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BCSF Bain Capital Specialty Finance

Filed: 5 May 21, 4:08pm

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION 

Washington, D.C. 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

 

Commission file number: 814-01175

 

BAIN CAPITAL SPECIALTY FINANCE, INC.

(Exact name of registrant as specified in its charter)

 

Delaware

 

81-2878769

(State or other jurisdiction of

 

(I.R.S. Employer

incorporation or organization)

 

Identification No.)

200 Clarendon Street, 37th Floor
Boston, MA

(Address of principal executive offices)

 

02116
(Zip Code)

 

(617) 516-2000

(Registrant’s telephone number, including area code)

 

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

 

Title of each class

 

Trading Symbol(s)

 

Name of each exchange on which registered

Common Stock, par value $0.001 per share

 

BCSF

 

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 ☒

 

As of May 5, 2021, the registrant had 64,562,265.27 shares of common stock, $0.001 par value, outstanding.

 

 

 
 

TABLE OF CONTENTS

 

 

 

Page

PART I

FINANCIAL INFORMATION

4

 

 

 

Item 1.

Consolidated Financial Statements

4

 

 

 

 

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

6

 

 

 

 

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

7

 

 

 

 

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

8

 

 

 

 

Notes to Consolidated Financial Statements (unaudited)

39

 

 

 

Item 2.

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

81

 

 

 

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

112

 

 

 

Item 4.

Controls and Procedures

113

 

 

 

PART II

OTHER INFORMATION

114

 

 

 

Item 1.

Legal Proceedings

114

 

 

 

Item 1A.

Risk Factors

114

 

 

 

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

114

 

 

 

Item 3.

Defaults Upon Senior Securities

114

 

 

 

Item 4.

Mine Safety Disclosures

114

 

 

 

Item 5.

Other Information

114

 

 

 

Item 6.

Exhibits

115

 

 

 

Signatures

 

119

2

 

 

FORWARD-LOOKING STATEMENTS

 

Statements contained in this Quarterly Report on Form 10-Q (the “Quarterly Report”) (including those relating to current and future market conditions and trends in respect thereof) that are not historical facts are based on current expectations, estimates, projections, opinions and/or beliefs of the Company, BCSF Advisors, LP (the “Advisor”) and/or Bain Capital Credit, LP and its affiliated advisers (collectively, “Bain Capital Credit”). Such statements involve known and unknown risks, uncertainties and other factors and undue reliance should not be placed thereon. Certain information contained in this Quarterly Report constitutes “forward-looking statements,” which can be identified by the use of forward-looking terminology such as “may,” “will,” “should,” “seek,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue,” “target,” or “believe” or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance of the Company may differ materially from those reflected or contemplated in such 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 are difficult to predict, that could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements including, without limitation, the risks, uncertainties and other factors we identify in the section entitled Part I, “Item 1A. Risk Factors” in our Annual Report on Form 10-K (the “Annual Report”) for the fiscal year ended December 31, 2020 and in our filings with the Securities and Exchange Commission (the “SEC”).

 

Although we believe that the assumptions on which these forward-looking statements are based are reasonable, some of those assumptions may be based on the work of third parties and any of those assumptions could prove to be inaccurate; as a result, the 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 Quarterly Report should not be regarded as a representation by us that our plans and objectives will be achieved. These risks and uncertainties include those described or identified in the section entitled Part I, “Item 1A. Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended December 31, 2020. Investors should not place undue reliance on these forward-looking statements, which apply only as of the date of this Quarterly 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 safe harbor provisions of Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), which preclude civil liability for certain forward-looking statements, do not apply to the forward-looking statements in this Quarterly Report because we are an investment company.

 

3

 

 

PART I. FINANCIAL INFORMATION

 

Item 1. Consolidated Financial Statements

  

Bain Capital Specialty Finance, Inc.
 
Consolidated Statements of Assets and Liabilities
(in thousands, except share and per share data)

 

  As of  As of 
  March 31, 2021  December 31, 2020 
  (Unaudited)    
Assets      
Investments at fair value:        
Non-controlled/non-affiliate investments (amortized cost of $2,003,536 and $2,281,809, respectively) $1,979,964  $2,261,461 
Non-controlled/affiliate investment (amortized cost of $95,974 and $93,089, respectively)  95,428   92,915 
Controlled affiliate investment (amortized cost of $278,713 and $147,841, respectively)  260,347   130,112 
Cash and cash equivalents  36,248   53,704 
Foreign cash (cost of $984 and $976, respectively)  1,413   972 
Restricted cash and cash equivalents  76,730   27,026 
Collateral on forward currency exchange contracts  3,352   4,934 
Deferred financing costs  994   3,131 
Interest receivable on investments  15,112   15,720 
Receivable for sales and paydowns of investments  10,993   5,928 
Unrealized appreciation on forward currency exchange contracts  907   - 
Dividend receivable  9,857   7,589 
Total Assets $2,491,345  $2,603,492 
         
Liabilities        
Debt (net of unamortized debt issuance costs of $12,340 and $7,147, respectively) $1,341,893  $1,458,360 
Interest payable  8,105   8,223 
Payable for investments purchased  5,339   10,991 
Unrealized depreciation on forward currency exchange contracts  18,944   22,614 
Base management fee payable  6,584   6,289 
Incentive fee payable  6,728   3,799 
Accounts payable and accrued expenses  3,995   3,261 
Distributions payable  21,951   21,951 
Total Liabilities  1,413,539   1,535,488 
         
Commitments and Contingencies (See Note 10)        
         
Net Assets        
Preferred stock, $0.001 par value per share, 10,000,000,000 shares authorized, none issued and outstanding as of March 31, 2021 and December 31, 2020, respectively $-  $- 
Common stock, par value $0.001 per share, 100,000,000,000 and 100,000,000,000 shares authorized, 64,562,265 and 64,562,265 shares issued and outstanding as of March 31, 2021 and December 31, 2020, respectively  65   65 
Paid in capital in excess of par value  1,166,453   1,166,453 
Total distributable earnings (loss)  (88,712)  (98,514)
Total Net Assets  1,077,806   1,068,004 
Total Liabilities and Total Net assets $2,491,345  $2,603,492 
         
Net asset value per share $16.69  $16.54 

 

See Notes to Consolidated Financial Statements

 

4

 

 

 

 

Bain Capital Specialty Finance, Inc.
 
Consolidated Statements of Operations
(in thousands, except share and per share data)
(Unaudited)

 

  For the Three Months Ended March 31, 
  2021  2020 
Income      
Investment income from non-controlled/non-affiliate investments:        
Interest from investments $40,893  $47,871 
Dividend income  -   33 
Other income  3,456   440 
Total investment income from non-controlled/non-affiliate investments  44,349   48,344 
         
Investment income from non-controlled/affiliate investments:        
Interest from investments  1,809   - 
Total investment income from non-controlled/affiliate investments  1,809   - 
         
Investment income from controlled affiliate investments:        
Interest from investments  1,637   772 
Dividend income  2,036   2,380 
Total investment income from controlled affiliate investments  3,673   3,152 
Total investment income  49,831   51,496 
         
Expenses        
Interest and debt financing expenses  11,833   17,876 
Base management fee  8,698   8,726 
Incentive fee  6,728   - 
Professional fees  959   970 
Directors fees  171   175 
Other general and administrative expenses  1,390   1,249 
Total expenses before fee waivers  29,779   28,996 
Base management fee waiver  (2,113)  - 
Incentive fee waiver  -   - 
Total expenses, net of fee waivers  27,666   28,996 
Net investment income before taxes  22,165   22,500 
Net investment income  22,165   22,500 
         
         
Net realized and unrealized gains (losses)        
Net realized gain (loss) on non-controlled/non-affiliate investments  18,413   (10,456)
Net realized gain (loss) on controlled affiliate investments  (3,237)  - 
Net realized gain (loss) on foreign currency transactions  (3,026)  (415)
Net realized gain (loss) on forward currency exchange contracts  (3,292)  1,505 
Net change in unrealized appreciation (depreciation) on foreign currency translation  386   (209)
Net change in unrealized appreciation (depreciation) on forward currency exchange contracts  4,577   13,121 
Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliate investments  (3,224)  (129,387)
Net change in unrealized appreciation (depreciation) on non-controlled/affiliate investments  (372)  - 
Net change in unrealized appreciation (depreciation) on controlled affiliate investments  (637)  (1,106)
Total net gains (losses)  9,588   (126,947)
         
Net increase (decrease) in net assets resulting from operations $31,753  $(104,447)
         
         
Basic and diluted net investment income per common share $0.34  $0.44 
Basic and diluted increase (decrease) in net assets resulting from operations per common share $0.49  $(2.02)
Basic and diluted weighted average common shares outstanding  64,562,265   51,649,812 

 

See Notes to Consolidated Financial Statements

5

 

Bain Capital Specialty Finance, Inc.
 
Consolidated Statements of Changes in Net Assets
(in thousands, except share and per share data)
(Unaudited)

 

  For the Three Months Ended March 31, 
  2021  2020 
Operations:      
Net investment income $22,165  $22,500 
Net realized gain (loss)  8,858   (9,366)
Net change in unrealized appreciation (depreciation)  730   (117,581)
Net increase (decrease) in net assets resulting from operations  31,753   (104,447)
Stockholder distributions:        
Distributions from distributable earnings  (21,951)  (21,176)
Net decrease in net assets resulting from stockholder distributions  (21,951)  (21,176)
         
Total increase (decrease) in net assets  9,802   (125,623)
Net assets at beginning of period  1,068,004   1,018,400 
Net assets at end of period $1,077,806  $892,777 
         
Net asset value per common share $16.69  $17.29 
Common stock outstanding at end of period  64,562,265   51,649,812 

 

See Notes to Consolidated Financial Statements

 

6

 

 

 

Bain Capital Specialty Finance, Inc.
 
Consolidated Statements of Cash Flows
(in thousands, except share and per share data)
(Unaudited)

 

  For the Three Months Ended March 31, 
  2021  2020 
Cash flows from operating activities        
Net increase (decrease) in net assets resulting from operations $31,753  $(104,447)
Adjustments to reconcile net increase in net assets from        
operations to net cash used in operating activities:        
Purchases of investments  (262,104)  (275,880)
Proceeds from principal payments and sales of investments  415,738   190,565 
Net realized (gain) loss from investments  (15,176)  10,456 
Net realized loss on foreign currency transactions  3,026   415 
Net change in unrealized (appreciation) on forward currency exchange contracts  (4,577)  (13,121)
Net change in unrealized depreciation on investments  4,233   130,493 
Net change in unrealized (appreciation) depreciation on foreign currency translation  (386)  209 
Increase in investments due to PIK  (2,365)  (241)
Accretion of discounts and amortization of premiums  (1,698)  (1,296)
Amortization of deferred financing costs and debt issuance costs  2,600   641 
Changes in operating assets and liabilities:        
Collateral on forward currency exchange contracts  1,582   (392)
Interest receivable on investments  608   7,326 
Dividend receivable  (2,268)  (1,444)
Interest payable  (118)  (4,112)
Collateral payable on forward currency exchange contracts  -   142 
Base management fee payable  295   8,726 
Incentive fee payable  2,929   - 
Accounts payable and accrued expenses  734   567 
Net cash provided by (used in) operating activities  174,806   (51,393)
         
Cash flows from financing activities        
Borrowings on debt  375,500   333,272 
Repayments on debt  (486,774)  (252,936)
Payments of financing costs  -   (1,250)
Payments of debt issuance costs  (5,657)  - 
Stockholder distributions paid  (21,951)  (21,176)
Net cash (used in) provided by financing activities  (138,882)  57,910 
         
Net increase (decrease) in cash, foreign cash, restricted cash and cash equivalents  35,924   6,517 
Effect of foreign currency exchange rates  (3,235)  (897)
Cash, foreign cash, restricted cash and cash equivalents, beginning of period  81,702   68,846 
Cash, foreign cash, restricted cash and cash equivalents, end of period $114,391  $74,466 
         
Supplemental disclosure of cash flow information:        
Cash interest paid during the period $10,886  $21,347 
Debt investments sold by the Company to ISLP $317,077  $- 
Company investment into ISLP in exchange for investments sold $128,970  $- 

 

   As of March 31, 
   2021   2020 
Cash $36,248  $55,128 
Restricted cash  76,730   18,706 
Foreign cash  1,413   632 
Total cash, foreign cash, restricted cash, and cash equivalents shown in the consolidated statements of cash flows $114,391  $74,466 

 

See Notes to Consolidated Financial Statements

 

7

 

Bain Capital Specialty Finance, Inc.
Consolidated Schedule of Investments
As of March 31, 2021
(In thousands)
(unaudited)

 

Control Type Industry Portfolio Company Investment Type Spread Above Index (1)  Interest Rate  Maturity Date  Principal/Shares (9)  Cost  Market Value  % of NAV (4) 
Non-Controlled/Non-Affiliate Investments                    
  Aerospace & Defense Forming & Machining Industries Inc. (18) (19)  Second Lien Senior Secured Loan   L+ 8.25%   8.45%  10/9/2026  $6,540   6,490   5,428     
    Forming & Machining Industries Inc. (12) (18) (29)  First Lien Senior Secured Loan   L+ 4.25%   4.45%  10/9/2025  $16,566   16,465   14,341     
    GSP Holdings, LLC (7) (12) (15) (19) (26) (29)  First Lien Senior Secured Loan   L+ 5.75% (0.25% PIK)   7.00%  11/6/2025  $35,826   35,626   32,602     
    GSP Holdings, LLC (3) (7) (15) (19) (26)  First Lien Senior Secured Loan - Revolver   L+ 5.50% (0.25% PIK)   6.75%  11/6/2025  $1,134   1,100   726     
    Kellstrom Aerospace Group, Inc (14) (19) (25)  Equity Interest  -   -   -   1   1,963   779     
    Kellstrom Commercial Aerospace, Inc. (3) (18) (19) (24)  First Lien Senior Secured Loan - Revolver   L+ 5.50%   7.56%  7/1/2025  $5,331   5,247   4,862     
    Kellstrom Commercial Aerospace, Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  7/1/2025  $33,523   33,016   30,841     
    Novetta, LLC  (12) (15) (29)  First Lien Senior Secured Loan   L+ 5.00%   6.00%  10/17/2022  $6,496   6,448   6,484     
    Precision Ultimate Holdings, LLC (14) (19) (25)  Equity Interest  -   -   -   1,417   1,417   1,248     
    Salient CRGT, Inc. (12) (15) (29)  First Lien Senior Secured Loan   L+ 6.50%   7.50%  2/28/2022  $12,087   12,098   11,932     
    WCI-HSG HOLDCO, LLC (14) (19) (25)  Preferred Equity  -   -  -   675   675   1,561     
    WCI-HSG Purchaser, Inc. (3) (12) (15) (19) (29)  First Lien Senior Secured Loan - Revolver   L+ 4.75%   5.75%  2/24/2025  $1,075   1,049   1,075     
    WCI-HSG Purchaser, Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 4.75%   5.75%  2/24/2025  $17,556   17,387   17,556     
    Whitcraft LLC (2) (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   4/3/2023  $-   (12)  (91)    
    Whitcraft LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  4/3/2023  $40,080   39,811   38,076     
    WP CPP Holdings, LLC. (12) (15) (29)  Second Lien Senior Secured Loan   L+ 7.75%   8.75%  4/30/2026  $11,724   11,639   10,434     
                    Aerospace & Defense Total  $190,419  $177,854   16.5%

 

8

 

 

  Automotive CST Buyer Company (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   10/3/2025  $-   (19)  -     
    CST Buyer Company (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  10/3/2025  $19,238   19,050   19,238     
    JHCC Holdings, LLC (3) (5) (15) (19) (28)  First Lien Senior Secured Loan - Delayed Draw  -   -   9/9/2025  $-   (38)  -     
    JHCC Holdings, LLC (3) (7) (19) (31) (34)  First Lien Senior Secured Loan - Revolver   P+ 4.50%   7.37%  9/9/2025  $952   917   952     
    JHCC Holdings, LLC (7) (15) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.50%   7.86%  9/9/2025  $3,638   3,632   3,638     
    JHCC Holdings, LLC (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  9/9/2025  $29,304   28,974   29,304     
                    Automotive Total  $52,516  $53,132   4.9%
                                   
  Banking Green Street Parent, LLC (3) (18) (19) (29)  First Lien Senior Secured Loan - Revolver   L+ 5.25%   5.45%  8/27/2025  $1,161   1,126   1,161     
    Green Street Parent, LLC (12) (18) (19) (29)  First Lien Senior Secured Loan   L+ 5.25%   5.25%  8/27/2026  $14,298   14,070   14,298     
                    Banking Total  $15,196  $15,459   1.4%
                                   
  Beverage, Food & Tobacco NPC International, Inc.  (27) (31)  First Lien Senior Secured Loan   P+ 2.25%   5.50%  4/19/2024  $700   703   627     
                    Beverage, Food & Tobacco Total  $703  $627   0.1%
                                   
  Capital Equipment Dorner Manufacturing Corp. (3) (5) (15) (19) (29)  First Lien Senior Secured Loan - Revolver  -   -   3/15/2022  $-   (5)  -     
    Dorner Manufacturing Corp. (12) (19) (31)  First Lien Senior Secured Loan   P+ 4.75%   8.00%  3/15/2023  $6,593   6,517   6,593     
    East BCC Coinvest II, LLC (14) (19) (25)  Equity Interest  -   -   -   1,419   1,419   832     
    Electronics For Imaging, Inc. (12) (18) (19) (29)  Second Lien Senior Secured Loan   L+ 9.00%   9.11%  7/23/2027  $12,070   11,403   9,837     
    Engineered Controls International, LLC (12) (19) (29) (32)  First Lien Senior Secured Loan   L+ 7.00%   8.50%  11/5/2024  $32,549   32,009   32,549     
    EXC Holdings III Corp. (12) (15) (29)  Second Lien Senior Secured Loan   L+ 7.50%   8.50%  12/1/2025  $8,240   8,252   8,260     
    FCG Acquisitions, Inc. (14) (19) (25)  Preferred Equity  -   -   -   4   4,251   11,269     
    FFI Holdings I Corp (3) (15) (19) (30)  First Lien Senior Secured Loan - Revolver   L+ 5.75%   6.75%  1/24/2025  $2,933   2,880   2,933     
    FFI Holdings I Corp (7) (12) (19) (29) (31)  First Lien Senior Secured Loan   P+ 4.75%   8.00%  1/24/2025  $68,232   67,806   68,914     

 

9

 

 

    FFI Holdings I Corp (7) (15) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 6.25%   7.25%  1/24/2025  $473   473   478     
    FFI Holdings I Corp (3) (5) (15) (19) (28)  First Lien Senior Secured Loan - Delayed Draw  -   -   1/24/2025  $-   (50)  27     
    FFI Holdings I Corp (7) (19) (31)  First Lien Senior Secured Loan   P+ 5.25%   8.50%  1/24/2025  $789   781   797     
    Jonathan Acquisition Company (19) (15)  Second Lien Senior Secured Loan   L+ 9.00%   10.00%  12/22/2027  $8,000   7,810   7,880     
    Tidel Engineering, L.P. (3) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   3/1/2023  $-   -   -     
    Tidel Engineering, L.P. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.25%   7.25%  3/1/2024  $36,153   36,153   36,153     
                     Capital Equipment Total  $179,699  $186,522   17.3%
                                   
  Chemicals, Plastics & Rubber AP Plastics Group, LLC (3) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 4.00%   5.00%  8/2/2021  $2,833   2,833   2,833     
    AP Plastics Group, LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.25%   6.25%  8/1/2022  $19,856   19,703   19,856     
    Plaskolite, Inc. (15) (29)  First Lien Senior Secured Loan   L+ 4.25%   5.25%  12/15/2025  $2,247   2,214   2,254     
    V Global Holdings LLC (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  12/22/2027  $48,813   47,630   48,325     
    V Global Holdings LLC (2) (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   12/22/2025  $-   (187)  (79)    
                     Chemicals, Plastics & Rubber Total  $72,193  $73,189   6.8%
                                   
  Construction & Building Chase Industries, Inc.(15) (19) (26)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.50% (1.5% PIK)   8.00%  5/12/2025  $1,170   1,167   951     
    Chase Industries, Inc. (15) (19) (26)  First Lien Senior Secured Loan   L+ 5.50% (1.5% PIK)   7.98%  5/12/2025  $12,377   12,339   10,057     
    Elk Parent Holdings, LP (14) (19) (25)  Equity Interest  -   -   -   1   12   265     
    Elk Parent Holdings, LP (14) (19) (25)  Preferred Equity  -   -   -   120   1,202   1,345     
    PP Ultimate Holdings B, LLC (14) (19) (25)  Equity Interest  -   -   -   1   1,352   1,743     
    Profile Products LLC (3) (7) (19) (31)  First Lien Senior Secured Loan - Revolver   P+ 5.00%   8.25%  12/20/2024  $3,028   2,980   3,028     

 

10

 

 

    Profile Products LLC (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  12/20/2024  $36,076   35,575   36,076     
    Regan Development Holdings Limited (6) (17) (19)  First Lien Senior Secured Loan   EURIBOR+ 6.50%   7.00%  4/18/2022  2,087   2,274   2,391     
    Regan Development Holdings Limited (6) (17) (19)  First Lien Senior Secured Loan   EURIBOR+ 6.50%   7.00%  4/18/2022  677   768   775     
    Regan Development Holdings Limited (6) (17) (19)  First Lien Senior Secured Loan   EURIBOR+ 6.50%   7.00% ��4/18/2022  6,335   6,870   7,221     
    YLG Holdings, Inc. (7) (15) (19) (35)  First Lien Senior Secured Loan - Delayed Draw   L+ 6.25%   7.25%  10/31/2025  $5,098   5,092   5,098     
    YLG Holdings, Inc. (3) (5) (7) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   10/31/2025  $-   (65)  -     
    YLG Holdings, Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.25%   7.25%  10/31/2025  $38,377   38,119   38,377     
                     Construction & Building Total  $107,685  $107,327   10.0%
                                   
  Consumer Goods: Durable New Milani Group LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  6/6/2024  $16,883   16,788   15,363     
    TLC Holdco LP (14) (19) (25)  Equity Interest  -   -   -   1,188   1,186   1,041     
    TLC Purchaser, Inc. (2) (3) (5) (19)  First Lien Senior Secured Loan - Delayed Draw  -   -   10/13/2025  $-   (54)  (214)    
    TLC Purchaser, Inc. (2) (3) (5) (19)  First Lien Senior Secured Loan - Revolver  -   -   10/13/2025  $-   (134)  (267)    
    TLC Purchaser, Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.75%   6.75%  10/13/2025  $42,187   41,525   40,922     
                      Consumer Goods: Durable Total  $59,311  $56,845   5.3%
                                   
  Consumer Goods: Non-Durable Fineline Parent Holdings (14) (19) (25)  Equity Interest  -   -   -   939   939   939     
    FL Hawk Intermediate Holdings, Inc. (6) (15) (19)  Second Lien Senior Secured Loan   L+ 9.00%   10.00%  8/22/2028  $21,125   20,503   20,491     
    MND Holdings III Corp (12) (15) (29)  First Lien Senior Secured Loan   L+ 3.50%   4.50%  6/19/2024  $10,586   10,600   10,278     
    New Era Cap Co., Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.50%   7.50%  9/10/2023  $10,047   10,047   10,047     
    RoC Opco LLC  (3) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 7.25%   8.75%  2/25/2025  $3,414   3,278   3,414     
    RoC Opco LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 7.75%   8.75%  2/25/2025  $40,385   39,681   40,385     

 

11

 

 

    Solaray, LLC (7) (15) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 6.25%   7.25%  9/11/2023  $14,388   14,388   14,100     
    Solaray, LLC (3) (7) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 4.50%   5.50%  9/9/2022  $7,424   7,399   7,424     
    Solaray, LLC (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.25%   7.25%  9/11/2023  $42,060   42,060   41,218     
    WU Holdco, Inc. (7) (15) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.25%   6.25%  3/26/2026  $5,574   5,525   5,574     
    WU Holdco, Inc. (3) (18) (19)  First Lien Senior Secured Loan - Revolver   L+ 5.25%   5.48%  3/26/2025  $1,578   1,535   1,578     
    WU Holdco, Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.25%   6.25%  3/26/2026  $39,219   38,579   39,219     
                     Consumer Goods: Non-Durable Total  $194,534  $194,667   18.1%
                                   
  Containers, Packaging, & Glass Automate Intermediate Holdings II S.à r.l. (6) (18) (19)  Second Lien Senior Secured Loan   L+ 7.75%   7.86%  7/22/2027  $119   117   118     
                     Containers, Packaging, & Glass Total  $117  $118   0.0%
                                   
  Energy: Oil & Gas Amspec Services, Inc. (3) (5) (7) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   7/2/2024  $-   (39)  -     
    Amspec Services, Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.75%   6.75%  7/2/2024  $43,542   43,177   43,542     
    Amspec Services, Inc. (7) (15) (19)  First Lien Senior Secured Loan   L+ 5.75%   6.75%  7/2/2024  $2,819   2,782   2,819     
                     Energy: Oil & Gas Total  $45,920  $46,361   4.3%
                                   
  FIRE: Finance Allworth Financial Group, L.P. (3) (5) (15) (19)  First Lien Senior Secured Loan - Delayed Draw  -   -   12/23/2026  $-   (58)  -     
    Allworth Financial Group, L.P. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  12/23/2026  $10,113   9,969   10,113     
    Allworth Financial Group, L.P. (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   12/23/2026  $-   (17)  -     
    TA/Weg Holdings (3) (18) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.75%   6.75%  10/2/2025  $3,385   3,318   3,385     
                     FIRE: Finance Total  $13,212  $13,498   1.3%

 

12

 

 

  FIRE: Insurance Margaux Acquisition Inc. (7) (15) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.75%   6.75%  12/19/2024  $9,268   9,238   9,268     
    Margaux Acquisition, Inc. (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   12/19/2024  $-   (48)  -     
    Margaux Acquisition Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.75%   6.75%  12/19/2024  $28,552   28,148   28,552     
    Margaux UK Finance Limited (3) (5) (6) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   12/19/2024  £-   (8)  -     
    Margaux UK Finance Limited (6) (15) (19)  First Lien Senior Secured Loan   GBP LIBOR+ 5.75%   6.75%  12/19/2024  £7,609   9,788   10,501     
                     FIRE: Insurance Total  $47,118  $48,321   4.5%
                                   
  FIRE: Real Estate Spectre (Carrisbrook House) Limited (6) (15) (19)  First Lien Senior Secured Loan   EURIBOR+ 9.50%   10.50%  8/9/2021  9,300   10,909   9,725     
                     FIRE: Real Estate Total  $10,909  $9,725   0.9%
                                   
  Healthcare & Pharmaceuticals CB Titan Holdings, Inc. (14) (19) (25)  Preferred Equity  -   -   -   1,953   1,953   2,023     
    CPS Group Holdings, Inc. (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   3/3/2025  $-   (61)  -     
    CPS Group Holdings, Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  3/3/2025  $55,208   54,810   55,208     
    Datix Bidco Limited (3) (6) (18) (19)  First Lien Senior Secured Loan - Revolver  -   -   10/28/2024  £-   -   -     
    Datix Bidco Limited (6) (18) (19)  Second Lien Senior Secured Loan   GBP LIBOR+ 7.75%   7.81%  4/27/2026  £121   164   168     
    Datix Bidco Limited (6) (18) (19)  First Lien Senior Secured Loan   BBSW+ 4.50%   4.62%  4/28/2025  AUD42   32   32     
    Great Expressions Dental Centers PC (3) (13) (15) (19) (26)  First Lien Senior Secured Loan - Revolver   L+ 4.75% (0.5% PIK)   6.29%  9/28/2022  $583   579   419     
    Great Expressions Dental Centers PC (15) (19) (26)  First Lien Senior Secured Loan   L+ 4.75% (0.5% PIK)   6.25%  9/28/2023  $7,812   7,805   6,718     
    Island Medical Management Holdings, LLC  (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.50%   7.50%  9/1/2023  $8,600   8,553   7,912     
    Mendel Bidco, Inc. (18) (19)  First Lien Senior Secured Loan   EURIBOR+ 4.50%   4.50%  6/17/2027  100   112   118     
    Mendel Bidco, Inc. (18) (19)  First Lien Senior Secured Loan   L+ 4.50%   4.70%  6/17/2027  $19,966   19,558   19,966     
    Mertus 522. GmbH (6) (18) (19)  First Lien Senior Secured Loan - Delayed Draw   EURIBOR+ 6.25%   6.25%  5/28/2026  131   141   153     
    Mertus 522. GmbH (6) (18) (19)  First Lien Senior Secured Loan   EURIBOR+ 6.00%   6.00%  5/28/2026  225   246   261     
    TecoStar Holdings, Inc. (12) (15) (19) (29)  Second Lien Senior Secured Loan   L+ 8.50%   9.50%  11/1/2024  $9,472   9,327   9,306     
    U.S. Anesthesia Partners, Inc. (12) (15) (19)  Second Lien Senior Secured Loan   L+ 7.25%   8.25%  6/23/2025  $16,520   16,374   16,520     
                    Healthcare & Pharmaceuticals Total  $119,593  $118,804   11.0%

 

13

 

 

  High Tech Industries AMI US Holdings Inc. (3) (12) (18) (19)  First Lien Senior Secured Loan - Revolver   L+ 5.50%   5.61%  4/1/2024  $1,256   1,234   1,256     
    AMI US Holdings Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  4/1/2025  $12,991   12,805   12,991     
    Appriss Holdings, Inc. (3) (5) (7) (18) (19)  First Lien Senior Secured Loan - Revolver  -   -   5/30/2025  $-   (42)  -     
    Appriss Holdings, Inc. (7) (12) (18) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   5.70%  5/29/2026  $48,263   47,790   48,263     
    Appriss Holdings, Inc. (7) (18) (19)  First Lien Senior Secured Loan   L+ 6.00%   6.20%  5/29/2026  $4,975   4,838   4,975     
    Armstrong Bidco Limited (3) (6) (19) (21)  First Lien Senior Secured Loan   GBP LIBOR+ 5.25%   5.50%  4/30/2025  £1,523   1,881   2,102     
    CB Nike IntermediateCo Ltd (3) (5) (6) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   10/31/2025  $-   (1)  -     
    CB Nike IntermediateCo Ltd (6) (15) (19)  First Lien Senior Secured Loan   L+ 4.75%   5.75%  10/31/2025  $351   345   351     
    Drilling Info Holdings, Inc (12) (18) (19) (29)  First Lien Senior Secured Loan   L+ 4.25%   4.36%  7/30/2025  $22,323   22,265   21,988     
    Element Buyer, Inc. (7) (15) (19)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.50%   6.50%  7/18/2025  $11,163   11,186   11,163     
    Element Buyer, Inc. (3) (7) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 5.50%   6.50%  7/19/2024  $283   247   283     
    Element Buyer, Inc. (7) (15) (19)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  7/18/2025  $37,294   37,549   37,294     
    Everest Bidco (6) (15) (19)  Second Lien Senior Secured Loan   GBP LIBOR+ 7.50%   8.50%  7/3/2026  £102   132   141     
    MRI Software LLC (7) (15) (19) (28)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  2/10/2026  $25,390   25,303   25,390     
    MRI Software LLC (3) (5) (15) (19) (28)  First Lien Senior Secured Loan - Delayed Draw  -   -   2/10/2026  $-   (7)  -     
    MRI Software LLC (3) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 5.50%   6.50%  2/10/2026  $89   134   89     

 

14

 

 

    Utimaco, Inc. (6) (18) (19)  First Lien Senior Secured Loan   L+ 4.25%   4.91%  8/9/2027  $148   145   148     
    Ventiv Topco, Inc. (3) (5) (7) (14) (18) (19)  First Lien Senior Secured Loan - Revolver  -   -   9/3/2025  $-   (42)  -     
    Ventiv Topco, Inc. (14) (19) (25)  Equity Interest  -   -   -   28   2,833   2,938     
    Ventiv Holdco, Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  9/3/2025  $23,995   23,714   23,995     
    VPARK BIDCO AB (6) (16) (19)  First Lien Senior Secured Loan   CIBOR+ 4.00%   4.75%  3/10/2025  DKK 570   92   90     
    VPARK BIDCO AB (6) (16) (19)  First Lien Senior Secured Loan   NIBOR+ 4.00%   4.75%  3/10/2025  NOK740   92   87     
                    High Tech Industries Total  $192,493  $193,544   18.0%
                                   
  Hotel, Gaming & Leisure Aimbridge Acquisition Co., Inc. (12) (18) (19) (29)  Second Lien Senior Secured Loan   L+ 7.50%   7.62%  2/1/2027  $20,193   19,728   18,527     
    Captain D's LLC (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -  12/15/2023  $-   (8)  -     
    Captain D's LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 4.50%   5.50%  12/15/2023  $12,559   12,504   12,559     
    Captain D's LLC (6) (15) (19)  First Lien Senior Secured Loan   L+ 4.50%   5.50%  12/15/2023  $2,338   2,304   2,338     
    Quidditch Acquisition, Inc. (12) (15) (29)  First Lien Senior Secured Loan   L+ 7.00%   8.00%  3/21/2025  $18,781   18,776   18,406     
                    Hotel, Gaming & Leisure Total  $53,304  $51,830   4.8%
                                   
  Media: Advertising, Printing & Publishing Ansira Holdings, Inc. (15) (19) (26) (33)  First Lien Senior Secured Loan - Delayed Draw   L+ 6.50%   7.50%  12/20/2024  $4,700   4,698   3,666     
    Ansira Holdings, Inc. (3) (19) (23) (31)  First Lien Senior Secured Loan - Revolver   P+ 4.75%   7.34%  12/20/2024  $4,250   4,250   4,250     
    Ansira Holdings, Inc. (15) (19) (26)  First Lien Senior Secured Loan   L+ 6.50% PIK   7.50%  12/20/2024  $37,890   37,840   29,554     
                    Media: Advertising, Printing & Publishing Total  $46,788  $37,470   3.5%

 

15

 

 

  Media: Broadcasting & Subscription Vital Holdco Limited (6) (15) (19)  First Lien Senior Secured Loan   L+ 5.25%   6.25%  5/29/2026  $354   347   354     
    Vital Holdco Limited (6) (18) (19)  First Lien Senior Secured Loan   EURIBOR+ 5.25%   5.25%  5/29/2026  79   86   93     
                    Media: Broadcasting & Subscription Total  $433  $447   0.0%
                                   
  Media: Diversified & Production 9 Story Media Group Inc. (3) (6) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   4/30/2026   CAD-   -   -     
    9 Story Media Group Inc. (6) (15) (19)  First Lien Senior Secured Loan   CDOR+ 5.50%   6.25%  4/30/2026   CAD73   54   58     
    9 Story Media Group Inc. (6) (18) (19)  First Lien Senior Secured Loan   EURIBOR+ 5.25%   5.25%  4/30/2026  39   46   46     
    Aptus 1724 Gmbh (6) (19) (21)  First Lien Senior Secured Loan   EURIBOR+ 6.00%   6.25%  2/23/2028  39,162   47,566   46,015     
    Aptus 1724 Gmbh (6) (19) (21)  First Lien Senior Secured Loan   L+ 6.25%   6.50%  2/23/2028  $14,971   14,971   14,971     
    Aptus 1724 Gmbh (3) (6) (18) (19)  First Lien Senior Secured Loan- Revolver  -   -   8/23/2027  -   -   -     
    Efficient Collaborative Retail Marketing Company, LLC (3) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 5.25%   6.25%  6/15/2022  $2,267   2,267   2,267     
    Efficient Collaborative Retail Marketing Company, LLC (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.75%   7.75%  6/15/2022  $15,095   15,143   14,491     
    Efficient Collaborative Retail Marketing Company, LLC (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.75%   7.75%  6/15/2022  $9,788   9,821   9,396     
    International Entertainment Investments Limited (6) (18) (19)  First Lien Senior Secured Loan   GBP LIBOR+ 4.75%   4.82%  5/31/2023  £87   106   120     
                    Media: Diversified & Production Total  $89,974  $87,364   8.1%
                                   
  Retail Batteries Plus Holding Corporation (3) (19) (31)  First Lien Senior Secured Loan - Revolver   P+ 5.75%   9.00%  7/6/2022  $471   471   471     
    Batteries Plus Holding Corporation (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.75%   7.75%  7/6/2022  $28,672   28,672   28,672     
    Thrasio, LLC (3) (5) (15) (19)  First Lien Senior Secured Loan - Delayed Draw  -   -   12/18/2026  $-   (302)  -     
    Thrasio, LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 7.00%   8.00%  12/18/2026  $10,938   10,676   10,938     
                    Retail Total  $39,517  $40,081   3.7%

 

16

 

 

  Services: Business AMCP Clean Acquisition Company, LLC (12) (18) (29)  First Lien Senior Secured Loan - Delayed Draw   L+ 4.25%   4.36%  7/10/2025  $3,845   3,839   3,038     
    AMCP Clean Acquisition Company, LLC (12) (18) (29)  First Lien Senior Secured Loan   L+ 4.25%   4.36%  7/10/2025  $15,889   15,866   12,553     
    Elevator Holdco Inc. (14) (19) (25)  Equity Interest  -   -   -   2   2,448   1,422     
    Hightower Holding, LLC (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.00%   6.00%  1/31/2025  $40,748   40,624   40,748     
    Refine Intermediate, Inc. (3) (5) (18) (19)  First Lien Senior Secured Loan - Revolver  -   -   9/3/2026  $-   (112)  -     
    Refine Intermediate, Inc. (15) (19)  First Lien Senior Secured Loan   L+ 4.75%   5.75%  3/3/2027  $21,894   21,418   21,894     
    SumUp Holdings Luxembourg S.à.r.l. (6) (19) (32)  First Lien Senior Secured Loan   EURIBOR+ 8.50%   10.00%  2/17/2026  27,650   32,974   32,164     
    SumUp Holdings Luxembourg S.à.r.l. (2) (3) (5) (6) (19) (32)  First Lien Senior Secured Loan  -   -  2/17/2026  $-   (120)  (118)    
    TEI Holdings Inc. (3) (7) (15) (19)  First Lien Senior Secured Loan - Revolver   L+ 7.25%   8.25%  12/23/2025  $2,566   2,520   2,294     
    TEI Holdings Inc. (7) (12) (15) (19) (26) (29)  First Lien Senior Secured Loan   L+ 6.00% (1.25% PIK)   8.25%  12/23/2026  $48,779   48,278   45,852     
                    Services: Business Total  $167,735  $159,847   14.8%
                                   
  Services: Consumer MZR Aggregator (14) (19) (25)  Equity Interest  -   -   -   1   798   798     
    MZR Buyer, LLC (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   12/21/2026  $-   (99)  -     
    MZR Buyer, LLC (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.75%   7.75%  12/21/2026  $40,533   39,778   40,533     
    Pearl Intermediate Parent LLC (18) (29)  Second Lien Senior Secured Loan   L+ 6.25%   6.36%  2/13/2026  $2,571   2,584   2,572     
    Sontiq, Inc. (fka EZShield, Inc.) (2) (3) (5) (6) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   3/1/2026  $-   (28)  (28)    
    Sontiq, Inc. (fka EZShield, Inc.) (6) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 7.00%   8.00%  3/1/2026  $24,001   23,526   23,521     
    Surrey Bidco Limited (6) (17) (19)  First Lien Senior Secured Loan   GBP LIBOR+ 6.00%   7.50%  5/11/2026  £50   62   66     
    Zeppelin BidCo Pty Limited (6) (18) (19)  First Lien Senior Secured Loan   BBSY+ 5.00%   5.07%  6/28/2024  AUD206   141   157     
                    Services: Consumer Total  $66,762  $67,619   6.3%

 

17

 

 

  Telecommunications ACM dcBLOX LLC (14) (19) (25)  Preferred Equity  -   -       3,822   3,851   3,822     
    Conterra Ultra Broadband Holdings, Inc. (18) (29)  First Lien Senior Secured Loan   L+ 4.50%   4.61%  4/30/2026  $6,370   6,346   6,400     
    DC Blox Inc. (15) (19) (26)  First Lien Senior Secured Loan   L+ 2.00% (6.00% PIK)   9.00%  3/22/2026  $14,607   14,316   14,352     
    DC Blox Inc. (2) (3) (15) (19)  First Lien Senior Secured Loan  -   -   3/22/2026  $-   -   (256)    
    DC Blox Inc. (14) (19) (25)  Warrants  -   -   -   177   2   2     
    Horizon Telcom, Inc.  (15) (19) (29)  First Lien Senior Secured Loan - Revolver   L+ 5.00%   6.00%  6/15/2023  $116   114   115     
    Horizon Telcom, Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan - Delayed Draw   L+ 5.00%   6.00%  6/15/2023  $914   909   905     
    Horizon Telcom, Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.00%   6.00%  6/15/2023  $13,452   13,358   13,317     
    Masergy Holdings, Inc. (15) (29)  Second Lien Senior Secured Loan   L+ 7.50%   8.50%  12/16/2024  $857   862   855     
                    Telecommunications Total  $39,758  $39,512   3.7%
                                   
  Transportation: Cargo A&R Logistics, Inc. (3) (19) (31)  First Lien Senior Secured Loan - Revolver   P+ 5.00%   8.25%  5/5/2025  $610   526   610     
    A&R Logistics, Inc. (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  5/5/2025  $43,423   42,762   43,423     
    A&R Logistics, Inc. (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  5/5/2025  $2,442   2,403   2,442     
    A&R Logistics, Inc. (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  5/5/2025  $6,019   5,950   6,019     
    A&R Logistics, Inc. (7) (15) (19)  First Lien Senior Secured Loan   L+ 6.50%   7.50%  5/5/2025  $2,736   2,712   2,736     
    ARL Holdings, LLC (14) (19) (25)  Equity Interest  -   -   -   -   445   490     
    ARL Holdings, LLC (14) (19) (25)  Equity Interest  -   -   -   9   9   -     
    ENC Holding Corporation (12) (18) (19) (29)  First Lien Senior Secured Loan   L+ 4.00%   4.20%  5/30/2025  $10,149   10,140   10,149     
    Grammer Investment Holdings LLC (14) (19) (25)  Equity Interest  -   -   -   1,011   1,011   736     

 

18

 

 

    Grammer Investment Holdings LLC (19) (25) (26)  Preferred Equity   10% PIK   10.00%  -   8   752   817     
    Grammer Investment Holdings LLC (14)  (19) (25)  Warrants  -   -   -   122   -   -     
    Grammer Purchaser, Inc. (3) (12) (15) (19) (29)  First Lien Senior Secured Loan - Revolver  -   -   9/30/2024  $-   -   -     
    Grammer Purchaser, Inc. (12) (15) (19) (29)  First Lien Senior Secured Loan - Revolver   L+ 4.75%   5.75%  9/30/2024  $8,170   8,039   8,170     
    Omni Logistics, LLC (15) (19)  Second Lien Senior Secured Loan   L+ 9.00%   10.00%  12/30/2027  $13,770   13,454   13,770     
    PS HoldCo, LLC (12) (15) (29)  First Lien Senior Secured Loan   L+ 4.75%   5.75%  3/13/2025  $22,238   22,232   22,387     
    REP Coinvest III- A Omni, L.P. (6) (14) (19) (25)  Equity Interest  -   -   -   1,377   1,377   1,377     
                    Transportation: Cargo Total  $111,812  $113,126   10.5%
                                   
  Transportation: Consumer Toro Private Investments II, L.P. (6) (14) (19) (25)  Equity Interest  -   -   -   3,090   3,090   2,296     
    Toro Private Investments II, L.P. (6) (12) (18) (29)  First Lien Senior Secured Loan   L+ 5.00%   5.20%  5/29/2026  $6,698   4,556   5,469     
                    Transportation: Consumer Total  $7,646  $7,765   0.7%
                                   
  Wholesale Abracon Group Holding, LLC (14) (19) (25)  Equity Interest  -   -   -   2   1,833   1,685     
    Abracon Group Holding, LLC (3) (5) (15) (19)  First Lien Senior Secured Loan - Revolver  -   -   7/18/2024  $-   (24)  -     
    Abracon Group Holding, LLC (7) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 5.50%   6.50%  7/18/2024  $35,637   35,518   35,637     
    Aramsco, Inc. (3) (5) (7) (18) (19)  First Lien Senior Secured Loan - Revolver  -   -   8/28/2024  $-   (34)  -     
    Aramsco, Inc. (7) (12) (18) (19) (29)  First Lien Senior Secured Loan   L+ 5.25%   5.36%  8/28/2024  $23,981   23,682   23,981     
    Armor Group, LP (14) (19) (25)  Equity Interest  -   -   -   10   1,012   1,897     
    PetroChoice Holdings, Inc. (12) (15) (29)  First Lien Senior Secured Loan   L+ 5.00%   6.00%  8/19/2022  $9,818   9,776   9,454     
    PetroChoice Holdings, Inc. (12) (15) (29)  First Lien Senior Secured Loan   L+ 5.00%   6.00%  8/19/2022  $6,496   6,426   6,256     
                    Wholesale Total  $78,189  $78,910   7.3%
                    Non-Controlled/Non-Affiliate Investments Total  $2,003,536  $1,979,964   183.6%

 

19

 

 

Non-Controlled/Affiliate Investments                                  
  Beverage, Food & Tobacco ADT Pizza, LLC (6) (10) (14) (19) (25)  Equity Interest  -   -   -   6,720   6,720   16,364     
                     Beverage, Food & Tobacco Total  $6,720  $16,364   1.5%
                                   
  Energy: Oil & Gas Blackbrush Oil & Gas, L.P. (10) (14) (19) (25)  Equity Interest  -   -   -   1,123   -   -     
    Blackbrush Oil & Gas, L.P. (10) (14) (19) (25)  Preferred Equity  -   -   -   36,084   10,104   11,381     
    Blackbrush Oil & Gas, L.P. (10) (12) (15) (19) (26) (29)  First Lien Senior Secured Loan   L+ 5.00% (2% PIK)   8.00%  9/3/2025  $12,149   12,149   12,149     
                    Energy: Oil & Gas Total  $22,253  $23,530   2.2%
                                   
  Transportation: Consumer Direct Travel, Inc. (10) (18) (19) (26)  First Lien Senior Secured Loan   L+ 1.00% (6.30% PIK)   7.50%  10/2/2023  $4,542   4,542   4,542     
    Direct Travel, Inc. (10) (14) (19) (25)  Equity Interest  -   -   -   68   -   -     
    Direct Travel, Inc. (7) (10) (15) (19) (26)  First Lien Senior Secured Loan - Delayed Draw   L+ 1.00% (8.30% PIK)   9.50%  10/2/2023  $3,163   3,163   2,546     
    Direct Travel, Inc. (7) (10) (15) (19) (26) (28)  First Lien Senior Secured Loan - Delayed Draw   L+ 1.00% (8.30% PIK)   9.50%  10/2/2023  $1,605   1,605   1,292     
    Direct Travel, Inc. (7) (10) (15) (19) (26)  First Lien Senior Secured Loan   L+ 9.27%   9.45%  10/2/2023  $54,039   54,039   43,502     
    Direct Travel, Inc. (3) (10) (15) (19) (28)  First Lien Senior Secured Loan - Delayed Draw   L+ 6.00%   7.00%  10/2/2023  $3,450   3,450   3,450     
    Direct Travel, Inc. (10) (18) (19) (28)  First Lien Senior Secured Loan   L+ 6.00%   7.00%  10/2/2023  $202   202   202     
                    Transportation: Consumer Total  $67,001  $55,534   5.2%
                    Non-Controlled/Affiliate Investments Total  $95,974  $95,428   8.9%

 

20

 

 

Controlled Affiliate Investments                                  
  Aerospace & Defense ACC Holdco, LLC (10) (11) (19) (25)  Preferred Equity  -   16.00%  -   10,828   10,824   10,828     
    Air Comm Corporation LLC (10) (11) (12) (15) (19) (29)  First Lien Senior Secured Loan   L+ 6.50%   7.50%  6/30/2025  $26,955   26,333   26,955     
    BCC Jetstream Holdings Aviation (Off I), LLC (6) (10) (11) (19) (20) (25)  Equity Interest  -   -   -   11,863   11,863   11,047     
    BCC Jetstream Holdings Aviation (On II), LLC (10) (11) (19) (20) (25)  Equity Interest  -   -   -   1,116   1,116   216     
    BCC Jetstream Holdings Aviation (On II), LLC (10) (11) (19) (20)  First Lien Senior Secured Loan   L+ 10.00%   10.00%  6/2/2022  $6,712   6,712   6,712     
    Gale Aviation (Offshore) Co (6) (10) (11) (19) (25)  Equity Interest  -   -   -   84,675   84,675   67,360     
                    Aerospace & Defense Total  $141,523  $123,118   11.4%
                                   
  Investment Vehicles International Senior Loan Program, LLC (6) (10) (11) (14) (19) (25)  Equity Interest Investment Vehicles  -   -   -   31,610   31,610   31,610     
    International Senior Loan Program, LLC (6) (10) (11) (15) (19)  Subordinated Note Investment Vehicles   L+ 8.00%   9.00%  46,805   97,360   97,360   97,360     
                     Investment Vehicles Total  $128,970  $128,970   12.0%
                                   
  Transportation: Cargo Lightning Holdings B, LLC (6) (10) (11) (14) (19) (25)  Equity Interest  -   -   -   8,220   8,220   8,259     
                    Transportation: Cargo Total  $8,220  $8,259   0.8%
                    Controlled Affiliate Investments Total  $278,713  $260,347   24.2%
                    Investments Total  $2,378,223  $2,335,739   216.7%
                                   
Cash Equivalents                                  
  Cash Equivalents Goldman Sachs Financial Square Government Fund Institutional Share Class (30)  Cash Equivalents  -   0.04%  -  $101,339   101,339   101,339     
                    Cash Equivalents Total  $101,339  $101,339   9.4%
                    Investments and Cash Equivalents Total  $2,479,562  $2,437,078   226.1%

 

21

 

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation (Depreciation) (8) 
US DOLLARS 183 CANADIAN DOLLAR 256 Bank of New York Mellon 4/14/2021 $(20)
US DOLLARS 208 CANADIAN DOLLAR 256 Bank of New York Mellon 4/15/2021  (4)
US DOLLARS 46,345 EURO 38,170 Bank of New York Mellon 4/15/2021  1,489 
US DOLLARS 9,691 EURO 8,130 Bank of New York Mellon 6/24/2021  122 
US DOLLARS 2,051 POUND STERLING 1,980 Bank of New York Mellon 9/10/2021  (680)
US DOLLARS 5,616 CANADIAN DOLLAR 7,662 Citibank 4/15/2021  (371)
US DOLLARS 4,217 EURO 3,731 Citibank 4/15/2021  (277)
US DOLLARS 12,756 EURO 11,200 Citibank 5/21/2021  (416)
US DOLLARS 29,920 EURO 29,242 Goldman Sachs 5/21/2021  (4,470)
US DOLLARS 18,916 AUSTRALIAN DOLLARS 23,870 Goldman Sachs 6/9/2021  (738)
US DOLLARS 16,734 AUSTRALIAN DOLLARS 23,870 Goldman Sachs 6/7/2021  (1,448)
US DOLLARS 97,874 POUND STERLING 77,470 Goldman Sachs 6/7/2021  (9,881)
US DOLLARS 8,606 DANISH KRONE 56,290 Goldman Sachs 6/7/2021  (623)
US DOLLARS 2,794 CANADIAN DOLLAR 3,713 Goldman Sachs 9/10/2021  (151)
US DOLLARS 8,187 NORWEGIAN KRONE 74,020 Goldman Sachs 9/10/2021  (569)
        $(18,037)

 

(1)  The investments bear interest at a rate that may be determined by reference to the London Interbank Offered Rate (“LIBOR” or “L”), the Euro Interbank Offered Rate (“EURIBOR” or “E”), British Pound Sterling LIBOR Rate (“GBP LIBOR”), the Norwegian Interbank Offered Rate (“NIBOR” or “N”), the Copenhagen Interbank Offered Rate (“CIBOR” or “C”), Canadian Dollar LIBOR Rate (“CDOR LIBOR”), the Bank Bill Swap Rate ("BBSW"),  the Bank Bill Swap Bid Rate ("BBSY"), or the Prime Rate (“Prime” or "P") and which reset daily, monthly, quarterly or semiannually. Investments or a portion thereof may bear Payment-in-Kind ("PIK"). For each, the Company has provided the PIK or the spread over LIBOR, EURIBOR, GBP LIBOR, NIBOR, CIBOR, CDOR, BBSW, BBSY, or Prime and the current weighted average interest rate in effect at March 31, 2021. Certain investments are subject to a LIBOR, EURIBOR, GBP LIBOR, NIBOR, CIBOR, CDOR, BBSW, or Prime interest rate floor.
(2)  The negative fair value is the result of the capitalized discount on the loan or the unfunded commitment being valued below par.
(3)  Position or portion thereof is an unfunded loan commitment, and no interest is being earned on the unfunded portion. The investment may be subject to an unused/letter of credit facility fee.
(4)  Percentages are based on the Company’s net assets of $1,077,806 as of March 31, 2021.
(5)  The negative amortized cost is the result of the capitalized  discount being greater than the principal amount outstanding on the loan.
(6)  The investment is not a qualifying asset under Section 55(a) of the Investment Company Act of 1940. The Company may not acquire any non-qualifying asset unless, at the time of acquisition, qualifying assets represent at least 70% of the Company’s total assets. As of March 31, 2021, non-qualifying assets totaled 15.2% of the Company’s total assets.
(7)  Assets or a portion thereof are pledged as collateral for the BCSF Complete Financing Solution LLC. See Note 6  "Debt".
(8)  Unrealized appreciation/(depreciation) on forward currency exchange contracts.
(9)  The principal amount (par amount) for all debt securities is denominated in U.S. dollars, unless otherwise noted. £ represents Pound Sterling, € represents Euro, NOK represents Norwegian krone, AUD represents Australian, CAD represents Canadian Dollar and DKK represents Kroner.
(10)  As defined in the 1940 Act, the Company is deemed to be an “Affiliated Investment” of the Company as the Company owns 5% or more of the portfolio company’s securities.
(11)  As defined in the 1940 Act, the Company is deemed to “Control” this portfolio company as the Company either 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.
(12)  Assets or a portion thereof are pledged as collateral for the 2018-1 Issuer. See Note 6  "Debt".
(13)  $251 of the total par amount for this security is at P+ 3.75%.
(14)  Non-Income Producing.
(15)  Loan includes interest rate floor of 1.00%.
(16)  Loan includes interest rate floor of 0.75%.
(17)  Loan includes interest rate floor of 0.50%.
(18)  Loan includes interest rate floor of 0.00%.
(19)  Security valued using unobservable inputs (Level 3).
(20)  The Company holds non-controlling, affiliate interest in an aircraft-owning special purpose vehicle through this investment.
(21)  Loan includes interest rate floor of 0.25%.
(22)  The Company generally earns a higher interest rate on the “last out” tranche of debt, to the extent the debt 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 other amounts due thereunder.
(23)  $992 of the total par amount for this security is at L+ 5.75%.
(24)  $1,486 of the total par amount for this security is at P+ 4.50%.
(25)  Security exempt from registration under the Securities Act of 1933 (the “Securities Act”), 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 $198,390 or 18.41% of the Company’s net assets. The acquisition dates of the restricted securities are as follows:

 

22

 

 

Investment Acquisition Date
Abracon Group Holding, LLC 7/18/2018
ACC Holdco, LLC 6/28/2019
ADT Pizza, LLC 10/29/2018
ARL Holdings, LLC 5/3/2019
ARL Holdings, LLC 5/3/2019
Armor Group, LP 8/28/2018
BCC Jetstream Holdings Aviation (Off I), LLC 6/1/2017
BCC Jetstream Holdings Aviation (On II), LLC 6/1/2017
CB Titan Holdings, Inc. 5/1/2017
East BCC Coinvest II, LLC 7/23/2019
Elevator Holdco Inc. 12/23/2019
Elk Parent Holdings, LP 11/1/2019
Elk Parent Holdings, LP 11/1/2019
FCG Acquisitions, Inc. 1/24/2019
Gale Aviation (Offshore) Co 1/2/2019
Grammer Investment Holdings LLC 10/1/2018
Grammer Investment Holdings LLC 10/1/2018
Grammer Investment Holdings LLC 10/1/2018
Kellstrom Aerospace Group, Inc 7/1/2019
PP Ultimate Holdings B, LLC 12/20/2018
Precision Ultimate Holdings, LLC 11/6/2019
TLC Holdco LP 10/11/2019
Toro Private Investments II, L.P. 4/2/2019
Ventiv Topco, Inc. 9/3/2019
WCI-HSG HOLDCO, LLC 2/22/2019
Blackbrush Oil & Gas, L.P. 9/3/2020
Blackbrush Oil & Gas, L.P. 9/3/2020
Direct Travel, Inc. 10/2/2020
Lightning Holdings B, LLC 1/2/2020
MZR Aggregator 12/22/2020
Fineline Parent Holdings 2/22/2021
ACM dcBLOX LLC 3/22/2021
REP Coinvest III- A Omni, L.P. 2/5/2021
International Senior Loan Program, LLC 2/22/2021
DC Blox Inc. 3/23/2021

 

(26)  Denotes that all or a portion of the debt investment includes PIK interest during the period.
(27) Asset is in an escrow liquidating trust. 
(28) Assets or a portion thereof are pledged as collateral for the BCSF Complete Financing Solution Holdco LLC. See Note 6  "Debt".
(29) Assets or a portion thereof are pledged as collateral for the 2019-1 Issuer. See Note 6  "Debt".
(30) Cash equivalents include $76,730 of restricted cash.
(31) Loan includes interest rate floor of 2.00%. 
(32) Loan includes interest rate floor of 1.50%. 
(33) $2 of the total par amount for this security is at P+ 5.50%
(34) $286 of the total par amount for this security is at L+ 5.50%
(35) $13 of the total par amount for this security is at P+ 4.75%
 

See Notes to Consolidated Financial Statements

 

23

 

Bain Capital Specialty Finance, Inc.

 

Consolidated Schedule of Investments
As of December 31, 2020
(In thousands)

 

Control TypeIndustryPortfolio CompanyInvestment TypeSpread Above Index(1)Interest
Rate
Maturity
Date
 Principal/Shares(9)Cost Market
Value
% of
NAV(4)
Non-Controlled/Non-Affiliate Investments
Aerospace & DefenseForming & Machining Industries Inc.(18)(19)(21) Second Lien Senior Secured LoanL+ 8.25%8.50%10/9/2026$6,5406,4865,036
Forming & Machining Industries Inc.(12)(18)(29) First Lien Senior Secured LoanL+ 4.25%4.50%10/9/2025$16,60816,49813,301
GSP Holdings, LLC(7)(12)(15)(19)(21)(26)(29) First Lien Senior Secured LoanL+ 5.75% (0.25% PIK)7.00%11/6/2025$35,91735,68631,607
GSP Holdings, LLC(3)(7)(15)(19)(26) First Lien Senior Secured Loan—
Revolver
L+ 5.50% (0.25% PIK)6.75%11/6/2025$1,1341,097590
Kellstrom Aerospace Group, Inc(14)(19)(25) Equity Interest11,963753
Kellstrom Commercial Aerospace, Inc.(3)(18)(19)(21)(24) First Lien Senior Secured Loan—
Revolver
L+ 5.50%6.88%7/1/2025$5,3315,2344,755
Kellstrom Commercial Aerospace, Inc.(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 5.50%6.50%7/1/2025$33,60833,06730,583
Novetta, LLC(12)(15)(29) First Lien Senior Secured LoanL+ 5.00%6.00%10/17/2022$6,5136,4576,499
Precision Ultimate Holdings, LLC(14)(19)(25) Equity Interest1,4171,417952
Salient CRGT, Inc.(12)(15)(29) First Lien Senior Secured LoanL+ 6.50%7.50%2/28/2022$12,08712,10911,634
WCI-HSG HOLDCO, LLC(14)(19)(25) Preferred Equity6756751,550
WCI-HSG Purchaser, Inc.(3)(12)(15)(19)(29) First Lien Senior Secured Loan—
Revolver
L+ 4.50%5.50%2/24/2025$1,0751,0471,048
WCI-HSG Purchaser, Inc.(12)(15)(19)(29) First Lien Senior Secured LoanL+ 4.50%5.50%2/24/2025$17,60017,41617,424
Whitcraft LLC(2)(3)(5)(15)(19) First Lien Senior Secured Loan—
Revolver
4/3/2023$(13)(91)

 

24

 

 

Whitcraft LLC(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 6.00%7.00%4/3/2023$40,18239,87038,172
WP CPP Holdings, LLC. (12)(15)(21)(29) Second Lien Senior Secured LoanL+ 7.75%8.75%4/30/2026$11,72411,6329,936
 Aerospace & Defense Total$190,641$173,74916.3%
AutomotiveCST Buyer Company(3)(5)(15)(19)(21) First Lien Senior Secured Loan—
Revolver
10/3/2025$(21)
CST Buyer Company(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 6.00%7.00%10/3/2025$34,16633,76434,166
JHCC Holdings, LLC(2)(3)(5)(15)(19)(28) First Lien Senior Secured Loan—
Delayed Draw
9/9/2025$(33)(188)
JHCC Holdings, LLC(3)(7)(15)(19)(22)(31) First Lien Senior Secured Loan—
Revolver
P+ 4.50%7.10%9/9/2025$1,5611,5191,470
JHCC Holdings, LLC(7)(15)(19) First Lien Senior Secured Loan—
Delayed Draw
L+ 5.50%6.50%9/9/2025$2,2222,2142,155
JHCC Holdings, LLC(7)(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 5.50%6.50%9/9/2025$29,37929,02728,497
 Automotive Total$66,470$66,1006.2%
BankingGreen Street Parent, LLC(2)(3)(5)(18)(19)(29) First Lien Senior Secured Loan—
Revolver
8/27/2025$(38)(103)
Green Street Parent, LLC(12)(18)(19)(29) First Lien Senior Secured LoanL+ 5.25%5.52%8/27/2026$14,33514,09613,725
 Banking Total$14,058$13,6221.3%
Beverage, Food & TobaccoNPC International, Inc.(15)(27)(31) First Lien Senior Secured LoanP+ 4.50%7.75%4/19/2024$4,9374,9574,694
NPC International, Inc.(32) First Lien Senior Secured LoanL+ 15.50%17.00%1/21/2021$412410412

25

 

Control TypeIndustryPortfolio CompanyInvestment TypeSpread Above Index(1)Interest
Rate
Maturity
Date
Principal/Shares(9)CostMarket
Value
% of
NAV(4)
Beverage, Food & Tobacco
Total
$5,367$5,1060.5%
Capital EquipmentDorner Manufacturing Corp.(3)(5)(15)(19)(29) First Lien Senior Secured Loan—
Revolver
3/15/2022$(7)
Dorner Manufacturing Corp.(12)(15)(19) First Lien Senior Secured LoanL+ 5.75%6.75%3/15/2023$ 6,7996,7216,799
East BCC Coinvest II, LLC(14)(19)(25) Equity Interest1,4191,419754
Electronics For Imaging, Inc.(12)(18)(19)(29) Second Lien Senior Secured LoanL+ 9.00%9.15%7/23/2027$13,07012,32710,717
Engineered Controls International,
LLC(12)(19)(21)(29)(32) 
First Lien Senior Secured LoanL+ 7.00%8.50%11/5/2024$32,75932,17432,759
EXC Holdings III Corp.(12)(15)(21)(29) Second Lien Senior Secured LoanL+ 7.50%8.50%12/1/2025$8,2408,2518,274
FCG Acquisitions, Inc.(14)(19)(25) Preferred Equity44,25110,398
FFI Holdings I Corp(3)(19)(30)(31) First Lien Senior Secured Loan—
Revolver
P+ 4.75%8.00%1/24/2025$1,4941,4371,494
FFI Holdings I Corp(7)(12)(13)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 5.75%6.75%1/24/2025$68,31767,85068,317
FFI Holdings I Corp(3)(5)(15)(19)(28) First Lien Senior Secured Loan—
Delayed Draw
1/24/2025$(63)
FFI Holdings I Corp(7)(15)(19) First Lien Senior Secured LoanL+ 6.25%7.25%1/24/2025$789781789
Jonathan Acquisition Company(15)(19)(21) Second Lien Senior Secured LoanL+ 9.00%10.00%12/22/2027$8,0007,8017,800
Tidel Engineering, L.P.(3)(15)(19) First Lien Senior Secured Loan—
Revolver
3/1/2023$
Tidel Engineering, L.P.(7)(15)(19)(29) First Lien Senior Secured LoanL+ 6.25%7.25%3/1/2024$37,83537,83537,835
Velvet Acquisition B.V.(6)(18)(19)(21) Second Lien Senior Secured LoanEURIBOR+ 8.00%8.00%4/17/20266,0137,3467,351
Capital Equipment Total$188,123$193,28718.1%

 

26

 

 

Chemicals, Plastics & RubberAP Plastics Group, LLC(3)(15)(19) First Lien Senior Secured Loan—
Revolver
L+ 4.00%5.00%8/2/2021$2,8332,8332,833
AP Plastics Group, LLC(7)(15)(19)(21) First Lien Senior Secured LoanL+ 5.25%6.25%8/1/2022$19,85619,67119,856
Niacet b.v.(15)(19)(21) First Lien Senior Secured LoanEURIBOR+ 4.50%5.50%2/1/20243,4373,6904,128
Plaskolite, Inc.(15)(29) First Lien Senior Secured LoanL+ 4.25%5.25%12/15/2025$2,2532,2182,250
V Global Holdings LLC(7)(12)(15)(19)(29) First Lien Senior Secured LoanL+ 6.00%7.00%12/22/2027$48,81347,59347,593
V Global Holdings LLC(2)(3)(5)(15)(19) First Lien Senior Secured Loan—
Revolver
12/22/2025$(197)(197)
Chemicals, Plastics &
Rubber Total
$75,808$76,4637.2%
Construction & BuildingChase Industries, Inc.(15)(19)(26) First Lien Senior Secured Loan—
Delayed Draw
L+ 5.50% (1.5% PIK)8.00%5/12/2025$1,1661,162947
Chase Industries, Inc.(15)(19)(26) First Lien Senior Secured LoanL+ 5.50% (1.5% PIK)8.00%5/12/2025$12,33312,29010,021
Elk Parent Holdings, LP(14)(19)(25) Equity Interest112145
Elk Parent Holdings, LP(14)(19)(25) Preferred Equity1201,2021,319
PP Ultimate Holdings B, LLC(14)(19)(25) Equity Interest11,3521,675
Profile Products LLC(3)(7)(19)(31) First Lien Senior Secured Loan—
Revolver
P+ 5.00%8.25%12/20/2024$831779783
Profile Products LLC(7)(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 6.00%7.00%12/20/2024$36,16835,63535,716
Regan Development Holdings Limited(6)(17)(19) First Lien Senior Secured LoanEURIBOR+ 6.50%7.00%4/18/20222,0872,2742,488
Regan Development Holdings Limited(6)(17)(19) First Lien Senior Secured LoanEURIBOR+ 6.50%7.00%4/18/2022677768807
Regan Development Holdings
Limited (6)(17)(19) 
First Lien Senior Secured LoanEURIBOR+ 6.50%7.00%4/18/20226,3356,8697,513

27

 

Control TypeIndustryPortfolio CompanyInvestment TypeSpread Above Index(1)Interest
Rate
Maturity
Date
Principal/Shares(9)CostMarket
Value
% of
NAV(4)
YLG Holdings, Inc.(7)(15)(19) First Lien Senior Secured Loan—
Delayed Draw
L+ 6.25%7.25%10/31/2025$5,1115,1045,111
YLG Holdings, Inc.(3)(5)(7)(15)(19) First Lien Senior Secured Loan—
Revolver
10/31/2025$(69)
YLG Holdings, Inc.(7)(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 6.25%7.25%10/31/2025$38,47438,18938,474
Construction & Building
Total
$105,567$104,9999.8%
Consumer Goods: DurableNew Milani Group LLC(12)(15)(19)(29) First Lien Senior Secured LoanL+ 5.00%6.00%6/6/2024$16,92616,82215,403
TLC Holdco LP(14)(19)(25) Equity Interest1,1881,1861,096
TLC Purchaser, Inc.(2)(3)(5)(19) First Lien Senior Secured Loan—
Delayed Draw
10/13/2025$(57)(89)
TLC Purchaser, Inc.(2)(3)(5)(19)(21) First Lien Senior Secured Loan—
Revolver
10/13/2025$(142)(111)
TLC Purchaser, Inc.(12)(19)(21)(29) First Lien Senior Secured LoanL+ 5.75%6.75%10/13/2025$42,29441,59041,766
Consumer Goods: Durable
Total
$59,399$58,0655.4%
Consumer Goods: Non-DurableFineLine Technologies, Inc.(2)(3)(5)(15)(19)(21) First Lien Senior Secured Loan—
Revolver
11/4/2022$(9)(72)
FineLine Technologies, Inc.(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 4.25%5.25%11/4/2022$31,06630,97430,212
MND Holdings III Corp(12)(15)(29) First Lien Senior Secured LoanL+ 3.50%4.50%6/19/2024$10,61410,6279,907
RoC Opco LLC(3)(5)(15)(19)(21) First Lien Senior Secured Loan—
Revolver
2/25/2025$(145)

 

28

 

 

RoC Opco LLC(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 7.75%8.75%2/25/2025$40,48739,73740,487
Solaray, LLC(7)(15)(19) First Lien Senior Secured Loan—
Delayed Draw
L+ 6.00%7.00%9/11/2023$14,42514,42514,136
Solaray, LLC(3)(7)(15)(19) First Lien Senior Secured Loan—
Revolver
L+ 4.50%5.50%9/9/2022$7,4247,3957,424
Solaray, LLC(7)(15)(19)(21) First Lien Senior Secured LoanL+ 6.00%7.00%9/11/2023$42,17042,17041,326
WU Holdco, Inc.(7)(15)(19) First Lien Senior Secured Loan—
Delayed Draw
L+ 5.25%6.25%3/26/2026$5,5885,5365,588
WU Holdco, Inc.(3)(18)(19) First Lien Senior Secured Loan—
Revolver
L+ 5.25%5.50%3/26/2025$902857902
WU Holdco, Inc.(7)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 5.25%6.25%3/26/2026$39,31938,64939,319
Consumer Goods:
Non-Durable Total
$190,216$189,22917.7%
Containers, Packaging, & GlassAutomate Intermediate Holdings II S.à r.l.(6)(18)(19)(21) Second Lien Senior Secured LoanL+ 7.75%7.90%7/22/2027$11,87011,65911,781
Containers, Packaging, &
Glass Total
$11,659$11,7811.1%
Energy: ElectricityInfinite Electronics International Inc.(12)(18)(19)(29) First Lien Senior Secured LoanL+ 4.00%4.15%7/2/2025$19,55219,54118,868
Infinite Electronics International Inc.(18)(19)(21) Second Lien Senior Secured LoanL+ 8.00%8.15%7/2/2026$2,4802,4382,381
Energy: Electricity Total$21,979$21,2492.0%
Energy: Oil & GasAmspec Services, Inc.(3)(5)(7)(15)(19) First Lien Senior Secured Loan—
Revolver
7/2/2024$(42)
Amspec Services, Inc.(7)(12)(15)(19)(29) First Lien Senior Secured LoanL+ 5.75%6.75%7/2/2024$43,65343,26143,653
Amspec Services, Inc.(7)(15)(19) First Lien Senior Secured LoanL+ 5.75%6.75%7/2/2024$2,8262,7862,826
Energy: Oil & Gas Total$46,005$46,4794.4%

29

 

Control Type  Industry Portfolio Company Investment Type Spread Above Index(1) Interest
Rate
  Maturity
Date
  Principal/Shares(9)  Cost  Market
Value
  % of
NAV(4)
 
   FIRE: Finance Allworth Financial Group, L.P.(2)(3)(5)(15)(19)  First Lien Senior Secured Loan—Delayed Draw      12/23/2026  $   (61)  (61)    
     Allworth Financial Group, L.P.(12)(15)(19)(29)  First Lien Senior Secured Loan L+ 5.50%  6.50%  12/23/2026  $10,138   9,987   9,936     
     Allworth Financial Group, L.P.(2)(3)(5)(15)(19)  First Lien Senior Secured Loan—Revolver      12/23/2026  $   (18)  (18)    
     TA/Weg Holdings(3)(18)(19)  First Lien Senior Secured Loan—Delayed Draw L+ 5.75%  6.75%  10/2/2025  $1,992   1,922   1,921     
                   FIRE: Finance Total  $11,830  $11,778   1.1%
   FIRE: Insurance Ivy Finco Limited(6)(18)(19)(21)  First Lien Senior Secured Loan GBP LIBOR+ 5.75%  5.83%  5/19/2025  £7,217   8,992   9,704     
     Ivy Finco Limited(6)(18)(19)  First Lien Senior Secured Loan GBP LIBOR+ 5.75%  5.83%  5/19/2025  £7,077   8,827   9,502     
     Margaux Acquisition Inc.(7)(15)(19)  First Lien Senior Secured Loan—Delayed Draw L+ 5.75%  6.75%  12/19/2024  $9,288   9,256   9,195     
     Margaux Acquisition, Inc.(2)(3)(5)(15)(19)  First Lien Senior Secured Loan—Revolver      12/19/2024  $   (50)  (29)    
     Margaux Acquisition Inc.(7)(12)(15)(19)(29)  First Lien Senior Secured Loan L+ 5.75%  6.75%  12/19/2024  $28,625   28,196   28,339     
     Margaux UK Finance Limited(3)(5)(6)(15)(19)  First Lien Senior Secured Loan—                          
       Revolver      12/19/2024  £   (8)       
     Margaux UK Finance Limited(6)(15)(19)(21)  First Lien Senior Secured Loan GBP LIBOR+ 5.75%  6.75%  12/19/2024  £7,629   9,804   10,414     
                   FIRE: Insurance Total  $65,017  $67,125   6.3%
   FIRE: Real Estate Spectre (Carrisbrook House) Limited(6)(15)(19)  First Lien Senior Secured Loan EURIBOR+ 9.50%  10.50%  8/9/2021  9,300   10,894   10,289     
                   FIRE: Real Estate Total  $10,894  $10,289   1.0%
   Healthcare & Pharmaceuticals CB Titan Holdings, Inc.(14)(19)(25)  Preferred Equity         1,953   1,953   2,625     
     CPS Group Holdings, Inc.(3)(5)(15)(19)  First Lien Senior Secured Loan—Revolver      3/3/2025  $   (64)       
     CPS Group Holdings, Inc.(7)(12)(15)(19)(21)(29)  First Lien Senior Secured Loan L+ 5.50%  6.50%  3/3/2025  $55,347   54,925   55,347     
     Datix Bidco Limited(2)(3)(5)(6)(18)(19)(21)  First Lien Senior Secured Loan—Revolver      10/28/2024  £   (17)  (7)    
     Datix Bidco Limited(6)(18)(19)(21)  Second Lien Senior Secured Loan GBP LIBOR+ 7.75%  7.81%  4/27/2026  £12,134   16,369   16,564     
     Datix Bidco Limited(6)(18)(19)(21)  First Lien Senior Secured Loan BBSW+ 4.50%  4.62%  4/28/2025  AUD4,212   3,215   3,224     
     Golden State Buyer, Inc.(12)(16)(29)  First Lien Senior Secured Loan L+ 4.75%  5.50%  6/22/2026  $15,077   14,952   14,992     
     Great Expressions Dental Centers PC(3)(15)(19)(26)  First Lien Senior Secured Loan—Revolver L+ 4.75% (0.5% PIK)  6.25%  9/28/2022  $661   655   454     
     Great Expressions Dental Centers PC(15)(19)(26)  First Lien Senior Secured Loan L+ 4.75% (0.5% PIK)  6.25%  9/28/2023  $7,802   7,789   6,437     
     Island Medical Management Holdings, LLC(15)(19)(29)  First Lien Senior Secured Loan L+ 6.50%  7.50%  9/1/2023  $8,627   8,570   7,764     
     Medical Depot Holdings, Inc.(12)(15)(26)  First Lien Senior Secured Loan L+ 5.50% (2% PIK)  8.50%  1/3/2023  $16,520   15,638   14,084     
     Mendel Bidco, Inc.(18)(19)(21)  First Lien Senior Secured Loan EURIBOR+ 4.50%  4.50%  6/17/2027  £10,033   11,169   12,204     
     Mendel Bidco, Inc.(18)(19)(21)  First Lien Senior Secured Loan L+ 4.50%  4.73%  6/17/2027  $19,966   19,541   19,667     
     Mertus 522. GmbH(6)(18)(19)(21)  First Lien Senior Secured Loan—Delayed Draw EURIBOR+ 6.00%  6.00%  5/28/2026  £13,131   14,138   15,892     
     Mertus 522. GmbH(6)(18)(19)(21)  First Lien Senior Secured Loan EURIBOR+ 6.00%  6.00%  5/28/2026  £22,468   24,635   27,193     
     TecoStar Holdings, Inc.(12)(15)(19)(21)(29)  Second Lien Senior Secured Loan L+ 8.50%  9.50%  11/1/2024  $9,472   9,315   9,306     
     U.S. Anesthesia Partners, Inc.(12)(15)(19)(21)  Second Lien Senior Secured Loan L+ 7.25%  7.49%  6/23/2025  $16,520   16,364   15,859     
                   Healthcare &
Pharmaceuticals Total
  $219,147  $221,605   20.7%

30

 

Control Type  Industry Portfolio Company Investment Type Spread Above Index(1)  Interest
Rate
  Maturity
Date
 Principal/Shares(9)  Cost  Market
Value
  % of
NAV(4)
 
   High Tech Industries AMI US Holdings Inc.(3)(12)(18)(19)  First Lien Senior Secured Loan—Revolver  L+ 5.50%   5.65% 4/1/2024 $1,256   1,232   1,256     
     AMI US Holdings Inc.(12)(15)(19)(29)  First Lien Senior Secured Loan  L+ 5.50%   6.50% 4/1/2025 $13,025   12,825   13,025     
     Appriss Holdings, Inc.(2)(3)(5)(7)(18)(19)  First Lien Senior Secured Loan—Revolver       5/30/2025 $   (46)  (47)    
     Appriss Holdings, Inc.(7)(12)(18)(19)(21)(29)  First Lien Senior Secured Loan  L+ 5.25%   5.50% 5/29/2026 $48,386   47,879   47,902     
     Appriss Holdings, Inc.(7)(18)(19)  First Lien Senior Secured Loan  L+ 6.00%   6.25% 5/29/2026 $4,988   4,843   4,988     
     CB Nike IntermediateCo Ltd(3)(5)(6)(15)(19)(21)  First Lien Senior Secured Loan—Revolver       10/31/2025 $   (71)       
     CB Nike IntermediateCo Ltd(6)(12)(15)(19)(21)(29)  First Lien Senior Secured Loan  L+ 4.75%   5.75% 10/31/2025 $35,068   34,485   35,068     
     CMI Marketing Inc(3)(5)(15)(19)(29)  First Lien Senior Secured Loan—Revolver       5/24/2023 $   (10)       
     CMI Marketing Inc(12)(15)(19)(29)  First Lien Senior Secured Loan  L+ 4.50%   5.50% 5/24/2024 $15,101   15,008   15,101     
     Drilling Info Holdings, Inc(12)(18)(21)(29)  First Lien Senior Secured Loan  L+ 4.25%   4.40% 7/30/2025 $22,380   22,317   21,728     
     Element Buyer, Inc.(7)(15)(19)  First Lien Senior Secured Loan—Delayed Draw  L+ 5.25%   6.25% 7/18/2025 $11,192   11,216   11,192     
     Element Buyer, Inc.(3)(7)(15)(19)  First Lien Senior Secured Loan—Revolver  L+ 5.25%   6.25% 7/19/2024 $283   244   283     
     Element Buyer, Inc.(7)(15)(19)(21)  First Lien Senior Secured Loan  L+ 5.25%   6.25% 7/18/2025 $37,390   37,660   37,390     
     Everest Bidco(6)(15)(19)(21)  Second Lien Senior Secured Loan  GBP LIBOR+ 7.50%   8.50% 7/3/2026 £10,216   13,142   13,946     
     MRI Software LLC(7)(15)(28)  First Lien Senior Secured Loan  L+ 5.50%   6.50% 2/10/2026 $25,454   25,359   25,390     
     MRI Software LLC(2)(3)(5)(15)(28)  First Lien Senior Secured Loan—Delayed Draw       2/10/2026 $   (7)  (2)    
     MRI Software LLC(2)(3)(15)(19)  First Lien Senior Secured Loan—Revolver       2/10/2026 $   44   (45)    
     nThrive, Inc.(15)(19)(21)  Second Lien Senior Secured Loan  L+ 9.75%   10.75% 4/20/2023 $8,000   7,988   8,000     
     Utimaco, Inc.(6)(18)(19)(21)(29)  First Lien Senior Secured Loan  L+ 4.25%   4.91% 8/9/2027 $14,849   14,535   14,849     
     Ventiv Topco, Inc.(14)(19)(25)  Equity Interest         28   2,833   3,065     
     Ventiv Holdco, Inc.(3)(7)(18)(19)  First Lien Senior Secured Loan—Revolver  L+ 5.50%   5.68% 9/3/2025 $426   382   417     
     Ventiv Holdco, Inc.(7)(15)(19)(21)  First Lien Senior Secured Loan  L+ 5.50%   6.50% 9/3/2025 $24,056   23,760   23,996     
     VPARK BIDCO AB(6)(16)(19)(21)  First Lien Senior Secured Loan  CIBOR+ 4.00%   4.75% 3/10/2025 DKK56,999   9,198   9,364     
     VPARK BIDCO AB(6)(16)(19)(21)  First Lien Senior Secured Loan  NIBOR+ 4.00%   4.75% 3/10/2025 NOK74,020   9,230   8,620     
                  High Tech Industries Total  $294,046  $295,486   27.7%
   Hotel, Gaming & Leisure Aimbridge Acquisition Co., Inc.(12)(18)(19)(21)(29)  Second Lien Senior Secured Loan  L+ 7.50%   7.65% 2/1/2027 $20,193   19,707   18,174     
     Captain D’s LLC(3)(15)(19)  First Lien Senior Secured Loan—Revolver  L+ 4.50%   5.50% 12/15/2023 $1,382   1,373   1,382     
     Captain D’s LLC(12)(15)(19)(29)  First Lien Senior Secured Loan  L+ 4.50%   5.50% 12/15/2023 $12,559   12,489   12,559     
     Quidditch Acquisition, Inc.(12)(15)(29)  First Lien Senior Secured Loan  L+ 9.00%   10.00% 3/21/2025 $18,829   18,820   17,778     
                  Hotel, Gaming & Leisure Total  $52,389  $49,893   4.7%
   Media: Advertising, Printing & Publishing Ansira Holdings, Inc.(15)(19)(26)(33)  First Lien Senior Secured Loan—Delayed Draw  L+ 6.50% PIK   7.50% 12/20/2024 $4,613   4,610   3,944     
     Ansira Holdings, Inc.(3)(19)(23)(31)  First Lien Senior Secured Loan—Revolver  P+ 4.75%   7.77% 12/20/2024 $5,383   5,383   5,383     

31

 

Control Type  Industry Portfolio Company Investment Type Spread Above Index(1)  Interest
Rate
 Maturity
Date
 Principal/Shares(9)  Cost  Market
Value
  % of
NAV(4)
 
    Ansira Holdings, Inc.(15)(19)(26)  First Lien Senior Secured Loan  L+ 6.50% PIK   7.50% 12/20/2024 $37,208   37,150   31,813     
                   Media: Advertising,Printing & Publishing             
                   Total  $47,143  $41,140   3.9%
   Media: Broadcasting &Subscription Vital Holdco Limited(6)(12)(15)(19)(21)(29)  First Lien Senior Secured Loan  L+ 4.75%   5.75% 5/29/2026 $35,357   34,654   35,357     
     Vital Holdco Limited(6)(18)(19)(21)  First Lien Senior Secured Loan  EURIBOR+ 4.75%   4.75% 5/29/2026 7,917   8,645   9,679     
                   Media: Broadcasting & Subscription Total  $43,299  $45,036   4.2%
   Media: Diversified & Production 9 Story Media Group Inc.(3)(6)(15)(19)  First Lien Senior Secured Loan—Revolver  CDOR+ 5.50%   6.50% 4/30/2026 CAD56   40   44     
     9 Story Media Group Inc.(6)(15)(19)(21)  First Lien Senior Secured Loan  CDOR+ 5.50%   6.50% 4/30/2026 CAD7,310   5,363   5,725     
     9 Story Media Group Inc.(6)(18)(19)(21)  First Lien Senior Secured Loan  EURIBOR+ 5.50%   5.50% 4/30/2026 3,938   4,507   4,814     
     Efficient Collaborative Retail Marketing Company, LLC(3)(15)(19)  First Lien Senior Secured Loan—Revolver  L+ 5.25%   6.25% 6/15/2022 $2,267   2,267   2,267     
     Efficient Collaborative Retail Marketing Company, LLC(7)(15)(19)(21)  First Lien Senior Secured Loan  L+ 6.75%   7.75% 6/15/2022 $15,095   15,151   14,416     
     Efficient Collaborative Retail Marketing Company, LLC(7)(15)(19)  First Lien Senior Secured Loan  L+ 6.75%   7.75% 6/15/2022 $9,788   9,825   9,347     
     International Entertainment Investments  Limited(6)(18)(19)(21)  First Lien Senior Secured Loan  GBP LIBOR+ 4.75%   4.82% 5/31/2023 £8,686   10,657   11,857     
                   Media: Diversified & Production Total  $47,810  $48,470   4.5%
   Retail Batteries Plus Holding Corporation(3)(15)(19)  First Lien Senior Secured Loan—Revolver       7/6/2022 $           
     Batteries Plus Holding Corporation(7)(15)(19)  First Lien Senior Secured Loan  L+ 6.75%   7.75% 7/6/2022 $28,672   28,672   28,672     
     Thrasio, LLC(2)(3)(5)(15)(19)  First Lien Senior Secured Loan—Delayed Draw       12/18/2026 $   (313)  (313)    
     Thrasio, LLC(15)(19)(21)  First Lien Senior Secured Loan  L+ 7.00%   8.00% 12/18/2026 $10,965   10,691   10,691     
                   Retail Total  $39,050  $39,050   3.7%
                                  
   Services: Business AMCP Clean Acquisition Company, LLC(12)(18)(29)  First Lien Senior Secured Loan—Delayed Draw  L+ 4.25%   4.40% 7/10/2025 $3,855   3,848   2,660     
     AMCP Clean Acquisition Company, LLC(12)(18)(29)  First Lien Senior Secured Loan  L+ 4.25%   4.40% 7/10/2025 $15,930   15,904   10,992     
     Comet Bidco Limited(6)(18)(21)  First Lien Senior Secured Loan  GBP LIBOR+ 5.25%   5.34% 9/30/2024 £7,362   9,523   8,911     
     Elevator Holdco Inc.(14)(19)(25)  Equity Interest         2   2,448   1,605     
     Hightower Holding, LLC(12)(15)(19)(21)(29)  First Lien Senior Secured Loan  L+ 5.00%   6.00% 1/31/2025 $40,850   40,708   40,850     
     Refine Intermediate, Inc.(3)(5)(18)(19)  First Lien Senior Secured Loan—Revolver       9/3/2026 $   (117)       
     Refine Intermediate, Inc.(15)(19)(21)  First Lien Senior Secured Loan  L+ 4.75%   5.75% 3/3/2027 $21,894   21,396   21,894     
     SumUp Holdings Luxembourg S.à.r.l.(6)(15)(19)(21)  First Lien Senior Secured Loan  EURIBOR+ 8.00%   9.00% 8/1/2024 15,715   17,453   19,212     
     SumUp Holdings Luxembourg S.à.r.l.(6)(15)(19)(21)  First Lien Senior Secured Loan  EURIBOR+ 8.00%   9.00% 8/1/2024 16,697   18,244   20,412     
     TEI Holdings Inc.(3)(7)(15)(19)  First Lien Senior Secured Loan—Revolver  L+ 7.25%   8.25% 12/23/2025 $3,471   3,426   3,200     
     TEI Holdings Inc.(7)(12)(15)(19)(21)(26)(29)  First Lien Senior Secured Loan  L+ 6.00% (1.25% PIK)   8.25% 12/23/2026 $48,749   48,204   45,824     
                   Services: Business Total  $181,037  $175,560   16.3%
   Services: Consumer MZR Aggregator(14)(19)(25)  Equity Interest         1   798   798     

32

 

Control Type  Industry Portfolio Company Investment Type Spread Above Index(1)  Interest
Rate
 Maturity
Date
 Principal/Shares(9)  Cost  Market
Value
  % of
NAV(4)
 
    MZR Buyer, LLC(15)(19)  First Lien Senior Secured Loan—Revolver  L+ 6.75%   7.75% 12/21/2026 $5,210   5,106   5,105     
     MZR Buyer, LLC(7)(15)(19)  First Lien Senior Secured Loan  L+ 6.75%   7.75% 12/21/2026 $40,634   39,828   39,822     
     Pearl Intermediate Parent LLC(18)(29)  Second Lien Senior Secured Loan  L+ 6.25%   6.40% 2/13/2026 $2,571   2,584   2,558     
     Surrey Bidco Limited(6)(17)(19)(21)  First Lien Senior Secured Loan  GBP LIBOR+ 6.00%   6.50% 5/11/2026 £5,000   6,163   6,501     
     Trafalgar Bidco Limited(6)(18)(19)(21)  First Lien Senior Secured Loan  GBP LIBOR+ 5.00%   5.02% 9/11/2024 £6,011   7,763   8,206     
     Zeppelin BidCo Pty Limited(6)(18)(19)(21)  First Lien Senior Secured Loan  BBSY+ 6.00%   6.23% 6/28/2024 AUD20,621   14,099   15,707     
                   Services: Consumer Total  $76,341  $78,697   7.4%
   Telecommunications Conterra Ultra Broadband Holdings, Inc.(18)(29)  First Lien Senior Secured Loan  L+ 4.50%   4.65% 4/30/2026 $6,386   6,360   6,373     
     Horizon Telcom, Inc.(15)(19)(29)  First Lien Senior Secured Loan—Revolver  L+ 5.00%   6.00% 6/15/2023 $116   113   114     
     Horizon Telcom, Inc.(12)(15)(19)(29)  First Lien Senior Secured Loan—Delayed Draw  L+ 5.00%   6.00% 6/15/2023 $919   914   903     
     Horizon Telcom, Inc.(12)(15)(19)(29)  First Lien Senior Secured Loan  L+ 5.00%   6.00% 6/15/2023 $13,538   13,431   13,302     
     Masergy Holdings, Inc.(15)(29)  Second Lien Senior Secured Loan  L+ 7.50%   8.50% 12/16/2024 $857   862   851     
                   Telecommunications Total  $21,680  $21,543   2.0%
   Transportation: Cargo A&R Logistics, Inc.(2)(3)(5)(15)(19)  First Lien Senior Secured Loan—Revolver       5/5/2025 $   (90)  (46)    
     A&R Logistics, Inc.(7)(12)(15)(19)(21)(29)  First Lien Senior Secured Loan  L+ 6.00%   7.00% 5/5/2025 $43,534   42,827   43,207     
     A&R Logistics, Inc.(7)(15)(19)  First Lien Senior Secured Loan  L+ 6.00%   7.00% 5/5/2025 $2,448   2,408   2,430     
     A&R Logistics, Inc.(7)(15)(19)  First Lien Senior Secured Loan  L+ 6.00%   7.00% 5/5/2025 $6,035   5,961   5,989     
     A&R Logistics, Inc.(7)(15)(19)  First Lien Senior Secured Loan  L+ 6.50%   7.50% 5/5/2025 $2,743   2,717   2,743     
     ARL Holdings, LLC(14)(19)(25)  Equity Interest            445   522     
     ARL Holdings, LLC(14)(19)(25)  Equity Interest         9   9   16     
     ENC Holding Corporation(12)(18)(19)(29)  First Lien Senior Secured Loan  L+ 4.00%   4.25% 5/30/2025 $10,173   10,163   10,072     
     Grammer Investment Holdings LLC(14)(19)(25)  Equity Interest         1,011   1,011   805     
     Grammer Investment Holdings LLC(19)(25)(26)  Preferred Equity  10% PIK   10.00%   7   714   754     
     Grammer Investment Holdings LLC(14)(19)(25)  Warrants         122           
     Grammer Purchaser, Inc.(3)(12)(15)(19)(29)  First Lien Senior Secured Loan—Revolver       9/30/2024 $   6        
     Grammer Purchaser, Inc.(12)(15)(19)(29)  First Lien Senior Secured Loan—Revolver  L+ 4.75%   5.75% 9/30/2024 $9,277   9,128   9,277     
     Omni Logistics, LLC(15)(19)(21)  Second Lien Senior Secured Loan  L+ 9.00%   10.00% 12/30/2027 $13,770   13,427   13,426     
     PS HoldCo, LLC(12)(15)(29)  First Lien Senior Secured Loan  L+ 4.75%   5.75% 3/13/2025 $22,295   22,286   21,849     
                   Transportation: Cargo Total  $111,012  $111,044   10.3%
   Transportation: Consumer Toro Private Investments II, L.P.(6)(14)(19)(25)  Equity Interest         3,090   3,090   1,969     
     Toro Private Investments II, L.P.(6)(12)(18)(29)  First Lien Senior Secured Loan  L+ 5.00%   5.25% 5/29/2026 $6,715   4,484   4,605     
                   Transportation: Consumer Total  $7,574  $6,574   0.6%
   Wholesale Abracon Group Holding, LLC(14)(19)(25)  Equity Interest         2   1,833   1,618     
     Abracon Group Holding, LLC(2)(3)(5)(15)(19)  First Lien Senior Secured Loan—Revolver       7/18/2024 $   (25)  (50)    

33

 

Control TypeIndustryPortfolio CompanyInvestment TypeSpread Above Index(1)Interest
Rate
Maturity
Date
Principal/Shares(9)CostMarket
Value
% of
NAV(4)
Abracon Group Holding, LLC(7)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 5.75%6.75%7/18/2024$35,63935,51135,015
Aramsco, Inc.(2)(3)(5)(7)(18)(19) First Lien Senior Secured Loan—
Revolver
8/28/2024$(36) (51)
Aramsco, Inc.(7)(12)(18)(19)(21)(29) First Lien Senior Secured LoanL+ 5.25%5.40%8/28/2024$24,04223,72923,681
Armor Group, LP(14)(19)(25) Equity Interest101,0122,126
PetroChoice Holdings, Inc.(12)(15)(29) First Lien Senior Secured LoanL+ 5.00%6.00%8/19/2022$9,8449,7949,450
PetroChoice Holdings, Inc.(12)(15)(29) First Lien Senior Secured LoanL+ 5.00%6.00%8/19/2022$6,5146,4306,253
Wholesale Total$78,248$78,0427.3%
Non-Controlled/​
Non-Affiliate
Investments Total
$2,281,809$2,261,461211.7%
Non-Controlled/Affiliate Investments
Beverage, Food & TobaccoADT Pizza, LLC(10)(14)(19)(25) Equity Interest6,7206,72015,918
Beverage, Food &
Tobacco Total
$6,720$15,9181.5%
Energy: Oil & GasBlackbrush Oil & Gas, L.P.(10)(14)(19)(25) Equity Interest1,123
Blackbrush Oil & Gas, L.P.(10)(14)(19)(25) Preferred Equity3610,10410,239
Blackbrush Oil & Gas, L.P.(10)(12)(15)(19)(26)(29) First Lien Senior Secured LoanL+ 5.00% (2% PIK)8.00%9/3/2025$12,08912,08912,089
Energy: Oil & Gas$22,193$22,3282.1%
Transportation: ConsumerDirect Travel, Inc.(10)(18)(19)(21) First Lien Senior Secured LoanL+ 1.00%1.25%10/2/2023$4,4044,4044,404
Direct Travel, Inc.(10)(14)(19)(25) Equity Interest68
Direct Travel, Inc.(7)(10)(15)(19)(26) First Lien Senior Secured Loan—
Delayed Draw
L+ 1.00% (8.25% PIK)9.50%10/2/2023$3,1003,1002,588
Direct Travel, Inc.(7)(10)(15)(19)(26) First Lien Senior Secured Loan—
Delayed Draw
L+ 1.00% (8.25% PIK)9.50%10/2/2023$1,5721,5721,313
Direct Travel, Inc.(7)(10)(15)(19)(21)(26) First Lien Senior Secured LoanL+ 1.00% (8.27% PIK)9.50%10/2/2023$52,94852,94844,212

 

34

 

 

Direct Travel, Inc.(3)(10)(15)(19)(28) First Lien Senior Secured Loan—
Delayed Draw
L+ 6.00%7.00%10/2/2023$1,9501,9501,950
Direct Travel, Inc.(10)(18)(19)(28) First Lien Senior Secured LoanL+ 6.00%7.00%10/2/2023$202202202
Transportation: Consumer$64,176$54,6695.1%
Non-Controlled/Affiliate
Investments Total
$93,089$92,9158.7%
Controlled Affiliate Investments
Aerospace & DefenseACC Holdco, LLC(10)(11)(19)(25) Preferred Equity16.00%10,82810,82410,828
Air Comm Corporation LLC(10)(11)(12)(15)(19)(21)(29) First Lien Senior Secured LoanL+ 6.50%7.50%6/30/2025$27,02326,36226,484
BCC Jetstream Holdings Aviation (Off I),
LLC(3)(6)(10)(11)(19)(20)(25) 
Equity Interest11,86311,86311,703
BCC Jetstream Holdings Aviation (On II),
LLC(10)(11)(19)(20)(25) 
Equity Interest1,1161,116629
BCC Jetstream Holdings Aviation (On II),
LLC(3)(10)(11)(19)(20)(26) 
First Lien Senior Secured Loan10.00%
​PIK
6/2/2022$6,7126,7126,712
Gale Aviation (Offshore) Co(6)(10)(11)(19)(25) Equity Interest8483,65666,448
Aerospace & Defense Total$140,533$122,80411.5%
Transportation: CargoLightning Holdings B, LLC(6)(10)(11)(19)(25) Equity Interest7,3087,3087,308
$7,308$7,3080.7%

35

 

Control TypeIndustryPortfolio CompanyInvestment TypeSpread Above Index(1) Interest
Rate
Maturity
Date
Principal/Shares(9)CostMarket
Value
% of
NAV(4)
 Controlled Affiliate
Investments Total
$147,841$130,11212.2%
 Investments Total$2,522,739$2,484,488232.6%
Cash Equivalents
Cash EquivalentsGoldman Sachs Financial Square Government
Fund Institutional Share Class
Cash Equivalents 0.03%$1,8461,8461,846
Cash EquivalentsGoldman Sachs US Treasury Liquid Reserves
Fund(30) 
Cash Equivalents 0.01%$53,10653,10653,106
 Cash Equivalents Total$54,952$54,9525.2%
 Investments and Cash
Equivalents Total
$2,577,691$2,539,440237.8%

Forward Foreign Currency Exchange Contracts

 

Currency Purchased Currency Sold Counterparty Settlement Date Unrealized
Appreciation
(Depreciation)(8) 
 
US DOLLARS 183 CANADIAN DOLLAR 256 Bank of New York Mellon 4/14/2021  $                    ​ ​(18) 
US DOLLARS 088 CANADIAN DOLLAR 122 Bank of New York Mellon 4/15/2021  (7)
US DOLLARS 141 EURO 129 Bank of New York Mellon 4/15/2021  (17)
POUND STERLING 6,460 US DOLLARS 8,406 Bank of New York Mellon 9/10/2021  (440)
US DOLLARS 7,609 EURO 6,840 Citibank 3/26/2021  (776)
US DOLLARS 5,616 CANADIAN DOLLAR 7,662 Citibank 4/15/2021  (400)
US DOLLARS 4,217 EURO 3,731 Citibank 4/15/2021  (359)
US DOLLARS 12,756 EURO 11,200 Citibank 5/21/2021  (990)
US DOLLARS 31,103 EURO 27,540 Goldman Sachs 3/9/2021  (2,644)
US DOLLARS 82,431 EURO 72,370 Goldman Sachs 5/21/2021  (6,395)
US DOLLARS 16,734 AUSTRALIAN DOLLARS 23,870 Goldman Sachs 6/7/2021  (1,630)
US DOLLARS 19,442 POUND STERLING 14,522 Goldman Sachs 6/7/2021  434 
US DOLLARS 97,874 POUND STERLING 77,470 Goldman Sachs 6/7/2021  (8,159)
US DOLLARS 8,606 DANISH KRONE 56,290 Goldman Sachs 6/7/2021  (642)
US DOLLARS 2,794 CANADIAN DOLLAR 3,713 Goldman Sachs 9/10/2021  (121)
US DOLLARS 8,187 NORWEGIAN KRONE 74,020 Goldman Sachs 9/10/2021  (450)
    $          (22,614) 

 

(1) The investments bear interest at a rate that may be determined by reference to the London Interbank Offered Rate (“LIBOR” or “L”), the Euro Interbank Offered Rate (“EURIBOR” or “E”), British Pound Sterling LIBOR Rate (“GBP LIBOR”), the Norwegian Interbank Offered Rate (“NIBOR” or “N”), the Copenhagen Interbank Offered Rate (“CIBOR” or “C”), Canadian Dollar LIBOR Rate (“CDOR LIBOR”), the Bank Bill Swap Rate (“BBSW”), the Bank Bill Swap Bid Rate (“BBSY”), or the Prime Rate (“Prime” or “P”) and which reset daily, monthly, quarterly or semiannually. Investments or a portion thereof may bear Payment-in-Kind (“PIK”). For each, the Company has provided the PIK or the spread over LIBOR, EURIBOR, GBP LIBOR, NIBOR, CIBOR, CDOR, BBSW, BBSY, or Prime and the current weighted average interest rate in effect at December 31, 2020. Certain investments are subject to a LIBOR, EURIBOR, GBP LIBOR, NIBOR, CIBOR, CDOR, BBSW, or Prime interest rate floor. 

(2) The negative fair value is the result of the capitalized discount on the loan or the unfunded commitment being valued below par. 

(3) Position or portion thereof is an unfunded loan commitment, and no interest is being earned on the unfunded portion. The investment may be subject to an unused/letter of credit facility fee. 

(4) Percentages are based on the Company’s net assets of $1,068,004 as of December 31, 2020.

36

 

(5) The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. 

(6) The investment is not a qualifying asset under Section 55(a) of the Investment Company Act of 1940. The Company may not acquire any non-qualifying asset unless, at the time of acquisition, qualifying assets represent at least 70% of the Company’s total assets. As of December 31, 2020, non-qualifying assets totaled 17.6% of the Company’s total assets. 

(7) Assets or a portion thereof are pledged as collateral for the BCSF Complete Financing Solution LLC. See Note 6 “Debt”. 

(8) Unrealized appreciation/(depreciation) on forward currency exchange contracts. 

(9) The principal amount (par amount) for all debt securities is denominated in U.S. dollars, unless otherwise noted. Share amounts of equity investments are presented in thousands. £ represents Pound Sterling, € represents Euro, NOK represents Norwegian krone, AUD represents Australian, CAD represents Canadian Dollar and DKK represents Kroner. 

(10) As defined in the 1940 Act, the portfolio company is deemed to be an “Affiliated Investment” of the Company as the Company owns 5% or more of the portfolio company’s securities. 

(11) As defined in the 1940 Act, the Company is deemed to “Control” this portfolio company as the Company either 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. 

(12) Assets or a portion thereof are pledged as collateral for the 2018-1 Issuer. See Note 6 “Debt”. 

(13) $85 of the total par amount for this security is at P+ 4.75%. 

(14) Non-Income Producing. 

(15) Loan includes interest rate floor of 1.00%. 

(16) Loan includes interest rate floor of 0.75%. 

(17) Loan includes interest rate floor of 0.50%. 

(18) Loan includes interest rate floor of 0.00%. 

(19) Security valued using unobservable inputs (Level 3). 

(20) The Company holds non-controlling, affiliate interest in an aircraft-owning special purpose vehicle through this investment. 

(21) Assets or a portion thereof are pledged as collateral for the BCSF Revolving Credit Facility. See Note 6 “Debt”. 

(22) $751 of the total par amount for this security is at P+ 4.50%. 

(23) $992 of the total par amount for this security is at L+ 5.75%. 

(24) $1,621 of the total par amount for this security is at P+ 4.50%. 

(25) Security exempt from registration under the Securities Act of 1933 (the “Securities Act”), 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 $157,618 or 14.76% of the Company’s net assets. The acquisition dates of the restricted securities are as follows:

37

 

InvestmentAcquisition Date
BCC Jetstream Holdings Aviation (On II), LLC—Equity Interest6/1/2017
BCC Jetstream Holdings Aviation (Off I), LLC—Equity Interest6/1/2017
CB Titan Holdings, Inc.—Preferred Equity11/14/2017
Abracon Group Holding, LLC.—Equity Interest7/18/2018
Armor Group, LP—Equity Interest8/28/2018
Grammer Investment Holdings LLC—Warrants10/1/2018
Grammer Investment Holdings LLC—Equity Interest10/1/2018
Grammer Investment Holdings LLC—Preferred Equity10/1/2018
ADT Pizza, LLC—Equity Interest10/29/2018
PP Ultimate Holdings B, LLC—Equity Interest12/20/2018
FCG Acquisitions, Inc.—Preferred Equity1/24/2019
WCI-HSG HOLDCO, LLC—Preferred Equity2/22/2019
Toro Private Investments II, L.P.—Equity Interest3/19/2019
ARL Holdings, LLC.—Equity Interest5/3/2019
ARL Holdings, LLC.—Equity Interest5/3/2019
ACC Holdco, LLC.—Equity Interest6/28/2019
Kellstrom Aerospace Group, Inc—Equity Interest7/1/2019
East BCC Coinvest II,LLC—Equity Interest7/23/2019
Gale Aviation (Offshore) Co—Equity Interest8/2/2019
Ventiv Topco, Inc.—Equity Interest9/3/2019
TLC Holdco LP—Equity Interest10/11/2019
Elk Parent Holdings, LP—Equity Interest11/1/2019
Elk Parent Holdings, LP—Preferred Equity11/1/2019
Precision Ultimate Holdings, LLC—Equity Interest11/6/2019
Elevator Holdco Inc.—Equity Interest12/23/2019
Blackbrush Oil & Gas, L.P.—Equity Interest9/3/2020
Blackbrush Oil & Gas, L.P.—Preferred Equity9/3/2020
Direct Travel, Inc.—Equity Interest10/2/2020
Lightning Holdings—Equity Interest11/5/2020
MZR Aggregator—Equity Interest12/22/2020

 

(26) Denotes that all or a portion of the debt investment includes PIK interest during the period. 

(27) Asset has been placed on non-accrual. 

(28) Assets or a portion thereof are pledged as collateral for the BCSF Complete Financing Solution Holdco LLC. See Note 6 “Debt”. 

(29) Assets or a portion thereof are pledged as collateral for the 2019-1 Issuer. See Note 6 “Debt”. 

(30) Cash equivalents include $27,026 of restricted cash. 

(31) Loan includes interest rate floor of 2.00%. 

(32) Loan includes interest rate floor of 1.50%. 

(33) $2 of the total par amount for this security is at P+ 5.50%.

 

See Notes to Consolidated Financial Statements

 

38

 

 

BAIN CAPITAL SPECIALTY FINANCE, INC.

 

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

(unaudited)

(in thousands, except share and per share data)

 

Note 1. Organization

 

Bain Capital Specialty Finance, Inc. (the “Company”) was formed on October 5, 2015 and commenced investment operations on October 13, 2016. The Company has elected to be treated and is regulated as a business development company (a “BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). In addition, for tax purposes the Company has elected to be treated and intends to operate in a manner so as to continuously qualify as a regulated investment company (a “RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Company is externally managed by BCSF Advisors, LP (the “Advisor” or “BCSF Advisors”), our investment adviser that is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The Advisor also provides the administrative services necessary for the Company to operate (in such capacity, the “Administrator” or “BCSF Advisors”).

 

On November 19, 2018, the Company closed its initial public offering (the “IPO”), which was a Qualified IPO, issuing 7,500,000 shares of its common stock at a public offering price of $20.25 per share. Shares of common stock of the Company began trading on the New York Stock Exchange under the symbol “BCSF” on November 15, 2018.

 

The Company’s primary focus is capitalizing on opportunities within its Advisor’s Senior Direct Lending Strategy, which seeks to provide risk-adjusted returns and current income to its stockholders by investing primarily in middle-market companies with between $10.0 million and $150.0 million in EBITDA. The Company focuses on senior investments with a first or second lien on collateral and strong structures and documentation intended to protect the lender. The Company generally seeks to retain voting control in respect of the loans or particular classes of securities in which the Company invests through maintaining affirmative voting positions or negotiating consent rights that allow the Company to retain a blocking position. The Company may also invest in mezzanine debt and other junior securities and in secondary purchases of assets or portfolios, as described below. Investments are likely to include, among other things, (i) senior first lien, stretch senior, senior second lien, unitranche, (ii) mezzanine debt and other junior investments and (iii) secondary purchases of assets or portfolios that primarily consist of middle-market corporate debt. The Company may also invest, from time to time, in equity securities, distressed debt, debtor-in-possession loans, structured products, structurally subordinate loans, investments with deferred interest features, zero-coupon securities and defaulted securities.

 

Our operations comprise only a single reportable segment.

 

Note 2. Summary of Significant Accounting Policies

 

Basis of Presentation

 

The Company’s consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“US GAAP”). The Company’s consolidated financial statements and related financial information have been prepared pursuant to the requirements for reporting on Form 10-Q and Regulation S-X. These consolidated financial statements reflect adjustments that in the opinion of the Company are necessary for the fair statement of the financial position and results of operations for the periods presented herein and are not necessarily indicative of the full fiscal year. The Company has determined it meets the definition of an investment company and follows the accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 — Financial Services — Investment Companies. The functional currency of the Company is U.S. dollars and these consolidated financial statements have been prepared in that currency. Certain prior period information has been reclassified to conform to the current period presentation and this had no effect on the Company’s consolidated financial position or the consolidated results of operations as previously reported.

 

The information included in this Form 10-Q should be read in conjunction with the audited financial statements and notes thereto included in our Annual Report on Form 10-K for the year ended December 31, 2020.

 

Basis of Consolidation

 

The Company will generally consolidate any wholly, or substantially, owned subsidiary when the design and purpose of the subsidiary is to act as an extension of the Company’s investment operations and to facilitate the execution of the Company’s investment strategy. Accordingly, the Company consolidated the results of its subsidiaries BCSF I, LLC, BCSF II-C, LLC, BCSF CFSH, LLC, BCSF CFS, LLC, BCC Middle Market CLO 2018-1, LLC, and BCC Middle Market CLO 2019-1, LLC in its consolidated financial statements. All intercompany transactions and balances have been eliminated in consolidation. Since the Company is an investment company, portfolio investments held by the Company are not consolidated into the consolidated financial statements. The portfolio investments held by the Company (including its investments held by consolidated subsidiaries) are included on the consolidated statements of assets and liabilities as investments at fair value.

 

39

 

Use of Estimates

 

The preparation of the consolidated financial statements in conformity with US GAAP requires the Company 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 and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.

 

Valuation of Portfolio Investments

 

Investments for which market quotations are readily available are typically valued at such market quotations. Market quotations are obtained from an independent pricing service, where available. If a price cannot be obtained from an independent pricing service or if the independent pricing service is not deemed to be current with the market, certain investments held by the Company will be valued on the basis of prices provided by principal market makers. Generally, investments marked in this manner will be marked at the mean of the bid and ask of the independent broker quotes obtained. 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 quotations. Debt and equity securities that are not publicly traded or whose market prices are not readily available are valued at fair value, subject at all times to the oversight and approval of the Board of Directors of the Company (the “Board”), based on, among other things, the input of the Advisor, the Company’s audit committee of the Board (the “Audit Committee”) and one or more independent third-party valuation firms engaged by the Board.

 

With respect to unquoted portfolio investments, the Company will value each investment considering, among other measures, discounted cash flow models, comparisons of financial ratios of peer companies that are public and other factors. When an external event such as a purchase transaction, public offering or subsequent equity sale occurs, the Company will use the pricing indicated by the external event to corroborate and/or assist us in our valuation. 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 our investments may differ significantly from the values that would have been used had a readily available market value existed for such investments, and the differences could be material.

 

With respect to investments for which market quotations are not readily available, the Advisor will undertake a multi-step valuation process, which includes among other things, the below:

 

 

The Company’s quarterly valuation process begins with each portfolio company or investment being initially valued by the investment professionals of the Advisor responsible for the portfolio investment or by an independent valuation firm;

 

Preliminary valuation conclusions are then documented and discussed with the Company’s senior management and the Advisor. Agreed upon valuation recommendations are presented to the Audit Committee;

 

The Audit Committee of the Board reviews the valuations presented and recommends values for each of the investments to the Board; and

 

The Board will discuss valuations and determine the fair value of each investment in good faith based upon, among other things, the input of the Advisor, independent valuation firms, where applicable, and the Audit Committee.

 

In following this approach, the types of factors that are taken into account in the fair value pricing of investments include, as relevant, but are not limited to: comparison to publicly traded securities, including factors such as yield, maturity and measures of credit quality; the enterprise value of a portfolio company; the nature and realizable value of any collateral; the portfolio company’s ability to make payments and its earnings and discounted cash flows; and the markets in which the portfolio company does business. In cases where an independent valuation firm provides fair valuations for investments, the independent valuation firm provides a fair valuation report, a description of the methodology used to determine the fair value and their analysis and calculations to support their conclusion.

 

40

 

The Company applies ASC Topic 820, Fair Value Measurement (“ASC 820”), which establishes a framework for measuring fair value in accordance with US GAAP and required disclosures of fair value measurements. The fair value of a financial instrument is the amount that would be received in an orderly transaction between market participants at the measurement date. The Company determines the fair value of investments consistent with its valuation policy. The Company discloses the fair value of its investments in a hierarchy which prioritizes and ranks the level of market observability used in the determination of fair value. In accordance with ASC 820, these levels are summarized below:

 

 

Level 1 — Valuations based on quoted prices (unadjusted) in active markets for identical assets or liabilities at the measurement date.

 

 

 

 

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 fair value measurement.

 

A financial instrument’s level within the hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Valuations of Level 2 investments are generally based on quotations received from pricing services, dealers or brokers. Consideration is given to the source and nature of the quotations and the relationship of recent market activity to the quotations provided.

 

Transfers between levels, if any, are recognized at the beginning of the reporting period in which the transfers occur. The Company evaluates the source of inputs used in the determination of fair value, including any markets in which the investments, or similar investments, are trading. When the fair value of an investment is determined using inputs from a pricing service (or principal market makers), the Company considers various criteria in determining whether the investment should be classified as a Level 2 or Level 3 investment. Criteria considered includes the pricing methodologies of the pricing services (or principal market makers) to determine if the inputs to the valuation are observable or unobservable, as well as the number of prices obtained and an assessment of the quality of the prices obtained. The level of an investment within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgment.

 

The fair value assigned to these investments is based upon available information and may fluctuate from period to period. In addition, it does not necessarily represent the amount that might ultimately be realized upon sale. Due to inherent uncertainty of valuation, the estimated fair value of investments may differ from the value that would have been used had a ready market for the security existed, and the difference could be material.

 

Securities Transactions, Revenue Recognition and Expenses

 

The Company records its investment transactions on a trade date basis. The Company measures realized gains or losses by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment, using the specified identification method. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Discount and premium to par value on investments acquired are accreted and amortized, respectively, into interest income over the life of the respective investment using the effective interest method. Commitment fees are recorded on an accrual basis and recognized as interest income. Loan origination fees, original issue discount and market discount or premium are capitalized and amortized against or accreted into interest income using the effective interest method or straight-line method, as applicable. For the Company’s investments in revolving bank loans, the cost basis of the investment purchased is adjusted for the cash received for the discount on the total balance committed. The fair value is also adjusted for price appreciation or depreciation on the unfunded portion. As a result, the purchase of commitments not completely funded may result in a negative value until it is offset by the future amounts called and funded. Upon prepayment of a loan or debt security, any prepayment premium, unamortized upfront loan origination fees and unamortized discount are recorded as interest income.

 

Dividend income on preferred equity investments 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 investments is recorded on the record date for private portfolio companies and on the ex-dividend date for publicly traded portfolio companies. Distributions received from an equity interest, limited liability company or a limited partnership investment are evaluated to determine if the distribution should be recorded as dividend income or a return of capital.

 

Certain investments may have contractual payment-in-kind (“PIK”) interest or dividends. PIK represents accrued interest or accumulated dividends that are added to the loan principal of the investment on the respective interest or dividend payment dates rather than being paid in cash and generally becomes due at maturity or upon being called by the issuer. PIK is recorded as interest or dividend income, as applicable. If at any point the Company believes PIK is not expected to be realized, the investment generating PIK will be placed on non-accrual status. Accrued PIK interest or dividends are generally reversed through interest or dividend income, respectively, when an investment is placed on non-accrual status.

 

Certain structuring fees and amendment fees are recorded as other income when earned. Administrative agent fees received by the Company are recorded as other income when the services are rendered.

 

Expenses are recorded on an accrual basis.

 

41

 

Non-Accrual Loans

 

Loans or debt securities are placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest generally is reversed when a loan or debt security is placed on non-accrual status. Interest payments received on non-accrual loans or debt securities may be recognized as income or applied to principal depending upon management’s judgment. Non-accrual loans and debt securities are restored to accrual status when past due principal and interest are paid and, in management’s judgment, principal and interest payments are likely to remain current. The Company may make exceptions to this treatment if a loan has sufficient collateral value and is in the process of collection. As of March 31, 2021 there were no loans on non-accrual. As of December 31, 2020, there was one loan placed on non-accrual status.

 

Distributions

 

Distributions to common stockholders are recorded on the record date. The amount to be distributed, if any, is determined by the Board each quarter, and is generally based upon the earnings estimated by the Advisor. Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined in accordance with US GAAP. The Company may pay distributions to its stockholders in a year in excess of its investment company taxable income and net capital gain for that year and, accordingly, a portion of such distributions may constitute a return of capital for U.S. federal income tax purposes. This excess generally would be a tax-free return of capital in the period and generally would reduce the stockholder’s tax basis in its shares. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital in excess of par, accumulated undistributed net investment income or accumulated net realized gain (loss), as appropriate, in the period that the differences arise. Temporary and permanent differences are primarily attributable to differences in the tax treatment of certain loans and the tax characterization of income and non-deductible expenses.

 

The Company intends to timely distribute to its stockholders substantially all of its annual taxable income for each year, except that the Company may retain certain net capital gains for reinvestment and, depending upon the level of the Company’s taxable income earned in a year, the Company may choose to carry forward taxable income for distribution in the following year and incur applicable U.S. federal excise tax. The specific tax characteristics of the Company’s distributions will be reported to stockholders after the end of the calendar year. All distributions will be subject to available funds, and no assurance can be given that the Company will be able to declare such distributions in future periods.

 

The Company distributes net capital gains (i.e., net long-term capital gains in excess of net short-term capital losses), if any, at least annually out of the assets legally available for such distributions. However, the Company may decide in the future to retain such capital gains for investment, incur a corporate-level tax on such capital gains, and elect to treat such capital gains as deemed distributions to stockholders.

 

Dividend Reinvestment Plan

 

The Company has adopted a dividend reinvestment plan that provides for the reinvestment of cash dividends and distributions. Prior to the IPO, stockholders who elected to “opt in” to the Company’s dividend reinvestment plan had their cash dividends and distributions automatically reinvested in additional shares of the Company’s common stock, rather than receiving cash dividends and distributions.

 

Subsequent to the IPO, stockholders who do not “opt out” of the Company’s dividend reinvestment plan will have their cash dividends and distributions automatically reinvested in additional shares of the Company’s common stock, rather than receiving cash dividends and distributions.

 

Offering Costs

 

Offering costs consist primarily of fees and expenses incurred in connection with the offering of shares, legal, printing and other costs associated with the preparation and filing of applicable registration statements. To the extent such expenses relate to equity offerings, these expenses are charged as a reduction of paid-in-capital upon each such offering.

 

Cash, Restricted Cash, and Cash Equivalents

 

Cash and cash equivalents consist of deposits held at custodian banks and highly liquid investments, such as money market funds, with original maturities of three months or less. Cash and cash equivalents are carried at cost or amortized cost, which approximates fair value. The Company may deposit its cash and cash equivalents in financial institutions and, at certain times, such balances may exceed the Federal Deposit Insurance Corporation insurance limits. Cash equivalents are presented separately on the consolidated schedules of investments. Restricted cash is collected and held by the trustee who has been appointed as custodian of the assets securing certain of the Company’s financing transactions.

 

42

 

Foreign Currency Translation

 

The accounting records of the Company are maintained in U.S. dollars. The fair values of foreign securities, foreign cash and other assets and liabilities denominated in foreign currency are translated to U.S. dollars based on the current exchange rates at the end of each business day. Income and expenses denominated in foreign currencies are translated at current exchange rates when accrued or incurred. Unrealized gains and losses on foreign currency holdings and non-investment assets and liabilities attributable to the changes in foreign currency exchange rates are included in the net change in unrealized appreciation (depreciation) on foreign currency translation on the consolidated statements of operations. Net realized gains and losses on foreign currency holdings and non-investment assets and liabilities attributable to changes in foreign currency exchange rates are included in net realized gain (loss) on foreign currency transactions on the consolidated statements of operations. The portion of both realized and unrealized gains and losses on investments that result from changes in foreign currency exchange rates is not separately disclosed, but is included in net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments, respectively, on the consolidated statements of operations.

 

Forward Currency Exchange Contracts

 

The Company may enter into forward currency exchange contracts to reduce the Company’s exposure to foreign currency exchange rate fluctuations in the value of foreign currencies. A forward currency exchange contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The Company does not utilize hedge accounting and as such the Company recognizes the value of its derivatives at fair value on the consolidated statements of assets and liabilities with changes in the net unrealized appreciation (depreciation) on forward currency exchange contracts recorded on the consolidated statements of operations. Forward currency exchange contracts are valued using the prevailing forward currency exchange rate of the underlying currencies. Unrealized appreciation (depreciation) on forward currency exchange contracts are recorded on the consolidated statements of assets and liabilities by counterparty on a net basis, not taking into account collateral posted which is recorded separately, if applicable. Cash collateral maintained in accounts held by counterparties is included in collateral on forward currency exchange contracts on the consolidated statements of assets and liabilities. Notional amounts and the gross fair value of forward currency exchange contracts assets and liabilities are presented separately on the consolidated schedules of investments.

 

Changes in net unrealized appreciation (depreciation) are recorded on the consolidated statements of operations in net change in unrealized appreciation (depreciation) on forward currency exchange contracts. Net realized gains and losses are recorded on the consolidated statements of operations in net realized gain (loss) on forward currency exchange contracts.

 

Realized gains and losses on forward currency exchange contracts are determined using the difference between the fair market value of the forward currency exchange contract at the time it was opened and the fair market value at the time it was closed or covered. Additionally, losses, up to the fair value, may arise if the counterparties do not perform under the contract terms.

 

Deferred Financing Costs and Debt Issuance Costs

 

The Company records costs related to issuance of revolving debt obligations as deferred financing costs. These costs are deferred and amortized using the straight-line method over the stated maturity life of the obligation. The Company records costs related to the issuance of term debt obligations as debt issuance costs. These costs are deferred and amortized using the effective interest method. These costs are presented as a reduction to the outstanding principal amount of the term debt obligations on the consolidated statements of assets and liabilities.

 

43

 

 

Income Taxes

 

The Company has elected to be treated for U.S. federal income tax purposes as a RIC under the Code. So long as the Company maintains its status as a RIC, it will generally not be subject to corporate-level U.S. federal income taxes on any ordinary income or capital gains that it distributes at least annually as dividends to its stockholders. As a result, any tax liability related to income earned and distributed by the Company represents obligations of the Company’s stockholders and will not be reflected in the consolidated financial statements of the Company.

 

The Company intends to comply with the applicable provisions of the Code pertaining to RICs and to make distributions of taxable income sufficient to relieve it from substantially all federal income taxes. Accordingly, no provision for income taxes is required in the consolidated financial statements. For income tax purposes, distributions made to stockholders are reported as ordinary income, capital gains, non-taxable return of capital, or a combination thereof. The tax character of distributions paid to stockholders through March 31, 2021 may include return of capital, however, the exact amount cannot be determined at this point. The final determination of the tax character of distributions will not be made until the Company files our tax return for the tax year ending December 31, 2021. The character of income and gains that the Company distributes is determined in accordance with income tax regulations that may differ from GAAP. BCSF I, LLC, BCSF II-C, LLC, BCSF CFSH, LLC, BCSF CFS, LLC, BCC Middle Market CLO 2018-1, LLC, and BCC Middle Market CLO 2019-1, LLC are disregarded entities for tax purposes and are consolidated with the tax return of the Company.

 

The Company evaluates tax positions taken or expected to be taken in the course of preparing its consolidated 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 reversed and recorded as a tax benefit or expense in the current year. All penalties and interest associated with income taxes, if any, 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. Management has analyzed the Company’s tax positions and has concluded that no liability for unrecognized tax benefits related to uncertain tax positions on returns to be filed by the Company for all open tax years should be recorded. The Company identifies its major tax jurisdiction as the United States, and the Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months. As of March 31, 2021, the tax years that remain subject to examination are from 2017 forward.

 

Recent Accounting Pronouncements

 

In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848), (“ASU 2020-04”) which provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. ASU 2020-04 is effective for all entities as of March 12, 2020 through December 31, 2022. The expedients and exceptions provided by the amendments do not apply to contract modifications and hedging relationships entered into or evaluated after December 31, 2022, except for hedging transactions as of December 31, 2022, that an entity has elected certain optional expedients for and that are retained through the end of the hedging relationship. The Company is currently evaluating the impact of adopting ASU 2020-04 on the Company’s consolidated financial statements.

 

Note 3. Investments

 

The following table shows the composition of the investment portfolio, at amortized cost and fair value as of March 31, 2021 (with corresponding percentage of total portfolio investments):

 

  As of March 31, 2021 
  Amortized Cost  Percentage of
Total Portfolio
  Fair Value  Percentage of
Total Portfolio
 
First Lien Senior Secured Loans $1,951,062   82.0% $1,915,682   82.0%
Second Lien Senior Secured Loans  128,839   5.4   124,307   5.3 
Equity Interest  135,738   5.8   123,732   5.3 
Subordinated Note Investment Vehicles (1)  97,360   4.1   97,360   4.2 
Preferred equity  33,612   1.4   43,046   1.8 
Equity Interest Investment Vehicles (1)  31,610   1.3   31,610   1.4 
Warrants  2   0.0   2   0.0 
Total $2,378,223   100.0% $2,335,739   100.0%

 

 

(1) Represents debt and equity investment in ISLP

 

 

44

 

 

 

The following table shows the composition of the investment portfolio, at amortized cost and fair value as of December 31, 2020 (with corresponding percentage of total portfolio investments):

 

 

 

As of December 31, 2020

 

 

 

Amortized Cost

 

 

Percentage of
Total Portfolio

 

 

Fair Value

 

 

Percentage of
Total Portfolio

 

First Lien Senior Secured Loans

 

$

2,193,827

 

 

 

87.0

%

 

$

2,164,910

 

 

 

87.1

%

Second Lien Senior Secured Loans

 

 

167,698

 

 

 

6.6

 

 

 

161,960

 

 

 

6.6

 

Equity Interests

 

 

131,491

 

 

 

5.2

 

 

 

119,905

 

 

 

4.8

 

Preferred Equity

 

 

29,723

 

 

 

1.2

 

 

 

37,713

 

 

 

1.5

 

Warrants

 

 

 

 

 

0.0

 

 

 

 

 

 

0.0

 

Total

 

$

2,522,739

 

 

 

100.0

%

 

$

2,484,488

 

 

 

100.0

%

 

The following table shows the composition of the investment portfolio by geographic region, at amortized cost and fair value as of March 31, 2021 (with corresponding percentage of total portfolio investments):

 

 

 

As of March 31, 2021

 

 

 

Amortized Cost

 

 

Percentage of
Total Portfolio

 

 

Fair Value

 

 

Percentage of
Total Portfolio

 

United States

 

$

2,150,697

 

 

 

90.4

%

 

$

2,126,609

 

 

 

91.1

%

Cayman Islands

 

 

92,895

 

 

 

4.0

 

 

 

75,619

 

 

 

3.2

 

Germany

 

 

62,924

 

 

 

2.6

 

 

 

61,400

 

 

 

2.6

 

Luxembourg

 

 

37,527

 

 

 

1.6

 

 

 

37,633

 

 

 

1.6

 

Ireland

 

 

20,821

 

 

 

0.9

 

 

 

20,112

 

 

 

0.9

 

United Kingdom

 

 

12,458

 

 

 

0.5

 

 

 

13,436

 

 

 

0.6

 

Israel

 

 

344

 

 

 

0.0

 

 

 

351

 

 

 

0.0

 

Sweden

 

 

184

 

 

 

0.0

 

 

 

177

 

 

 

0.0

 

Australia

 

 

141

 

 

 

0.0

 

 

 

157

 

 

 

0.0

 

France

 

 

132

 

 

 

0.0

 

 

 

141

 

 

 

0.0

 

Canada

 

 

100

 

 

 

0.0

 

 

 

104

 

 

 

0.0

 

Total

 

$

2,378,223

 

 

 

100.0

%

 

$

2,335,739

 

 

 

100.0

%

 

The following table shows the composition of the investment portfolio by geographic region, at amortized cost and fair value as of December 31, 2020 (with corresponding percentage of total portfolio investments):

 

  As of December 31, 2020 
  Amortized Cost  

Percentage of

Total Portfolio  

  Fair Value  

Percentage of

Total Portfolio

 
United States $2,094,741   83.0% $2,055,861   82.7%
United Kingdom  106,768   4.2   110,706   4.5 
Cayman Islands  90,964   3.7   73,756   3.0 
Luxembourg  51,840   2.1   56,010   2.3 
Germany  38,773   1.5   43,085   1.7 
Israel  34,414   1.4   35,068   1.4 
Ireland  20,805   0.8   21,097   0.8 
Jersey  17,819   0.7   19,206   0.8 
Sweden  18,428   0.7   17,984   0.7 
Australia  14,099   0.6   15,707   0.6 
France  13,142   0.5   13,946   0.6 
Netherlands  11,036   0.4   11,479   0.5 
Canada  9,910   0.4   10,583   0.4 
Total $2,522,739   100.0% $2,484,488   100.0%

 

45

 

 

The following table shows the composition of the investment portfolio by industry, at amortized cost and fair value as of March 31, 2021 (with corresponding percentage of total portfolio investments):

 

 

 

As of March 31, 2021

 

 

 

Amortized Cost

 

 

Percentage of
Total Portfolio

 

 

Fair Value

 

 

Percentage of
Total Portfolio

 

Aerospace & Defense

 

$

331,942

 

 

 

14.0

%

 

$

300,972

 

 

 

12.9

%

Consumer Goods: Non-Durable

 

 

194,534

 

 

 

8.1

 

 

 

194,667

 

 

 

8.3

 

High Tech Industries

 

 

192,493

 

 

 

8.1

 

 

 

193,544

 

 

 

8.3

 

Capital Equipment

 

 

179,699

 

 

 

7.6

 

 

 

186,522

 

 

 

8.0

 

Services: Business

 

 

167,735

 

 

 

7.1

 

 

 

159,847

 

 

 

6.8

 

Investment Vehicles (2)

 

 

128,970

 

 

 

5.4

 

 

 

128,970

 

 

 

5.6

 

Transportation: Cargo

 

 

120,032

 

 

 

5.0

 

 

 

121,385

 

 

 

5.2

 

Healthcare & Pharmaceuticals

 

 

119,593

 

 

 

5.0

 

 

 

118,804

 

 

 

5.1

 

Construction & Building

 

 

107,685

 

 

 

4.5

 

 

 

107,327

 

 

 

4.6

 

Media: Diversified & Production

 

 

89,974

 

 

 

3.8

 

 

 

87,364

 

 

 

3.7

 

Wholesale

 

 

78,189

 

 

 

3.3

 

 

 

78,910

 

 

 

3.4

 

Chemicals, Plastics & Rubber

 

 

72,193

 

 

 

3.0

 

 

 

73,189

 

 

 

3.1

 

Energy: Oil & Gas

 

 

68,173

 

 

 

2.9

 

 

 

69,891

 

 

 

3.0

 

Services: Consumer

 

 

66,762

 

 

 

2.8

 

 

 

67,619

 

 

 

2.9

 

Transportation: Consumer

 

 

74,647

 

 

 

3.1

 

 

 

63,299

 

 

 

2.7

 

Consumer Goods: Durable

 

 

59,311

 

 

 

2.5

 

 

 

56,845

 

 

 

2.4

 

Automotive

 

 

52,516

 

 

 

2.2

 

 

 

53,132

 

 

 

2.3

 

Hotel, Gaming & Leisure

 

 

53,304

 

 

 

2.2

 

 

 

51,830

 

 

 

2.2

 

FIRE: Insurance

 

 

47,118

 

 

 

2.0

 

 

 

48,321

 

 

 

2.1

 

Retail

 

 

39,517

 

 

 

1.7

 

 

 

40,081

 

 

 

1.7

 

Telecommunications

 

 

39,758

 

 

 

1.7

 

 

 

39,512

 

 

 

1.7

 

Media: Advertising, Printing & Publishing

 

 

46,788

 

 

 

2.0

 

 

 

37,470

 

 

 

1.6

 

Beverage, Food & Tobacco

 

 

7,423

 

 

 

0.3

 

 

 

16,991

 

 

 

0.7

 

Banking

 

 

15,196

 

 

 

0.6

 

 

 

15,459

 

 

 

0.7

 

FIRE: Finance (1)

 

 

13,212

 

 

 

0.6

 

 

 

13,498

 

 

 

0.6

 

FIRE: Real Estate (1)

 

 

10,909

 

 

 

0.5

 

 

 

9,725

 

 

 

0.4

 

Media: Broadcasting & Subscription

 

 

433

 

 

 

0.0

 

 

 

447

 

 

 

0.0

 

Containers, Packaging, & Glass

 

 

117

 

 

 

0.0

 

 

 

118

 

 

 

0.0

 

Total

 

$

2,378,223

 

 

 

100.0

%

 

$

2,335,739

 

 

 

100.0

%

 

 

(1) Finance, Insurance, and Real Estate (“FIRE”).

(2) Represents debt and equity investment in ISLP.

 

46

 

 

 

The following table shows the composition of the investment portfolio by industry, at amortized cost and fair value as of December 31, 2020 (with corresponding percentage of total portfolio investments):

 

  As of December 31, 2020 
  Amortized Cost  

Percentage of

Total Portfolio

  Fair Value  

Percentage of
Total Portfolio

 
Aerospace & Defense $331,174   13.1% $296,553   11.9%
High Tech Industries  294,046   11.7   295,486   11.9 
Healthcare & Pharmaceuticals  219,147   8.7   221,605   8.9 
Capital Equipment  188,123   7.5   193,287   7.8 
Consumer Goods: Non-Durable  190,216   7.5   189,229   7.5 
Services: Business  181,037   7.1   175,560   7.1 
Transportation: Cargo  118,320   4.7   118,352   4.8 
Construction & Building  105,567   4.2   104,999   4.2 
Services: Consumer  76,341   3.0   78,697   3.2 
Wholesale  78,248   3.1   78,042   3.1 
Chemicals, Plastics & Rubber  75,808   3.0   76,463   3.1 
Energy: Oil & Gas  68,198   2.7   68,807   2.7 
FIRE: Insurance (1)  65,017   2.6   67,125   2.7 
Automotive  66,470   2.6   66,100   2.7 
Transportation: Consumer  71,750   2.8   61,243   2.5 
Consumer Goods: Durable  59,399   2.3   58,065   2.3 
Hotel, Gaming & Leisure  52,389   2.1   49,893   2.0 
Media: Diversified & Production  47,810   1.9   48,470   2.0 
Media: Broadcasting & Subscription  43,299   1.7   45,036   1.8 
Media: Advertising, Printing & Publishing  47,143   1.9   41,140   1.7 
Retail  39,050   1.5   39,050   1.6 
Telecommunications  21,680   0.9   21,543   0.9 
Energy: Electricity  21,979   0.9   21,249   0.9 
Beverage, Food & Tobacco  12,087   0.5   21,024   0.8 
Banking  14,058   0.6   13,622   0.5 
Containers, Packaging, & Glass  11,659   0.5   11,781   0.5 
FIRE: Finance (1)  11,830   0.5   11,778   0.5 
FIRE: Real Estate (1)  10,894   0.4   10,289   0.4 
  $2,522,739   100.0% $2,484,488   100.0%

 

 

(1) Finance, Insurance, and Real Estate (“FIRE”).

 

International Senior Loan Program, LLC

 

On February 9, 2021, the Company and Pantheon ("Pantheon"), a leading global alternative private markets manager, formed the International Senior Loan Program, LLC (“ISLP”), an unconsolidated joint venture. ISLP invests primarily in non-US first lien senior secured loans. ISLP was formed as a Delaware limited liability company. The Company and Pantheon committed to initially provide $138.3 million of debt and $43.9 million of equity capital, to ISLP. Equity contributions will be called from each member on a pro-rata basis, based on their equity commitments. Pursuant to the terms of the transaction, Pantheon invested $50.0 million to acquire a 29.5% stake in ISLP. The Company contributed debt investments of $317.1 million for a 70.5% stake in ISLP, and received a one-time gross distribution of $190.2 million in cash in consideration of contributing such investments. As of March 31, 2021, the Company’s investment in ISLP consisted of subordinated notes of $97.4 million, and equity interests of $31.6 million.

 

47

 

 

In future periods, the Company may sell certain of its investments or a participating interest in certain of its investments to ISLP. Since inception, the Company had sold $317.1 million of its investments to ISLP. The sale of the investments met the criteria set forth in ASC 860, Transfers and Servicing for treatment as a sale.

 

The Company has determined that ISLP is an investment company under ASC, Topic 946, Financial Services - Investment Companies; however, in accordance with such guidance, the Company will generally not consolidate its investment in a company other than a wholly or substantially owned investment company subsidiary, which is an extension of the operations of the Company, or a controlled operating company whose business consists of providing services to the Company. The Company does not consolidate its investments in ISLP as it is not a substantially wholly owned investment company subsidiary. In addition, the Company does not control ISLP due to the allocation of voting rights among ISLP members. The Company measures fair value of ISLP in accordance with ASC Subtopic 820, Fair Value Measurements and Disclosures, using the net asset value (or its equivalent) as a practical expedient. The Company and Pantheon each appointed two members to ISLP's four-person Member Designees' Committee. All material decisions with respect to ISLP, including those involving its investment portfolio, require unanimous approval of a quorum of Member Designees' Committee.

 

As of March 31, 2021, ISLP had $319.6 million in debt investments, at fair value.

 

Additionally, ISLP, through a wholly-owned subsidiary, has entered into a $300.0 million senior secured revolving credit facility which bears interest at LIBOR (or an alternative risk-free interest rate index) plus 225 basis points with JP Morgan through its wholly-owned subsidiary, subject to leverage and borrowing base restrictions (the “ISLP Credit Facility”). The maturity date of the ISLP Credit Facility is February 9, 2026. As of March 31, 2021 the ISLP Credit Facility had $146.2 million of outstanding debt under the credit facility. As of March 31, 2021, the effective rate on the ISLP Credit Facility was 2.3% per annum.

 

Below is a summary of ISLP’s portfolio at fair value:

 

  As of March 31, 2021 
Total investments $319,607 
Weighted average yield on investments  6.1%
Number of borrowers in ISLP  18 
Largest portfolio company investment $44,213 
Total of five largest portfolio company investments $162,340 
Unfunded commitments $5,794 

 

48

 

 

Below is a listing of ISLP’s individual investments as of:

 

International Senior Loan Program, LLC
Consolidated Schedule of Investments
As of March 31, 2021
(in thousands)
(unaudited)
                         
Currency Industry Portfolio Company Investment Type Spread Above Index  Interest Rate  Maturity Date Principal/Shares  Cost  Market Value  % of
NAV
 
Australian Dollar                            
  Healthcare & Pharmaceuticals Datix Bidco Limited First Lien Senior Secured Loan  BBSW+ 4.50%  4.74% 4/28/2025 AUD 4,169  3,286   3,176     
                Healthcare & Pharmaceuticals Total $3,286  $3,176   6.7%
                             
  Information Technology Services LEAP Legal Software PTY Ltd First Lien Senior Secured Loan  BBSW+ 5.75%  6.75% 9/12/2022 AUD 30,244  22,868   22,807     
                Information Technology Services Total $22,868  $22,807   47.8%
                             
  Services: Consumer Zeppelin BidCo Pty Limited First Lien Senior Secured Loan  BBSW+ 5.00%  5.23% 6/28/2024 AUD 20,415  16,012   15,550     
                Services: Consumer Total $16,012  $15,550   32.6%
                             
                Australian Dollar Total $42,166  $41,533   87.1%
                             
British Pounds                            
  Healthcare & Pharmaceuticals Datix Bidco Limited Second Lien Senior Secured Loan  GBP LIBOR+ 7.75%  7.81% 4/27/2026 £12,013  16,916   16,577     
    Datix Bidco Limited First Lien Senior Secured Loan - Revolver       10/28/2024 £-  -   -     
                Healthcare & Pharmaceuticals Total $16,916  $16,577   34.7%
                             
  High Tech Industries Everest Bidco Second Lien Senior Secured Loan  GBP LIBOR+ 7.50%  8.50% 7/3/2026 £10,114  14,243   13,957     
                High Tech Industries Total $14,243  $13,957   29.3%
                             
  Media: Diversified & Production International Entertainment Investments Limited First Lien Senior Secured Loan  GBP LIBOR+ 4.75%  5.27% 5/31/2023 £8,599  12,109   11,866     
                Media: Diversified & Production Total $12,109  $11,866   24.9%

49

 

 

  Services: Business Comet Bidco Limited First Lien Senior Secured Loan  GBP LIBOR+ 5.25%  5.34% 9/30/2024 £7,362  9,225   9,410     
                Services: Business Total $9,225  $9,410   19.7%
                             
  Services: Consumer Surrey Bidco Limited First Lien Senior Secured Loan  GBP LIBOR+ 6.00%  6.50% 5/11/2026 £4,954  6,651   6,512     
                Services: Consumer Total $6,651  $6,512   13.7%
                             
                British Pounds Total $59,144  $58,322   122.3%
                             
Canadian Dollar                            
  Healthcare & Pharmaceuticals 9 Story Media Group Inc. First Lien Senior Secured Loan - Revolver  CDOR+ 5.50%  0.00% 4/30/2026 CAD 149  36   36     
    9 Story Media Group Inc. First Lien Senior Secured Loan  CDOR+ 5.25%  6.25% 4/30/2026 CAD 7,219  5,731   5,742     
                Healthcare & Pharmaceuticals Total $5,767  $5,778   12.1%
                             
                Canadian Dollar Total $5,767  $5,778   12.1%
                             
Danish Krone                            
  High Tech Industries VPARK BIDCO AB First Lien Senior Secured Loan  CIBOR+ 4.00%  4.75% 3/10/2025 DKK 56,429  9,231   8,914     
                High Tech Industries Total $9,231  $8,914   18.7%
                             
                Danish Krone Total $9,231  $8,914   18.7%
                             
European Currency                            
  Chemicals, Plastics & Rubber Niacet Corporation First Lien Senior Secured Loan  EURIBOR+ 4.5%  5.50% 2/1/2024 €3,437  4,110   3,988     
                Chemicals, Plastics & Rubber Total $4,110  $3,988   8.4%
                             
  Healthcare & Pharmaceuticals Mendel Bidco, Inc. First Lien Senior Secured Loan  EURIBOR+ 4.50%  4.50% 6/17/2027 €9,933  12,024   11,671     
    Mertus 522. GmbH First Lien Senior Secured Loan - Delayed Draw  EURIBOR+ 6.25%  6.25% 5/28/2026 €12,999  15,659   15,122     
    Mertus 522. GmbH First Lien Senior Secured Loan  EURIBOR+ 6.25%  6.25% 5/28/2026 €22,244  26,794   25,874     
                Healthcare & Pharmaceuticals Total $54,477  $52,667   110.4%

 

50

 

 

  Media: Broadcasting & Subscription Vital Holdco Limited First Lien Senior Secured Loan  EURIBOR+ 5.25%  5.25% 5/1/2026 €7,838  9,535   9,210     
                Media: Broadcasting & Subscription Total $9,535  $9,210   19.3%
                             
  Media: Diversified & Production 9 Story Media Group Inc. First Lien Senior Secured Loan  EURIBOR+ 5.25%  5.25% 4/30/2026 €3,888  4,730   4,569     
                Media: Diversified & Production Total $4,730  $4,569   9.6%
                             
                European Currency Total $72,852  $70,434   147.7%
                             
Norwegian Krone                            
  High Tech Industries VPARK BIDCO AB First Lien Senior Secured Loan  NIBOR+ 4.00%  4.75% 3/10/2025 NOK 73,280  8,651   8,595     
                High Tech Industries Total $8,651  $8,595   18.0%
                             
                Norwegian Krone Total $8,651  $8,595   18.0%
                             
U.S. Dollars                            
  Automotive CST Buyer Company First Lien Senior Secured Loan  L+ 6.00%  7.00% 3/1/2023 $14,927  14,927   14,927     
                Automotive Total $14,927  $14,927   31.3%
                             
  Containers, Packaging, & Glass Automate Intermediate Holdings II S.à r.l. Second Lien Senior Secured Loan  L+ 7.75%  7.86% 7/22/2027 $11,752  11,665   11,693     
                Containers, Packaging, & Glass Total $11,665  $11,693   24.5%
                             
  Healthcare & Pharmaceuticals Golden State Buyer, Inc. First Lien Senior Secured Loan  L+ 4.75%  5.50% 6/22/2026 $15,038  14,955   15,076     
                Healthcare & Pharmaceuticals Total $14,955  $15,076   31.6%
                             
  High Tech Industries CB Nike IntermediateCo Ltd First Lien Senior Secured Loan - Revolver       10/31/2025 $-  -   -     
    CB Nike IntermediateCo Ltd First Lien Senior Secured Loan  L+ 5.00%  5.75% 10/31/2025 $34,630  34,630   34,630     
    Utimaco, Inc. First Lien Senior Secured Loan  L+ 4.25%  4.51% 8/9/2027 $14,701  14,701   14,701     
                High Tech Industries Total $49,331  $49,331   103.5%
                             
  Media: Broadcasting & Subscription Vital Holdco Limited First Lien Senior Secured Loan  L+ 5.25%  6.25% 5/29/2026 $35,004  35,004   35,004     
                Media: Broadcasting & Subscription Total $35,004  $35,004   73.4%
                             
                U.S. Dollars Total $125,882  $126,031   264.3%
                Total $323,693  $319,607   670.2%

 

51

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation (Depreciation)  
BRITISH POUNDS 1,341 AUSTRALIAN DOLLARS 2,063 Goldman Sachs 04/21/2021 $278 
EURO 481 AUSTRALIAN DOLLARS 746 Goldman Sachs 04/19/2021  (3)
EURO 1,973 BRITISH POUNDS 1,708 Goldman Sachs 04/19/2021  (36)
EURO 5,597 BRITISH POUNDS 4,848 Goldman Sachs 04/19/2021  (108)
EURO 145 CANADIAN DOLLARS 221 Goldman Sachs 04/19/2021  (6)
EURO 406 CANADIAN DOLLARS 624 Goldman Sachs 04/19/2021  (19)
EURO 232 DANISH KRONE 1,729 Goldman Sachs 04/19/2021  - 
EURO 641 DANISH KRONE 4,773 Goldman Sachs 04/19/2021  (1)
EURO 219 NORWEGIAN KRONE 2,246 Goldman Sachs 04/19/2021  (6)
EURO 598 NORWEGIAN KRONE 6,198 Goldman Sachs 04/19/2021  (24)
EURO 8,660 US DOLLARS 10,551 Goldman Sachs 04/19/2021  (373)
EURO 3,235 US DOLLARS 3,908 Goldman Sachs 04/19/2021  (106)
US DOLLARS 2,248 AUSTRALIAN DOLLARS 2,887 Goldman Sachs 04/19/2021  50 
US DOLLARS 6,324 AUSTRALIAN DOLLARS 7,988 Goldman Sachs 04/19/2021  242 
US DOLLARS 26,437 BRITISH POUNDS 18,768 Goldman Sachs 04/19/2021  558 
US DOLLARS 9,224 BRITISH POUNDS 6,611 Goldman Sachs 04/19/2021  108 
US DOLLARS 1,914 CANADIAN DOLLARS 2,414 Goldman Sachs 04/19/2021  (6)
US DOLLARS 677 CANADIAN DOLLARS 856 Goldman Sachs 04/19/2021  (4)
US DOLLARS 3,026 DANISH KRONE 18,476 Goldman Sachs 04/19/2021  106 
US DOLLARS 1,087 DANISH KRONE 6,694 Goldman Sachs 04/19/2021  29 
US DOLLARS 23,629 EURO 19,416 Goldman Sachs 04/19/2021  810 
US DOLLARS 5,015 EURO 4,152 Goldman Sachs 04/19/2021  135 
US DOLLARS 2,835 NORWEGIAN KRONE 23,994 Goldman Sachs 04/19/2021  25 
US DOLLARS 1,022 NORWEGIAN KRONE 8,693 Goldman Sachs 04/19/2021  4 
        $1,653 

 

52

 

 

 

Below is the financial information for ISLP:

 

Selected Balance Sheet Information

 

 

 

As of

 

 

 

March 31, 2021

 

Investments at fair value (cost - $323,693)

 

$

319,607

 

Cash

 

 

1,069

 

Foreign cash

 

 

1,611

 

Deferred financing costs

 

 

2,343

 

Other assets

 

 

8,673

 

Total assets

 

$

333,303

 

Debt

 

$

146,153

 

Subordinated notes payable to members

 

 

137,622

 

Other payables

 

 

1,843

 

Total liabilities

 

$

285,618

 

Members’ equity

 

 

47,685

 

Total liabilities and members’ equity

 

$

333,303

 

 

Selected Statement of Operations Information

 

 

 

For the three months ended

 

 

 

March 31, 2021

 

Investment Income

 

 

 

 

Interest Income

 

$

2,096

 

Other

 

 

 

Total investment income

 

 

2,096

 

Expenses

 

 

 

 

Interest and debt financing expenses

 

 

555

 

Interest expense on members subordinated notes

 

 

1,307

 

General and administrative expenses

 

 

357

 

Total expenses

 

 

2,219

 

Net investment income (loss)

 

 

(123

)

Net realized and unrealized gain (losses)

 

 

 

 

Net realized gain (loss) on investments

 

 

(22

)

Net realized gain (loss) on foreign currency transactions

 

 

3,344

 

Net unrealized gain (loss) on foreign currency

 

 

2,992

 

Net change in unrealized appreciation (depreciation) on forward contracts

 

 

1,653

 

Net change in unrealized appreciation (depreciation) on investments

 

 

(4,086

)

Net gain (loss) on investments

 

 

3,881

 

Net increase (decrease) in members’ equity resulting from operations

 

$

3,758

 

53

 

Note 4. Fair Value Measurements

 

Fair Value Disclosures

 

The following table presents fair value measurements of investments by major class, cash equivalents and derivatives as of March 31, 2021, according to the fair value hierarchy:

 

  Fair Value Measurements 
  Level 1  Level 2  Level 3  Total 
Investments:                
First Lien Senior Secured Loans $  $129,879  $1,785,803  $1,915,682 
Equity Interests        123,732   123,732 
Second Lien Senior Secured Loans     22,121   102,186   124,307 
Subordinated Note in Investment Vehicles (1)        97,360   97,360 
Preferred Equity        43,046   43,046 
Equity Interest in Investment Vehicles (1)        31,610   31,610 
Warrants        2   2 
Total Investments $  $152,000  $2,183,739  $2,335,739 
Cash equivalents $101,339  $  $  $101,339 
Forward currency exchange contracts (asset) $  $907  $  $907 
Forward currency exchange contracts (liability) $  $18,944  $  $18,944 

 

 

(1) Represents debt and equity investment in ISLP.

54

 

 

 

 

The following table presents fair value measurements of investments by major class, cash equivalents and derivatives as of December 31, 2020, according to the fair value hierarchy:

 

 

 

Fair Value Measurements

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

First Lien Senior Secured Loans

 

$

 

$

213,760

 

$

1,951,150

 

$

2,164,910

 

Second Lien Senior Secured Loans

 

 

 

 

21,619

 

 

140,341

 

 

161,960

 

Equity Interests

 

 

 

 

 

 

119,905

 

 

119,905

 

Preferred Equity

 

 

 

 

 

 

37,713

 

 

37,713

 

Warrants

 

 

 

 

 

 

 

 

 

Total Investments

 

$

 

$

235,379

 

$

2,249,109

 

$

2,484,488

 

Cash equivalents

 

$

54,952

 

$

 

$

 

$

54,952

 

Forward currency exchange contracts (liability)

 

$

 

$

22,614

 

$

 

$

22,614

 

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended March 31, 2021:

 

 

 

First Lien
Senior Secured
Loans

 

 

Equity
Interests

 

 

Second Lien
Senior Secured
Loans

 

 

Subordinated Note in Investment Vehicles (2)

 

 

 

Preferred
Equity

 

 

Equity Interest in Investment Vehicles (2)

 

 

Warrants

 

 

Total
Investments

 

Balance as of January 1, 2021

 

$

1,951,150

 

 

$

119,905

 

 

$

140,341

 

 

$

 

 

$

37,713

 

 

$

 

 

$

 

 

$

2,249,109

 

Purchases of investments and other adjustments to cost (1)

 

 

198,832

 

 

 

4,247

 

 

 

44,741

 

 

 

97,360

 

 

 

3,889

 

 

 

 

34,847

 

 

 

2

 

 

 

383,918

 

Paid-in-kind interest

 

 

2,365

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2,365

 

Net accretion of discounts (amortization of premiums)

 

 

1,354

 

 

 

 

 

 

139

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,493

 

Proceeds from principal repayments and sales of investments (1)

 

 

(417,636

)

 

 

 

 

 

(85,589

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(503,225

)

Net change in unrealized appreciation (depreciation) on investments

 

 

(14,671

)

 

 

(420

)

 

 

714

 

 

 

 

 

 

1,444

 

 

 

 

 

 

 

 

 

 

(12,933

)

Net realized gains (losses) on investments

 

 

17,293

 

 

 

 

 

 

1,840

 

 

 

 

 

 

 

 

 

 

(3,237

)

 

 

 

 

 

15,896

 

Transfers out of Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Transfers to Level 3

 

 

47,116

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

47,116

 

Balance as of March 31, 2021

 

$

1,785,803

 

 

$

123,732

 

 

$

102,186

 

 

$

97,360

 

 

$

43,046

 

 

 

$

31,610

 

 

$

2

 

 

$

2,183,739

 

Change in unrealized appreciation (depreciation) attributable to investments still held at March 31, 2021

 

$

(9,874

)

 

$

(420)

 

 

$

673

 

 

$

 

 

$

1,443

 

 

 

$

 

 

$

 

 

$

(8,178

)

 

 

(1) Includes reorganizations and restructuring of investments.

 

(2) Represents debt and equity investment in ISLP.

 

55

 

Transfers between levels, if any, are recognized at the beginning of the quarter in which transfers occur. For the three months ended March 31, 2021, transfers from Level 2 to Level 3 were primarily due to decreased price transparency. For the three months ended March 31, 2021, transfers from Level 3 to Level 2 were primarily due to increased price transparency.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended March 31, 2020:

 

 

 

First Lien
Senior Secured
Loans

 

 

First Lien
Last Out
Loans

 

 

Second Lien
Senior Secured
Loans

 

 

Subordinated
Debt

 

 

Equity
Interest

 

 

Preferred
Equity

 

 

Warrants

 

 

Total
Investments

 

Balance as of January 1, 2020

 

$

1,989,621

 

 

$

29,300

 

 

$

124,027

 

 

$

15,000

 

 

$

99,293

 

 

$

24,318

 

 

$

122

 

 

$

2,281,681

 

Purchases of investments and other adjustments to cost

 

 

269,337

 

 

 

116

 

 

 

 

 

 

 

 

 

6,594

 

 

 

 

 

 

 

 

 

276,047

 

Paid-in-kind interest

 

 

126

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

33

 

 

 

 

 

 

159

 

Net accretion of discounts (amortization of premiums)

 

 

1,019

 

 

 

11

 

 

 

90

 

 

 

11

 

 

 

 

 

 

 

 

 

 

 

 

1,131

 

Proceeds from principal repayments and sales of investments

 

 

(130,432

)

 

 

(11,622

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(142,054

)

Net change in unrealized depreciation on investments

 

 

(81,952

)

 

 

(1,547

)

 

 

(13,762

)

 

 

(11

)

 

 

(6,020

)

 

 

(2,818

)

 

 

(122

)

 

 

(106,232

)

Net realized losses on investments

 

 

(571

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(571

)

Transfers out of Level 3

 

 

(63,815

)

 

 

 

 

 

(2,735

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(66,550

)

Transfers to Level 3

 

 

95,946

 

 

 

 

 

 

13,743

 

 

 

 

 

 

 

 

 

 

 

 

 

 

             109,689 

Balance as of March 31, 2020

 

$

2,079,279

 

 

$

16,258

 

 

$

121,363

 

 

$

15,000

 

 

$

99,867

 

 

$

21,533

 

 

$

 

 

$

2,353,300

 

Change in unrealized depreciation attributable to investments still held at March 31, 2020

 

$

(80,065

)

 

$

(1,361

)

 

$

(13,762

)

 

$

(11

)

 

$

(6,020

)

 

$

(2,818

)

 

$

(122

)

 

$

(104,159

)

 

Transfers between levels, if any, are recognized at the beginning of the quarter in which transfers occur. For the three months ended March 31, 2020, transfers from Level 2 to Level 3 were primarily due to decreased price transparency. For the three months ended March 31, 2020, transfers from Level 3 to Level 2 were primarily due to increased price transparency.

 

56

 

 

Significant Unobservable Inputs

 

ASC 820 requires disclosure of quantitative information about the significant unobservable inputs used in the valuation of assets and liabilities classified as Level 3 within the fair value hierarchy. Disclosure of this information is not required in circumstances where a valuation (unadjusted) is obtained from a third-party pricing service and the information regarding the unobservable inputs is not reasonably available to the Company and as such, the disclosures provided below exclude those investments valued in that manner.

 

The valuation techniques and significant unobservable inputs used in Level 3 fair value measurements of assets as of March 31, 2021 were as follows:

 

 

 

As of March 31, 2021

 

 

 

 

 

 

Fair Value
of Level 3 Assets (1)

 

 

Valuation
Technique

 

 

Significant
Unobservable
Inputs

 

 

Range of Significant
Unobservable Inputs
(Weighted Average (2))

 

First Lien Senior Secured Loans

 

$

1,458,829

 

 

 

Discounted Cash Flows

 

 

 

Comparative Yields

 

 

 

4.7%-16.4% (8.1%

)

First Lien Senior Secured Loans

 

 

55,534

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.5x-7.5x (7.5x

)

First Lien Senior Secured Loans

 

 

18,861

 

 

 

Discounted Cash Flows

 

 

 

Discount Rate

 

 

 

10.0

%

First Lien Senior Secured Loans

 

 

16,774

 

 

 

Collateral Analysis

 

 

 

Recovery Rate

 

 

 

100.0

%

Second Lien Senior Secured Loans

 

 

81,695

 

 

 

Discounted Cash Flows

 

 

 

Comparative Yields

 

 

 

8.9%-16.1% (11.4%

)

Equity Interests

 

 

86,882

 

 

 

Discounted Cash Flows

 

 

 

Discount Rate

 

 

 

10.0%-16.4% (15.1%

)

Equity Interests

 

 

35,911

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.0x-20.8x (10.4x

)

Preferred Equity

 

 

16,574

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.8x-13.3x (11.2x

)

Preferred Equity

 

 

11,381

 

 

 

Discounted Cash Flows

 

 

 

Discount Rate

 

 

 

10.0

%

Warrants

 

 

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.8

x

Total investments

 

$

1,782,441

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(1)

Included within the Level 3 assets of $2,183,739 is an amount of $401,298 for which the Advisor did not develop the unobservable inputs for the determination of fair value (examples include single source quotation and prior or pending transactions such as investments originated in the quarter or imminent payoffs).

(2)

Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category.

 

57

 

 

The Company used the income approach and market approach to determine the fair value of certain Level 3 assets as of March 31, 2021. The significant unobservable inputs used in the income approach are the comparative yield and discount rate. The comparative yield and discount rate are used to discount the estimated future cash flows expected to be received from the underlying investment. An increase/decrease in the comparative yield or discount rate would result in a decrease/increase, respectively, in the fair value. The significant unobservable inputs used in the market approach are the comparable company multiple and the recovery rate. The multiple is used to estimate the enterprise value of the underlying investment. An increase/decrease in the multiple would result in an increase/decrease, respectively, in the fair value. The recovery rate represents the extent to which proceeds can be recovered. An increase/decrease in the recovery rate would result in an increase/decrease, respectively, in the fair value.

 

The valuation techniques and significant unobservable inputs used in Level 3 fair value measurements of assets as of December 31, 2020 were as follows:

 

 

 

As of December 31, 2020

 

 

 

Fair Value of
Level 3 Assets(1)

 

 

Valuation
Technique

 

 

Significant
Unobservable
Inputs

 

 

Range of Significant
Unobservable Inputs
(Weighted Average(2))

 

First Lien Senior Secured Loans

 

$

1,730,334

 

 

 

Discounted Cash Flows

 

 

 

Comparative Yields

 

 

 

4.7%-15.2% (7.7

)%

First Lien Senior Secured Loans

 

 

54,669

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.5x-7.5x (7.5x

)

 

 

 

 

 

 

 

 

 

 

 

Probability weighting
of alternative outcomes

 

 

 

33.3%-66.7

%

First Lien Senior Secured Loans

 

 

18,801

 

 

 

Discounted Cash Flows

 

 

 

Discount Rate

 

 

 

10.0%-10.0% (10.0

)%

First Lien Senior Secured Loans

 

 

17,907

 

 

 

Collateral Analysis

 

 

 

Recovery Rate

 

 

 

100

%

Second Lien Senior Secured Loans

 

 

103,764

 

 

 

Discounted Cash Flows

 

 

 

Comparative Yields

 

 

 

8.3%-15.7% (10.5

)%

Equity Interests

 

 

33,019

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.0x-17.0x (10.0x

)

Equity Interests

 

 

78,780

 

 

 

Discounted Cash Flows

 

 

 

Discount Rate

 

 

 

10.0%-16.4% (15.4

)%

Preferred Equity

 

 

27,474

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.8x-13.3x (11.5x

)

Preferred Equity

 

 

10,239

 

 

 

Discounted Cash Flows

 

 

 

Discount Rate

 

 

 

10.0

%

Warrants

 

 

 

 

 

Comparable Company Multiple

 

 

 

EBITDA Multiple

 

 

 

7.8x

Total investments

 

$

2,074,987

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 

(1)

Included within the Level 3 assets of $2,249,109 is an amount of $174,122 for which the Advisor did not develop the unobservable inputs for the determination of fair value (examples include single source quotation and prior or pending transactions).

(2)

Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category.

 

The Company used the income approach and market approach to determine the fair value of certain Level 3 assets as of December 31, 2020. The significant unobservable input used in the income approach is the comparative yield. The significant unobservable inputs used in the income approach are the comparative yield and discount rate. The comparative yield and discount rate are used to discount the estimated future cash flows expected to be received from the underlying investment. An increase/decrease in the comparative yield or discount rate would result in a decrease/increase, respectively, in the fair value. The significant unobservable input used in the market approach is the comparable company multiple. The multiple is used to estimate the enterprise value of the underlying investment. An increase/decrease in the multiple would result in an increase/decrease, respectively, in the fair value. The recovery rate represents the extent to which proceeds can be recovered. An increase/decrease in the recovery rate would result in an increase/decrease, respectively, in the fair value.

 

58

 

The fair values of the 2018-1 Notes (as defined in Note 6), which are categorized as Level 3 within the fair value hierarchy as of March 31, 2021 and December 31, 2020, approximate the carrying value of such notes. The fair value of the JPM Credit Facility (as defined in Note 6), which is categorized as Level 3 within the fair value hierarchy as of March 31, 2021 and December 31, 2020, approximates the carrying value of such facility. The fair values of the 2019-1 Debt (as defined in Note 6), which are categorized as Level 3 within the fair value hierarchy as of March 31, 2021 and December 31, 2020, approximate the carrying value of such debt. The fair values of the 2023 Notes (as defined in Note 6), which are categorized as Level 3 within the fair value hierarchy as of March 31, 2021 and December 31, 2020, approximate the carrying value of such notes. The fair values of the 2026 Notes (as defined in Note 6), which are categorized as Level 3 within the fair value hierarchy as of March 31, 2021, approximate the carrying value of such notes.

 

Note 5. Related Party Transactions

 

Investment Advisory Agreement

 

The Company entered into the first amended and restated investment advisory agreement as of November 14, 2018 (the “Investment Advisory Agreement”) with the Advisor, pursuant to which the Advisor manages the Company’s investment program and related activities. On November 28, 2018, the Board, including a majority of the Independent Directors, approved a second amended and restated advisory agreement (the “Amended Advisory Agreement”) between the Company and BCSF Advisors, LP (“the Advisor”). On February 1, 2019, Shareholders approved the Amended Advisory Agreement which replaced the existing Investment Advisory Agreement.

 

Base Management Fee

 

The Company pays the Advisor a base management fee (the “Base Management Fee”), accrued and payable quarterly in arrears. The Base Management Fee is calculated at an annual rate of 1.5% (0.375% per quarter) of the average value of the Company’s gross assets (excluding cash and cash equivalents, but including assets purchased with borrowed amounts) at the end of each of the two most recently completed calendar quarters. Such amount shall be appropriately adjusted (based on the actual number of days elapsed relative to the total number of days in such calendar quarter) for any share issuance or repurchases by the Company during a calendar quarter. The Base Management Fee for any partial quarter will be appropriately prorated. Effective February 1, 2019, the base management fee has been revised to a tiered management fee structure so that the base management fee of 1.5% (0.375% per quarter) of the average value of the Company’s gross assets (excluding cash and cash equivalents, but including assets purchased with borrowed amounts) will continue to apply to assets held at an asset coverage ratio down to 200%, but a lower base management fee of 1.0% (0.25% per quarter) of the average value of the Company’s gross assets (excluding cash and cash equivalents, but including assets purchased with borrowed amounts) will apply to any amount of assets attributable to leverage decreasing the Company’s asset coverage ratio below 200%.

 

For the three months ended March 31, 2021 and 2020, management fees were $8.7 million and $8.7 million, respectively. For the three months ended March 31, 2021, $0.0 million was contractually waived and $2.1 million was voluntarily waived. For the three months ended March 31, 2020, $0.0 million was contractually waived and $0.0 million was voluntarily waived.

 

As of March 31, 2021 and December 31, 2020, management fees payable were $6.6 million and $6.3 million, respectively.

 

Incentive Fee

 

The incentive fee consists of two parts that are determined independently of each other such that one component may be payable even if the other is not.

 

The first part, the Incentive Fee based on income is calculated and payable quarterly in arrears as detailed below.

 

The second part, the capital gains incentive fee, is determined and payable in arrears as detailed below.

 

Incentive Fee on Pre-Incentive Fee Net