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TSLX Sixth Street Specialty Lending

Filed: 4 May 21, 4:01pm

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

 

FORM 10-Q

 

(Mark One)

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the quarterly period ended March 31, 2021

OR

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934.

For the transition period from                     to                     

Commission File Number 001-36364

 

Sixth Street Specialty Lending, Inc.

(Exact name of registrant as specified in its charter)

 

 

Delaware

27-3380000

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

 

 

2100 McKinney Avenue, Suite 1500,

Dallas, TX

75201

(Address of principal executive offices)

(Zip Code)

Registrant’s telephone number, including area code: (469) 621-3001

Not applicable

Former name, former address and former fiscal year, if changed since last report.

 

 

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 $0.01 per share

TSLX

The New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes      No  

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes      No  

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

 

Large accelerated filer

Accelerated filer

Non-accelerated filer

  

Smaller reporting company

 

 

Emerging growth company

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

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

The number of shares of the registrant’s common stock, $.01 par value per share, outstanding at May 4, 2021 was 72,618,759.

 

 

 

 

 

 


 

 

SIXTH STREET SPECIALTY LENDING, INC.

 

 

 

INDEX

 

PAGE

NO.

 

 

 

 

 

PART I.

 

FINANCIAL INFORMATION

 

4

 

 

 

 

 

Item 1.

 

Financial Statements

 

4

 

 

 

 

 

 

 

Consolidated Balance Sheets as of  March 31, 2021 (Unaudited) and December 31, 2020

 

4

 

 

 

 

 

 

 

Consolidated Statements of Operations for the three months ended March 31, 2021 and 2020 (Unaudited)

 

5

 

 

 

 

 

 

 

Consolidated Schedules of Investments as of  March 31, 2021 (Unaudited) and December 31, 2020

 

6

 

 

 

 

 

 

 

Consolidated Statements of Changes in Net Assets for the three months ended March 31, 2021 and 2020 (Unaudited)

 

20

 

 

 

 

 

 

 

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

 

21

 

 

 

 

 

 

 

Notes to Consolidated Financial Statements (Unaudited)

 

22

 

 

 

 

 

Item 2.

 

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

 

49

 

 

 

 

 

Item 3.

 

Quantitative and Qualitative Disclosures About Market Risk

 

69

 

 

 

 

 

Item 4.

 

Controls and Procedures

 

71

 

 

 

 

 

PART II.

 

OTHER INFORMATION

 

72

 

 

 

 

 

Item 1.

 

Legal Proceedings

 

72

 

 

 

 

 

Item 1A.

 

Risk Factors

 

72

 

 

 

 

 

Item 2.

 

Unregistered Sales of Equity Securities and Use of Proceeds

 

77

 

 

 

 

 

Item 3.

 

Defaults Upon Senior Securities

 

77

 

 

 

 

 

Item 4.

 

Mine Safety Disclosures

 

77

 

 

 

 

 

Item 5.

 

Other Information

 

77

 

 

 

 

 

Item 6.

 

Exhibits

 

77

 

 

 

 

 

SIGNATURES

 

78

 

 

 

2


 

 

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

This report contains forward-looking statements that involve substantial risks and uncertainties. These forward-looking statements are not historical facts, but rather are based on current expectations, estimates and projections about us, our current and prospective portfolio investments, our industry, our beliefs, and our assumptions. Words such as “anticipates,” “expects,” “intends,” “plans,” “believes,” “seeks,” “estimates,” “would,” “should,” “targets,” “projects,” and variations of these words and similar expressions are intended to identify forward-looking statements. These statements are not guarantees of future performance and are subject to risks, uncertainties, and other factors, some of which are beyond our control and difficult to predict, that could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements.

In addition to factors previously identified elsewhere in the reports and other documents Sixth Street Specialty Lending, Inc. has filed with the Securities and Exchange Commission, or SEC, the following factors, among others, could cause actual results to differ materially from forward-looking statements or historical performance:

 

an economic downturn, including the current and future economic effects of the COVID-19 pandemic, could impair our portfolio companies’ abilities to continue to operate, which could lead to the loss of some or all of our investments in those portfolio companies;

 

such an economic downturn could disproportionately impact the companies in which we have invested and others that we intend to target for investment, potentially causing us to experience a decrease in investment opportunities and diminished demand for capital from these companies;

 

such an economic downturn could also impact availability and pricing of our financing;

 

an inability to access the capital markets could impair our ability to raise capital and our investment activities; and

 

the risks, uncertainties and other factors we identify in the section entitled “Risk Factors” in this report, in our Annual Report on Form 10-K for the year ended December 31, 2020, filed with the SEC on February 17, 2021, and elsewhere in our filings with the SEC.

Although we believe that the assumptions on which these forward-looking statements are based are reasonable, some of those assumptions are based on the work of third parties and any of those assumptions could prove to be inaccurate; as a result, forward-looking statements based on those assumptions also could prove to be inaccurate. In light of these and other uncertainties, the inclusion of a projection or forward-looking statement in this report should not be regarded as a representation by us that our plans and objectives will be achieved. You should not place undue reliance on these forward-looking statements, which apply only as of the date of this report. We do not undertake any obligation to update or revise any forward-looking statements or any other information contained herein, except as required by applicable law.

The “TSLX” and “TAO” marks are marks of Sixth Street.  Sixth Street and TPG are no longer affiliates, and accordingly, TPG is not an affiliate of ours.

3


 

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

Sixth Street Specialty Lending, Inc.

Consolidated Balance Sheets

(Amounts in thousands, except share and per share amounts)

(Unaudited)

 

 

 

March 31,

 

 

December 31,

 

 

 

2021

 

 

2020

 

Assets

 

 

 

 

 

 

 

 

Investments at fair value

 

 

 

 

 

 

 

 

Non-controlled, non-affiliated investments (amortized cost of $2,258,598 and $2,187,427, respectively)

 

$

2,329,835

 

 

$

2,249,302

 

Non-controlled, affiliated investments (amortized cost of $12,835 and $12,892, respectively)

 

 

14,917

 

 

 

12,892

 

Controlled, affiliated investments (amortized cost of $60,027 and $58,709, respectively)

 

 

37,994

 

 

 

36,676

 

Total investments at fair value (amortized cost of $2,331,460 and $2,259,028, respectively)

 

 

2,382,746

 

 

 

2,298,870

 

Cash and cash equivalents (restricted cash of $16,315 and $10,815, respectively)

 

 

19,992

 

 

 

13,274

 

Interest receivable

 

 

10,878

 

 

 

8,583

 

Prepaid expenses and other assets

 

 

4,294

 

 

 

17,866

 

Total Assets

 

$

2,417,910

 

 

$

2,338,593

 

Liabilities

 

 

 

 

 

 

 

 

Debt (net of deferred financing costs of $23,730 and $17,246, respectively)

 

$

1,070,633

 

 

$

1,110,363

 

Management fees payable to affiliate

 

 

8,782

 

 

 

8,435

 

Incentive fees payable to affiliate

 

 

13,747

 

 

 

8,673

 

Dividends payable

 

 

119,409

 

 

 

27,728

 

Other payables to affiliate

 

 

2,971

 

 

 

2,632

 

Other liabilities

 

 

17,036

 

 

 

19,447

 

Total Liabilities

 

 

1,232,578

 

 

 

1,177,278

 

Commitments and contingencies (Note 8)

 

 

 

 

 

 

 

 

Net Assets

 

 

 

 

 

 

 

 

Preferred stock, $0.01 par value; 100,000,000 shares authorized; no shares

   issued and outstanding

 

 

 

 

 

 

Common stock, $0.01 par value; 400,000,000 shares authorized, 72,266,042 and

   67,980,253 shares issued, respectively; and 71,969,998 and 67,684,209 shares

   outstanding, respectively

 

 

723

 

 

 

680

 

Additional paid-in capital

 

 

1,115,370

 

 

 

1,025,676

 

Treasury stock at cost; 296,044 and 296,044 shares held, respectively

 

 

(4,291

)

 

 

(4,291

)

Distributable earnings

 

 

73,530

 

 

 

139,250

 

Total Net Assets

 

 

1,185,332

 

 

 

1,161,315

 

Total Liabilities and Net Assets

 

$

2,417,910

 

 

$

2,338,593

 

Net Asset Value Per Share

 

$

16.47

 

 

$

17.16

 

 

The accompanying notes are an integral part of these consolidated financial statements.

 

 

 

4


 

 

Sixth Street Specialty Lending, Inc.

Consolidated Statements of Operations

(Amounts in thousands, except share and per share amounts)

(Unaudited)

 

 

 

Three Months Ended

 

 

 

March 31, 2021

 

 

March 31, 2020

 

Income

 

 

 

 

 

 

 

 

Investment income from non-controlled, non-affiliated investments:

 

 

 

 

 

 

 

 

Interest from investments

 

$

61,765

 

 

$

60,766

 

Dividend income

 

 

507

 

 

 

432

 

Other income

 

 

2,277

 

 

 

2,787

 

Total investment income from non-controlled, non-affiliated investments

 

 

64,549

 

 

 

63,985

 

Investment income from non-controlled, affiliated investments:

 

 

 

 

 

 

 

 

Interest from investments

 

 

211

 

 

 

1,236

 

Dividend income

 

 

545

 

 

 

 

Other income

 

 

 

 

 

19

 

Total investment income from non-controlled, affiliated investments

 

 

756

 

 

 

1,255

 

Investment income from controlled, affiliated investments:

 

 

 

 

 

 

 

 

Interest from investments

 

 

936

 

 

 

1,027

 

Other income

 

 

1

 

 

 

3

 

Total investment income from controlled, affiliated investments

 

 

937

 

 

 

1,030

 

Total Investment Income

 

 

66,242

 

 

 

66,270

 

Expenses

 

 

 

 

 

 

 

 

Interest

 

 

8,953

 

 

 

12,910

 

Management fees

 

 

8,738

 

 

 

8,165

 

Incentive fees

 

 

12,326

 

 

 

7,140

 

Professional fees

 

 

1,395

 

 

 

1,645

 

Directors’ fees

 

 

194

 

 

 

228

 

Other general and administrative

 

 

1,866

 

 

 

1,510

 

Total expenses

 

 

33,472

 

 

 

31,598

 

Management and incentive fees waived (Note 3)

 

 

 

 

 

 

Net Expenses

 

 

33,472

 

 

 

31,598

 

Net Investment Income Before Income Taxes

 

 

32,770

 

 

 

34,672

 

Income taxes, including excise taxes

 

 

460

 

 

 

1,010

 

Net Investment Income

 

 

32,310

 

 

 

33,662

 

Unrealized and Realized Gains (Losses)

 

 

 

 

 

 

 

 

Net change in unrealized gains (losses):

 

 

 

 

 

 

 

 

Non-controlled, non-affiliated investments

 

 

9,363

 

 

 

(92,759

)

Non-controlled, affiliated investments

 

 

2,082

 

 

 

(1,394

)

Controlled, affiliated investments

 

 

(1

)

 

 

(13,507

)

Translation of other assets and liabilities in foreign currencies

 

 

133

 

 

 

13,799

 

Interest rate swaps

 

 

(1,822

)

 

 

9,181

 

Total net change in unrealized gains (losses)

 

 

9,755

 

 

 

(84,680

)

Realized gains (losses):

 

 

 

 

 

 

 

 

Non-controlled, non-affiliated investments

 

 

14,619

 

 

 

75

 

Non-controlled, affiliated investments

 

 

(33

)

 

 

 

Controlled, affiliated investments

 

 

 

 

 

(2,097

)

Foreign currency transactions

 

 

1

 

 

 

(59

)

Total net realized gains (losses)

 

 

14,587

 

 

 

(2,081

)

Total Net Unrealized and Realized Gains (Losses)

 

 

24,342

 

 

 

(86,761

)

Increase (Decrease) in Net Assets Resulting from Operations

 

$

56,652

 

 

$

(53,099

)

Earnings (Loss) per common share—basic

 

$

0.81

 

 

$

(0.80

)

Weighted average shares of common stock outstanding—basic

 

 

69,691,162

 

 

 

66,656,280

 

Earnings (Loss) per common share—diluted

 

$

0.75

 

 

$

(0.80

)

Weighted average shares of common stock outstanding—diluted

 

 

77,356,492

 

 

 

66,656,280

 

 

The accompanying notes are an integral part of these consolidated financial statements.

5


 

Sixth Street Specialty Lending, Inc.

Consolidated Schedule of Investments as of March 31, 2021

(Amounts in thousands, except share amounts)

(Unaudited)

 

Company (1)

 

Investment

 

Initial

Acquisition

Date

 

Reference

Rate and

Spread

 

 

Interest Rate

 

 

Amortized

Cost (2)(8)

 

 

Fair Value (10)

 

 

Percentage

of Net Assets

 

Debt Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Business services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Acceo Solutions,

   Inc. (3)(4)(5)

 

First-lien loan (CAD 74,625 par, due 10/2025)

 

7/6/2018

 

 

C + 5.25

%

 

 

6.25

%

 

$

56,030

 

 

$60,562

(CAD 76,118)

 

 

 

5.0

%

Alpha Midco, Inc. (3)(5)

 

First-lien loan ($64,154 par, due 8/2025)

 

8/15/2019

 

 

L + 7.50

%

 

 

8.50

%

 

 

62,840

 

 

 

65,192

 

 

 

5.5

%

ForeScout Technologies, Inc. (3)

 

First-lien loan ($4,772 par, due 8/2026)

 

8/17/2020

 

 

L + 9.50

%

 

10.50% (incl. 9.50% PIK)

 

 

 

4,657

 

 

 

4,759

 

 

 

0.4

%

Integration Appliance, Inc. (3)

 

First-lien loan ($71,500 par, due 8/2023)

 

8/13/2018

 

 

L + 7.25

%

 

 

8.25

%

 

 

70,912

 

 

 

72,036

 

 

 

6.1

%

 

 

First-lien revolving loan ($1,310 par, due 8/2023)

 

8/13/2018

 

 

L + 7.25

%

 

 

8.25

%

 

 

1,291

 

 

 

1,329

 

 

 

0.1

%

Motus, LLC (3)(5)

 

First-lien loan ($61,641 par, due 1/2024)

 

1/17/2018

 

 

L + 5.50

%

 

 

6.50

%

 

 

60,811

 

 

 

62,103

 

 

 

5.2

%

Netwrix Corp. (3)(5)

 

First-lien loan ($64,140 par, due 9/2026)

 

9/30/2020

 

 

L + 6.50

%

 

 

7.50

%

 

 

62,672

 

 

 

63,578

 

 

 

5.4

%

Nintex Global, Ltd. (3)(5)

 

First-lien loan ($79,495 par, due 4/2024)

 

3/30/2018

 

 

L + 6.75

%

 

 

7.75

%

 

 

78,261

 

 

 

81,907

 

 

 

6.9

%

ReliaQuest Holdings, LLC (3)(5)

 

First-lien loan ($38,191 par, due 10/2026)

 

10/8/2020

 

 

L + 8.25

%

 

 

9.25

%

 

 

37,165

 

 

 

38,019

 

 

 

3.2

%

ServiceChannel Holdings, Inc. (9)

 

Second-lien loan  ($5,520 par, due 6/2025)

 

6/3/2020

 

 

12.00

%

 

12.00% PIK

 

 

 

5,168

 

 

 

5,505

 

 

 

0.5

%

Sprinklr, Inc.

 

Convertible note ($4,017 par, due 5/2025)

 

5/20/2020

 

 

9.88

%

 

9.88% PIK

 

 

 

3,989

 

 

 

4,590

 

 

 

0.4

%

WideOrbit, Inc. (3)

 

First-lien loan ($59,792 par, due 7/2025)

 

7/8/2020

 

 

L + 8.50

%

 

 

9.75

%

 

 

58,936

 

 

 

61,244

 

 

 

5.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

502,732

 

 

 

520,824

 

 

 

43.9

%

Communications

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IntelePeer Holdings, Inc.

 

First-lien loan ($43,642 par, due 12/2024) (3)

 

12/2/2019

 

 

L + 8.25

%

 

 

9.75

%

 

 

43,543

 

 

 

43,314

 

 

 

3.7

%

 

 

Convertible note ($1,750 par, due 12/2024)

 

2/28/2020

 

 

8.00

%

 

8.00% PIK

 

 

 

1,732

 

 

 

2,726

 

 

 

0.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

45,275

 

 

 

46,040

 

 

 

3.9

%

Education

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EMS Linq, Inc. (3)(5)

 

First-lien loan ($34,825 par, due 9/2025)

 

9/17/2020

 

 

L + 7.75

%

 

 

8.75

%

 

 

33,860

 

 

 

34,912

 

 

 

2.9

%

Follet Corp. (3)

 

First-lien loan ($75,000 par, due 11/2025)

 

11/25/2020

 

 

L + 7.75

%

 

 

8.75

%

 

 

73,409

 

 

 

73,875

 

 

 

6.2

%

Frontline Technologies

   Group, LLC (3)

 

First-lien loan ($84,621 par, due 9/2023)

 

9/18/2017

 

 

L + 5.75

%

 

 

6.75

%

 

 

84,296

 

 

 

85,044

 

 

 

7.2

%

Illuminate Education,

   Inc.(3)(5)

 

First-lien loan ($63,213 par, due 8/2022)

 

8/25/2017

 

 

L + 6.25

%

 

 

7.25

%

 

 

62,775

 

 

 

63,529

 

 

 

5.4

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

254,340

 

 

 

257,360

 

 

 

21.7

%

Financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AvidXchange, Inc. (3)(5)

 

First-lien loan ($10,953 par, due 4/2024)

 

10/1/2019

 

 

L + 9.00

%

 

 

10.00

%

 

 

10,849

 

 

 

11,082

 

 

 

0.9

%

Bear OpCo, LLC (3)(5)

 

First-lien loan ($19,725 par, due 10/2024)

 

10/10/2019

 

 

L + 6.50

%

 

 

7.50

%

 

 

19,316

 

 

 

19,577

 

 

 

1.7

%

BlueSnap, Inc. (3)

 

First-lien loan ($35,000 par, due 10/2024)

 

10/25/2019

 

 

L + 7.00

%

 

 

8.00

%

 

 

34,472

 

 

 

35,262

 

 

 

3.0

%

 

 

First-lien revolving loan ($2,500 par, due 10/2024)

 

10/25/2019

 

 

P + 6.00

%

 

 

9.25

%

 

 

2,464

 

 

 

2,519

 

 

 

0.2

%

6


 

G Treasury SS, LLC (3)(5)

 

First-lien loan ($47,121 par, due 4/2023)

 

4/9/2018

 

 

L + 8.25

%

 

 

9.25

%

 

 

46,444

 

 

 

47,934

 

 

 

4.0

%

GC Agile Holdings, Ltd. (3)(4)

 

First-lien loan ($39,223 par, due 6/2025)

 

1/31/2019

 

 

L + 7.00

%

 

 

8.25

%

 

 

38,742

 

 

 

39,812

 

 

 

3.4

%

InvMetrics Holdings, Inc. (3)(5)

 

First-lien loan ($53,067 par, due 12/2025)

 

12/30/2020

 

 

L + 6.25

%

 

 

7.25

%

 

 

51,751

 

 

 

52,242

 

 

 

4.4

%

Kyriba Corp.(3)

 

First-lien loan ($14,234 par, due 4/2025)

 

4/9/2019

 

 

L + 9.00

%

 

10.50% (incl. 9.00% PIK)

 

 

 

13,970

 

 

 

14,752

 

 

 

1.2

%

 

 

First-lien loan (EUR 8,474 par, due 4/2025)

 

4/9/2019

 

 

E + 9.00

%

 

9.00% PIK

 

 

 

9,349

 

 

10,259

(EUR 8,729)

 

 

 

0.9

%

 

 

First-lien revolving loan ($1,411 par, due 4/2025)

 

4/9/2019

 

 

L + 7.25

%

 

 

8.75

%

 

 

1,381

 

 

 

1,454

 

 

 

0.1

%

 

 

First-lien revolving loan (EUR 336 par, due 4/2025)

 

4/9/2019

 

 

E + 7.25

%

 

 

7.25

%

 

 

369

 

 

407

(EUR 346)

 

 

 

0.0

%

PayLease, LLC (3)

 

First-lien loan ($63,507 par, due 7/2022)

 

7/28/2017

 

 

L + 7.25

%

 

 

8.25

%

 

 

63,093

 

 

 

64,301

 

 

 

5.4

%

 

 

First-lien revolving loan ($3,333 par, due 7/2022)

 

7/28/2017

 

 

L + 7.25

%

 

 

8.25

%

 

 

3,316

 

 

 

3,375

 

 

 

0.3

%

PrimeRevenue, Inc. (3)

 

First-lien loan ($22,507 par, due 12/2023)

 

12/31/2018

 

 

L + 9.50

%

 

 

11.00

%

 

 

22,316

 

 

 

23,450

 

 

 

2.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

317,832

 

 

 

326,426

 

 

 

27.5

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BCTO Ace Purchaser, Inc. (3)(5)

 

First-lien loan ($39,900 par, due 11/2026)

 

11/23/2020

 

 

L + 6.50

%

 

 

7.50

%

 

 

38,804

 

 

 

39,700

 

 

 

3.3

%

Caris Life Sciences, Inc.

 

First-lien loan ($5,000 par, due 9/2023)

 

9/21/2018

 

 

11.30

%

 

 

11.30

%

 

 

4,897

 

 

 

5,362

 

 

 

0.5

%

 

 

First-lien loan ($3,750 par, due 4/2025)

 

4/2/2020

 

 

11.30

%

 

 

11.30

%

 

 

3,511

 

 

 

4,116

 

 

 

0.3

%

 

 

Convertible note ($2,602 par, due 9/2023)

 

9/21/2018

 

 

8.00

%

 

 

8.00

%

 

 

2,602

 

 

 

6,310

 

 

 

0.5

%

Clinicient, Inc.(3)

 

First-lien loan ($15,000 par, due 5/2024)

 

5/31/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

14,898

 

 

 

15,150

 

 

 

1.3

%

 

 

First-lien revolving loan ($2,400 par, due 5/2024)

 

5/31/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

2,375

 

 

 

2,440

 

 

 

0.2

%

Integrated Practice

   Solutions, Inc. (3)(5)

 

First-lien loan ($49,250 par, due 10/2024)

 

6/30/2017

 

 

L + 7.50

%

 

 

8.50

%

 

 

47,876

 

 

 

50,974

 

 

 

4.3

%

Valant Medical Solutions,

   Inc. (3)

 

First-lien loan ($28,836 par, due 4/2024)

 

4/8/2019

 

 

L + 8.75

%

 

 

10.25

%

 

 

28,249

 

 

 

29,370

 

 

 

2.5

%

 

 

First-lien revolving loan ($1,500 par, due 4/2024)

 

4/8/2019

 

 

L + 8.75

%

 

 

10.25

%

 

 

1,476

 

 

 

1,535

 

 

 

0.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

144,688

 

 

 

154,957

 

 

 

13.0

%

Hotel, gaming, and leisure

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IRGSE Holding Corp. (3)(7)

 

First-lien loan ($30,256 par, due 9/2021)

 

9/29/2015

 

 

L + 9.50

%

 

10.00% (incl. 5.00% PIK)

 

 

 

28,590

 

 

 

29,349

 

 

 

2.5

%

 

 

First-lien revolving loan ($7,996 par, due 9/2021)

 

9/29/2015

 

 

L + 9.50

%

 

10.00% (incl. 5.00% PIK)

 

 

 

7,997

 

 

 

7,752

 

 

 

0.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

36,587

 

 

 

37,101

 

 

 

3.2

%

Human resource support services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Absorb Software, Inc. (3)(4)(5)

 

First-lien loan ($34,400 par, due 5/2024)

 

7/31/2019

 

 

L + 6.50

%

 

 

7.50

%

 

 

33,871

 

 

 

35,174

 

 

 

3.0

%

ClearCompany, LLC (3)

 

First-lien loan ($20,182 par, due 7/2023)

 

7/23/2018

 

 

L + 8.75

%

 

10.25% (incl. 2.50% PIK)

 

 

 

20,049

 

 

 

20,384

 

 

 

1.7

%

DaySmart Holdings, LLC (3)(5)

 

First-lien loan ($41,851 par, due 10/2025)

 

12/18/2020

 

 

L + 7.25

%

 

 

8.75

%

 

 

41,845

 

 

 

41,970

 

 

 

3.5

%

7


 

 

 

First-lien revolving loan ($3,000 par, due 10/2025)

 

12/18/2020

 

 

L + 7.25

%

 

 

8.75

%

 

 

3,003

 

 

 

3,008

 

 

 

0.3

%

PageUp People, Ltd. (3)(4)

 

First-lien loan (AUD 51,323 par, due 12/2022)

 

1/11/2018

 

 

B + 7.25

%

 

8.50% (incl. 1.25% PIK)

 

 

 

39,451

 

 

39,412

(AUD 51,745)

 

 

 

3.4

%

PayScale Holdings, Inc. (3)(5)

 

First-lien loan ($70,000 par, due 5/2024)

 

5/3/2019

 

 

L + 6.00

%

 

 

7.00

%

 

 

68,726

 

 

 

70,700

 

 

 

6.0

%

Modern Hire, Inc. (3)(5)

 

First-lien loan ($30,036 par, due 5/2024)

 

5/15/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

29,478

 

 

 

30,637

 

 

 

2.6

%

Workwell Acquisition Co. (3)(5)

 

First-lien loan ($19,900 par, due 10/2025)

 

10/19/2020

 

 

L + 7.50

%

 

 

8.50

%

 

 

19,222

 

 

 

19,900

 

 

 

1.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

255,645

 

 

 

261,185

 

 

 

22.2

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Riskonnect, Inc. (3)(5)

 

First-lien loan ($50,573 par, due 10/2023)

 

6/30/2017

 

 

L + 7.00

%

 

 

8.25

%

 

 

50,219

 

 

 

51,079

 

 

 

4.3

%

Internet services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Higher Logic, LLC (3)(5)

 

First-lien loan ($49,875 par, due 1/2024)

 

6/18/2018

 

 

L + 7.25

%

 

 

8.25

%

 

 

49,432

 

 

 

50,374

 

 

 

4.2

%

Lithium Technologies,

   LLC (3)

 

First-lien loan ($54,700 par, due 10/2022)

 

10/3/2017

 

 

L + 8.00

%

 

 

9.00

%

 

 

54,244

 

 

 

53,540

 

 

 

4.5

%

Lucidworks, Inc. (9)

 

First-lien loan ($13,129 par, due 7/2024)

 

7/31/2019

 

 

12.00

%

 

12.00% (incl. 7.00% PIK)

 

 

 

13,025

 

 

 

13,326

 

 

 

1.1

%

Piano Software, Inc. (3)(5)

 

First-lien loan ($38,404 par, due 2/2026)

 

2/25/2021

 

 

L + 6.50

%

 

 

7.50

%

 

 

37,500

 

 

 

37,444

 

 

 

3.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

154,201

 

 

 

154,684

 

 

 

13.0

%

Marketing Services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Acoustic, L.P. (3)

 

First-lien note ($33,000 par, due 6/2024)

 

12/17/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

32,415

 

 

 

32,010

 

 

 

2.7

%

Office products

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USR Parent, Inc. (3)(5)

 

ABL FILO term loan  ($7,232 par, due 9/2022)

 

9/12/2017

 

 

L + 7.75

%

 

 

8.75

%

 

 

7,173

 

 

 

7,268

 

 

 

0.6

%

Oil, gas and consumable fuels

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MD America Energy,

   LLC (3)(6)

 

First-lien loan ($8,944 par, due 12/2024)

 

11/14/2018

 

 

L + 7.75

%

 

 

9.25

%

 

 

8,944

 

 

 

8,944

 

 

 

0.8

%

Mississippi Resources,

   LLC (3)(7)(16)

 

First-lien loan ($1,500 par, due 12/2021)

 

6/29/2018

 

 

P + 8.00

%

 

 

12.00

%

 

 

1,498

 

 

 

 

 

 

0.0

%

Verdad Resources Intermediate

   Holdings, LLC (3)

 

First-lien loan ($25,233 par, due 10/2024)

 

4/10/2019

 

 

L + 7.50

%

 

 

9.50

%

 

 

24,750

 

 

 

25,539

 

 

 

2.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

35,192

 

 

 

34,483

 

 

 

3.0

%

Other

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lexipol, LLC (3)(5)

 

First-lien loan ($19,712 par, due 10/2025)

 

10/8/2020

 

 

L + 5.75

%

 

 

6.75

%

 

 

19,393

 

 

 

19,862

 

 

 

1.7

%

Omnigo Software, LLC (3)(5)

 

First-lien loan ($34,000 par, due 3/2026)

 

3/31/2021

 

 

L + 6.50

%

 

 

7.50

%

 

 

33,218

 

 

 

33,235

 

 

 

2.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

52,611

 

 

 

53,097

 

 

 

4.5

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Biohaven Pharmaceuticals,

   Inc. (3)(4)

 

First-lien loan ($28,227 par, due 8/2025)

 

8/7/2020

 

 

L + 9.00

%

 

10.00% (incl. 4.00% PIK)

 

 

 

27,204

 

 

 

29,115

 

 

 

2.5

%

TherapeuticsMD, Inc. (3)(4)

 

First-lien loan ($30,000 par, due 3/2024)

 

4/24/2019

 

 

L + 7.75

%

 

 

10.45

%

 

 

28,793

 

 

 

30,000

 

 

 

2.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

55,997

 

 

 

59,115

 

 

 

5.0

%

Real Estate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ResMan, LLC (3)

 

First-lien loan ($40,269 par, due 10/2024)

 

10/3/2019

 

 

L + 9.50

%

 

 

10.50

%

 

 

40,080

 

 

 

40,269

 

 

 

3.4

%

Retail and consumer products

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

99 Cents Only Stores

   LLC (3)

 

ABL FILO term loan ($25,000 par, due 5/2025)

 

9/6/2017

 

 

L + 8.50

%

 

 

9.50

%

 

 

24,649

 

 

 

25,687

 

 

 

2.2

%

8


 

American Achievement,

   Corp. (3)

 

First-lien loan ($24,116 par, due 9/2026)

 

9/30/2015

 

 

L + 6.25

%

 

7.25% (incl. 4.25% PIK)

 

 

 

23,175

 

 

 

21,101

 

 

 

1.8

%

 

 

First-lien revolving loan ($953 par, due 9/2026)

 

2/9/2021

 

 

L + 6.25

%

 

7.25% (incl. 4.25% PIK)

 

 

 

953

 

 

 

953

 

 

 

0.1

%

 

 

Subordinated note ($4,740 par, due 9/2026) (16)

 

3/16/2021

 

 

L + 1.00

%

 

2.00% PIK

 

 

 

545

 

 

 

545

 

 

 

0.0

%

Designer Brands, Inc. (3)(4)

 

ABL First-lien loan ($48,750 par, due 8/2025)

 

8/7/2020

 

 

L + 8.50

%

 

 

9.75

%

 

 

47,657

 

 

 

48,872

 

 

 

4.1

%

J.C. Penney Company,

   Inc. (11)(13)

 

First-lien loan ($4,129 par, due 6/2023)

 

6/5/2019

 

 

 

 

 

 

 

 

3,153

 

 

 

10

 

 

 

0.0

%

 

 

First-lien secured note ($12,372 par, due 7/2023)

 

6/5/2019

 

 

 

 

 

 

 

 

10,112

 

 

 

31

 

 

 

0.0

%

Maurices, Inc. (3)(5)

 

ABL FILO term loan ($31,111 par, due 5/2024)

 

5/6/2019

 

 

L + 6.50

%

 

 

7.75

%

 

 

30,431

 

 

 

31,811

 

 

 

2.7

%

Moran Foods, LLC (3)

 

ABL FILO term loan ($36,167 par, due 4/2024)

 

4/1/2020

 

 

L + 7.50

%

 

 

9.00

%

 

 

35,602

 

 

 

36,890

 

 

 

3.1

%

Penney Borrower, LLC (3)

 

ABL FILO term loan ($72,000 par, due 12/2025)

 

12/7/2020

 

 

L + 8.50

%

 

 

9.25

%

 

 

70,387

 

 

 

71,100

 

 

 

6.0

%

 

 

First-lien term loan ($6,912 par, due 12/2026) (11)

 

12/7/2020

 

 

L + 8.50

%

 

 

9.50

%

 

 

5,857

 

 

 

6,450

 

 

 

0.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

252,521

 

 

 

243,450

 

 

 

20.5

%

Total Debt Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2,237,508

 

 

 

2,279,348

 

 

 

192.4

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity and Other Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Business Services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Motus, LLC (13)

 

Class A Units (1,262 units)

 

1/17/2018

 

 

 

 

 

 

 

 

 

 

1,262

 

 

 

3,744

 

 

 

0.3

%

 

 

Class B Units (517,020 units)

 

1/17/2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.0

%

Nintex Global, Ltd. (13)

 

Class A Shares (1,197 shares)

 

3/30/2018

 

 

 

 

 

 

 

 

 

 

1,197

 

 

 

3,948

 

 

 

0.4

%

 

 

Class B Shares (398,557 shares)

 

3/30/2018

 

 

 

 

 

 

 

 

 

 

12

 

 

 

40

 

 

 

0.0

%

ServiceChannel Holdings,

   Inc. (13)(14)

 

207,991 Warrants

 

6/3/2020

 

 

 

 

 

 

 

 

 

 

335

 

 

 

349

 

 

 

0.0

%

WideOrbit, Inc. (13)(14)

 

1,567,807 Warrants

 

7/8/2020

 

 

 

 

 

 

 

 

 

 

327

 

 

 

327

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,133

 

 

 

8,408

 

 

 

0.7

%

Communications

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IntelePeer Holdings, Inc. (13)

 

280,000 Warrants

 

2/28/2020

 

 

 

 

 

 

 

 

 

 

183

 

 

 

304

 

 

 

0.0

%

Education

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EMS Linq, Inc. (13)(14)

 

Common Units (474,684 units)

 

11/2/2020

 

 

 

 

 

 

 

 

 

 

1,500

 

 

 

1,500

 

 

 

0.1

%

Financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AvidXchange, Inc.

 

Common Shares (2,198 shares) (13)(14)

 

4/7/2020

 

 

 

 

 

 

 

 

 

 

109

 

 

 

160

 

 

 

0.0

%

 

 

Preferred Shares (293,232 shares)

 

10/1/2019

 

 

 

 

 

 

 

 

 

 

16,243

 

 

 

16,812

 

 

 

1.4

%

 

 

Series F Preferred Shares (8,791 shares) (13)(14)

 

4/7/2020

 

 

 

 

 

 

 

 

 

 

438

 

 

 

639

 

 

 

0.1

%

 

 

75,016 Warrants (13)

 

10/1/2019

 

 

 

 

 

 

 

 

 

 

475

 

 

 

2,708

 

 

 

0.2

%

Newport Parent Holdings, LP (13)(14)

 

Class A-2 Units (131,569 units)

 

12/10/2020

 

 

 

 

 

 

 

 

 

 

4,177

 

 

 

4,177

 

 

 

0.4

%

Oxford Square Capital

   Corp. (4)(12)

 

Common Shares (1,620 shares)

 

8/5/2015

 

 

 

 

 

 

 

 

 

 

6

 

 

 

8

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

21,448

 

 

 

24,504

 

 

 

2.1

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Caris Life Sciences, Inc. (13)

 

Series C Preferred Shares (362,319 shares) (14)

 

10/13/2020

 

 

 

 

 

 

 

 

 

 

1,000

 

 

 

1,402

 

 

 

0.1

%

 

 

633,376 Warrants

 

9/21/2018

 

 

 

 

 

 

 

 

 

 

192

 

 

 

1,384

 

 

 

0.1

%

 

 

569,991 Warrants (14)

 

4/2/2020

 

 

 

 

 

 

 

 

 

 

250

 

 

 

1,104

 

 

 

0.1

%

Valant Medical Solutions,

   Inc. (13)(15)

 

Class A Units (51,429 units) (14)

 

3/10/2021

 

 

 

 

 

 

 

 

 

 

51

 

 

 

51

 

 

 

0.0

%

 

 

954,478 Warrants

 

4/8/2019

 

 

 

 

 

 

 

 

 

 

281

 

 

 

281

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,774

 

 

 

4,222

 

 

 

0.3

%

9


 

Hotel, gaming, and leisure

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IRGSE Holding Corp. (7)(13)

 

Class A Units (33,790,171 units) (14)

 

12/21/2018

 

 

 

 

 

 

 

 

 

 

21,842

 

 

 

845

 

 

 

0.1

%

 

 

Class C-1 Units (8,800,000 units)

 

12/21/2018

 

 

 

 

 

 

 

 

 

 

100

 

 

 

48

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

21,942

 

 

 

893

 

 

 

0.1

%

Human resource support services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ClearCompany, LLC (13)(15)

 

Series A Preferred Units (1,429,228 units)

 

8/24/2018

 

 

 

 

 

 

 

 

 

 

2,014

 

 

 

4,421

 

 

 

0.4

%

DaySmart Holdings, LLC (13)(14)(15)

 

Class A Units (166,811 units)

 

10/1/2019

 

 

 

 

 

 

 

 

 

 

1,347

 

 

 

1,663

 

 

 

0.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,361

 

 

 

6,084

 

 

 

0.5

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Riskonnect, Inc. (13)

 

Common Shares Class A (1,020 units)

 

6/30/2017

 

 

 

 

 

 

 

 

 

 

1,020

 

 

 

2,208

 

 

 

0.2

%

 

 

Common Shares Class B (987,929 units)

 

6/30/2017

 

 

 

 

 

 

 

 

 

 

10

 

 

 

22

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,030

 

 

 

2,230

 

 

 

0.2

%

Internet Services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lucidworks, Inc. (13)

 

Series F Preferred Shares (199,054 shares)

 

8/2/2019

 

 

 

 

 

 

 

 

 

 

800

 

 

 

922

 

 

 

0.1

%

Marketing services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Validity, Inc. (13)

 

Series A Preferred Shares (3,840,000 shares)

 

5/31/2018

 

 

 

 

 

 

 

 

 

 

3,840

 

 

 

12,365

 

 

 

1.0

%

Oil, gas and consumable fuels

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SMPA Holdings, LLC (6)(14)

 

Common Units (15,000 units)

 

12/24/2020

 

 

 

 

 

 

 

 

 

 

3,891

 

 

 

5,973

 

 

 

0.5

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TherapeuticsMD, Inc. (13)(14)

 

712,817 Warrants

 

8/5/2020

 

 

 

 

 

 

 

 

 

 

1,029

 

 

 

643

 

 

 

0.1

%

Retail and consumer products

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

American Achievement, Corp. (13)(14)

 

Class A Units (687 units)

 

3/16/2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.0

%

Copper Bidco, LLC (11)(14)

 

Trust Certificates (132,928 Certificates)

 

12/7/2020

 

 

 

 

 

 

 

 

 

 

930

 

 

 

1,373

 

 

 

0.1

%

 

 

Trust Certificates (996,958 Certificates)

 

1/30/2021

 

 

 

 

 

 

 

 

 

 

15,453

 

 

 

18,145

 

 

 

1.5

%

NMG Parent, LLC Com Unit (11)(13)(14)

 

Common Units (110,210 units)

 

9/29/2020

 

 

 

 

 

 

 

 

 

 

6,613

 

 

 

7,770

 

 

 

0.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

22,996

 

 

 

27,288

 

 

 

2.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bain Capital Credit CLO Ltd,

   Series 2018-1A (3)(4)(11)

 

Structured Product ($500 par, due 4/2031)

 

10/15/2020

 

 

L + 5.35

%

 

 

5.56

%

 

 

413

 

 

 

460

 

 

 

0.0

%

Carlyle Global Market Strategies

   CLO Ltd, Series  2018-1A

   (3)(4)(11)

 

Structured Product ($1,550 par, due 4/2031)

 

8/11/2020

 

 

L + 5.75

%

 

 

5.97

%

 

 

1,208

 

 

 

1,484

 

 

 

0.1

%

Carlyle Global Market Strategies

   CLO Ltd, Series  2017-4A

   (3)(4)(11)

 

Structured Product ($4,150 par, due 1/2030)

 

9/3/2020

 

 

L + 6.15

%

 

 

6.39

%

 

 

3,414

 

 

 

3,833

 

 

 

0.3

%

Madison Park Funding Ltd,

   Series 2014-14A (3)(4)(11)

 

Structured Product ($2,400 par, due 10/2030)

 

8/11/2020

 

 

L + 5.80

%

 

 

6.02

%

 

 

1,990

 

 

 

2,285

 

 

 

0.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7,025

 

 

 

8,062

 

 

 

0.6

%

Total Equity and Other

   Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

93,952

 

 

 

103,398

 

 

 

8.6

%

Total Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,331,460

 

 

$

2,382,746

 

 

 

201.0

%

10


 

 

 

 

 

 

Interest Rate Swaps as of March 31, 2021

 

 

 

Company

Receives

 

 

Company

Pays

 

 

Maturity Date

 

Notional

Amount

 

 

Fair

Market

Value

 

 

Upfront

(Payments) /

Receipts

 

 

Change in

Unrealized

Gains / (Losses)

 

Interest rate swap (a)

 

L

 

 

1.47%

 

 

7/30/2021

 

$

11,700

 

 

$

(53

)

 

$

 

 

$

36

 

Interest rate swap (a)

 

4.50%

 

 

L + 2.37%

 

 

8/1/2022

 

 

115,000

 

 

 

2,883

 

 

 

 

 

 

(597

)

Interest rate swap (a)

 

4.50%

 

 

L + 1.59%

 

 

8/1/2022

 

 

50,000

 

 

 

1,784

 

 

 

 

 

 

(357

)

Interest rate swap (a)

 

4.50%

 

 

L + 1.60%

 

 

8/1/2022

 

 

7,500

 

 

 

266

 

 

 

 

 

 

(54

)

Interest rate swap (a)

 

L + 2.11%

 

 

4.50%

 

 

8/1/2022

 

 

27,531

 

 

 

(788

)

 

 

1,252

 

 

 

161

 

Interest rate swap (a)

 

L + 2.11%

 

 

4.50%

 

 

8/1/2022

 

 

2,160

 

 

 

(62

)

 

 

96

 

 

 

12

 

Interest rate swap (a)

 

4.50%

 

 

L + 1.99%

 

 

1/22/2023

 

 

150,000

 

 

 

6,019

 

 

 

 

 

 

(1,036

)

Interest rate swap (a)

 

L

 

 

0.33%

 

 

6/9/2023

 

 

5,000

 

 

 

(2

)

 

 

 

 

 

13

 

Interest rate swap (a)(d)

 

L + 2.28%

 

 

3.875%

 

 

11/1/2024

 

 

2,500

 

 

 

 

 

 

128

 

 

 

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

371,391

 

 

 

10,047

 

 

 

1,476

 

 

 

(1,822

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap (a)(b)(c)

 

3.875%

 

 

L + 2.25%

 

 

11/1/2024

 

 

300,000

 

 

 

9,883

 

 

 

 

 

 

(4,833

)

Interest rate swap (a)(b)(c)

 

3.875%

 

 

L + 2.46%

 

 

11/1/2024

 

 

50,000

 

 

 

1,273

 

 

 

 

 

 

(780

)

Interest rate swap (a)(b)

 

2.50%

 

 

L + 1.91%

 

 

8/1/2026

 

 

300,000

 

 

 

(9,004

)

 

 

 

 

 

(9,004

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

650,000

 

 

 

2,152

 

 

 

 

 

 

(14,617

)

Cash collateral

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(11,154

)

 

 

 

 

 

 

Total derivatives

 

 

 

 

 

 

 

 

 

 

 

$

1,021,391

 

 

$

1,045

 

 

$

1,476

 

 

$

(16,439

)

 

 

(a)

Contains a variable rate structure. Bears interest at a rate determined by three-month LIBOR.

 

(b)

Instrument is used in a hedge accounting relationship. The associated change in fair value is recorded along with the change in fair value of the hedged item within interest expense.

 

(c)

$2.5 million in aggregate notional value of these instruments is no longer designated as instruments in a hedge accounting relationship. The associated change in fair value of the de-designated portion is recorded within unrealized gain/(loss).

 

(d)

The fair market value of this instrument is presented net with the $2.5 million in aggregate notional value of instruments no longer designated as instruments in a hedge accounting relationship.

(1)

Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

The amortized cost represents the original cost adjusted for the amortization of discounts and premiums, as applicable, on debt investments using the effective interest method.

(3)

Investment contains a variable rate structure, subject to an interest rate floor. Variable rate investments bear interest at a rate that may be determined by reference to either London Interbank Offered Rate (“LIBOR” or “L”) (which can include one-, two-, three- or six-month LIBOR), Euro Interbank Offer Rate (“Euribor” or “E”) (which can include one-, two-, three- or six-month Euribor), Canadian Dollar Offered Rate (“CDOR” or “C”), Bank Bill Swap Bid Rate (“BBSY” or “B”) or an alternate base rate (which can include the Federal Funds Effective Rate or the Prime Rate or “P”), at the borrower’s option, which reset periodically based on the terms of the credit agreement. For investments with multiple interest rate contracts, the interest rate shown is the weighted average interest rate in effect at March 31, 2021.

(4)

This portfolio company is not a qualifying asset under Section 55(a) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under the 1940 Act, the Company may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of total assets. Non-qualifying assets represented 12.1% of total assets as of March 31, 2021.

(5)

In addition to the interest earned based on the stated interest rate of this investment, which is the amount reflected in this schedule, the Company may be entitled to receive additional interest as a result of an arrangement with other members in the syndicate to the extent an investment has been allocated to “first out” and “last out” tranches, whereby the “first out” tranche will have priority as to the “last out” tranche with respect to payments of principal, interest and any amounts due thereunder and the Company holds the “last out” tranche.  

(6)

Under the 1940 Act, the Company is deemed to be an “Affiliated Person” of, as defined in the 1940 Act, this portfolio company, as the Company owns more than 5% of the portfolio company’s outstanding voting securities. Transactions during the three months ended March 31, 2021 in which the Company was an Affiliated Person of the portfolio company are as follows:

11


 

Non-controlled, Affiliated Investments during the three months ended March 31, 2021

 

Company

 

Fair

Value at

December 31,

2020

 

 

Gross

Additions (a)

 

 

Gross

Reductions (b)

 

 

Net Change

In Unrealized

Gain/(Loss)

 

 

Realized

Gain/(Loss)(d)

 

 

Transfers

 

 

Fair

Value at

March 31,

2021

 

 

Dividend

Income

 

 

Interest

Income

 

MD America Energy,

   LLC (c)

 

$

12,892

 

 

$

 

 

$

(57

)

 

$

2,082

 

 

$

 

 

$

 

 

$

14,917

 

 

$

545

 

 

$

211

 

Total

 

$

12,892

 

 

$

 

 

$

(57

)

 

$

2,082

 

 

$

 

 

$

 

 

$

14,917

 

 

$

545

 

 

$

211

 

 

 

(a)

Gross additions include increases in the cost basis of investments resulting from new investments, payment-in-kind interest or dividends, the amortization of any unearned income or discounts on debt investments, as applicable.

 

(b)

Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, and the amortization of any premiums on debt investments, as applicable. When an investment is placed on non-accrual status, any cash flows received by the Company may be applied to the outstanding principal balance.

 

(c)

Includes investment in SMPA Holdings, LLC of 15,000 common equity units.

 

(d)

In the consolidated statement of operations there is a realized loss on non-controlled, affiliated investments of $33 related to an escrow receivable for an investment that is no longer held.

(7)

Under the 1940 Act, the Company is deemed to be both an “Affiliated Person” of and “Control,” as such terms are defined in the 1940 Act, this portfolio company, as the Company owns more than 25% of the portfolio company’s outstanding voting securities or has the power to exercise control over management or policies of such portfolio company (including through a management agreement). Transactions during the three months ended March 31, 2021 in which the Company was an Affiliated Person of and was deemed to Control a portfolio company are as follows:

Controlled, Affiliated Investments during the three months ended March 31, 2021

 

Company

 

Fair

Value at

December 31,

2020

 

 

Gross

Additions (a)

 

 

Gross

Reductions (b)

 

 

Net Change

In Unrealized

Gain/(Loss)

 

 

Realized

Gain/(Loss)

 

 

Transfers

 

 

Fair

Value at

March 31,

2021

 

 

Other

Income

 

 

Interest

Income

 

IRGSE Holding Corp.

 

$

36,676

 

 

$

1,319

 

 

$

 

 

$

(1

)

 

$

 

 

$

 

 

$

37,994

 

 

$

1

 

 

$

936

 

Mississippi Resources,

   LLC

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

36,676

 

 

$

1,319

 

 

$

 

 

$

(1

)

 

$

 

 

$

 

 

$

37,994

 

 

$

1

 

 

$

936

 

 

 

(a)

Gross additions include increases in the cost basis of investments resulting from new investments, payment-in-kind interest or dividends, the amortization of any unearned income or discounts on debt investments, as applicable.

 

(b)

Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, and the amortization of any premiums on debt investments, as applicable. When an investment is placed on non-accrual status, any cash flows received by the Company may be applied to the outstanding principal balance.

(8)

As of March 31, 2021, the estimated cost basis of investments for U.S. federal tax purposes was $2,350,588, resulting in estimated gross unrealized gains and losses of $145,735 and $104,585, respectively.

(9)

These investments contain a fixed rate structure. The Company entered into an interest rate swap agreement to swap to a floating rate. Refer to Note 5 for further information related to the Company’s interest rate swaps on investments.

(10)

In accordance with Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements (“ASC Topic 820”), unless otherwise indicated, the fair values of all investments were determined using significant unobservable inputs and are considered Level 3 investments. See Note 6 for further information related to investments at fair value.

(11)

This investment is valued using observable inputs and is considered a Level 2 investment. See Note 6 for further information related to investments at fair value.

(12)

This investment is valued using observable inputs and is considered a Level 1 investment. See Note 6 for further information related to investments at fair value.

(13)

This equity investment is non-income producing.

(14)

All or a portion of this security was acquired in a transaction exempt from registration under the Securities Act of 1933, and may be deemed to be “restricted securities” under the Securities Act. As of March 31, 2021, the aggregate fair value of these securities is $44,075, or 3.7% of the Company’s net assets.

(15)

Ownership of equity investments may occur through a holding company or partnership.

(16)

Investment is on non-accrual status as of March 31, 2021.

The accompanying notes are an integral part of these consolidated financial statements.

12


 

Sixth Street Specialty Lending, Inc.

Consolidated Schedule of Investments as of December 31, 2020

(Amounts in thousands, except share amounts)

 

Company (1)

 

Investment

 

Initial

Acquisition

Date

 

Reference

Rate and

Spread

 

 

Interest Rate

 

 

Amortized

Cost (2)(8)

 

 

Fair Value (10)

 

 

Percentage

of Net Assets

 

Debt Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Business services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Acceo Solutions,

   Inc. (3)(4)(5)

 

First-lien loan (CAD 74,813 par, due 10/2025)

 

7/6/2018

 

 

C + 5.25

%

 

 

6.25

%

 

$

56,132

 

 

$59,603

(CAD 75,935)

 

 

 

5.1

%

Alpha Midco, Inc. (3)(5)

 

First-lien loan ($64,317 par, due 8/2025)

 

8/15/2019

 

 

L + 7.50

%

 

 

8.50

%

 

 

62,934

 

 

 

64,837

 

 

 

5.6

%

ForeScout Technologies, Inc. (3)

 

First-lien loan ($4,662 par, due 8/2026)

 

8/17/2020

 

 

L + 9.50

%

 

10.50% (incl. 9.50% PIK)

 

 

 

4,543

 

 

 

4,623

 

 

 

0.4

%

Integration Appliance, Inc. (3)

 

First-lien loan ($71,500 par, due 8/2023)

 

8/13/2018

 

 

L + 7.25

%

 

 

8.25

%

 

 

70,857

 

 

 

72,215

 

 

 

6.2

%

 

 

First-lien revolving loan ($1,310 par, due 8/2023)

 

8/13/2018

 

 

L + 7.25

%

 

 

8.25

%

 

 

1,289

 

 

 

1,336

 

 

 

0.1

%

Motus, LLC (3)(5)

 

First-lien loan ($61,800 par, due 1/2024)

 

1/17/2018

 

 

L + 5.50

%

 

 

6.50

%

 

 

60,902

 

 

 

62,418

 

 

 

5.4

%

Netwrix Corp. (3)(5)

 

First-lien loan ($50,792 par, due 9/2026)

 

9/30/2020

 

 

L + 6.50

%

 

 

7.50

%

 

 

49,381

 

 

 

49,391

 

 

 

4.3

%

Nintex Global, Ltd. (3)(5)

 

First-lien loan ($79,695 par, due 4/2024)

 

3/30/2018

 

 

L + 6.75

%

 

 

7.75

%

 

 

78,370

 

 

 

81,912

 

 

 

7.1

%

ReliaQuest Holdings, LLC (3)(5)

 

First-lien loan ($36,511 par, due 10/2026)

 

10/8/2020

 

 

L + 8.25

%

 

 

9.25

%

 

 

35,450

 

 

 

35,653

 

 

 

3.1

%

ServiceChannel Holdings, Inc. (9)

 

Second-lien loan  ($5,359 par, due 6/2025)

 

6/3/2020

 

 

12.00

%

 

12.00% PIK

 

 

 

4,992

 

 

 

5,037

 

 

 

0.4

%

Sprinklr, Inc.

 

Convertible note ($3,920 par, due 5/2025)

 

5/20/2020

 

 

9.88

%

 

9.88% PIK

 

 

 

3,890

 

 

 

4,478

 

 

 

0.4

%

WideOrbit, Inc. (3)

 

First-lien loan ($59,943 par, due 7/2025)

 

7/8/2020

 

 

L + 8.50

%

 

 

9.75

%

 

 

59,044

 

 

 

61,075

 

 

 

5.3

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

487,784

 

 

 

502,578

 

 

 

43.4

%

Communications

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IntelePeer Holdings, Inc.

 

First-lien loan ($43,324 par, due 12/2024) (3)

 

12/2/2019

 

 

L + 8.25

%

 

 

9.75

%

 

 

43,220

 

 

 

42,999

 

 

 

3.7

%

 

 

Convertible note ($1,750 par, due 12/2024)

 

2/28/2020

 

 

8.00

%

 

8.00% PIK

 

 

 

1,731

 

 

 

1,658

 

 

 

0.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

44,951

 

 

 

44,657

 

 

 

3.8

%

Education

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EMS Linq, Inc. (3)(5)

 

First-lien loan ($34,913 par, due 9/2025)

 

9/17/2020

 

 

L + 7.75

%

 

 

8.75

%

 

 

33,903

 

 

 

34,476

 

 

 

3.0

%

Follet Corp. (3)

 

First-lien loan ($75,000 par, due 11/2025)

 

11/25/2020

 

 

L + 7.75

%

 

 

8.75

%

 

 

73,341

 

 

 

73,500

 

 

 

6.3

%

Frontline Technologies

   Group, LLC (3)

 

First-lien loan ($84,835 par, due 9/2023)

 

9/18/2017

 

 

L + 5.75

%

 

 

6.75

%

 

 

84,479

 

 

 

84,835

 

 

 

7.3

%

Illuminate Education,

   Inc.(3)(5)

 

First-lien loan ($63,375 par, due 8/2022)

 

8/25/2017

 

 

L + 6.25

%

 

 

7.25

%

 

 

62,864

 

 

 

63,375

 

 

 

5.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

254,587

 

 

 

256,186

 

 

 

22.1

%

Financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AvidXchange, Inc. (3)(5)

 

First-lien loan ($10,831 par, due 4/2024)

 

10/1/2019

 

 

L + 9.00

%

 

 

10.00

%

 

 

10,717

 

 

 

10,902

 

 

 

0.9

%

Bear OpCo, LLC (3)(5)

 

First-lien loan ($19,775 par, due 10/2024)

 

10/10/2019

 

 

L + 6.50

%

 

 

7.50

%

 

 

19,341

 

 

 

19,627

 

 

 

1.7

%

BlueSnap, Inc. (3)

 

First-lien loan ($35,000 par, due 10/2024)

 

10/25/2019

 

 

L + 7.00

%

 

 

8.00

%

 

 

34,441

 

 

 

35,262

 

 

 

3.0

%

 

 

First-lien revolving loan ($2,500 par, due 10/2024)

 

10/25/2019

 

 

P + 6.00

%

 

 

9.25

%

 

 

2,462

 

 

 

2,519

 

 

 

0.2

%

Factor Systems, Inc. (3)(5)

 

First-lien loan ($29,775 par, due 1/2025)

 

1/17/2020

 

 

L + 7.00

%

 

 

8.50

%

 

 

29,232

 

 

 

30,966

 

 

 

2.7

%

13


 

G Treasury SS, LLC (3)(5)

 

First-lien loan ($30,934 par, due 4/2023)

 

4/9/2018

 

 

L + 8.25

%

 

 

9.25

%

 

 

30,674

 

 

 

31,398

 

 

 

2.7

%

GC Agile Holdings, Ltd. (3)(4)

 

First-lien loan ($39,323 par, due 6/2025)

 

1/31/2019

 

 

L + 7.00

%

 

 

8.25

%

 

 

38,814

 

 

 

39,618

 

 

 

3.4

%

InvMetrics Holdings, Inc. (3)(5)

 

First-lien loan ($53,200 par, due 12/2025)

 

12/30/2020

 

 

L + 6.25

%

 

 

7.25

%

 

 

51,824

 

 

 

51,823

 

 

 

4.5

%

Kyriba Corp.(3)

 

First-lien loan ($13,921 par, due 4/2025)

 

4/9/2019

 

 

L + 9.00

%

 

10.50% (incl. 9.00% PIK)

 

 

 

13,644

 

 

 

14,387

 

 

 

1.2

%

 

 

First-lien loan (EUR 8,288 par, due 4/2025)

 

4/9/2019

 

 

E + 9.00

%

 

9.00% PIK

 

 

 

9,120

 

 

10,420

(EUR 8,516)

 

 

 

0.9

%

 

 

First-lien revolving loan ($1,411 par, due 4/2025)

 

4/9/2019

 

 

L + 7.25

%

 

 

8.75

%

 

 

1,379

 

 

 

1,451

 

 

 

0.1

%

 

 

First-lien revolving loan (EUR 336 par, due 4/2025)

 

4/9/2019

 

 

E + 7.25

%

 

 

7.25

%

 

 

368

 

 

422

(EUR 345)

 

 

 

0.0

%

PayLease, LLC (3)

 

First-lien loan ($63,671 par, due 7/2022)

 

7/28/2017

 

 

L + 7.25

%

 

 

8.25

%

 

 

63,183

 

 

 

64,467

 

 

 

5.6

%

 

 

First-lien revolving loan ($3,333 par, due 7/2022)

 

7/28/2017

 

 

L + 7.25

%

 

 

8.25

%

 

 

3,312

 

 

 

3,375

 

 

 

0.3

%

PrimeRevenue, Inc. (3)

 

First-lien loan ($22,207 par, due 12/2023)

 

12/31/2018

 

 

L + 9.50

%

 

 

11.00

%

 

 

22,001

 

 

 

22,932

 

 

 

2.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

330,512

 

 

 

339,569

 

 

 

29.2

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BCTO Ace Purchaser, Inc. (3)(5)

 

First-lien loan ($40,000 par, due 11/2026)

 

11/23/2020

 

 

L + 6.50

%

 

 

7.50

%

 

 

38,863

 

 

 

39,300

 

 

 

3.4

%

Caris Life Sciences, Inc.

 

First-lien loan ($5,000 par, due 9/2023)

 

9/21/2018

 

 

11.30

%

 

 

11.30

%

 

 

4,888

 

 

 

5,387

 

 

 

0.5

%

 

 

First-lien loan ($3,750 par, due 4/2025)

 

4/2/2020

 

 

11.30

%

 

 

11.30

%

 

 

3,500

 

 

 

4,125

 

 

 

0.3

%

 

 

Convertible note ($2,602 par, due 9/2023)

 

9/21/2018

 

 

8.00

%

 

 

8.00

%

 

 

2,602

 

 

 

4,846

 

 

 

0.4

%

Clinicient, Inc.(3)

 

First-lien loan ($15,000 par, due 5/2024)

 

5/31/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

14,891

 

 

 

15,150

 

 

 

1.3

%

 

 

First-lien revolving loan ($2,400 par, due 5/2024)

 

5/31/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

2,373

 

 

 

2,440

 

 

 

0.2

%

Integrated Practice

   Solutions, Inc. (3)(5)

 

First-lien loan ($49,375 par, due 10/2024)

 

6/30/2017

 

 

L + 7.50

%

 

 

8.50

%

 

 

47,920

 

 

 

50,733

 

 

 

4.4

%

Quantros, Inc. (3)(5)

 

First-lien loan ($17,781 par, due 1/2021)

 

2/29/2016

 

 

L + 8.50

%

 

 

9.50

%

 

 

17,773

 

 

 

16,892

 

 

 

1.5

%

Valant Medical Solutions,

   Inc. (3)

 

First-lien loan ($28,536 par, due 4/2024)

 

4/8/2019

 

 

L + 8.75

%

 

 

10.25

%

 

 

27,909

 

 

 

28,841

 

 

 

2.5

%

 

 

First-lien revolving loan ($1,500 par, due 4/2024)

 

4/8/2019

 

 

L + 8.75

%

 

 

10.25

%

 

 

1,474

 

 

 

1,520

 

 

 

0.1

%

Vita Bidco, Inc. (3)(5)

 

First-lien loan ($9,058 par, due 2/2024)

 

2/11/2019

 

 

L + 6.50

%

 

 

7.50

%

 

 

8,883

 

 

 

9,126

 

 

 

0.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

171,076

 

 

 

178,360

 

 

 

15.4

%

Hotel, gaming, and leisure

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IRGSE Holding Corp. (3)(7)

 

First-lien loan ($29,881 par, due 9/2021)

 

9/29/2015

 

 

L + 9.50

%

 

10.00% (incl. 5.00% PIK)

 

 

 

28,215

 

 

 

28,611

 

 

 

2.5

%

 

 

First-lien revolving loan ($7,054 par, due 9/2021)

 

9/29/2015

 

 

L + 9.50

%

 

10.00% (incl. 5.00% PIK)

 

 

 

7,054

 

 

 

6,750

 

 

 

0.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

35,269

 

 

 

35,361

 

 

 

3.1

%

Human resource support services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Absorb Software, Inc. (3)(4)(5)

 

First-lien loan ($34,487 par, due 5/2024)

 

7/31/2019

 

 

L + 6.50

%

 

 

7.50

%

 

 

33,920

 

 

 

34,746

 

 

 

3.0

%

ClearCompany, LLC (3)

 

First-lien loan ($20,055 par, due 7/2023)

 

7/23/2018

 

 

L + 8.75

%

 

10.25% (incl. 2.50% PIK)

 

 

 

19,909

 

 

 

20,206

 

 

 

1.7

%

DaySmart Holdings, LLC (3)(5)

 

First-lien loan ($36,318 par, due 10/2025)

 

12/18/2020

 

 

L + 7.25

%

 

 

8.75

%

 

 

36,348

 

 

 

36,199

 

 

 

3.1

%

 

 

First-lien revolving loan ($3,000 par, due 10/2025)

 

12/18/2020

 

 

L + 7.25

%

 

 

8.75

%

 

 

3,004

 

 

 

2,992

 

 

 

0.3

%

PageUp People, Ltd. (3)(4)

 

First-lien loan (AUD 51,474 par, due 12/2022)

 

1/11/2018

 

 

B + 7.25

%

 

8.50% (incl. 1.25% PIK)

 

 

 

39,531

 

 

39,938

(AUD 51,757)

 

 

 

3.4

%

14


 

PayScale Holdings, Inc. (3)(5)

 

First-lien loan ($39,700 par, due 5/2024)

 

5/3/2019

 

 

L + 7.00

%

 

 

8.00

%

 

 

38,916

 

 

 

39,937

 

 

 

3.4

%

Modern Hire, Inc. (3)(5)

 

First-lien loan ($30,113 par, due 5/2024)

 

5/15/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

29,514

 

 

 

30,338

 

 

 

2.6

%

Workwell Acquisition Co. (3)(5)

 

First-lien loan ($19,950 par, due 10/2025)

 

10/19/2020

 

 

L + 7.50

%

 

 

8.50

%

 

 

19,218

 

 

 

19,725

 

 

 

1.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

220,360

 

 

 

224,081

 

 

 

19.2

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Riskonnect, Inc. (3)(5)

 

First-lien loan ($50,767 par, due 10/2023)

 

6/30/2017

 

 

L + 7.00

%

 

 

8.25

%

 

 

50,380

 

 

 

51,402

 

 

 

4.4

%

Internet services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Higher Logic, LLC (3)(5)

 

First-lien loan ($50,000 par, due 1/2024)

 

6/18/2018

 

 

L + 7.25

%

 

 

8.25

%

 

 

49,521

 

 

 

50,125

 

 

 

4.3

%

Lithium Technologies,

   LLC (3)

 

First-lien loan ($54,700 par, due 10/2022)

 

10/3/2017

 

 

L + 8.00

%

 

 

9.00

%

 

 

54,192

 

 

 

53,606

 

 

 

4.6

%

 

 

First-lien revolving loan ($1,320 par, due 10/2022)

 

10/3/2017

 

 

L + 8.00

%

 

 

9.00

%

 

 

1,302

 

 

 

1,254

 

 

 

0.1

%

Lucidworks, Inc. (9)

 

First-lien loan ($12,902 par, due 7/2024)

 

7/31/2019

 

 

12.00

%

 

12.00% (incl. 7.00% PIK)

 

 

 

12,791

 

 

 

13,145

 

 

 

1.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

117,806

 

 

 

118,130

 

 

 

10.1

%

Marketing Services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Acoustic, L.P. (3)

 

First-lien note ($33,000 par, due 6/2024)

 

12/17/2019

 

 

L + 7.00

%

 

 

8.50

%

 

 

32,376

 

 

 

32,010

 

 

 

2.8

%

Office products

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

USR Parent, Inc. (3)(5)

 

ABL FILO term loan  ($7,732 par, due 9/2022)

 

9/12/2017

 

 

L + 7.75

%

 

 

8.75

%

 

 

7,660

 

 

 

7,809

 

 

 

0.7

%

Oil, gas and consumable fuels

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MD America Energy,

   LLC (3)(6)

 

First-lien loan ($9,000 par, due 12/2024)

 

11/14/2018

 

 

L + 7.75

%

 

 

9.25

%

 

 

9,000

 

 

 

9,000

 

 

 

0.8

%

Mississippi Resources,

   LLC (3)(7)(16)

 

First-lien loan ($1,500 par, due 12/2021)

 

6/29/2018

 

 

P + 8.00

%

 

 

12.00

%

 

 

1,498

 

 

 

 

 

 

0.0

%

Verdad Resources Intermediate

   Holdings, LLC (3)

 

First-lien loan ($25,233 par, due 10/2024)

 

4/10/2019

 

 

L + 7.50

%

 

 

9.50

%

 

 

24,721

 

 

 

25,437

 

 

 

2.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

35,219

 

 

 

34,437

 

 

 

3.0

%

Other

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lexipol, LLC (3)(5)

 

First-lien loan ($19,762 par, due 10/2025)

 

10/8/2020

 

 

L + 5.75

%

 

 

6.75

%

 

 

19,427

 

 

 

19,762

 

 

 

1.7

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Biohaven Pharmaceuticals,

   Inc. (3)(4)

 

First-lien loan ($27,948 par, due 8/2025)

 

8/7/2020

 

 

L + 9.00

%

 

10.00% (incl. 4.00% PIK)

 

 

 

26,796

 

 

 

27,569

 

 

 

2.4

%

TherapeuticsMD, Inc. (3)(4)

 

First-lien loan ($37,500 par, due 3/2024)

 

4/24/2019

 

 

L + 7.75

%

 

 

10.45

%

 

 

35,887

 

 

 

36,469

 

 

 

3.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

62,683

 

 

 

64,038

 

 

 

5.5

%

Real Estate

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ResMan, LLC (3)

 

First-lien loan ($39,886 par, due 10/2024)

 

10/3/2019

 

 

L + 9.50

%

 

 

10.50

%

 

 

39,686

 

 

 

39,763

 

 

 

3.4

%

Retail and consumer products

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

99 Cents Only Stores

   LLC (3)

 

ABL FILO term loan ($25,000 par, due 5/2025)

 

9/6/2017

 

 

L + 8.50

%

 

 

9.50

%

 

 

24,640

 

 

 

25,625

 

 

 

2.2

%

American Achievement,

   Corp. (3)(5)(16)

 

First-lien loan ($23,876 par, due 9/2022)

 

9/30/2015

 

 

L + 8.25

%

 

 

9.25

%

 

 

23,822

 

 

 

21,608

 

 

 

1.9

%

Designer Brands, Inc. (3)(4)

 

ABL First-lien loan ($49,375 par, due 8/2025)

 

8/7/2020

 

 

L + 8.50

%

 

 

9.75

%

 

 

48,218

 

 

 

49,252

 

 

 

4.2

%

J.C. Penney Company,

   Inc. (11)(13)

 

ABL DIP term loan ($12,198 par, due 4/2021)

 

6/8/2020

 

 

 

 

 

 

 

 

12,198

 

 

 

13,336

 

 

 

1.1

%

 

 

First-lien loan ($4,129 par, due 6/2023)

 

6/5/2019

 

 

 

 

 

 

 

 

3,153

 

 

 

275

 

 

 

0.0

%

 

 

First-lien secured note ($12,384 par, due 7/2023)

 

6/5/2019

 

 

 

 

 

 

 

 

10,122

 

 

 

867

 

 

 

0.1

%

Maurices, Inc. (3)(5)

 

ABL FILO term loan ($20,667 par, due 5/2024)

 

5/6/2019

 

 

L + 6.50

%

 

 

7.75

%

 

 

20,212

 

 

 

21,132

 

 

 

1.8

%

Moran Foods, LLC (3)

 

ABL FILO term loan ($30,000 par, due 4/2024)

 

4/1/2020

 

 

L + 7.50

%

 

 

9.00

%

 

 

29,498

 

 

 

30,600

 

 

 

2.6

%

15


 

 

 

ABL FILO term loan ($7,500 par, due 4/2024)

 

4/1/2020

 

 

P + 6.50

%

 

 

9.75

%

 

 

7,374

 

 

 

7,650

 

 

 

0.7

%

NMG Holding Company, Inc. (3)(11)

 

First-lien term loan ($16,961 par, due 9/2025)

 

9/25/2020

 

 

L + 12.00

%

 

 

13.00

%

 

 

13,254

 

 

 

17,994

 

 

 

1.6

%

Penney Borrower, LLC (3)

 

ABL FILO term loan ($72,000 par, due 12/2025)

 

12/7/2020

 

 

L + 8.50

%

 

 

9.25

%

 

 

70,220

 

 

 

70,560

 

 

 

6.1

%

 

 

First-lien term loan ($6,912 par, due 12/2026)(11)

 

12/7/2020

 

 

L + 8.50

%

 

 

9.50

%

 

 

5,827

 

 

 

5,887

 

 

 

0.5

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

268,538

 

 

 

264,786

 

 

 

22.8

%

Total Debt Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2,178,314

 

 

 

2,212,929

 

 

 

190.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity and Other Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Business Services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Motus, LLC (13)

 

Class A Units (1,262 units)

 

1/17/2018

 

 

 

 

 

 

 

 

 

 

1,262

 

 

 

3,318

 

 

 

0.3

%

 

 

Class B Units (517,020 units)

 

1/17/2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.0

%

Nintex Global, Ltd. (13)

 

Class A Shares (1,197 shares)

 

3/30/2018

 

 

 

 

 

 

 

 

 

 

1,197

 

 

 

3,286

 

 

 

0.3

%

 

 

Class B Shares (398,557 shares)

 

3/30/2018

 

 

 

 

 

 

 

 

 

 

12

 

 

 

33

 

 

 

0.0

%

ServiceChannel Holdings,

   Inc. (13)(14)

 

207,991 Warrants

 

6/3/2020

 

 

 

 

 

 

 

 

 

 

335

 

 

 

335

 

 

 

0.0

%

WideOrbit, Inc. (13)(14)

 

1,567,807 Warrants

 

7/8/2020

 

 

 

 

 

 

 

 

 

 

327

 

 

 

327

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,133

 

 

 

7,299

 

 

 

0.6

%

Communications

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IntelePeer Holdings, Inc. (13)(14)

 

280,000 Warrants

 

2/28/2020

 

 

 

 

 

 

 

 

 

 

183

 

 

 

183

 

 

 

0.0

%

Education

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

EMS Linq, Inc. (13)(14)

 

Common Units (474,684 units)

 

11/2/2020

 

 

 

 

 

 

 

 

 

 

1,500

 

 

 

1,500

 

 

 

0.1

%

Financial services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AvidXchange, Inc.

 

Common Shares (2,198 shares)(13)(14)

 

4/7/2020

 

 

 

 

 

 

 

 

 

 

108

 

 

 

108

 

 

 

0.0

%

 

 

Preferred Shares (293,232 shares)

 

10/1/2019

 

 

 

 

 

 

 

 

 

 

15,763

 

 

 

15,802

 

 

 

1.4

%

 

 

Series F Preferred Shares (8,791 shares)(13)(14)

 

4/7/2020

 

 

 

 

 

 

 

 

 

 

431

 

 

 

431

 

 

 

0.0

%

 

 

75,016 Warrants (13)

 

10/1/2019

 

 

 

 

 

 

 

 

 

 

475

 

 

 

1,254

 

 

 

0.1

%

Newport Parent Holdings, LP (13)(14)

 

Class A-2 Units (131,569 units)

 

12/10/2020

 

 

 

 

 

 

 

 

 

 

4,177

 

 

 

4,177

 

 

 

0.4

%

Oxford Square Capital

   Corp. (4)(12)

 

Common Shares (1,059 shares)

 

8/5/2015

 

 

 

 

 

 

 

 

 

 

7

 

 

 

3

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20,961

 

 

 

21,775

 

 

 

1.9

%

Healthcare

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Caris Life Sciences, Inc. (13)

 

Series C Preferred Shares (362,319 shares) (14)

 

10/13/2020

 

 

 

 

 

 

 

 

 

 

1,000

 

 

 

1,000

 

 

 

0.1

%

 

 

633,376 Warrants

 

9/21/2018

 

 

 

 

 

 

 

 

 

 

192

 

 

 

704

 

 

 

0.1

%

 

 

569,991 Warrants (14)

 

4/2/2020

 

 

 

 

 

 

 

 

 

 

250

 

 

 

472

 

 

 

0.0

%

Quantros, Inc. (13)

 

363 AA Preferred Stock Warrants

 

10/7/2019

 

 

 

 

 

 

 

 

 

 

139

 

 

 

 

 

 

0.0

%

 

 

2,748 A Preferred Stock Warrants

 

10/7/2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.0

%

 

 

4,681,958 Common Stock Warrants

 

10/7/2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0.0

%

Valant Medical Solutions,

   Inc. (13)(15)

 

954,478 Warrants

 

4/8/2019

 

 

 

 

 

 

 

 

 

 

281

 

 

 

239

 

 

 

0.0

%

Vita Topco, Inc. (13)(15)

 

Common Shares (1,000 shares)

 

2/11/2019

 

 

 

 

 

 

 

 

 

 

1,000

 

 

 

8,973

 

 

 

0.8

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2,862

 

 

 

11,388

 

 

 

1.0

%

Hotel, gaming, and leisure

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

IRGSE Holding Corp. (7)(13)

 

Class A Units (33,790,171 units) (14)

 

12/21/2018

 

 

 

 

 

 

 

 

 

 

21,842

 

 

 

1,267

 

 

 

0.1

%

16


 

 

 

Class C-1 Units (8,800,000 units)

 

12/21/2018

 

 

 

 

 

 

 

 

 

 

100

 

 

 

48

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

21,942

 

 

 

1,315

 

 

 

0.1

%

Human resource support services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ClearCompany, LLC (13)(15)

 

Series A Preferred Units (1,429,228 units)

 

8/24/2018

 

 

 

 

 

 

 

 

 

 

2,014

 

 

 

3,031

 

 

 

0.3

%

DaySmart Holdings, LLC (13)(14)(15)

 

Class A Units (155,240 units)

 

10/1/2019

 

 

 

 

 

 

 

 

 

 

1,234

 

 

 

1,413

 

 

 

0.1

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3,248

 

 

 

4,444

 

 

 

0.4

%

Insurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Riskonnect, Inc. (13)

 

Common Shares Class A (1,020 units)

 

6/30/2017

 

 

 

 

 

 

 

 

 

 

1,020

 

 

 

2,208

 

 

 

0.2

%

 

 

Common Shares Class B (987,929 units)

 

6/30/2017

 

 

 

 

 

 

 

 

 

 

10

 

 

 

22

 

 

 

0.0

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,030

 

 

 

2,230

 

 

 

0.2

%

Internet Services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Lucidworks, Inc. (13)

 

Series F Preferred Shares (199,054 shares)

 

8/2/2019

 

 

 

 

 

 

 

 

 

 

800

 

 

 

874

 

 

 

0.1

%

Marketing services

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Validity, Inc. (13)

 

Series A Preferred Shares (3,840,000 shares)

 

5/31/2018

 

 

 

 

 

 

 

 

 

 

3,840

 

 

 

13,056

 

 

 

1.1

%

Oil, gas and consumable fuels

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SMPA Holdings LLC (6)(13)(14)

 

Common Units (15,000 units)

 

12/24/2020

 

 

 

 

 

 

 

 

 

 

3,892

 

 

 

3,892

 

 

 

0.3

%

Pharmaceuticals

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TherapeuticsMD, Inc. (13)(14)

 

712,817 Warrants

 

8/5/2020

 

 

 

 

 

 

 

 

 

 

1,029

 

 

 

584

 

 

 

0.1

%

Retail and consumer products

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Copper Bidco LLC (11)(13)(14)

 

Trust Certificates (132,928 Certificates)

 

12/7/2020

 

 

 

 

 

 

 

 

 

 

930

 

 

 

930

 

 

 

0.1

%

NMG Parent LLC Com Unit (13)(14)

 

Common Units (110,210 units)

 

9/29/2020

 

 

 

 

 

 

 

 

 

 

6,613

 

 

 

6,613

 

 

 

0.6

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

7,543

 

 

 

7,543

 

 

 

0.7

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bain Capital Credit CLO Ltd,

   Series 2018-1A (3)(4)(11)

 

Structured Product ($500 par, due 4/2031)

 

10/15/2020

 

 

L + 5.35

%

 

 

5.56

%

 

 

411

 

 

 

443

 

 

 

0.0

%

Carlyle Global Market Strategies

   CLO Ltd, Series  2018-1A

   (3)(4)(11)

 

Structured Product ($1,550 par, due 4/2031)

 

8/11/2020

 

 

L + 5.75

%

 

 

5.97

%

 

 

1,203

 

 

 

1,414

 

 

 

0.1

%

Carlyle Global Market Strategies

   CLO Ltd, Series  2017-4A

   (3)(4)(11)

 

Structured Product ($4,150 par, due 1/2030)

 

9/3/2020

 

 

L + 6.15

%

 

 

6.39

%

 

 

3,400

 

 

 

3,821

 

 

 

0.3

%

Madison Park Funding Ltd,

   Series 2014-14A (3)(4)(11)

 

Structured Product ($2,400 par, due 10/2030)

 

8/11/2020

 

 

L + 5.80

%

 

 

6.02

%

 

 

1,983

 

 

 

2,276

 

 

 

0.2

%

OZLM Ltd., Series

   2018-18A (3)(4)(11)

 

Structured Product ($2,000 par, due 4/2031)

 

5/28/2020

 

 

L + 2.85

%

 

 

3.09

%

 

 

1,754

 

 

 

1,904

 

 

 

0.2

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8,751

 

 

 

9,858

 

 

 

0.8

%

Total Equity and Other

   Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

80,714

 

 

 

85,941

 

 

 

7.4

%

Total Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

$

2,259,028

 

 

$

2,298,870

 

 

 

198.0

%

17


 

 

 

 

 

 

Interest Rate Swaps as of December 31, 2020

 

 

 

Company

Receives

 

 

Company

Pays

 

 

Maturity Date

 

Notional

Amount

 

 

Fair

Market

Value

 

 

Upfront

(Payments) /

Receipts

 

 

Change in

Unrealized

Gains / (Losses)

 

Interest rate swap (a)

 

L

 

 

1.47%

 

 

7/30/2021

 

$

11,700

 

 

$

(89

)

 

$

 

 

$

(127

)

Interest rate swap (a)

 

4.50%

 

 

L + 2.37%

 

 

8/1/2022

 

 

115,000

 

 

 

3,480

 

 

 

 

 

 

2,258

 

Interest rate swap (a)

 

4.50%

 

 

L + 1.59%

 

 

8/1/2022

 

 

50,000

 

 

 

2,141

 

 

 

 

 

 

607

 

Interest rate swap (a)

 

4.50%

 

 

L + 1.60%

 

 

8/1/2022

 

 

7,500

 

 

 

320

 

 

 

 

 

 

92

 

Interest rate swap (a)

 

L + 2.11%

 

 

4.50%

 

 

8/1/2022

 

 

27,531

 

 

 

(949

)

 

 

1,252

 

 

 

303

 

Interest rate swap (a)

 

L + 2.11%

 

 

4.50%

 

 

8/1/2022

 

 

2,160

 

 

 

(74

)

 

 

96

 

 

 

22

 

Interest rate swap (a)

 

4.50%

 

 

L + 1.99%

 

 

1/22/2023

 

 

150,000

 

 

 

7,055

 

 

 

 

 

 

3,493

 

Interest rate swap (a)

 

L

 

 

0.33%

 

 

6/9/2023

 

 

5,000

 

 

 

(15

)

 

 

 

 

 

(15

)

Interest rate swap (a)(e)

 

L + 2.28%

 

 

3.875%

 

 

11/1/2024

 

 

2,500

 

 

 

 

 

 

128

 

 

 

128

 

Interest rate swap (a)(b)

 

L

 

 

1.97%

 

 

6/25/2020

 

 

 

 

 

 

 

 

 

 

 

75

 

Interest rate swap (a)(b)

 

L

 

 

1.36%

 

 

7/29/2022

 

 

 

 

 

 

 

 

 

 

 

(24

)

Total

 

 

 

 

 

 

 

 

 

 

 

 

371,391

 

 

 

11,869

 

 

 

1,476

 

 

 

6,812

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap (a)(c)(d)

 

3.875%

 

 

L + 2.25%

 

 

11/1/2024

 

 

300,000

 

 

 

14,716

 

 

 

 

 

 

16,503

 

Interest rate swap (a)(c)(d)

 

3.875%

 

 

L + 2.46%

 

 

11/1/2024

 

 

50,000

 

 

 

2,053

 

 

 

 

 

 

2,053

 

Total

 

 

 

 

 

 

 

 

 

 

 

 

350,000

 

 

 

16,769

 

 

 

 

 

 

18,556

 

Cash collateral

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(26,431

)

 

 

 

 

 

 

Total derivatives

 

 

 

 

 

 

 

 

 

 

 

$

721,391

 

 

$

2,207

 

 

$

1,476

 

 

$

25,368

 

 

 

(a)

Contains a variable rate structure. Bears interest at a rate determined by three-month LIBOR.

 

(b)

Interest rate swap was terminated or matured during the period.

 

(c)

Instrument is used in a hedge accounting relationship. The associated change in fair value is recorded along with the change in fair value of the hedged item within interest expense.

 

(d)

$2.5 million in aggregate notional value of these instruments is no longer designated as instruments in a hedge accounting relationship. The associated change in fair value of the de-designated portion is recorded within unrealized gain/(loss).

 

(e)

The fair market value of this instrument is presented net with the $2.5 million in aggregate notional value of instruments no longer designated as instruments in a hedge accounting relationship.

 

(1)

Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

The amortized cost represents the original cost adjusted for the amortization of discounts and premiums, as applicable, on debt investments using the effective interest method.

(3)

Investment contains a variable rate structure, subject to an interest rate floor. Variable rate investments bear interest at a rate that may be determined by reference to either London Interbank Offered Rate (“LIBOR” or “L”) (which can include one-, two-, three- or six-month LIBOR), Euro Interbank Offer Rate (“Euribor” or “E”) (which can include one-, two-, three-, or six-month Euribor), Canadian Dollar Offered Rate (“CDOR” or “C”), Bank Bill Swap Bid Rate (“BBSY” or “B”) or an alternate base rate (which can include the Federal Funds Effective Rate or the Prime Rate or “P”), at the borrower’s option, which reset periodically based on the terms of the credit agreement. For investments with multiple interest rate contracts, the interest rate shown is the weighted average interest rate in effect at December 31, 2020.

(4)

This portfolio company is not a qualifying asset under Section 55(a) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under the 1940 Act, the Company may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of total assets. Non-qualifying assets represented 12.7% of total assets as of December 31, 2020.

(5)

In addition to the interest earned based on the stated interest rate of this investment, which is the amount reflected in this schedule, the Company may be entitled to receive additional interest as a result of an arrangement with other members in the syndicate to the extent an investment has been allocated to “first out” and “last out” tranches, whereby the “first out” tranche will have priority as to the “last out” tranche with respect to payments of principal, interest and any amounts due thereunder and the Company holds the “last out” tranche.  

(6)

Under the 1940 Act, the Company is deemed to be an “Affiliated Person” of, as defined in the 1940 Act, this portfolio company, as the Company owns more than 5% of the portfolio company’s outstanding voting securities. Transactions during the year ended December 31, 2020 in which the Company was an Affiliated Person of the portfolio company are as follows:

18


 

Non-controlled, Affiliated Investments during the year ended December 31, 2020

  

Company

 

Fair

Value at

December 31, 2019

 

 

Gross

Additions (a)

 

 

Gross

Reductions (b)

 

 

Net Change

In Unrealized

Gain/(Loss)

 

 

Realized

Gain/(Losses)

 

 

Transfers

 

 

Fair

Value at

December 31,

2020

 

 

Other

Income

 

 

Interest

Income

 

AFS Technologies, Inc.

 

$

50,136

 

 

$

555

 

 

$

(61,819

)

 

$

(691

)

 

$

11,819

 

 

$

 

 

$

 

 

$

59

 

 

$

4,554

 

MD America Energy,

   LLC (c)

 

 

 

 

12

 

 

 

(1,094

)

 

 

3,476

 

 

 

(3,965

)

 

 

14,463

 

 

 

12,892

 

 

 

309

 

 

 

52

 

Total

 

$

50,136

 

 

$

567

 

 

$

(62,913

)

 

$

2,785

 

 

$

7,854

 

 

$

14,463

 

 

$

12,892

 

 

$

368

 

 

$

4,606

 

 

 

 

(a)

Gross additions include increases in the cost basis of investments resulting from new investments, payment-in-kind interest or dividends, the amortization of any unearned income or discounts on debt investments, as applicable.

 

(b)

Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, and the amortization of any premiums on debt investments, as applicable. When an investment is placed on non-accrual status, any cash flows received by the Company may be applied to the outstanding principal balance.

 

(c)

Includes investment in SMPA Holdings, LLC of 15,000 common equity units.

(7)

Under the 1940 Act, the Company is deemed to be both an “Affiliated Person” of and “Control,” as such terms are defined in the 1940 Act, this portfolio company, as the Company owns more than 25% of the portfolio company’s outstanding voting securities or has the power to exercise control over management or policies of such portfolio company (including through a management agreement). Transactions during the year ended December 31, 2020 in which the Company was an Affiliated Person of and was deemed to Control a portfolio company are as follows:

 

Controlled, Affiliated Investments during the year ended December 31, 2020

 

Company

 

Fair

Value at

December 31, 2019

 

 

Gross

Additions (a)

 

 

Gross

Reductions (b)

 

 

Net Change

In Unrealized

Gain/(Loss)

 

 

Realized

Gain/(Losses)

 

 

Transfers

 

 

Fair

Value at

December 31,

2020

 

 

Other

Income

 

 

Interest

Income

 

IRGSE Holding Corp.

 

$

34,812

 

 

$

6,464

 

 

$

 

 

$

(467

)

 

$

(4,133

)

 

$

 

 

$

36,676

 

 

$

4

 

 

$

3,809

 

Mississippi Resources,

   LLC

 

 

13,104

 

 

 

 

 

(214

)

 

 

19,329

 

 

 

(32,219

)

 

 

 

 

 

 

 

 

Total

 

$

47,916

 

 

$

6,464

 

 

$

(214

)

 

$

18,862

 

 

$

(36,352

)

 

$

 

 

$

36,676

 

 

$

4

 

 

$

3,809

 

 

 

(a)

Gross additions include increases in the cost basis of investments resulting from new investments, payment-in-kind interest or dividends, the amortization of any unearned income or discounts on debt investments, as applicable.

 

(b)

Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, and the amortization of any premiums on debt investments, as applicable. When an investment is placed on non-accrual status, any cash flows received by the Company may be applied to the outstanding principal balance.

 

(8)

As of December 31, 2020, the estimated cost basis of investments for U.S. federal tax purposes was $2,285,393, resulting in estimated gross unrealized gains and losses of $125,374 and $101,215, respectively.

(9)

These investments contain a fixed rate structure. The Company entered into an interest rate swap agreement to swap to a floating rate. Refer to Note 5 for further information related to the Company’s interest rate swaps on investments.

(10)

In accordance with Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements (“Topic ASC 820”), unless otherwise indicated, the fair values of all investments were determined using significant unobservable inputs and are considered Level 3 investments. See Note 6 for further information related to investments at fair value.

(11)

This investment is valued using observable inputs and is considered a Level 2 investment. See Note 6 for further information related to investments at fair value.

(12)

This investment is valued using observable inputs and is considered a Level 1 investment. See Note 6 for further information related to investments at fair value.

(13)

This equity investment is non-income producing.

(14)

All or a portion of this security was acquired in transaction exempt from registration under the Securities Act of 1933, and may be deemed to be “restricted securities” under the Securities Act. As of December 31, 2020, the aggregate fair value of these securities is $20,983, or 1.8% of the Company’s net assets.

(15)

Ownership of equity investments may occur through a holding company or partnership.

(16)

Investment is on non-accrual status as of December 31, 2020.

The accompanying notes are an integral part of these consolidated financial statements.

19


 

Sixth Street Specialty Lending, Inc.

Consolidated Statements of Changes in Net Assets

(Amounts in thousands, except share amounts)

(Unaudited)

 

 

 

Common Stock

 

 

Treasury Stock

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

Par

Amount

 

 

Shares

 

 

Cost

 

 

Paid in Capital in

Excess of Par

 

 

Distributable

Earnings

 

 

Total Net

Assets

 

Balance at December 31, 2020

 

 

67,684,209

 

 

$

680

 

 

 

296,044

 

 

$

(4,291

)

 

$

1,025,676

 

 

$

139,250

 

 

$

1,161,315

 

Cumulative effect adjustment for the adoption of ASU

   2020-06 (2)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(457

)

 

 

172

 

 

 

(285

)

Net increase in net assets resulting from operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

32,310

 

 

 

32,310

 

Net change in unrealized gains on investments and

   foreign currency translation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

9,755

 

 

 

9,755

 

Net realized gains on investments and foreign

   currency transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

14,587

 

 

 

14,587

 

Increase in Net Assets Resulting from Capital Share

   Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Issuance of common stock, net of offering and

   underwriting costs

 

 

4,049,689

 

 

 

41

 

 

 

 

 

 

 

 

 

85,904

 

 

 

 

 

 

85,945

 

Dividends to stockholders:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Stock issued in connection with dividend reinvestment plan

 

 

236,100

 

 

 

2

 

 

 

 

 

 

 

 

 

4,707

 

 

 

 

 

 

4,709

 

Dividends declared from net investment income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(123,004

)

 

 

(123,004

)

Tax reclassification of stockholders' equity in accordance with

   GAAP (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(460

)

 

 

460

 

 

 

 

Balance at March 31, 2021

 

 

71,969,998

 

 

$

723

 

 

 

296,044

 

 

$

(4,291

)

 

$

1,115,370

 

 

$

73,530

 

 

$

1,185,332

 

 

 

 

Common Stock

 

 

Treasury Stock

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

Par

Amount

 

 

Shares

 

 

Cost

 

 

Paid in Capital in

Excess of Par

 

 

Distributable

Earnings

 

 

Total Net

Assets

 

Balance at December 31, 2019

 

 

66,524,591

 

 

$

666

 

 

 

89,080

 

 

$

(1,359

)

 

$

1,009,270

 

 

$

110,720

 

 

$

1,119,297

 

Net decrease in net assets resulting from operations:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Net investment income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

33,662

 

 

 

33,662

 

Net change in unrealized losses on investments and

   foreign currency translation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(84,680

)

 

 

(84,680

)

Net realized losses on investments and foreign

   currency transactions

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(2,081

)

 

 

(2,081

)

Decrease in Net Assets Resulting from Capital Share

   Transactions:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Purchases of treasury stock

 

 

(206,964

)

 

 

 

 

 

206,964

 

 

 

(2,932

)

 

 

 

 

 

 

 

 

(2,932

)

Dividends to stockholders:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Stock issued in connection with dividend reinvestment plan

 

 

252,144

 

 

 

3

 

 

 

 

 

 

 

 

 

4,825

 

 

 

 

 

 

4,828

 

Dividends declared from net investment income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(31,358

)

 

 

(31,358

)

Tax reclassification of stockholders' equity in accordance with

   GAAP (1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1,016

)

 

 

1,016

 

 

 

 

Balance at March 31, 2020

 

 

66,569,771

 

 

$

669

 

 

 

296,044

 

 

$

(4,291

)

 

$

1,013,079

 

 

$

27,279

 

 

$

1,036,736

 

 

 

 

(1)

The Company’s tax year end is March 31st.

(2)

See Note 2 for further information related to the adoption of ASU 2020-06.

 

 

The accompanying notes are an integral part of these consolidated financial statements.

 

20


 

 

Sixth Street Specialty Lending, Inc.

Consolidated Statements of Cash Flows

(Amounts in thousands)

(Unaudited)

 

 

 

Three Months Ended

 

 

Three Months Ended

 

 

 

March 31, 2021

 

 

March 31, 2020

 

Cash Flows from Operating Activities

 

 

 

 

 

 

 

 

Increase (decrease) in net assets resulting from operations

 

$

56,652

 

 

$

(53,099

)

Adjustments to reconcile increase (decrease) in net assets resulting from operations

   to net cash provided by (used) in operating activities:

 

 

 

 

 

 

 

 

Net change in unrealized (gains) losses on investments

 

 

(11,444

)

 

 

107,660

 

Net change in unrealized gains on foreign currency transactions

 

 

(133

)

 

 

(13,799

)

Net change in unrealized (gains) losses on interest rate swaps

 

 

1,822

 

 

 

(9,181

)

Net realized (gains) losses on investments

 

 

(14,586

)

 

 

2,022

 

Net realized losses on foreign currency transactions

 

 

6

 

 

 

9

 

Net amortization of discount on investments

 

 

(7,026

)

 

 

(6,834

)

Amortization of deferred financing costs

 

 

1,347

 

 

 

1,230

 

Amortization of discount on debt

 

 

148

 

 

 

110

 

Purchases and originations of investments, net

 

 

(170,432

)

 

 

(119,852

)

Proceeds from investments, net

 

 

33,751

 

 

 

1,014

 

Repayments on investments

 

 

87,984

 

 

 

218,075

 

Paid-in-kind interest

 

 

(2,125

)

 

 

(1,795

)

Changes in operating assets and liabilities:

 

 

 

 

 

 

 

 

Interest receivable

 

 

(2,260

)

 

 

3,314

 

Interest receivable paid-in-kind

 

 

(35

)

 

 

(15

)

Prepaid expenses and other assets

 

 

12,410

 

 

 

1,307

 

Management fees payable to affiliate

 

 

347

 

 

 

(69

)

Incentive fees payable to affiliate

 

 

5,074

 

 

 

(21

)

Payable to affiliate

 

 

339

 

 

 

709

 

Other liabilities

 

 

(17,688

)

 

 

23,481

 

Net Cash Provided by (Used) in Operating Activities

 

 

(25,849

)

 

 

154,266

 

Cash Flows from Financing Activities

 

 

 

 

 

 

 

 

Borrowings on debt

 

 

404,159

 

 

 

215,699

 

Repayments on debt

 

 

(423,092

)

 

 

(332,196

)

Deferred financing costs

 

 

(7,832

)

 

 

(4,113

)

Proceeds from issuance of common stock, net of offering and underwriting costs

 

 

85,945

 

 

 

 

Purchases of treasury stock

 

 

 

 

 

(2,932

)

Dividends paid to stockholders

 

 

(26,613

)

 

 

(25,102

)

Net Cash Provided by (Used) in Financing Activities

 

 

32,567

 

 

 

(148,644

)

Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash

 

 

6,718

 

 

 

5,622

 

Cash, cash equivalents, and restricted cash, beginning of period

 

 

13,274

 

 

 

14,143

 

Cash, Cash Equivalents, and Restricted Cash, End of Period

 

$

19,992

 

 

$

19,765

 

Supplemental Information:

 

 

 

 

 

 

 

 

Interest paid during the period

 

$

6,441

 

 

$

11,795

 

Excise and other taxes paid during the period

 

$

4,200

 

 

$

3,900

 

Dividends declared during the period

 

$

123,004

 

 

$

31,358

 

Reinvestment of dividends during the period

 

$

4,709

 

 

$

4,828

 

 

The accompanying notes are an integral part of these consolidated financial statements.

21


 

Sixth Street Specialty Lending, Inc.

Notes to Consolidated Financial Statements

(Unaudited)

(Amounts in thousands, unless otherwise indicated)

 

1. Organization and Basis of Presentation

Organization

Sixth Street Specialty Lending, Inc. (formerly known as TPG Specialty Lending, Inc.) (the “Company”) is a Delaware corporation formed on July 21, 2010. The Company was formed primarily to lend to, and selectively invest in, middle-market companies in the United States. The Company has elected to be regulated as a business development company (“BDC”) under the 1940 Act. In addition, for tax purposes, 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 is managed by Sixth Street Specialty Lending Advisers, LLC (formerly known as TSL Advisers, LLC) (the “Adviser”). On June 1, 2011, the Company formed a wholly-owned subsidiary, TC Lending, LLC, a Delaware limited liability company. On March 22, 2012, the Company formed a wholly-owned subsidiary, Sixth Street SL SPV, LLC (formerly known as TPG SL SPV, LLC), a Delaware limited liability company. On May 19, 2014, the Company formed a wholly-owned subsidiary, Sixth Street SL Holding, LLC (formerly known as TSL MR, LLC), a Delaware limited liability company. On December 9, 2020, the Company formed a wholly-owned subsidiary, Sixth Street Specialty Lending Sub, LLC, a Cayman Islands limited liability company.

On March 21, 2014, the Company completed its initial public offering (“IPO”) and the Company’s shares began trading on the New York Stock Exchange (“NYSE”) under the symbol “TSLX.”

Effective June 15, 2020, the Company changed its name from TPG Specialty Lending, Inc. to Sixth Street Specialty Lending, Inc.

Basis of Presentation

The accompanying consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), and include the accounts of the Company and its subsidiaries. In the opinion of management, all adjustments considered necessary for the fair presentation of the consolidated financial statements for the periods presented have been included. The results of operations for interim periods are not indicative of results to be expected for the full year. All intercompany balances and transactions have been eliminated in consolidation.

Certain financial information that is normally included in annual financial statements, including certain financial statement footnotes, prepared in accordance with U.S. GAAP, is not required for interim reporting purposes and has been condensed or omitted herein. These consolidated financial statements should be read in conjunction with the Company’s consolidated financial statements and notes related thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2020, which was filed with the Securities and Exchange Commission (“SEC”), on February 17, 2021.

Certain prior period information has been reclassified to conform to the current period presentation. These reclassifications have no effect on the Company’s financial position or its results of operations as previously reported.

The Company is an investment company and, therefore, applies the specialized accounting and reporting guidance in Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies.

Fiscal Year End

The Company’s fiscal year ends on December 31.

 

 

2. Significant Accounting Policies

Use of Estimates

The preparation of 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 consolidated financial statements. Actual amounts could differ from those estimates and such differences could be material.

22


 

Cash and Cash Equivalents

Cash and cash equivalents may consist of demand deposits, highly liquid investments (e.g., money market funds, U.S. Treasury notes, and similar type instruments) with original maturities of three months or less, and restricted cash pledged as collateral. Cash and cash equivalents denominated in U.S. dollars are carried at cost, which approximates fair value. The Company deposits its cash and cash equivalents with highly-rated banking corporations and, at times, cash deposits may exceed the insured limits under applicable law.

Investments at Fair Value

Loan originations are recorded on the date of the binding commitment, which is generally the funding date. Investment transactions purchased through the secondary markets are recorded on the trade date. Realized gains or losses are measured by the difference between the net proceeds received (excluding prepayment fees, if any) and the amortized cost basis of the investment without regard to unrealized gains or losses previously recognized, and include investments charged off during the period, net of recoveries. The net change in unrealized gains or losses primarily reflects the change in investment values and also includes the reversal of previously recorded unrealized gains or losses with respect to investments realized during the period.

Investments for which market quotations are readily available are typically valued at those market quotations. To validate market quotations, the Company utilizes a number of factors to determine if the quotations are representative of fair value, including the source and number of the quotations. Debt and equity securities that are not publicly traded or whose market prices are not readily available, as is the case for substantially all of our investments, are valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”), based on, among other things, the input of the Adviser, the Company’s Audit Committee and independent third-party valuation firms engaged at the direction of the Board.

As part of the valuation process, the Board takes into account relevant factors in determining the fair value of its investments, including and in combination of: the estimated enterprise value of a portfolio company (that is, the total value of the portfolio company’s net debt and equity), the nature and realizable value of any collateral, the portfolio company’s ability to make payments based on its earnings and cash flow, the markets in which the portfolio company does business, a comparison of the portfolio company’s securities to any similar publicly traded securities, and overall changes in the interest rate environment and the credit markets that may affect the price at which similar investments may be made in the future. When an external event such as a purchase transaction, public offering or subsequent equity sale occurs, the Board considers whether the pricing indicated by the external event corroborates its valuation.

The Board undertakes a multi-step valuation process, which includes, among other procedures, the following:

 

The valuation process begins with each investment being initially valued by the investment professionals responsible for the portfolio investment in conjunction with the portfolio management team.

 

The Adviser’s management reviews the preliminary valuations with the investment professionals. Agreed upon valuation recommendations are presented to the Audit Committee.

 

The Audit Committee reviews the valuations presented and recommends values for each investment to the Board.

 

The Board reviews the recommended valuations and determines the fair value of each investment; valuations that are not based on readily available market quotations are valued in good faith based on, among other things, the input of the Adviser, Audit Committee and, where applicable, other third parties including independent third-party valuation firms engaged at the direction of the Board.

The Company conducts this valuation process on a quarterly basis.

The Board has engaged independent third-party valuation firms to perform certain limited procedures that the Board has identified and requested them to perform in connection with the valuation process. At March 31, 2021, the independent third-party valuation firms performed their procedures over substantially all of the Company’s investments. Upon completion of such limited procedures, the third-party valuation firms concluded that the fair value, as determined by the Board, of those investments subjected to their limited procedures, appeared reasonable.

23


 

The Company applies Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurement (“ASC Topic 820”), as amended, which establishes a framework for measuring fair value in accordance with U.S. GAAP and required disclosures of fair value measurements. ASC Topic 820 determines fair value to be the price that would be received for an investment in a current sale, which assumes an orderly transaction between market participants on the measurement date. Market participants are defined as buyers and sellers in the principal or most advantageous market (which may be a hypothetical market) that are independent, knowledgeable, and willing and able to transact. In accordance with ASC Topic 820, the Company considers its principal market to be the market that has the greatest volume and level of activity. ASC Topic 820 specifies a fair value hierarchy that prioritizes and ranks the level of observability of inputs used in determination of fair value. In accordance with ASC Topic 820, these levels are summarized below:

 

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—Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

 

Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

Transfers between levels, if any, are recognized at the beginning of the quarter in which the transfers occur. In addition to using the above inputs in investment valuations, the Company applies the valuation policy approved by its Board that is consistent with ASC Topic 820. Consistent with the valuation policy, the Company evaluates the source of inputs, including any markets in which its investments are trading (or any markets in which securities with similar attributes are trading), in determining fair value. When a security is valued based on prices provided by reputable dealers or pricing services (that is, broker quotes), the Company subjects those prices to various additional criteria in making the determination as to whether a particular investment would qualify for treatment as a Level 2 or Level 3 investment. For example, the Company reviews pricing provided by dealers or pricing services in order to determine if observable market information is being used, versus unobservable inputs. Some additional factors considered include the number of prices obtained as well as an assessment as to their quality, such as the depth of the relevant market relative to the size of the Company’s position.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Company’s investments may fluctuate from period to period. Additionally, the fair value of such investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that may ultimately be realized. Further, such investments are generally less liquid than publicly traded securities and may be subject to contractual and other restrictions on resale. If the Company were required to liquidate a portfolio investment in a forced or liquidation sale, it could realize amounts that are different from the amounts presented and such differences could be material.

In addition, changes in the market environment, including the impact of changes in broader market indices and credit spreads, and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected herein.

Financial and Derivative Instruments

The Company recognizes all derivative instruments as assets or liabilities at fair value in its consolidated financial statements, pursuant to ASC Topic 815 Derivatives and Hedging, further clarified by the FASB’s issuance of the Accounting Standards Update (“ASU”) No. 2017-12, Derivatives and Hedging, which was adopted in 2019 by the Company. For all derivative instruments designated in a hedge accounting relationship, the entire change in the fair value of the hedging instrument shall be recorded in the same line item of the consolidated statements of operations as the hedged item. The Company uses certain interest rate swaps as derivative instruments to hedge the Company’s fixed rate debt, and therefore both the periodic payment and the change in fair value for the effective hedge, if applicable, will be recognized as components of interest expense in the consolidated statements of operations. For derivative contracts entered into by the Company that are not designated in a hedge accounting relationship the Company presents changes in the fair value through current period earnings.

In the normal course of business, the Company has commitments and risks resulting from its investment transactions, which may include those involving derivative instruments. Derivative instruments are measured in terms of the notional contract amount and derive their value based upon one or more underlying instruments. While the notional amount gives some indication of the Company’s derivative activity, it generally is not exchanged, but is only used as the basis on which interest and other payments are exchanged. Derivative instruments are subject to various risks similar to non-derivative instruments including market, credit, liquidity, and operational risks. The Company manages these risks on an aggregate basis as part of its risk management process.

Derivatives, including the Company’s interest rate swaps, for which broker quotes are available are typically valued at those broker quotes.

24


 

Offsetting Assets and Liabilities

Foreign currency forward contract and interest rate swap receivables or payables pending settlement are offset, and the net amount is included with receivable or payable for foreign currency forward contracts or interest rate swaps in the consolidated balance sheets when, and only when, they are with the same counterparty, the Company has the legal right to offset the recognized amounts, and it intends to either settle on a net basis or realize the asset and settle the liability simultaneously.

Foreign Currency

Foreign currency amounts are translated into U.S. dollars on the following basis:

 

cash and cash equivalents, market value of investments, outstanding debt on revolving credit facilities, other assets and liabilities: at the spot exchange rate on the last business day of the period; and

 

purchases and sales of investments, borrowings and repayments of such borrowings, income and expenses: at the rates of exchange prevailing on the respective dates of such transactions.

Although net assets and fair values are presented based on the applicable foreign exchange rates described above, the Company does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. The Company’s current approach to hedging the foreign currency exposure in its non-U.S. dollar denominated investments is primarily to borrow the par amount in local currency under the Company’s Revolving Credit Facility to fund these investments.  Fluctuations arising from the translation of foreign currency borrowings are included with the net change in unrealized gains (losses) on translation of assets and liabilities in foreign currencies on the consolidated statements of operations.

Investments denominated in foreign currencies and foreign currency transactions may involve certain considerations and risks not typically associated with those of domestic origin, including unanticipated movements in the value of the foreign currency relative to the U.S. dollar.

Equity Offering Expenses

The Company records expenses related to equity offerings as a reduction of capital upon completion of an offering of registered securities. The costs associated with renewals of the Company’s shelf registration statement are expensed as incurred.

Debt Issuance Costs

The Company records origination and other expenses related to its debt obligations as deferred financing costs, which are presented as a direct deduction from the carrying value of the related debt liability. These expenses are deferred and amortized using the effective interest method, or straight-line method, over the stated maturity of the debt obligation.

Interest and Dividend Income Recognition

Interest income is recorded on an accrual basis and includes the amortization of discounts and premiums. Discounts and premiums to par value on securities purchased or originated are amortized into interest income over the contractual life of the respective security using the effective interest method. The amortized cost of investments represents the original cost adjusted for the amortization of discounts and premiums, if any.

Unless providing services in connection with an investment, such as syndication, structuring or diligence, all or a portion of any loan fees received by the Company will be deferred and amortized over the investment’s life using the effective interest method.

Loans are generally placed on non-accrual status when principal or interest payments are past due 30 days or more or when management has reasonable doubt that the borrower will pay principal or interest in full. Accrued and unpaid interest is generally reversed when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest has been paid and, in management’s judgment, the borrower is likely to make principal and interest payments in the future. Management may determine to not place a loan on non-accrual status if, notwithstanding any failure to pay, the loan has sufficient collateral value and is in the process of collection.

Dividend income on preferred equity securities is recorded on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for publicly-traded portfolio companies.

25


 

Other Income

From time to time, the Company may receive fees for services provided to portfolio companies by the Adviser. The services that the Adviser provides vary by investment, but may include syndication, structuring, diligence fees, or other service-based fees, and fees for providing managerial assistance to our portfolio companies and are recognized as revenue when earned.

Earnings per share

The Company's earnings per share ("EPS") amounts have been computed based on the weighted-average number of shares of common stock outstanding for the period. Basic EPS is computed by dividing net increase (decrease) in net assets resulting from operations by the weighted average number of shares of common stock outstanding during the period. Diluted EPS is computed by dividing net increase (decrease) in net assets resulting from operations by the weighted average number of shares of common stock assuming all potential shares had been issued and the additional shares of common stock were dilutive. Diluted EPS reflects the potential dilution, using the if-converted method for convertible debt, which could occur if all potentially dilutive securities were exercised.

Reimbursement of Transaction-Related Expenses

The Company may receive reimbursement for certain transaction-related expenses in pursuing investments. Transaction-related expenses, which are expected to be reimbursed by third parties, are typically deferred until the transaction is consummated and are recorded in Prepaid expenses and other assets on the date incurred. The transaction-related costs of pursuing investments not otherwise reimbursed are borne by the Company and for successfully completed investments included as a component of the investment’s cost basis.

Cash advances received in respect of transaction-related expenses are recorded as Cash and cash equivalents with an offset to Other liabilities or Payables to affiliates. Other liabilities or Payables to affiliates are relieved as reimbursable expenses are incurred.

Income Taxes, Including Excise Taxes

The Company has elected to be treated as a RIC under Subchapter M of the Code, and the Company intends to operate in a manner so as to continue to qualify for the tax treatment applicable to RICs. To qualify as a RIC, the Company must, among other things, distribute to its stockholders in each taxable year generally at least 90% of its investment company taxable income, as defined by the Code, and net tax-exempt income for that taxable year. To maintain its RIC status, the Company, among other things, has made and intends to continue to make the requisite distributions to its stockholders, which generally relieves the Company from corporate-level U.S. federal income taxes.

The Company evaluates tax positions taken or expected to be taken in the course of preparing its financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are reserved and recorded as a tax benefit or expense in the current year. All penalties and interest associated with income taxes are included in income tax expense. Conclusions regarding tax positions are subject to review and may be adjusted at a later date based on factors including, but not limited to, on-going analyses of tax laws, regulations and interpretations thereof.

Depending on the level of taxable income earned in a tax year, the Company can be expected to carry forward taxable income (including net capital gains, if any) in excess of current year dividend distributions from the current tax year into the next tax year and pay a nondeductible 4% U.S. federal excise tax on such taxable income, as required. To the extent that the Company determines that the estimated current year annual taxable income will be in excess of estimated current year dividend distributions from such income, the Company accrues excise tax on estimated excess taxable income.

For the three months ended March 31, 2021 and 2020, we recorded a net expense of $0.5 million and $1.0 million, respectively, for U.S. federal excise tax and other taxes.

Dividends to Common Stockholders

Dividends to common stockholders are recorded on the record date. The amount to be paid out as a dividend is determined by the Board and is generally based upon the earnings estimated by the Adviser. Net realized long-term capital gains, if any, would generally be distributed at least annually, although the Company may decide to retain such capital gains.

26


 

The Company has adopted a dividend reinvestment plan that provides for reinvestment of any dividends declared in cash on behalf of stockholders, unless a stockholder elects to receive cash. As a result, if the Board authorizes, and it declares, a cash dividend, then the stockholders who have not “opted out” of the dividend reinvestment plan will have their cash dividends automatically reinvested in additional shares of the Company’s common stock, rather than receiving the cash dividend. The Company expects to use newly issued shares to satisfy the dividend reinvestment plan.

Accounting Standards Adopted in 2021

In August 2020, the Financial Accounting Standards Board issued Accounting Standards Update 2020-06 (“ASU 2020-06”) “Debt – Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity.” This guidance reduces the number of accounting models for convertible instruments and makes targeted improvements to the disclosures for convertible instruments and earnings per share guidance. ASU 2020-06 is effective for public business entities for annual and interim periods in fiscal years beginning after December 15, 2021 with early adoption permitted. The Company early adopted ASU 2020-06 under the modified retrospective basis during the period ended March 31, 2021. The impact of the Company’s adoption under the modified retrospective basis required a cumulative effect adjustment to opening net assets for the remaining unamortized discount on the 2022 Convertible Notes, and a requirement for the Company to calculate diluted earnings per share using the if-converted method which assumes full share settlement for the aggregate value of the 2022 Convertible Notes. The Company’s adoption of this guidance did not have a material impact on the Company’s financial position, results of operations, cash flows or notes to the consolidated financial statements.

New Accounting Pronouncements

In March 2020, the Financial Accounting Standards Board issued Accounting Standards Update 2020-04 (“ASU 2020-04”) “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting,” and in January 2021, the Financial Accounting Standards Board issued Accounting Standards Update 2021-01 (“ASU 2021-01”) “Reference Rate Reform (Topic 848): Scope.” This guidance provides optional expedients and exceptions for applying generally accepted accounting principles to contract modifications and hedging relationships, subject to meeting certain criteria, that reference LIBOR or another reference rate expected to be discontinued. ASU 2020-04 and ASU 2021-01 are effective for all entities as of March 12, 2020 through December 31, 2022. The Company expects that the adoption of this guidance will not have a material impact on the Company’s financial position, result of operations or cash flows.

 

 

3. Agreements and Related Party Transactions

Administration Agreement

On March 15, 2011, the Company entered into the Administration Agreement with the Adviser. Under the terms of the Administration Agreement, the Adviser provides administrative services to the Company. These services include providing office space, equipment and office services, maintaining financial records, preparing reports to stockholders and reports filed with the SEC, and managing the payment of expenses and the oversight of the performance of administrative and professional services rendered by others. Certain of these services are reimbursable to the Adviser under the terms of the Administration Agreement. In addition, the Adviser is permitted to delegate its duties under the Administration Agreement to affiliates or third parties and the Company pays or reimburses the Adviser for certain expenses incurred by any such affiliates or third parties for work done on its behalf.

In February 2017, the Board of Directors of the Company and the Adviser entered into an amended and restated administration agreement (the “Administration Agreement”) reflecting certain clarifications to the agreement to provide greater detail regarding the scope of the reimbursable costs and expenses of the Administrator’s services.

In November 2020, the Board renewed the Administration Agreement. Unless earlier terminated as described below, the Administration Agreement will remain in effect until November 2021, and may be extended subject to required approvals. The Administration Agreement may be terminated by either party without penalty on 60 days’ written notice to the other party.

No person who is an officer, director or employee of the Adviser or its affiliates and who serves as a director of the Company receives any compensation from the Company for his or her services as a director. However, the Company reimburses the Adviser (or its affiliates) for the allocable portion of the costs of compensation, benefits, and related administrative expenses of our officers who provide operational and administrative services to us pursuant to the Administration Agreement, their respective staffs and other professionals who provide services to us (including, in each case, employees of the Adviser or an affiliate).  Such reimbursable amounts include the allocable portion of the compensation paid by the Adviser or its affiliates to the Company’s Chief Financial

27


 

Officer, Chief Compliance Officer, and other professionals who provide operational and administrative services to us pursuant to the Administration Agreement, including individuals who provide “back office” or “middle office” financial, operational, legal and/or compliance services to us.  The Company reimburses the Adviser (or its affiliates) for the allocable portion of the compensation paid by the Adviser (or its affiliates) to such individuals based on the percentage of time those individuals devote, on an estimated basis, to the business and affairs of the Company and in acting on behalf of the Company. The Company may also reimburse the Adviser or its affiliates for the allocable portion of overhead expenses (including rent, office equipment and utilities) attributable thereto. Directors who are not affiliated with the Adviser receive compensation for their services and reimbursement of expenses incurred to attend meetings.

For the three months ended March 31, 2021 and 2020, the Company incurred expenses of $1.7 million and $1.0 million, respectively, for administrative services payable to the Adviser under the terms of the Administration Agreement.

Investment Advisory Agreement

On April 15, 2011, the Company entered into the Investment Advisory Agreement with the Adviser. The Investment Advisory Agreement was subsequently amended on December 12, 2011. Under the terms of the Investment Advisory Agreement, the Adviser provides investment advisory services to the Company. The Adviser’s services under the Investment Advisory Agreement are not exclusive, and the Adviser is free to furnish similar or other services to others so long as its services to the Company are not impaired. Under the terms of the Investment Advisory Agreement, the Company will pay the Adviser the Management Fee and may also pay certain Incentive Fees.

The Management Fee is calculated at an annual rate of 1.5% based on the average value of the Company’s gross assets calculated using the values at the end of the two most recently completed calendar quarters, adjusted for any share issuances or repurchases during the period. The Management Fee is payable quarterly in arrears.

For the three months ended March 31, 2021 and 2020, Management Fees were $8.7 million and $8.2 million, respectively.

The Adviser intends to waive a portion of the Management Fee payable under the Investment Advisory Agreement by reducing the Management Fee on assets financed using leverage over 200% asset coverage (in other words, over 1.0x debt to equity) (the “Leverage Waiver”). Pursuant to the Leverage Waiver, the Adviser intends to waive the portion of the Management Fee in excess of an annual rate of 1.0% (0.250% per quarter) on the average value of the Company’s gross assets as of the end of the two most recently completed calendar quarters that exceeds the product of (i) 200% and (ii) the average value of our net asset value at the end of the two most recently completed calendar quarters. Any waived Management Fees are not subject to recoupment by the Adviser. As of March 31, 2021, no Management Fees have been waived pursuant to the Leverage Waiver.

The Incentive Fee consists of two parts, as follows:

 

(i)

The first component, payable at the end of each quarter in arrears, equals 100% of the pre-Incentive Fee net investment income in excess of a 1.5% quarterly “hurdle rate,” the calculation of which is further explained below, until the Adviser has received 17.5% of the total pre-Incentive Fee net investment income for that quarter and, for pre-Incentive Fee net investment income in excess of 1.82% quarterly, 17.5% of all remaining pre-Incentive Fee net investment income for that quarter. The 100% “catch-up” provision for pre-Incentive Fee net investment income in excess of the 1.5% “hurdle rate” is intended to provide the Adviser with an Incentive Fee of 17.5% on all pre-Incentive Fee net investment income when that amount equals 1.82% in a quarter (7.28% annualized), which is the rate at which catch-up is achieved. Once the “hurdle rate” is reached and catch-up is achieved, 17.5% of any pre-Incentive Fee net investment income in excess of 1.82% in any quarter is payable to the Adviser.

Pre-Incentive Fee net investment income means dividends, interest and fee income accrued by the Company during the calendar quarter, minus the Company’s operating expenses for the quarter (including the Management Fee, expenses payable under the Administration Agreement to the Administrator, and any interest expense and dividends paid on any issued and outstanding preferred stock, but excluding the Incentive Fee). Pre-Incentive Fee net investment income includes, in the case of investments with a deferred interest feature (such as original issue discount, debt instruments with pay-in-kind interest and zero coupon securities), accrued income that the Company may not have received in cash. Pre-Incentive Fee net investment income does not include any realized capital gains, realized capital losses or unrealized capital gains or losses.

 

(ii)

The second component, payable at the end of each fiscal year in arrears, equaled 15% through March 31, 2014 and, beginning April 1, 2014, equals a weighted percentage of cumulative realized capital gains from the Company’s inception to the end of that fiscal year, less cumulative realized capital losses and unrealized capital losses. This component of the Incentive Fee is referred to as the Capital Gains Fee. Each year, the fee paid for this component of the Incentive Fee is net of the aggregate amount of any previously paid Capital Gains Fee for prior periods. For capital gains that accrue following March 31, 2014, the Incentive Fee rate is 17.5%. The Company accrues, but does not pay, a capital gains Incentive Fee with respect to unrealized

28


 

 

capital gains because a capital gains Incentive Fee would be owed to the Adviser if the Company were to sell the relevant investment and realize a capital gain. The weighted percentage was intended to ensure that for each fiscal year following the completion of the IPO, the portion of the Company’s realized capital gains that accrued prior to March 31, 2014, was subject to an Incentive Fee rate of 15% and the portion of the Company’s realized capital gains that accrued beginning April 1, 2014 is subject to an Incentive Fee rate of 17.5%.

For purposes of determining whether pre-Incentive Fee net investment income exceeds the hurdle rate, pre-Incentive Fee net investment income is expressed as a rate of return on the value of the Company’s net assets at the end of the immediately preceding calendar quarter.

Section 205(b)(3) of the Investment Advisers Act of 1940, as amended, or the Advisers Act, prohibits the Adviser from receiving the payment of fees on unrealized gains until those gains are realized, if ever. There can be no assurance that such unrealized gains will be realized in the future.

For the three months ended March 31, 2021 and 2020, Incentive Fees were $12.3 million and $7.1 million, respectively, of which $7.8 million and $7.1 million, respectively, were realized and payable to the Adviser. For the three months ended March 31, 2021, $4.5 million of Incentive Fees was accrued related to cumulative unrealized capital gains in excess of cumulative net realized capital gains less any cumulative unrealized losses and capital gains incentive fees paid inception to date. For the three months ended March 31, 2020, no Incentive Fees were accrued related to capital gains.

Since the Company’s IPO, with the exception of its waiver of Management Fees and certain Incentive Fees attributable to the Company’s ownership of certain investments and the Leverage Waiver, the Adviser has not waived its right to receive any Management Fees or Incentive Fees payable pursuant to the Investment Advisory Agreement.

In November 2020, the Board renewed the Investment Advisory Agreement. Unless earlier terminated as described below, the Investment Advisory Agreement will remain in effect until November 2021, and may be extended subject to required approvals. The Investment Advisory Agreement will automatically terminate in the event of an assignment and may be terminated by either party without penalty upon 60 days’ written notice to the other party.

From time to time, the Adviser may pay amounts owed by the Company to third-party providers of goods or services, including the Board, and the Company will subsequently reimburse the Adviser for such amounts paid on its behalf. Amounts payable to the Adviser are settled in the normal course of business without formal payment terms.

 

 

4. Investments at Fair Value

Under the 1940 Act, the Company is required to separately identify non-controlled investments where it owns 5% or more of a portfolio company’s outstanding voting securities as investments in “affiliated” companies. In addition, under the 1940 Act, the Company is required to separately identify investments where it owns more than 25% of a portfolio company’s outstanding voting securities and/or had the power to exercise control over the management or policies of such portfolio company as investments in “controlled” companies. Detailed information with respect to the Company’s non-controlled, non-affiliated; non-controlled, affiliated; and controlled, affiliated investments is contained in the accompanying consolidated financial statements, including the consolidated schedules of investments. The information in the tables below is presented on an aggregate portfolio basis, without regard to whether they are non-controlled, non-affiliated; non-controlled, affiliated; or controlled, affiliated investments.

Investments at fair value consisted of the following at March 31, 2021 and December 31, 2020:

 

 

 

March 31, 2021

 

 

 

Amortized Cost (1)

 

 

Fair Value

 

 

Net Unrealized

Gain (Loss)

 

First-lien debt investments

 

$

2,223,472

 

 

$

2,259,671

 

 

$

36,199

 

Second-lien debt investments

 

 

5,168

 

 

 

5,506

 

 

 

338

 

Mezzanine debt investments

 

 

8,868

 

 

 

14,171

 

 

 

5,303

 

Equity and other investments

 

 

93,952

 

 

 

103,398

 

 

 

9,446

 

Total Investments

 

$

2,331,460

 

 

$

2,382,746

 

 

$

51,286

 

29


 

 

 

 

 

December 31, 2020

 

 

 

Amortized Cost (1)

 

 

Fair Value

 

 

Net Unrealized

Gain (Loss)

 

First-lien debt investments

 

$

2,165,100

 

 

$

2,196,910

 

 

$

31,810

 

Second-lien debt investments

 

 

4,991

 

 

 

5,037

 

 

 

46

 

Mezzanine debt investments

 

 

8,223

 

 

 

10,982

 

 

 

2,759

 

Equity and other investments

 

 

80,714

 

 

 

85,941

 

 

 

5,227

 

Total Investments

 

$

2,259,028

 

 

$

2,298,870

 

 

$

39,842

 

 

(1)

The amortized cost represents the original cost adjusted for the amortization of discounts or premiums, as applicable, on debt investments using the effective interest method.

The industry composition of investments at fair value at March 31, 2021 and December 31, 2020 is as follows:

 

 

 

March 31, 2021

 

 

December 31, 2020

 

Business services

 

 

22.2

%

 

 

22.2

%

Communications

 

 

1.9

%

 

 

2.0

%

Education

 

 

10.9

%

 

 

11.2

%

Financial services

 

 

14.7

%

 

 

15.7

%

Healthcare

 

 

6.7

%

 

 

8.3

%

Hotel, gaming and leisure

 

 

1.6

%

 

 

1.6

%

Human resource support services

 

 

11.2

%

 

 

9.9

%

Insurance

 

 

2.2

%

 

 

2.3

%

Internet services

 

 

6.5

%

 

 

5.2

%

Marketing services

 

 

1.9

%

 

 

2.0

%

Office products

 

 

0.3

%

 

 

0.3

%

Oil, gas and consumable fuels

 

 

1.7

%

 

 

1.7

%

Other

 

 

2.6

%

 

 

1.3

%

Pharmaceuticals

 

 

2.5

%

 

 

2.8

%

Real Estate

 

 

1.7

%

 

 

1.7

%

Retail and consumer products

 

 

11.4

%

 

 

11.8

%

Total

 

 

100.0

%

 

 

100.0

%

 

The geographic composition of investments at fair value at March 31, 2021 and December 31, 2020 is as follows:

 

 

 

March 31, 2021

 

 

December 31, 2020

 

United States

 

 

 

 

 

 

 

 

Midwest

 

 

15.7

%

 

 

13.4

%

Northeast

 

 

16.6

%

 

 

16.9

%

South

 

 

23.0

%

 

 

24.1

%

West

 

 

37.3

%

 

 

38.1

%

Australia

 

 

1.7

%

 

 

1.7

%

Bermuda

 

 

1.7

%

 

 

1.7

%

Canada

 

 

4.0

%

 

 

4.1

%

Total

 

 

100.0

%

 

 

100.0

%

 

 

5. Derivatives

 

Interest Rate Swaps   

In February 2017, in connection with the issuance of the 2022 Convertible Notes, the Company entered into an interest rate swap transaction with a $115.0 million notional amount. The Company receives fixed rate interest at 4.50% and pays variable rate interest based on three-month LIBOR plus 2.37%. The swap transaction matures on August 1, 2022, matching the maturity date of the 2022 Convertible Notes.

30


 

In January 2018, in connection with the issuance of the 2023 Notes, the Company entered into an interest rate swap transaction with a $150.0 million notional amount. The Company receives fixed rate interest at 4.50% and pays variable rate interest based on three-month LIBOR plus 1.99%. The swap transaction matures on January 22, 2023, matching the maturity date of the 2023 Notes.

In June 2018, in connection with the reopening and issuance of additional 2022 Convertible Notes, the Company entered into two interest rate swap transactions with notional amounts of $50.0 million and $7.5 million, respectively. The Company receives fixed rate interest on each swap at 4.50%, and pays variable rate interest based on three-month LIBOR plus 1.59%, and 1.60%, respectively. The swap transactions mature on August 1, 2022, matching the maturity date of the 2022 Convertible Notes.

In June 2019, upon maturity of the original swap transaction on an existing fixed rate investment, the Company entered into an interest rate swap transaction with a $91.5 million notional amount. The Company received three-month LIBOR and paid fixed rate interest at 1.97%. In April 2020, in connection with the repayment of the underlying investment, the Company terminated this interest rate swap.

In August 2019, in connection with two fixed rate investments, the Company entered into two interest rate swap transactions with notional amounts of $11.7 million and $3.2 million, respectively. The Company receives three-month LIBOR and pays fixed rate interest at 1.47% and 1.36%, respectively. The $11.7 million notional swap transaction matures on July 30, 2021, matching the current expected repayment date of the investment. In December 2020, in connection with the repayment of the underlying investment, the Company terminated the $3.2 million notional interest rate swap resulting in a realized loss of less than $0.1 million.  

In November 2019, in connection with the issuance of the 2024 Notes, the Company entered into an interest rate swap transaction with a $300.0 million notional amount. The Company receives fixed rate interest at 3.875% and pays variable rate interest based on three-month LIBOR plus 2.25%. The swap transaction matures on November 1, 2024, matching the maturity date of the 2024 Notes. The Company designated this interest rate swap as the hedging instrument in a hedge accounting relationship with the 2024 Notes.

In February 2020, in connection with the reopening and issuance of additional 2024 Notes, the Company entered into an interest rate swap transaction with a $50.0 million notional amount. The Company receives fixed rate interest at 3.875% and pays variable rate interest based on three-month LIBOR plus 2.46%. The swap transaction matures on November 1, 2024, matching the maturity date of the additional 2024 Notes. The Company designated this interest rate swap as the hedging instrument in a hedge accounting relationship with the additional 2024 Notes.

In May 2020, in connection with the repurchase of $29.7 million of the 2022 Convertible Notes, the Company entered into two interest rate swap transactions with $27.5 million and $2.2 million notional amounts. The Company pays fixed rate interest at 4.5% and receives variable rate interest based on three-month LIBOR plus 2.11%. The swap transactions mature on August 1, 2022, matching the maturity date of the 2022 Convertible Notes.

In May 2020, in connection with the repurchase of $2.5 million of the 2024 Notes, the Company entered into an interest rate swap transaction with $2.5 million notional amount. The Company pays fixed rate interest at 3.875% and receives variable rate interest based on three-month LIBOR plus 2.28%. The swap transaction matures on November 1, 2024, matching the maturity date of the 2024 Notes. At the same time, the Company de-designated $2.5 million notional amount of the existing interest rate swaps related to the 2024 Notes as hedging instruments in a hedge accounting relationship with the 2024 Notes.

In June 2020, in connection with two fixed rate investments, the Company entered into two interest rate swap transactions with notional amounts of $5.0 million and $2.2 million. The Company receives three-month LIBOR and pays fixed rate interest at 0.33% and 0.26%, respectively. The $5.0 million notional swap transaction matures on June 9, 2023, matching the expected repayment date of the investment. In December 2020, in connection with the repayment of the underlying investment, the Company terminated the $2.2 million notional interest rate swap resulting in a realized loss of less than $0.1 million.

In February 2021, in connection with the issuance of the 2026 Notes, the Company entered into an interest rate swap transaction with a $300.0 million notional amount. The Company receives fixed rate interest at 2.50% and pays variable rate interest based on three-month LIBOR plus 1.91%. The swap transaction matures on August 1, 2026, matching the maturity date of the 2026 Notes. The Company designated this interest rate swap as the hedging instrument in a hedge accounting relationship with the 2026 Notes.

31


 

The following tables present the amounts paid and received on the Company’s interest rate swap transactions, excluding upfront fees, for the three months ended March 31, 2021 and 2020:

 

 

 

 

 

 

 

 

 

For the Three Months Ended March 31, 2021

 

 

 

Maturity Date

 

Notional Amount

 

 

Paid

 

 

Received

 

 

Net

 

Interest rate swap (1)

 

7/30/2021

 

$

11,700

 

 

$

(41

)

 

$

7

 

 

$

(34

)

Interest rate swap

 

8/1/2022

 

 

115,000

 

 

 

(754

)

 

 

1,294

 

 

 

540

 

Interest rate swap

 

8/1/2022

 

 

50,000

 

 

 

(231

)

 

 

563

 

 

 

332

 

Interest rate swap

 

8/1/2022

 

 

7,500

 

 

 

(35

)

 

 

84

 

 

 

49

 

Interest rate swap

 

8/1/2022

 

 

27,531

 

 

 

(310

)

 

 

163

 

 

 

(147

)

Interest rate swap

 

8/1/2022

 

 

2,160

 

 

 

(24

)

 

 

13

 

 

 

(11

)

Interest rate swap

 

1/22/2023

 

 

150,000

 

 

 

(842

)

 

 

1,688

 

 

 

846

 

Interest rate swap (1)

 

6/9/2023

 

 

5,000

 

 

 

(4

)

 

 

3

 

 

 

(1

)

Interest rate swap

 

11/1/2024

 

 

300,000

 

 

 

(1,815

)

 

 

2,906

 

 

 

1,091

 

Interest rate swap

 

11/1/2024

 

 

50,000

 

 

 

(324

)

 

 

484

 

 

 

160

 

Interest rate swap

 

11/1/2024

 

 

2,500

 

 

 

(23

)

 

 

15

 

 

 

(8

)

Interest rate swap

 

8/1/2026

 

 

300,000

 

 

 

(853

)

 

 

1,083

 

 

 

230

 

Total

 

 

 

$

1,021,391

 

 

$

(5,256

)

 

$

8,303

 

 

$

3,047

 

 

 

 

 

 

 

 

 

 

 

For the Three Months Ended March 31, 2020

 

 

 

Maturity Date

 

Notional Amount

 

 

Paid

 

 

Received

 

 

Net

 

Interest rate swap (1)

 

6/25/2020

 

$

91,500

 

 

$

(456

)

 

$

440

 

 

$

(16

)

Interest rate swap (1)

 

7/30/2021

 

 

11,700

 

 

 

(43

)

 

 

56

 

 

 

13

 

Interest rate swap (1)

 

7/29/2022

 

 

3,200

 

 

 

(11

)

 

 

16

 

 

 

5

 

Interest rate swap

 

8/1/2022

 

 

115,000

 

 

 

(1,259

)

 

 

1,294

 

 

 

35

 

Interest rate swap

 

8/1/2022

 

 

50,000

 

 

 

(449

)

 

 

563

 

 

 

114

 

Interest rate swap

 

8/1/2022

 

 

7,500

 

 

 

(68

)

 

 

84

 

 

 

16

 

Interest rate swap

 

1/22/2023

 

 

150,000

 

 

 

(1,500

)

 

 

1,688

 

 

 

188

 

Interest rate swap

 

11/1/2024

 

 

300,000

 

 

 

(3,149

)

 

 

2,906

 

 

 

(243

)

Interest rate swap

 

11/1/2024

 

 

50,000

 

 

 

(283

)

 

 

269

 

 

 

(14

)

Total

 

 

 

$

778,900

 

 

$

(7,218

)

 

$

7,316

 

 

$

98

 

 

(1)

The notional amount of certain interest rate swaps may be more or less than the Company’s investment in individual portfolio companies as a result of arrangements with other lenders in the syndicate, amortization, or interest income paid-in-kind.

For the three months ended March 31, 2021 and 2020, the Company recognized $1.8 million in net change in unrealized losses and $9.2 million in net change in unrealized gains, respectively, on interest rate swaps not designated as hedging instruments in the consolidated statement of operations related to the swap transactions. For the three months ended March 31, 2021 and 2020, the Company recognized $14.6 million in net change in unrealized losses and $18.8 million in net change in unrealized gains, respectively, on interest rate swaps designated as hedging instruments as a component of interest expense in the consolidated statement of operations. For the three months ended March 31, 2021 and 2020, this amount is offset by a decrease of $5.6 million and increase of $18.8 million, respectively, for a change in the carrying value of the 2024 Notes and a decrease of $9.0 million, for a change in carrying value of the 2026 Notes.

As of March 31, 2021, the swap transactions had a fair value of $12.2 million which is netted against cash collateral received on the Company’s consolidated balance sheet. As of December 31, 2020, the swap transactions had a fair value of $28.6 million which is netted against cash collateral on the Company’s consolidated balance sheet.

The Company is required under the terms of its derivatives agreements to pledge assets as collateral to secure its obligations under the derivatives. The amount of collateral required varies over time based on the mark-to-market value, notional amount and remaining term of the derivatives, and may exceed the amount owed by the Company on a mark-to-market basis. Any failure by the Company to fulfill any collateral requirement (e.g., a so-called “margin call”) may result in a default. In the event of a default by a counterparty, the Company would be an unsecured creditor to the extent of any such overcollateralization.

As of March 31, 2021, $16.3 million of cash is pledged as collateral under the Company’s derivative instruments and is included in restricted cash as a component of cash and cash equivalents on the Company’s consolidated balance sheet. As of December 31, 2020, $10.8 million of cash is pledged as collateral under the Company’s derivative instruments and is included in restricted cash as a component of cash and cash equivalents on the Company’s consolidated balance sheet.

32


 

6. Fair Value of Financial Instruments

Investments

The following tables present fair value measurements of investments as of March 31, 2021 and December 31, 2020:

 

 

 

Fair Value Hierarchy at March 31, 2021

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

First-lien debt investments

 

$

 

 

$

6,491

 

 

$

2,253,180

 

 

$

2,259,671

 

Second-lien debt investments

 

 

 

 

 

 

 

 

5,506

 

 

 

5,506

 

Mezzanine debt investments

 

 

 

 

 

 

 

 

14,171

 

 

 

14,171

 

Equity and other investments

 

 

8

 

 

 

35,350

 

 

 

68,040

 

 

 

103,398

 

Total investments at fair value

 

$

8

 

 

$

41,841

 

 

$

2,340,897

 

 

$

2,382,746

 

Interest rate swaps

 

 

 

 

 

12,199

 

 

 

 

 

 

12,199

 

Total

 

$

8

 

 

$

54,040

 

 

$

2,340,897

 

 

$

2,394,945

 

 

 

 

Fair Value Hierarchy at December 31, 2020

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

First-lien debt investments

 

$

 

 

$

38,359

 

 

$

2,158,551

 

 

$

2,196,910

 

Second-lien debt investments

 

 

 

 

 

 

 

 

5,037

 

 

 

5,037

 

Mezzanine debt investments

 

 

 

 

 

 

 

 

10,982

 

 

 

10,982

 

Equity and other investments

 

 

3

 

 

 

10,788

 

 

 

75,150

 

 

 

85,941

 

Total investments at fair value

 

$

3

 

 

$

49,147

 

 

$

2,249,720

 

 

$

2,298,870

 

Interest rate swaps

 

 

 

 

 

28,638

 

 

 

 

 

 

28,638

 

Total

 

$

3

 

 

$

77,785

 

 

$

2,249,720

 

 

$

2,327,508

 

 

Transfers between levels, if any, are recognized at the beginning of the quarter in which the transfers occur.

The following tables present the changes in the fair value of investments for which Level 3 inputs were used to determine the fair value as of and for the three months ended March 31, 2021 and 2020:

 

 

 

As of and for the Three Months Ended

 

 

 

March 31, 2021

 

 

 

First-lien

debt

investments

 

 

Second-lien

debt

investments

 

 

Mezzanine

debt

investments

 

 

Equity

and other

investments

 

 

Total

 

Balance, beginning of period

 

$

2,158,551

 

 

$

5,037

 

 

$

10,982

 

 

$

75,150

 

 

$

2,249,720

 

Purchases or originations

 

 

152,707

 

 

 

 

 

 

545

 

 

 

653

 

 

 

153,905

 

Repayments / redemptions

 

 

(74,042

)

 

 

 

 

 

 

 

 

(11,827

)

 

 

(85,869

)

Paid-in-kind interest

 

 

1,866

 

 

 

161

 

 

 

98

 

 

 

 

 

 

2,125

 

Net change in unrealized gains (losses)

 

 

10,828

 

 

 

292

 

 

 

2,543

 

 

 

(12

)

 

 

13,651

 

Net realized gains

 

 

30

 

 

 

 

 

 

 

 

 

10,689

 

 

 

10,719

 

Net amortization of discount on securities

 

 

3,240

 

 

 

16

 

 

 

3

 

 

 

 

 

 

3,259

 

Transfers within Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Transfers into (out of) Level 3

 

 

 

 

 

 

 

 

 

 

 

(6,613

)

 

 

(6,613

)

Balance, End of Period

 

$

2,253,180

 

 

$

5,506

 

 

$

14,171

 

 

$

68,040

 

 

$

2,340,897

 

33


 

 

 

 

 

As of and for the Three Months Ended

 

 

 

March 31, 2020

 

 

 

First-lien

debt

investments

 

 

Second-lien

debt

investments

 

 

Mezzanine

debt

investments

 

 

Equity

and other

investments

 

 

Total

 

Balance, beginning of period

 

$

2,158,927

 

 

$

4,147

 

 

$

2,550

 

 

$

63,107

 

 

$

2,228,731

 

Purchases or originations

 

 

115,294

 

 

 

209

 

 

 

304

 

 

 

477

 

 

 

116,284

 

Repayments / redemptions

 

 

(218,019

)

 

 

 

 

 

 

 

 

 

 

 

(218,019

)

Paid-in-kind interest

 

 

1,744

 

 

 

 

 

 

51

 

 

 

 

 

 

1,795

 

Net change in unrealized losses

 

 

(85,669

)

 

 

(326

)

 

 

(53

)

 

 

(11,123

)

 

 

(97,171

)

Net realized gains (losses)

 

 

(2,163

)

 

 

 

 

 

 

 

 

 

 

 

(2,163

)

Net amortization of discount on securities

 

 

6,822

 

 

 

 

 

 

3

 

 

 

 

 

 

6,825

 

Transfers within Level 3

 

 

(23

)

 

 

 

 

 

 

 

 

23

 

 

 

 

Transfers into (out of) Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance, End of Period

 

$

1,976,913

 

 

$

4,030

 

 

$

2,855

 

 

$

52,484

 

 

$

2,036,282

 

 

The following tables present information with respect to the net change in unrealized gains or losses on investments for which Level 3 inputs were used in determining fair value that are still held by the Company at March 31, 2021 and 2020:

 

 

 

Net Change in Unrealized

 

 

Net Change in Unrealized

 

 

 

Gains or (Losses)

 

 

Gains or (Losses)

 

 

 

for the Three Months Ended

 

 

for the Three Months Ended

 

 

 

March 31, 2021 on

 

 

March 31, 2020 on

 

 

 

Investments Held at

 

 

Investments Held at

 

 

 

March 31, 2021

 

 

March 31, 2020

 

First-lien debt investments

 

$

11,962

 

 

$

(78,748

)

Second-lien debt investments

 

 

292

 

 

 

(326

)

Mezzanine debt investments

 

 

2,543

 

 

 

(53

)

Equity and other investments

 

 

7,823

 

 

 

(11,123

)

Total

 

$

22,620

 

 

$

(90,250

)

 

 

The following tables present the fair value of Level 3 Investments at fair value and the significant unobservable inputs used in the valuations as of March 31, 2021 and December 31, 2020. The tables are not intended to be all-inclusive, but instead capture the significant unobservable inputs relevant to the Company’s determination of fair values.

 

 

 

March 31, 2021

 

 

 

 

 

 

Valuation

 

Unobservable

 

Range (Weighted

 

Impact to Valuation

from an

 

 

Fair Value

 

 

Technique

 

Input

 

Average)

 

Increase to Input

First-lien debt investments

 

$

2,253,180

 

 

Income approach (1)

 

Discount rate

 

5.9% — 13.9% (9.0%)

 

Decrease

Second-lien debt investments

 

 

5,506

 

 

Income approach

 

Discount rate

 

9.8% — 9.8% (9.8%)

 

Decrease

Mezzanine debt investments

 

 

6,855

 

 

Income approach (2)

 

Discount rate

 

10.1% — 10.1% (10.1%)

 

Decrease

Mezzanine debt investments

 

 

7,316

 

 

Market Multiple

 

Comparable multiple

 

6.0x — 6.7x (6.4x)

 

Increase

Equity and other investments

 

 

68,040

 

 

Market Multiple (3)

 

Comparable multiple

 

4.5x — 18.0x (8.1x)

 

Increase

Total

 

$

2,340,897

 

 

 

 

 

 

 

 

 

 

(1)

Includes $0.9 million of debt investments which, due to proximity of the transaction relative to the measurement date were valued using the cost of the investments.

(2)

Includes $0.5 million of debt investments which were valued using an asset valuation waterfall.

(3)

Includes $6.9 million of equity investments which were valued using an asset valuation waterfall, $6.5 million of equity investments using a Black-Scholes model, $16.8 million of equity investments using a discounted cash flow approach, and $6.3 million of equity investments which, due to the proximity of the transactions relative to the measurement date, were valued using the cost of the investments.

34


 

 

 

 

December 31, 2020

 

 

 

 

 

 

Valuation

 

Unobservable

 

Range (Weighted

 

Impact to Valuation

from an

 

 

Fair Value

 

 

Technique

 

Input

 

Average)

 

Increase to Input

First-lien debt investments

 

$

2,158,551

 

 

Income approach (1)

 

Discount rate

 

6.0% — 35.2% (9.4%)

 

Decrease

Second-lien debt investments

 

 

5,037

 

 

Income approach

 

Discount rate

 

11.8% — 11.8% (11.8%)

 

Decrease

Mezzanine debt investments

 

 

10,982

 

 

Income approach (2)

 

Discount rate

 

10.1% — 11.9% (10.5%)

 

Decrease

Equity and other investments

 

 

75,150

 

 

Market Multiple (3)

 

Comparable multiple

 

3.5x — 16.0x (8.7x)

 

Increase

Total

 

$

2,249,720

 

 

 

 

 

 

 

 

 

 

(1)

Includes