Saratoga Investment Corp.
Consolidated Statements of Cash Flows
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For the Year Ended
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February 28,
2018
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February 28,
2017
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February 29,
2016
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Operating activities
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NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
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$
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17,679,145
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$
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11,387,481
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$
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11,645,558
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ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH PROVIDED
BY (USED IN) OPERATING ACTIVITIES:
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Payment-in-kind
interest income
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(2,664,627
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)
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(580,268
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)
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(966,906
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)
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Net accretion of discount on investments
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(1,035,501
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)
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(582,186
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)
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(507,180
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)
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Amortization of deferred debt financing costs
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990,035
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2,487,716
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913,773
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Net realized (gain) loss from investments
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5,877,568
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(12,368,115
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)
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(226,252
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)
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Net change in unrealized (appreciation) depreciation on investments
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(10,825,055
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)
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10,641,444
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(740,974
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)
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Proceeds from sales and repayments of investments
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66,312,032
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121,158,873
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68,174,143
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Purchase of investments
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(107,697,157
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)
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(126,934,895
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)
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(109,191,262
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)
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(Increase) decrease in operating assets:
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Interest receivable
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247,325
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(98,531
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)
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(726,521
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)
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Management and incentive fee receivable
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(61,918
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)
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(1,090
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)
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1,897
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Other assets
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(273,897
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)
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70,488
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(128,370
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)
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Receivable from unsettled trades
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253,041
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46,959
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(300,000
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)
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Increase (decrease) in operating liabilities:
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Base management and incentive fees payable
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(37,748
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)
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220,736
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(241,985
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)
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Accounts payable and accrued expenses
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215,458
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(99,719
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)
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73,141
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Interest and debt fees payable
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240,117
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1,212,168
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146,603
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Payable for repurchases of common stock
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(20,957
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)
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Directors fees payable
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(8,000
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)
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20,000
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Due to manager
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12,866
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179,412
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(147,727
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)
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NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES
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(30,776,316
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)
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6,739,516
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(32,222,062
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)
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Financing activities
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Borrowings on debt
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59,800,000
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9,000,000
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35,260,000
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Paydowns on debt
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(34,800,000
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)
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(20,200,000
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)
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Issuance of notes
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74,450,500
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13,493,125
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Repayments of notes
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(61,793,125
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)
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Payments of deferred debt financing costs
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(1,277,266
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)
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(3,225,528
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)
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(1,096,556
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)
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Proceeds from issuance of common stock
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7,838,351
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Payments of offering costs
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(82,483
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)
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Repurchases of common stock
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(3,332,839
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)
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(356,792
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)
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Payments of cash dividends
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(9,012,763
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)
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(6,785,339
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)
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(7,906,304
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)
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NET CASH PROVIDED BY FINANCING ACTIVITIES
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22,465,839
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8,313,669
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19,193,473
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NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH AND CASH EQUIVALENTS,
RESERVE ACCOUNTS
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(8,310,477
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)
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15,053,185
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(13,028,589
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CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF
PERIOD
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22,087,968
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7,034,783
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20,063,372
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CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD
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$
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13,777,491
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$
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22,087,968
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$
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7,034,783
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Supplemental information:
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Interest paid during the period
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$
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9,708,503
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$
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7,642,838
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$
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7,396,091
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Cash paid for taxes
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208,164
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144,247
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293,953
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Supplemental
non-cash
information:
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Payment-in-kind
interest income
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$
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2,664,627
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$
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580,268
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$
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966,906
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Net accretion of discount on investments
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1,035,501
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582,186
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507,180
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Amortization of deferred debt financing costs
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990,035
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2,487,716
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913,773
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Stock dividend distribution
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2,362,814
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5,147,335
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4,665,447
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See accompanying notes to consolidated financial statements.
F-11
SARATOGA INVESTMENT CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
February 28, 2018
Note 1.
Organization
Saratoga Investment Corp. (the Company, we, our and us) is a
non-diversified
closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (BDC) under the Investment Company Act
of 1940 (the 1940 Act). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed the initial public offering (IPO) on March 28, 2007. The Company has elected to be treated as a
regulated investment company (RIC) under subchapter M of the Internal Revenue Code (the Code). The Company expects to continue to qualify and to elect to be treated, for tax purposes, as a RIC. The Companys investment
objective is to generate current income and, to a lesser extent, capital appreciation from its investments.
GSC Investment, LLC (the
LLC) was organized in May 2006 as a Maryland limited liability company. As of February 28, 2007, the LLC had not yet commenced its operations and investment activities.
On March 21, 2007, the Company was incorporated and concurrently therewith the LLC was merged with and into the Company, with the Company
as the surviving entity, in accordance with the procedure for such merger in the LLCs limited liability company agreement and Maryland law. In connection with such merger, each outstanding limited liability company interest of the LLC was
converted into a share of common stock of the Company.
On July 30, 2010, the Company changed its name from GSC Investment
Corp. to Saratoga Investment Corp. in connection with the consummation of a recapitalization transaction.
The Company
is externally managed and advised by the investment adviser, Saratoga Investment Advisors, LLC (the Manager), pursuant to a management agreement (the Management Agreement). Prior to July 30, 2010, the Company was managed
and advised by GSCP (NJ), L.P.
The Company has established wholly-owned subsidiaries, SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH, Inc.,
SIA MAC, Inc., SIA TT, Inc., and SIA Vector, Inc., which are structured as Delaware entities, or tax blockers, to hold equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass
through entities). Tax blockers are consolidated for accounting purposes, but are not consolidated for income tax purposes and may incur income tax expense as a result of their ownership of portfolio companies.
On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (SBIC LP), received a Small Business
Investment Company (SBIC) license from the Small Business Administration (SBA).
On April 2, 2015, the SBA
issued a green light letter inviting the Company to continue the application process to obtain a license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued
review of our application for a second license, and in order to ensure that they were reviewing the most current information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this
request, with which we are in the process of complying, the existing green light letter that the SBA issued to us has expired. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital
by permitting us to issue up to $150.0 million of additional
SBA-guaranteed
debentures in addition to the $150.0 million already approved under the first license.
Note 2. Summary of Significant Accounting Policies
Basis of Presentation
The accompanying
consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (U.S. GAAP), are stated in U.S. Dollars and include the accounts of the Company and
its special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH, Inc., SIA MAC, Inc., SIA TT, Inc., and SIA Vector, Inc. All
intercompany accounts and transactions have been eliminated in consolidation. All references made to the Company, we, and us herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as
stated otherwise.
F-12
The Company and SBIC LP are both considered to be investment companies for financial reporting
purposes and have applied the guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946,
Financial Services Investment Companies
(ASC
946). There have been no changes to the Company or SBIC LPs status as investment companies during the year ended February 28, 2018.
Use of Estimates in the Preparation of Financial Statements
The preparation of the accompanying consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements, and income, gains (losses) and expenses during the period reported. Actual results
could differ materially from those estimates.
Cash and Cash Equivalents
Cash and cash equivalents include short-term, liquid investments in a money market fund. Cash and cash equivalents are carried at cost which
approximates fair value. Per section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another registered investment company such as, a money market fund if such investment would cause the Company to exceed any of the following limitations:
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we were to own more than 3.0% of the total outstanding voting stock of the money market fund;
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we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets, except as allowed pursuant to Rule
12d1-1
of
Section 12(d)(1) of the 1940 Act which is designed to permit cash sweep arrangements rather than investments directly in short-term instruments; or
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we were to hold securities in money market funds and other registered investment companies and BDCs having an aggregate value in excess of 10.0% of the value of our total assets.
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As of February 28, 2018, the Company did not exceed any of these limitations.
Cash and Cash Equivalents, Reserve Accounts
Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid
investments in money market funds, representing payments received on secured investments or other reserved amounts associated with the Companys $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The
Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility.
In addition, cash and cash equivalents, reserve accounts also include amounts held in designated bank accounts, in the form of cash and
short-term liquid investments in money market funds, within our wholly-owned subsidiary, SBIC LP.
In November 2016, the FASB issued
Accounting Standards Update (ASU)
2016-18,
Statement of Cash Flows
(Topic 230):
Restricted Cash
(ASU
2016-18).
ASU
2016-18
requires that the statements of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents.
Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the
beginning-of-period
and
end-of-period
total amounts shown on the statements of cash
flows. The new guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, and early adoption is permitted and is to be applied on a retrospective basis. The Company has adopted the
provisions of ASU
2016-18
as of November 30, 2016. The adoption of the provisions of ASU
2016-18
did not materially impact the Companys consolidated financial
position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.
F-13
The following table provides a reconciliation of cash and cash equivalents and cash and cash
equivalents, reserve accounts reported within the consolidated statements of assets and liabilities that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
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February 28,
2018
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February 28,
2017
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February 29,
2016
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Cash and cash equivalents
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$
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3,927,579
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$
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9,306,543
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$
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2,440,277
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Cash and cash equivalents, reserve accounts
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9,849,912
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12,781,425
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4,594,506
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Total cash and cash equivalents and cash and cash equivalents, reserve accounts
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$
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13,777,491
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$
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22,087,968
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$
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7,034,783
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Investment Classification
The Company classifies its investments in accordance with the requirements of the 1940 Act. Under the 1940 Act, Control Investments
are defined as investments in companies in which we own more than 25.0% of the voting securities or maintain greater than 50.0% of the board representation. Under the 1940 Act, Affiliated Investments are defined as those
non-control
investments in companies in which we own between 5.0% and 25.0% of the voting securities. Under the 1940 Act,
Non-affiliated
Investments are defined as
investments that are neither Control Investments nor Affiliated Investments.
Investment Valuation
The Company accounts for its investments at fair value in accordance with the FASB ASC Topic 820,
Fair Value Measurements and Disclosures
(ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value
measurements. ASC 820 requires the Company to assume that its investments are to be sold at the balance sheet date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market,
which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.
Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third party
pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are
not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third party independent valuation firm. Determinations of fair value may
involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio companys ability to make
payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.
The Company undertakes a multi-step valuation process each quarter when valuing investments for which market quotations are not readily
available, as described below:
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Each investment is initially valued by the responsible investment professionals of Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and
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An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not
readily available is reviewed by the independent valuation firm at least once each fiscal year.
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In addition, all our
investments are subject to the following valuation process:
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The audit committee of our board of directors reviews and approves each preliminary valuation and our Manager and independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any
comments provided by the audit committee; and
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Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of our Manager, independent valuation firm (to the extent applicable) and the audit
committee of our board of directors.
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The Companys investment in Saratoga Investment Corp. CLO
2013-1,
Ltd. (Saratoga CLO) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,
re-investment
and loss assumptions
based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available,
as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of
assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well
as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.
Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may
fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. The Companys net asset value
could be materially affected if the determinations regarding the fair value of our investments were materially higher or lower than the values that we ultimately realize upon the disposal of such investments.
F-14
Derivative Financial Instruments
The Company accounts for derivative financial instruments in accordance with ASC Topic 815,
Derivatives and Hedging
(ASC
815). ASC 815 requires recognizing all derivative instruments as either assets or liabilities on the consolidated statements of assets and liabilities at fair value. The Company values derivative contracts at the closing fair value provided by
the counterparty. Changes in the values of derivative contracts are included in the consolidated statements of operations.
Investment Transactions and
Income Recognition
Purchases and sales of investments and the related realized gains or losses are recorded on a trade-date basis.
Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis to the extent that such amounts are expected to be collected. The Company stops accruing interest on its investments when it is
determined that interest is no longer collectible. Discounts and premiums on investments purchased are accreted/amortized over the life of the respective investment using the effective yield method. The amortized cost of investments represents the
original cost adjusted for the accretion of discounts and amortization of premiums on investments.
Loans are generally placed on
non-accrual
status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on
non-accrual
status. Interest payments received on
non-accrual
loans may be recognized as a reduction in principal depending upon managements judgment regarding collectability.
Non-accrual
loans are restored to accrual status when past due principal and interest is paid and, in managements judgment, are likely to remain current, although we may make exceptions to this general
rule if the loan has sufficient collateral value and is in the process of collection. At February 28, 2018, certain investments in two portfolio companies were on
non-accrual
status with a fair value of
approximately $9.5 million, or 2.8% of the fair value of our portfolio.
Interest income on our investment in Saratoga CLO is
recorded using the effective interest method in accordance with the provisions of ASC Topic
325-40,
Investments-Other, Beneficial Interests in Securitized Financial Assets
, (ASC
325-40),
based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in
prepayments and/or
re-investments,
credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the
estimated yield was changed.
Other Income
Other income includes dividends received, origination fees, structuring fees and advisory fees, and is recorded in the consolidated statements
of operations when earned.
Payment-in-Kind
Interest
The Company holds debt and preferred equity investments in its portfolio that contain a
payment-in-kind
(PIK) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally
recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due.
Deferred Debt Financing Costs
Financing
costs incurred in connection with our credit facility and notes are deferred and amortized using the straight line method over the life of the respective facility and debt securities. Financing costs incurred in connection with our SBA debentures
are deferred and amortized using the effective yield method over the life of the debentures.
The Company presents deferred debt financing
costs on the balance sheet as a contra- liability as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.
Contingencies
In the ordinary course of
business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management
feels that the likelihood of such an event is remote. Therefore, the Company has not accrued any liabilities in connection with such indemnifications.
F-15
In the ordinary course of business, the Company may directly or indirectly be a defendant or
plaintiff in legal actions with respect to bankruptcy, insolvency or other types of proceedings. Such lawsuits may involve claims that could adversely affect the value of certain financial instruments owned by the Company.
Income Taxes
The Company has elected to
be treated for tax purposes as a RIC under the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for
federal income taxes.
In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its
stockholders at least 90.0% of its investment company taxable income, as defined by the Code, for each fiscal tax year. The Company will be subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does not distribute
at least 98.0% of its ordinary income in any calendar year and 98.2% of its capital gain net income for each
one-year
period ending on October 31.
Depending on the level of taxable income earned in a tax year, the Company may choose to carry forward taxable income in excess of current
year dividend distributions into the next tax year and pay a 4.0% excise tax on such income, as required. To the extent that the Company determines that its estimated current year annual taxable income will be in excess of estimated current year
dividend distributions for excise tax purposes, the Company accrues excise tax, if any, on estimated excess taxable income as taxable income is earned.
In accordance with certain applicable U.S. Treasury regulations and private letter rulings issued by the Internal Revenue Service
(IRS), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on
the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution. If too many stockholders elect to receive cash, each stockholder electing to receive cash will
receive a pro rata amount of cash (with the balance of the distribution paid in stock). In no event will any stockholder, electing to receive cash, receive less than 20.0% of his or her entire distribution in cash. If these and certain other
requirements are met, for U.S federal income tax purposes, the amount of the dividend paid in stock will be equal to the amount of cash that could have been received instead of stock.
ASC 740,
Income Taxes
, (ASC 740), provides guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Companys tax returns to determine whether the tax positions are
more-likely-than-not
of being sustained by the applicable tax authority. Tax positions deemed to meet a
more-likely-than-not
threshold would be
recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended
February 28, 2018, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2015, 2016 and 2017 federal tax years for the Company remain subject to
examination by the IRS. As of February 28, 2018 and February 28, 2017, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax
benefits will change significantly in the next 12 months.
Dividends
Dividends to common stockholders are recorded on the
ex-dividend
date. The amount to be paid out as a
dividend is determined by the board of directors. Net realized capital gains, if any, are generally distributed at least annually, although we may decide to retain such capital gains for reinvestment.
We have adopted a dividend reinvestment plan (DRIP) that provides for reinvestment of our dividend distributions on behalf of our
stockholders unless a stockholder elects to receive cash. As a result, if our board of directors authorizes, and we declare, a cash dividend, then our stockholders who have not opted out of the DRIP by the dividend record date will have
their cash dividends automatically reinvested into additional shares of our common stock, rather than receiving the cash dividends. We have the option to satisfy the share requirements of the DRIP through the issuance of new shares of common stock
or through open market purchases of common stock by the DRIP plan administrator.
F-16
Capital Gains Incentive Fee
The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the
consolidated statements of assets and liabilities, by the Company to its Investment Adviser when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments given the fact that a
capital gains incentive fee would be owed to the Investment Adviser if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Companys Investment Adviser related to capital gains will be
determined and payable in arrears at the end of each fiscal year and will include only realized capital gains net of realized and unrealized losses for the period.
Regulatory Matters
In October 2016, the
SEC adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation
S-X
and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation
S-X
was August 1, 2017. Management has adopted the amendments to Regulation
S-X
and included required disclosures in the Companys consolidated financial statements
and related disclosures.
New Accounting Pronouncements
In March 2017, the FASB issued ASU
2017-08,
Receivables Nonrefundable Fees and Other Costs
(Subtopic
310-20),
Premium Amortization on Purchased Callable Debt Securities
(ASU
2017-08)
which amends the amortization period for certain
purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU
2017-08
does not require any accounting change for debt securities held at a discount; the discount
continues to be amortized to maturity. ASU
2017-08
is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management has assessed these changes
and does not believe they would have a material impact on the Companys consolidated financial statements and disclosures.
In August
2016, the FASB issued ASU
2016-15,
Statement of Cash Flows
(Topic 230),
Classification of Certain Cash Receipts and Cash Payments
(ASU
2016-15),
which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The guidance is
effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management has assessed these changes and does not believe they would have a material impact on the Companys
consolidated financial statements and disclosures.
In February 2016, the FASB issued ASU
2016-02,
Amendments to the Leases
(ASU Topic 842), which will require for all operating leases the recognition of a
right-of-use
asset and a lease liability,
in the statement of financial position. The lease cost will be allocated over the lease term on a straight-line basis. This guidance is effective for annual and interim periods beginning after December 15, 2018. Management is currently evaluating
the impact these changes will have on the Companys consolidated financial statements and disclosures.
In January 2016, the FASB
issued ASU
2016-01,
Financial Instruments Overall (Subtopic
825-10):
Recognition and Measurement of Financial Assets and Financial Liabilities
(ASU
2016-01).
ASU
2016-01
retains many current requirements for the classification and measurement of financial instruments; however, it significantly revises an
entitys accounting related to (1) the classification and measurement of investments in equity securities and (2) the presentation of certain fair value changes for financial liabilities measured at fair value. ASU
2016-01
also amends certain disclosure requirements associated with the fair value of financial instruments. This guidance is effective for annual and interim periods beginning after December 15, 2017, and
early adoption is not permitted for public business entities. Management has assessed these changes and does not believe they would have a material impact on the Companys consolidated financial statements and disclosures.
In May 2014, the FASB issued ASU
2014-09,
Revenue from Contracts with Customers
(Topic 606),
which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the
consideration to which the entity expects to be entitled in exchange for those goods or services. In May 2016, ASU
2016-12
amended ASU
2014-09
and deferred the effective
period for annual periods beginning after December 15, 2017. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606, and has concluded that the only significant impact relates
to the timing of the recognition of the CLO incentive fee income.
Risk Management
In the ordinary course of its business, the Company manages a variety of risks, including market risk and credit risk. Market risk is the risk
of potential adverse changes to the value of investments because of changes in market conditions such as interest rate movements and volatility in investment prices.
Credit risk is the risk of default or
non-performance
by portfolio companies, equivalent to the
investments carrying amount.
The Company is also exposed to credit risk related to maintaining all of its cash and cash
equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.
F-17
The Company has investments in lower rated and comparable quality unrated high yield bonds and
bank loans. Investments in high yield investments are accompanied by a greater degree of credit risk. The risk of loss due to default by the issuer is significantly greater for holders of high yield securities, because such investments are generally
unsecured and are often subordinated to other creditors of the issuer.
Note 3. Investments
As noted above, the Company values all investments in accordance with ASC 820. ASC 820 requires enhanced disclosures about assets and
liabilities that are measured and reported at fair value. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date.
ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability of inputs
used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices
or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Based on the observability of the inputs used in the valuation techniques, the Company is required to provide disclosures on fair value
measurements according to the fair value hierarchy. The fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three
categories:
|
|
|
Level 1Valuations based on quoted prices in active markets for identical assets or liabilities that the Company has the ability to access.
|
|
|
|
Level 2Valuations based on inputs other than quoted prices in active markets, which are either directly or indirectly observable.
|
|
|
|
Level 3Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The inputs used in the determination of fair value may require significant management judgment or
estimation. Such information may be the result of consensus pricing information or broker quotes which include a disclaimer that the broker would not be held to such a price in an actual transaction. The
non-binding
nature of consensus pricing and/or quotes accompanied by a disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence.
|
In addition to using the above inputs in investment valuations, the Company continues to employ the valuation policy approved by the board of
directors that is consistent with ASC 820 and the 1940 Act (see Note 2). Consistent with our valuation policy, we evaluate the source of inputs, including any markets in which our investments are trading, in determining fair value.
The following table presents fair value measurements of investments, by major class, as of February 28, 2018 (dollars in thousands),
according to the fair value hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Syndicated loans
|
|
$
|
|
|
|
$
|
|
|
|
$
|
4,106
|
|
|
$
|
4,106
|
|
First lien term loans
|
|
|
|
|
|
|
|
|
|
|
197,359
|
|
|
|
197,359
|
|
Second lien term loans
|
|
|
|
|
|
|
|
|
|
|
95,075
|
|
|
|
95,075
|
|
Structured finance securities
|
|
|
|
|
|
|
|
|
|
|
16,374
|
|
|
|
16,374
|
|
Equity interests
|
|
|
|
|
|
|
|
|
|
|
29,780
|
|
|
|
29,780
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
|
|
|
$
|
|
|
|
$
|
342,694
|
|
|
$
|
342,694
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents fair value measurements of investments, by major class, as of February 28,
2017 (dollars in thousands), according to the fair value hierarchy:
F-18
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Syndicated loans
|
|
$
|
|
|
|
$
|
|
|
|
$
|
9,823
|
|
|
$
|
9,823
|
|
First lien term loans
|
|
|
|
|
|
|
|
|
|
|
159,097
|
|
|
|
159,097
|
|
Second lien term loans
|
|
|
|
|
|
|
|
|
|
|
87,750
|
|
|
|
87,750
|
|
Structured finance securities
|
|
|
|
|
|
|
|
|
|
|
15,450
|
|
|
|
15,450
|
|
Equity interests
|
|
|
|
|
|
|
|
|
|
|
20,541
|
|
|
|
20,541
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
|
|
|
$
|
|
|
|
$
|
292,661
|
|
|
$
|
292,661
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table provides a reconciliation of the beginning and ending balances for investments that use
Level 3 inputs for the year ended February 28, 2018 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Syndicated
loans
|
|
|
First lien
term loans
|
|
|
Second
lien
term loans
|
|
|
Structured
finance
securities
|
|
|
Equity
interests
|
|
|
Total
|
|
Balance as of February 28, 2017
|
|
$
|
9,823
|
|
|
$
|
159,097
|
|
|
$
|
87,750
|
|
|
$
|
15,450
|
|
|
$
|
20,541
|
|
|
$
|
292,661
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
(82
|
)
|
|
|
1,790
|
|
|
|
2,242
|
|
|
|
1,948
|
|
|
|
4,927
|
|
|
|
10,825
|
|
Purchases and other adjustments to cost
|
|
|
65
|
|
|
|
93,061
|
|
|
|
14,982
|
|
|
|
104
|
|
|
|
3,185
|
|
|
|
111,397
|
|
Sales and repayments
|
|
|
(5,642
|
)
|
|
|
(14,124
|
)
|
|
|
(42,023
|
)
|
|
|
(1,137
|
)
|
|
|
(3,386
|
)
|
|
|
(66,312
|
)
|
Net realized gain (loss) from investments
|
|
|
(58
|
)
|
|
|
(11
|
)
|
|
|
(7,713
|
)
|
|
|
9
|
|
|
|
1,896
|
|
|
|
(5,877
|
)
|
Restructures in
|
|
|
|
|
|
|
|
|
|
|
39,837
|
|
|
|
|
|
|
|
2,617
|
|
|
|
42,454
|
|
Restructures out
|
|
|
|
|
|
|
(42,454
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(42,454
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of February 28, 2018
|
|
$
|
4,106
|
|
|
$
|
197,359
|
|
|
$
|
95,075
|
|
|
$
|
16,374
|
|
|
$
|
29,780
|
|
|
$
|
342,694
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3
assets that were still held by the Company at the end of the year
|
|
$
|
(25
|
)
|
|
$
|
1,867
|
|
|
$
|
(575
|
)
|
|
$
|
1,947
|
|
|
$
|
5,579
|
|
|
$
|
8,793
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases and other adjustments to cost include purchases of new investments at cost, effects of
refinancing/restructuring, accretion/amortization of income from discount/premium on debt securities, and PIK.
Sales and repayments
represent net proceeds received from investments sold, and principal paydowns received, during the year.
Transfers and restructurings, if
any, are recognized at the beginning of the year in which they occur. Restructures in and out for the year ended February 28, 2018 included a restructure of Easy Ice, LLC of $26.7 million from a first lien term loan to a second lien term
loan; a restructure of Mercury Funding, LLCs first lien term loan of approximately $15.7 million to a second lien term loan; and a restructure of My Alarm Center, LLCs second lien term loan of approximately $2.6 million to an
equity interest.
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3
inputs for the year ended February 28, 2017 (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Syndicated
loans
|
|
|
First lien
term loans
|
|
|
Second
lien
term loans
|
|
|
Structured
finance
securities
|
|
|
Equity
interests
|
|
|
Total
|
|
Balance as of February 29, 2016
|
|
$
|
11,868
|
|
|
$
|
144,643
|
|
|
$
|
88,178
|
|
|
$
|
12,828
|
|
|
$
|
26,479
|
|
|
$
|
283,996
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
2,425
|
|
|
|
264
|
|
|
|
(1,597
|
)
|
|
|
833
|
|
|
|
(12,566
|
)
|
|
|
(10,641
|
)
|
Purchases and other adjustments to cost
|
|
|
62
|
|
|
|
93,069
|
|
|
|
20,996
|
|
|
|
4,501
|
|
|
|
9,469
|
|
|
|
128,097
|
|
Sales and repayments
|
|
|
(4,585
|
)
|
|
|
(78,805
|
)
|
|
|
(20,501
|
)
|
|
|
(2,712
|
)
|
|
|
(14,556
|
)
|
|
|
(121,159
|
)
|
Net realized gain from investments
|
|
|
53
|
|
|
|
364
|
|
|
|
236
|
|
|
|
|
|
|
|
11,715
|
|
|
|
12,368
|
|
Restructures in
|
|
|
|
|
|
|
|
|
|
|
438
|
|
|
|
|
|
|
|
|
|
|
|
438
|
|
F-19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Syndicated
loans
|
|
|
First lien
term loans
|
|
|
Second
lien
term loans
|
|
|
Structured
finance
securities
|
|
|
Equity
interests
|
|
|
Total
|
|
Restructures out
|
|
|
|
|
|
|
(438
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(438
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of February 28, 2017
|
|
$
|
9,823
|
|
|
$
|
159,097
|
|
|
$
|
87,750
|
|
|
$
|
15,450
|
|
|
$
|
20,541
|
|
|
$
|
292,661
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3
assets that were still held by the Company at the end of the year
|
|
$
|
1,279
|
|
|
$
|
(427
|
)
|
|
$
|
(2,387
|
)
|
|
$
|
833
|
|
|
$
|
(1,462
|
)
|
|
$
|
(2,164
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases and other adjustments to cost include purchases of new investments at cost, effects of
refinancing/restructuring, accretion/amortization of income from discount/premium on debt securities, and PIK.
Sales and repayments
represent net proceeds received from investments sold, and principal paydowns received, during the year.
Transfers and restructurings, if
any, are recognized at the beginning of the year in which they occur. During the year ended February 28, 2017, $0.4 million of Elyria Foundry Company, L.L.C. first lien term loan was restructured into a second lien term loan.
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of
February 28, 2018 were as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Valuation Technique
|
|
|
Unobservable Input
|
|
Range
|
Syndicated loans
|
|
$
|
4,106
|
|
|
|
Market Comparables
|
|
|
Third-Party Bid (%)
|
|
100.0%
|
|
|
|
|
|
First lien term loans
|
|
|
197,359
|
|
|
|
Market Comparables
|
|
|
Market Yield (%)
|
|
7.3% - 13.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBITDA Multiples (x)
|
|
3.0x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Third-Party Bid (%)
|
|
97.6% - 100.1%
|
|
|
|
|
|
Second lien term loans
|
|
|
95,075
|
|
|
|
Market Comparables
|
|
|
Market Yield (%)
|
|
10.0% - 16.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Third-Party Bid (%)
|
|
100.0% - 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBITDA Multiples (x)
|
|
5.0x
|
|
|
|
|
|
Structured finance securities
|
|
|
16,374
|
|
|
|
Discounted Cash Flow
|
|
|
Discount Rate (%)
|
|
8.5% - 15.0%
|
|
|
|
|
|
Equity interests
|
|
|
29,780
|
|
|
|
Market Comparables
|
|
|
EBITDA Multiples (x)
|
|
4.0x - 14.0x
|
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value
measurements of assets as of February 28, 2017 were as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
|
Syndicated loans
|
|
$
|
9,823
|
|
|
Market Comparables
|
|
Third-Party Bid (%)
|
|
|
100.5% - 101.1%
|
|
|
|
|
|
|
First lien term loans
|
|
|
159,097
|
|
|
Market Comparables
|
|
Market Yield (%)
|
|
|
6.3% - 39.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EBITDA Multiples (x)
|
|
|
3.0x - 10.3x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Third-Party Bid (%)
|
|
|
100.0% - 100.2%
|
|
|
|
|
|
|
Second lien term loans
|
|
|
87,750
|
|
|
Market Comparables
|
|
Market Yield (%)
|
|
|
10.1% - 26.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Third-Party Bid (%)
|
|
|
97.6% - 99.9%
|
|
|
|
|
|
|
Structured finance securities
|
|
|
15,450
|
|
|
Discounted Cash Flow
|
|
Discount Rate (%)
|
|
|
8.5% - 13.0%
|
|
|
|
|
|
|
Equity interests
|
|
|
20,541
|
|
|
Market Comparables
|
|
EBITDA Multiples (x)
|
|
|
3.7x - 12.0x
|
|
F-20
For investments utilizing a market comparables valuation technique, a significant increase
(decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the earnings before interest, tax, depreciation and amortization
(EBITDA) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the
discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. For investments utilizing a market quote in deriving a value, a significant increase (decrease) in the market quote, in isolation, would result in a
significantly higher (lower) fair value measurement.
The composition of our investments as of February 28, 2018, at amortized cost
and fair value was as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at
Amortized Cost
|
|
|
Amortized Cost
Percentage of
Total Portfolio
|
|
|
Investments at
Fair Value
|
|
|
Fair Value
Percentage of
Total Portfolio
|
|
Syndicated loans
|
|
$
|
4,033
|
|
|
|
1.2
|
%
|
|
$
|
4,106
|
|
|
|
1.2
|
%
|
First lien term loans
|
|
|
197,253
|
|
|
|
58.1
|
|
|
|
197,359
|
|
|
|
57.6
|
|
Second lien term loans
|
|
|
95,392
|
|
|
|
28.1
|
|
|
|
95,075
|
|
|
|
27.7
|
|
Structured finance securities
|
|
|
13,796
|
|
|
|
4.0
|
|
|
|
16,374
|
|
|
|
4.8
|
|
Equity interests
|
|
|
29,216
|
|
|
|
8.6
|
|
|
|
29,780
|
|
|
|
8.7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
339,690
|
|
|
|
100.0
|
%
|
|
$
|
342,694
|
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The composition of our investments as of February 28, 2017, at amortized cost and fair value was as
follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at
Amortized Cost
|
|
|
Amortized Cost
Percentage of
Total Portfolio
|
|
|
Investments at
Fair Value
|
|
|
Fair Value
Percentage of
Total Portfolio
|
|
Syndicated loans
|
|
$
|
9,669
|
|
|
|
3.2
|
%
|
|
$
|
9,823
|
|
|
|
3.4
|
%
|
First lien term loans
|
|
|
160,436
|
|
|
|
53.4
|
|
|
|
159,097
|
|
|
|
54.3
|
|
Second lien term loans
|
|
|
90,655
|
|
|
|
30.2
|
|
|
|
87,750
|
|
|
|
30.0
|
|
Structured finance securities
|
|
|
14,819
|
|
|
|
4.9
|
|
|
|
15,450
|
|
|
|
5.3
|
|
Equity interests
|
|
|
24,903
|
|
|
|
8.3
|
|
|
|
20,541
|
|
|
|
7.0
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
300,482
|
|
|
|
100.0
|
%
|
|
$
|
292,661
|
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For loans and debt securities for which market quotations are not available, we determine their fair value
based on third party indicative broker quotes, where available, or the assumptions that a hypothetical market participant would use to value the security in a current hypothetical sale using a market yield valuation methodology. In applying the
market yield valuation methodology, we determine the fair value based on such factors as market participant assumptions including synthetic credit ratings, estimated remaining life, current market yield and interest rate spreads of similar
securities as of the measurement date. If, in our judgment, the market yield methodology is not sufficient or appropriate, we may use additional methodologies such as an asset liquidation or expected recovery model.
For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value
then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then
waterfall the enterprise value over the portfolio companys securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation
methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public
companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating
the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For
non-performing
investments, we may estimate the liquidation or
collateral value of the portfolio companys assets and liabilities. We also take into account historical and anticipated financial results.
Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,
re-investment
and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in
collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for
the valuation of our investment in Saratoga CLO. The models use a set of
F-21
assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market
data and projections provided by third parties as well as management estimates. In connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLOs structure,
including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for
our investment in Saratoga CLO at February 28, 2018. The significant inputs at February 28, 2018 for the valuation model include:
|
|
|
Reinvestment rate / price: L+330bps / $99.875
|
Note 4. Investment in Saratoga Investment Corp. CLO
2013-1,
Ltd. (Saratoga CLO)
On January 22, 2008, the Company invested
$30.0 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by the Company that invests primarily in senior secured loans. Additionally, the Company entered
into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was initially refinanced in October 2013 and its reinvestment period ended in October 2016. On
November 15, 2016, the Company completed the second refinancing of the Saratoga CLO. The Saratoga CLO refinancing, among other things, extended its reinvestment period to October 2018, and extended its legal maturity date to October 2025.
Following the refinancing, the Saratoga CLO portfolio remained at the same size and with a similar capital structure of approximately $300.0 million in aggregate principal amount of predominantly senior secured first lien term loans. In
addition to refinancing its liabilities, we also purchased $4.5 million in aggregate principal amount of the Class F notes tranche of the Saratoga CLO at par, with a coupon of LIBOR plus 8.5%.
The Saratoga CLO remains 100.0% owned and managed by Saratoga Investment Corp. Following the refinancing, the Company receives a base
management fee of 0.10% and a subordinated management fee of 0.40% of the fee basis amount at the beginning of the collection period, paid quarterly to the extent of available proceeds. The Company is also entitled to an incentive management fee
equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%. For the years ended February 28, 2018, February 28, 2017 and
February 29, 2016, we accrued $1.5 million, $1.5 million and $1.5 million in management fee income, respectively, and $2.4 million, $1.9 million and $2.7 million in interest income, respectively, from Saratoga CLO.
For the year ended February 28, 2018, we accrued $0.6 million related to the incentive management fee from Saratoga CLO. For the years ended February 28, 2017 and February 29, 2016, we did not accrue any amounts related to the
incentive management fee from Saratoga CLO as the 12.0% hurdle rate had not yet been achieved.
As of February 28, 2018, the Company
determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $11.9 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the
projected future cash flows of the subordinated notes over the life of Saratoga CLO. At February 28, 2018, Saratoga CLO had investments with a principal balance of $310.4 million and a weighted average spread over LIBOR of 3.9%, and had
debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 2.4%. As a result, Saratoga CLO earns a spread between the interest income it receives on its investments and the interest expense it pays
on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At February 28, 2018, the present value of the projected future cash flows of the subordinated notes, was
approximately $12.2 million, using a 15.0% discount rate. Saratoga Investment Corp. invested $32.8 million into the CLO since January 2008, and to date has since received distributions of $52.7 million, management fees of
$18.0 million and incentive fees of $0.5 million.
At February 28, 2017, the Company determined that the fair value of its
investment in the subordinated notes of Saratoga CLO was $11.0 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the
subordinated notes over the life of Saratoga CLO. At February 28, 2017, Saratoga CLO had investments with a principal balance of $297.1 million and a weighted average spread over LIBOR of 4.1%, and had debt with a principal balance of
$282.4 million with a weighted average spread over LIBOR of 2.4%. As a result, Saratoga CLO earns a spread between the interest income it receives on its investments and the interest expense it pays on its debt and other operating
expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At February 28, 2017, the present value of the projected future cash flows of the subordinated notes, was approximately $11.1 million, using a
13.0% discount rate.
F-22
The separate audited financial statements of Saratoga CLO as of February 28, 2018 and
February 28, 2017, pursuant to Rule
3-09
of SEC rules Regulation
S-X,
and for the years ended February 28, 2018, February 28, 2017 and February 29,
2016, are presented on page
S-1.
Note 5. Income Taxes
The Company intends to operate so as to qualify to be taxed as a RIC under Subchapter M of the Code and, as such, will not be subject to
federal income tax on the portion of taxable income and gains distributed to stockholders.
The Company owns 100.0% of Saratoga CLO, an
exempted company incorporated in the Cayman Islands. For financial reporting purposes, the Saratoga CLO is not included as part of the consolidated financial statements. For federal income tax purposes, the Company has requested and received
approval from the IRS to treat the Saratoga CLO as a disregarded entity. As such, for federal income tax purposes and for purposes of meeting the RIC qualification and diversification tests, the results of operations of the Saratoga CLO are included
with those of the Company.
To qualify as a RIC, the Company is required to meet certain income and asset diversification tests in
addition to distributing at least 90.0% of its investment company taxable income, as defined by the Code. Because federal income tax regulations differ from U.S. GAAP, distributions in accordance with tax regulations may differ from net investment
income and realized gains recognized for financial reporting purposes. Differences may be permanent or temporary in nature. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character.
Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As of February 28, 2018 and February 28, 2017, the Company reclassified for book purposes amounts arising from
permanent book/tax differences primarily related to expired capital losses, nondeductible excise tax, reversal of blocker income earned, market discount and interest income with respect to the Saratoga CLO which is consolidated for tax purposes as
follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
Accumulated net investment income (loss)
|
|
$
|
(1,481
|
)
|
|
$
|
(123
|
)
|
Accumulated net realized gains on investments
|
|
|
13,082
|
|
|
|
168
|
|
Additional
paid-in-capital
|
|
|
(11,601
|
)
|
|
|
(45
|
)
|
For income tax purposes, distributions paid to shareholders are reported as ordinary income, return of
capital, long term capital gains or a combination thereof. The tax character of distributions paid for the years ended February 28, 2018, February 28, 2017 and February 29, 2016 was as follows (dollars in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
|
February 29,
2016
|
|
Ordinary income
|
|
$
|
11,376
|
|
|
$
|
11,057
|
|
|
$
|
13,045
|
|
Capital gains
|
|
|
|
|
|
|
|
|
|
|
|
|
Return of capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
11,376
|
|
|
$
|
11,057
|
|
|
$
|
13,045
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For federal income tax purposes, as of February 28, 2018, the aggregate net unrealized depreciation for
all securities is $2.0 million. The aggregate cost of securities for federal income tax purposes is $638.6 million.
For federal
income tax purposes, as of February 28, 2017, the aggregate net unrealized depreciation for all securities is $12.4 million. The aggregate cost of securities for federal income tax purposes is $586.6 million.
At February 28, 2018 and February 28, 2017, the components of accumulated losses on a tax basis as detailed below differ from the
amounts reflected per the Companys consolidated statements of assets and liabilities by temporary book/tax differences primarily arising from the consolidation of the Saratoga CLO for tax purposes, market discount and original issue discount
income, interest income accrual on defaulted bonds,
write-off
of investments, and amortization of organizational expenditures and partnership interests (dollars in thousands).
F-23
|
|
|
|
|
|
|
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
Post October loss deferred
|
|
$
|
|
|
|
$
|
|
|
Accumulated capital losses
|
|
|
(38,474
|
)
|
|
|
(46,338
|
)
|
Other temporary differences
|
|
|
(649
|
)
|
|
|
(56
|
)
|
Undistributed ordinary income
|
|
|
2,351
|
|
|
|
1,472
|
|
Unrealized appreciation (depreciation)
|
|
|
(1,980
|
)
|
|
|
(12,372
|
)
|
|
|
|
|
|
|
|
|
|
Total components of accumulated losses
|
|
$
|
(38,752
|
)
|
|
$
|
(57,294
|
)
|
|
|
|
|
|
|
|
|
|
The Company had incurred capital losses of $19.3 million for the year ended February 28, 2011. Such
capital losses will be available to offset future capital gains if any and if unused, will expire on February 28, 2019. The company had incurred capital losses of $13.0 million for year ended February 28, 2010 that expired as of
February 28, 2018.
At February 28, 2018, the Company had a short-term capital loss of $11.2 million and a long-term
capital loss of $7.9 million, available to offset future capital gains. Post
RIC-modernization
act losses are deemed to arise on the first day of the funds following fiscal year and there is no
expiration for these losses.
The Company is subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does
not distribute at least 98% of its ordinary income in any calendar year and 98.2% of its capital gain net income for each
one-year
period ending on October 31 of such calendar year. Depending on the level
of Investment Company Taxable Income (ICTI) earned in a tax year, the Company may choose to carry forward ICTI in excess of current year dividend distributions into the next tax year and pay a 4.0% excise tax on such income, as required.
To the extent that the Company determines that its estimated current year annual taxable income will be in excess of estimated current year dividend distributions for excise tax purposes, the Company accrues excise tax, if any, on estimated excess
taxable income as taxable income is earned. Any such carryover ICTI must be distributed before the end of that next tax year through a dividend declared prior to filing the final tax return related to the year which generated such ICTI.
Management has analyzed the Companys tax positions taken on federal income tax returns for all open years (fiscal years 2015-2018), and
has concluded that no provision for uncertain income tax positions is required in the Companys consolidated financial statements.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Modernization Act) was enacted, and the
provisions with the Modernization Act are effective for the Company for the year ended February 29, 2012. The Modernization Act is the first major piece of legislation affecting RICs since 1986 and it modernizes several of the federal income
and excise tax provisions related to RICs. Some highlights of the enacted provisions are as follows:
New capital losses may now be
carried forward indefinitely, and retain the character of the original loss. Under
pre-enactment
law, capital losses could be carried forward for eight years, and carried forward as short-term capital,
irrespective of the character of the original loss.
The Modernization Act contains simplification provisions, which are aimed at
preventing disqualification of a RIC for inadvertent failures of the asset diversification and/or qualifying income tests. Additionally, the Modernization Act exempts RICs from the preferential dividend rule, and repealed the
60-day
designation requirement for certain types of
pay-through
income and gains.
Finally, the Modernization Act contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during
the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions.
SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH Inc., SIA MAC, Inc., SIA TT, Inc., and SIA Vector, Inc., 100% owned by the Company, are each
filing standalone C Corporation tax returns for federal and state purposes. As separately regarded entities for tax purposes, these entities are taxed at normal corporate rates. For tax purposes, any distributions by the entities to the parent
company would generally need to be distributed to the Companys shareholders. Generally, such distributions of the entities income to the Companys shareholders will be considered as qualified dividends for tax purposes. The entities
taxable net income will differ from U.S. GAAP net income because of deferred tax temporary differences adjustments. Deferred tax temporary differences may include differences for state taxes and joint venture interests.
F-24
Note 6. Agreements and Related Party Transactions
On July 30, 2010, the Company entered into the Management Agreement with our Manager. The initial term of the Management Agreement was two
years, with automatic,
one-year
renewals at the end of each year, subject to certain approvals by our board of directors and/or the Companys stockholders. On July 11, 2017, our board of directors
approved the renewal of the Management Agreement for an additional
one-year
term. Pursuant to the Management Agreement, our Manager implements our business strategy on a
day-to-day
basis and performs certain services for us, subject to oversight by our board of directors. Our Manager is responsible for, among other duties, determining investment criteria, sourcing, analyzing
and executing investments transactions, asset sales, financings and performing asset management duties. Under the Management Agreement, we have agreed to pay our Manager a management fee for investment advisory and management services consisting of
a base management fee and an incentive fee.
The base management fee of 1.75% is calculated based on the average value of our gross assets
(other than cash or cash equivalents, but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters.
The incentive fee consists of the following two parts:
The first, payable quarterly in arrears, equals 20.0% of our
pre-incentive
fee net investment income,
expressed as a rate of return on the value of our net assets at the end of the immediately preceding quarter, that exceeds a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter, subject to a
catch-up
provision. Under this provision, in any fiscal quarter, our Manager receives no incentive fee unless our
pre-incentive
fee net investment income
exceeds the hurdle rate of 1.875%. Our Manager will receive 100.0% of
pre-incentive
fee net investment income, if any, that exceeds the hurdle rate but is less than or equal to 2.344% in any fiscal quarter;
and 20.0% of the amount of the our
pre-incentive
fee net investment income, if any, that exceeds 2.344% in any fiscal quarter. There is no accumulation of amounts on the hurdle rate from quarter to quarter,
and accordingly there is no claw back of amounts previously paid if subsequent quarters are below the quarterly hurdle rate, and there is no delay of payment if prior quarters are below the quarterly hurdle rate.
The second part of the incentive fee is determined and payable in arrears as of the end of each fiscal year (or upon termination of the
Management Agreement) and equals 20.0% of our incentive fee capital gains, which equals our realized capital gains on a cumulative basis from May 31, 2010 through the end of the fiscal year, if any, computed net of all realized
capital losses and unrealized capital depreciation on a cumulative basis, less the aggregate amount of any previously paid capital gain incentive fee. Importantly, the capital gains portion of the incentive fee is based on realized gains and
realized and unrealized losses from May 31, 2010. Therefore, realized and unrealized losses incurred prior to such time will not be taken into account when calculating the capital gains portion of the incentive fee, and our Manager will be
entitled to 20.0% of incentive fee capital gains that arise after May 31, 2010. In addition, for the purpose of the incentive fee capital gains calculations, the cost basis for computing realized gains and losses on investments held
by us as of May 31, 2010 will equal the fair value of such investments as of such date.
For the years ended February 28, 2018,
February 28, 2017 and February 29, 2016, the Company incurred $5.8 million, $4.9 million and $4.5 million in base management fees, respectively. For the years ended February 28, 2018, February 28, 2017 and
February 29, 2016, the Company incurred $3.4 million, $2.8 million and $2.3 million in incentive fees related to
pre-incentive
fee net investment income. For the years ended
February 28, 2018 and February 28, 2017, we accrued $0.9 million and $0.1 million, respectively, in incentive fees related to capital gains. For the year ended February 29, 2016, there was a reduction of $0.05 million
in incentive fees related to capital gains. The accrual is calculated using both realized and unrealized capital gains for the period. The actual incentive fee related to capital gains will be determined and payable in arrears at the end of the
fiscal year and will include only realized capital gains for the period. As of February 28, 2018, the base management fees accrual was $1.5 million and the incentive fees accrual was $4.3 million and is included in base management and
incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 28, 2017, the base management fees accrual was $1.2 million and the incentive fees accrual was $4.6 million and is included
in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities.
On July 30,
2010, the Company entered into a separate administration agreement (the Administration Agreement) with our Manager, pursuant to which our Manager, as our administrator, has agreed to furnish us with the facilities and administrative
services necessary to conduct our
day-to-day
operations and provide managerial assistance on our behalf to those portfolio companies to which we are required to provide
such assistance. The initial term of the Administration Agreement was two years, with automatic,
one-year
renewals at the end of each year subject to certain approvals by our board of directors and/or our
stockholders. The amount of expenses payable or reimbursable thereunder by the Company was capped at $1.0 million for the initial two year term of the Administration Agreement and subsequent renewals. On July 8, 2015, our board of
directors approved the renewal of the Administration Agreement for an additional
one-year
term and determined to increase the cap on the payment or reimbursement of expenses by the Company thereunder, which
had not been increased since the inception of the agreement, to $1.3 million. On July 7, 2016, our board of directors approved the renewal of the Administration Agreement for an additional
one-year
term. On October 5, 2016, our board of directors determined to increase the cap on the payment or reimbursement of expenses by the Company under the Administration Agreement, from $1.3 million to $1.5 million, effective
November 1, 2016. On July 11, 2017, our board of directors approved the renewal of the Administration Agreement for an additional
one-year
term, and determined to increase the cap on the payment or
reimbursement of expenses by the Company from $1.5 million to $1.75 million, effective August 1, 2017.
F-25
For the years ended February 28, 2018, February 28, 2017 and February 29, 2016, we
recognized $1.6 million, $1.4 million and $1.2 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent
and other overhead related expenses. As of February 28, 2018, $0.4 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. As of February 28,
2017, $0.4 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. For the years ended February 28, 2018, February 28, 2017 and
February 29, 2016, the Company neither bought nor sold any investments from the Saratoga CLO.
Note 7. Borrowings
Credit Facility
As a BDC, we are
only allowed to employ leverage to the extent that our asset coverage, as defined in the 1940 Act, equals at least 200.0% after giving effect to such leverage, or, if we obtain the required approvals from our independent directors and/or
stockholders, 150.0%. The amount of leverage that we employ at any time depends on our assessment of the market and other factors at the time of any proposed borrowing. Our asset coverage ratio, as defined in the 1940 Act, was 293.0% as of
February 28, 2018 and 271.0% as of February 28, 2017. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, our
non-interested
Board of Directors approved of our becoming subject to a minimum asset coverage ratio of 150.0% under Sections 18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The 150.0% asset
coverage ratio will become effective on April 16, 2019.
On April 11, 2007, we entered into a $100.0 million revolving
securitized credit facility (the Revolving Facility). On May 1, 2007, we entered into a $25.7 million term securitized credit facility (the Term Facility and, together with the Revolving Facility, the
Facilities), which was fully drawn at closing. In December 2007, we consolidated the Facilities by using a draw under the Revolving Facility to repay the Term Facility. In response to the market wide decline in financial asset prices,
which negatively affected the value of our portfolio, we terminated the revolving period of the Revolving Facility effective January 14, 2009 and commenced a
two-year
amortization period during which all
principal proceeds from the collateral were used to repay outstanding borrowings. A significant percentage of our total assets had been pledged under the Revolving Facility to secure our obligations thereunder. Under the Revolving Facility, funds
were borrowed from or through certain lenders and interest was payable monthly at the greater of the commercial paper rate and our lenders prime rate plus 4.00% plus a default rate of 2.00% or, if the commercial paper market was unavailable,
the greater of the prevailing LIBOR rates and our lenders prime rate plus 6.00% plus a default rate of 3.00%.
On July 30,
2010, we used the net proceeds from (i) the stock purchase transaction and (ii) a portion of the funds available to us under the $45.0 million senior secured revolving credit facility (the Credit Facility) with Madison
Capital Funding LLC, in each case, to pay the full amount of principal and accrued interest, including default interest, outstanding under the Revolving Facility. As a result, the Revolving Facility was terminated in connection therewith.
Substantially all of our total assets, other than those held by SBIC LP, have been pledged under the Credit Facility to secure our obligations thereunder.
On February 24, 2012, we amended our senior secured revolving credit facility with Madison Capital Funding LLC to, among other things:
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expand the borrowing capacity under the Credit Facility from $40.0 million to $45.0 million;
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extend the period during which we may make and repay borrowings under the Credit Facility from July 30, 2013 to February 24, 2015 (the Revolving Period). The Revolving Period may, upon the occurrence of
an event of default, by action of the lenders or automatically, be terminated. All borrowings and other amounts payable under the Credit Facility are due and payable five years after the end of the Revolving Period; and
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remove the condition that we may not acquire additional loan assets without the prior written consent of Madison Capital Funding LLC.
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On September 17, 2014, we entered into a second amendment to the Credit Facility with Madison Capital Funding LLC to, among other things:
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extend the commitment termination date from February 24, 2015 to September 17, 2017;
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extend the maturity date of the Credit Facility from February 24, 2020 to September 17, 2022 (unless terminated sooner upon certain events);
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reduce the applicable margin rate on base rate borrowings from 4.50% to 3.75%, and on LIBOR borrowings from 5.50% to 4.75%; and
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reduce the floor on base rate borrowings from 3.00% to 2.25%; and on LIBOR borrowings from 2.00% to 1.25%.
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F-26
On May 18, 2017, we entered into a third amendment to the Credit Facility with Madison
Capital Funding LLC to, among other things:
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extend the commitment termination date from September 17, 2017 to September 17, 2020;
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extend the final maturity date of the Credit Facility from September 17, 2022 to September 17, 2025 (unless terminated sooner upon certain events);
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reduce the floor on base rate borrowings from 2.25% to 2.00%;
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reduce the floor on LIBOR borrowings from 1.25% to 1.00%; and
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reduce the commitment fee rate from 0.75% to 0.50% for any period during which the ratio of advances outstanding to aggregate commitments, expressed as a percentage, is greater than or equal to 50%.
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In addition to any fees or other amounts payable under the terms of the Credit Facility agreement with Madison Capital Funding LLC, an
administrative agent fee per annum equal to $0.1 million is payable in equal monthly installments in arrears.
As of
February 28, 2018 and February 28, 2017, there were no outstanding borrowings under the Credit Facility and the Company was in compliance with all of the limitations and requirements of the Credit Facility. Financing costs of
$3.1 million related to the Credit Facility have been capitalized and are being amortized over the term of the facility. For the years ended February 28, 2018, February 28, 2017 and February 29, 2016, we recorded $0.8 million,
$0.4 million and $0.7 million of interest expense, respectively, which includes commitment and administrative agent fees.
For
the years ended February 28, 2018, February 28, 2017 and February 29, 2016, we recorded $0.1 million, $0.1 million and $0.1 million of amortization of deferred financing costs related to the Credit Facility and
Revolving Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. For the fiscal year ended February 28, 2018, the
average borrowings outstanding and the weighted average interest rate on outstanding borrowings under the Credit Facility was approximately $7.1 million and 6.02%, respectively. For the fiscal year ended February 28, 2017, there were no
outstanding borrowings under the Credit Facility. For the fiscal year ended February 29, 2016, the average borrowings outstanding under the Credit Facility was approximately $4.4 million and the weighted average interest rate on the
outstanding borrowings was 6.00%.
The Credit Facility contains limitations as to how borrowed funds may be used, such as restrictions on
industry concentrations, asset size, weighted average life, currency denomination and collateral interests. The Credit Facility also includes certain requirements relating to portfolio performance, the violation of which could result in the limit of
further advances and, in some cases, result in an event of default, allowing the lenders to accelerate repayment of amounts owed thereunder. The Credit Facility has an eight year term, consisting of a three year period (the Revolving
Period), under which the Company may make and repay borrowings, and a final maturity five years from the end of the Revolving Period. Availability on the Credit Facility will be subject to a borrowing base calculation, based on, among other
things, applicable advance rates (which vary from 50.0% to 75.0% of par or fair value depending on the type of loan asset) and the value of certain eligible loan assets included as part of the Borrowing Base. Funds may be borrowed at the
greater of the prevailing
one-month
LIBOR rate and 1.00%, plus an applicable margin of 4.75%. At the Companys option, funds may be borrowed based on an alternative base rate, which in no event will be
less than 2.00%, and the applicable margin over such alternative base rate is 3.75%. In addition, the Company will pay the lenders a commitment fee of 0.75% per year (or 0.50% if the ratio of advances outstanding to aggregate commitments is greater
than or equal to 50%) on the unused amount of the Credit Facility for the duration of the Revolving Period.
Our borrowing base under the
Credit Facility was $27.4 million subject to the Credit Facility cap of $45.0 million at February 28, 2018. For purposes of determining the borrowing base, most assets are assigned the values set forth in our most recent Annual Report
on Form
10-K
or Quarterly Report on Form
10-Q
filed with the Securities and Exchange Commission (SEC). Accordingly, the February 28, 2018 borrowing base
relies upon the valuations set forth in the Quarterly Report on Form
10-Q
for the period ended November 30, 2017, as filed with the SEC on January 10, 2018. The valuations presented in this Annual Report
on Form
10-K
will not be incorporated into the borrowing base until after this Annual Report on Form
10-K
is filed with the SEC.
SBA Debentures
SBIC LP is able to
borrow funds from the SBA against regulatory capital (which approximates equity capital) that is paid in and is subject to customary regulatory requirements including but not limited to an examination by the SBA. As of February 28, 2018, we
have funded SBIC LP with $75.0 million of equity capital, and have $137.7 million of
SBA-guaranteed
debentures outstanding. SBA debentures are
non-recourse
to
us, have a
10-year
maturity, and may be prepaid at any time without penalty. The interest rate of SBA debentures is fixed at the time of issuance, often referred to as pooling, at a market-driven spread over
10-year
U.S. Treasury Notes. SBA current regulations limit the amount that SBIC LP may borrow to a maximum of $150.0 million, which is up to twice its potential regulatory capital.
F-27
SBICs are designed to stimulate the flow of private equity capital to eligible small businesses.
Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the equity securities of small businesses. Under present SBA regulations, eligible small businesses include businesses that have a tangible net worth not
exceeding $19.5 million and have average annual fully taxed net income not exceeding $6.5 million for the two most recent fiscal years. In addition, an SBIC must devote 25.0% of its investment activity to smaller
concerns as defined by the SBA. A smaller concern is one that has a tangible net worth not exceeding $6.0 million and has average annual fully taxed net income not exceeding $2.0 million for the two most recent fiscal years. SBA
regulations also provide alternative size standard criteria to determine eligibility, which depend on the industry in which the business is engaged and are based on such factors as the number of employees and gross sales. According to SBA
regulations, SBICs may make long-term loans to small businesses, invest in the equity securities of such businesses and provide them with consulting and advisory services.
SBIC LP is subject to regulation and oversight by the SBA, including requirements with respect to maintaining certain minimum financial ratios
and other covenants. Receipt of an SBIC license does not assure that SBIC LP will receive
SBA-guaranteed
debenture funding, which is dependent upon SBIC LP continuing to be in compliance with SBA regulations
and policies. The SBA, as a creditor, will have a superior claim to SBIC LPs assets over our stockholders and debtholders in the event we liquidate SBIC LP or the SBA exercises its remedies under the
SBA-guaranteed
debentures issued by SBIC LP upon an event of default.
The Company received
exemptive relief from the SEC to permit it to exclude the debt of SBIC LP guaranteed by the SBA from the definition of senior securities in the 200.0% asset coverage test under the 1940 Act. This allows the Company increased flexibility under the
200.0% asset coverage test by permitting it to borrow up to $150.0 million more than it would otherwise be able to absent the receipt of this exemptive relief. On April 16, 2018, as permitted by the Small Business Credit Availability Act,
which was signed into law on March 23, 2018, the
non-interested
Board of Directors of the Company approved of the Company becoming subject to a minimum asset coverage ratio of 150.0% under Sections
18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The 150.0% asset coverage ratio will become effective on April 16, 2019.
As of February 28, 2018 and February 28, 2017, there was $137.7 million and $112.7 million outstanding of SBA debentures,
respectively. The carrying amount of the amount outstanding of SBA debentures approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage, $4.7 million, of financing costs related to the SBA
debentures, have been capitalized and are being amortized over the term of the commitment and drawdown.
For the years ended
February 28, 2018, February 28, 2017 and February 29, 2016, we recorded $4.1 million, $3.4 million and $2.6 million of interest expense related to the SBA debentures, respectively. For the years ended February 28,
2018, February 28, 2017 and February 29, 2016, we recorded $0.5 million, $0.5 million and $0.4 million of amortization of deferred financing costs related to the SBA debentures, respectively. Interest expense and
amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. The weighted average interest rate during the years ended February 28, 2018, February 28, 2017 and
February 29, 2016 on the outstanding borrowings of the SBA debentures was 3.14%, 3.13% and 3.12%, respectively. During the years ended February 28, 2018 and February 28, 2017, the average dollar amount of SBA debentures outstanding
was $130.1 million and $107.6 million, respectively.
In December 2015, the 2016 omnibus spending bill approved by Congress and
signed into law by the President increased the amount of
SBA-guaranteed
debentures that affiliated SBIC funds can have outstanding from $225.0 million to $350.0 million, subject to SBA approval. SBA
regulations currently limit the amount of
SBA-guaranteed
debentures that an SBIC may issue to $150.0 million when it has at least $75.0 million in regulatory capital. Affiliated SBICs are permitted
to issue up to a combined maximum amount of $350.0 million in
SBA-guaranteed
debentures when they have at least $175.0 million in combined regulatory capital.
On April 2, 2015, the SBA issued a green light letter inviting the Company to continue the application process to obtain a
license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued review of our application for a second license, and in order to ensure that they were reviewing the most current
information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this request, with which we are in the process of complying, the existing green light letter that the SBA issued
to us has expired. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue up to $150.0 million of additional
SBA-guaranteed
debentures in addition to the $150.0 million already approved under the first license.
Notes
On May 10, 2013, the Company issued $42.0 million in aggregate principal amount of 7.50% fixed-rate notes due 2020 (the 2020
Notes). The 2020 Notes will mature on May 31, 2020, and since May 31, 2016, may be redeemed in whole or in part at any time or from time to time at the Companys option. Interest will be payable quarterly beginning
August 15, 2013.
F-28
On May 17, 2013, the Company closed an additional $6.3 million in aggregate principal
amount of the 2020 Notes, pursuant to the full exercise of the underwriters option to purchase additional 2020 Notes. On May 29, 2015, the Company entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. through
which the Company may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an
At-the-Market
(ATM) offering. As of February 28, 2018, the Company sold 539,725 bonds with a principal of $13.5 million at an average price of $25.31 for aggregate net proceeds of $13.4 million (net of transaction costs).
On December 21, 2016, the Company issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate notes due 2023 (the
2023 Notes) for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The issuance included the exercise of substantially all
of the underwriters option to purchase an additional $9.8 million aggregate principal amount of 2023 Notes within 30 days. Interest on the 2023 Notes is paid quarterly in arrears on March 15, June 15, September 15 and
December 15, at a rate of 6.75% per year, beginning March 30, 2017. The 2023 Notes mature on December 30, 2023, and commencing December 21, 2019, may be redeemed in whole or in part at any time or from time to time at our option.
The net proceeds from the offering were used to repay all of the outstanding indebtedness under the 2020 Notes, which amounted to $61.8 million, and for general corporate purposes in accordance with our investment objective and strategies. The
2023 Notes are listed on the NYSE under the trading symbol SAB with a par value of $25.00 per share. The remaining unamortized deferred debt financing costs of $1.5 million (including underwriting commissions and net of issuance
premiums), was recorded within loss on debt extinguishment in the consolidated statements of operations in the fourth quarter of the fiscal year ended February 28, 2017, when the related 2020 Notes were extinguished. As of February 28,
2018, $2.8 million of financing costs related to the 2023 Notes have been capitalized and are being amortized over the term of the 2023 Notes.
As of February 28, 2018, the carrying amount and fair value of the 2023 Notes was $74.5 million and $76.5 million,
respectively. The fair value of the 2023 Notes, which are publicly traded, is based upon closing market quotes as of the measurement date and would be classified as a Level 1 liability within the fair value hierarchy. For the year ended
February 28, 2018, we recorded $5.0 million of interest expense and $0.4 million of amortization of deferred financing costs related to the 2023 Notes. As of February 28, 2017, the carrying amount and fair value of the 2023 Notes
was $74.5 million and $77.1 million, respectively. For the year ended February 28, 2017, we recorded $4.0 million of interest expense and $0.3 million of amortization of deferred financing costs related to the 2020 Notes,
and $1.0 million of interest expense and $0.1 million of amortization of deferred financing costs related to the 2023 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense
on the consolidated statements of operations. As of February 29, 2016, $2.7 million of financing costs related to the 2020 Notes (including underwriting commissions and net of issuance premiums) had been capitalized and were being
amortized over the term of the 2020 Notes. For the year ended February 29, 2016, we recorded $4.3 million of interest expense and $0.4 million of amortization of deferred financing costs related to the 2020 Notes. During the years
ended February 28, 2018 and February 28, 2017, the average dollar amount of 2023 Notes outstanding was $74.5 million and $74.5 million, respectively. During the years ended February 28, 2017 and February 29, 2016, the
average dollar amount of 2020 Notes outstanding was $61.8 million and of $55.9 million, respectively.
Note 8. Commitments and contingencies
Contractual obligations
The
following table shows our payment obligations for repayment of debt and other contractual obligations at February 28, 2018:
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Payment Due by Period
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Total
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Less Than
1 Year
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1 - 3
Years
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3 - 5
Years
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More Than
5 Years
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($ in thousands)
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Long-Term Debt Obligations
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$
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212,111
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$
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$
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$
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$
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212,111
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Off-balance
sheet arrangements
The Companys
off-balance
sheet arrangements consisted of $4.9 million and $2.0 million
of unfunded commitments to provide debt financing to its portfolio companies or to fund limited partnership interests as of February 28, 2018 and February 28, 2017, respectively. Such commitments are generally up to the Companys
discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Companys consolidated statements of assets and
liabilities and are not reflected in the Companys consolidated statements of assets and liabilities.
F-29
A summary of the composition of the unfunded commitments as of February 28,
2018 and February 28, 2017 is shown in the table below (dollars in thousands):
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As of
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February 28,
2018
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February 28,
2017
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CLEO Communications Holding, LLC
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$
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2,000
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$
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GreyHeller LLC
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2,000
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2,000
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Pathway Partners Vet Management Company LLC
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917
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Total
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$
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4,917
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$
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2,000
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Note 9. Directors Fees
The independent directors receive an annual fee of $40,000. They also receive $2,500 plus reimbursement of reasonable
out-of-
pocket expenses incurred in connection with attending each board meeting and receive $1,000 plus reimbursement of reasonable
out-of-
pocket expenses incurred in connection with attending each committee meeting. In addition, the chairman of the Audit Committee receives an annual fee of $5,000 and the chairman of each other committee
receives an annual fee of $2,000 for their additional services in these capacities. In addition, we have purchased directors and officers liability insurance on behalf of our directors and officers. Independent directors have the option
to receive their directors fees in the form of our common stock issued at a price per share equal to the greater of net asset value or the market price at the time of payment. No compensation is paid to directors who are interested
persons of the Company (as such term is defined in the 1940 Act). For the years ended February 28, 2018, February 28, 2017 and February 29, 2016, we incurred $0.2 million, $0.2 million and $0.2 million for
directors fees and expenses, respectively. As of February 28, 2018 and February 28, 2017, $0.04 million and $0.05 million in directors fees and expenses were accrued and unpaid, respectively. As of February 28, 2018,
we had not issued any common stock to our directors as compensation for their services.
Note 10. Stockholders Equity
On May 16, 2006, GSC Group, Inc. capitalized the LLC, by contributing $1,000 in exchange for 67 shares, constituting all of the issued and
outstanding shares of the LLC.
On March 20, 2007, the Company issued 95,995.5 and 8,136.2 shares of common stock, priced at $150.00
per share, to GSC Group and certain individual employees of GSC Group, respectively, in exchange for the general partnership interest and a limited partnership interest in GSC Partners CDO III GP, LP, collectively valued at $15.6 million. At
this time, the 6.7 shares owned by GSC Group in the LLC were exchanged for 6.7 shares of the Company.
On March 28, 2007, the Company
completed its IPO of 725,000 shares of common stock, priced at $150.00 per share, before underwriting discounts and commissions. Total proceeds received from the IPO, net of $7.1 million in underwriters discount and commissions, and
$1.0 million in offering costs, were $100.7 million.
On November 13, 2009, we declared a dividend of $18.25 per share
payable on December 31, 2009. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was
limited to $2.1 million or $2.50 per share. Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 of newly issued shares of common stock.
On July 30, 2010, our Manager and its affiliates purchased 986,842 shares of common stock at $15.20 per share. Total proceeds received
from this sale were $15.0 million.
On August 12, 2010, we effected a
one-for-ten
reverse stock split of our outstanding common stock. As a result of the reverse stock split, every ten shares of our common stock were converted into one share of our common stock. Any fractional
shares received as a result of the reverse stock split were redeemed for cash. The total cash payment in lieu of shares was $230. Immediately after the reverse stock split, we had 2,680,842 shares of our common stock outstanding.
On November 12, 2010, we declared a dividend of $4.40 per share payable on December 29, 2010. Shareholders had the option to receive
payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $1.2 million or $0.44 per share. Based on
shareholder elections, the dividend consisted of approximately $1.2 million in cash and 596,235 shares of common stock.
On
November 15, 2011, we declared a dividend of $3.00 per share payable on December 30, 2011. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock,
provided that the aggregate cash payable to all shareholders was limited to approximately $2.0 million or $0.60 per share. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 599,584 shares of
common stock.
F-30
On November 9, 2012, the Company declared a dividend of $4.25 per share payable on
December 31, 2012. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to
approximately $3.3 million or $0.85 per share. Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash and 853,455 shares of common stock.
On October 30, 2013, the Company declared a dividend of $2.65 per share payable on December 27, 2013. Shareholders had the option to
receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $2.5 million or $0.53 per share.
Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock.
On
September 24, 2014, the Company declared a dividend of $0.18 per share payable on November 28, 2014. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock pursuant to the Companys
DRIP. Based on shareholder elections, the dividend consisted of approximately $0.6 million in cash and 22,283 newly issued shares of common stock.
On September 24, 2014, the Company declared a dividend of $0.22 per share payable on February 27, 2015. Shareholders had the option
to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $0.8 million in cash and 26,858 newly issued shares of common stock.
On April 9, 2015, the Company declared a dividend of $0.27 per share payable on May 29, 2015. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $0.9 million in cash and 33,766 newly issued shares of common stock.
On May 14, 2015, the Company declared a special dividend of $1.00 per share payable on June 5, 2015. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 126,230 newly issued shares of common stock.
On July 8, 2015, the Company declared a dividend of $0.33 per share payable on August 31, 2015. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common stock.
On October 7, 2015, the Company declared a dividend of $0.36 per share payable on November 30, 2015. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 61,029 newly issued shares of common stock.
On January 12, 2016, the Company declared a dividend of $0.40 per share payable on February 29, 2016. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.4 million in cash and 66,765 newly issued shares of common stock.
On March 31, 2016, the Company declared a dividend of $0.41 per share payable on April 27, 2016. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 56,728 newly issued shares of common stock.
On July 7, 2016, the Company declared a dividend of $0.43 per share payable on August 9, 2016. Shareholders had the option to
receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,167 newly issued shares of common stock.
On August 8, 2016, the Company declared a special dividend of $0.20 per share payable on September 5, 2016. Shareholders had the
option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $0.7 million in cash and 24,786 newly issued shares of common
stock.
On October 5, 2016, the Company declared a dividend of $0.44 per share payable on November 9, 2016. Shareholders had the
option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,548 newly issued shares of common
stock.
On January 12, 2017, the Company declared a dividend of $0.45 per share payable on February 9, 2017. Shareholders had
the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.6 million in cash and 50,453 newly issued shares of
common stock.
F-31
On February 28, 2017, the Company declared a dividend of $0.46 per share payable on
March 28, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash
and 29,096 newly issued shares of common stock.
On May 30, 2017, the Company declared a dividend of $0.47 per share payable on
June 27, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash
and 26,222 newly issued shares of common stock.
On August 28, 2017, the Company declared a dividend of $0.48 per share payable on
September 26, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately $2.2 million in
cash and 33,551 newly issued shares of common stock.
On November 29, 2017, the Company declared a dividend of $0.49 per share
payable on December 27, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP. Based on shareholder elections, the dividend consisted of approximately
$2.5 million in cash and 25,435 newly issued shares of common stock.
On September 24, 2014, the Company announced the approval
of an open market share repurchase plan that allowed it to repurchase up to 200,000 shares of its common stock at prices below its NAV as reported in its then most recently published consolidated financial statements. On October 7, 2015, the
Companys board of directors extended the open market share repurchase plan for another year and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published
consolidated financial statements, to 400,000 shares of its common stock. On October 5, 2016, the Companys board of directors extended the open market share repurchase plan for another year to October 15, 2017 and increased the
number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of its common stock. On October 10, 2017, the Companys
board of directors extended the open market share repurchase plan for another year to October 15, 2018, leaving the number of shares unchanged at 600,000 shares of its common stock. As of February 28, 2018, the Company purchased 218,491
shares of common stock, at the average price of $16.87 for approximately $3.7 million pursuant to this repurchase plan.
On
March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. As of
February 28, 2018, the Company sold 348,123 shares for gross proceeds of $7.8 million at an average price of $22.52 for aggregate net proceeds of $7.8 million (net of transaction costs).
Note 11. Summarized Financial Information of Our Unconsolidated Subsidiary
In accordance with SEC Regulation
S-X
Rules
3-09
and
4-08(g),
the Company must determine which of its unconsolidated controlled portfolio companies, if any, are considered significant subsidiaries. After performing this analysis, the Company determined
that one of its portfolio companies, Easy Ice, LLC (Easy Ice) is not a significant subsidiary for the year ended February 28, 2018 under at least one of the significance conditions of Rule
4-08(g)
of SEC Regulation
S-X,
but was a significant subsidiary for the year ended February 28, 2017. Accordingly, audited financial information as of
December 31, 2016 and for the years ended December 31, 2016 and 2015 have been included as follows (in thousands):
|
|
|
|
|
|
|
As of
|
|
Balance Sheet Easy Ice, LLC
|
|
December 31, 2016
|
|
Current assets
|
|
$
|
1,058
|
|
Noncurrent assets
|
|
$
|
18,245
|
|
Current liabilities
|
|
$
|
3,473
|
|
Noncurrent liabilities
|
|
$
|
23,113
|
|
Total deficit
|
|
$
|
(7,283
|
)
|
|
|
|
|
|
|
|
|
|
|
|
For the years ended
|
|
Statement of Operations Easy Ice, LLC
|
|
December 31,
2016
|
|
|
December 31,
2015
|
|
Rental income
|
|
$
|
14,463
|
|
|
$
|
11,984
|
|
Rental expenses
|
|
$
|
8,463
|
|
|
$
|
7,238
|
|
Gross margin
|
|
$
|
6,000
|
|
|
$
|
4,746
|
|
Operating expenses
|
|
$
|
5,123
|
|
|
$
|
4,235
|
|
Income (loss) from operations
|
|
$
|
877
|
|
|
$
|
602
|
|
Net loss
|
|
$
|
(1,356
|
)
|
|
$
|
(1,629
|
)
|
F-32
Note 12. Earnings Per Share
In accordance with the provisions of FASB ASC 260,
Earnings per Share
(ASC 260), basic earnings per share is
computed by dividing earnings available to common shareholders by the weighted average number of shares outstanding during the period. Other potentially dilutive common shares, and the related impact to earnings, are considered when calculating
earnings per share on a diluted basis.
The following information sets forth the computation of the weighted average basic and diluted net
increase in net assets resulting from operations per share for the years ended February 28, 2018, February 28, 2017 and February 29, 2016 (dollars in thousands except share and per share amounts):
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic and diluted
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
|
February 29,
2016
|
|
Net increase in net assets resulting from operations
|
|
$
|
17,679
|
|
|
$
|
11,387
|
|
|
$
|
11,645
|
|
Weighted average common shares outstanding
|
|
|
6,024,040
|
|
|
|
5,740,450
|
|
|
|
5,582,453
|
|
Weighted average earnings per common share
|
|
$
|
2.93
|
|
|
$
|
1.98
|
|
|
$
|
2.09
|
|
Note 13. Dividend
On November 29, 2017, the Company declared a dividend of $0.49 per share payable on December 27, 2017, to common stockholders of
record on December 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant the Companys DRIP.
Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 25,435 newly issued shares of common
stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.14 per share, which equaled the volume weighted average trading
price per share of the common stock on December 13, 14, 15, 18, 19, 20, 21, 22, 26 and 27, 2017.
On August 28, 2017, the
Company declared a dividend of $0.48 per share which was paid on September 26, 2017, to common stockholders of record as of September 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of
common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $2.2 million in cash and
33,551 newly issued shares of common stock, or 0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.19 per share, which equaled
the volume weighted average trading price per share of the common stock on September 13, 14, 15, 18, 19, 20, 21, 22, 25 and 26, 2017.
On May 30, 2017, the Company declared a dividend of $0.47 per share which was paid on June 27, 2017, to common stockholders of
record as of June 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash and 26,222 newly issued shares of common
stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.04 per share, which equaled the volume weighted average trading
price per share of the common stock on June 14, 15, 16, 19, 20, 21, 22, 23, 26 and 27, 2017.
On February 28, 2017, the Company
declared a dividend of $0.46 per share which was paid on March 28, 2017, to common stockholders of record as of March 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock,
pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 29,096 newly
issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.38 per share, which equaled the volume
weighted average trading price per share of the common stock on March 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2017.
On
January 12, 2017, the Company declared a dividend of $0.45 per share, which was paid on February 9, 2017, to common stockholders of record as of January 31, 2017. Shareholders had the option to receive payment of the dividend in cash,
or receive shares of common stock, pursuant to our DRIP.
F-33
Based on shareholder elections, the dividend consisted of approximately $1.6 million in cash
and 50,453 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.25 per share, which
equaled the volume weighted average trading price per share of the common stock on January 27, 30, 31 and February 1, 2, 3, 6, 7, 8 and 9, 2017.
On October 5, 2016, the Company declared a dividend of $0.44 per share, which was paid on November 9, 2016, to common stockholders
of record as of October 31, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,548 newly issued shares of common
stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.12 per share, which equaled the volume weighted average trading
price per share of the common stock on October 27, 28, 31 and November 1, 2, 3, 4, 7, 8 and 9, 2016.
On August 8, 2016,
the Company declared a special dividend of $0.20 per share, which was paid on September 5, 2016, to common stockholders of record as of August 24, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive
shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $0.7 million
in cash and 24,786 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.06 per share,
which equaled the volume weighted average trading price per share of the common stock on August 22, 23, 24, 25, 26, 29, 30, 31 and September 1 and 2, 2016.
On July 7, 2016, the Company declared a dividend of $0.43 per share, which was paid on August 9, 2016, to common stockholders of
record as of July 29, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,167 newly issued shares of common
stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.32 per share, which equaled the volume weighted average trading
price per share of the common stock on July 27, 28, 29 and August 1, 2, 3, 4, 5, 8 and 9, 2016.
On March 31, 2016, the
Company declared a dividend of $0.41 per share, which was paid on April 27, 2016, to common stockholders of record as of April 15, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common
stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 56,728
newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.43 per share, which equaled the
volume weighted average trading price per share of the common stock on April 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2016.
On
January 12, 2016, the Company declared a dividend of $0.40 per share, which was paid on February 29, 2016, to common stockholders of record on February 1, 2016. Shareholders had the option to receive payment of the dividend in cash,
or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately
$1.4 million in cash and 66,765 newly issued shares of common stock, or 1.2% of the Companys outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on
a price of $13.11 per share, which equaled the volume weighted average trading price per share of the common stock on February 16, 17, 18, 19, 22, 23, 24, 25, 26 and 29, 2016.
On October 7, 2015, the Company declared a dividend of $0.36 per share, which was paid on November 30, 2015, to common stockholders
of record on November 2, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 61,029 newly issued shares of common
stock, or 1.1% of the Companys outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.53 per share, which equaled the volume weighted
average trading price per share of the common stock on November 16, 17, 18, 19, 20, 23, 24, 25, 27 and 30, 2015.
F-34
On July 8, 2015, the Company declared a dividend of $0.33 per share, which was paid on
August 31, 2015, to common stockholders of record on August 3, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common
stock, or 0.9% of the Companys outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.28 per share, which equaled the volume weighted
average trading price per share of the common stock on August 18, 19, 20, 21, 24, 25, 26, 27, 28 and 31, 2015.
On May 14, 2015,
the Company declared a special dividend of $1.00 per share, which was paid on June 5, 2015, to common stockholders of record on May 26, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of
common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and
126,230 newly issued shares of common stock, or 2.3% of the Companys outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.47 per share,
which equaled the volume weighted average trading price per share of the common stock on May 22, 26, 27, 28, 29 and June 1, 2, 3, 4, and 5, 2015.
On April 9, 2015, the Company declared a dividend of $0.27 per share, which was paid on May 29, 2015, to common stockholders of
record on May 4, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.
Based on shareholder elections, the dividend consisted of approximately $0.9 million in cash and 33,766 newly issued shares of common
stock, or 0.6% of the Companys outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.78 per share, which equaled the volume weighted
average trading price per share of the common stock on May 15, 18, 19, 20, 21, 22, 26, 27, 28 and 29, 2015.
On September 24,
2014, the Company declared a dividend of $0.22 per share, which was paid on February 27, 2015. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock pursuant to the Companys DRIP.
Based on shareholder elections, the dividend consisted of approximately $0.8 million in cash and 26,858 newly issued shares of common
stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.97 per share, which equaled the volume weighted average trading
price per share of the common stock on February 13, 17, 18, 19, 20, 23, 24, 25, 26 and 27, 2015.
On September 24, 2014, the
Company declared a dividend of $0.18 per share, which was paid on November 28, 2014. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock pursuant to the Companys DRIP.
Based on shareholder elections, the dividend consisted of approximately $0.6 million in cash and 22,283 newly issued shares of common
stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.37 per share, which equaled the volume weighted average trading
price per share of the common stock on November 14, 17, 18, 19, 20, 21, 24, 25, 26 and 28, 2014.
On October 30, 2013, the
Company declared a dividend of $2.65 per share, which was paid on December 27, 2013. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided
that the aggregate cash payable to all shareholders was limited to approximately $2.5 million or $0.53 per share. This dividend was declared in reliance on certain private letter rulings issued by the IRS concluding that a RIC may treat a
distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be
distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution.
Based on shareholder
elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock, or 13.7% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock
portion was calculated based on a price of $15.439 per share, which equaled the volume weighted average trading price per share of the common stock on December 11, 13, and 16, 2013.
On November 9, 2012, the Company declared a dividend of $4.25 per share, which was paid on December 31, 2012. Shareholders had the
option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $3.3 million or $0.85 per
share.
F-35
Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash
and 853,455 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the
payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.444 per share, which equaled the volume weighted average
trading price per share of the common stock on December 14, 17, and 19, 2012.
On November 15, 2011, the Company declared a
dividend of $3.00 per share, which was paid on December 30, 2011. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate
cash payable to all shareholders was limited to approximately $2.0 million or $0.60 per share.
Based on shareholder elections, the
dividend consisted of approximately $2.0 million in cash and 599,584 shares of common stock, or 18.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of
20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price
of $13.1171 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011.
On November 12, 2010, the Company declared a dividend of $4.40 per share, which was paid on December 29, 2010. Shareholders had the
option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $1.2 million or $0.44 per
share.
Based on shareholder elections, the dividend consisted of approximately $1.2 million in cash and 596,235 shares of common
stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 10.0% of the aggregate dividend amount, thus resulting in the payment of a combination of
cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.8049 per share, which equaled the volume weighted average trading price per share of
the common stock on December 20, 21 and 22, 2010. The consolidated financial statements for the period ended November 30, 2010 have been retroactively adjusted to reflect the increase in common stock as a result of the dividend in
accordance with the provisions of ASC
505-20-S50
regarding disclosure of a capital structure change after the interim balance sheet but before the release of the
financial statements.
The following tables summarize dividends declared for the years ended February 28, 2018, February 28,
2017, February 29, 2016, February 28, 2015 and February 28, 2014 (dollars in thousands except per share amounts):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
|
Payment Date
|
|
|
Amount
Per Share*
|
|
|
Total
Amount
|
|
November 29, 2017
|
|
|
December 15, 2017
|
|
|
|
December 27, 2017
|
|
|
$
|
0.49
|
|
|
$
|
3,052
|
|
August 28, 2017
|
|
|
September 15, 2017
|
|
|
|
September 26, 2017
|
|
|
|
0.48
|
|
|
|
2,866
|
|
May 30, 2017
|
|
|
June 15, 2017
|
|
|
|
June 27, 2017
|
|
|
|
0.47
|
|
|
|
2,792
|
|
February 28, 2017
|
|
|
March 15, 2017
|
|
|
|
March 28, 2017
|
|
|
|
0.46
|
|
|
|
2,666
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends declared
|
|
|
|
|
|
|
|
|
|
$
|
1.90
|
|
|
$
|
11,376
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-36
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
|
Payment Date
|
|
|
Amount
Per Share*
|
|
|
Total
Amount
|
|
January 12, 2017
|
|
|
January 31, 2017
|
|
|
|
February 9, 2017
|
|
|
$
|
0.45
|
|
|
$
|
2,585
|
|
October 5, 2016
|
|
|
October 31, 2016
|
|
|
|
November 9, 2016
|
|
|
|
0.44
|
|
|
|
2,509
|
|
August 8, 2016
|
|
|
August 24, 2016
|
|
|
|
September 5, 2016
|
|
|
|
0.20
|
|
|
|
1,151
|
|
July 7, 2016
|
|
|
July 29, 2016
|
|
|
|
August 9, 2016
|
|
|
|
0.43
|
|
|
|
2,466
|
|
March 31, 2016
|
|
|
April 15, 2016
|
|
|
|
April 27, 2016
|
|
|
|
0.41
|
|
|
|
2,346
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends declared
|
|
|
|
|
|
|
|
|
|
$
|
1.93
|
|
|
$
|
11,057
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
|
Payment Date
|
|
|
Amount
Per Share*
|
|
|
Total
Amount
|
|
January 12, 2016
|
|
|
February 1, 2016
|
|
|
|
February 29, 2016
|
|
|
$
|
0.40
|
|
|
$
|
2,278
|
|
October 7, 2015
|
|
|
November 2, 2015
|
|
|
|
November 30, 2015
|
|
|
|
0.36
|
|
|
|
2,028
|
|
July 8, 2015
|
|
|
August 3, 2015
|
|
|
|
August 31, 2015
|
|
|
|
0.33
|
|
|
|
1,844
|
|
May 14, 2015
|
|
|
May 26, 2015
|
|
|
|
June 5, 2015
|
|
|
|
1.00
|
|
|
|
5,429
|
|
April 9, 2015
|
|
|
May 4, 2015
|
|
|
|
May 29, 2015
|
|
|
|
0.27
|
|
|
|
1,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends declared
|
|
|
|
|
|
|
|
|
|
$
|
2.36
|
|
|
$
|
13,045
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
|
Payment Date
|
|
|
Amount
Per Share*
|
|
|
Total
Amount
|
|
September 24, 2014
|
|
|
November 3, 2014
|
|
|
|
November 28, 2014
|
|
|
$
|
0.18
|
|
|
$
|
968
|
|
September 24, 2014
|
|
|
February 2, 2015
|
|
|
|
February 27, 2015
|
|
|
|
0.22
|
|
|
|
1,189
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends declared
|
|
|
|
|
|
|
|
|
|
$
|
0.40
|
|
|
$
|
2,157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
|
Payment Date
|
|
|
Amount
Per Share*
|
|
|
Total
Amount
|
|
October 30, 2013
|
|
|
November 13, 2013
|
|
|
|
December 27, 2013
|
|
|
$
|
2.65
|
|
|
$
|
12,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total dividends declared
|
|
|
|
|
|
|
|
|
|
$
|
2.65
|
|
|
$
|
12,535
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Amount per share is calculated based on the number of shares outstanding at the date of declaration.
|
F-37
Note 14. Financial Highlights
The following is a schedule of financial highlights for the years ended February 28, 2018, February 28, 2017, February 29, 2016,
February 28, 2015 and February 28, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
February 28,
|
|
|
February 28,
|
|
|
February 29,
|
|
|
February 28,
|
|
|
February 28,
|
|
|
|
2018
|
|
|
2017
|
|
|
2016
|
|
|
2015
|
|
|
2014
|
|
Per share data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value at beginning of period
|
|
$
|
21.97
|
|
|
$
|
22.06
|
|
|
$
|
22.70
|
|
|
$
|
21.08
|
|
|
$
|
22.71
|
|
Net investment income(1)
|
|
|
2.11
|
|
|
|
1.68
|
|
|
|
1.91
|
|
|
|
1.80
|
|
|
|
1.80
|
|
Net realized and unrealized gains and losses on investments(1)
|
|
|
0.82
|
|
|
|
0.30
|
|
|
|
0.18
|
|
|
|
0.24
|
|
|
|
(0.07
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations
|
|
|
2.93
|
|
|
|
1.98
|
|
|
|
2.09
|
|
|
|
2.04
|
|
|
|
1.73
|
|
Distributions declared from net investment income
|
|
|
(1.90
|
)
|
|
|
(1.93
|
)
|
|
|
(2.36
|
)
|
|
|
(0.40
|
)
|
|
|
(2.65
|
)
|
Total distributions to stockholders
|
|
|
(1.90
|
)
|
|
|
(1.93
|
)
|
|
|
(2.36
|
)
|
|
|
(0.40
|
)
|
|
|
(2.65
|
)
|
Dilution(2)
|
|
|
(0.04
|
)
|
|
|
(0.14
|
)
|
|
|
(0.37
|
)
|
|
|
(0.02
|
)
|
|
|
(0.71
|
)
|
Net asset value at end of period
|
|
$
|
22.96
|
|
|
$
|
21.97
|
|
|
$
|
22.06
|
|
|
$
|
22.70
|
|
|
$
|
21.08
|
|
Net assets at end of period
|
|
$
|
143,691,367
|
|
|
$
|
127,294,777
|
|
|
$
|
125,149,875
|
|
|
$
|
122,598,742
|
|
|
$
|
113,427,929
|
|
Shares outstanding at end of period
|
|
|
6,257,029
|
|
|
|
5,794,600
|
|
|
|
5,672,227
|
|
|
|
5,401,899
|
|
|
|
5,379,616
|
|
Per share market value at end of period
|
|
$
|
21.86
|
|
|
$
|
22.74
|
|
|
$
|
14.22
|
|
|
$
|
15.76
|
|
|
$
|
15.85
|
|
Total return based on market value(3)
|
|
|
5.28
|
%
|
|
|
80.83
|
%
|
|
|
4.27
|
%
|
|
|
1.63
|
%
|
|
|
9.11
|
%
|
Total return based on net asset value(4)
|
|
|
14.45
|
%
|
|
|
12.62
|
%
|
|
|
11.10
|
%
|
|
|
10.09
|
%
|
|
|
8.75
|
%
|
Ratio/Supplemental data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio of net investment income to average net assets
|
|
|
9.37
|
%
|
|
|
7.57
|
%
|
|
|
8.52
|
%
|
|
|
8.11
|
%
|
|
|
7.97
|
%
|
Ratio of operating expenses to average net
assets
|
|
|
7.81
|
%
|
|
|
7.21
|
%
|
|
|
6.93
|
%
|
|
|
6.52
|
%
|
|
|
6.28
|
%
|
Ratio of incentive management fees to average net assets
|
|
|
3.19
|
%
|
|
|
2.31
|
%
|
|
|
1.78
|
%
|
|
|
2.14
|
%
|
|
|
0.84
|
%
|
Ratio of interest and debt financing expenses to average net assets
|
|
|
8.05
|
%
|
|
|
7.75
|
%
|
|
|
6.75
|
%
|
|
|
6.19
|
%
|
|
|
5.46
|
%
|
Ratio of total expenses to average net assets
|
|
|
19.05
|
%
|
|
|
18.41
|
%
|
|
|
15.46
|
%
|
|
|
14.85
|
%
|
|
|
12.59
|
%
|
Portfolio turnover rate(5)
|
|
|
19.73
|
%
|
|
|
43.76
|
%
|
|
|
26.22
|
%
|
|
|
31.28
|
%
|
|
|
37.82
|
%
|
Asset coverage ratio per unit(6)
|
|
|
2,930
|
|
|
|
2,710
|
|
|
|
3,025
|
|
|
|
3,117
|
|
|
|
3,348
|
|
Average market value per unit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Facility(7)
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
SBA Debentures(7)
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
2020 Notes
|
|
|
N/A
|
|
|
|
N/A
|
|
|
$
|
25.24
|
|
|
$
|
25.46
|
|
|
$
|
25.18
|
|
2023 Notes
|
|
$
|
26.05
|
|
|
$
|
25.89
|
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
N/A
|
|
As described in the Companys February 29, 2016 Annual Report, we identified errors that impacted the
year ended February 28, 2014. The corrections for the errors, which we have concluded are immaterial to all prior period consolidated financial statements, are reflected in the selected financial data included in this Form
10-K.
(1)
|
Per share amounts are calculated using the weighted average shares outstanding during the period.
|
(2)
|
Represents the dilutive effect of issuing common stock below net asset value per share during the period in connection with the satisfaction of the Companys annual RIC distribution requirement. See Note 13,
Dividend.
|
(3)
|
Total investment return is calculated assuming a purchase of common shares at the current market value on the first day and a sale at the current market value on the last day of the periods reported. Dividends and
distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Companys DRIP. Total investment return does not reflect brokerage commissions.
|
(4)
|
Total investment return is calculated assuming a purchase of common shares at the current net asset value on the first day and a sale at the current net asset value on the last day of the periods reported. Dividends and
distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Companys DRIP. Total investment return does not reflect brokerage commissions.
|
F-38
(5)
|
Portfolio turnover rate is calculated using the lesser of
year-to-date
sales or
year-to-date
purchases over the average of the invested assets at fair value.
|
(6)
|
Asset coverage ratio per unit is the ratio of the carrying value of our total consolidated assets, less all liabilities and indebtedness not represented by senior securities, to the aggregate amount of senior securities
representing indebtedness. Asset coverage ratio per unit is expressed in terms of dollar amounts per $1,000 of indebtedness. Asset coverage ratio per unit does not include unfunded commitments. The inclusion of unfunded commitments in the
calculation of the asset coverage ratio per unit would not cause us to be below the required amount of regulatory coverage.
|
(7)
|
The Credit Facility and SBA Debentures are not registered for public trading.
|
Note 15. Selected Quarterly
Data (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2018
|
|
($ in thousands, except per share numbers)
|
|
Qtr 4
|
|
|
Qtr 3
|
|
|
Qtr 2
|
|
|
Qtr 1
|
|
Total investment income
|
|
$
|
10,128
|
|
|
$
|
9,526
|
|
|
$
|
10,254
|
|
|
$
|
8,707
|
|
Net investment income
|
|
|
3,321
|
|
|
|
3,016
|
|
|
|
2,891
|
|
|
|
3,504
|
|
Net realized and unrealized gain (loss)
|
|
|
2,211
|
|
|
|
1,247
|
|
|
|
3,979
|
|
|
|
(2,490
|
)
|
Net increase in net assets resulting from operations
|
|
|
5,532
|
|
|
|
4,263
|
|
|
|
6,870
|
|
|
|
1,014
|
|
Net investment income per common share at end of each quarter
|
|
$
|
0.53
|
|
|
$
|
0.50
|
|
|
$
|
0.49
|
|
|
$
|
0.60
|
|
Net realized and unrealized gain (loss) per common share at end of each quarter
|
|
$
|
0.35
|
|
|
$
|
0.21
|
|
|
$
|
0.67
|
|
|
$
|
(0.42
|
)
|
Dividends declared per common share
|
|
$
|
0.49
|
|
|
$
|
0.48
|
|
|
$
|
0.47
|
|
|
$
|
0.46
|
|
Net asset value per common share
|
|
$
|
22.96
|
|
|
$
|
22.58
|
|
|
$
|
22.37
|
|
|
$
|
21.69
|
|
|
|
|
|
2017
|
|
($ in thousands, except per share numbers)
|
|
Qtr 4
|
|
|
Qtr 3
|
|
|
Qtr 2
|
|
|
Qtr 1
|
|
Total investment income
|
|
$
|
8,359
|
|
|
$
|
8,442
|
|
|
$
|
8,448
|
|
|
$
|
7,908
|
|
Net investment income
|
|
|
1,099
|
|
|
|
3,419
|
|
|
|
2,604
|
|
|
|
2,539
|
|
Net realized and unrealized gain (loss)
|
|
|
155
|
|
|
|
(1,845
|
)
|
|
|
2,668
|
|
|
|
749
|
|
Net increase in net assets resulting from operations
|
|
|
1,254
|
|
|
|
1,574
|
|
|
|
5,272
|
|
|
|
3,288
|
|
Net investment income per common share at end of each quarter
|
|
$
|
0.19
|
|
|
$
|
0.60
|
|
|
$
|
0.45
|
|
|
$
|
0.44
|
|
Net realized and unrealized gain (loss) per common share at end of each quarter
|
|
$
|
0.03
|
|
|
$
|
(0.32
|
)
|
|
$
|
0.46
|
|
|
$
|
0.13
|
|
Dividends declared per common share
|
|
$
|
0.45
|
|
|
$
|
0.44
|
|
|
$
|
0.63
|
|
|
$
|
0.41
|
|
Net asset value per common share
|
|
$
|
21.97
|
|
|
$
|
22.21
|
|
|
$
|
22.39
|
|
|
$
|
22.11
|
|
|
|
|
|
2016
|
|
($ in thousands, except per share numbers)
|
|
Qtr 4
|
|
|
Qtr 3
|
|
|
Qtr 2
|
|
|
Qtr 1
|
|
Total investment income
|
|
$
|
7,795
|
|
|
$
|
6,936
|
|
|
$
|
7,758
|
|
|
$
|
7,561
|
|
Net investment income
|
|
|
3,100
|
|
|
|
2,150
|
|
|
|
3,657
|
|
|
|
1,771
|
|
Net realized and unrealized gain (loss)
|
|
|
(3,503
|
)
|
|
|
1,271
|
|
|
|
(2,415
|
)
|
|
|
5,614
|
|
Net increase in net assets resulting from operations
|
|
|
(404
|
)
|
|
|
3,421
|
|
|
|
1,243
|
|
|
|
7,385
|
|
Net investment income per common share at end of each quarter
|
|
$
|
0.54
|
|
|
$
|
0.38
|
|
|
$
|
0.65
|
|
|
$
|
0.33
|
|
Net realized and unrealized gain (loss) per common share at end of each quarter
|
|
$
|
(0.62
|
)
|
|
$
|
0.23
|
|
|
$
|
(0.43
|
)
|
|
$
|
1.03
|
|
Dividends declared per common share
|
|
$
|
0.40
|
|
|
$
|
0.36
|
|
|
$
|
0.33
|
|
|
$
|
1.27
|
|
Net asset value per common share
|
|
$
|
22.06
|
|
|
$
|
22.59
|
|
|
$
|
22.42
|
|
|
$
|
22.75
|
|
Note 16. Subsequent Events
The Company has evaluated subsequent events through the filing of this Form
10-K
and determined that
there have been no events that have occurred that would require adjustments to the Companys consolidated financial statements and disclosures in the consolidated financial statements except for the following:
F-39
On February 26, 2018, the Company declared a dividend of $0.50 per share payable on
March 26, 2018, to common stockholders of record on March 14, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant the Companys DRIP. Based on shareholder
elections, the dividend consisted of approximately $2.6 million in cash and 25,354 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the
stock portion was calculated based on a price of $19.91 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on March 13, 14, 15, 16, 19, 20, 21, 22, 23 and 26, 2018.
On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, the
non-interested
Board of Directors of the Company approved of the Company becoming subject to a minimum asset coverage ratio of 150% under Sections 18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The
150% asset coverage ratio will become effective on April 16, 2019.
F-40
INDEX TO OTHER FINANCIAL STATEMENTS
Saratoga Investment Corp. CLO
2013-1,
Ltd.
|
|
|
|
|
|
|
PAGE
|
|
Report of Independent Auditors
|
|
|
S-2
|
|
Statements of Assets and Liabilities as of February
28, 2018 and February 28, 2017
|
|
|
S-3
|
|
Statements of Operations for the years ended February 28, 2018, February 28,
2017 and February 29, 2016
|
|
|
S-4
|
|
Schedules of Investments as of February
28, 2018 and February 28, 2017
|
|
|
S-5
|
|
Statements of Changes in Net Assets for the years ended February 28, 2018,
February 28, 2017 and February 29, 2016
|
|
|
S-11
|
|
Statements of Cash Flows for the years ended February 28, 2018, February 28,
2017 and February 29, 2016
|
|
|
S-12
|
|
Notes to Financial Statements
|
|
|
S-13
|
|
IMPORTANT NOTE
In accordance with certain SEC rules, Saratoga Investment Corp. (the Company) is providing additional information regarding one of
its portfolio companies, Saratoga Investment Corp. CLO
2013-1,
Ltd. (Saratoga CLO). The Company owns 100% of the subordinated notes of the Saratoga CLO. The additional financial information
regarding the Saratoga CLO does not directly impact the Companys financial position, results of operations or cash flows.
S-1
Report of Independent Auditors
The Collateral Manager,
Saratoga Investment Corp. CLO 2013-1,
Ltd.
We have audited the accompanying financial statements of Saratoga Investment Corp. CLO 2013-1, Ltd., which comprise the statements of assets and
liabilities, including the schedules of investments, as of February 28, 2018 and 2017, and the related statements of operations, changes in net assets, and cash flows for each of the three years in the period ended February 28, 2018, and the related
notes to the financial statements.
Managements Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting
principles; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.
Auditors Responsibility
Our responsibility is to
express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement.
An audit involves performing procedures to obtain audit
evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditors judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud
or error. In making those risk assessments, the auditor considers internal control relevant to the entitys preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entitys internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used
and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements
referred to above present fairly, in all material respects, the financial position of Saratoga Investment Corp. CLO 2013-1, Ltd. at February 28, 2018 and 2017, and the results of its operations, changes in net assets and its cash flows for each of
the three years in the period ended February 28, 2018, in conformity with U.S. generally accepted accounting principles.
/s/ Ernst &
Young LLP
New York, New York
May 14, 2018
S-2
Saratoga Investment Corp. CLO
2013-1,
Ltd.
Statements of Assets and Liabilities
|
|
|
|
|
|
|
|
|
|
|
As of
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
ASSETS
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
|
|
|
|
|
Fair Value Loans (amortized cost of $307,926,355 and $294,270,284, respectively)
|
|
$
|
305,823,704
|
|
|
$
|
292,437,930
|
|
Fair Value Other/Structured finance securities (amortized cost of $3,531,218 and $3,531,218,
respectively)
|
|
|
6,599
|
|
|
|
22,718
|
|
|
|
|
|
|
|
|
|
|
Total investments at fair value (amortized cost of $311,457,573 and $297,801,502,
respectively)
|
|
|
305,830,303
|
|
|
|
292,460,648
|
|
Cash and cash equivalents
|
|
|
5,769,820
|
|
|
|
13,046,555
|
|
Receivable from open trades
|
|
|
12,395,571
|
|
|
|
1,505,000
|
|
Interest receivable
|
|
|
1,653,928
|
|
|
|
1,443,865
|
|
Other assets
|
|
|
|
|
|
|
6,049
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
325,649,622
|
|
|
$
|
308,462,117
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
|
|
Interest payable
|
|
$
|
1,190,428
|
|
|
$
|
1,031,457
|
|
Payable from open trades
|
|
|
24,471,358
|
|
|
|
9,431,552
|
|
Accrued base management fee
|
|
|
33,545
|
|
|
|
34,221
|
|
Accrued subordinated management fee
|
|
|
134,179
|
|
|
|
136,885
|
|
Accrued incentive fee
|
|
|
65,300
|
|
|
|
|
|
Class A-1
NotesSIC CLO
2013-1,
Ltd.
|
|
|
170,000,000
|
|
|
|
170,000,000
|
|
Class A-2
NotesSIC CLO
2013-1,
Ltd.
|
|
|
20,000,000
|
|
|
|
20,000,000
|
|
Class B NotesSIC CLO
2013-1,
Ltd.
|
|
|
44,800,000
|
|
|
|
44,800,000
|
|
Class C NotesSIC CLO
2013-1,
Ltd.
|
|
|
16,000,000
|
|
|
|
16,000,000
|
|
Discount on Class C NotesSIC CLO
2013-1,
Ltd.
|
|
|
(68,370
|
)
|
|
|
(77,383
|
)
|
Class D NotesSIC CLO
2013-1,
Ltd.
|
|
|
14,000,000
|
|
|
|
14,000,000
|
|
Discount on Class D NotesSIC CLO
2013-1,
Ltd.
|
|
|
(317,409
|
)
|
|
|
(359,249
|
)
|
Class E NotesSIC CLO
2013-1,
Ltd.
|
|
|
13,100,000
|
|
|
|
13,100,000
|
|
Class F NotesSIC CLO
2013-1,
Ltd.
|
|
|
4,500,000
|
|
|
|
4,500,000
|
|
Deferred debt financing costs, SIC CLO
2013-1,
Ltd.
Notes
|
|
|
(1,014,090
|
)
|
|
|
(1,161,590
|
)
|
Subordinated Notes
|
|
|
30,000,000
|
|
|
|
30,000,000
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
$
|
336,894,941
|
|
|
$
|
321,435,893
|
|
|
|
|
|
|
|
|
|
|
Commitments and contingencies (See Note 6)
|
|
|
|
|
|
|
|
|
NET ASSETS
|
|
|
|
|
|
|
|
|
Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 issued and
outstanding, respectively
|
|
$
|
250
|
|
|
$
|
250
|
|
Accumulated loss
|
|
|
(12,974,026
|
)
|
|
|
(21,557,618
|
)
|
Net gain
|
|
|
1,728,457
|
|
|
|
8,583,592
|
|
|
|
|
|
|
|
|
|
|
Total net assets
|
|
|
(11,245,319
|
)
|
|
|
(12,973,776
|
)
|
|
|
|
|
|
|
|
|
|
Total liabilities and net assets
|
|
$
|
325,649,622
|
|
|
$
|
308,462,117
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
S-3
Saratoga Investment Corp. CLO
2013-1,
Ltd.
Statements of Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
|
|
|
|
February 28, 2018
|
|
|
February 28, 2017
|
|
|
February 29, 2016
|
|
INVESTMENT INCOME
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest from investments
|
|
$
|
17,435,371
|
|
|
$
|
15,443,693
|
|
|
$
|
14,372,377
|
|
Interest from cash and cash equivalents
|
|
|
14,644
|
|
|
|
11,216
|
|
|
|
1,213
|
|
Other income
|
|
|
415,428
|
|
|
|
643,457
|
|
|
|
316,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investment income
|
|
|
17,865,443
|
|
|
|
16,098,366
|
|
|
|
14,689,777
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPENSES
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense
|
|
|
13,719,536
|
|
|
|
12,574,838
|
|
|
|
11,696,757
|
|
Professional fees
|
|
|
216,672
|
|
|
|
106,564
|
|
|
|
292,754
|
|
Miscellaneous fee expense
|
|
|
95,314
|
|
|
|
49,279
|
|
|
|
23,742
|
|
Base management fee
|
|
|
301,863
|
|
|
|
585,575
|
|
|
|
747,390
|
|
Subordinated management fee
|
|
|
1,207,454
|
|
|
|
913,426
|
|
|
|
747,390
|
|
Incentive fees
|
|
|
591,368
|
|
|
|
|
|
|
|
|
|
Trustee expenses
|
|
|
160,883
|
|
|
|
128,083
|
|
|
|
121,299
|
|
Amortization expense
|
|
|
177,011
|
|
|
|
829,475
|
|
|
|
955,858
|
|
Loss on extinguishment of debt
|
|
|
|
|
|
|
6,143,816
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
|
16,470,101
|
|
|
|
21,331,056
|
|
|
|
14,585,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INVESTMENT INCOME (LOSS)
|
|
|
1,395,342
|
|
|
|
(5,232,690
|
)
|
|
|
104,587
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain from investments
|
|
|
619,531
|
|
|
|
358,169
|
|
|
|
419,096
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
(286,416
|
)
|
|
|
13,458,113
|
|
|
|
(16,277,895
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain (loss) on investments
|
|
|
333,115
|
|
|
|
13,816,282
|
|
|
|
(15,858,799
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
|
$
|
1,728,457
|
|
|
$
|
8,583,592
|
|
|
$
|
(15,754,212
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
S-4
Saratoga Investment Corp. CLO
2013-1
Ltd.
Schedule of Investments
February 28, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer Name
|
|
Industry
|
|
Asset Name
|
|
Asset
Type
|
|
LIBOR/Spread
|
|
LIBOR
Floor
|
|
|
Current
Rate
(All In)
|
|
|
Maturity
Date
|
|
|
Principal/
Number of
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
A-1
Preferred Shares
|
|
Equity
|
|
0.00%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
6,692
|
|
|
$
|
669,214
|
|
|
$
|
1,539
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
A-2
Preferred Shares
|
|
Equity
|
|
0.00%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
18,975
|
|
|
|
1,897,538
|
|
|
|
4,364
|
|
New Millennium Holdco, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Common Stock
|
|
Equity
|
|
0.00%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
14,813
|
|
|
|
964,466
|
|
|
|
696
|
|
24 Hour Holdings III, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.44
|
%
|
|
|
5/28/2021
|
|
|
$
|
1,974,768
|
|
|
|
1,973,979
|
|
|
|
1,992,047
|
|
ABB
Con-Cise
Optical Group, LLC
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.59
|
%
|
|
|
6/15/2023
|
|
|
|
1,975,000
|
|
|
|
1,955,672
|
|
|
|
1,979,938
|
|
Acosta Holdco, Inc.
|
|
Media
|
|
Term Loan B1
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
9/26/2021
|
|
|
|
1,935,275
|
|
|
|
1,926,742
|
|
|
|
1,703,042
|
|
Advantage Sales & Marketing, Inc.
|
|
Services: Business
|
|
Term Loan B2
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
5.02
|
%
|
|
|
7/23/2021
|
|
|
|
500,000
|
|
|
|
490,000
|
|
|
|
492,190
|
|
Advantage Sales & Marketing, Inc.
|
|
Services: Business
|
|
Delayed Draw Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
5.02
|
%
|
|
|
7/23/2021
|
|
|
|
2,421,181
|
|
|
|
2,419,247
|
|
|
|
2,383,362
|
|
Aegis Toxicology Science Corporation
|
|
Healthcare & Pharmaceuticals
|
|
Term B Loan
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.17
|
%
|
|
|
2/24/2021
|
|
|
|
2,438,282
|
|
|
|
2,339,957
|
|
|
|
2,412,387
|
|
Agrofresh, Inc.
|
|
Food Services
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
6.44
|
%
|
|
|
7/30/2021
|
|
|
|
1,950,000
|
|
|
|
1,943,994
|
|
|
|
1,936,194
|
|
AI MISTRAL T/L (V. GROUP)
|
|
Utilities
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
3/11/2024
|
|
|
|
496,250
|
|
|
|
496,250
|
|
|
|
493,148
|
|
AI Aqua Merger Inc
|
|
Utilities
|
|
Incremental Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
12/13/2023
|
|
|
|
498,750
|
|
|
|
498,189
|
|
|
|
499,787
|
|
AI Aqua Merger Inc
|
|
Conglomerate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
12/13/2023
|
|
|
|
2,029,500
|
|
|
|
2,031,000
|
|
|
|
2,033,316
|
|
Akorn, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.94
|
%
|
|
|
4/16/2021
|
|
|
|
398,056
|
|
|
|
397,217
|
|
|
|
394,573
|
|
Albertsons LLC
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan
B-4
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
4.40
|
%
|
|
|
8/25/2021
|
|
|
|
2,654,315
|
|
|
|
2,640,406
|
|
|
|
2,617,447
|
|
Alion Science and Technology Corporation
|
|
High Tech Industries
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.15
|
%
|
|
|
8/19/2021
|
|
|
|
2,826,521
|
|
|
|
2,817,880
|
|
|
|
2,826,521
|
|
ALPHA 3 T/L B1 (ATOTECH)
|
|
Chemicals/Plastics
|
|
Term Loan B 1
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.69
|
%
|
|
|
1/31/2024
|
|
|
|
248,750
|
|
|
|
248,218
|
|
|
|
250,367
|
|
Anchor Glass T/L (11/16)
|
|
Containers/Glass Products
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
12/7/2023
|
|
|
|
495,013
|
|
|
|
492,821
|
|
|
|
495,785
|
|
APCO Holdings, Inc.
|
|
Automotive
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 6.00%
|
|
|
1.00
|
%
|
|
|
7.65
|
%
|
|
|
1/31/2022
|
|
|
|
1,833,243
|
|
|
|
1,796,705
|
|
|
|
1,778,246
|
|
Aramark Corporation
|
|
Food Products
|
|
U.S. Term F Loan
|
|
Loan
|
|
1M USD LIBOR + 2.00%
|
|
|
0.00
|
%
|
|
|
3.65
|
%
|
|
|
3/28/2024
|
|
|
|
1,612,143
|
|
|
|
1,612,143
|
|
|
|
1,621,219
|
|
Arctic Glacier U.S.A., Inc.
|
|
Beverage, Food & Tobacco
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.90
|
%
|
|
|
3/20/2024
|
|
|
|
496,250
|
|
|
|
494,091
|
|
|
|
497,079
|
|
Argon Medical Devices, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
1/23/2025
|
|
|
|
1,000,000
|
|
|
|
997,625
|
|
|
|
1,003,750
|
|
ASG Technologies Group, Inc.
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
6.40
|
%
|
|
|
7/31/2024
|
|
|
|
498,750
|
|
|
|
496,441
|
|
|
|
499,373
|
|
Aspen Dental Management, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan Initial
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.52
|
%
|
|
|
4/29/2022
|
|
|
|
1,964,792
|
|
|
|
1,961,139
|
|
|
|
1,986,896
|
|
Astoria Energy T/L B
|
|
Utilities
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.65
|
%
|
|
|
12/24/2021
|
|
|
|
1,436,736
|
|
|
|
1,425,004
|
|
|
|
1,439,135
|
|
Asurion, LLC (fka Asurion Corporation)
|
|
Insurance
|
|
Term Loan B4 (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.00
|
%
|
|
|
4.40
|
%
|
|
|
8/4/2022
|
|
|
|
2,373,759
|
|
|
|
2,363,315
|
|
|
|
2,384,156
|
|
Asurion, LLC (fka Asurion Corporation)
|
|
Insurance
|
|
Term Loan B6
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
11/3/2023
|
|
|
|
518,207
|
|
|
|
513,568
|
|
|
|
520,798
|
|
ATS Consolidated, Inc.
|
|
Construction & Building
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
0.00
|
%
|
|
|
5.40
|
%
|
|
|
2/21/2025
|
|
|
|
500,000
|
|
|
|
497,500
|
|
|
|
502,500
|
|
Avantor, Inc.
|
|
Chemicals/Plastics
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.65
|
%
|
|
|
11/21/2024
|
|
|
|
1,500,000
|
|
|
|
1,478,028
|
|
|
|
1,514,370
|
|
Avaya, Inc.
|
|
Services: Business
|
|
Exit Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
6.34
|
%
|
|
|
12/16/2024
|
|
|
|
1,000,000
|
|
|
|
990,313
|
|
|
|
1,004,220
|
|
AVOLON TLB BORROWER 1 LUXEMBOURG S.A.R.L.
|
|
Capital Equipment
|
|
Term Loan
B-2
|
|
Loan
|
|
3M USD LIBOR + 2.25%
|
|
|
0.75
|
%
|
|
|
3.84
|
%
|
|
|
3/21/2022
|
|
|
|
995,000
|
|
|
|
990,660
|
|
|
|
993,468
|
|
Blackboard
|
|
High Tech Industries
|
|
Term Loan B4
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.73
|
%
|
|
|
6/30/2021
|
|
|
|
2,962,500
|
|
|
|
2,944,423
|
|
|
|
2,868,085
|
|
Blount International, Inc.
|
|
Forest Products & Paper
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.83
|
%
|
|
|
4/12/2023
|
|
|
|
500,000
|
|
|
|
498,863
|
|
|
|
506,875
|
|
Blucora, Inc.
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.69
|
%
|
|
|
5/22/2024
|
|
|
|
920,000
|
|
|
|
915,553
|
|
|
|
924,600
|
|
BMC Software
|
|
Technology
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.00
|
%
|
|
|
4.90
|
%
|
|
|
9/12/2022
|
|
|
|
584,031
|
|
|
|
574,236
|
|
|
|
585,491
|
|
Brickman Group Holdings, Inc.
|
|
Brokers/Dealers/Investment Houses
|
|
Initial Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
12/18/2020
|
|
|
|
1,420,433
|
|
|
|
1,412,065
|
|
|
|
1,427,975
|
|
Broadstreet Partners, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
B-1
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
11/8/2023
|
|
|
|
997,481
|
|
|
|
995,151
|
|
|
|
1,006,628
|
|
Cable & Wireless Communications Ltd.
|
|
Telecommunications
|
|
Term Loan B4
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.00
|
%
|
|
|
4.89
|
%
|
|
|
1/30/2026
|
|
|
|
2,500,000
|
|
|
|
2,496,875
|
|
|
|
2,494,800
|
|
Cable One, Inc.
|
|
Telecommunications
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 2.25%
|
|
|
0.00
|
%
|
|
|
3.95
|
%
|
|
|
5/1/2024
|
|
|
|
497,500
|
|
|
|
496,959
|
|
|
|
498,744
|
|
Caesars Entertainment Corporation
|
|
Hotel, Gaming & Leisure
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.00
|
%
|
|
|
4.15
|
%
|
|
|
10/7/2024
|
|
|
|
1,000,000
|
|
|
|
1,000,000
|
|
|
|
1,006,250
|
|
Canyon Valor Companies, Inc. 1
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.00
|
%
|
|
|
4.94
|
%
|
|
|
6/16/2023
|
|
|
|
997,500
|
|
|
|
995,006
|
|
|
|
1,003,116
|
|
Capital Automotive L.P.
|
|
Conglomerate
|
|
Tranche
B-1
Term Loan Facility
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
1.00
|
%
|
|
|
4.15
|
%
|
|
|
3/25/2024
|
|
|
|
482,931
|
|
|
|
480,703
|
|
|
|
485,143
|
|
Caraustar Industries Inc.
|
|
Forest Products & Paper
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
7.19
|
%
|
|
|
3/14/2022
|
|
|
|
496,250
|
|
|
|
495,182
|
|
|
|
496,950
|
|
CareerBuilder, LLC 1
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 6.75%
|
|
|
1.00
|
%
|
|
|
8.44
|
%
|
|
|
7/31/2023
|
|
|
|
2,468,750
|
|
|
|
2,402,343
|
|
|
|
2,440,977
|
|
CASA SYSTEMS T/L
|
|
Telecommunications
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.69
|
%
|
|
|
12/20/2023
|
|
|
|
1,485,000
|
|
|
|
1,472,299
|
|
|
|
1,490,569
|
|
Catalent Pharma Solutions, Inc
|
|
Drugs
|
|
Initial Term B Loan
|
|
Loan
|
|
1M USD LIBOR + 2.25%
|
|
|
1.00
|
%
|
|
|
3.90
|
%
|
|
|
5/20/2024
|
|
|
|
419,775
|
|
|
|
418,723
|
|
|
|
421,219
|
|
Cengage Learning Acquisitions, Inc.
|
|
Publishing
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.84
|
%
|
|
|
6/7/2023
|
|
|
|
1,464,371
|
|
|
|
1,449,727
|
|
|
|
1,343,970
|
|
CenturyLink, Inc.
|
|
Telecommunications
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.00
|
%
|
|
|
4.40
|
%
|
|
|
1/31/2025
|
|
|
|
3,000,000
|
|
|
|
2,993,287
|
|
|
|
2,946,750
|
|
CH HOLD (CALIBER COLLISION) T/L
|
|
Automotive
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.00
|
%
|
|
|
4.65
|
%
|
|
|
2/1/2024
|
|
|
|
246,674
|
|
|
|
246,237
|
|
|
|
247,907
|
|
Charter Communications Operating, LLC
|
|
Cable and Satellite Television
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.00%
|
|
|
0.00
|
%
|
|
|
3.65
|
%
|
|
|
4/30/2025
|
|
|
|
1,600,000
|
|
|
|
1,598,246
|
|
|
|
1,603,200
|
|
CHS/Community Health Systems, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term G Loan
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.73
|
%
|
|
|
12/31/2019
|
|
|
|
612,172
|
|
|
|
603,886
|
|
|
|
606,705
|
|
CHS/Community Health Systems, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term H Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.98
|
%
|
|
|
1/27/2021
|
|
|
|
1,133,925
|
|
|
|
1,104,984
|
|
|
|
1,106,870
|
|
Concordia Healthcare Corporation
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.90
|
%
|
|
|
10/21/2021
|
|
|
|
1,930,000
|
|
|
|
1,860,229
|
|
|
|
1,723,895
|
|
Consolidated Aerospace Manufacturing, LLC
|
|
Aerospace & Defense
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
8/11/2022
|
|
|
|
1,418,750
|
|
|
|
1,413,829
|
|
|
|
1,417,870
|
|
Consolidated Communications, Inc.
|
|
Telecommunications
|
|
Term Loan
B-2
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
10/5/2023
|
|
|
|
498,130
|
|
|
|
495,839
|
|
|
|
489,502
|
|
CPI Acquisition Inc.
|
|
Technology
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
6M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.36
|
%
|
|
|
8/17/2022
|
|
|
|
1,436,782
|
|
|
|
1,421,670
|
|
|
|
1,109,196
|
|
CT Technologies Intermediate Hldgs, Inc
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.90
|
%
|
|
|
12/1/2021
|
|
|
|
1,455,188
|
|
|
|
1,446,213
|
|
|
|
1,448,829
|
|
Cumulus Media Holdings Inc.
|
|
Broadcast Radio and Television
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
12/23/2020
|
|
|
|
448,889
|
|
|
|
446,919
|
|
|
|
385,820
|
|
Daseke Companies, Inc.
|
|
Transportation
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.65
|
%
|
|
|
2/27/2024
|
|
|
|
1,995,607
|
|
|
|
1,983,119
|
|
|
|
2,010,574
|
|
Dell International L.L.C.
|
|
High Tech Industries
|
|
Term Loan (01/17)
|
|
Loan
|
|
1M USD LIBOR + 2.00%
|
|
|
0.75
|
%
|
|
|
3.65
|
%
|
|
|
9/7/2023
|
|
|
|
1,496,250
|
|
|
|
1,495,193
|
|
|
|
1,496,130
|
|
Delta 2 (Lux) S.a.r.l.
|
|
Lodging & Casinos
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
1.00
|
%
|
|
|
4.15
|
%
|
|
|
2/1/2024
|
|
|
|
1,318,289
|
|
|
|
1,314,108
|
|
|
|
1,315,323
|
|
DEX MEDIA, INC.
|
|
Media
|
|
Term Loan (07/16)
|
|
Loan
|
|
1M USD LIBOR + 10.00%
|
|
|
1.00
|
%
|
|
|
11.65
|
%
|
|
|
7/29/2021
|
|
|
|
29,843
|
|
|
|
29,843
|
|
|
|
30,664
|
|
DHX Media Ltd.
|
|
Media
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
12/29/2023
|
|
|
|
497,500
|
|
|
|
495,234
|
|
|
|
498,122
|
|
Digital Room, Inc.
|
|
Publishing
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.65
|
%
|
|
|
12/29/2023
|
|
|
|
2,500,000
|
|
|
|
2,475,000
|
|
|
|
2,481,250
|
|
Dole Food Company, Inc.
|
|
Beverage, Food & Tobacco
|
|
Term Loan B
|
|
Loan
|
|
2M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
4/8/2024
|
|
|
|
493,750
|
|
|
|
491,561
|
|
|
|
495,513
|
|
Drew Marine Group, Inc.
|
|
Chemicals/Plastics
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
11/19/2020
|
|
|
|
2,863,470
|
|
|
|
2,844,335
|
|
|
|
2,856,311
|
|
DTZ U.S. Borrower, LLC
|
|
Construction & Building
|
|
Term Loan B
Add-on
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
5.23
|
%
|
|
|
11/4/2021
|
|
|
|
1,942,632
|
|
|
|
1,935,162
|
|
|
|
1,938,591
|
|
DUKE FINANCE (OM GROUP/VECTRA) T/L
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.94
|
%
|
|
|
2/21/2024
|
|
|
|
1,477,584
|
|
|
|
1,381,067
|
|
|
|
1,478,515
|
|
Eaglepicher Technologies, LLC
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.69
|
%
|
|
|
2/21/2025
|
|
|
|
500,000
|
|
|
|
498,750
|
|
|
|
500,315
|
|
Eagletree-Carbide Acquisition Corp.
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
6.44
|
%
|
|
|
8/28/2024
|
|
|
|
1,995,000
|
|
|
|
1,976,445
|
|
|
|
2,007,469
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan A
|
|
Loan
|
|
Prime 5.50%
|
|
|
1.00
|
%
|
|
|
10.00
|
%
|
|
|
7/2/2020
|
|
|
|
423,861
|
|
|
|
415,813
|
|
|
|
103,846
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan B (2.00% Cash/6.50% PIK)
|
|
Loan
|
|
Prime 2.00%
|
|
|
1.00
|
%
|
|
|
13.00
|
%
|
|
|
7/2/2020
|
|
|
|
954,307
|
|
|
|
939,748
|
|
|
|
7,759
|
|
EIG Investors Corp.
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.96
|
%
|
|
|
2/9/2023
|
|
|
|
473,057
|
|
|
|
471,875
|
|
|
|
475,593
|
|
Emerald 2 Limited
|
|
Chemicals/Plastics
|
|
Term Loan B1A
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.69
|
%
|
|
|
5/14/2021
|
|
|
|
991,629
|
|
|
|
986,286
|
|
|
|
988,852
|
|
Emerald Performance Materials, LLC
|
|
Chemicals/Plastics
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
8/1/2021
|
|
|
|
480,141
|
|
|
|
478,874
|
|
|
|
484,141
|
|
Endo International plc
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
0.75
|
%
|
|
|
5.94
|
%
|
|
|
4/29/2024
|
|
|
|
995,000
|
|
|
|
990,482
|
|
|
|
992,513
|
|
Engility Corporation
|
|
Aerospace & Defense
|
|
Term Loan
B-1
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
0.00
|
%
|
|
|
4.40
|
%
|
|
|
8/12/2020
|
|
|
|
218,750
|
|
|
|
218,055
|
|
|
|
220,117
|
|
Equian, LLC
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
5/20/2024
|
|
|
|
1,990,000
|
|
|
|
1,980,110
|
|
|
|
1,998,716
|
|
Evergreen Acqco 1 LP
|
|
Retailers (Except Food and Drugs)
|
|
New Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.25
|
%
|
|
|
5.49
|
%
|
|
|
7/9/2019
|
|
|
|
945,131
|
|
|
|
942,746
|
|
|
|
902,940
|
|
EWT Holdings III Corp. (fka WTG Holdings III Corp.)
|
|
Industrial Equipment
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.69
|
%
|
|
|
12/20/2024
|
|
|
|
2,838,093
|
|
|
|
2,824,632
|
|
|
|
2,864,714
|
|
Extreme Reach, Inc.
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 6.25%
|
|
|
1.00
|
%
|
|
|
7.95
|
%
|
|
|
2/7/2020
|
|
|
|
2,662,500
|
|
|
|
2,645,825
|
|
|
|
2,672,484
|
|
Federal-Mogul Corporation
|
|
Automotive
|
|
Tranche C Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
4/15/2021
|
|
|
|
2,296,974
|
|
|
|
2,290,825
|
|
|
|
2,309,424
|
|
FinCo I LLC
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.00
|
%
|
|
|
4.40
|
%
|
|
|
6/14/2022
|
|
|
|
498,580
|
|
|
|
497,495
|
|
|
|
503,192
|
|
First Data Corporation
|
|
Financial Intermediaries
|
|
First Data T/L Ext (2021)
|
|
Loan
|
|
1M USD LIBOR + 2.25%
|
|
|
0.00
|
%
|
|
|
3.87
|
%
|
|
|
4/26/2024
|
|
|
|
1,741,492
|
|
|
|
1,661,950
|
|
|
|
1,744,400
|
|
First Eagle Holdings, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
0.75
|
%
|
|
|
4.69
|
%
|
|
|
12/1/2022
|
|
|
|
1,471,350
|
|
|
|
1,462,612
|
|
|
|
1,483,856
|
|
Fitness International, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.19
|
%
|
|
|
7/1/2020
|
|
|
|
1,409,751
|
|
|
|
1,394,961
|
|
|
|
1,423,144
|
|
General Nutrition Centers, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
FILO Term Loan
|
|
Loan
|
|
1M USD LIBOR + 7.00%
|
|
|
0.00
|
%
|
|
|
8.65
|
%
|
|
|
12/30/2022
|
|
|
|
585,849
|
|
|
|
583,668
|
|
|
|
597,935
|
|
General Nutrition Centers, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B2
|
|
Loan
|
|
Prime 10.51%
|
|
|
0.00
|
%
|
|
|
12.25
|
%
|
|
|
3/4/2019
|
|
|
|
1,461,320
|
|
|
|
1,455,880
|
|
|
|
1,431,641
|
|
Gigamon
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.15
|
%
|
|
|
12/27/2024
|
|
|
|
2,000,000
|
|
|
|
1,980,289
|
|
|
|
1,992,500
|
|
See accompanying notes to financial statements.
S-5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer Name
|
|
Industry
|
|
Asset Name
|
|
Asset
Type
|
|
LIBOR/Spread
|
|
LIBOR
Floor
|
|
|
Current
Rate
(All In)
|
|
|
Maturity
Date
|
|
|
Principal/
Number of
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Global Tel*Link Corporation
|
|
Services: Business
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.25
|
%
|
|
|
5.69
|
%
|
|
|
5/26/2020
|
|
|
|
3,116,081
|
|
|
|
3,110,498
|
|
|
|
3,128,732
|
|
GlobalLogic Holdings, Inc.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.44
|
%
|
|
|
6/20/2022
|
|
|
|
496,250
|
|
|
|
491,702
|
|
|
|
498,731
|
|
Goodyear Tire & Rubber Company, The
|
|
Chemicals/Plastics
|
|
Loan (Second Lien)
|
|
Loan
|
|
1M USD LIBOR + 2.00%
|
|
|
0.00
|
%
|
|
|
3.59
|
%
|
|
|
4/30/2019
|
|
|
|
1,833,333
|
|
|
|
1,826,354
|
|
|
|
1,832,765
|
|
GoWireless, Inc.
|
|
Telecommunications
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 6.50%
|
|
|
1.00
|
%
|
|
|
8.16
|
%
|
|
|
12/22/2024
|
|
|
|
2,000,000
|
|
|
|
1,980,568
|
|
|
|
2,005,000
|
|
Grosvenor Capital Management Holdings, LP
|
|
Brokers/Dealers/Investment Houses
|
|
Initial Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
8/18/2023
|
|
|
|
992,443
|
|
|
|
988,008
|
|
|
|
996,472
|
|
Hargray Communications Group, Inc.
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
2/9/2022
|
|
|
|
995,000
|
|
|
|
992,659
|
|
|
|
996,990
|
|
Harland Clarke Holdings Corp. (fka Clarke American Corp.)
|
|
Publishing
|
|
Tranche
B-4
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
6.44
|
%
|
|
|
11/3/2023
|
|
|
|
1,943,418
|
|
|
|
1,931,468
|
|
|
|
1,961,123
|
|
HD Supply Waterworks, Ltd.
|
|
Construction & Building
|
|
Term Loan
|
|
Loan
|
|
6M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.57
|
%
|
|
|
8/1/2024
|
|
|
|
498,750
|
|
|
|
497,642
|
|
|
|
499,583
|
|
Heartland Dental, LLC
|
|
Services: Consumer
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
6.45
|
%
|
|
|
7/31/2023
|
|
|
|
2,992,500
|
|
|
|
2,978,722
|
|
|
|
3,044,869
|
|
Helix Acquisition Holdings, Inc.
|
|
Utilities
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.69
|
%
|
|
|
9/30/2024
|
|
|
|
997,500
|
|
|
|
992,861
|
|
|
|
1,002,488
|
|
Helix Gen Funding, LLC
|
|
Utilities
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.44
|
%
|
|
|
6/3/2024
|
|
|
|
462,388
|
|
|
|
460,553
|
|
|
|
466,263
|
|
Help/Systems Holdings, Inc.
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.19
|
%
|
|
|
10/8/2021
|
|
|
|
1,342,543
|
|
|
|
1,296,984
|
|
|
|
1,346,463
|
|
Hemisphere Media Holdings, LLC
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
0.00
|
%
|
|
|
5.15
|
%
|
|
|
2/14/2024
|
|
|
|
2,475,000
|
|
|
|
2,485,950
|
|
|
|
2,422,406
|
|
Herbalife T/L B (HLF Financing)
|
|
Drugs
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.50%
|
|
|
0.75
|
%
|
|
|
7.15
|
%
|
|
|
2/15/2023
|
|
|
|
1,887,500
|
|
|
|
1,876,579
|
|
|
|
1,898,127
|
|
Highline Aftermarket Acquisition, LLC
|
|
Automotive
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
3/15/2024
|
|
|
|
954,698
|
|
|
|
949,925
|
|
|
|
957,085
|
|
Hoffmaster Group, Inc.
|
|
Containers/Glass Products
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.19
|
%
|
|
|
11/21/2023
|
|
|
|
990,000
|
|
|
|
993,228
|
|
|
|
998,663
|
|
Hostess Brands, LLC
|
|
Beverage, Food & Tobacco
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 2.25%
|
|
|
0.75
|
%
|
|
|
3.90
|
%
|
|
|
8/3/2022
|
|
|
|
1,482,559
|
|
|
|
1,479,227
|
|
|
|
1,486,532
|
|
HUB International Limited
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.84
|
%
|
|
|
10/2/2022
|
|
|
|
215
|
|
|
|
215
|
|
|
|
216
|
|
Husky Injection Molding Systems Ltd.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
6/30/2021
|
|
|
|
402,099
|
|
|
|
400,605
|
|
|
|
402,855
|
|
Hyland Software, Inc.
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.75
|
%
|
|
|
4.90
|
%
|
|
|
7/1/2022
|
|
|
|
994,987
|
|
|
|
992,624
|
|
|
|
1,001,624
|
|
Hyperion Refinance T/L
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.19
|
%
|
|
|
12/20/2024
|
|
|
|
2,000,000
|
|
|
|
1,990,289
|
|
|
|
2,017,000
|
|
Idera, Inc.
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.15
|
%
|
|
|
6/28/2024
|
|
|
|
1,682,535
|
|
|
|
1,665,834
|
|
|
|
1,693,051
|
|
IG Investments Holdings, LLC
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.19
|
%
|
|
|
10/29/2021
|
|
|
|
3,423,936
|
|
|
|
3,405,707
|
|
|
|
3,459,613
|
|
Inmar, Inc.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
5/1/2024
|
|
|
|
497,500
|
|
|
|
492,933
|
|
|
|
499,520
|
|
IRB Holding Corp.
|
|
Beverage, Food & Tobacco
|
|
Term Loan B
|
|
Loan
|
|
2M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.94
|
%
|
|
|
2/5/2025
|
|
|
|
500,000
|
|
|
|
498,913
|
|
|
|
504,645
|
|
J. Crew Group, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term
B-1
Loan Retired 03/05/2014
|
|
Loan
|
|
3M USD LIBOR + 3.22%
|
|
|
1.00
|
%
|
|
|
4.91
|
%
|
|
|
3/5/2021
|
|
|
|
830,284
|
|
|
|
830,284
|
|
|
|
573,676
|
|
J.Jill Group, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.77
|
%
|
|
|
5/9/2022
|
|
|
|
872,065
|
|
|
|
869,192
|
|
|
|
863,344
|
|
Kinetic Concepts, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
F-1
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.94
|
%
|
|
|
2/2/2024
|
|
|
|
2,388,000
|
|
|
|
2,377,873
|
|
|
|
2,393,373
|
|
Koosharem, LLC
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 6.50%
|
|
|
1.00
|
%
|
|
|
8.19
|
%
|
|
|
5/15/2020
|
|
|
|
2,905,150
|
|
|
|
2,893,037
|
|
|
|
2,865,204
|
|
Lakeland Tours, LLC
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.59
|
%
|
|
|
12/16/2024
|
|
|
|
1,847,826
|
|
|
|
1,843,674
|
|
|
|
1,868,041
|
|
Lannett Company, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.38%
|
|
|
1.00
|
%
|
|
|
7.03
|
%
|
|
|
11/25/2022
|
|
|
|
2,700,436
|
|
|
|
2,656,597
|
|
|
|
2,693,685
|
|
LEARFIELD COMMUNICATIONS INITIAL T/L
(A-L
PARENT)
|
|
Healthcare & Pharmaceuticals
|
|
Initial Term Loan
(A-L
Parent)
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
12/1/2023
|
|
|
|
495,000
|
|
|
|
493,040
|
|
|
|
499,950
|
|
Legalzoom.com, Inc.
|
|
Services: Consumer
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.09
|
%
|
|
|
11/21/2024
|
|
|
|
1,000,000
|
|
|
|
990,210
|
|
|
|
1,005,000
|
|
Lighthouse Network
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.15
|
%
|
|
|
11/29/2024
|
|
|
|
1,000,000
|
|
|
|
995,138
|
|
|
|
1,009,380
|
|
Lightstone Generation
|
|
Utilities
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
1/30/2024
|
|
|
|
912,971
|
|
|
|
912,971
|
|
|
|
918,047
|
|
Lightstone Generation
|
|
Utilities
|
|
Term Loan C
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
1/30/2024
|
|
|
|
57,971
|
|
|
|
57,971
|
|
|
|
58,293
|
|
Liquidnet Holdings, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
7/15/2024
|
|
|
|
487,500
|
|
|
|
482,947
|
|
|
|
488,719
|
|
LPL Holdings, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B (2022)
|
|
Loan
|
|
3M USD LIBOR + 2.25%
|
|
|
0.00
|
%
|
|
|
3.89
|
%
|
|
|
9/23/2024
|
|
|
|
1,741,261
|
|
|
|
1,737,339
|
|
|
|
1,743,977
|
|
Mayfield Holdings T/L (FeeCo)
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
0.00
|
%
|
|
|
6.15
|
%
|
|
|
1/31/2025
|
|
|
|
500,000
|
|
|
|
497,500
|
|
|
|
501,250
|
|
McAfee, LLC
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.15
|
%
|
|
|
9/30/2024
|
|
|
|
2,245,000
|
|
|
|
2,225,301
|
|
|
|
2,255,821
|
|
McGraw-Hill Global Education Holdings, LLC
|
|
Publishing
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.65
|
%
|
|
|
5/4/2022
|
|
|
|
985,000
|
|
|
|
981,596
|
|
|
|
969,693
|
|
Meredith Corporation
|
|
Publishing
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
0.00
|
%
|
|
|
4.66
|
%
|
|
|
1/31/2025
|
|
|
|
1,000,000
|
|
|
|
997,611
|
|
|
|
1,005,470
|
|
Michaels Stores, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B1
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
1/30/2023
|
|
|
|
2,658,469
|
|
|
|
2,646,849
|
|
|
|
2,669,927
|
|
Micro Holding Corporation
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.34
|
%
|
|
|
9/13/2024
|
|
|
|
1,471,995
|
|
|
|
1,466,585
|
|
|
|
1,471,627
|
|
Midas Intermediate Holdco II, LLC
|
|
Automotive
|
|
Term Loan (Initial)
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.44
|
%
|
|
|
8/18/2021
|
|
|
|
241,931
|
|
|
|
241,246
|
|
|
|
242,838
|
|
Midwest Physician Administrative Services LLC
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
4.35
|
%
|
|
|
8/15/2024
|
|
|
|
997,500
|
|
|
|
992,551
|
|
|
|
995,635
|
|
Milk Specialties Company
|
|
Beverage, Food & Tobacco
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.69
|
%
|
|
|
8/16/2023
|
|
|
|
987,500
|
|
|
|
979,118
|
|
|
|
988,734
|
|
Mister Car Wash T/L
|
|
Automotive
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
8/20/2021
|
|
|
|
1,583,528
|
|
|
|
1,578,798
|
|
|
|
1,592,443
|
|
MRC Global (US) Inc.
|
|
Metals & Mining
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
9/20/2024
|
|
|
|
500,000
|
|
|
|
498,823
|
|
|
|
503,440
|
|
Navistar, Inc.
|
|
Automotive
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.08
|
%
|
|
|
11/6/2024
|
|
|
|
2,000,000
|
|
|
|
1,990,461
|
|
|
|
2,005,620
|
|
NCI Building Systems, Inc.
|
|
Building & Development
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.00%
|
|
|
0.00
|
%
|
|
|
3.65
|
%
|
|
|
2/7/2025
|
|
|
|
500,000
|
|
|
|
498,814
|
|
|
|
500,625
|
|
New Media Holdings II T/L (NEW)
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 6.25%
|
|
|
1.00
|
%
|
|
|
7.90
|
%
|
|
|
6/4/2020
|
|
|
|
5,631,193
|
|
|
|
5,606,694
|
|
|
|
5,655,858
|
|
New Millennium Holdco, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 6.50%
|
|
|
1.00
|
%
|
|
|
8.15
|
%
|
|
|
12/21/2020
|
|
|
|
1,910,035
|
|
|
|
1,806,090
|
|
|
|
649,412
|
|
Novetta Solutions
|
|
Aerospace & Defense
|
|
Term Loan (200MM)
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.70
|
%
|
|
|
10/16/2022
|
|
|
|
1,960,000
|
|
|
|
1,946,082
|
|
|
|
1,890,792
|
|
Novetta Solutions
|
|
Aerospace & Defense
|
|
Term Loan (2nd Lien)
|
|
Loan
|
|
3M USD LIBOR + 8.50%
|
|
|
1.00
|
%
|
|
|
10.20
|
%
|
|
|
10/16/2023
|
|
|
|
1,000,000
|
|
|
|
992,243
|
|
|
|
890,000
|
|
NPC International, Inc.
|
|
Food Services
|
|
Term Loan (2013)
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
4/19/2024
|
|
|
|
497,500
|
|
|
|
496,902
|
|
|
|
501,644
|
|
NXT Capital T/L (11/16)
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
11/23/2022
|
|
|
|
1,238,120
|
|
|
|
1,233,635
|
|
|
|
1,256,692
|
|
Office Depot, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 7.00%
|
|
|
1.00
|
%
|
|
|
8.58
|
%
|
|
|
11/8/2022
|
|
|
|
2,500,000
|
|
|
|
2,430,480
|
|
|
|
2,527,500
|
|
Onex Carestream Finance LP
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan (First Lien 2013)
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.69
|
%
|
|
|
6/7/2019
|
|
|
|
3,037,274
|
|
|
|
3,033,839
|
|
|
|
3,049,939
|
|
OpenLink International, LLC
|
|
Services: Business
|
|
Term B Loan
|
|
Loan
|
|
3M USD LIBOR + 6.50%
|
|
|
1.25
|
%
|
|
|
8.27
|
%
|
|
|
7/29/2019
|
|
|
|
2,883,152
|
|
|
|
2,881,467
|
|
|
|
2,886,756
|
|
P.F. Changs China Bistro, Inc.
|
|
Food/Drug Retailers
|
|
Term B Loan
|
|
Loan
|
|
6M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.51
|
%
|
|
|
9/1/2022
|
|
|
|
1,995,000
|
|
|
|
1,978,916
|
|
|
|
1,962,581
|
|
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)
|
|
Services: Business
|
|
Term Loan (First Lien)
|
|
Loan
|
|
6M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.80
|
%
|
|
|
10/30/2020
|
|
|
|
955,558
|
|
|
|
953,277
|
|
|
|
943,614
|
|
Peraton
|
|
Aerospace & Defense
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.25%
|
|
|
1.00
|
%
|
|
|
6.95
|
%
|
|
|
4/29/2024
|
|
|
|
1,990,000
|
|
|
|
1,980,795
|
|
|
|
2,007,413
|
|
Petsmart, Inc. (Argos Merger Sub, Inc.)
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B1
|
|
Loan
|
|
2M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.57
|
%
|
|
|
3/11/2022
|
|
|
|
972,500
|
|
|
|
968,851
|
|
|
|
792,344
|
|
PGX Holdings, Inc.
|
|
Financial Intermediaries
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 5.25%
|
|
|
1.00
|
%
|
|
|
6.90
|
%
|
|
|
9/29/2020
|
|
|
|
2,754,229
|
|
|
|
2,743,573
|
|
|
|
2,664,717
|
|
PI US HOLDCO II T/L (PAYSAFE)
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.17
|
%
|
|
|
12/20/2024
|
|
|
|
1,000,000
|
|
|
|
995,000
|
|
|
|
1,002,080
|
|
Pike Corporation
|
|
Construction & Building
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
9/20/2024
|
|
|
|
497,503
|
|
|
|
495,186
|
|
|
|
501,443
|
|
Ping Identity Corporation
|
|
High Tech Inudstries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.37
|
%
|
|
|
1/24/2025
|
|
|
|
500,000
|
|
|
|
497,525
|
|
|
|
501,875
|
|
Planet Fitness Holdings LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.75
|
%
|
|
|
4.65
|
%
|
|
|
3/31/2021
|
|
|
|
2,368,358
|
|
|
|
2,363,020
|
|
|
|
2,392,042
|
|
Plastipak Packaging, Inc
|
|
Containers/Glass Products
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.45
|
%
|
|
|
10/14/2024
|
|
|
|
997,500
|
|
|
|
992,752
|
|
|
|
1,002,986
|
|
Polycom Term Loan (9/16)
|
|
Telecommunications
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 5.25%
|
|
|
1.00
|
%
|
|
|
6.90
|
%
|
|
|
9/27/2023
|
|
|
|
1,508,167
|
|
|
|
1,490,507
|
|
|
|
1,513,506
|
|
PrePaid Legal Services, Inc.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 5.25%
|
|
|
1.25
|
%
|
|
|
6.90
|
%
|
|
|
7/1/2019
|
|
|
|
2,944,950
|
|
|
|
2,947,124
|
|
|
|
2,948,631
|
|
Presidio, Inc.
|
|
Services: Business
|
|
Term Loan B 2017
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.45
|
%
|
|
|
2/2/2024
|
|
|
|
1,882,977
|
|
|
|
1,837,433
|
|
|
|
1,887,289
|
|
Prestige Brands T/L B4
|
|
Drugs
|
|
Term Loan B4
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
4.40
|
%
|
|
|
1/26/2024
|
|
|
|
428,171
|
|
|
|
427,260
|
|
|
|
430,543
|
|
Prime Security Services (Protection One)
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
5/2/2022
|
|
|
|
1,970,162
|
|
|
|
1,961,794
|
|
|
|
1,985,825
|
|
Project Accelerate
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.94
|
%
|
|
|
1/2/2025
|
|
|
|
2,000,000
|
|
|
|
1,990,187
|
|
|
|
2,020,000
|
|
Project Leopard Holdings, Inc.
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.78
|
%
|
|
|
7/7/2023
|
|
|
|
498,750
|
|
|
|
497,506
|
|
|
|
500,466
|
|
Prometric
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.77
|
%
|
|
|
1/29/2025
|
|
|
|
500,000
|
|
|
|
497,522
|
|
|
|
503,750
|
|
Rackspace Hosting, Inc.
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.79
|
%
|
|
|
11/3/2023
|
|
|
|
498,747
|
|
|
|
497,557
|
|
|
|
500,059
|
|
Radio Systems Corporation
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
5/2/2024
|
|
|
|
1,492,500
|
|
|
|
1,492,500
|
|
|
|
1,498,097
|
|
Ranpak Holdings, Inc.
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.90
|
%
|
|
|
10/1/2021
|
|
|
|
906,723
|
|
|
|
904,457
|
|
|
|
910,694
|
|
Red Ventures, LLC
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
0.00
|
%
|
|
|
5.65
|
%
|
|
|
11/8/2024
|
|
|
|
997,500
|
|
|
|
987,986
|
|
|
|
1,003,525
|
|
Research Now Group, Inc
|
|
Media
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
7.13
|
%
|
|
|
12/20/2024
|
|
|
|
3,000,000
|
|
|
|
2,853,582
|
|
|
|
2,966,250
|
|
Resolute Investment Managers, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.94
|
%
|
|
|
4/29/2022
|
|
|
|
722,738
|
|
|
|
722,738
|
|
|
|
732,676
|
|
Reynolds Group Holdings Inc.
|
|
Industrial Equipment
|
|
Incremental U.S. Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.00
|
%
|
|
|
4.40
|
%
|
|
|
2/3/2023
|
|
|
|
1,743,523
|
|
|
|
1,743,523
|
|
|
|
1,750,968
|
|
RGIS Services, LLC
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 7.50%
|
|
|
1.00
|
%
|
|
|
9.15
|
%
|
|
|
3/31/2023
|
|
|
|
496,250
|
|
|
|
489,372
|
|
|
|
468,956
|
|
Robertshaw US Holding Corp.
|
|
Consumer Goods: Durable
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.19
|
%
|
|
|
2/14/2025
|
|
|
|
1,000,000
|
|
|
|
997,500
|
|
|
|
1,008,750
|
|
Rovi Solutions Corporation / Rovi Guides, Inc.
|
|
Electronics/Electric
|
|
Tranche
B-3
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
4.15
|
%
|
|
|
7/2/2021
|
|
|
|
1,447,500
|
|
|
|
1,443,827
|
|
|
|
1,455,418
|
|
Russell Investment Management T/L B
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.94
|
%
|
|
|
6/1/2023
|
|
|
|
2,217,487
|
|
|
|
2,120,560
|
|
|
|
2,229,129
|
|
Sally Holdings, LLC
|
|
Retail
|
|
Term Loan B1
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.00
|
%
|
|
|
4.19
|
%
|
|
|
7/5/2024
|
|
|
|
1,000,000
|
|
|
|
995,387
|
|
|
|
996,670
|
|
Sally Holdings, LLC
|
|
Retail
|
|
Term Loan (Fixed)
|
|
Loan
|
|
Fixed 4.50%
|
|
|
0.00
|
%
|
|
|
4.50
|
%
|
|
|
7/5/2024
|
|
|
|
997,500
|
|
|
|
992,929
|
|
|
|
1,002,069
|
|
SBP Holdings LP
|
|
Industrial Equipment
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.65
|
%
|
|
|
3/27/2021
|
|
|
|
962,500
|
|
|
|
960,161
|
|
|
|
943,250
|
|
SCS Holdings (Sirius Computer)
|
|
High Tech Industries
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.90
|
%
|
|
|
10/31/2022
|
|
|
|
2,266,208
|
|
|
|
2,236,571
|
|
|
|
2,282,253
|
|
Seadrill Operating LP
|
|
Oil & Gas
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.69
|
%
|
|
|
2/21/2021
|
|
|
|
967,254
|
|
|
|
925,524
|
|
|
|
835,224
|
|
See accompanying notes to financial statements.
S-6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer Name
|
|
Industry
|
|
Asset Name
|
|
Asset
Type
|
|
|
LIBOR/Spread
|
|
LIBOR
Floor
|
|
|
Current
Rate
(All In)
|
|
|
Maturity
Date
|
|
|
Principal/
Number
of Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
SG Acquisition, Inc. (Safe Guard)
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.69
|
%
|
|
|
3/29/2024
|
|
|
|
1,892,500
|
|
|
|
1,875,697
|
|
|
|
1,892,500
|
|
Shearers Foods LLC
|
|
Food Services
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.94%
|
|
|
1.00
|
%
|
|
|
5.63
|
%
|
|
|
6/30/2021
|
|
|
|
967,500
|
|
|
|
966,193
|
|
|
|
972,947
|
|
Sitel Worldwide
|
|
Telecommunications
|
|
Term Loan
|
|
|
Loan
|
|
|
6M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
7.25
|
%
|
|
|
9/18/2021
|
|
|
|
1,955,000
|
|
|
|
1,942,489
|
|
|
|
1,955,978
|
|
SMB Shipping Logistics T/L B (REP WWEX Acquisition)
|
|
Transportation
|
|
Term Loan B
|
|
|
Loan
|
|
|
6M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.48
|
%
|
|
|
2/2/2024
|
|
|
|
1,989,987
|
|
|
|
1,988,148
|
|
|
|
1,990,823
|
|
Sonneborn, LLC
|
|
Chemicals/Plastics
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
12/10/2020
|
|
|
|
205,858
|
|
|
|
205,602
|
|
|
|
206,887
|
|
Sonneborn, LLC
|
|
Chemicals/Plastics
|
|
Initial US Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
12/10/2020
|
|
|
|
1,166,529
|
|
|
|
1,165,079
|
|
|
|
1,172,362
|
|
Sophia, L.P.
|
|
Electronics/Electric
|
|
Term Loan (Closing Date)
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.94
|
%
|
|
|
9/30/2022
|
|
|
|
1,905,528
|
|
|
|
1,897,798
|
|
|
|
1,907,376
|
|
SRAM, LLC
|
|
Industrial Equipment
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
2M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.88
|
%
|
|
|
3/15/2024
|
|
|
|
2,417,405
|
|
|
|
2,398,260
|
|
|
|
2,432,514
|
|
SS&C Technologies
|
|
Services: Business
|
|
Term Loan B3
|
|
|
Loan
|
|
|
N/A 2.50%
|
|
|
0.00
|
%
|
|
|
4.27
|
%
|
|
|
2/28/2025
|
|
|
|
737,000
|
|
|
|
735,158
|
|
|
|
740,228
|
|
SS&C Technologies
|
|
Services: Business
|
|
Term Loan B4
|
|
|
Loan
|
|
|
N/A 2.50%
|
|
|
0.00
|
%
|
|
|
4.27
|
%
|
|
|
2/28/2025
|
|
|
|
263,000
|
|
|
|
262,343
|
|
|
|
264,152
|
|
Staples, Inc.
|
|
Retail
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.79
|
%
|
|
|
8/15/2024
|
|
|
|
1,995,000
|
|
|
|
1,990,091
|
|
|
|
1,981,294
|
|
Steak n Shake Operations, Inc.
|
|
Food Services
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.40
|
%
|
|
|
3/19/2021
|
|
|
|
844,991
|
|
|
|
840,948
|
|
|
|
737,255
|
|
Sybil Software LLC
|
|
High Tech Industries
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.44
|
%
|
|
|
9/29/2023
|
|
|
|
950,777
|
|
|
|
946,662
|
|
|
|
956,177
|
|
Syncsort, Inc.
|
|
Services: Business
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.69
|
%
|
|
|
8/16/2024
|
|
|
|
1,995,000
|
|
|
|
1,975,954
|
|
|
|
1,995,618
|
|
Ten-X,
LLC
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.65
|
%
|
|
|
9/30/2024
|
|
|
|
2,000,000
|
|
|
|
1,997,922
|
|
|
|
1,991,260
|
|
Townsquare Media, Inc.
|
|
Media
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
4/1/2022
|
|
|
|
911,712
|
|
|
|
908,025
|
|
|
|
913,991
|
|
TransDigm, Inc.
|
|
Aerospace & Defense
|
|
Term Loan G
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.50%
|
|
|
0.00
|
%
|
|
|
4.10
|
%
|
|
|
8/22/2024
|
|
|
|
4,190,095
|
|
|
|
4,197,662
|
|
|
|
4,205,808
|
|
Travel Leaders Group, LLC
|
|
Hotel, Gaming and Leisure
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.50%
|
|
|
0.00
|
%
|
|
|
6.35
|
%
|
|
|
1/25/2024
|
|
|
|
1,985,025
|
|
|
|
1,976,475
|
|
|
|
2,007,357
|
|
TRC Companies, Inc.
|
|
Services: Business
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
5.15
|
%
|
|
|
6/21/2024
|
|
|
|
2,992,500
|
|
|
|
2,978,644
|
|
|
|
2,999,981
|
|
TRICO Group
|
|
Containers & Glass Products
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 6.50%
|
|
|
1.00
|
%
|
|
|
8.48
|
%
|
|
|
2/2/2024
|
|
|
|
3,000,000
|
|
|
|
2,940,000
|
|
|
|
2,996,250
|
|
Truck Hero, Inc. (Tectum Holdings)
|
|
Transportation
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.64
|
%
|
|
|
4/22/2024
|
|
|
|
2,987,494
|
|
|
|
2,964,391
|
|
|
|
3,001,505
|
|
Trugreen Limited Partnership
|
|
Services: Business
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.54
|
%
|
|
|
4/13/2023
|
|
|
|
493,763
|
|
|
|
486,986
|
|
|
|
498,701
|
|
Twin River Management Group, Inc.
|
|
Lodging & Casinos
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.83
|
%
|
|
|
7/10/2020
|
|
|
|
785,346
|
|
|
|
786,226
|
|
|
|
792,218
|
|
Univar Inc.
|
|
Chemicals/Plastics
|
|
Term B Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.50%
|
|
|
0.00
|
%
|
|
|
4.15
|
%
|
|
|
7/1/2024
|
|
|
|
2,546,644
|
|
|
|
2,534,633
|
|
|
|
2,558,919
|
|
Uniti Group, Inc.
|
|
Telecommunications
|
|
Term Loan B (First Lien)
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.65
|
%
|
|
|
10/24/2022
|
|
|
|
1,950,362
|
|
|
|
1,940,540
|
|
|
|
1,881,280
|
|
Univision Communications Inc.
|
|
Telecommunications
|
|
Replacement First-Lien Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
3/15/2024
|
|
|
|
2,854,711
|
|
|
|
2,838,791
|
|
|
|
2,818,627
|
|
UOS, LLC (Utility One Source)
|
|
Capital Equipment
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
7.15
|
%
|
|
|
4/18/2023
|
|
|
|
597,249
|
|
|
|
595,209
|
|
|
|
613,673
|
|
UPC Broadband Holding B.V.
|
|
Media
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.50%
|
|
|
0.00
|
%
|
|
|
4.09
|
%
|
|
|
1/15/2026
|
|
|
|
1,000,000
|
|
|
|
998,817
|
|
|
|
998,750
|
|
Valeant Pharmaceuticals International, Inc.
|
|
Drugs
|
|
Series D2 Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.50%
|
|
|
0.75
|
%
|
|
|
5.08
|
%
|
|
|
4/1/2022
|
|
|
|
848,566
|
|
|
|
848,566
|
|
|
|
858,019
|
|
Virtus Investment Partners, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
4.09
|
%
|
|
|
6/3/2024
|
|
|
|
497,500
|
|
|
|
495,337
|
|
|
|
499,366
|
|
Vizient Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
4.40
|
%
|
|
|
2/13/2023
|
|
|
|
313,725
|
|
|
|
306,705
|
|
|
|
315,686
|
|
Washington Inventory Service
|
|
High Tech Industries
|
|
U.S. Term Loan (First Lien)
|
|
|
Loan
|
|
|
3M USD LIBOR + 6.00%
|
|
|
0.00
|
%
|
|
|
7.52
|
%
|
|
|
6/8/2020
|
|
|
|
1,111,056
|
|
|
|
1,122,315
|
|
|
|
833,292
|
|
Weight Watchers International, Inc.
|
|
Services: Consumer
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.75%
|
|
|
0.75
|
%
|
|
|
6.33
|
%
|
|
|
11/29/2024
|
|
|
|
2,000,000
|
|
|
|
1,960,950
|
|
|
|
2,022,500
|
|
Western Dental Services, Inc.
|
|
Retail
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.15
|
%
|
|
|
6/30/2023
|
|
|
|
2,488,747
|
|
|
|
2,472,078
|
|
|
|
2,505,870
|
|
Western Digital Corporation
|
|
High Tech Industries
|
|
Term Loan B (USD)
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.00%
|
|
|
0.75
|
%
|
|
|
3.60
|
%
|
|
|
4/28/2023
|
|
|
|
1,309,443
|
|
|
|
1,272,149
|
|
|
|
1,315,335
|
|
Windstream Services, LLC
|
|
Telecommunications
|
|
Term Loan B6
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
0.75
|
%
|
|
|
5.59
|
%
|
|
|
3/29/2021
|
|
|
|
886,317
|
|
|
|
879,389
|
|
|
|
835,354
|
|
Wirepath LLC
|
|
Consumer Goods:
Non-durable
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
6.17
|
%
|
|
|
8/5/2024
|
|
|
|
997,500
|
|
|
|
997,055
|
|
|
|
997,500
|
|
Xerox Business Services T/L B (Conduent)
|
|
Services: Business
|
|
Term Loan
|
|
|
Loan
|
|
|
2M USD LIBOR + 3.00%
|
|
|
0.00
|
%
|
|
|
4.65
|
%
|
|
|
12/7/2023
|
|
|
|
742,500
|
|
|
|
731,992
|
|
|
|
748,069
|
|
ZEP, Inc.
|
|
Chemicals/Plastics
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.77
|
%
|
|
|
8/12/2024
|
|
|
|
2,493,750
|
|
|
|
2,482,111
|
|
|
|
2,508,289
|
|
Zest Holdings 1st Lien T/L (2014 Replacement)
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
|
Loan
|
|
|
2M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.90
|
%
|
|
|
8/16/2023
|
|
|
|
992,500
|
|
|
|
988,063
|
|
|
|
991,885
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
311,457,573
|
|
|
$
|
305,830,303
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number
of Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Cash and cash equivalents
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Bank Money Market (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,769,820
|
|
|
$
|
5,769,820
|
|
|
$
|
5,769,820
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total cash and cash equivalents
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,769,820
|
|
|
$
|
5,769,820
|
|
|
$
|
5,769,820
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Included within cash and cash equivalents in Saratoga CLOs Statements of Assets and Liabilities as of February 28, 2018.
|
LIBORLondon Interbank Offered Rate
1M USD LIBORThe 1 month USD LIBOR rate as of February 28, 2018 was 1.67%.
2M USD LIBORThe 2 month USD LIBOR rate as of February 28, 2018 was 1.81%.
3M USD LIBORThe 3 month USD LIBOR rate as of February 28, 2018 was 2.02%.
6M USD LIBORThe 6 month USD LIBOR rate as of February 28, 2018 was 2.22%.
PrimeThe Prime Rate as of February 28, 2018 was 4.50%.
PIKPayment-in-Kind
(see Note 2 to the financial
statements)
See accompanying notes to financial statements.
S-7
Saratoga Investment Corp. CLO
2013-1
Ltd.
Schedule of Investments
February 28, 2017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer Name
|
|
Industry
|
|
Asset Name
|
|
Asset
Type
|
|
LIBOR/Spread
|
|
LIBOR
Floor
|
|
|
Current
Rate
(All In)
|
|
|
Maturity
Date
|
|
|
Principal/
Number of
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
A-1
Preferred Shares
|
|
Equity
|
|
0.00%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
6,692
|
|
|
$
|
669,214
|
|
|
$
|
6,725
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
A-2
Preferred Shares
|
|
Equity
|
|
0.00%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
18,975
|
|
|
|
1,897,538
|
|
|
|
247
|
|
New Millennium Holdco, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Common Stock
|
|
Equity
|
|
0.00%
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
|
|
|
|
|
14,813
|
|
|
|
964,466
|
|
|
|
15,746
|
|
24 Hour Holdings III, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
5/28/2021
|
|
|
$
|
487,500
|
|
|
|
484,284
|
|
|
|
476,127
|
|
ABB
Con-Cise
Optical Group, LLC
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
6/15/2023
|
|
|
|
1,995,000
|
|
|
|
1,975,193
|
|
|
|
2,009,963
|
|
Acosta Holdco, Inc.
|
|
Media
|
|
Term Loan B1
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.29
|
%
|
|
|
9/26/2021
|
|
|
|
1,940,025
|
|
|
|
1,929,297
|
|
|
|
1,893,348
|
|
Advantage Sales & Marketing, Inc.
|
|
Services: Business
|
|
Delayed Draw Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
7/25/2021
|
|
|
|
2,446,206
|
|
|
|
2,443,710
|
|
|
|
2,438,574
|
|
Aegis Toxicology Science Corporation
|
|
Healthcare & Pharmaceuticals
|
|
Term B Loan
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
2/24/2021
|
|
|
|
2,463,550
|
|
|
|
2,337,204
|
|
|
|
2,412,234
|
|
Agrofresh, Inc.
|
|
Food Services
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
5.75
|
%
|
|
|
7/30/2021
|
|
|
|
1,970,000
|
|
|
|
1,962,367
|
|
|
|
1,898,587
|
|
AI MISTRAL T/L (V. GROUP)
|
|
Utilities
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
3/11/2024
|
|
|
|
500,000
|
|
|
|
500,000
|
|
|
|
500,940
|
|
Akorn, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
4/16/2021
|
|
|
|
398,056
|
|
|
|
396,948
|
|
|
|
403,529
|
|
Albertsons LLC
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan
B-4
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.75
|
%
|
|
|
3.78
|
%
|
|
|
8/25/2021
|
|
|
|
2,896,193
|
|
|
|
2,879,009
|
|
|
|
2,931,179
|
|
Alere Inc. (fka IM US Holdings, LLC)
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
6/20/2022
|
|
|
|
917,946
|
|
|
|
916,144
|
|
|
|
919,479
|
|
Alion Science and Technology Corporation
|
|
High Tech Industries
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
8/19/2021
|
|
|
|
2,955,000
|
|
|
|
2,943,621
|
|
|
|
2,951,306
|
|
Alliance Healthcare Services, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.29
|
%
|
|
|
6/3/2019
|
|
|
|
984,570
|
|
|
|
981,094
|
|
|
|
977,184
|
|
ALPHA 3 T/L B1 (ATOTECH)
|
|
Chemicals/Plastics
|
|
Term Loan B 1
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
1/31/2024
|
|
|
|
250,000
|
|
|
|
249,377
|
|
|
|
252,500
|
|
Anchor Glass T/L (11/16)
|
|
Containers/Glass Products
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
12/7/2023
|
|
|
|
500,000
|
|
|
|
497,626
|
|
|
|
505,780
|
|
APCO Holdings, Inc.
|
|
Automotive
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 6.00%
|
|
|
1.00
|
%
|
|
|
7.00
|
%
|
|
|
1/31/2022
|
|
|
|
1,933,919
|
|
|
|
1,887,037
|
|
|
|
1,885,571
|
|
Aramark Corporation
|
|
Food Products
|
|
U.S. Term F Loan
|
|
Loan
|
|
3M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
3.50
|
%
|
|
|
2/24/2021
|
|
|
|
3,118,358
|
|
|
|
3,118,358
|
|
|
|
3,147,327
|
|
Aspen Dental Management, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan Initial
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
4/29/2022
|
|
|
|
1,484,941
|
|
|
|
1,481,061
|
|
|
|
1,491,446
|
|
Astoria Energy T/L B
|
|
Utilities
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
12/24/2021
|
|
|
|
1,495,307
|
|
|
|
1,480,354
|
|
|
|
1,499,045
|
|
Asurion, LLC (fka Asurion Corporation)
|
|
Insurance
|
|
Replacement Term Loan
B-2
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.75
|
%
|
|
|
4.03
|
%
|
|
|
7/8/2020
|
|
|
|
531,422
|
|
|
|
526,976
|
|
|
|
537,024
|
|
Asurion, LLC (fka Asurion Corporation)
|
|
Insurance
|
|
Term Loan B4 (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
8/4/2022
|
|
|
|
2,434,375
|
|
|
|
2,422,950
|
|
|
|
2,463,661
|
|
Auction.com, LLC
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
5/13/2019
|
|
|
|
2,718,634
|
|
|
|
2,718,434
|
|
|
|
2,739,024
|
|
Avantor Performance Materials Holdings, Inc.
|
|
Chemicals/Plastics
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
6/21/2022
|
|
|
|
2,784,429
|
|
|
|
2,760,689
|
|
|
|
2,819,234
|
|
AVOLON TLB BORROWER 1 LUXEMBOURG S.A.R.L.
|
|
Capital Equipment
|
|
Term Loan
B-2
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
3.50
|
%
|
|
|
3/20/2022
|
|
|
|
1,000,000
|
|
|
|
995,000
|
|
|
|
1,017,300
|
|
Bass Pro Group, LLC
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.75
|
%
|
|
|
4.02
|
%
|
|
|
6/5/2020
|
|
|
|
1,473,750
|
|
|
|
1,471,637
|
|
|
|
1,411,116
|
|
Belmond Interfin Ltd.
|
|
Lodging & Casinos
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
3/19/2021
|
|
|
|
2,481,122
|
|
|
|
2,484,502
|
|
|
|
2,488,888
|
|
BJs Wholesale Club, Inc.
|
|
Food/Drug Retailers
|
|
New 2013 (November) Replacement Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
2/2/2024
|
|
|
|
1,500,000
|
|
|
|
1,496,335
|
|
|
|
1,487,385
|
|
Blackboard T/L B4
|
|
High Tech Industries
|
|
Term Loan B4
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.02
|
%
|
|
|
6/30/2021
|
|
|
|
2,992,500
|
|
|
|
2,969,529
|
|
|
|
3,008,390
|
|
BMC Software
|
|
Technology
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
9/10/2020
|
|
|
|
1,959,596
|
|
|
|
1,917,256
|
|
|
|
1,965,729
|
|
BMC Software T/L US
|
|
Technology
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
9/10/2020
|
|
|
|
676,193
|
|
|
|
665,400
|
|
|
|
679,607
|
|
Brickman Group Holdings, Inc.
|
|
Brokers/Dealers/Investment Houses
|
|
Initial Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
12/18/2020
|
|
|
|
1,461,186
|
|
|
|
1,451,382
|
|
|
|
1,467,952
|
|
BWAY Holding Company
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
0.00
|
%
|
|
|
4.75
|
%
|
|
|
8/14/2023
|
|
|
|
1,189,327
|
|
|
|
1,179,242
|
|
|
|
1,189,826
|
|
Candy Intermediate Holdings, Inc.
|
|
Beverage, Food & Tobacco
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
6/15/2023
|
|
|
|
497,500
|
|
|
|
495,317
|
|
|
|
500,609
|
|
Capital Automotive L.P.
|
|
Conglomerate
|
|
Tranche
B-1
Term Loan Facility
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
4/10/2019
|
|
|
|
1,487,353
|
|
|
|
1,489,058
|
|
|
|
1,500,829
|
|
CASA SYSTEMS T/L
|
|
Telecommunications
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
12/20/2023
|
|
|
|
1,500,000
|
|
|
|
1,485,318
|
|
|
|
1,500,000
|
|
Catalent Pharma Solutions, Inc
|
|
Drugs
|
|
Initial Term B Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
5/20/2021
|
|
|
|
424,821
|
|
|
|
423,456
|
|
|
|
429,953
|
|
Cengage Learning Acquisitions, Inc.
|
|
Publishing
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
6/7/2023
|
|
|
|
1,492,500
|
|
|
|
1,477,575
|
|
|
|
1,411,965
|
|
CH HOLD (CALIBER COLLISION) T/L
|
|
Automotive
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.00
|
%
|
|
|
4.00
|
%
|
|
|
2/1/2024
|
|
|
|
227,273
|
|
|
|
226,758
|
|
|
|
229,545
|
|
Charter Communications Operating, LLC
|
|
Cable and Satellite Television
|
|
Term F Loan
|
|
Loan
|
|
1M USD LIBOR + 2.00%
|
|
|
0.00
|
%
|
|
|
2.79
|
%
|
|
|
1/3/2021
|
|
|
|
1,609,533
|
|
|
|
1,603,525
|
|
|
|
1,617,130
|
|
CHS/Community Health Systems, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term G Loan
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.80
|
%
|
|
|
12/31/2019
|
|
|
|
981,177
|
|
|
|
960,939
|
|
|
|
972,866
|
|
CHS/Community Health Systems, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term H Loan
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.05
|
%
|
|
|
1/27/2021
|
|
|
|
1,805,352
|
|
|
|
1,763,950
|
|
|
|
1,773,940
|
|
CITGO Petroleum Corporation
|
|
Oil & Gas
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
7/29/2021
|
|
|
|
1,964,874
|
|
|
|
1,946,245
|
|
|
|
1,976,172
|
|
Communications Sales & Leasing, Inc.
|
|
Telecommunications
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
10/24/2022
|
|
|
|
1,970,062
|
|
|
|
1,958,282
|
|
|
|
1,980,405
|
|
Concordia Healthcare Corporation
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
10/21/2021
|
|
|
|
1,980,000
|
|
|
|
1,891,488
|
|
|
|
1,615,522
|
|
Consolidated Aerospace Manufacturing, LLC
|
|
Aerospace and Defense
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
8/11/2022
|
|
|
|
1,418,750
|
|
|
|
1,412,839
|
|
|
|
1,365,547
|
|
Consolidated Communications, Inc.
|
|
Telecommunications
|
|
Term Loan
B-2
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
10/5/2023
|
|
|
|
500,000
|
|
|
|
497,500
|
|
|
|
502,890
|
|
CPI Acquisition Inc.
|
|
Technology
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
6M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.83
|
%
|
|
|
8/17/2022
|
|
|
|
1,436,782
|
|
|
|
1,418,783
|
|
|
|
1,289,511
|
|
CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)
|
|
Electronics/Electric
|
|
Term B Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
11/17/2017
|
|
|
|
2,462,342
|
|
|
|
2,461,490
|
|
|
|
2,457,934
|
|
Crosby US Acquisition Corporation
|
|
Industrial Equipment
|
|
Initial Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.05
|
%
|
|
|
11/23/2020
|
|
|
|
727,500
|
|
|
|
726,911
|
|
|
|
667,329
|
|
CT Technologies Intermediate Hldgs, Inc
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
12/1/2021
|
|
|
|
1,470,113
|
|
|
|
1,458,924
|
|
|
|
1,389,256
|
|
Culligan International
Company-T/L
|
|
Conglomerate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
12/13/2023
|
|
|
|
2,050,000
|
|
|
|
2,049,738
|
|
|
|
2,083,313
|
|
Cumulus Media Holdings Inc.
|
|
Broadcast Radio and Television
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
12/23/2020
|
|
|
|
470,093
|
|
|
|
467,345
|
|
|
|
342,580
|
|
DAE Aviation (StandardAero)
|
|
Aerospace and Defense
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
7/7/2022
|
|
|
|
1,975,000
|
|
|
|
1,967,190
|
|
|
|
1,987,838
|
|
DASEKE T/L (HENNESSY CAPITAL)
|
|
Transportation
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.50
|
%
|
|
|
2/27/2024
|
|
|
|
714,286
|
|
|
|
707,143
|
|
|
|
717,857
|
|
DCS Business Services, Inc.
|
|
Financial Intermediaries
|
|
Term B Loan
|
|
Loan
|
|
3M USD LIBOR + 7.25%
|
|
|
1.50
|
%
|
|
|
8.75
|
%
|
|
|
3/19/2018
|
|
|
|
2,101,458
|
|
|
|
2,096,045
|
|
|
|
2,101,458
|
|
Delta 2 (Lux) S.a.r.l.
|
|
Lodging & Casinos
|
|
Term Loan
B-3
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
5.07
|
%
|
|
|
7/30/2021
|
|
|
|
1,000,000
|
|
|
|
996,568
|
|
|
|
1,002,920
|
|
DELL INTERNATIONAL 1ST LIEN T/L
|
|
High Tech Industries
|
|
Term Loan (01/17)
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
3.25
|
%
|
|
|
9/7/2023
|
|
|
|
1,000,000
|
|
|
|
998,850
|
|
|
|
1,006,480
|
|
Deluxe Entertainment Service Group, Inc.
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan (Incremental)
|
|
Loan
|
|
3M USD LIBOR + 6.00%
|
|
|
1.00
|
%
|
|
|
7.04
|
%
|
|
|
2/28/2020
|
|
|
|
1,000,000
|
|
|
|
972,672
|
|
|
|
997,500
|
|
Deluxe Entertainment Service Group, Inc.
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan (First Lien)
|
|
Loan
|
|
6M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.54
|
%
|
|
|
2/28/2020
|
|
|
|
1,868,084
|
|
|
|
1,869,141
|
|
|
|
1,864,199
|
|
DEX MEDIA, INC.
|
|
Media
|
|
Term Loan (07/16)
|
|
Loan
|
|
1M USD LIBOR + 10.00%
|
|
|
1.00
|
%
|
|
|
11.00
|
%
|
|
|
7/29/2021
|
|
|
|
43,444
|
|
|
|
43,444
|
|
|
|
44,041
|
|
Diebold, Inc.
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
0.75
|
%
|
|
|
5.31
|
%
|
|
|
11/6/2023
|
|
|
|
398,750
|
|
|
|
395,190
|
|
|
|
404,731
|
|
DIGITALGLOBE T/L B (12/16)
|
|
Aerospace and Defense
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
3.53
|
%
|
|
|
1/15/2024
|
|
|
|
500,000
|
|
|
|
498,815
|
|
|
|
502,030
|
|
DJO Finance, LLC
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
6/8/2020
|
|
|
|
492,500
|
|
|
|
490,933
|
|
|
|
483,388
|
|
DPX Holdings B.V.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan 2015 Incr Dollar
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
3/11/2021
|
|
|
|
2,925,000
|
|
|
|
2,919,916
|
|
|
|
2,937,431
|
|
Drew Marine Group, Inc.
|
|
Chemicals/Plastics
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
11/19/2020
|
|
|
|
2,950,591
|
|
|
|
2,923,591
|
|
|
|
2,928,461
|
|
DTZ U.S. Borrower, LLC
|
|
Construction & Building
|
|
Term Loan B
Add-on
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.30
|
%
|
|
|
11/4/2021
|
|
|
|
1,962,557
|
|
|
|
1,954,741
|
|
|
|
1,973,703
|
|
DUKE FINANCE (OM GROUP/VECTRA) T/L
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
2/21/2024
|
|
|
|
1,500,000
|
|
|
|
1,395,987
|
|
|
|
1,511,250
|
|
Edelman Financial Group, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
6M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.51
|
%
|
|
|
12/19/2022
|
|
|
|
1,485,000
|
|
|
|
1,459,535
|
|
|
|
1,487,317
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan A
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.51
|
%
|
|
|
7/2/2020
|
|
|
|
501,970
|
|
|
|
488,778
|
|
|
|
177,446
|
|
Education Management II, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan B (2.00% Cash/6.50% PIK)
|
|
Loan
|
|
3M USD LIBOR + 1.00%
|
|
|
1.00
|
%
|
|
|
8.51
|
%
|
|
|
7/2/2020
|
|
|
|
954,307
|
|
|
|
934,189
|
|
|
|
77,938
|
|
Emerald Performance Materials, LLC
|
|
Chemicals/Plastics
|
|
Term Loan (First Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
8/1/2021
|
|
|
|
480,756
|
|
|
|
479,151
|
|
|
|
483,308
|
|
Emerald Performance Materials, LLC
|
|
Chemicals/Plastics
|
|
Term Loan (Second Lien)
|
|
Loan
|
|
1M USD LIBOR + 7.75%
|
|
|
1.00
|
%
|
|
|
8.75
|
%
|
|
|
8/1/2022
|
|
|
|
500,000
|
|
|
|
498,153
|
|
|
|
498,595
|
|
Emerald 2 Limited
|
|
Chemicals/Plastics
|
|
Term Loan B1A
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
5/14/2021
|
|
|
|
1,000,000
|
|
|
|
994,172
|
|
|
|
950,000
|
|
Endo International plc
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.75
|
%
|
|
|
3.81
|
%
|
|
|
9/26/2022
|
|
|
|
990,000
|
|
|
|
987,999
|
|
|
|
994,247
|
|
EnergySolutions, LLC
|
|
Environmental Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.75%
|
|
|
1.00
|
%
|
|
|
6.75
|
%
|
|
|
5/29/2020
|
|
|
|
795,000
|
|
|
|
785,654
|
|
|
|
799,969
|
|
Engility Corporation
|
|
Aerospace and Defense
|
|
Term Loan
B-1
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
0.70
|
%
|
|
|
4.03
|
%
|
|
|
8/12/2020
|
|
|
|
243,750
|
|
|
|
242,680
|
|
|
|
245,503
|
|
Evergreen Acqco 1 LP
|
|
Retailers (Except Food and Drugs)
|
|
New Term Loan
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.25
|
%
|
|
|
5.00
|
%
|
|
|
7/9/2019
|
|
|
|
955,106
|
|
|
|
954,175
|
|
|
|
846,224
|
|
EWT Holdings III Corp. (fka WTG Holdings III Corp.)
|
|
Industrial Equipment
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
1/15/2021
|
|
|
|
1,947,330
|
|
|
|
1,943,904
|
|
|
|
1,954,632
|
|
EWT Holdings III Corp.
|
|
Capital Equipment
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
1/15/2021
|
|
|
|
992,500
|
|
|
|
984,248
|
|
|
|
997,463
|
|
Extreme Reach, Inc.
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 6.25%
|
|
|
1.00
|
%
|
|
|
7.25
|
%
|
|
|
2/7/2020
|
|
|
|
2,887,500
|
|
|
|
2,860,092
|
|
|
|
2,905,547
|
|
Federal-Mogul Corporation
|
|
Automotive
|
|
Tranche C Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
4/15/2021
|
|
|
|
2,925,000
|
|
|
|
2,915,873
|
|
|
|
2,894,434
|
|
First Data Corporation
|
|
Financial Intermediaries
|
|
First Data T/L Ext (2021)
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.70
|
%
|
|
|
3.78
|
%
|
|
|
3/24/2021
|
|
|
|
1,886,914
|
|
|
|
1,804,119
|
|
|
|
1,904,010
|
|
See accompanying notes to financial statements.
S-8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer Name
|
|
Industry
|
|
Asset Name
|
|
Asset
Type
|
|
LIBOR/Spread
|
|
LIBOR
Floor
|
|
|
Current
Rate
(All In)
|
|
|
Maturity
Date
|
|
|
Principal/
Number of
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
First Eagle Investment Management
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
0.75
|
%
|
|
|
5.00
|
%
|
|
|
12/1/2022
|
|
|
|
1,485,000
|
|
|
|
1,460,081
|
|
|
|
1,493,361
|
|
Fitness International, LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
7/1/2020
|
|
|
|
1,929,311
|
|
|
|
1,905,661
|
|
|
|
1,947,793
|
|
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)
|
|
Nonferrous Metals/Minerals
|
|
Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
6/28/2019
|
|
|
|
801,502
|
|
|
|
802,865
|
|
|
|
806,279
|
|
Garda World Security Corporation
|
|
Services: Business
|
|
Term B Delayed Draw Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
11/6/2020
|
|
|
|
197,083
|
|
|
|
196,509
|
|
|
|
197,822
|
|
Garda World Security Corporation
|
|
Services: Business
|
|
Term B Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
11/6/2020
|
|
|
|
770,417
|
|
|
|
768,226
|
|
|
|
773,306
|
|
Gardner Denver, Inc.
|
|
High Tech Industries
|
|
Initial Dollar Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.57
|
%
|
|
|
7/30/2020
|
|
|
|
2,426,061
|
|
|
|
2,421,316
|
|
|
|
2,420,263
|
|
Gates Global LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
7/5/2021
|
|
|
|
481,656
|
|
|
|
476,839
|
|
|
|
481,478
|
|
General Nutrition Centers, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Amended Tranche B Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
3.29
|
%
|
|
|
3/4/2019
|
|
|
|
2,121,102
|
|
|
|
2,117,573
|
|
|
|
1,765,817
|
|
GLOBALLOGIC HOLDINGS INC TERM LOAN B
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
6/20/2022
|
|
|
|
500,000
|
|
|
|
495,133
|
|
|
|
501,250
|
|
Global Tel*Link Corporation
|
|
Services: Business
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.25
|
%
|
|
|
5.00
|
%
|
|
|
5/26/2020
|
|
|
|
2,667,633
|
|
|
|
2,661,035
|
|
|
|
2,654,962
|
|
Goodyear Tire & Rubber Company, The
|
|
Chemicals/Plastics
|
|
Loan (Second Lien)
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.75
|
%
|
|
|
3.78
|
%
|
|
|
4/30/2019
|
|
|
|
1,333,333
|
|
|
|
1,320,613
|
|
|
|
1,333,747
|
|
Grosvenor Capital Management Holdings, LP
|
|
Brokers/Dealers/Investment Houses
|
|
Initial Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
1/4/2021
|
|
|
|
1,014,560
|
|
|
|
1,011,573
|
|
|
|
1,010,755
|
|
GTCR Valor Companies, Inc.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 6.00%
|
|
|
1.00
|
%
|
|
|
7.00
|
%
|
|
|
6/16/2023
|
|
|
|
1,492,500
|
|
|
|
1,436,528
|
|
|
|
1,501,201
|
|
Harland Clarke Holdings Corp. (fka Clarke American Corp.)
|
|
Publishing
|
|
Tranche
B-4
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.50
|
%
|
|
|
2/9/2022
|
|
|
|
2,176,889
|
|
|
|
2,117,378
|
|
|
|
2,190,495
|
|
Headwaters Incorporated
|
|
Building & Development
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
3/24/2022
|
|
|
|
242,058
|
|
|
|
241,141
|
|
|
|
242,784
|
|
Help/Systems Holdings, Inc.
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 5.25%
|
|
|
1.00
|
%
|
|
|
6.25
|
%
|
|
|
10/8/2021
|
|
|
|
1,485,000
|
|
|
|
1,433,886
|
|
|
|
1,485,000
|
|
Hemisphere Media Holdings, LLC
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
0.00
|
%
|
|
|
4.27
|
%
|
|
|
2/14/2024
|
|
|
|
2,500,000
|
|
|
|
2,512,500
|
|
|
|
2,493,750
|
|
Herbalife T/L B (HLF Financing)
|
|
Drugs
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.50%
|
|
|
0.75
|
%
|
|
|
6.28
|
%
|
|
|
2/15/2023
|
|
|
|
2,000,000
|
|
|
|
1,985,000
|
|
|
|
2,001,660
|
|
Hercules Achievement Holdings, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
12/10/2021
|
|
|
|
246,851
|
|
|
|
244,820
|
|
|
|
250,431
|
|
Hoffmaster Group, Inc.
|
|
Containers/Glass Products
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
11/21/2023
|
|
|
|
1,000,000
|
|
|
|
1,003,734
|
|
|
|
1,013,750
|
|
Hostess Brand, LLC
|
|
Beverage, Food & Tobacco
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
8/3/2022
|
|
|
|
1,490,000
|
|
|
|
1,486,482
|
|
|
|
1,507,508
|
|
Huntsman International LLC
|
|
Chemicals/Plastics
|
|
Term Loan B (First Lien)
|
|
Loan
|
|
2M USD LIBOR + 3.00%
|
|
|
0.70
|
%
|
|
|
3.78
|
%
|
|
|
4/19/2019
|
|
|
|
1,518,031
|
|
|
|
1,510,811
|
|
|
|
1,525,150
|
|
Husky Injection Molding Systems Ltd.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
6/30/2021
|
|
|
|
469,398
|
|
|
|
467,182
|
|
|
|
472,158
|
|
Hyperion Refinance T/L
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
4/29/2022
|
|
|
|
1,994,924
|
|
|
|
1,971,849
|
|
|
|
1,998,675
|
|
Imagine! Print Solutions, Inc.
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 6.00%
|
|
|
1.00
|
%
|
|
|
7.00
|
%
|
|
|
3/30/2022
|
|
|
|
496,250
|
|
|
|
489,837
|
|
|
|
499,972
|
|
Infor US (Lawson) T/L
B-6
|
|
Services: Business
|
|
Term Loan
B-6
|
|
Loan
|
|
3M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
2/1/2022
|
|
|
|
1,609,802
|
|
|
|
1,595,316
|
|
|
|
1,610,945
|
|
Informatica Corporation
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
8/5/2022
|
|
|
|
493,750
|
|
|
|
492,732
|
|
|
|
490,664
|
|
Insight Global
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
10/29/2021
|
|
|
|
3,450,126
|
|
|
|
3,434,977
|
|
|
|
3,471,690
|
|
ION Media T/L B
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
2M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
12/18/2020
|
|
|
|
500,000
|
|
|
|
497,615
|
|
|
|
506,875
|
|
J. Crew Group, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term
B-1
Loan Retired 03/05/2014
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
3/5/2021
|
|
|
|
945,756
|
|
|
|
945,756
|
|
|
|
540,660
|
|
Jazz Acquisition, Inc
|
|
Aerospace and Defense
|
|
First Lien 6/14
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
6/19/2021
|
|
|
|
487,879
|
|
|
|
487,106
|
|
|
|
471,208
|
|
J.Jill Group, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.04
|
%
|
|
|
5/9/2022
|
|
|
|
950,648
|
|
|
|
946,877
|
|
|
|
935,200
|
|
Kinetic Concepts, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
F-1
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
4.28
|
%
|
|
|
2/2/2024
|
|
|
|
2,400,000
|
|
|
|
2,388,246
|
|
|
|
2,399,496
|
|
Koosharem, LLC
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 6.50%
|
|
|
1.00
|
%
|
|
|
7.50
|
%
|
|
|
5/15/2020
|
|
|
|
2,935,100
|
|
|
|
2,917,778
|
|
|
|
2,730,259
|
|
Kraton Polymers, LLC
|
|
Chemicals/Plastics
|
|
Term Loan (Initial)
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
1/6/2022
|
|
|
|
2,500,000
|
|
|
|
2,286,776
|
|
|
|
2,533,825
|
|
Lannett Company T/L A
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan A
|
|
Loan
|
|
1M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
5.75
|
%
|
|
|
11/25/2020
|
|
|
|
1,000,000
|
|
|
|
970,576
|
|
|
|
985,000
|
|
Lannett Company, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.38%
|
|
|
1.00
|
%
|
|
|
6.38
|
%
|
|
|
11/25/2022
|
|
|
|
1,900,000
|
|
|
|
1,842,852
|
|
|
|
1,885,750
|
|
LEARFIELD COMMUNICATIONS INITIAL T/L
(A-L
PARENT)
|
|
Healthcare & Pharmaceuticals
|
|
Initial Term Loan
(A-L
Parent)
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
12/1/2023
|
|
|
|
500,000
|
|
|
|
497,713
|
|
|
|
505,625
|
|
Lightstone Generation T/L B
|
|
Utilities
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.54
|
%
|
|
|
1/30/2024
|
|
|
|
913,043
|
|
|
|
894,897
|
|
|
|
925,981
|
|
Lightstone Generation T/L C
|
|
Utilities
|
|
Term Loan C
|
|
Loan
|
|
3M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.54
|
%
|
|
|
1/30/2024
|
|
|
|
86,957
|
|
|
|
85,236
|
|
|
|
88,189
|
|
Limetree Bay Terminals T/L (01/17)
|
|
Oil & Gas
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.04
|
%
|
|
|
2/15/2024
|
|
|
|
500,000
|
|
|
|
495,000
|
|
|
|
503,125
|
|
LPL Holdings
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B (2022)
|
|
Loan
|
|
2M USD LIBOR + 4.00%
|
|
|
0.75
|
%
|
|
|
4.78
|
%
|
|
|
11/21/2022
|
|
|
|
1,980,000
|
|
|
|
1,963,355
|
|
|
|
2,007,225
|
|
Mauser Holdings, Inc.
|
|
Containers/Glass Products
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
7/31/2021
|
|
|
|
488,750
|
|
|
|
487,123
|
|
|
|
488,647
|
|
McGraw-Hill Global Education Holdings, LLC
|
|
Publishing
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
5/4/2022
|
|
|
|
995,000
|
|
|
|
990,840
|
|
|
|
977,468
|
|
Michaels Stores, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B1
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
1/30/2023
|
|
|
|
1,679,779
|
|
|
|
1,674,140
|
|
|
|
1,674,673
|
|
Micro Holding Corporation
|
|
High Tech Industries
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
7/8/2021
|
|
|
|
982,378
|
|
|
|
978,629
|
|
|
|
985,079
|
|
Microsemi Corporation
|
|
Electronics/Electric
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 2.25%
|
|
|
0.00
|
%
|
|
|
3.03
|
%
|
|
|
1/17/2023
|
|
|
|
868,445
|
|
|
|
845,882
|
|
|
|
874,593
|
|
Midas Intermediate Holdco II, LLC
|
|
Automotive
|
|
Term Loan (Initial)
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
8/18/2021
|
|
|
|
244,375
|
|
|
|
243,499
|
|
|
|
246,005
|
|
Milacron T/L B
|
|
Capital Equipment
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.00
|
%
|
|
|
3.78
|
%
|
|
|
9/28/2023
|
|
|
|
1,000,000
|
|
|
|
996,250
|
|
|
|
1,004,380
|
|
Milk Specialties Company
|
|
Beverage, Food & Tobacco
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
8/16/2023
|
|
|
|
997,500
|
|
|
|
987,646
|
|
|
|
1,004,562
|
|
Mister Car Wash T/L
|
|
Automotive
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
8/20/2021
|
|
|
|
831,203
|
|
|
|
825,179
|
|
|
|
832,931
|
|
MSC Software Corporation
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
5/29/2020
|
|
|
|
1,969,898
|
|
|
|
1,931,995
|
|
|
|
1,972,360
|
|
MWI Holdings, Inc.
|
|
Capital Equipment
|
|
Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.50
|
%
|
|
|
6/29/2020
|
|
|
|
2,985,000
|
|
|
|
2,956,823
|
|
|
|
3,007,388
|
|
National Veterinary Associates, Inc
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
8/14/2021
|
|
|
|
977,543
|
|
|
|
974,893
|
|
|
|
982,430
|
|
National Vision, Inc.
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan (Second Lien)
|
|
Loan
|
|
1M USD LIBOR + 5.75%
|
|
|
1.00
|
%
|
|
|
6.75
|
%
|
|
|
3/11/2022
|
|
|
|
250,000
|
|
|
|
249,793
|
|
|
|
242,750
|
|
New Media Holdings II T/L (NEW)
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 6.25%
|
|
|
1.00
|
%
|
|
|
7.25
|
%
|
|
|
6/4/2020
|
|
|
|
3,168,116
|
|
|
|
3,154,983
|
|
|
|
3,140,395
|
|
New Millennium Holdco, Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 6.50%
|
|
|
1.00
|
%
|
|
|
7.50
|
%
|
|
|
12/21/2020
|
|
|
|
1,930,106
|
|
|
|
1,777,976
|
|
|
|
980,494
|
|
Novetta Solutions
|
|
Aerospace and Defense
|
|
Term Loan (200MM)
|
|
Loan
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
10/16/2022
|
|
|
|
1,980,000
|
|
|
|
1,963,361
|
|
|
|
1,890,900
|
|
Novetta Solutions
|
|
Aerospace and Defense
|
|
Term Loan (2nd Lien)
|
|
Loan
|
|
3M USD LIBOR + 8.50%
|
|
|
1.00
|
%
|
|
|
9.50
|
%
|
|
|
10/16/2023
|
|
|
|
1,000,000
|
|
|
|
991,237
|
|
|
|
930,000
|
|
NPC International, Inc.
|
|
Food Services
|
|
Term Loan (2013)
|
|
Loan
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
12/28/2018
|
|
|
|
476,250
|
|
|
|
476,250
|
|
|
|
477,241
|
|
NVA Holdings (National Veterinary) T/L B2
|
|
Services: Consumer
|
|
Term Loan B2
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
8/14/2021
|
|
|
|
129,601
|
|
|
|
129,601
|
|
|
|
130,897
|
|
NVA Holdings, Inc.
|
|
Services: Consumer
|
|
Term Loan B1
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
8/14/2021
|
|
|
|
157,443
|
|
|
|
157,108
|
|
|
|
158,034
|
|
NXT Capital T/L (11/16)
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
11/23/2022
|
|
|
|
1,000,000
|
|
|
|
995,240
|
|
|
|
1,013,750
|
|
ON Semiconductor Corporation
|
|
High Tech Industries
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
0.70
|
%
|
|
|
4.03
|
%
|
|
|
3/31/2023
|
|
|
|
498,750
|
|
|
|
491,370
|
|
|
|
503,204
|
|
Onex Carestream Finance LP
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan (First Lien 2013)
|
|
Loan
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
6/7/2019
|
|
|
|
3,613,555
|
|
|
|
3,606,228
|
|
|
|
3,490,297
|
|
OnexYork Acquisition Co
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
10/1/2021
|
|
|
|
488,750
|
|
|
|
486,195
|
|
|
|
475,554
|
|
OpenLink International, LLC
|
|
Services: Business
|
|
Term B Loan
|
|
Loan
|
|
3M USD LIBOR + 6.50%
|
|
|
1.25
|
%
|
|
|
7.75
|
%
|
|
|
7/29/2019
|
|
|
|
2,913,824
|
|
|
|
2,913,362
|
|
|
|
2,938,096
|
|
P.F. Changs China Bistro, Inc. (Wok Acquisition Corp.)
|
|
Food/Drug Retailers
|
|
Term Borrowing
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.54
|
%
|
|
|
6/24/2019
|
|
|
|
1,417,598
|
|
|
|
1,413,680
|
|
|
|
1,389,245
|
|
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)
|
|
Services: Business
|
|
Term Loan (First Lien)
|
|
Loan
|
|
6M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
10/30/2020
|
|
|
|
970,000
|
|
|
|
966,928
|
|
|
|
933,625
|
|
Petsmart, Inc. (Argos Merger Sub, Inc.)
|
|
Retailers (Except Food and Drugs)
|
|
Term Loan B1
|
|
Loan
|
|
2M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
3/11/2022
|
|
|
|
982,500
|
|
|
|
977,998
|
|
|
|
967,183
|
|
PGX Holdings, Inc.
|
|
Financial Intermediaries
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 5.25%
|
|
|
1.00
|
%
|
|
|
6.25
|
%
|
|
|
9/29/2020
|
|
|
|
2,891,464
|
|
|
|
2,876,188
|
|
|
|
2,889,671
|
|
Planet Fitness Holdings LLC
|
|
Leisure Goods/Activities/Movies
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
0.75
|
%
|
|
|
4.28
|
%
|
|
|
3/31/2021
|
|
|
|
2,392,341
|
|
|
|
2,385,223
|
|
|
|
2,407,293
|
|
Polycom Term Loan (9/16)
|
|
Telecommunications
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 5.25%
|
|
|
1.00
|
%
|
|
|
6.25
|
%
|
|
|
9/27/2023
|
|
|
|
1,894,167
|
|
|
|
1,868,863
|
|
|
|
1,907,426
|
|
PrePaid Legal Services, Inc.
|
|
Services: Business
|
|
Term Loan B
|
|
Loan
|
|
1M USD LIBOR + 5.25%
|
|
|
1.25
|
%
|
|
|
6.50
|
%
|
|
|
7/1/2019
|
|
|
|
3,328,536
|
|
|
|
3,330,285
|
|
|
|
3,335,825
|
|
Presidio, Inc.
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
2/2/2022
|
|
|
|
2,297,698
|
|
|
|
2,248,964
|
|
|
|
2,314,930
|
|
Prestige Brands T/L B4
|
|
Drugs
|
|
Term Loan B4
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
3.53
|
%
|
|
|
1/26/2024
|
|
|
|
500,000
|
|
|
|
498,779
|
|
|
|
506,040
|
|
Prime Security Services (Protection One)
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
2M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
5/2/2022
|
|
|
|
1,985,025
|
|
|
|
1,975,632
|
|
|
|
2,003,645
|
|
Ranpak Holdings, Inc.
|
|
Services: Business
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
10/1/2021
|
|
|
|
916,047
|
|
|
|
913,757
|
|
|
|
918,337
|
|
Ranpak Holdings, Inc.
|
|
Services: Business
|
|
Term Loan (Second Lien)
|
|
Loan
|
|
1M USD LIBOR + 7.25%
|
|
|
1.00
|
%
|
|
|
8.25
|
%
|
|
|
10/3/2022
|
|
|
|
500,000
|
|
|
|
498,149
|
|
|
|
475,000
|
|
Redtop Acquisitions Limited
|
|
Electronics/Electric
|
|
Initial Dollar Term Loan (First Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.54
|
%
|
|
|
12/3/2020
|
|
|
|
485,019
|
|
|
|
483,001
|
|
|
|
486,634
|
|
Regal Cinemas Corporation
|
|
Services: Consumer
|
|
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
3.28
|
%
|
|
|
4/1/2022
|
|
|
|
495,009
|
|
|
|
493,772
|
|
|
|
499,573
|
|
Research Now Group, Inc
|
|
Media
|
|
Term Loan B
|
|
Loan
|
|
3M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.50
|
%
|
|
|
3/18/2021
|
|
|
|
2,037,705
|
|
|
|
2,029,696
|
|
|
|
2,002,045
|
|
Resolute Investment Managers, Inc.
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
4/30/2022
|
|
|
|
240,815
|
|
|
|
239,883
|
|
|
|
241,518
|
|
Rexnord LLC/RBS Global, Inc.
|
|
Industrial Equipment
|
|
Term B Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
8/21/2023
|
|
|
|
732,374
|
|
|
|
732,374
|
|
|
|
736,497
|
|
Rexnord LLC/RBS Global, Inc.
|
|
Industrial Equipment
|
|
Term B Loan
|
|
Loan
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
8/21/2023
|
|
|
|
641,402
|
|
|
|
641,402
|
|
|
|
645,013
|
|
Reynolds Group Holdings Inc.
|
|
Industrial Equipment
|
|
Incremental U.S. Term Loan
|
|
Loan
|
|
1M USD LIBOR + 3.00%
|
|
|
0.00
|
%
|
|
|
3.78
|
%
|
|
|
2/3/2023
|
|
|
|
1,761,134
|
|
|
|
1,761,134
|
|
|
|
1,773,603
|
|
Rovi Solutions Corporation / Rovi Guides, Inc.
|
|
Electronics/Electric
|
|
Tranche
B-3
Term Loan
|
|
Loan
|
|
1M USD LIBOR + 2.50%
|
|
|
0.75
|
%
|
|
|
3.29
|
%
|
|
|
7/2/2021
|
|
|
|
1,462,500
|
|
|
|
1,457,765
|
|
|
|
1,467,984
|
|
Royal Adhesives and Sealants
|
|
Chemicals/Plastics
|
|
Term Loan (Second Lien)
|
|
Loan
|
|
3M USD LIBOR + 7.50%
|
|
|
1.00
|
%
|
|
|
8.50
|
%
|
|
|
6/19/2023
|
|
|
|
275,862
|
|
|
|
274,109
|
|
|
|
276,552
|
|
Royal Holdings T/L (02/17)
|
|
Chemicals/Plastics
|
|
Term Loan (Second Lien)
|
|
Loan
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
6/17/2022
|
|
|
|
541,607
|
|
|
|
539,167
|
|
|
|
544,992
|
|
RPI Finance Trust
|
|
Financial Intermediaries
|
|
Term
B-4
Term Loan
|
|
Loan
|
|
3M USD LIBOR + 2.50%
|
|
|
0.00
|
%
|
|
|
3.50
|
%
|
|
|
10/14/2022
|
|
|
|
2,554,764
|
|
|
|
2,554,764
|
|
|
|
2,580,848
|
|
See accompanying notes to financial statements.
S-9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Issuer Name
|
|
Industry
|
|
Asset Name
|
|
Asset
Type
|
|
|
LIBOR/Spread
|
|
LIBOR
Floor
|
|
|
Current
Rate
(All In)
|
|
|
Maturity
Date
|
|
|
Principal/
Number of
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Russell Investment Management T/L B
|
|
Banking, Finance, Insurance & Real Estate
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 5.75%
|
|
|
1.00
|
%
|
|
|
6.75
|
%
|
|
|
6/1/2023
|
|
|
|
2,240,000
|
|
|
|
2,127,043
|
|
|
|
2,259,600
|
|
Sable International Finance Ltd
|
|
Telecommunications
|
|
Term Loan B2
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.75%
|
|
|
0.75
|
%
|
|
|
5.53
|
%
|
|
|
12/30/2022
|
|
|
|
1,500,000
|
|
|
|
1,470,825
|
|
|
|
1,521,570
|
|
SBP Holdings LP
|
|
Industrial Equipment
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
3/27/2021
|
|
|
|
972,500
|
|
|
|
969,442
|
|
|
|
870,388
|
|
Scientific Games International, Inc.
|
|
Electronics/Electric
|
|
Term Loan B2
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
0.75
|
%
|
|
|
4.85
|
%
|
|
|
10/1/2021
|
|
|
|
769,549
|
|
|
|
762,102
|
|
|
|
781,416
|
|
SCS Holdings (Sirius Computer)
|
|
High Tech Industries
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
10/31/2022
|
|
|
|
1,972,528
|
|
|
|
1,934,960
|
|
|
|
1,991,030
|
|
Seadrill Operating LP
|
|
Oil & Gas
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
2/21/2021
|
|
|
|
977,330
|
|
|
|
922,444
|
|
|
|
729,635
|
|
Shearers Foods LLC
|
|
Food Services
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.94%
|
|
|
1.00
|
%
|
|
|
4.94
|
%
|
|
|
6/30/2021
|
|
|
|
977,500
|
|
|
|
975,832
|
|
|
|
979,944
|
|
Sitel Worldwide
|
|
Telecommunications
|
|
Term Loan
|
|
|
Loan
|
|
|
6M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.56
|
%
|
|
|
9/18/2021
|
|
|
|
1,975,000
|
|
|
|
1,959,274
|
|
|
|
1,961,432
|
|
SMB Shipping Logistics T/L B (REP WWEX Acquisition)
|
|
Transportation
|
|
Term Loan B
|
|
|
Loan
|
|
|
6M USD LIBOR + 4.50%
|
|
|
1.00
|
%
|
|
|
5.53
|
%
|
|
|
2/2/2024
|
|
|
|
1,000,000
|
|
|
|
995,095
|
|
|
|
1,008,330
|
|
Sonneborn, LLC
|
|
Chemicals/Plastics
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
12/10/2020
|
|
|
|
207,981
|
|
|
|
207,633
|
|
|
|
208,501
|
|
Sonneborn, LLC
|
|
Chemicals/Plastics
|
|
Initial US Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
12/10/2020
|
|
|
|
1,178,561
|
|
|
|
1,176,588
|
|
|
|
1,181,508
|
|
Sophia, L.P.
|
|
Electronics/Electric
|
|
Term Loan (Closing Date)
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.25%
|
|
|
1.00
|
%
|
|
|
4.25
|
%
|
|
|
9/30/2022
|
|
|
|
1,960,897
|
|
|
|
1,951,404
|
|
|
|
1,967,761
|
|
SourceHOV LLC
|
|
Services: Business
|
|
Term Loan B (First Lien)
|
|
|
Loan
|
|
|
1M USD LIBOR + 6.75%
|
|
|
1.00
|
%
|
|
|
7.75
|
%
|
|
|
10/31/2019
|
|
|
|
1,837,500
|
|
|
|
1,804,647
|
|
|
|
1,808,412
|
|
SRAM, LLC
|
|
Industrial Equipment
|
|
Term Loan (First Lien)
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
4/10/2020
|
|
|
|
2,725,103
|
|
|
|
2,719,454
|
|
|
|
2,718,289
|
|
Steak n Shake Operations, Inc.
|
|
Food Services
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
3/19/2021
|
|
|
|
923,173
|
|
|
|
917,444
|
|
|
|
930,097
|
|
Survey Sampling International
|
|
Services: Business
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 5.00%
|
|
|
1.00
|
%
|
|
|
6.00
|
%
|
|
|
12/16/2020
|
|
|
|
2,721,749
|
|
|
|
2,707,531
|
|
|
|
2,721,749
|
|
Sybil Finance BV
|
|
High Tech Industries
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
9/30/2022
|
|
|
|
987,500
|
|
|
|
982,957
|
|
|
|
1,002,006
|
|
Syniverse Holdings, Inc.
|
|
Telecommunications
|
|
Initial Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.04
|
%
|
|
|
4/23/2019
|
|
|
|
468,977
|
|
|
|
466,972
|
|
|
|
427,473
|
|
TaxACT, Inc.
|
|
Services: Business
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 6.00%
|
|
|
1.00
|
%
|
|
|
7.00
|
%
|
|
|
1/3/2023
|
|
|
|
1,200,000
|
|
|
|
1,168,727
|
|
|
|
1,206,000
|
|
Tectum Holdings, Inc.
|
|
Transportation
|
|
Delayed Draw Term Loan (Initial)
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
5.80
|
%
|
|
|
8/24/2023
|
|
|
|
997,500
|
|
|
|
988,185
|
|
|
|
1,004,981
|
|
Tennessee Merger T/L (Team Health)
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.75%
|
|
|
1.00
|
%
|
|
|
3.75
|
%
|
|
|
2/6/2024
|
|
|
|
1,000,000
|
|
|
|
997,518
|
|
|
|
996,880
|
|
TGI Fridays, Inc.
|
|
Food Services
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.25%
|
|
|
1.00
|
%
|
|
|
5.25
|
%
|
|
|
7/15/2020
|
|
|
|
1,651,817
|
|
|
|
1,648,856
|
|
|
|
1,646,316
|
|
Townsquare Media, Inc.
|
|
Media
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
4/1/2022
|
|
|
|
932,522
|
|
|
|
927,933
|
|
|
|
937,185
|
|
TPF II Power LLC and TPF II Covert Midco LLC
|
|
Utilities
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
10/2/2021
|
|
|
|
1,413,873
|
|
|
|
1,364,619
|
|
|
|
1,426,683
|
|
TransDigm, Inc.
|
|
Aerospace and Defense
|
|
Tranche C Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.00%
|
|
|
0.75
|
%
|
|
|
3.78
|
%
|
|
|
2/28/2020
|
|
|
|
4,233,198
|
|
|
|
4,238,155
|
|
|
|
4,249,920
|
|
Travel Leaders Group, LLC
|
|
Hotel, Gaming and Leisure
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 5.25%
|
|
|
0.00
|
%
|
|
|
6.03
|
%
|
|
|
1/25/2024
|
|
|
|
2,000,000
|
|
|
|
1,990,095
|
|
|
|
2,025,000
|
|
Trugreen Limited Partnership
|
|
Services: Business
|
|
Term Loan B
|
|
|
Loan
|
|
|
2M USD LIBOR + 5.50%
|
|
|
1.00
|
%
|
|
|
6.50
|
%
|
|
|
4/13/2023
|
|
|
|
497,500
|
|
|
|
490,931
|
|
|
|
503,719
|
|
Twin River Management Group, Inc.
|
|
Lodging & Casinos
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.50%
|
|
|
1.00
|
%
|
|
|
4.50
|
%
|
|
|
7/10/2020
|
|
|
|
809,438
|
|
|
|
810,684
|
|
|
|
819,556
|
|
Univar Inc.
|
|
Chemicals/Plastics
|
|
Term B Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 2.75%
|
|
|
0.00
|
%
|
|
|
3.61
|
%
|
|
|
7/1/2022
|
|
|
|
2,962,500
|
|
|
|
2,948,361
|
|
|
|
2,971,565
|
|
Univision Communications Inc.
|
|
Telecommunications
|
|
Replacement First-Lien Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.00%
|
|
|
1.00
|
%
|
|
|
4.00
|
%
|
|
|
3/1/2020
|
|
|
|
2,885,666
|
|
|
|
2,876,319
|
|
|
|
2,896,949
|
|
Valeant Pharmaceuticals International, Inc.
|
|
Drugs
|
|
Series D2 Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.25%
|
|
|
0.75
|
%
|
|
|
5.03
|
%
|
|
|
2/13/2019
|
|
|
|
2,445,056
|
|
|
|
2,437,788
|
|
|
|
2,456,890
|
|
Verint Systems Inc.
|
|
Services: Business
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 2.75%
|
|
|
0.75
|
%
|
|
|
3.53
|
%
|
|
|
9/6/2019
|
|
|
|
1,006,278
|
|
|
|
1,003,396
|
|
|
|
1,010,554
|
|
Vistra Operations Company T/L B (12/16)
|
|
Utilities
|
|
Term Loan B
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.25%
|
|
|
0.75
|
%
|
|
|
4.02
|
%
|
|
|
12/13/2023
|
|
|
|
500,000
|
|
|
|
498,784
|
|
|
|
502,970
|
|
Vizient Inc.
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
2/13/2023
|
|
|
|
879,853
|
|
|
|
856,884
|
|
|
|
891,405
|
|
Vouvray US Finance
|
|
Industrial Equipment
|
|
Term Loan
|
|
|
Loan
|
|
|
2M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
6/27/2021
|
|
|
|
487,500
|
|
|
|
485,889
|
|
|
|
486,891
|
|
Washington Inventory Service
|
|
Services: Business
|
|
U.S. Term Loan (First Lien) (5.75% PIK)
|
|
|
Loan
|
|
|
1M USD LIBOR + 0.00%
|
|
|
0.00
|
%
|
|
|
5.75
|
%
|
|
|
12/20/2018
|
|
|
|
1,735,292
|
|
|
|
1,743,798
|
|
|
|
1,418,601
|
|
Western Digital Corporation
|
|
High Tech Industries
|
|
Term Loan B (USD)
|
|
|
Loan
|
|
|
1M USD LIBOR + 3.75%
|
|
|
0.75
|
%
|
|
|
4.53
|
%
|
|
|
5/1/2023
|
|
|
|
1,592,000
|
|
|
|
1,547,312
|
|
|
|
1,602,396
|
|
Windstream Services, LLC
|
|
Telecommunications
|
|
Term Loan B6
|
|
|
Loan
|
|
|
1M USD LIBOR + 4.00%
|
|
|
0.75
|
%
|
|
|
4.78
|
%
|
|
|
3/29/2021
|
|
|
|
999,375
|
|
|
|
989,489
|
|
|
|
1,006,121
|
|
Xerox Business Services T/L B (Conduent)
|
|
Services: Business
|
|
Term Loan
|
|
|
Loan
|
|
|
2M USD LIBOR + 5.50%
|
|
|
0.75
|
%
|
|
|
6.28
|
%
|
|
|
12/7/2023
|
|
|
|
750,000
|
|
|
|
737,850
|
|
|
|
761,955
|
|
Zekelman Industries (JMC Steel) T/L (01/17)
|
|
Nonferrous Metals/Minerals
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 3.75%
|
|
|
1.00
|
%
|
|
|
4.75
|
%
|
|
|
6/14/2021
|
|
|
|
500,000
|
|
|
|
501,250
|
|
|
|
506,040
|
|
ZEP, Inc.
|
|
Chemicals/Plastics
|
|
Term Loan B
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.00%
|
|
|
1.00
|
%
|
|
|
5.00
|
%
|
|
|
6/27/2022
|
|
|
|
2,955,000
|
|
|
|
2,941,390
|
|
|
|
2,984,550
|
|
Zest Holdings 1st Lien T/L (2014 Replacement)
|
|
Healthcare & Pharmaceuticals
|
|
Term Loan
|
|
|
Loan
|
|
|
3M USD LIBOR + 4.75%
|
|
|
1.00
|
%
|
|
|
5.75
|
%
|
|
|
8/17/2020
|
|
|
|
1,000,000
|
|
|
|
995,523
|
|
|
|
1,012,500
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
297,801,502
|
|
|
$
|
292,460,648
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Cash and cash equivalents
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Bank Money Market (a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,046,555
|
|
|
$
|
13,046,555
|
|
|
$
|
13,046,555
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total cash and cash equivalents
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,046,555
|
|
|
$
|
13,046,555
|
|
|
$
|
13,046,555
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a)
|
Included within cash and cash equivalents in Saratoga CLOs statements of assets and liabilities as of February 28, 2017.
|
LIBORLondon Interbank Offered Rate
1M USD LIBORThe 1
month USD LIBOR rate as of February 28, 2017 was 0.77%.
2M USD LIBORThe 2 month USD LIBOR rate as of February 28, 2017 was 0.86%.
3M USD LIBORThe 3 month USD LIBOR rate as of February 28, 2017 was 1.05%.
6M USD LIBORThe 6 month USD LIBOR rate as of February 28, 2017 was 1.37%.
PIKPayment-in-Kind
(see Note 2 to the financial statements)
See accompanying notes to financial statements.
S-10
Saratoga Investment Corp. CLO
2013-1,
Ltd.
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
|
February 29,
2016
|
|
INCREASE (DECREASE) FROM OPERATIONS:
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss)
|
|
$
|
1,395,342
|
|
|
$
|
(5,232,690
|
)
|
|
$
|
104,587
|
|
Net realized gain from investments
|
|
|
619,531
|
|
|
|
358,169
|
|
|
|
419,096
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
(286,416
|
)
|
|
|
13,458,113
|
|
|
|
(16,277,895
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations
|
|
|
1,728,457
|
|
|
|
8,583,592
|
|
|
|
(15,754,212
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets
|
|
|
1,728,457
|
|
|
|
8,583,592
|
|
|
|
(15,754,212
|
)
|
Net assets at beginning of period
|
|
|
(12,973,776
|
)
|
|
|
(21,557,368
|
)
|
|
|
(5,803,156
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets at end of period
|
|
$
|
(11,245,319
|
)
|
|
$
|
(12,973,776
|
)
|
|
$
|
(21,557,368
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
S-11
Saratoga Investment Corp. CLO
2013-1,
Ltd.
Statements of Cash Flows
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
|
February 29,
2016
|
|
Operating activities
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
|
|
$
|
1,728,457
|
|
|
$
|
8,583,592
|
|
|
$
|
(15,754,212
|
)
|
ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS TO NET
CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in-kind
interest income
|
|
|
(350,309
|
)
|
|
|
(288,557
|
)
|
|
|
(56,830
|
)
|
Net accretion of discount on investments
|
|
|
(1,294,300
|
)
|
|
|
(543,181
|
)
|
|
|
(280,310
|
)
|
Amortization of deferred debt financing costs
|
|
|
177,011
|
|
|
|
829,475
|
|
|
|
955,858
|
|
Loss on extinguishment of debt
|
|
|
|
|
|
|
6,143,816
|
|
|
|
|
|
Net realized gain from investments
|
|
|
(619,531
|
)
|
|
|
(358,169
|
)
|
|
|
(419,096
|
)
|
Net change in unrealized (appreciation) depreciation on investments
|
|
|
286,416
|
|
|
|
(13,458,113
|
)
|
|
|
16,277,895
|
|
Proceeds from sale and redemption of investments
|
|
|
150,035,021
|
|
|
|
161,551,546
|
|
|
|
142,862,138
|
|
Purchase of investments
|
|
|
(161,426,952
|
)
|
|
|
(154,519,385
|
)
|
|
|
(147,989,317
|
)
|
(Increase) decrease in operating assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest receivable
|
|
|
(210,063
|
)
|
|
|
254,697
|
|
|
|
(407,925
|
)
|
Receivable from open trades
|
|
|
(10,890,571
|
)
|
|
|
1,186,831
|
|
|
|
(572,144
|
)
|
Other assets
|
|
|
6,049
|
|
|
|
(6,049
|
)
|
|
|
|
|
Increase (decrease) in operating liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest payable
|
|
|
158,971
|
|
|
|
405,417
|
|
|
|
(5,846
|
)
|
Payable for open trades
|
|
|
15,039,806
|
|
|
|
2,307,698
|
|
|
|
1,909,523
|
|
Accrued base management fee
|
|
|
(676
|
)
|
|
|
(50,787
|
)
|
|
|
(949
|
)
|
Accrued subordinated management fee
|
|
|
(2,706
|
)
|
|
|
51,877
|
|
|
|
(949
|
)
|
Accrued incentive fee
|
|
|
65,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES
|
|
|
(7,298,077
|
)
|
|
|
12,090,708
|
|
|
|
(3,482,164
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Borrowings on debt
|
|
|
|
|
|
|
282,320,000
|
|
|
|
|
|
Paydowns on debt
|
|
|
|
|
|
|
(282,457,781
|
)
|
|
|
|
|
Deferred debt financing costs
|
|
|
21,342
|
|
|
|
(1,256,005
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES
|
|
|
21,342
|
|
|
|
(1,393,786
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS
|
|
|
(7,276,735
|
)
|
|
|
10,696,922
|
|
|
|
(3,482,164
|
)
|
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD
|
|
|
13,046,555
|
|
|
|
2,349,633
|
|
|
|
5,831,797
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CASH AND CASH EQUIVALENTS, END OF PERIOD
|
|
$
|
5,769,820
|
|
|
$
|
13,046,555
|
|
|
$
|
2,349,633
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Supplemental Information:
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest paid during the period
|
|
$
|
13,560,565
|
|
|
$
|
12,169,421
|
|
|
$
|
11,702,603
|
|
|
|
|
|
Supplemental
non-cash
information:
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in-kind
interest income
|
|
$
|
350,309
|
|
|
$
|
288,557
|
|
|
$
|
56,830
|
|
Net accretion of discount on investments
|
|
|
1,294,300
|
|
|
|
543,181
|
|
|
|
280,310
|
|
Amortization of deferred debt financing costs
|
|
|
177,011
|
|
|
|
829,475
|
|
|
|
955,858
|
|
See accompanying notes to financial statements.
S-12
SARATOGA INVESTMENT CORP. CLO
2013-1,
LTD.
NOTES TO FINANCIAL STATEMENTS
1. Organization and Purpose
Saratoga
Investment Corp. CLO
2013-1,
Ltd. (the Issuer, we, our, us, CLO and Saratoga CLO), an exempted company with limited liability
incorporated under the laws of the Cayman Islands was formed on November 28, 2007 and commenced operations on January 22, 2008. The Issuer was established to acquire or participate in U.S. dollar-denominated corporate debt obligations.
On January 22, 2008, the Issuer issued $400.0 million of notes, consisting of Class A Floating Rate Senior Notes,
Class B Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating Rate Notes (collectively the Secured Notes), and Subordinated Notes. The
notes were issued pursuant to an indenture, dated January 22, 2008 (the Indenture), with U.S. Bank National Association (the Trustee) servicing as the Trustee there under.
On October 17, 2013, in a refinancing transaction, the Issuer issued $284.9 million of notes (the
2013-1
CLO Notes), consisting of Class X Floating Rate Senior Notes,
Class A-1
Floating Rate Senior Notes,
Class A-2
Floating Rate Senior Notes, Class B Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating
Rate Notes, and Class F Deferrable Floating Rate Notes. The
2013-1
CLO Notes were issued pursuant to the Indenture with the same Trustee. Proceeds of the issuance of the
2013-1
CLO Notes were used, along with existing assets held by the Trustee, to redeem all of the Secured Notes issued in 2008.
On November 15, 2016, the Issuer completed the second refinancing and the Issuer issued $282.4 million of notes (the
2013-1
Amended CLO Notes), consisting of
Class A-1
Floating Rate Senior Notes,
Class A-2
Floating Rate Senior
Notes, Class B Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating Rate Notes, and Class F Deferrable Floating Rate Notes. The
2013-1
Amended CLO Notes were issued pursuant to the Indenture with the same Trustee. Proceeds of the issuance of the
2013-1
Amended CLO Notes were used, along with existing
assets held by the Trustee, to redeem all of the
2013-1
CLO Notes issued in 2013. As of February 28, 2018, Saratoga Investment Corp. owned 100% of the Subordinated Notes and Class F Notes of the CLO.
Pursuant to an investment management agreement (the Investment Management Agreement), Saratoga Investment Corp. (the
Investment Manager), provides investment management services to the Issuer, and makes
day-to-day
investment decisions concerning the assets of the Issuer.
The Investment Manager also performs certain administrative services on behalf of the Issuer under the Investment Management Agreement. The CLO remains 100.0% owned and managed by Saratoga Investment Corp.
2. Significant Accounting Policies
Basis of
Presentation
The accompanying financial statements have been prepared in accordance with U.S. generally accepted accounting principles
(U.S. GAAP) and are stated in U.S. dollars. The following is a summary of the significant accounting policies followed by the Issuer in the preparation of its financial statements.
The Issuer is considered to be an investment company for financial reporting purposes and has applied the guidance in accordance with the
Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946,
Financial ServicesInvestment Companies.
There has been no change to the Issuers status as an
investment company during the year ended February 28, 2018.
Use of Estimates
The preparation of the financial statements in conformity with U.S. GAAP requires the Investment Manager to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the financial statements, including the fair value of investments, and the amounts of income and expenses during the reporting period. Actual results could differ from these
estimates and such differences could be material.
Cash and Cash Equivalents
The Issuer defines cash and cash equivalents as highly liquid financial instruments with original maturities of three months or less. Cash and
cash equivalents may include investments in money market mutual funds, which are carried at fair value. At February 28, 2018 and February 28, 2017, cash and cash equivalents amounted to $5.8 million and $13.0 million,
respectively, and are swept on an overnight basis into a U.S. Bank money market deposit account held at the Trustee.
S-13
In November 2016, the FASB issued Accounting Standards Update (ASU)
2016-18,
Statement of Cash Flows
(Topic 230):
Restricted Cash
(ASU
2016-18).
ASU
2016-18
requires that the
statements of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and
restricted cash equivalents should be included with cash and cash equivalents when reconciling the
beginning-of-period
and
end-of-period
total amounts shown on the statements of cash flows. The new guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, and
early adoption is permitted and is to be applied on a retrospective basis. The Issuer has adopted the provisions of ASU
2016-18
as of November 30, 2016. The adoption of the provisions of ASU
2016-18
did not materially impact the Issuers financial position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.
Valuation of Investments
The Issuer
accounts for its investments at fair value in accordance with the FASB ASC Topic 820,
Fair Value Measurements and Disclosures
(ASC 820). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a
fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Issuer to assume that its investments are to be sold at the statement of assets and
liabilities date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the
principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.
Investments for which market
quotations are readily available are fair valued at such market quotations obtained from independent third party pricing services and market makers subject to any decision by the Investment Manager to approve a fair value determination to reflect
significant events affecting the value of these investments. The Investment Manager values investments for which market quotations are not readily available at fair value. Determinations of fair value may involve significant judgments and estimates.
The types of factors that may be considered in determining the fair value of investments include the nature and realizable value of any collateral, the portfolio companys ability to make payments, market yield trend analysis, the markets in
which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.
Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may
fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. Our net asset value could be
materially affected if the determinations regarding the fair value of our investments were materially higher or lower than the values that are ultimately realized upon the disposal of such investments.
Investment Transactions and Income Recognition
Purchases and sales of investments and the related realized gains or losses are recorded on a trade-date basis. Interest income, adjusted for
amortization of premium and accretion of discount, is recorded on an accrual basis to the extent that such amounts are expected to be collected. The Issuer stops accruing interest on its investments when it is determined that interest is no longer
collectible. Discounts and premiums on investments purchased are accreted/amortized over the life of the respective investment using the effective yield method. The amortized cost of investments represents the original cost adjusted for the
accretion of discounts and amortizations of premium on investments.
Loans are generally placed on
non-accrual
status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on
non-accrual
status. Interest payments received on
non-accrual
loans may be recognized as a reduction in principal depending upon the Investment Managers judgment
regarding collectability.
Non-accrual
loans are restored to accrual status when past due principal and interest is paid and, in managements judgment, are likely to remain current, although we may make
exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection.
Payment-in-Kind
Interest
The Issuer holds debt investments in its portfolio that contain a
payment-in-kind
(PIK) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due
at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due.
S-14
Deferred Debt Financing Costs, net
The Issuer presents deferred debt financing costs on the balance sheet as a contra- liability as a direct deduction from the carrying amount of
that debt liability, consistent with debt discounts.
Included in deferred debt financing costs of $1.0 million as of
February 28, 2018 and $1.2 million as of February 28, 2017 are structuring fees of the investment bank, rating agency fees and legal fees associated with the issuance of the
2013-1
CLO Notes on
October 17, 2013. Such costs have been capitalized and amortized using an effective yield method, over the life of the related notes.
Deferred debt financing costs of $1.5 million, incurred in connection with the issuance of the
2013-1
CLO Notes, were expensed when the
2013-1
CLO Notes were extinguished on November 15, 2016.
Management Fees
The Issuer is externally
managed by the Investment Manager pursuant to the Investment Management Agreement. As compensation for the performance of its obligations under the Investment Management Agreement, the Investment Manager is entitled to receive from the Issuer a base
management fee (the Base Management Fee), a subordinated management fee (the Subordinated Management Fee) and an incentive management fee (the Incentive Management Fee). The Base Management Fee is payable in
arrears quarterly (subject to availability of funds and to the satisfaction of payment obligations on the debt obligations of the Issuer (the Priority of Payments)) and prior to the second refinancing and the issuance of the
2013-1
Amended CLO Notes, was payable in an amount equal to 0.25% per annum of the fee basis amount at the beginning of the Collection period. The Subordinated Management Fee is payable in arrears quarterly (subject
to availability of funds and to the Priority of Payments) and prior to the second refinancing and the issuance of the
2013-1
Amended CLO Notes, was payable in an amount equal to 0.25% per annum of the fee
basis amount at the beginning of the Collection Period. Subsequent to the second refinancing and the issuance of the
2013-1
Amended CLO Notes, the Base Management Fee was changed to be payable in an amount
equal to 0.10% per annum of the fee basis amount at the beginning of the Collection period, and the Subordinated Management Fees was changed to be payable in an amount equal to 0.40% per annum of the fee basis amount at the beginning of the
Collection period. Throughout, the Incentive Management Fee equals 20.0% of the remaining interest proceeds and principal proceeds, if any, after the Subordinated Notes have realized the incentive management fee target return of 12.0%, in accordance
with the Priority of Payments after making the prior distributions on the relevant payment date. For the year ended February 28, 2018, Incentive Management Fees of $0.6 million were accrued. For the years ended February 28, 2017 and
February 29, 2016, no Incentive Management Fees have been accrued or paid.
Expenses
The Issuer bears its own organizational and offering expenses, all expenses related to its investment program and expenses incurred in
connection with its operations including, but not limited to, external legal, administrative, trustee, accounting, tax and audit expenses, costs related to trading, acquiring, monitoring or disposing of investments of the Issuer, and interest and
other borrowing expenses, expenses of preparing and distributing reports, financial statements, and litigation or other extraordinary expenses. The Issuer has retained the Trustee to provide trustee services. Additionally, the Trustee performs loan
administration, debt covenant compliance calculations, and monitoring and reporting services. For the years ended February 28, 2018, February 28, 2017 and February 29, 2016, 2015, the Issuer paid $0.2 million, $0.1 million
and $0.1 million, respectively, for trustee services provided and is included on the statements of operations.
Interest Expense
The Issuer has issued rated and unrated notes to finance its operations. Interest on debt is calculated by the Trustee for the Issuer. Interest
is accrued and generally paid quarterly. For the years ended February 28, 2018, February 28, 2017 and February 29, 2016, $3.3 million, $4.7 million and $5.6 million of payments to the Subordinated Notes were included in
interest expense on the statements of operations, respectively.
Risk Management
In the ordinary course of its business, the Issuer manages a variety of risks, including market risk and credit risk. Market risk is the risk
of potential adverse changes to the value of investments because of changes in market conditions such as interest rate movements and volatility in investment prices.
Credit risk is the risk of default or
non-performance
by portfolio companies, equivalent to the
investments carrying amount.
The Issuer is also exposed to credit risk related to maintaining all of its cash and cash equivalents,
including those in reserve accounts, at a major financial institution.
S-15
The Issuer has investments in lower rated and comparable quality unrated high yield bonds and
bank loans. Investments in high yield investments are accompanied by a greater degree of credit risk. The risk of loss due to default by the issuer is significantly greater for holders of high yield securities, because such investments are generally
unsecured and are often subordinated to other creditors of the issuer.
Regulatory Matters
In October 2016, the SEC adopted new rules and amended existing rules (together, final rules) intended to modernize the reporting
and disclosure of information by registered investment companies. In part, the final rules amend Regulation
S-X
and require standardized, enhanced disclosures about derivatives in investment company financial
statements, as well as other amendments. The compliance date for the amendments to Regulation
S-X
was August 1, 2017. Management has adopted the amendments to Regulation
S-X
and included required disclosures in the Issuers financial statements and related disclosures.
New
Accounting Pronouncements
In March 2017, the FASB issued ASU
2017-08,
Receivables
Nonrefundable Fees and Other Costs (Subtopic
310-20),
Premium Amortization on Purchased Callable Debt Securities
(ASU
2017-08)
which amends the
amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU
2017-08
does not require any accounting change for debt securities
held at a discount; the discount continues to be amortized to maturity. ASU
2017-08
is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018.
Management has assessed these changes and does not believe they would have a material impact on the Issuers financial statements and disclosures.
In August 2016, the FASB issued ASU
2016-15,
Statement of Cash Flows
(Topic 230),
Classification of Certain Cash Receipts and Cash Payments
(ASU
2016-15),
which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are
presented and classified in the statement of cash flows. The guidance is effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management has assessed these changes and does
not believe they would have a material impact on the Issuers financial statements and disclosures.
In February 2016, the FASB
issued ASU
2016-02,
Amendments to the Leases
(ASU Topic 842), which will require for all operating leases the recognition of a
right-of-use
asset and a lease liability, in the statement of financial position. The lease cost will be allocated over the lease term on a straight-line basis. This
guidance is effective for annual and interim periods beginning after December 15, 2018. Management is currently evaluating the impact the adoption of this standard has on the Issuers financial statements and disclosures.
In January 2016, the FASB issued ASU
2016-01,
Financial Instruments Overall (Subtopic
825-10):
Recognition and Measurement of Financial Assets and Financial Liabilities
(ASU
2016-01).
ASU
2016-01
retains
many current requirements for the classification and measurement of financial instruments; however, it significantly revises an entitys accounting related to (1) the classification and measurement of investments in equity securities and
(2) the presentation of certain fair value changes for financial liabilities measured at fair value. ASU
2016-01
also amends certain disclosure requirements associated with the fair value of financial
instruments. This guidance is effective for annual and interim periods beginning after December 15, 2017, and early adoption is not permitted for public business entities. Management has assessed these changes and does not believe they would
have a material impact on the Issuers financial statements and disclosures.
In May 2014, the FASB issued ASU
2014-09,
Revenue from Contracts with Customers
(Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue
to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In May 2016, ASU
2016-12
amended ASU
2014-09
and deferred the effective period for annual periods beginning after December 15, 2017. Management has assessed these changes and does
not believe they would have a material impact on the Issuers financial statements and disclosures.
3. Fair Value Measurements
As noted above, the Issuer values all investments in accordance with ASC 820. ASC 820 requires enhanced disclosures about assets and
liabilities that are measured and reported at fair value. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date.
S-16
ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of
market price observability of inputs used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with
readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Based on the observability of the inputs used in the valuation techniques, the Issuer is required to provide disclosures on fair value
measurements according to the fair value hierarchy. The fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three
categories:
|
|
|
Level 1Valuations based on quoted prices in active markets for identical assets or liabilities that the Issuer has the ability to access.
|
|
|
|
Level 2Valuations based on inputs other than quoted prices in active markets, which are either directly or indirectly observable.
|
|
|
|
Level 3Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The inputs used in the determination of fair value may require significant management judgment or
estimation. Such information may be the result of consensus pricing information or broker quotes which include a disclaimer that the broker would not be held to such a price in an actual transaction. The
non-binding
nature of consensus pricing and/or quotes accompanied by disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence.
|
In addition to using the above inputs in investment valuations, the Issuer continues to employ the valuation policy that is consistent with
ASC 820 and the Investment Company Act of 1940 (1940 Act).
The following table presents fair value measurements of
investments, by major class, as of February 28, 2018, according to the fair value hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Term loans
|
|
$
|
|
|
|
$
|
260,462,293
|
|
|
$
|
45,361,411
|
|
|
$
|
305,823,704
|
|
Equity interests
|
|
|
|
|
|
|
2,235
|
|
|
|
4,364
|
|
|
|
6,599
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
|
|
|
$
|
260,464,528
|
|
|
$
|
45,365,775
|
|
|
$
|
305,830,303
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents fair value measurements of investments, by major class, as of February 28,
2017, according to the fair value hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements
|
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Term loans
|
|
$
|
|
|
|
$
|
241,228,228
|
|
|
$
|
51,209,702
|
|
|
$
|
292,437,930
|
|
Equity interests
|
|
|
|
|
|
|
|
|
|
|
22,718
|
|
|
|
22,718
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
|
|
|
$
|
241,228,228
|
|
|
$
|
51,232,420
|
|
|
$
|
292,460,648
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers into or out of Level 1, 2 or 3 are recognized at the reporting date.
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the year
ended February 28, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Term Loans
|
|
|
Equity Interests
|
|
|
Total
|
|
Balance as of February 28, 2017
|
|
$
|
51,209,702
|
|
|
$
|
22,718
|
|
|
$
|
51,232,420
|
|
Net change in unrealized appreciation
|
|
|
54,781
|
|
|
|
4,117
|
|
|
|
58,898
|
|
Purchases and other adjustments to cost
|
|
|
29,566,554
|
|
|
|
|
|
|
|
29,566,554
|
|
Sales and repayments
|
|
|
(25,412,198
|
)
|
|
|
|
|
|
|
(25,412,198
|
)
|
Net realized gain from investments
|
|
|
15,544
|
|
|
|
|
|
|
|
15,544
|
|
Transfers in (1)
|
|
|
8,778,388
|
|
|
|
|
|
|
|
8,778,388
|
|
Transfers out (2)
|
|
|
(18,851,360
|
)
|
|
|
(22,471
|
)
|
|
|
(18,873,831
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of February 28, 2018
|
|
$
|
45,361,411
|
|
|
$
|
4,364
|
|
|
$
|
45,365,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S-17
(1)
|
The Issuers investment in Level 3 investments were classified as such during the year ended February 28, 2018, as market quotes for these investments are only provided by one trading desk.
|
(2)
|
The Issuers investment in Level 2 investments were classified as such during the year ended February 28, 2018, as the number of observable market quotes for these investments increased.
|
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3
inputs for the year ended February 28, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Term Loans
|
|
|
Equity Interests
|
|
|
Total
|
|
Balance as of February 29, 2016
|
|
$
|
45,397,073
|
|
|
$
|
1,768
|
|
|
$
|
45,398,841
|
|
Net change in unrealized appreciation (depreciation)
|
|
|
2,181,976
|
|
|
|
(169,145
|
)
|
|
|
2,012,831
|
|
Purchases and other adjustments to cost
|
|
|
23,317,031
|
|
|
|
|
|
|
|
23,317,031
|
|
Sales and repayments
|
|
|
(10,891,325
|
)
|
|
|
|
|
|
|
(10,891,325
|
)
|
Net realized gain from investments
|
|
|
95,892
|
|
|
|
|
|
|
|
95,892
|
|
Transfers in (1)
|
|
|
6,387,646
|
|
|
|
190,095
|
|
|
|
6,577,741
|
|
Transfers out (2)
|
|
|
(15,278,591
|
)
|
|
|
|
|
|
|
(15,278,591
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of February 28, 2017
|
|
$
|
51,209,702
|
|
|
$
|
22,718
|
|
|
$
|
51,232,420
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The Issuers investment in Level 3 investments were classified as such during the year ended February 28, 2017, as market quotes for these investments are only provided by one trading desk.
|
(2)
|
The Issuers investment in Level 2 investments were classified as such during the year ended February 28, 2017, as the number of observable market quotes for these investments increased.
|
Transfers into or out of Level 3 are recognized at the reporting date.
Purchases and other adjustments to cost include purchases of new investments at cost, effects of refinancing/restructuring,
accretion/amortization of income from discount/premium on debt securities, and PIK.
Sales and repayments represent net proceeds received
from investments sold, and principal paydowns received, during the period.
The net change in unrealized appreciation on Level 3
investments held as of February 28, 2018 was $0.3 million, and is included in net change in unrealized appreciation (depreciation) on investments in the statements of operations. The net change in unrealized appreciation on Level 3
investments held as of February 28, 2017 was $2.1 million, and is included in net change in unrealized appreciation (depreciation) on investments in the statements of operations.
Significant unobservable inputs used in the fair value measurement of the Level 3 term loans and equity include market quotations
available from multiple dealers. A significant increase (decrease) in the market quote, in isolation, would result in a significantly lower (higher) fair value measurement.
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of
February 28, 2018 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Valuation Technique
|
|
Unobservable Input
|
|
Range
|
Term loans
|
|
$
|
45,361,411
|
|
|
Market Comparables
|
|
Third-Party Bid
|
|
89.00% - 102.75%
|
Equity interests
|
|
|
4,364
|
|
|
Market Comparables
|
|
Third-Party Bid
|
|
0.40%
|
The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value
measurements of assets as of February 28, 2017 were as follows:
S-18
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Valuation Technique
|
|
Unobservable
Input
|
|
Range
|
Term loans
|
|
$
|
51,209,702
|
|
|
Market Comparables
|
|
Third-Party Bid
|
|
93.00% - 101.63%
|
Equity interests
|
|
|
22,718
|
|
|
Market Comparables
|
|
Third-Party Bid
|
|
0.01% - 1.06%
|
4. Financing
On January 22, 2008, the Issuer issued $400.0 million of notes, consisting of Class A Floating Rate Senior Notes, Class B
Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating Rate Notes (collectively the Secured Notes), and Subordinated Notes. The notes were
issued pursuant to the Indenture.
The Secured Notes are limited recourse obligations of the Issuer. The Subordinated Notes are unsecured,
limited recourse debt obligations of the Issuer.
On October 17, 2013, the Issuer issued $284.9 million of notes (the
2013-1
CLO Notes), consisting of Class X Floating Rate Senior Notes,
Class A-1
Floating Rate Senior Notes,
Class A-2
Floating Rate Senior Notes, Class B Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating
Rate Notes, and Class F Deferrable Floating Rate Notes. The
2013-1
CLO Notes were issued pursuant to the Indenture with the same Trustee. Proceeds of the issuance of the
2013-1
CLO Notes were used along with existing assets held by the Trustee to redeem all of the Secured Notes issued in 2008. The Subordinated Notes were not included in the refinancing transaction.
On November 15, 2016, the Issuer issued $282.4 million of the
2013-1
Amended CLO Notes,
consisting of
Class A-1
Floating Rate Senior Notes,
Class A-2
Floating Rate Senior Notes, Class B Floating Rate Senior Notes, Class C Deferrable
Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating Rate Notes, and Class F Deferrable Floating Rate Notes. The
2013-1
CLO Notes were issued pursuant to the
Indenture with the same Trustee. Proceeds of the issuance of the
2013-1
Amended CLO Notes were used along with existing assets held by the Trustee to redeem all of the
2013-1
CLO Notes issued in 2013. The Subordinated Notes were not included in the refinancing transaction.
The
2013-1
Amended CLO Notes are limited recourse obligations of the Issuer. The Subordinated Notes
are unsecured, limited recourse debt obligations of the Issuer.
The relative order of seniority of payment of each class of securities
is, as follows: first, Class X Notes, second,
Class A-1
Notes, third,
Class A-2
Notes, fourth, Class B Notes, fifth, Class C Notes, sixth,
Class D Notes, seventh, Class E Notes, eighth, Class F Notes, and ninth, the Subordinated Notes, with (a) each class of securities (other than the Subordinated Notes) in such list being senior to each other class of securities
that follows such class of securities in such list and (b) each class of securities (other than the Class X Notes) in such list being subordinate to each other class of securities that precedes such class of securities in such list. The
Subordinated Notes are subordinated to the
2013-1
Amended CLO Notes and are entitled to periodic payments from interest proceeds available in accordance with the Priority of Payments.
The table below sets forth certain information for each outstanding class of notes issued, pursuant to the Indenture on November 15,
2016, at February 28, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Security
|
|
Interest Rate
|
|
|
Maturity
|
|
|
Principal
Amount
|
|
|
Amount
Outstanding
|
|
Class A-1
Floating Rate Senior Notes
|
|
|
LIBOR + 1.55%
|
|
|
|
October 20, 2025
|
|
|
$
|
170,000,000
|
|
|
$
|
170,000,000
|
|
Class A-2
Floating Rate Senior Notes
|
|
|
LIBOR + 1.75%
|
|
|
|
October 20, 2025
|
|
|
|
20,000,000
|
|
|
|
20,000,000
|
|
Class B Floating Rate Senior Notes
|
|
|
LIBOR + 2.70%
|
|
|
|
October 20, 2025
|
|
|
|
44,800,000
|
|
|
|
44,800,000
|
|
Class C Deferrable Floating Rate Notes
|
|
|
LIBOR + 3.36%
|
|
|
|
October 20, 2025
|
|
|
|
16,000,000
|
|
|
|
16,000,000
|
|
Class D Deferrable Floating Rate Notes
|
|
|
LIBOR + 4.70%
|
|
|
|
October 20, 2025
|
|
|
|
14,000,000
|
|
|
|
14,000,000
|
|
Class E Deferrable Floating Rate Notes
|
|
|
LIBOR + 6.65%
|
|
|
|
October 20, 2025
|
|
|
|
13,100,000
|
|
|
|
13,100,000
|
|
Class F Deferrable Floating Rate Notes
|
|
|
LIBOR + 8.50%
|
|
|
|
October 20, 2025
|
|
|
|
4,500,000
|
|
|
|
4,500,000
|
|
Subordinated Notes
|
|
|
N/A
|
|
|
|
October 20, 2025
|
|
|
|
30,000,000
|
|
|
|
30,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
312,400,000
|
|
|
$
|
312,400,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
S-19
The table below sets forth certain information for each outstanding class of notes issued,
pursuant to the Indenture on November 15, 2016, at February 28, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Security
|
|
Interest Rate
|
|
|
Maturity
|
|
|
Principal
Amount
|
|
|
Amount
Outstanding
|
|
Class A-1
Floating Rate Senior Notes
|
|
|
LIBOR + 1.55%
|
|
|
|
October 20, 2025
|
|
|
$
|
170,000,000
|
|
|
$
|
170,000,000
|
|
Class A-2
Floating Rate Senior Notes
|
|
|
LIBOR + 1.75%
|
|
|
|
October 20, 2025
|
|
|
|
20,000,000
|
|
|
|
20,000,000
|
|
Class B Floating Rate Senior Notes
|
|
|
LIBOR + 2.70%
|
|
|
|
October 20, 2025
|
|
|
|
44,800,000
|
|
|
|
44,800,000
|
|
Class C Deferrable Floating Rate Notes
|
|
|
LIBOR + 3.36%
|
|
|
|
October 20, 2025
|
|
|
|
16,000,000
|
|
|
|
16,000,000
|
|
Class D Deferrable Floating Rate Notes
|
|
|
LIBOR + 4.70%
|
|
|
|
October 20, 2025
|
|
|
|
14,000,000
|
|
|
|
14,000,000
|
|
Class E Deferrable Floating Rate Notes
|
|
|
LIBOR + 6.65%
|
|
|
|
October 20, 2025
|
|
|
|
13,100,000
|
|
|
|
13,100,000
|
|
Class F Deferrable Floating Rate Notes
|
|
|
LIBOR + 8.50%
|
|
|
|
October 20, 2025
|
|
|
|
4,500,000
|
|
|
|
4,500,000
|
|
Subordinated Notes
|
|
|
N/A
|
|
|
|
October 20, 2025
|
|
|
|
30,000,000
|
|
|
|
30,000,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
312,400,000
|
|
|
$
|
312,400,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table shows each outstanding class of notes issued, pursuant to the Indenture, at fair value at
February 28, 2018:
|
|
|
|
|
Debt Security
|
|
February 28, 2018
|
|
Class A-1
Floating Rate Senior Notes
|
|
$
|
170,737,343
|
|
Class A-2
Floating Rate Senior Notes
|
|
|
20,138,214
|
|
Class B Floating Rate Senior Notes
|
|
|
45,373,111
|
|
Class C Deferrable Floating Rate Notes
|
|
|
16,180,199
|
|
Class D Deferrable Floating Rate Notes
|
|
|
14,153,208
|
|
Class E Deferrable Floating Rate Notes
|
|
|
13,128,862
|
|
Class F Deferrable Floating Rate Notes
|
|
|
4,499,100
|
|
Subordinated Notes
|
|
|
11,874,704
|
|
|
|
|
|
|
|
|
$
|
296,084,741
|
|
|
|
|
|
|
The following table shows each outstanding class of notes issued, pursuant to the Indenture, at fair value at
February 28, 2017:
|
|
|
|
|
Debt Security
|
|
February 28, 2017
|
|
Class A-1
Floating Rate Senior Notes
|
|
$
|
171,229,950
|
|
Class A-2
Floating Rate Senior Notes
|
|
|
20,221,460
|
|
Class B Floating Rate Senior Notes
|
|
|
45,715,309
|
|
Class C Deferrable Floating Rate Notes
|
|
|
16,286,880
|
|
Class D Deferrable Floating Rate Notes
|
|
|
14,242,508
|
|
Class E Deferrable Floating Rate Notes
|
|
|
13,145,915
|
|
Class F Deferrable Floating Rate Notes
|
|
|
4,499,379
|
|
Subordinated Notes
|
|
|
10,950,249
|
|
|
|
|
|
|
|
|
$
|
296,291,650
|
|
|
|
|
|
|
These notes are fair valued based on a discounted cash flow model, specifically using Intex cash flow models,
to form the basis for the valuation and would be classified as Level 3 liabilities within the fair value hierarchy.
The following
tables provide the weighted average interest rate for the years ended February 28, 2018, February 28, 2017 and February 29, 2016:
S-20
|
|
|
|
|
|
|
|
|
February 28, 2018
|
|
Debt Security
|
|
Interest Rate
|
|
|
Weighted Average
Interest Rate
|
|
2013-1
Amended CLO Notes
|
|
|
|
|
|
|
|
|
Class A-1
Floating Rate Senior Notes
|
|
|
LIBOR + 1.55
|
%
|
|
|
2.87
|
%
|
Class A-2
Floating Rate Senior Notes
|
|
|
LIBOR + 1.75
|
%
|
|
|
3.08
|
%
|
Class B Floating Rate Senior Notes
|
|
|
LIBOR + 2.70
|
%
|
|
|
4.04
|
%
|
Class C Deferrable Floating Rate Notes
|
|
|
LIBOR + 3.36
|
%
|
|
|
4.81
|
%
|
Class D Deferrable Floating Rate Notes
|
|
|
LIBOR + 4.70
|
%
|
|
|
6.08
|
%
|
Class E Deferrable Floating Rate Notes
|
|
|
LIBOR + 6.65
|
%
|
|
|
8.06
|
%
|
Class F Deferrable Floating Rate Notes
|
|
|
LIBOR + 8.50
|
%
|
|
|
9.94
|
%
|
Subordinated Notes
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
February 28, 2017
|
|
Debt Security
|
|
Interest Rate
|
|
|
Weighted Average
Interest Rate
|
|
2013-1
Amended CLO Notes
|
|
|
|
|
|
|
|
|
Class A-1
Floating Rate Senior Notes
|
|
|
LIBOR + 1.55
|
%
|
|
|
2.10
|
%
|
Class A-2
Floating Rate Senior Notes
|
|
|
LIBOR + 1.75
|
%
|
|
|
2.30
|
%
|
Class B Floating Rate Senior Notes
|
|
|
LIBOR + 2.70
|
%
|
|
|
2.96
|
%
|
Class C Deferrable Floating Rate Notes
|
|
|
LIBOR + 3.36
|
%
|
|
|
3.78
|
%
|
Class D Deferrable Floating Rate Notes
|
|
|
LIBOR + 4.70
|
%
|
|
|
4.64
|
%
|
Class E Deferrable Floating Rate Notes
|
|
|
LIBOR + 6.65
|
%
|
|
|
5.98
|
%
|
Class F Deferrable Floating Rate Notes
|
|
|
LIBOR + 8.50
|
%
|
|
|
7.45
|
%
|
Subordinated Notes
|
|
|
N/A
|
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
February 29, 2016
|
|
Debt Security
|
|
Interest Rate
|
|
|
Weighted Average
Interest Rate
|
|
2013-1
CLO Notes
|
|
|
|
|
|
|
|
|
Class A-1
Floating Rate Senior Notes
|
|
|
LIBOR + 1.30
|
%
|
|
|
1.62
|
%
|
Class A-2
Floating Rate Senior Notes
|
|
|
LIBOR + 1.50
|
%
|
|
|
1.82
|
%
|
Class B Floating Rate Senior Notes
|
|
|
LIBOR + 2.00
|
%
|
|
|
2.32
|
%
|
Class C Deferrable Floating Rate Notes
|
|
|
LIBOR + 2.90
|
%
|
|
|
3.22
|
%
|
Class D Deferrable Floating Rate Notes
|
|
|
LIBOR + 3.50
|
%
|
|
|
3.82
|
%
|
Class E Deferrable Floating Rate Notes
|
|
|
LIBOR + 4.50
|
%
|
|
|
4.82
|
%
|
Class F Deferrable Floating Rate Notes
|
|
|
LIBOR + 5.75
|
%
|
|
|
6.07
|
%
|
Subordinated Notes
|
|
|
N/A
|
|
|
|
N/A
|
|
The Indenture provides that payments on the Subordinated Notes shall rank subordinate in priority of payment
to payments due on all classes of
2013-1
CLO Notes and subordinate in priority of payment to the payment of fees and expenses. Distributions on the Subordinated Notes are limited to the assets of the Issuer
remaining after payment of all of the liabilities of the Issuer that rank senior in priority of payment to the Subordinated Notes. To the extent that the proceeds from the collateral are not sufficient to make distributions on the Subordinated Notes
the Issuer will have no further obligation in respect of the Subordinated Notes.
Interest proceeds and, after the
2013-1
CLO Notes have been paid in full, principal proceeds, in each case will be distributed to the holders of the Subordinated Notes in accordance with the Indenture.
Distributions, if any, on the Subordinated Notes will be payable quarterly on the 20th day of each January, April, July and October of each
calendar year or, if any such day is not a business day, on the next succeeding business day (each, a Payment Date), commencing on the first Payment Date, and on January 21, 2020 (or if any such day is not a business day, the next
succeeding business day) (the Stated Redemption Date) (if not redeemed prior to such date) sequentially in order of seniority. At the Stated Redemption Date, the Subordinated Notes will be redeemed after payment in full of all of the
2013-1
CLO Notes and the payment of all administrative and other fees and expenses. The failure to pay interest proceeds or principal proceeds to the holders of the Subordinated Notes will not be an event of default
under the Indenture.
S-21
In May of 2009, the Issuer defaulted on its Class E overcollateralization ratio of 105.10%,
at which point, $4.0 million of interest proceeds were used to repay the Class E Notes through November 2009. Interest on the Class C, Class D, and Class E Notes was deferred and repaid in January of 2010 upon the
Issuers return to compliance. Distributions to the Subordinated Notes resumed in April of 2010.
As of February 28, 2018, the
remaining unamortized discount on the
Class A-1
Notes,
Class A-2
Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, and
Class F Notes were $0.0 million, $0.0 million, $0.0 million, $0.1 million, $0.3 million, $0.0 million and $0.0 million, respectively.
As of February 28, 2017, the remaining unamortized discount on the
Class A-1
Notes,
Class A-2
Notes, Class B Notes, Class C Notes, Class D Notes, Class E Notes, and Class F Notes were $0.0 million, $0.0 million, $0.0 million, $0.1 million,
$0.4 million, $0.0 million and $0.0 million, respectively.
The remaining unamortized deferred debt financing costs, on the
2013-1
CLO Notes, of $1.5 million, and unamortized discount on the
2013-1
CLO Notes of $4.6 million, were recognized as additional amortization expense when
the related notes were extinguished and recorded within loss on extinguishment of debt in the statements of operations. As of February 28, 2018, $1.3 million of financing costs related to the
2013-1
Amended CLO Notes have been capitalized and are being amortized over the term of the
2013-1
Amended CLO Notes.
5. Income Tax
Under the current laws,
the Issuer is not subject to net income taxation in the United States or the Cayman Islands. Accordingly, no provision for income taxes has been made in the accompanying financial statements.
Pursuant to ASC Topic 740,
Accounting for Uncertainty in Income Taxes
, the Issuer adopted the provisions of the FASB relating to
accounting for uncertainty in income taxes which clarifies the accounting for income taxes by prescribing the minimum recognition threshold a tax position must meet before being recognized in the financial statements and applies to all open tax
years as of the effective date. The Investment Manager has analyzed such tax positions for uncertain tax positions for tax years that may be open (20152018). The Issuer identifies its major tax jurisdictions as U.S. Federal, state and foreign
jurisdictions where the Issuer makes investments. As of February 28, 2018 and February 28, 2017, there was no impact to the financial statements as a result of the Issuers accounting for uncertainty in income taxes. The Issuer does
not have any unrecognized tax benefits or liabilities for the years ended February 28, 2018, February 28, 2017 and February 29, 2016. Also, the Issuer recognizes interest and, if applicable, penalties for any uncertain tax positions, as a
component of income tax expense. No interest or penalty expense was recorded by the Issuer for the years ended February 28, 2018, February 28, 2017 and February 29, 2016.
6. Commitments and Contingencies
In the
ordinary course of its business, the Issuer may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Issuer. Based on its history and
experience, the Investment Manager feels that the likelihood of such an event is remote. Therefore, the Issuer has not accrued any liabilities in connection with such indemnifications.
In the ordinary course of business, the Issuer may directly or indirectly be a defendant or plaintiff in legal actions with respect to
bankruptcy, insolvency or other types of proceedings. Such lawsuits may involve claims that could adversely affect the value of certain financial instruments owned by the Issuer. As of February 28, 2018 and February 28, 2017, the Issuer is
not subject to any material legal proceedings. Therefore, the Issuer has not accrued any liabilities in connection with such indemnifications.
The terms of Collateralized Debt Investments may require the Issuer to provide funding for any unfunded portion of a Collateralized Debt
Investment at the request of the borrower. At February 28, 2018, the Issuer had $0.2 million of unfunded commitments. At February 28, 2017, the Issuer had $0.5 million of unfunded commitments.
7. Related-Party Transactions
In the
ordinary course of business and as permitted per the terms of the Indenture, the Issuer may acquire or sell investments to or from related parties at the fair value at such time. For the years ended February 28, 2018, February 28, 2017 and
February 29, 2016, the Issuer neither bought nor sold investments from related parties.
The Subordinated Notes are wholly owned by
the Investment Manager. The Subordinated Notes do not have a stated coupon rate, but are entitled to residual cash flows from the CLOs investments after all of the other tranches of debt and certain other fees and expenses are paid. For the
years ended February 28, 2018, February 28, 2017 and February 29, 2016, $3.3 million, $4.7 million and $5.6
S-22
million of payments to the Subordinated Notes were included in interest expense in the statements of operations, respectively. In addition to refinancing its liabilities, the Investment Manager
owns $4.5 million in aggregate principal amount of the Class F notes tranche of the CLO at par, with a coupon of LIBOR plus 8.5%. For the year ended February 28, 2018, $0.4 million of payments to the Class F Notes are
included in interest expense in the statements of operations.
8. Shareholders Capital
Capital contributions and distributions shall be made at such time and in such amounts as determined by the Investment Manager and the
Indenture.
The majority holder of the Subordinated Notes has various control rights over the CLO, including the ability to call the CLO
prior to its legal maturity, replace the Investment Manager under certain circumstances, and refinance any of the outstanding debt tranches. The voting structure of the Subordinated Notes may require either majority or unanimous approval depending
upon the issue.
The authorized share capital of the Issuer consists of 50,000 ordinary shares, 250 of which are owned by Maples Finance
Limited and are held under the terms of a declaration of trust.
As of February 28, 2018 and February 28, 2017, net assets were
$(11.2) million and $(13.0) million, respectively. These amounts include accumulated losses of $(13.0) million and $(21.6) million, respectively, which includes cumulative net investment income or loss, cumulative amounts of gains and losses
realized from investment transactions, net unrealized appreciation or depreciation of investments, as well as the cumulative effect of accounting mismatches between investments accounted for at fair value and amortized cost or accrual-basis assets
and liabilities as discussed in Significant Accounting Policies, above. The Issuers investments continue to generate sufficient liquidity to satisfy its obligations on periodic payment dates as well as comply with all performance criteria as
of the statements of assets and liabilities date.
9. Financial Highlights
The following is a schedule of financial highlights for the years ended February 28, 2018, February 28, 2017, February 29, 2016,
February 28, 2015 and February 28, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
February 28,
2018
|
|
|
February 28,
2017
|
|
|
February 29,
2016
|
|
|
February 28,
2015
|
|
|
February 28,
2014
|
|
Average subordinated notes capital
balance(1)
|
|
$
|
17,262,714
|
|
|
$
|
15,113,353
|
|
|
$
|
18,382,072
|
|
|
$
|
25,077,372
|
|
|
$
|
28,471,910
|
|
Ratio and supplemental data:
|
|
|
|
|
Total Return(2)
|
|
|
32.73
|
%
|
|
|
162.55
|
%
|
|
|
(49.59
|
)%
|
|
|
5.34
|
%
|
|
|
4.65
|
%
|
Net investment income(3)
|
|
|
8.08
|
%
|
|
|
(34.62
|
)%
|
|
|
0.57
|
%
|
|
|
3.17
|
%
|
|
|
(7.53
|
)%
|
Total expenses(3)
|
|
|
95.41
|
%
|
|
|
141.14
|
%
|
|
|
79.34
|
%
|
|
|
49.79
|
%
|
|
|
65.27
|
%
|
Base management fee(3)
|
|
|
1.75
|
%
|
|
|
3.87
|
%
|
|
|
4.07
|
%
|
|
|
3.03
|
%
|
|
|
1.82
|
%
|
Subordinated management fee(3)
|
|
|
6.99
|
%
|
|
|
6.04
|
%
|
|
|
4.07
|
%
|
|
|
3.03
|
%
|
|
|
4.42
|
%
|
(1)
|
Subordinated notes capital balance is calculated based on the sum of the subordinated notes outstanding amount and total net assets, net of ordinary equity.
|
(2)
|
Total return is calculated based on a time-weighted rate of return methodology. Quarterly rates of return are compounded to derive the total return reflected above. Total return is calculated for the subordinated
notes capital taken as a whole and assumes the purchase of the subordinated notes capital on the first day of the period and the sale of the last day of the period.
|
(3)
|
Calculated based on the average subordinated notes capital balance.
|
10. Subsequent Events
The Investment Manager has evaluated events or transactions that have occurred since February 28, 2018 through May 14, 2018, the date
the financial statements were available for issuance. The Investment Manager has determined that there are no material events that would require the disclosure in the financial statements.
S-23
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