   1,985,000 
Meredith Corporation Media: Advertising, Printing & Publishing First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 1/31/2025  578,738   578,036   575,283 
Mermaid Bidco Inc. High Tech Industries First Lien Loan  3M USD LIBOR+  3.75%  0.75%  4.50% 12/12/2027  998,750   995,314   997,502 
Messer Industries, LLC Chemicals, Plastics, & Rubber First Lien Loan  3M USD LIBOR+  2.50%  0.00%  2.65% 3/1/2026  3,563,966   3,546,312   3,532,782 
MIC GLEN LLC Beverage, Food & Tobacco First Lien Loan  3M USD LIBOR+  3.50%  0.50%  4.00% 6/23/2028  250,000   248,750   248,393 
Michaels Companies Inc Retail First Lien Loan  1M USD LIBOR+  4.25%  0.75%  5.00% 4/8/2028  1,500,000   1,485,633   1,500,000 
Milk Specialties Company Beverage, Food & Tobacco First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 8/23/2025  3,820,663   3,789,653   3,805,151 
Mitchell International, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.25%  0.50%  4.75% 11/29/2024  992,500   946,122   992,500 
MKS Instruments, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 2/2/2026  873,253   867,410   867,358 
MLN US Holdco LLC Telecommunications First Lien Loan  1M USD LIBOR+  4.50%  0.00%  4.59% 12/1/2025  975,000   973,867   883,594 
MRC Global Inc. Metals & Mining First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.08% 9/20/2024  351,484   351,051   348,848 
MW Industries, Inc. (Helix Acquisition Holdings) Capital Equipment First Lien Loan  3M USD LIBOR+  3.75%  0.00%  3.90% 9/30/2024  2,842,097   2,807,691   2,778,150 
Natgasoline LLC Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.63% 11/14/2025  1,479,866   1,452,947   1,476,167 
National Mentor Holdings, Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  3.75%  0.75%  4.50% 3/2/2028  2,777,055   2,764,611   2,768,391 
National Mentor Holdings, Inc. Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  3.75%  0.75%  4.50% 3/2/2028  87,464   87,054   87,191 
National Mentor Holdings, Inc.(a) Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  3.75%  0.75%  3.75% 3/2/2028  (0)  -   (402)
Neenah, Inc. Forest Products & Paper First Lien Loan  3M USD LIBOR+  3.00%  0.50%  3.50% 4/6/2028  2,000,000   1,990,298   1,997,500 
NeuStar, Inc. Telecommunications First Lien Loan  3M USD LIBOR+  3.50%  1.00%  4.50% 8/8/2024  2,641,566   2,615,518   2,593,146 
NeuStar, Inc. Telecommunications First Lien Loan  3M USD LIBOR+  4.50%  1.00%  5.50% 8/8/2024  885,162   874,859   863,768 
Nexstar Broadcasting, Inc. (Mission Broadcasting) Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.60% 9/18/2026  1,113,795   1,102,139   1,107,703 

 

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
Next Level Apparel, Inc. Retail First Lien Loan  6M PL WIBOR+  6.00%  1.00%  7.00% 8/9/2024  1,750,340   1,740,436   1,671,575 
NM Z Parent Inc (Zep Inc) Chemicals, Plastics, & Rubber First Lien Loan  6M USD LIBOR+  4.00%  1.00%  5.00% 8/9/2024  2,406,250   2,400,553   2,322,031 
NorthPole Newco S.a.r.l Aerospace & Defense First Lien Loan  3M USD LIBOR+  7.00%  0.00%  7.15% 3/3/2025  5,166,952   4,798,846   4,430,661 
Novolex Holdings, Inc (Flex Acquisition) Containers, Packaging & Glass First Lien Loan  3M USD LIBOR+  3.50%  0.50%  4.00% 3/2/2028  997,500   992,801   991,086 
NPC International, Inc.(b) Beverage, Food & Tobacco First Lien Loan  Prime+  4.50%  1.00%  7.75% 4/19/2024  69,157   69,104   2,075 
Nuvei Technologies Corp. High Tech Industries First Lien Loan  1M USD LIBOR+  2.50%  0.50%  3.25% 9/29/2025  2,250,000   2,244,753   2,241,563 
Organon & Co. Healthcare & Pharmaceuticals First Lien Loan  6M USD LIBOR+  3.00%  0.50%  3.50% 6/2/2028  2,500,000   2,487,890   2,507,300 
Pacific Gas and Electric Company Utilities: Electric First Lien Loan  3M USD LIBOR+  3.00%  0.50%  3.50% 6/18/2025  1,487,481   1,480,746   1,423,029 
Padagis LLC Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  4.75%  0.50%  5.25% 6/29/2028  1,000,000   990,100   998,750 
PAE Holding Corp Aerospace & Defense First Lien Loan  3M USD LIBOR+  4.50%  0.75%  5.25% 10/14/2027  1,990,000   1,963,330   1,986,518 
Panther Guarantor II, L.P. (Forcepoint) High Tech Industries First Lien Loan  3M USD LIBOR+  4.50%  0.50%  5.00% 1/7/2028  500,000   496,596   500,210 
Pathway Partners Vet Management Company LLC Services: Business First Lien Loan  1M USD LIBOR+  3.75%  0.00%  3.83% 3/30/2027  493,955   484,230   490,636 
PCI Gaming Authority Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 5/29/2026  855,192   852,048   848,317 
Penn National Gaming Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  2.25%  0.75%  3.00% 10/15/2025  1,772,827   1,718,783   1,765,346 
Peraton Corp. Aerospace & Defense First Lien Loan  1M USD LIBOR+  3.75%  0.75%  4.50% 2/1/2028  4,987,500   4,963,372   4,986,453 
PGX T/L (Progrexion) Automotive First Lien Loan  1M USD LIBOR+  3.75%  0.75%  4.50% 3/3/2028  2,000,000   1,990,545   1,976,420 
Pitney Bowes Inc Services: Business First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.09% 3/17/2028  2,992,500   2,974,564   2,995,493 
Pixelle Specialty Solutions LLC Forest Products & Paper First Lien Loan  1M USD LIBOR+  6.50%  1.00%  7.50% 10/31/2024  3,535,026   3,513,367   3,527,285 
Plastipak Holdings Inc. Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.59% 10/14/2024  2,789,599   2,774,146   2,774,647 
Playtika Holding Corp. High Tech Industries First Lien Loan  1M USD LIBOR+  2.75%  0.00%  2.83% 3/13/2028  4,488,750   4,479,078   4,469,897 
PointClickCare Technologies, Inc. High Tech Industries First Lien Loan  6M USD LIBOR+  3.00%  0.75%  3.75% 12/29/2027  498,750   496,535   498,127 
Polymer Process Holdings, Inc. Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  4.75%  0.75%  5.50% 2/12/2028  5,486,250   5,426,678   5,424,530 
PPD, Inc. Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  2.00%  0.50%  2.50% 1/13/2028  498,750   496,479   497,149 
Pre-Paid Legal Services, Inc. Services: Consumer First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 5/1/2025  2,000,000   2,004,234   1,987,500 

 

43

 

 

Issuer Name Industry Asset Name Asset
Type
 Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/
Number of Shares
 Cost Fair Value
Pre-Paid Legal Services, Inc. Services: Consumer First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 5/1/2025  992,500   980,242   993,741 
Presidio, Inc. Services: Business First Lien Loan  3M USD LIBOR+  3.50%  0.00%  3.63% 1/22/2027  495,000   494,133   492,733 
Prime Security Services Borrower, LLC (ADT) Services: Consumer First Lien Loan  6M USD LIBOR+  2.75%  0.75%  3.50% 9/23/2026  3,574,216   3,565,620   3,566,388 
PRIORITY HOLDINGS, LLC Services: Consumer First Lien Loan  1M USD LIBOR+  5.75%  1.00%  6.75% 4/27/2027  1,525,424   1,496,343   1,513,037 
PRIORITY HOLDINGS, LLC(a) Services: Consumer First Lien Loan  3M USD LIBOR+  5.75%  1.00%  5.75% 4/27/2027  -   -   (11,974)
PriSo Acquisition Corporation Construction & Building First Lien Loan  3M USD LIBOR+  3.25%  0.75%  4.00% 12/28/2027  498,750   496,392   495,383 
Project Leopard Holdings Inc High Tech Industries First Lien Loan  6M USD LIBOR+  4.75%  1.00%  5.75% 7/5/2024  497,500   496,256   498,535 
Prometric Inc. (Sarbacane Bidco) Services: Consumer First Lien Loan  1M USD LIBOR+  3.00%  1.00%  4.00% 1/29/2025  483,863   482,619   474,306 
PUG LLC Services: Consumer First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.58% 2/12/2027  487,550   485,572   472,110 
Rackspace Technology Global, Inc. High Tech Industries First Lien Loan  2M USD LIBOR+  2.75%  0.75%  3.50% 2/15/2028  498,750   496,489   493,189 
RealPage, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  3.25%  0.50%  3.75% 4/24/2028  1,000,000   997,617   993,630 
Renaissance Learning, Inc. Services: Consumer First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 5/30/2025  2,982,444   2,956,023   2,939,586 
Rent-A-Center, Inc. Retail First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 2/17/2028  498,750   496,483   500,466 
Research Now Group, Inc Media: Advertising, Printing & Publishing First Lien Loan  6M USD LIBOR+  5.50%  1.00%  6.50% 12/20/2024  4,366,000   4,277,329   4,292,346 
Resideo Funding Inc. Services: Consumer First Lien Loan  3M USD LIBOR+  2.25%  0.50%  2.75% 2/11/2028  1,496,250   1,493,318   1,481,288 
Resolute Investment Managers (American Beacon), Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  3M USD LIBOR+  4.25%  1.00%  5.25% 4/30/2024  3,636,833   3,629,391   3,618,649 
Reynolds Consumer Products LLC Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 1/29/2027  1,299,432   1,298,231   1,289,920 

 

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
Reynolds Group Holdings Inc. Metals & Mining First Lien Loan  1M USD LIBOR+  3.25%  0.00%  3.33% 2/5/2026  3,482,500   3,464,650   3,457,252 
Robertshaw US Holding Corp. Consumer goods: Durable First Lien Loan  1M USD LIBOR+  3.50%  1.00%  4.50% 2/28/2025  967,500   966,183   928,500 
Rocket Software, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  4.25%  0.00%  4.33% 11/28/2025  2,920,127   2,911,583   2,854,424 
RP Crown Parent, LLC High Tech Industries First Lien Loan  1M USD LIBOR+  3.00%  1.00%  4.00% 1/31/2026  1,980,000   1,971,871   1,975,050 
Russell Investments US Inst’l Holdco, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  6M USD LIBOR+  3.50%  1.00%  4.50% 6/2/2025  5,637,965   5,595,826   5,629,170 
RV Retailer LLC Automotive First Lien Loan  3M USD LIBOR+  4.00%  0.75%  4.75% 2/8/2028  1,995,000   1,976,620   1,990,013 
Ryan Specialty Group LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.00%  0.75%  3.75% 9/1/2027  496,250   489,779   495,009 
S&S HOLDINGS LLC Services: Business First Lien Loan  3M USD LIBOR+  5.00%  0.50%  5.50% 3/10/2028  1,995,000   1,937,913   1,970,063 
Sally Holdings LLC Retail First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.34% 7/5/2024  753,409   751,563   749,642 
Samsonite International S.A. Consumer goods: Non-durable First Lien Loan  1M USD LIBOR+  3.00%  0.75%  3.75% 4/25/2025  992,500   969,477   985,056 
Savage Enterprises, LLC Energy: Oil & Gas First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.10% 8/1/2025  1,769,504   1,756,215   1,761,612 
Schweitzer-Mauduit International, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  3.75%  0.75%  4.50% 4/20/2028  3,000,000   2,983,145   2,992,500 
Signify Health, LLC Healthcare & Pharmaceuticals First Lien Loan  3M USD LIBOR+  3.25%  0.50%  3.75% 6/16/2028  500,000   497,522   498,280 
Sirius Computer Solutions, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.58% 7/1/2026  1,960,150   1,956,891   1,949,644 
Sitel Worldwide Corporation Services: Business First Lien Loan  3M USD LIBOR+  3.75%  0.50%  4.25% 7/28/2028  2,000,000   1,990,000   1,995,000 
SiteOne Landscape Supply, LLC Services: Business First Lien Loan  1M USD LIBOR+  2.00%  0.50%  2.50% 3/18/2028  997,500   995,066   995,006 
SMG US Midco 2, Inc. Services: Business First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 1/23/2025  492,500   492,500   462,334 

 

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
Sotheby’s Services: Business First Lien Loan  2M USD LIBOR+  4.50%  0.50%  5.00% 1/15/2027  3,272,836   3,219,166   3,279,644 
Sparta U.S. HoldCo LLC Chemicals, Plastics, & Rubber First Lien Loan  3M USD LIBOR+  3.50%  0.75%  4.25% 8/2/2028  2,000,000   1,990,090   1,998,760 
Specialty Pharma III Inc. Services: Business First Lien Loan  1M USD LIBOR+  4.50%  0.75%  5.25% 2/24/2028  2,000,000   1,980,912   1,987,500 
Spectrum Brands, Inc. Consumer goods: Durable First Lien Loan  3M USD LIBOR+  2.00%  0.50%  2.50% 3/3/2028  498,750   497,579   496,570 
Spin Holdco, Inc. Services: Consumer First Lien Loan  3M USD LIBOR+  4.00%  0.75%  4.75% 3/4/2028  2,992,500   2,975,641   2,993,996 
SRAM, LLC Consumer goods: Durable First Lien Loan  3M USD LIBOR+  2.75%  0.50%  3.25% 5/12/2028  3,883,640   3,877,332   3,862,590 
SS&C Technologies, Inc. Services: Business First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 4/16/2025  207,770   207,482   204,487 
SS&C Technologies, Inc. Services: Business First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 4/16/2025  160,007   159,788   157,479 
SS&C Technologies, Inc. Services: Business First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.83% 4/16/2025  484,556   483,842   477,564 
STANDARD INDUSTRIES INC. Construction & Building First Lien Loan  3M USD LIBOR+  2.50%  0.50%  3.00% 8/5/2028  1,000,000   990,000   996,790 
Staples, Inc. Wholesale First Lien Loan  3M USD LIBOR+  5.00%  0.00%  5.13% 4/16/2026  4,409,015   4,275,937   4,160,390 
Stars Group Inc. (The) Hotel, Gaming & Leisure First Lien Loan  3M USD LIBOR+  2.25%  0.00%  2.37% 7/21/2026  2,000,000   1,995,243   1,988,220 
Storable, Inc High Tech Industries First Lien Loan  3M USD LIBOR+  3.25%  0.50%  3.75% 4/17/2028  500,000   498,840   497,290 
Sylvamo Corporation Forest Products & Paper First Lien Loan  3M USD LIBOR+  4.50%  0.50%  5.00% 8/18/2028  1,200,000   1,188,000   1,198,500 
Syncsort Incorporated High Tech Industries First Lien Loan  3M USD LIBOR+  4.25%  0.75%  5.00% 4/23/2028  2,000,000   1,990,268   1,993,580 
Tenable Holdings, Inc. Services: Business First Lien Loan  6M USD LIBOR+  2.75%  0.50%  3.25% 6/30/2028  1,000,000   997,514   995,000 
Teneo Holdings LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  5.25%  1.00%  6.25% 7/15/2025  4,451,174   4,368,097   4,399,985 

 

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
Tenneco Inc Capital Equipment First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.09% 10/1/2025  1,462,500   1,453,601   1,446,047 
Ten-X, LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  4.00%  1.00%  5.00% 9/27/2024  1,930,000   1,928,329   1,854,402 
The Octave Music Group, Inc (Touchtunes) Services: Business First Lien Loan  1M USD LIBOR+  5.25%  1.00%  6.25% 5/29/2025  3,827,586   3,796,827   3,741,466 
Thor Industries, Inc. Automotive First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.13% 2/1/2026  2,935,080   2,879,796   2,931,411 
Tosca Services, LLC Containers, Packaging & Glass First Lien Loan  1M USD LIBOR+  3.50%  0.75%  4.25% 8/18/2027  497,500   491,076   496,256 
Transdigm, Inc. Aerospace & Defense First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 8/22/2024  4,044,699   4,047,526   3,986,576 
Travel Leaders Group, LLC Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  4.00%  0.00%  4.08% 1/25/2024  2,425,000   2,423,392   2,243,125 
TRC Companies, Inc. Services: Business First Lien Loan  1M USD LIBOR+  3.50%  1.00%  4.50% 6/21/2024  3,315,141   3,308,471   3,300,654 
TRC Companies, Inc. Services: Business First Lien Loan  1M USD LIBOR+  4.50%  0.75%  5.25% 6/21/2024  2,479,433   2,469,738   2,460,837 
TRITON WATER HOLDINGS, INC. Beverage, Food & Tobacco First Lien Loan  3M USD LIBOR+  3.50%  0.50%  4.00% 3/31/2028  1,500,000   1,492,885   1,488,915 
Tronox Pigments (Netherlands) B.V. Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 3/10/2028  434,231   433,192   429,550 
TruGreen Limited Partnership Services: Consumer First Lien Loan  1M USD LIBOR+  4.00%  0.75%  4.75% 10/29/2027  969,110   962,066   970,021 
Twin River Worldwide Holdings, Inc. Hotel, Gaming & Leisure First Lien Loan  3M USD LIBOR+  2.75%  0.00%  2.90% 5/10/2026  980,000   976,532   974,492 
Uber Technologies, Inc. Transportation: Consumer First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.58% 2/25/2027  3,968,777   3,926,887   3,955,005 
Ultra Clean Holdings, Inc. High Tech Industries First Lien Loan  1M USD LIBOR+  3.75%  0.00%  3.83% 8/27/2025  947,677   943,289   947,677 
Unimin Corporation Metals & Mining First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 7/31/2026  496,815   469,014   490,252 
United Natural Foods, Inc Beverage, Food & Tobacco First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.58% 10/22/2025  1,914,066   1,831,470   1,905,702 

 

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
United Road Services Inc. Transportation: Cargo First Lien Loan  6M USD LIBOR+  5.75%  1.00%  6.75% 9/1/2024  936,674   930,039   845,742 
Univar Inc. Chemicals, Plastics, & Rubber First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.08% 5/26/2028  2,000,000   1,990,155   1,982,920 
Univision Communications Inc. Media: Broadcasting & Subscription First Lien Loan  1M USD LIBOR+  3.25%  0.75%  4.00% 3/15/2026  2,483,907   2,476,285   2,475,760 
US Ecology, Inc. Environmental Industries First Lien Loan  1M USD LIBOR+  2.50%  0.00%  2.58% 11/2/2026  492,500   491,656   491,165 
Utz Quality Foods, LLC Beverage, Food & Tobacco First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.08% 1/20/2028  348,874   348,110   347,216 
Verifone Systems, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  3M USD LIBOR+  4.00%  0.00%  4.13% 8/20/2025  1,389,462   1,383,630   1,338,344 
VFH Parent LLC Banking, Finance, Insurance & Real Estate First Lien Loan  1M USD LIBOR+  3.00%  0.00%  3.09% 3/1/2026  3,100,888   3,092,108   3,081,508 
Virence Intermediate Holdings LLC (Athenahealth / VVC Holding) Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  4.25%  0.00%  4.35% 2/11/2026  2,957,588   2,931,115   2,964,981 
Virtus Investment Partners, Inc. Banking, Finance, Insurance & Real Estate First Lien Loan  6M USD LIBOR+  2.25%  0.75%  3.00% 6/3/2024  2,267,826   2,267,588   2,262,157 
Vistra Energy Corp Utilities: Electric First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.84% 12/31/2025  912,257   911,666   900,206 
Vizient, Inc Healthcare & Pharmaceuticals First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.08% 5/6/2026  488,750   487,956   481,570 
VM Consolidated, Inc. Construction & Building First Lien Loan  3M USD LIBOR+  3.25%  0.00%  3.42% 3/19/2028  2,351,112   2,347,590   2,338,369 
Vouvray US Finance LLC High Tech Industries First Lien Loan  1M USD LIBOR+  3.00%  1.00%  4.00% 3/11/2024  478,750   478,751   421,697 
Warner Music Group Corp. (WMG Acquisition Corp.) Hotel, Gaming & Leisure First Lien Loan  1M USD LIBOR+  2.13%  0.00%  2.21% 1/20/2028  1,250,000   1,249,729   1,233,925 
Wastequip, LLC (HPCC Merger/Patriot Container) Environmental Industries First Lien Loan  1M USD LIBOR+  3.75%  1.00%  4.75% 3/15/2025  492,366   490,579   488,674 

 

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
Watlow Electric Manufacturing Company High Tech Industries First Lien Loan  3M USD LIBOR+  4.00%  0.50%  4.50% 3/2/2028  2,493,750   2,481,810   2,490,633 
WeddingWire, Inc. Services: Consumer First Lien Loan  2M USD LIBOR+  4.50%  0.00%  4.61% 12/19/2025  4,894,898   4,887,225   4,884,717 
West Corporation Telecommunications First Lien Loan  3M USD LIBOR+  4.00%  1.00%  5.00% 10/10/2024  1,086,078   1,040,885   1,048,684 
West Corporation Telecommunications First Lien Loan  3M USD LIBOR+  3.50%  1.00%  4.50% 10/10/2024  2,599,274   2,555,684   2,489,221 
Western Digital Corporation High Tech Industries First Lien Loan  1M USD LIBOR+  1.75%  0.00%  1.84% 4/29/2023  503,135   497,827   502,632 
WEX Inc. Services: Business First Lien Loan  1M USD LIBOR+  2.25%  0.00%  2.33% 3/31/2028  1,995,000   1,985,414   1,975,609 
WildBrain Ltd. Media: Diversified & Production First Lien Loan  1M USD LIBOR+  4.25%  0.75%  5.00% 3/27/2028  1,995,000   1,956,938   1,985,863 
Wirepath LLC Consumer goods: Non-durable First Lien Loan  3M USD LIBOR+  4.00%  0.00%  4.15% 8/5/2024  2,910,231   2,894,720   2,881,128 
WP CITYMD BIDCO LLC Services: Consumer First Lien Loan  6M USD LIBOR+  3.75%  0.75%  4.50% 8/13/2026  5,437,675   5,412,891   5,455,347 
Xperi Corporation High Tech Industries First Lien Loan  1M USD LIBOR+  3.50%  0.00%  3.58% 6/8/2028  2,811,915   2,797,959   2,787,310 
ZEBRA BUYER LLC Banking, Finance, Insurance & Real Estate First Lien Loan  3M USD LIBOR+  3.25%  0.50%  3.75% 4/22/2028  1,000,000   995,000   1,001,250 
Zekelman Industries, Inc. Metals & Mining First Lien Loan  1M USD LIBOR+  2.00%  0.00%  2.09% 1/25/2027  970,775   970,775   956,698 
                           $650,634,393  $646,261,753 

 

  Number of Shares Cost Fair Value
Cash and cash equivalents            
U.S. Bank Money Market (c)  11,897,501  $11,897,501  $11,897,501 
Total cash and cash equivalents  11,897,501  $11,897,501  $11,897,501 

 

(a)All or a portion of this investment has an unfunded commitment as of August 31, 2021
(b)As of August 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 August 31, 2021.

 

LIBOR—London Interbank Offered Rate

 

1M USD LIBOR—The 1 month USD LIBOR rate as of August 31, 2021 was 0.08%.

2M USD LIBOR—The 2 month USD LIBOR rate as of August 31, 2021 was 0.09%.

3M USD LIBOR—The 3 month USD LIBOR rate as of August 31, 2021 was 0.11%.

6M USD LIBOR—The 6 month USD LIBOR rate as of August 31, 2021 was 0.14%.

12M USD LIBOR - The 12 month USD LIBOR rate as of August 31, 2021 was 0.22%

6M PL WIBOR - The 3 month PL WIBOR rate as of August 31, 2021 was 0.27%

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

  

49

 

 

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 
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 

 

50

 

 

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

 

51

 

 

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 Term Loan B Loan 1M USD LIBOR+  2.25%  0.00%  2.36%  4/23/2026   1,000,000   992,500   985,000 
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 

 

52

 

 

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 
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 
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 

 

53

 

 

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 
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 
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 

 

54

 

 

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 
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 
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 

 

55

 

 

Issuer Name Industry Asset Name Asset
Type
 Reference Rate/Spread LIBOR Floor  Current Rate (All In)  Maturity Date  Principal/
Number of Shares
  Cost  Fair Value 
Isagenix International, LLC Beverage, Food & Tobacco Term Loan Loan 3M USD LIBOR+  5.75%  1.00%  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 
KREF Holdings X LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 3M USD LIBOR+  4.75%  1.00%  5.75%  8/4/2027   500,000   488,256   501,250 
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   585,723   478,159   524,222 
Lakeland Tours, LLC Hotel, Gaming & Leisure Third Out PIK Term Loan Loan 3M USD LIBOR+  1.50%  1.25%  2.75%  9/25/2025   777,562   451,283   515,780 
Lakeland Tours, LLC Hotel, Gaming & Leisure Holdco Fixed Term Loan Loan Fixed  8.00%  0.00%  13.25%  9/27/2027   763,381   128,938   277,359 
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   306,588   292,181   306,076 
Lealand Finance Company B.V. Energy: Oil & Gas Exit Term Loan Loan 1M USD LIBOR+  1.00%  0.00%  1.11%  6/30/2025   324,682   324,682   209,258 
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   480,000   478,959   439,296 
Lifetime Brands, Inc Consumer goods: Non-durable Term Loan B Loan 1M USD LIBOR+  3.50%  1.00%  4.50%  2/28/2025   2,905,639   2,876,036   2,878,413 
Liftoff Mobile, Inc. Media: Advertising, Printing & Publishing Liftoff Mobile T/L Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  2/17/2028   1,000,000   995,000   997,500 
Lightstone Generation LLC Energy: Electricity Term Loan B Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  1/30/2024   1,322,520   1,321,129   1,133,241 
Lightstone Generation LLC Energy: Electricity Term Loan C Loan 3M USD LIBOR+  3.75%  1.00%  4.75%  1/30/2024   74,592   74,517   63,917 
Lindblad Expeditions, Inc. Hotel, Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  3/21/2025   98,191   98,037   90,827 
Lindblad Expeditions, Inc. Hotel, Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  3/21/2025   392,764   392,147   363,307 
Liquidnet Holdings, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 6M USD LIBOR+  3.25%  1.00%  4.25%  7/11/2024   1,960,766   1,957,232   1,952,237 
LogMeIn, Inc. High Tech Industries Term Loan (8/20) Loan 1M USD LIBOR+  4.75%  0.00%  4.87%  8/31/2027   4,000,000   3,927,780   3,996,680 
LPL Holdings, Inc. Banking, Finance, Insurance & Real Estate Term Loan B1 Loan 1M USD LIBOR+  1.75%  0.00%  1.87%  11/11/2026   1,232,760   1,230,271   1,224,032 
MA FinanceCo LLC High Tech Industries Term Loan B4 Loan 3M USD LIBOR+  4.25%  1.00%  5.25%  5/29/2025   2,474,961   2,466,727   2,502,804 

 

56

 

 

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 
Marriott Ownership Resorts, Inc. Hotel, Gaming & Leisure Term Loan (11/19) Loan 1M USD LIBOR+  1.75%  0.00%  1.86%  8/29/2025   1,317,074   1,317,074   1,296,080 
Match Group, Inc, The Services: Consumer Term Loan (1/20) Loan 3M USD LIBOR+  1.75%  0.00%  1.95%  2/15/2027   250,000   249,476   247,735 
Mayfield Agency Borrower Inc. (FeeCo) Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+  4.50%  0.00%  4.61%  2/28/2025   3,427,214   3,397,660   3,380,090 
McAfee, LLC Services: Business Term Loan B Loan 1M USD LIBOR+  3.75%  0.00%  3.86%  9/30/2024   1,928,400   1,921,750   1,932,121 
McGraw-Hill Global Education Holdings, LLC Media: Advertising, Printing & Publishing Term Loan B Loan 3M USD LIBOR+  4.75%  1.00%  5.75%  11/1/2024   2,544,391   2,364,344   2,538,666 
Meredith Corporation Media: Advertising, Printing & Publishing Term Loan B2 Loan 1M USD LIBOR+  2.50%  0.00%  2.61%  1/31/2025   578,738   577,965   575,555 
Mermaid Bidco Inc. High Tech Industries Term Loan 12/20 Loan 2M USD LIBOR+  4.25%  0.75%  5.00%  12/1/2027   500,000   497,584   501,565 
Messer Industries, LLC Chemicals, Plastics, & Rubber Term Loan B Loan 3M USD LIBOR+  2.50%  0.00%  2.75%  3/1/2026   3,944,962   3,923,644   3,942,003 
Michaels Stores, Inc. Retail Term Loan B (9/20) Loan 1M USD LIBOR+  3.50%  0.75%  4.25%  10/1/2027   2,571,414   2,565,167   2,567,557 
Midwest Physician Administrative Services LLC (Dupage Medical Group) Healthcare & Pharmaceuticals Term Loan (2/18) Loan 1M USD LIBOR+  2.75%  0.75%  3.50%  8/15/2024   961,003   958,186   960,522 
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   997,500   944,391   1,000,991 
MKS Instruments, Inc. High Tech Industries Term Loan B6 Loan 1M USD LIBOR+  1.75%  0.00%  1.86%  2/2/2026   877,977   871,414   878,530 
MLN US Holdco LLC Telecommunications Term Loan Loan 1M USD LIBOR+  4.50%  0.00%  4.61%  12/1/2025   980,000   978,728   913,605 
MMM Holdings, Inc. Healthcare & Pharmaceuticals Term Loan B Loan 6M USD LIBOR+  5.75%  1.00%  6.75%  12/24/2026   6,724,026   6,605,313   6,730,347