UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

Form 10-Q

 

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

 

For the Quarterly Period Ended November 30, 2023

 

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

 

Commission File No. 814-00732

 

SARATOGA INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

 

Maryland   20-8700615
(State or other jurisdiction of
incorporation or organization)
  (I.R.S. Employer
Identification Number)

 

535 Madison Avenue

New York, New York 10022

(Address of principal executive offices)

 

(212) 906-7800

(Registrant’s telephone number, including area code)

 

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

 

Title of each class   Trading Symbol(s)   Name of each exchange on which
registered
Common Stock, par value $0.001 per share   SAR   The New York Stock Exchange
6.00% Notes due 2027   SAT   The New York Stock Exchange
8.00% Notes due 2027   SAJ   The New York Stock Exchange
8.125% Notes due 2027   SAY   The New York Stock Exchange
8.50% Notes due 2027   SAZ   The New York Stock Exchange

 

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

 

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

 

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

 

Large accelerated filer Accelerated filer
Non-accelerated filer Smaller reporting company
    Emerging growth company

 

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

 

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

 

The number of outstanding common shares of the registrant as of January 8, 2024 was 13,653,476

 

 

 

 

 

 

TABLE OF CONTENTS

 

    Page
PART I. FINANCIAL INFORMATION 1
     
Item 1. Consolidated Financial Statements 1
     
  Consolidated Statements of Assets and Liabilities as of November 30, 2023 (unaudited) and February 28, 2023 1
     
  Consolidated Statements of Operations for the three months and nine ended November, 2023 (unaudited) and November 30, 2022 (unaudited) 2
     
  Consolidated Statements of Changes in Net Assets for three and nine months ended November 30, 2023 (unaudited) and November 30, 2022 (unaudited) 3
     
  Consolidated Statements of Cash Flows for the nine months ended November 30, 2023 (unaudited) and November 30, 2022 (unaudited) 4
     
  Consolidated Schedules of Investments as of November 30, 2023 (unaudited) and February 28, 2023 5
     
  Notes to Consolidated Financial Statements as of November 30, 2023 (unaudited) 27
     
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 109
     
Item 3. Quantitative and Qualitative Disclosures About Market Risk 150
     
Item 4. Controls and Procedures 151
     
PART II. OTHER INFORMATION 152
     
Item 1. Legal Proceedings 152
     
Item 1A. Risk Factors 152
     
Item 2. Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchase of Equity Securities 153
     
Item 3. Defaults Upon Senior Securities 153
     
Item 4. Mine Safety Disclosures 153
     
Item 5. Other Information 153
     
Item 6. Exhibits 154
     
Signatures 159

 

i

 

 

PART I. FINANCIAL INFORMATION

 

Item 1. Consolidated Financial Statements

 

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

   November 30,
2023
   February 28,
2023
 
   (unaudited)     
ASSETS        
Investments at fair value        
Non-control/Non-affiliate investments (amortized cost of $983,711,569 and $819,966,208, respectively)  $976,440,074   $828,028,800 
Affiliate investments (amortized cost of $45,834,741 and $25,722,320, respectively)   47,128,397    28,305,871 
Control investments (amortized cost of $118,317,634 and $120,800,829, respectively)   90,470,138    116,255,582 
Total investments at fair value (amortized cost of $1,147,863,944 and $966,489,357, respectively)   1,114,038,609    972,590,253 
Cash and cash equivalents   21,386,880    65,746,494 
Cash and cash equivalents, reserve accounts   25,639,619    30,329,779 
Interest receivable (net of reserve of $6,951,408 and $2,217,300, respectively)   9,235,919    8,159,951 
Management fee receivable   364,032    363,809 
Other assets   932,383    531,337 
Current tax receivable   99,676    436,551 
Total assets  $1,171,697,118   $1,078,158,174 
           
LIABILITIES          
Revolving credit facility  $35,000,000   $32,500,000 
Deferred debt financing costs, revolving credit facility   (996,961)   (1,344,005)
SBA debentures payable   205,000,000    202,000,000 
Deferred debt financing costs, SBA debentures payable   (5,789,246)   (4,923,488)
8.75% Notes Payable 2024   20,000,000    
-
 
Discount on 8.75% notes payable 2024   (251,521)   
-
 
Deferred debt financing costs, 8.75% notes payable 2024   (10,576)   
-
 
7.00% Notes Payable 2025   12,000,000    12,000,000 
Discount on 7.00% notes payable 2025   (222,781)   (304,946)
Deferred debt financing costs, 7.00% notes payable 2025   (28,165)   (40,118)
7.75% Notes Payable 2025   5,000,000    5,000,000 
Deferred debt financing costs, 7.75% notes payable 2025   (88,206)   (129,528)
4.375% Notes Payable 2026   175,000,000    175,000,000 
Premium on 4.375% notes payable 2026   641,310    830,824 
Deferred debt financing costs, 4.375% notes payable 2026   (1,918,155)   (2,552,924)
4.35% Notes Payable 2027   75,000,000    75,000,000 
Discount on 4.35% notes payable 2027   (330,619)   (408,932)
Deferred debt financing costs, 4.35% notes payable 2027   (1,119,041)   (1,378,515)
6.25% Notes Payable 2027   15,000,000    15,000,000 
Deferred debt financing costs, 6.25% notes payable 2027   (291,226)   (344,949)
6.00% Notes Payable 2027   105,500,000    105,500,000 
Discount on 6.00% notes payable 2027   (132,538)   (159,334)
Deferred debt financing costs, 6.00% notes payable 2027   (2,399,002)   (2,926,637)
8.00% Notes Payable 2027   46,000,000    46,000,000 
Deferred debt financing costs, 8.00% notes payable 2027   (1,360,960)   (1,622,376)
8.125% Notes Payable 2027   60,375,000    60,375,000 
Deferred debt financing costs, 8.125% notes payable 2027   (1,665,155)   (1,944,536)
8.50% Notes Payable 2028   57,500,000    
-
 
Deferred debt financing costs, 8.50% notes payable 2028   (1,781,486)   
-
 
Base management and incentive fees payable   8,139,713    12,114,878 
Deferred tax liability   3,422,306    2,816,572 
Accounts payable and accrued expenses   2,086,243    1,464,343 
Interest and debt fees payable   4,609,435    3,652,936 
Directors fees payable   
-
    14,932 
Due to manager   250,000    10,935 
Total liabilities   812,138,369    731,200,132 
           
Commitments and contingencies (See Note 9)   
 
    
 
 
           
NET ASSETS          
Common stock, par value $0.001, 100,000,000 common shares authorized, 13,114,977 and 11,890,500 common shares issued and outstanding, respectively   13,115    11,891 
Capital in excess of par value   356,698,595    321,893,806 
Total distributable earnings   2,847,039    25,052,345 
Total net assets   359,558,749    346,958,042 
Total liabilities and net assets  $1,171,697,118   $1,078,158,174 
NET ASSET VALUE PER SHARE  $27.42   $29.18 

 

See accompanying notes to consolidated financial statements.

 

1

 

 

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

   For the three months ended   For the nine months ended 
   November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
INVESTMENT INCOME                
Interest from investments                
Interest income:                
Non-control/Non-affiliate investments  $28,741,745   $19,549,044   $83,542,257   $49,597,660 
Affiliate investments   1,165,585    1,914,800    2,799,735    4,287,449 
Control investments   2,183,242    1,671,354    6,314,550    4,731,150 
Payment-in-kind interest income:                    
Non-control/Non-affiliate investments   88,106    87,130    706,339    258,557 
Affiliate investments   221,348    191,860    644,484    221,027 
Control investments   258,729    102,720    542,581    260,161 
Total interest from investments   32,658,755    23,516,908    94,549,946    59,356,004 
Interest from cash and cash equivalents   521,574    200,258    1,864,956    235,410 
Management fee income   819,929    818,254    2,453,967    2,451,242 
Dividend Income   1,828,584    436,941    5,301,097    949,758 
Structuring and advisory fee income   312,135    553,497    1,786,357    2,813,311 
Other income   199,368    731,166    530,210    983,277 
Total investment income   36,340,345    26,257,024    106,486,533    66,789,002 
                     
OPERATING EXPENSES                    
Interest and debt financing expenses   12,522,357    8,449,900    36,628,641    23,243,438 
Base management fees   4,857,059    4,258,821    14,262,147    12,164,989 
Incentive management fees expense   2,243,621    1,531,060    4,828,442    216,915 
Professional fees   434,552    558,531    1,407,275    1,344,021 
Administrator expenses   1,075,000    818,750    2,797,917    2,341,667 
Insurance   81,002    89,187    244,804    266,723 
Directors fees and expenses   80,729    80,000    280,797    300,000 
General and administrative   660,062    525,202    1,957,906    1,492,063 
Income tax expense (benefit)   219,900    68,136    (11,193)   (132,487)
Total operating expenses   22,174,282    16,379,587    62,396,736    41,237,329 
NET INVESTMENT INCOME   14,166,063    9,877,437    44,089,797    25,551,673 
                     
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                    
Net realized gain (loss) from investments:                    
Non-control/Non-affiliate investments   60,565    (740,434)   151,256    7,365,913 
Net realized gain (loss) from investments   60,565    (740,434)   151,256    7,365,913 
Income tax (provision) benefit from realized gain on investments   
-
    479,318    
-
    548,568 
Net change in unrealized appreciation (depreciation) on investments:                    
Non-control/Non-affiliate investments   (1,948,502)   2,082,634    (15,334,087)   (12,430,125)
Affiliate investments   (1,084,259)   693,483    (1,289,895)   3,861,523 
Control investments   (14,833,592)   (5,952,325)   (23,302,249)   (17,199,511)
Net change in unrealized appreciation (depreciation) on investments   (17,866,353)   (3,176,208)   (39,926,231)   (25,768,113)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   (415,894)   (425,848)   (577,693)   (1,017,953)
Net realized and unrealized gain (loss) on investments   (18,221,682)   (3,863,172)   (40,352,668)   (18,871,585)
Realized losses on extinguishment of debt   
-
    
-
    (110,056)   (1,204,809)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $(4,055,619)  $6,014,265   $3,627,073   $5,475,279 
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE
  $(0.31)  $0.51   $0.29   $0.46 
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED
   13,052,896    11,893,173    12,355,815    11,989,811 

 

See accompanying notes to consolidated financial statements.

 

2

 

 

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

   For the nine months ended 
   November 30,
2023
   November 30,
2022
 
INCREASE (DECREASE) FROM OPERATIONS:        
Net investment income  $44,089,797   $25,551,673 
Net realized gain from investments   151,256    7,365,913 
Realized losses on extinguishment of debt   (110,056)   (1,204,809)
Income tax (provision) benefit from realized gain on investments   
-
    548,568 
Net change in unrealized appreciation (depreciation) on investments   (39,926,231)   (25,768,113)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   (577,693)   (1,017,953)
Net increase in net assets resulting from operations   3,627,073    5,475,279 
           
DECREASE FROM SHAREHOLDER DISTRIBUTIONS:          
Total distributions to shareholders   (25,832,379)   (19,232,096)
Net decrease in net assets from shareholder distributions   (25,832,379)   (19,232,096)
           
CAPITAL SHARE TRANSACTIONS:          
Proceeds from issuance of common stock(1)   31,510,617    
-
 
Capital contribution from manager   3,093,288    
-
 
Stock dividend distribution   2,667,152    3,347,802 
Repurchases of common stock   (2,157,605)   (9,600,116)
Repurchase fees   (1,772)   (7,792)
Offering costs   (305,667)   
-
 
Net increase (decrease) in net assets from capital share transactions   34,806,013    (6,260,106)
Total increase (decrease) in net assets   12,600,707    (20,016,923)
Net assets at beginning of period   346,958,042    355,780,523 
Net assets at end of period  $359,558,749   $335,763,600 

 

(1)See Note 11 to the Consolidated Financial Statements contained herein for more information on share issuance.

 

See accompanying notes to consolidated financial statements.

 

3

 

 

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

   For the nine months ended 
   November 30,
2023
   November 30,
2022
 
Operating activities        
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $3,627,073   $5,475,279 
ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE) IN NET ASSETS RESULTING          
FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:          
Payment-in-kind and other adjustments to cost   4,054,128    1,374,899 
Net accretion of discount on investments   (1,641,652)   (1,245,358)
Amortization of deferred debt financing costs   3,909,127    2,567,903 
Realized losses on extinguishment of debt   110,056    1,204,809 
Income tax expense (benefit)   (11,193)   (681,055)
Net realized (gain) loss from investments   (151,256)   (7,365,913)
Net change in unrealized (appreciation) depreciation on investments   39,926,231    25,768,113 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   577,693    1,017,953 
Proceeds from sales and repayments of investments   19,247,834    162,090,516 
Purchases of investments   (202,883,641)   (345,088,953)
(Increase) decrease in operating assets:          
Interest receivable   (1,075,968)   (3,722,035)
Due from affiliate   
-
    90,968 
Management fee receivable   (223)   (1,266)
Other assets   (401,046)   18,119 
Current income tax receivable   336,875    - 
Increase (decrease) in operating liabilities:          
Base management and incentive fees payable   (3,975,165)   (3,390,134)
Accounts payable and accrued expenses   621,900    466,950 
Current tax payable   
-
    (2,793,200)
Interest and debt fees payable   956,499    2,145,104 
Directors fees payable   (14,932)   25,932 
Excise tax payable   
-
    (630,183)
Due to manager   239,065    (257,628)
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES   (136,548,595)   (162,929,180)
           
Financing activities          
Borrowings on debt   62,500,000    105,500,000 
Paydowns on debt   (57,000,000)   (35,340,000)
Issuance of notes   77,500,000    163,500,000 
Repayments of notes   
-
    (43,125,000)
Payments of deferred debt financing costs   (4,474,813)   (7,400,318)
Discount on  debt issuance, 6.00% notes 2027   
-
    (176,000)
Discount on  debt issuance, 7.00% notes 2025   
-
    (360,000)
Proceeds from issuance of common stock   31,510,617    
-
 
Capital contribution from manager   3,093,288    
-
 
Payments of cash dividends   (23,165,227)   (15,884,294)
Repurchases of common stock   (2,157,605)   (9,600,116)
Repurchases fees   (1,772)   (7,792)
Payments of offering costs   (305,667)   
-
 
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES   87,498,821    157,106,480 
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS   (49,049,774)   (5,822,700)
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD   96,076,273    52,870,342 
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD (See Note 2)  $47,026,499   $47,047,642 
           
Supplemental information:          
Interest paid during the period  $31,763,015   $18,374,593 
Cash paid for taxes   654,930    2,770,984 
Supplemental non-cash information:          
Payment-in-kind interest income and other adjustments to cost   (4,054,128)   1,374,899 
Net accretion of discount on investments   1,641,652    1,245,358 
Amortization of deferred debt financing costs   3,909,127    2,567,903 
Stock dividend distribution   2,667,152    3,347,802 

 

See accompanying notes to consolidated financial statements.

 

4

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2023

(unaudited)

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Non-control/Non-affiliate investments - 269.2% (b)                         
Altvia MidCo, LLC.  Alternative Investment Management Software  First Lien Term Loan
(3M USD TERM SOFR+8.50%), 13.87% Cash, 7/18/2027
  7/18/2022  $7,920,000   $7,856,836   $7,890,696    2.2%
Altvia MidCo, LLC. (h)  Alternative Investment Management Software  Series A-1 Preferred Shares  7/18/2022   2,000,000    2,000,000    2,919,054    0.8%
      Total Alternative Investment Management Software           9,856,836    10,809,750    3.0%
BQE Software, Inc.  Architecture & Engineering Software  First Lien Term Loan
(3M USD TERM SOFR+6.75%), 12.12% Cash, 4/13/2028
  4/13/2023  $24,500,000    24,273,149    24,291,750    6.8%
BQE Software, Inc. (j)  Architecture & Engineering Software  Delayed Draw Term Loan
(3M USD TERM SOFR+6.75%), 12.12% Cash, 4/13/2028
  4/13/2023  $750,000    743,020    743,625    0.2%
      Total Architecture & Engineering Software           25,016,169    25,035,375    7.0%
GrowthZone, LLC  Association Management Software  First Lien Term Loan
(3M USD TERM SOFR+8.25%), 13.62% Cash, 5/10/2028
  5/10/2023  $22,649,425    22,277,557    22,588,272    6.3%
Golden TopCo LP (h)  Association Management Software  Class A-2 Common Units  5/10/2023   1,072,394    1,072,394    1,108,099    0.3%
      Total Association Management Software           23,349,951    23,696,371    6.6%
Artemis Wax Corp. (d)(j)  Consumer Services  Delayed Draw Term Loan
(1M USD TERM SOFR+6.75%), 12.09% Cash, 5/20/2026
  5/20/2021  $57,500,000    57,182,306    57,747,250    16.1%
Artemis Wax Corp. (h)  Consumer Services  Series B-1 Preferred Stock  5/20/2021   934,463    1,500,000    4,556,457    1.3%
Artemis Wax Corp. (h)  Consumer Services  Series D Preferred Stock  12/22/2022   278,769    1,500,000    1,668,566    0.5%
      Total Consumer Services           60,182,306    63,972,273    17.9%
Schoox, Inc. (h), (i)  Corporate Education Software  Series 1 Membership Interest  12/8/2020   1,050    475,698    4,397,441    1.2%
      Total Corporate Education Software           475,698    4,397,441    1.2%
GreyHeller LLC (h)  Cyber Security  Common Stock  11/10/2021   7,857,689    1,906,275    2,715,526    0.8%
      Total Cyber Security           1,906,275    2,715,526    0.8%
Gen4 Dental Partners Holdings, LLC (j)  Dental Practice Management  Delayed Draw Term Loan
(3M USD TERM SOFR+10.33%), 15.70% Cash, 4/29/2026
  2/8/2023  $10,756,017    10,734,773    10,971,137    3.1%

 

5

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Gen4 Dental Partners Holdings, LLC (h)(i)  Dental Practice Management  Series A Preferred Units  2/8/2023   493,999    1,027,519    1,091,738    0.3%
New England Dental Partners  Dental Practice Management  First Lien Term Loan
(3M USD TERM SOFR+8.00%), 13.52% Cash, 11/25/2025
  11/25/2020  $6,555,000    6,524,137    6,279,035    1.7%
New England Dental Partners  Dental Practice Management  Delayed Draw Term Loan
(3M USD TERM SOFR+8.00%), 13.52% Cash, 11/25/2025
  11/25/2020  $4,650,000    4,634,096    4,454,235    1.2%
      Total Dental Practice Management           22,920,525    22,796,145    6.3%
Exigo, LLC (d)  Direct Selling Software  First Lien Term Loan
(1M USD TERM SOFR+5.75%), 11.19% Cash, 3/16/2027
  3/16/2022  $24,375,000    24,220,792    23,953,313    6.7%
Exigo, LLC (j)  Direct Selling Software  Revolving Credit Facility
(1M USD TERM SOFR+5.75%), 11.19% Cash, 3/16/2027
  3/16/2022  $-    -    (18,021)   0.0%
Exigo, LLC (h), (i)  Direct Selling Software  Common Units  3/16/2022   1,041,667    1,041,667    1,188,396    0.3%
      Total Direct Selling Software           25,262,459    25,123,688    7.0%
C2 Educational Systems, Inc. (d)  Education Services  First Lien Term Loan
(3M USD TERM SOFR+8.50%), 13.87% Cash, 5/31/2025
  5/31/2017  $21,500,000    21,475,005    21,506,450    6.0%
C2 Educational Systems, Inc. (j)  Education Services  Delayed Draw Term Loan
(3M USD TERM SOFR+8.50%), 13.87% Cash, 5/31/2025
  4/28/2023  $-    -    -    0.0%
C2 Education Systems, Inc. (h)  Education Services  Series A-1 Preferred Stock  5/18/2021   3,127    499,904    569,082    0.2%
Zollege PBC (k)  Education Services  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 14.37% Cash/2.00% PIK, 5/11/2026
  5/11/2021  $16,409,153    16,332,693    13,782,048    3.8%
Zollege PBC (j)(k)  Education Services  Delayed Draw Term Loan
(3M USD TERM SOFR+7.00%), 14.37% Cash/2.00% PIK, 5/11/2026
  5/11/2021  $939,109    932,951    788,758    0.2%
Zollege PBC (h)  Education Services  Class A Units  5/11/2021   250,000    250,000    32,716    0.0%
      Total Education Services           39,490,553    36,679,054    10.2%

 

6

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Destiny Solutions Inc. (h)(i)  Education Software  Limited Partner Interests  5/16/2018   3,068    3,969,291    9,633,415    2.7%
GoReact  Education Software  First Lien Term Loan
(3M USD TERM SOFR+7.50%), 14.07% Cash/1.00% PIK, 1/17/2025
  1/17/2020  $8,067,365    8,033,120    8,073,012    2.2%
GoReact (j)  Education Software  Delayed Draw Term Loan
(3M USD TERM SOFR+7.50%), 14.07% Cash/1.00% PIK, 1/17/2025
  1/18/2022  $-    -    -    0.0%
Identity Automation Systems (h)  Education Software  Common Stock Class A-2 Units  8/25/2014   232,616    232,616    553,406    0.2%
Identity Automation Systems (h)  Education Software  Common Stock Class A-1 Units  3/6/2020   43,715    171,571    230,727    0.1%
Ready Education  Education Software  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 8/5/2027
  8/5/2022  $27,000,000    26,783,146    26,454,600    7.4%
      Total Education Software           39,189,744    44,945,160    12.6%
TG Pressure Washing Holdings, LLC (h)  Facilities Maintenance  Preferred Equity  8/12/2019   488,148    488,148    274,272    0.1%
      Total Facilities Maintenance           488,148    274,272    0.1%
Davisware, LLC  Field Service Management  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 7/31/2024
  9/6/2019  $6,000,000    5,985,947    5,976,600    1.7%
Davisware, LLC (j)  Field Service Management  Delayed Draw Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 7/31/2024
  9/6/2019  $3,977,790    3,964,276    3,962,277    1.1%
      Total Field Service Management           9,950,223    9,938,877    2.8%
GDS Software Holdings, LLC  Financial Services  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 12/30/2026
  12/30/2021  $22,713,926    22,616,511    22,389,117    6.2%
GDS Software Holdings, LLC  Financial Services  Delayed Draw Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 12/30/2026
  12/30/2021  $3,286,074    3,260,914    3,239,083    0.9%
GDS Software Holdings, LLC  (h)  Financial Services  Common Stock Class A Units  8/23/2018   250,000    250,000    481,091    0.1%
      Total Financial Services           26,127,425    26,109,291    7.2%
Ascend Software, LLC  Financial Services Software  First Lien Term Loan
(3M USD TERM SOFR+7.50%), 13.13% Cash, 12/15/2026
  12/15/2021  $6,000,000    5,959,140    5,904,600    1.6%
Ascend Software, LLC (j)  Financial Services Software  Delayed Draw Term Loan
(3M USD TERM SOFR+7.50%), 13.13% Cash, 12/15/2026
  12/15/2021  $4,050,000    4,018,101    3,961,755    1.1%
      Total Financial Services Software           9,977,241    9,866,355    2.7%
Inspect Point Holdings, LLC  Fire Inspection Business Software  First Lien Term Loan
(1M USD TERM SOFR+6.50%), 11.84% Cash, 07/19/2028
  7/19/2023  $10,000,000    9,904,135    9,900,000    2.8%
Inspect Point Holdings, LLC (j)  Fire Inspection Business Software  First Lien Term Loan
(1M USD TERM SOFR+6.50%), 11.84% Cash, 07/19/2028
  7/19/2023  $-    -    -    0.0%
      Total Fire Inspection Business Software           9,904,135    9,900,000    2.8%

 

7

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Stretch Zone Franchising, LLC  Health/Fitness Franchisor  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 3/31/2028
  3/31/2023  $30,000,000    29,725,038    29,925,000    8.3%
Stretch Zone Franchising, LLC (j)  Health/Fitness Franchisor  Delayed Draw Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 3/31/2028
  3/31/2023  $-    -    -    0.0%
Stretch Zone Franchising, LLC (h)  Health/Fitness Franchisor  Class A Units  3/31/2023   20,000    2,000,000    2,076,541    0.6%
      Total Health/Fitness Franchisor           31,725,038    32,001,541    8.9%
                              
Axiom Medical Consulting, LLC  Healthcare Services  First Lien Term Loan
(3M USD TERM SOFR+6.00%), 11.37% Cash, 9/11/2028
  9/11/2023  $10,000,000    9,914,732    9,913,000    2.8%
Axiom Medical Consulting, LLC (j)  Healthcare Services  Delayed Draw Term Loan
(3M USD TERM SOFR+6.00%), 11.37% Cash, 9/11/2028
  9/11/2023  $-    -    -    0.0%
Axiom Parent Holdings, LLC (h)  Healthcare Services  Class A Preferred Units  6/19/2018   400,000    258,389    657,124    0.2%
ComForCare Health Care (d)  Healthcare Services  First Lien Term Loan
(3M USD TERM SOFR+6.25%), 11.62% Cash, 1/31/2025
  1/31/2017  $25,000,000    24,959,793    25,000,000    7.0%
      Total Healthcare Services           35,132,914    35,570,124    10.0%
HemaTerra Holding Company, LLC (d)  Healthcare Software  First Lien Term Loan
(1M USD TERM SOFR+8.25%), 13.59% Cash, 1/31/2027
  4/15/2019  $55,066,770    54,739,570    55,220,957    15.4%
HemaTerra Holding Company, LLC  Healthcare Software  Delayed Draw Term Loan
(1M USD TERM SOFR+8.25%), 13.59% Cash, 1/31/2027
  4/15/2019  $13,790,700    13,738,934    13,829,314    3.8%
TRC HemaTerra, LLC (h)  Healthcare Software  Class D Membership Interests  4/15/2019   2,487    2,816,693    5,188,325    1.4%
Procurement Partners, LLC  Healthcare Software  First Lien Term Loan
(3M USD TERM SOFR+6.50%), 11.87% Cash, 5/12/2026
  11/12/2020  $35,125,000    34,951,761    35,125,000    9.8%
Procurement Partners, LLC (j)  Healthcare Software  Delayed Draw Term Loan
(3M USD TERM SOFR+6.50%), 11.87% Cash, 5/12/2026
  11/12/2020  $10,300,000    10,223,547    10,300,000    2.9%
Procurement Partners Holdings LLC (h)  Healthcare Software  Class A Units  11/12/2020   571,219    571,219    825,014    0.2%
      Total Healthcare Software           117,041,724    120,488,610    33.5%
Roscoe Medical, Inc. (h)  Healthcare Supply  Common Stock  3/26/2014   5,081    508,077    -    0.0%
      Total Healthcare Supply           508,077    -    0.0%

 

8

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Book4Time, Inc. (a)(d)  Hospitality/Hotel  First Lien Term Loan
(3M USD TERM SOFR+7.50%), 12.87%, 12/22/2025
  12/22/2020  $3,136,517    3,121,291    3,136,517    0.9%
Book4Time, Inc. (a)  Hospitality/Hotel  Delayed Draw Term Loan
(3M USD TERM SOFR+7.50%), 12.87%, 12/22/2025
  12/22/2020  $2,000,000    1,988,440    2,000,000    0.6%
Book4Time, Inc. (a)(h)(i)  Hospitality/Hotel  Class A Preferred Shares  12/22/2020   200,000    156,826    363,008    0.1%
Knowland Group, LLC (k)  Hospitality/Hotel  Second Lien Term Loan
(3M USD TERM SOFR+8.00%), 16.52% Cash/3.00% PIK, 12/31/2024
  11/9/2018  $15,878,989    15,878,989    9,632,195    2.7%
Sceptre Hospitality Resources, LLC  Hospitality/Hotel  First Lien Term Loan
(3M USD TERM SOFR+7.25%), 12.62% Cash, 11/15/2027
  4/27/2020  $23,000,000    22,824,663    23,046,000    6.4%
Sceptre Hospitality Resources, LLC (j)  Hospitality/Hotel  Delayed Draw Term Loan
(3M USD TERM SOFR+7.25%), 12.62% Cash, 11/15/2027
  9/2/2021  $-    -    -    0.0%
      Total Hospitality/Hotel           43,970,209    38,177,720    10.7%
Granite Comfort, LP (d)  HVAC Services and Sales  First Lien Term Loan
(3M USD TERM SOFR+8.13%), 13.50% Cash, 11/16/2025
  11/16/2020  $43,000,000    42,768,427    43,017,200    12.0%
Granite Comfort, LP (j)  HVAC Services and Sales  Delayed Draw Term Loan
(3M USD TERM SOFR+8.13%), 13.50% Cash, 11/16/2025
  11/16/2020  $26,250,000    25,978,236    26,260,500    7.3%
      Total HVAC Services and Sales           68,746,663    69,277,700    19.3%
Vector Controls Holding Co., LLC (d)  Industrial Products  First Lien Term Loan
(3M USD TERM SOFR+6.50%), 11.75% Cash, 3/6/2025
  3/6/2013  $1,465,386    1,465,386    1,465,386    0.4%
Vector Controls Holding Co., LLC (h)  Industrial Products  Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343    -    7,995,842    2.2%
      Total Industrial Products           1,465,386    9,461,228    2.6%
AgencyBloc, LLC  Insurance Software  First Lien Term Loan
(1M USD BSBY+8.00%), 13.37% Cash, 10/1/2026
  10/1/2021  $13,368,068    13,289,222    13,368,068    3.7%
Panther ParentCo LLC (h)  Insurance Software  Class A Units  10/1/2021   2,500,000    2,500,000    4,030,125    1.1%
      Total Insurance Software           15,789,222    17,398,193    4.8%
LogicMonitor, Inc. (d)  IT Services  First Lien Term Loan
(3M USD TERM SOFR+6.50%), 11.87% Cash, 5/17/2026
  3/20/2020  $43,000,000    42,967,165    43,000,000    12.0%
        Total IT Services           42,967,165    43,000,000    12.0%
ActiveProspect, Inc. (d)  Lead Management Software  First Lien Term Loan
(3M USD TERM SOFR+6.00%), 11.57% Cash, 8/8/2027
  8/8/2022  $12,000,000    11,915,633    12,120,000    3.4%

 

9

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
ActiveProspect, Inc. (j)  Lead Management Software  Delayed Draw Term Loan
(3M USD TERM SOFR+6.00%), 11.57% Cash, 8/8/2027
  8/8/2022  $-    -    -    0.0%
      Total Lead Management Software           11,915,633    12,120,000    3.4%
Centerbase, LLC  Legal Software  First Lien Term Loan
(3M USD TERM SOFR+7.75%), 13.12% Cash, 1/18/2027
  1/18/2022  $21,086,880    20,925,530    20,776,903    5.8%
      Total Legal Software           20,925,530    20,776,903    5.8%
Madison Logic, Inc. (d)  Marketing Orchestration Software  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 12.37% Cash, 12/30/2028
  12/30/2022  $18,905,000    18,577,980    18,630,878    5.2%
      Total Marketing Orchestration Software           18,577,980    18,630,878    5.2%
ARC Health OpCo LLC (d)  Mental Healthcare Services  First Lien Term Loan
(3M USD TERM SOFR+8.47%), 13.84% Cash, 8/5/2027
  8/5/2022  $6,500,000    6,434,853    6,568,250    1.8%
ARC Health OpCo LLC (d)(j)  Mental Healthcare Services  Delayed Draw Term Loan
(3M USD TERM SOFR+8.47%), 13.84% Cash, 8/5/2027
  8/5/2022  $26,914,577    26,902,450    27,197,180    7.6%
ARC Health OpCo LLC (h)  Mental Healthcare Services  Class A Preferred Units  8/5/2022   3,818,400    4,169,599    4,314,792    1.2%
      Total Mental Healthcare Services           37,506,902    38,080,222    10.6%
Chronus LLC  Mentoring Software  First Lien Term Loan
(3M USD TERM SOFR+5.25), 10.77% Cash, 8/26/2026
  8/26/2021  $15,000,000    14,905,503    14,715,000    4.1%
Chronus LLC  Mentoring Software  First Lien Term Loan
(3M USD TERM SOFR+6.00), 11.52% Cash, 8/26/2026
  8/26/2021  $5,000,000    4,959,057    4,905,000    1.4%
Chronus LLC (h)  Mentoring Software  Series A Preferred Stock  8/26/2021   3,000    3,000,000    2,343,035    0.7%
      Total Mentoring Software           22,864,560    21,963,035    6.2%
Omatic Software, LLC  Non-profit Services  First Lien Term Loan
(3M USD TERM SOFR+8.00%), 14.63% Cash/1.00% PIK, 6/30/2024
  5/29/2018  $14,230,244    14,210,779    14,190,399    3.9%
      Total Non-profit Services           14,210,779    14,190,399    3.9%
Emily Street Enterprises, L.L.C.  Office Supplies  Senior Secured Note
(3M USD TERM SOFR+7.50%), 12.87% Cash, 12/31/2025
  12/28/2012  $6,000,000    5,991,114    6,028,200    1.7%
Emily Street Enterprises, L.L.C. (h)  Office Supplies  Warrant Membership Interests,                          
Expires 12/31/2025
  12/28/2012   49,318    400,000    995,001    0.3%
      Total Office Supplies           6,391,114    7,023,201    2.0%
Buildout, Inc. (d)  Real Estate Services  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 12.47% Cash, 7/9/2025
  7/9/2020  $14,000,000    13,942,540    13,792,800    3.8%
Buildout, Inc.  Real Estate Services  Delayed Draw Term Loan
(3M USD TERM SOFR+7.00%), 12.47% Cash, 7/9/2025
  2/12/2021  $38,500,000    38,318,136    37,930,200    10.5%

 

10

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Buildout, Inc. (h)(i)  Real Estate Services  Limited Partner Interests  7/9/2020   1,250    1,372,557    1,404,599    0.4%
      Total Real Estate Services           53,633,233    53,127,599    14.7%
Wellspring Worldwide Inc.  Research Software  First Lien Term Loan
(1M USD BSBY+7.25%), 12.62% Cash, 6/27/2027
  6/27/2022  $9,576,000    9,493,397    9,524,290    2.6%
Archimedes Parent LLC (h)  Research Software  Class A Common Units  6/27/2022   1,125,160    1,125,160    1,107,618    0.3%
      Total Research Software           10,618,557    10,631,908    2.9%
LFR Chicken LLC  Restaurant  First Lien Term Loan
(1M USD TERM SOFR+7.00%), 12.34% Cash, 11/19/2026
  11/19/2021  $12,000,000    11,921,441    11,997,600    3.3%
LFR Chicken LLC  Restaurant  Delayed Draw Term Loan
(1M USD TERM SOFR+7.00%), 12.34% Cash, 11/19/2026
  11/19/2021  $9,000,000    8,932,176    8,998,200    2.5%
LFR Chicken LLC (h)  Restaurant  Series B Preferred Units  11/19/2021   497,183    1,000,000    1,408,936    0.4%
      Total Restaurant           21,853,617    22,404,736    6.2%
JobNimbus LLC  Roofing Contractor Software  First Lien Term Loan
(3M USD TERM SOFR+8.75%), 14.27% Cash, 9/20/2026
  3/28/2023  $9,950,000    9,865,212    10,001,740    2.8%
      Total Roofing Contractor Software           9,865,212    10,001,740    2.8%
Pepper Palace, Inc. (d)(k)  Specialty Food Retailer  First Lien Term Loan
(3M USD TERM SOFR+6.25%), 11.77% Cash, 6/30/2026
  6/30/2021  $33,320,000    33,129,970    4,821,774    1.3%
Pepper Palace, Inc. (j)(k)  Specialty Food Retailer  Delayed Draw Term Loan
(3M USD TERM SOFR+6.25%), 11.77% Cash, 6/30/2026
  6/30/2021  $1,101,600    1,091,442    159,414    0.0%
Pepper Palace, Inc. (j)(k)  Specialty Food Retailer  Revolving Credit Facility
(3M USD TERM SOFR+6.25%), 11.77% Cash, 6/30/2026
  6/30/2021  $-    -    -    0.0%
Pepper Palace, Inc. (h)  Specialty Food Retailer  Membership Interest (Series A)  6/30/2021   1,000,000    1,000,000    -    0.0%
Pepper Palace, Inc. (h)  Specialty Food Retailer  Membership Interest (Series B)  6/30/2021   197,035    197,035    -    0.0%
      Total Specialty Food Retailer           35,418,447    4,981,188    1.3%
ArbiterSports, LLC (d)  Sports Management  First Lien Term Loan
(3M USD TERM SOFR+6.00%), 11.37% Cash, 2/21/2025
  2/21/2020  $26,000,000    25,933,625    25,994,800    7.2%
ArbiterSports, LLC  Sports Management  Delayed Draw Term Loan
(3M USD TERM SOFR+6.00%), 11.37% Cash, 2/21/2025
  2/21/2020  $1,000,000    1,000,000    999,800    0.3%
      Total Sports Management           26,933,625    26,994,600    7.5%
Avionte Holdings, LLC (h)  Staffing Services  Class A Units  1/8/2014   100,000    100,000    2,089,107    0.6%
      Total Staffing Services           100,000    2,089,107    0.6%

 

11

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
JDXpert  Talent Acquisition Software  First Lien Term Loan
(3M USD TERM SOFR+8.50%), 14.13% Cash, 5/2/2027
  5/2/2022  $6,000,000    5,952,909    6,120,000    1.7%
JDXpert (j)  Talent Acquisition Software  Delayed Draw Term Loan
(3M USD TERM SOFR+8.50%), 14.13% Cash, 5/2/2027
  5/2/2022  $1,000,000    991,053    1,020,000    0.3%
Jobvite, Inc. (d)  Talent Acquisition Software  First Lien Term Loan
(6M USD TERM SOFR+8.00%), 13.33% Cash, 8/5/2028
  8/5/2022  $20,000,000    19,872,540    19,960,000    5.8%
      Total Talent Acquisition Software           26,816,502    27,100,000    7.8%
VetnCare MSO, LLC (j)  Veterinary Services  Delayed Draw Term Loan
(3M USD TERM SOFR+5.75%), 11.12% Cash, 5/12/2028
  5/12/2023  $4,680,505    4,635,792    4,689,864    1.3%
      Total Veterinary Services           4,635,792    4,689,864    1.3%
Sub Total Non-control/Non-affiliate investments                 983,711,569    976,440,074    272.2%
Affiliate investments - 16.2% (b)                             
ETU Holdings, Inc. (f)  Corporate Education Software  First Lien Term Loan
(3M USD TERM SOFR+9.00%), 14.52% Cash, 8/18/2027
  8/18/2022  $7,000,000    6,942,570    6,909,700    1.9%
ETU Holdings, Inc. (f)  Corporate Education Software  Second Lien Term Loan
15.00% PIK, 2/18/2028
  8/18/2022  $5,906,527    5,863,709    5,240,861    1.5%
ETU Holdings, Inc. (f)(h)  Corporate Education Software  Series A Preferred Units  8/18/2022   3,000,000    3,000,000    1,370,911    0.4%
      Total Corporate Education Software           15,806,279    13,521,472    3.8%
Modis Dental Partners OpCo, LLC (f)  Dental Practice Management  First Lien Term Loan
(1M USD TERM SOFR+9.48%), 14.82% Cash, 4/18/2028
  4/18/2023  $7,000,000    6,902,386    6,988,800    1.9%
Modis Dental Partners OpCo, LLC (j)(f)  Dental Practice Management  Delayed Draw Term Loan
(1M USD TERM SOFR+9.48%), 14.82% Cash, 4/18/2028
  4/18/2023  $-    -    -    0.0%
Modis Dental Partners OpCo, LLC (f)(h)  Dental Practice Management  Class A Preferred Units  4/18/2023   1,950,000    1,950,000    1,872,000    0.5%
      Total Dental Practice Management           8,852,386    8,860,800    2.4%
Axero Holdings, LLC (f)  Employee Collaboration Software  First Lien Term Loan
(3M USD TERM SOFR+10.00%), 15.52% Cash, 6/30/2026
  6/30/2021  $5,500,000    5,465,822    5,538,500    1.5%
Axero Holdings, LLC (f)  Employee Collaboration Software  Delayed Draw Term Loan
(3M USD TERM SOFR+10.00%), 15.52% Cash, 6/30/2026
  6/30/2021  $1,100,000    1,092,183    1,107,700    0.3%
Axero Holdings, LLC (f)(j)  Employee Collaboration Software  Revolving Credit Facility
(3M USD TERM SOFR+10.00%), 15.52% Cash, 6/30/2026
  2/3/2022  $-    -    -    0.0%

 

12

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Axero Holdings, LLC (f)(h)  Employee Collaboration Software  Series A Preferred Units  6/30/2021   2,055,609    2,055,609    2,801,000    0.8%
Axero Holdings, LLC (f)(h)  Employee Collaboration Software  Series B Preferred Units  6/30/2021   2,055,609    2,055,609    4,446,367    1.2%
      Total Employee Collaboration Software           10,669,223    13,893,567    3.8%
Alpha Aesthetics Partners OpCo, LLC (f)  Healthcare Services  First Lien Term Loan
(1M USD TERM SOFR+9.98%), 15.32% Cash, 3/20/2028
  3/20/2023  $3,900,000    3,845,631    3,891,810    1.2%
Alpha Aesthetics Partners OpCo, LLC (f)(j)  Healthcare Services  Delayed Draw Term Loan
(1M USD TERM SOFR+9.98%), 15.32% Cash, 3/20/2028
  3/20/2023  $4,880,496    4,811,222    4,870,247    1.4%
Alpha Aesthetics Partners OpCo, LLC (f)(h)  Healthcare Services  Class A Preferred Units  3/20/2023   1,850,000    1,850,000    2,090,501    0.6%
      Total Healthcare Services           10,506,853    10,852,558    3.2%
Sub Total Affiliate investments                 45,834,741    47,128,397    13.2%
Control investments - 25.2% (b)                             
Netreo Holdings, LLC (g)  IT Services  First Lien Term Loan
(3M USD TERM SOFR +6.50%), 15.52% Cash/3.50% PIK
12/31/2025
  7/3/2018  $5,643,670    5,632,944    5,515,558    1.5%
Netreo Holdings, LLC (d)(g)  IT Services  Delayed Draw Term Loan
(3M USD TERM SOFR +6.50%), 15.52% Cash/3.50% PIK,
12/31/2025
  5/26/2020  $25,048,948    24,957,841    24,480,337    6.8%
Netreo Holdings, LLC (g)(h)  IT Services  Common Stock Class A Units  7/3/2018   4,600,677    8,344,500    5,675,795    1.6%
      Total IT Services           38,935,285    35,671,690    9.9%
Saratoga Investment Corp. CLO 2013-1, Ltd. (a)(e)(g)  Structured Finance Securities  Other/Structured Finance Securities
0.00%, 4/20/2033
  1/22/2008  $111,000,000    23,412,409    8,938,522    2.5%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a)(g)  Structured Finance Securities  Other/Structured Finance Securities
(3M USD TERM SOFR+10.00%), 15.37%, 4/20/2033
  8/9/2021  $9,375,000    9,375,000    8,981,565    2.5%
Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note (a)(g)  Structured Finance Securities  Other/Structured Finance Securities
(3M USD TERM SOFR+8.55%), 13.92%, 10/20/2033
  10/28/2022  $12,250,000    11,392,500    11,467,384    3.2%
      Total Structured Finance Securities           44,179,909    29,387,471    8.2%
Saratoga Senior Loan Fund I JV, LLC (a)(g)(j)  Investment Fund  Unsecured Loan
10.00%, 10/20/2033
  2/17/2022  $17,618,954    17,618,954    17,618,954    4.9%
Saratoga Senior Loan Fund I JV, LLC (a)(g)  Investment Fund  Membership Interest  2/17/2022   17,583,486    17,583,486    7,792,023    2.2%
      Total Investment Fund           35,202,440    25,410,977    7.1%
Sub Total Control investments                 118,317,634    90,470,138    25.2%
TOTAL INVESTMENTS - 310.6% (b)                $1,147,863,944   $1,114,038,609    310.6%

 

13

 

 

   Number of
Shares
   Cost   Fair Value   % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.1% (b)                    
U.S. Bank Money Market (l)   47,026,499   $47,026,499   $47,026,499    13.1%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts   47,026,499   $47,026,499   $47,026,499    13.1%

 

 

(1)Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and are restricted securities.
(a)Represents an investment that is not a “qualifying asset” under Section 55(a) of the Investment Company Act of 1940, as amended (the 1940 Act”). As of November 30, 2023, non-qualifying assets represent 6.2% of the Company’s portfolio at fair value. As a BDC, the Company generally has to invest at least 70% of its total assets in qualifying assets.
(b)Percentages are based on net assets of $359,558,749 as of November 30, 2023.
(c)Because there is no “readily available market quotations” (as defined in the 1940 Act) for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors.  These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).
(d)These securities are either fully or partially pledged as collateral under the Company’s senior secured revolving credit facility (see Note 8 to the consolidated financial statements).
(e)This investment does not have a stated interest rate that is payable thereon. As a result, the 0.00% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f)As defined in the 1940 Act, this portfolio company is an “affiliate” as we own between 5.0% and 25.0% of the outstanding voting securities. Transactions during the nine months ended November 30, 2023 in which the issuer was an affiliate are as follows:

 

Company  Purchases   Sales   Total Interest from Investments   Management Fee Income   Net Realized
Gain (Loss) from Investments
   Net Change in Unrealized Appreciation (Depreciation) 
Axero Holdings, LLC  $
-
   $
-
   $691,807   $
        -
   $
        -
   $723,935 
ETU Holdings, Inc.   
-
    
-
    1,425,096    
-
    
-
    (2,367,949)
Modis Dental Partners OpCo, LLC   8,845,000    
-
    656,579    
-
    
-
    8,414 
Alpha Aesthetics Partners OpCo, LLC   10,498,789    
-
    424,543    
-
    
-
    345,705 
Total  $19,343,789   $
-
   $3,198,025   $
-
   $
-
   $(1,289,895)

 

14

 

 

(g)As defined in the 1940 Act, we “control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the nine months ended November 30, 2023 in which the issuer was both an affiliate and a portfolio company that we control are as follows:

 

Company  Purchases   Sales   Total Interest
from
Investments
   Management
Fee Income
   Net Realized
Gain (Loss)
from Investments
   Net Change
in Unrealized
Appreciation
(Depreciation)
 
Netreo Holdings, LLC  $2,475,000   $
         -
   $3,151,257   $
-
   $
           -
   $(11,543,808)
Saratoga Investment Corp. CLO 2013-1, Ltd.   
-
    
-
    
-
    2,453,967    
-
    (6,706,561)
Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note   
-
    
-
    1,265,735    
-
    
-
    112,889 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note   
-
    
-
    1,099,141    
-
    
-
    150,159 
Saratoga Senior Loan Fund I JV, LLC   
-
    
-
    1,340,998    
-
    
-
    
-
 
Saratoga Senior Loan Fund I JV, LLC   
-
    
-
    
-
    
-
    
-
    (5,314,928)
Total  $2,475,000   $
-
   $6,857,131   $2,453,967   $
-
   $(23,302,249)

 

(h)Non-income producing at November 30, 2023.
(i)Includes securities issued by an affiliate of the company.
(j)All or a portion of this investment has an unfunded commitment as of November 30, 2023. (See Note 9 to the consolidated financial statements).
(k)As of November 30, 2023, the investment was on non-accrual status. The fair value of these investments was approximately $29.2 million, which represented 2.6% of the Company’s portfolio (see Note 2 to the consolidated financial statements).
(l)Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of November 30, 2023.

 

BSBY - Bloomberg Short-Term Bank Yield

SOFR - Secured Overnight Financing Rate

 

1M USD BSBY - The 1 month USD BSBY rate as of November 30, 2023 was 5.37%.

1M USD TERM SOFR - The 1 month USD TERM SOFR rate as of November 30, 2023 was 5.34%.

3M USD TERM SOFR - The 3 month USD TERM SOFR rate as of November 30, 2023 was 5.37%.

6M USD TERM SOFR - The 6 month USD TERM SOFR rate as of November 30, 2023 was 5.33%.

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

 

See accompanying notes to consolidated financial statements.

 

15

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2023

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Non-control/Non-affiliate investments - 238.6% (b)                             
Altvia MidCo, LLC.  Alternative Investment Management Software  First Lien Term Loan
(3M USD TERM SOFR+8.50%), 13.39% Cash, 7/18/2027
  7/18/2022  $7,980,000   $7,907,457   $7,911,372    2.3%
Altvia MidCo, LLC. (h)  Alternative Investment Management Software  Series A-1 Preferred Shares  7/18/2022   2,000,000    2,000,000    2,548,000    0.7%
      Total Alternative Investment Management Software           9,907,457    10,459,372    3.0%
Artemis Wax Corp. (d)(j)  Consumer Services  Delayed Draw Term Loan
(1M USD TERM SOFR+6.75%), 11.41% Cash, 5/20/2026
  5/20/2021  $57,500,000    57,059,057    57,500,000    16.6%
Artemis Wax Corp. (h)  Consumer Services  Series B-1 Preferred Stock  5/20/2021   934,463    1,500,000    4,642,322    1.3%
Artemis Wax Corp. (h)  Consumer Services  Series D Preferred Stock  12/22/2022   278,769    1,500,000    1,500,005    0.4%
      Total Consumer Services           60,059,057    63,642,327    18.3%
Schoox, Inc. (h), (i)  Corporate Education Software  Series 1 Membership Interest  12/8/2020   1,050    475,698    3,809,091    1.1%
      Total Corporate Education Software           475,698    3,809,091    1.1%
GreyHeller LLC (h)  Cyber Security  Common Stock  11/10/2021   7,857,689    1,906,275    2,509,210    0.7%
      Total Cyber Security           1,906,275    2,509,210    0.7%
New England Dental Partners  Dental Practice Management  First Lien Term Loan
(3M USD LIBOR+8.00%), 12.97% Cash, 11/25/2025
  11/25/2020  $6,555,000    6,514,437    6,523,536    1.9%
New England Dental Partners  Dental Practice Management  Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 12.97% Cash, 11/25/2025
  11/25/2020  $4,650,000    4,627,032    4,627,680    1.3%
Gen4 Dental Partners Holdings, LLC (j)  Dental Practice Management  Delayed Draw Term Loan
(3M USD TERM SOFR+10.35%), 15.24% Cash, 4/29/2026
  2/8/2023  $-    (94,504)   -    0.0%
Gen4 Dental Partners Holdings, LLC (i)  Dental Practice Management  Series A Preferred Units  2/8/2023   480,769    1,000,000    1,000,000    0.3%
      Total Dental Practice Management           12,046,965    12,151,216    3.5%

 

16

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Exigo, LLC (d)  Direct Selling Software  First Lien Term Loan
(1M USD LIBOR+5.75%), 10.42% Cash, 3/16/2027
  3/16/2022  $24,812,500    24,632,494    24,504,825    7.1%
Exigo, LLC (j)  Direct Selling Software  Delayed Draw Term Loan
(1M USD LIBOR+5.75%), 10.42% Cash, 3/16/2027
  3/16/2022  $-    -    (51,667)   0.0%
Exigo, LLC (j)  Direct Selling Software  Revolving Credit Facility
(1M USD LIBOR+5.75%), 10.42% Cash, 3/16/2027
  3/16/2022  $208,334    208,333    195,417    0.1%
Exigo, LLC (h), (i)  Direct Selling Software  Common Units  3/16/2022   1,041,667    1,041,667    1,121,575    0.3%
      Total Direct Selling Software           25,882,494    25,770,150    7.5%
C2 Educational Systems (d)  Education Services  First Lien Term Loan
(3M USD LIBOR+8.50%), 13.47% Cash, 5/31/2023
  5/31/2017  $18,500,000    18,497,146    18,525,900    5.3%
C2 Education Systems, Inc. (h)  Education Services  Series A-1 Preferred Stock  5/18/2021   3,127    499,904    629,892    0.2%
Zollege PBC  Education Services  First Lien Term Loan
(3M USD LIBOR+7.00%), 11.97% Cash, 5/11/2026
  5/11/2021  $16,000,000    15,905,830    14,827,200    4.3%
Zollege PBC (j)  Education Services  Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 11.97% Cash, 5/11/2026
  5/11/2021  $500,000    496,809    390,050    0.1%
Zollege PBC (h)  Education Services  Class A Units  5/11/2021   250,000    250,000    115,676    0.0%
      Total Education Services           35,649,689    34,488,718    9.9%
Destiny Solutions Inc. (h), (i)  Education Software  Limited Partner Interests  5/16/2018   3,068    3,969,291    8,941,350    2.6%
GoReact  Education Software  First Lien Term Loan
(3M USD TERM SOFR+7.50%), 13.59% Cash, 1/17/2025
  1/17/2020  $8,006,000    7,952,042    7,982,783    2.3%
GoReact (j)  Education Software  Delayed Draw Term Loan
(3M USD TERM SOFR+7.50%), 13.59% Cash, 1/17/2025
  1/18/2022  $1,000,750    1,000,750    997,848    0.3%
Identity Automation Systems (h)  Education Software  Common Stock Class A-2 Units  8/25/2014   232,616    232,616    218,168    0.1%
Identity Automation Systems (h)  Education Software  Common Stock Class A-1 Units  3/6/2020   43,715    171,571    217,370    0.1%
Ready Education  Education Software  First Lien Term Loan
(3M USD TERM SOFR+6.00%), 10.89% Cash, 8/5/2027
  8/5/2022  $27,000,000    26,751,573    26,597,700    7.7%
      Total Education Software           40,077,843    44,955,219    13.1%
TG Pressure Washing Holdings, LLC (h)  Facilities Maintenance  Preferred Equity  8/12/2019   488,148    488,148    407,760    0.1%
      Total Facilities Maintenance           488,148    407,760    0.1%

 

17

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Davisware, LLC  Field Service Management  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 11.89% Cash, 7/31/2024
  9/6/2019  $6,000,000    5,972,735    5,988,000    1.7%
Davisware, LLC  Field Service Management  Delayed Draw Term Loan
(3M USD TERM SOFR+7.00%), 11.89% Cash, 7/31/2024
  9/6/2019  $3,977,790    3,950,992    3,969,834    1.1%
      Total Field Service Management           9,923,727    9,957,834    2.8%
B. Riley Financial, Inc. (a)  Financial Services  Senior Unsecured Loan
6.75% Cash, 5/31/2024
  10/18/2022  $165,301    165,301    160,077    0.0%
GDS Software Holdings, LLC  Financial Services  First Lien Term Loan
(3M USD LIBOR+7.00%), 11.97% Cash, 12/30/2026
  12/30/2021  $22,713,926    22,603,970    22,311,890    6.4%
GDS Software Holdings, LLC  Financial Services  Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 11.97% Cash, 12/30/2026
  12/30/2021  $3,286,074    3,257,297    3,227,910    0.9%
GDS Software Holdings, LLC  (h)  Financial Services  Common Stock Class A Units  8/23/2018   250,000    250,000    518,413    0.1%
      Total Financial Services           26,276,568    26,218,290    7.4%
Ascend Software, LLC  Financial Services Software  First Lien Term Loan
(3M USD LIBOR+7.50%), 12.47% Cash, 12/15/2026
  12/15/2021  $6,000,000    5,952,354    5,902,200    1.7%
Ascend Software, LLC (j)  Financial Services Software  Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 12.47% Cash, 12/15/2026
  12/15/2021  $3,300,000    3,269,283    3,194,050    0.9%
      Total Financial Services Software           9,221,637    9,096,250    2.6%
Axiom Parent Holdings, LLC (h)  Healthcare Services  Common Stock Class A Units  6/19/2018  $400,000    400,000    1,286,156    0.4%
ComForCare Health Care (d)  Healthcare Services  First Lien Term Loan
(3M USD LIBOR+6.25%), 11.22% Cash, 1/31/2025
  1/31/2017  $25,000,000    24,938,666    25,000,000    7.2%
      Total Healthcare Services           25,338,666    26,286,156    7.6%

 

18

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
HemaTerra Holding Company, LLC (d)  Healthcare Software  First Lien Term Loan
(1M USD TERM SOFR+8.25%), 12.91% Cash, 1/31/2027
  4/15/2019  $55,483,943    55,105,372    55,445,104    16.0%
HemaTerra Holding Company, LLC  Healthcare Software  Delayed Draw Term Loan
(1M USD TERM SOFR+8.25%), 12.91% Cash, 1/31/2027
  4/15/2019  $13,895,175    13,829,142    13,885,448    4.0%
TRC HemaTerra, LLC (h)  Healthcare Software  Class D Membership Interests  4/15/2019   2,487    2,816,693    4,606,741    1.3%
Procurement Partners, LLC  Healthcare Software  First Lien Term Loan
(3M USD TERM SOFR+6.50%), 11.39% Cash, 5/12/2026
  11/12/2020  $35,125,000    34,906,981    35,103,925    10.1%
Procurement Partners, LLC (j)  Healthcare Software  Delayed Draw Term Loan
(3M USD TERM SOFR+6.50%), 11.39% Cash, 5/12/2026
  11/12/2020  $9,300,000    9,219,412    9,294,420    2.7%
Procurement Partners Holdings LLC (h)  Healthcare Software  Class A Units  11/12/2020   571,219    571,219    788,283    0.2%
      Total Healthcare Software           116,448,819    119,123,921    34.3%
Roscoe Medical, Inc. (h)  Healthcare Supply  Common Stock  3/26/2014   5,081    508,077    -    0.0%
      Total Healthcare Supply           508,077    -    0.0%
Book4Time, Inc. (a), (d)  Hospitality/Hotel  First Lien Term Loan
(3M USD LIBOR+7.50%), 12.47%, 12/22/2025
  12/22/2020  $3,136,517    3,116,896    3,136,517    0.9%
Book4Time, Inc. (a)  Hospitality/Hotel  Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 12.47%, 12/22/2025
  12/22/2020  $2,000,000    1,984,212    2,000,000    0.6%
Book4Time, Inc. (a), (h), (i)  Hospitality/Hotel  Class A Preferred Shares  12/22/2020   200,000    156,826    281,778    0.1%
Knowland Group, LLC (h), (k)  Hospitality/Hotel  Second Lien Term Loan
(3M USD LIBOR+8.00%), 13.97% Cash/1.00% PIK, 5/9/2024
  11/9/2018  $15,878,989    15,878,989    9,760,821    2.8%
Sceptre Hospitality Resources, LLC  Hospitality/Hotel  First Lien Term Loan
(3M USD TERM SOFR+7.25%), 12.14% Cash, 11/15/2027
  4/27/2020  $23,000,000    22,806,316    22,793,000    6.6%
Sceptre Hospitality Resources, LLC (j)  Hospitality/Hotel  Delayed Draw Term Loan
(3M USD TERM SOFR+7.25%), 12.14% Cash, 11/15/2027
  9/2/2021  $-    -    -    0.0%
      Total Hospitality/Hotel           43,943,239    37,972,116    11.0%

 

19

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Granite Comfort, LP (d)  HVAC Services and Sales  First Lien Term Loan
(3M USD TERM SOFR+7.86%), 12.75% Cash, 11/16/2025
  11/16/2020  $43,000,000    42,694,831    42,570,000    12.3%
Granite Comfort, LP (j)  HVAC Services and Sales  Delayed Draw Term Loan
(3M USD TERM SOFR+7.86%), 12.75% Cash, 11/16/2025
  11/16/2020  $12,000,000    11,894,177    11,880,000    3.4%
      Total HVAC Services and Sales           54,589,008    54,450,000    15.7%
Vector Controls Holding Co., LLC (d)  Industrial Products  First Lien Term Loan
(3M USD LIBOR+6.50%), 11.47% Cash, 3/6/2025
  3/6/2013  $3,089,986    3,089,986    3,089,986    0.9%
Vector Controls Holding Co., LLC (h)  Industrial Products  Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343    -    6,517,923    1.9%
      Total Industrial Products           3,089,986    9,607,909    2.8%
AgencyBloc, LLC  Insurance Software  First Lien Term Loan
(1M USD BSBY+8.00%), 12.58% Cash, 10/1/2026
  10/1/2021  $13,469,318    13,376,121    13,449,114    3.9%
Panther ParentCo LLC (h)  Insurance Software  Class A Units  10/1/2021   2,500,000    2,500,000    3,311,442    1.0%
      Total Insurance Software           15,876,121    16,760,556    4.9%
LogicMonitor, Inc. (d)  IT Services  First Lien Term Loan
(3M USD TERM SOFR+6.50%), 11.39% Cash, 5/17/2026
  3/20/2020  $43,000,000    42,953,087    43,000,000    12.4%
        Total IT Services           42,953,087    43,000,000    12.4%
ActiveProspect, Inc. (d)  Lead Management Software  First Lien Term Loan
(3M USD LIBOR+6.00%), 10.97% Cash, 8/8/2027
  8/8/2022  $12,000,000    11,906,362    12,090,000    3.5%
ActiveProspect, Inc. (j)  Lead Management Software  Delayed Draw Term Loan
(3M USD LIBOR+6.00%), 10.97% Cash, 8/8/2027
  8/8/2022  $-    -    -    0.0%
      Total Lead Management Software           11,906,362    12,090,000    3.5%
Centerbase, LLC  Legal Software  First Lien Term Loan
(1M USD TERM SOFR+7.75%), 12.41% Cash, 1/18/2027
  1/18/2022  $21,247,440    21,055,931    20,699,256    6.0%
      Total Legal Software           21,055,931    20,699,256    6.0%
Madison Logic, Inc. (d)  Marketing Orchestration Software  First Lien Term Loan
(3M USD TERM SOFR+7.00%), 11.89% Cash, 12/30/2028
  12/10/2021  $19,000,000    18,626,777    18,715,000    5.4%
      Total Marketing Orchestration Software           18,626,777    18,715,000    5.4%

 

20

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
ARC Health OpCo LLC (d)  Mental Healthcare Services  First Lien Term Loan
(3M USD TERM SOFR+8.48%), 13.37% Cash, 8/5/2027
  8/5/2022  $6,500,000    6,427,296    6,461,000    1.9%
ARC Health OpCo LLC (d), (j)  Mental Healthcare Services  Delayed Draw Term Loan
(3M USD TERM SOFR+8.48%), 13.37% Cash, 8/5/2027
  8/5/2022  $7,726,978    7,634,711    7,680,616    2.2%
ARC Health OpCo LLC (h)  Mental Healthcare Services  Class A Preferred Shares  8/5/2022   2,808,236    3,035,108    2,780,153    0.8%
      Total Mental Healthcare Services           17,097,115    16,921,769    4.9%
Chronus LLC  Mentoring Software  First Lien Term Loan
(3M USD LIBOR+5.25), 10.22% Cash, 8/26/2026
  8/26/2021  $15,000,000    14,887,780    14,890,500    4.3%
Chronus LLC  Mentoring Software  First Lien Term Loan
(3M USD LIBOR+6.00), 10.97% Cash, 8/26/2026
  8/26/2021  $3,000,000    2,973,634    2,978,100    0.9%
Chronus LLC (h)  Mentoring Software  Series A Preferred Stock  8/26/2021   3,000    3,000,000    3,490,403    1.0%
      Total Mentoring Software           20,861,414    21,359,003    6.2%
Omatic Software, LLC  Non-profit Services  First Lien Term Loan
(3M USD TERM SOFR+8.00%), 14.15% Cash/1.00% PIK, 1/31/2024
  5/29/2018  $13,122,781    13,091,197    13,095,223    3.8%
      Total Non-profit Services           13,091,197    13,095,223    3.8%
Emily Street Enterprises, L.L.C.  Office Supplies  Senior Secured Note
(3M USD TERM SOFR+7.50%), 12.39% Cash, 12/31/2025
  12/28/2012  $6,000,000    5,974,379    5,965,800    1.7%
Emily Street Enterprises, L.L.C. (h)  Office Supplies  Warrant Membership Interests,                          
Expires 12/31/2025
  12/28/2012   49,318    400,000    406,755    0.1%
      Total Office Supplies           6,374,379    6,372,555    1.8%

 

21

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Buildout, Inc.  Real Estate Services  First Lien Term Loan
(3M USD LIBOR+7.00%), 11.97% Cash, 7/9/2025
  7/9/2020  $14,000,000    13,924,435    13,855,800    4.0%
Buildout, Inc.  Real Estate Services  Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 11.97% Cash, 7/9/2025
  2/12/2021  $38,500,000    38,257,589    38,103,450    11.0%
Buildout, Inc. (h), (i)  Real Estate Services  Limited Partner Interests  7/9/2020   1,250    1,372,557    1,447,219    0.4%
      Total Real Estate Services           53,554,581    53,406,469    15.4%
Archimedes Parent LLC (h)  Research Software  Class A Common Units  6/27/2022   1,125,160    1,125,160    1,136,503    0.3%
Wellspring Worldwide Inc.  Research Software  First Lien Term Loan
(1M USD BSBY+7.25%), 11.83% Cash, 6/27/2027
  6/27/2022  $9,600,000    9,503,123    9,540,480    2.7%
      Total Research Software           10,628,283    10,676,983    3.0%
LFR Chicken LLC  Restaurant  First Lien Term Loan
(1M USD LIBOR+7.00%), 11.67% Cash, 11/19/2026
  11/19/2021  $12,000,000    11,906,864    11,866,800    3.4%
LFR Chicken LLC (j)  Restaurant  Delayed Draw Term Loan
(1M USD LIBOR+7.00%), 11.67% Cash, 11/19/2026
  11/19/2021  $9,000,000    8,927,326    8,900,100    2.6%
LFR Chicken LLC (h)  Restaurant  Series B Preferred Units  11/19/2021   497,183    1,000,000    1,177,373    0.3%
TMAC Acquisition Co., LLC  Restaurant  Unsecured Term Loan
8.00% PIK, 3/1/2024
  3/1/2018  $3,217,657    3,217,657    2,881,888    0.8%
      Total Restaurant           25,051,847    24,826,161    7.1%
Pepper Palace, Inc. (d)  Specialty Food Retailer  First Lien Term Loan
(3M USD LIBOR+6.25%), 11.22% Cash, 6/30/2026
  6/30/2021  $33,490,000    33,255,863    24,410,861    7.0%
Pepper Palace, Inc. (j)  Specialty Food Retailer  Delayed Draw Term Loan
(3M USD LIBOR+6.25%), 11.22% Cash, 6/30/2026
  6/30/2021  $-    -    -    0.0%
Pepper Palace, Inc. (j)  Specialty Food Retailer  Revolving Credit Facility
(3M USD LIBOR+6.25%), 11.22% Cash, 6/30/2026
  6/30/2021  $-    -    -    0.0%
Pepper Palace, Inc. (h)  Specialty Food Retailer  Membership Interest  6/30/2021   1,000,000    1,000,000    -    0.0%
      Total Specialty Food Retailer           34,255,863    24,410,861    7.0%

 

22

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
ArbiterSports, LLC (d)  Sports Management  First Lien Term Loan
(3M USD LIBOR+6.50%), 11.47% Cash, 2/21/2025
  2/21/2020  $26,000,000    25,894,505    25,721,800    7.4%
ArbiterSports, LLC  Sports Management  Delayed Draw Term Loan
(3M USD LIBOR+6.50%), 11.47% Cash, 2/21/2025
  2/21/2020  $1,000,000    1,000,000    989,300    0.3%
      Total Sports Management           26,894,505    26,711,100    7.7%
Avionte Holdings, LLC (h)  Staffing Services  Class A Units  1/8/2014   100,000    100,000    2,079,325    0.6%
      Total Staffing Services           100,000    2,079,325    0.6%
JDXpert  Talent Acquisition Software  First Lien Term Loan
(3M USD LIBOR+8.50%), 13.47% Cash, 5/2/2027
  5/2/2022  $6,000,000    5,947,780    6,045,000    1.7%
JDXpert (j)  Talent Acquisition Software  Delayed Draw Term Loan
(3M USD LIBOR+8.50%), 13.47% Cash, 5/2/2027
  5/2/2022  $-    -    -    0.0%
Jobvite, Inc. (d)  Talent Acquisition Software  First Lien Term Loan
(3M USD TERM SOFR+8.00%), 12.89% Cash, 8/5/2028
  8/5/2022  $20,000,000    19,857,613    19,954,000    5.8%
      Total Talent Acquisition Software           25,805,393    25,999,000    7.5%
Sub Total Non-control/Non-affiliate investments                 819,966,208    828,028,800    238.6%
Affiliate investments - 8.1% (b)                             
ETU Holdings, Inc. (f)  Corporate Education Software  First Lien Term Loan
(3M USD LIBOR+9.00%), 13.97% Cash, 8/18/2027
  8/18/2022  $7,000,000    6,935,556    7,006,300    2.0%
ETU Holdings, Inc. (f)  Corporate Education Software  Second Lien Term Loan
15.00% PIK, 2/18/2028
  8/18/2022  $5,282,563    5,235,433    5,175,327    1.5%
ETU Holdings, Inc. (f), (h)  Corporate Education Software  Series A-1 Preferred Stock  8/18/2022   3,000,000    3,000,000    3,072,504    0.9%
      Total Corporate Education Software           15,170,989    15,254,131    4.4%

 

23

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Axero Holdings, LLC (f)  Employee Collaboration Software  First Lien Term Loan
(3M USD TERM SOFR+8.00%), 13.04% Cash, 6/30/2026
  6/30/2021  $5,500,000    5,460,448    5,513,200    1.6%
Axero Holdings, LLC (f)  Employee Collaboration Software  Delayed Draw Term Loan
(3M USD TERM SOFR+8.00%), 13.04% Cash, 6/30/2026
  6/30/2021  $1,100,000    1,090,883    1,102,640    0.3%
Axero Holdings, LLC (f), (j)  Employee Collaboration Software  Revolving Credit Facility
(3M USD TERM SOFR+8.00%), 13.04% Cash, 6/30/2026
  2/3/2022  $-    -    -    0.0%
Axero Holdings, LLC (f), (h)  Employee Collaboration Software  Series A Preferred Units  6/30/2021   2,000,000    2,000,000    2,498,000    0.7%
Axero Holdings, LLC (f), (h)  Employee Collaboration Software  Series B Preferred Units  6/30/2021   2,000,000    2,000,000    3,937,900    1.1%
      Total Employee Collaboration Software           10,551,331    13,051,740    3.7%
Sub Total Affiliate investments                 25,722,320    28,305,871    8.1%
Control investments - 33.6% (b)                             
Netreo Holdings, LLC (g)  IT Services  First Lien Term Loan
(3M USD LIBOR +6.50%), 13.47% Cash/2.00% PIK
12/31/2025
  7/3/2018  $5,539,029    5,522,608    5,443,757    1.6%
Netreo Holdings, LLC (d), (g)  IT Services  Delayed Draw Term Loan
(3M USD LIBOR +6.50%), 13.47% Cash/2.00% PIK,
12/31/2025
  5/26/2020  $22,111,008    22,019,877    21,730,699    6.3%
Netreo Holdings, LLC (g), (h)  IT Services  Common Stock Class A Unit  7/3/2018   4,600,677    8,344,500    16,992,742    4.9%
      Total IT Services           35,886,985    44,167,198    12.8%
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)  Structured Finance Securities  Other/Structured Finance Securities
0.00%, 4/20/2033
  1/22/2008  $111,000,000    28,943,904    21,176,578    6.1%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a), (g)  Structured Finance Securities  Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 14.97%, 4/20/2033
  8/9/2021  $9,375,000    9,375,000    8,831,406    2.5%

 

24

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original Acquisition Date  Principal/
Number of Shares
   Cost   Fair Value (c)   % of
Net Assets
 
Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note (a), (g)  Structured Finance Securities  Other/Structured Finance Securities
(3M USD TERM SOFR+8.55%), 13.44%, 10/20/2033
  10/28/2022  $12,250,000    11,392,500    11,354,495    3.3%
      Total Structured Finance Securities           49,711,404    41,362,479    11.9%
Saratoga Senior Loan Fund I JV, LLC (a), (g), (j)  Investment Fund  Unsecured Loan
10.00%, 6/15/2023
  2/17/2022  $17,618,954    17,618,954    17,618,954    5.1%
Saratoga Senior Loan Fund I JV, LLC (a), (g), (h)  Investment Fund  Membership Interest  2/17/2022   17,583,486    17,583,486    13,106,951    3.8%
      Total Investment Fund           35,202,440    30,725,905    8.9%
Sub Total Control investments                 120,800,829    116,255,582    33.6%
TOTAL INVESTMENTS - 280.3% (b)                $966,489,357   $972,590,253    280.3%

  

   Number of
Shares
   Cost   Fair Value   % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 27.7% (b)                    
U.S. Bank Money Market (l)   96,076,273   $96,076,273   $96,076,273    27.7%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts   96,076,273   $96,076,273   $96,076,273    27.7%

 

(1)Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and are restricted securities.
(a)Represents an investment that is not a “qualifying asset” under Section 55(a) of the Investment Company Act of 1940, as amended (the 1940 Act”). As of February 28, 2023, non-qualifying assets represent 8.6% of the Company’s portfolio at fair value. As a BDC, the Company generally has to invest at least 70% of its total assets in qualifying assets.
(b)Percentages are based on net assets of $346,958,042 as of February 28, 2023.
(c)Because there is no “readily available market quotations” (as defined in the 1940 Act) for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).
(d)These securities are either fully or partially pledged as collateral under the Company’s senior secured revolving credit facility (see Note 8 to the consolidated financial statements).
(e)This investment does not have a stated interest rate that is payable thereon. As a result, the 0.00% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f)As defined in the 1940 Act, this portfolio company is an “affiliate” as we own between 5.0% and 25.0% of the outstanding voting securities. Artemis Wax Corp. is no longer an affiliate as of February 28, 2023. Transactions during the nine monthsyear ended February 28, 2023 in which the issuer was an affiliate are as follows:

 

Company  Purchases   Sales   Total Interest
from Investments
   Management
Fee Income
   Net Realized
Gain (Loss)
from Investments
   Net Change
in Unrealized
Appreciation
(Depreciation)
 
Artemis Wax Corp  $27,440,000   $6,162,526   $3,418,378   $
                -
   $
                 -
   $(1,460,287)
Axero Holdings, LLC   1,089,000    
-
    848,422    
-
    
-
    1,951,499 
ETU Holdings, Inc.   14,880,000    
-
    923,437    
-
    
-
    83,142 
Total  $43,409,000   $6,162,526   $5,190,237   $
-
   $
-
   $574,354 

 

25

 

 

(g)As defined in the 1940 Act, we “control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 28, 2023 in which the issuer was both an affiliate and a portfolio company that we control are as follows:

 

Company  Purchases   Sales   Total Interest
from Investments
   Management
Fee Income
   Net Realized
Gain (Loss)
from Investments
   Net Change
in Unrealized
Appreciation
(Depreciation)
 
Netreo Holdings, LLC  $8,290,000   $
          -
   $2,529,483   $
-
   $
            -
   $(2,363,302)
Saratoga Investment Corp. CLO 2013-1, Ltd.   
-
    
-
    1,228,486    3,269,820    
-
    (4,149,106)
Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note   11,392,500    
-
    552,330    
-
    
-
    (38,005)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note   
-
    
-
    1,195,662    
-
    
-
    (543,594)
Saratoga Senior Loan Fund I JV, LLC   4,493,954    
-
    1,483,522    
-
    
-
    
-
 
Saratoga Senior Loan Fund I JV, LLC   4,458,486    
-
    
-
    
-
    
-
    (3,367,599)
Total  $28,634,940   $
-
   $6,989,483   $3,269,820   $
-
   $(10,461,606)

 

(h)Non-income producing at February 28, 2023.
(i)Includes securities issued by an affiliate of the company.
(j)All or a portion of this investment has an unfunded commitment as of February 28, 2023. (See Note 9 to the consolidated financial statements).
(k)As of February 28, 2023, the investment was on non-accrual status. The fair value of these investments was approximately $9.8 million, which represented 2.8% of the Company’s portfolio (see Note 2 to the consolidated financial statements).
(l)Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of February 28, 2023.

 

BSBY - Bloomberg Short-Term Bank Yield

LIBOR - London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

 

1M USD BSBY - The 1 month USD BSBY rate as of February 28, 2023 was 4.58%.

3M USD BSBY - The 3 month USD BSBY rate as of February 28, 2023 was 4.87%.

1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2023 was 4.67%.

3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2023 was 4.97%.

1M USD TERM SOFR - The 1 month USD TERM SOFR rate as of February 28, 2023 was 4.66%

3M USD TERM SOFR - The 3 month USD TERM SOFR rate as of February 28, 2023 was 4.89%

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

 

See accompanying notes to consolidated financial statements.

 

26

 

 

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2023

(unaudited)

 

Note 1. Organization

 

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-diversified closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed the initial public offering (“IPO”) on March 28, 2007. The Company has elected, and intends to qualify annually, to be treated for U.S. federal income tax purposes as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s investment objective is to generate current income and, to a lesser extent, capital appreciation from its investments.

 

GSC Investment, LLC (the “LLC”) was organized in May 2006 as a Maryland limited liability company. On March 21, 2007, the Company was incorporated and concurrently therewith the LLC was merged with and into the Company, with the Company as the surviving entity, in accordance with the procedure for such merger in the LLC’s limited liability company agreement and Maryland law. In connection with such merger, each outstanding limited liability company interest of the LLC was converted into a share of common stock of the Company.

 

On July 30, 2010, the Company changed its name from “GSC Investment Corp.” to “Saratoga Investment Corp.” in connection with the consummation of a recapitalization transaction.

 

The Company is externally managed and advised by the investment adviser, Saratoga Investment Advisors, LLC (the “Manager” or “Saratoga Investment Advisors”), pursuant to an investment advisory and management agreement (the “Management Agreement”).

 

The Company has established wholly owned subsidiaries, SIA-AAP, Inc., SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-G4, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-MDP, Inc., SIA-PP Inc., SIA-SZ, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc., which are structured as Delaware entities that are treated as corporations for U.S. federal income tax purposes and are intended to facilitate its compliance with the requirements to be treated as a RIC under the Code by holding equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). These entities are consolidated for accounting purposes, but are not consolidated for U.S. federal income tax purposes and may incur U.S. federal income tax expenses as a result of their ownership of portfolio companies. In February 2022, SIA-GH, Inc., SIA-TT Inc. and SIA-VR, Inc. received an approved plan of liquidation following the sale of equity held by each of the portfolio companies.

 

Our wholly owned subsidiaries, Saratoga Investment Corp. SBIC LP (“SBIC LP”), Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), and Saratoga Investment Corp. SBIC III LP (“SBIC III LP”, and together with SBIC LP and SBIC II LP, the “SBIC Subsidiaries”), received SBIC licenses from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022, respectively. SBIC LP’s license provided up to $150.0 million in additional long-term capital in the form of SBA debentures, while SBIC II LP’s and SBIC III LP’s SBIC licenses each provide up to $175.0 million. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital. With all debentures repaid to the SBA, SBIC LP’s license was surrendered on January 3, 2024, providing the Company access to all undistributed capital of SBIC LP.

 

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The Company has formed a wholly owned special purpose entity, Saratoga Investment Funding II LLC (“SIF II”), a Delaware limited liability company, for the purpose of entering into the senior secured revolving credit facility with Encina Lender Finance, LLC (the “Lender”), supported by loans held by SIF II and pledged to the Lender under the credit facility (the “Encina Credit Facility”).

 

On October 26, 2021, the Company and TJHA JV I LLC (“TJHA”) entered into a Limited Liability Company Agreement to co-manage Saratoga Senior Loan Fund I JV LLC (“SLF JV”). SLF JV is under joint control and is not consolidated. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1 Ltd. (“SLF 2022”), which is a wholly owned subsidiary of SLF JV. SLF 2022 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets. On October 28, 2022, SLF 2022 issued $402.1 million of debt (the “2022 JV CLO Notes”) through a collateralized loan obligation trust (the “JV CLO trust”). The 2022 JV CLO Notes were issued pursuant to an indenture, dated October 28, 2022 (the “JV Indenture”), with U.S. Bank Trust Company, National Association (as successor in interest to U.S. Bank National Association) (the “Trustee”) servicing as the trustee.

 

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 wholly owned special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SIF II, SBIC LP, SBIC II LP, SBIC III LP, SIA-AAP, Inc., SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-G4, Inc., SIA-GH, Inc., SIA-MDP, Inc., SIA-MAC, Inc., SIA-PP, Inc., SIA-SZ, Inc., SIA-TG, Inc., SIA-TT Inc., SIA-Vector, Inc. and SIA-VR, Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.

 

The Company, SBIC LP, SBIC II LP, and SBIC III LP are all considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies (“ASC 946”). There have been no changes to the Company, SBIC LP, SBIC II LP, or SBIC III LP’s status as investment companies during the nine months ended November 30, 2023.

 

Principles of Consolidation

 

Under the investment company rules and regulations pursuant to ASC 946, the Company is precluded from consolidating any entity other than another investment company or controlled operating company whose business consists of providing services to the Company.  As a result, the consolidated financial statements of the Company include only the accounts of the Company and its wholly owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation.

 

The Company has determined that SLF JV is an investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, ASC 810 concludes that in a joint venture where both members have equal decision making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, the Company does not consolidate its investment in SLF JV.

 

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.

 

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Cash and Cash Equivalents

 

Cash and cash equivalents include short-term, liquid investments in a money market fund. The Company places its cash in financial institutions and, at times, such balances may be in excess of the Federal Deposit Insurance Corporation insurance limits. Cash and cash equivalents are carried at cost which approximates fair value. Pursuant to Section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another investment company, such as a money market fund, if such investment would cause the Company to:

 

  own more than 3.0% of the investment company’s total outstanding voting stock;

 

  hold securities in the investment company having an aggregate value in excess of 5.0% of the value of the Company’s total assets; or

 

  hold securities in investment companies having an aggregate value in excess of 10.0% of the value of the Company’s total assets.

 

As of November 30, 2023, 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, and, at times, such balances may be in excess of the Federal Deposit Insurance Corporation insurance limits, representing payments received on secured investments or other reserved amounts associated with the Encina Credit Facility held by the Company’s wholly owned subsidiary, SIF II. 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 Encina 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 the Company’s wholly owned subsidiaries, SBIC LP, SBIC II LP and SBIC III LP.

 

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

 

The following table provides a reconciliation of cash and cash equivalents and cash and cash equivalents, reserve accounts reported within the consolidated statements of assets and liabilities that sum to the total of the same such amounts shown in the consolidated statements of cash flows:

 

   November 30,
2023
   February 28,
2023
 
Cash and cash equivalents  $21,386,880   $65,746,494 
Cash and cash equivalents, reserve accounts   25,639,619    30,329,779 
Total cash and cash equivalents and cash and cash equivalents, reserve accounts  $47,026,499   $96,076,273 

 

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 the Company owns more than 25.0% of the voting securities or maintains 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 the Company owns between 5.0% and 25.0% of the voting securities. Under the 1940 Act, “non-affiliated investments” are defined as investments that are neither control investments nor affiliated investments.

 

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Investment Valuation

 

The Company accounts for its investments at fair value in accordance with the FASB ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Company to assume that its investments are to be sold or its liabilities are to be transferred at the measurement date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.

 

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by the Company’s board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. The Company values investments for which market quotations are not readily available at fair value as approved, in good faith, by the Company’s board of directors based on input from the Manager, the audit committee of the board of directors and a third-party independent valuation firm.

 

The Company undertakes a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:

 

  Each investment is initially valued by the responsible investment professionals of the Manager and preliminary valuation conclusions are documented, reviewed and discussed with our senior management; and

 

  An independent valuation firm engaged by the Company’s 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. The Company uses a third-party independent valuation firm to value its investment in the subordinated notes of Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”), the Class F-2-R-3 Notes of the Saratoga CLO, and the Class E Notes of the SLF 2022 every quarter.

 

In addition, all investments are subject to the following valuation process:

 

  The audit committee of the Company’s board of directors reviews and approves each preliminary valuation and the Manager and independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and

 

  The Company’s board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of the Manager, independent valuation firm (to the extent applicable) and the audit committee of the board of directors.

 

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

 

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The Company’s investments in the subordinated notes of Saratoga CLO, Class F-2-R-3 Notes of the Saratoga CLO and the Class E Notes of SLF 2022 are carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds, when available, as determined by the Manager and recommended to the Company’s board of directors. Specifically, the Company uses Intex cash flows, or an appropriate substitute, to form the basis for the valuation of its investment in the subordinated notes of Saratoga CLO, Class F-2-R-3 Notes of the Saratoga CLO and the Class E Notes of SLF 2022. The inputs are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine the valuation for our investment in Saratoga CLO. 

 

The Company’s equity investment in SLF JV is measured using the proportionate share of the net asset value (“NAV”), or equivalent, of SLF JV as a practical expedient for fair value, provided by ASC 820.

 

Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. The Company’s NAV could be materially affected if the determinations regarding the fair value of its investments were materially higher or lower than the values that the Company ultimately realizes upon the disposal of such investments.

 

Rule 2a-5 under the 1940 Act (“Rule 2a-5”) establishes a regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits boards of directors, subject to board oversight and certain other conditions, to designate the investment adviser to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must determine the fair value of a security. Rule 31a-4 under the 1940 Act (“Rule 31a-4”) provides for certain recordkeeping requirements associated with fair value determinations. Finally, the Securities and Exchange Commission (the “SEC”) rescinded previously issued guidance on related issues, including the role of the board in determining fair value and the accounting and auditing of fund investments. While the Company’s board of directors has not elected to designate Saratoga Investment Advisors as the valuation designee, the Company has established policies and procedures in compliance with the applicable requirements of Rule 2a-5 and Rule 31a-4.

 

Derivative Financial Instruments

 

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

 

Investment Transactions and Income Recognition

 

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

 

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. At November 30, 2023, our investment in three portfolio companies were on non-accrual status with a fair value of approximately $29.2 million, or 2.6% of the fair value of our portfolio. At February 28, 2023, our investment in one portfolio company was on non-accrual status with a fair value of approximately $9.8 million, or 1.0% of the fair value of our portfolio.

 

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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, based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/or re-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

 

Payment-in-Kind Interest

 

The Company holds debt and preferred equity investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on an accrual basis to the extent such amounts are expected to be collected. The Company stops accruing PIK interest if it is expected that the issuer will not be able to pay all principal and interest when due. The Company restores to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection.

 

Dividend Income

 

Dividend income is recorded in the consolidated statements of operations when earned.

 

Structuring and Advisory Fee Income

 

Structuring and advisory fee income represents various fee income earned and received for performing certain investment structuring and advisory activities during the closing of new investments.

 

Other Income

 

Other income includes prepayment income fees, and monitoring, administration, redemption and amendment fees and is recorded in the consolidated statements of operations when earned.

 

Deferred Debt Financing Costs

 

Financing costs incurred in connection with our credit facility and notes are deferred and amortized using the straight-line method over the life of the respective facility and debt securities. Financing costs incurred in connection with the SBA debentures of SBIC LP, SBIC II LP, and SBIC III LP are deferred and amortized using the straight-line method over the life of the debentures. Any discount or premium on the issuance of any debt is accreted and amortized using the effective interest method over the life of the respective debt security.

 

The Company presents deferred debt financing costs on the balance sheet as a contra-liability, which is a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.

 

Realized Loss on Extinguishment of Debt 

 

Upon the repayment of debt obligations that are deemed to be extinguishments, the difference between the principal amount due at maturity adjusted for any unamortized debt issuance costs is recognized as a loss (i.e., the unamortized debt issuance costs are recognized as a loss upon extinguishment of the underlying debt obligation).

 

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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 reasonably believes that the likelihood of such an event is remote. Therefore, the Company has not accrued any liabilities in connection with such indemnifications.

 

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

 

Income Taxes

 

The Company has elected, and intends to qualify annually, to be treated for U.S. federal income tax purposes as a RIC under Subchapter M of the Code. By meeting these requirements, the Company will not be subject to U.S. federal income tax on ordinary income or capital gains timely distributed to stockholders. Therefore, no provision has been recorded for federal income taxes, except as related to the Taxable Blockers (as defined below) and long-term capital gains, when applicable.

 

In order to qualify as a RIC, among other requirements, the Company generally is required to timely distribute to its stockholders at least 90% of its “investment company taxable income”, as defined by the Code, for each fiscal tax year. The Company will be subject to U.S. federal income tax at corporate rates on its investment company taxable income and net capital gains that it does not timely distribute to shareholders. The Company will be subject to a nondeductible U.S. federal excise tax of 4% on undistributed income if it does not distribute at least (1) 98% of its net ordinary income in any calendar year, (2) 98.2% of its capital gain net income for each one-year period ending on October 31and (3) any net ordinary income and capital gain net income that it recognized for preceding years, but were not distributed during such year, and on which the Company paid no U.S federal income tax.

 

Depending on the level of investment company taxable income earned in a tax year and the amount of net capital gains recognized in such tax year, the Company may choose to carry forward investment company taxable income and net capital gains in excess of current year dividend distributions into the next tax year and pay U.S. federal income tax, and possibly the 4.0% U.S. federal excise tax on such income, as required. To the extent that the Company determines that its estimated current year annual investment company taxable income will be in excess of estimated current year dividend distributions for U.S. federal excise tax purposes, the Company accrues the U.S. federal excise tax, if any, on estimated excess taxable income as taxable income is earned.

 

In accordance with U.S. Treasury regulations and published guidance issued by the Internal Revenue Service (“IRS”), a publicly offered RIC may treat a distribution of its own stock as counting toward its RIC distribution requirements if each stockholder may elect to receive his, her, or its entire distribution in either cash or stock of the RIC. This published guidance indicates that the rule will apply where the aggregate amount of cash to be distributed to all stockholders is not at least 20.0% of the aggregate declared distribution. Under the published guidance, if too many stockholders elect to receive cash, the cash available for distribution must be allocated among the stockholders electing to receive cash (with the balance of the distribution paid in stock). In no event will any stockholder, electing to receive cash, receive less than 20.0% of his or her entire distribution in cash. If these and certain other requirements are met, for U.S. federal income tax purposes, the amount of the dividend paid in stock will be equal to the amount of cash that could have been received instead of stock.

 

The Company may utilize wholly owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet its source-of-income requirements as a RIC (“Taxable Blockers”). Taxable Blockers are consolidated in the Company’s U.S. GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likely than-not that some portion or all of the deferred tax assets will not be realized.

 

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FASB ASC Topic 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2023, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2020, 2021, 2022 and 2023 federal tax years for the Company remain subject to examination by the IRS. At November 30, 2023, and February 28, 2023, 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 some or all of our net capital gains for reinvestment.

 

We have adopted a dividend reinvestment plan (“DRIP”) that provides for reinvestment of our dividend distributions on behalf of our stockholders unless a stockholder elects to receive cash. As a result, if our board of directors authorizes, and we declare, a cash dividend, then our stockholders who have not “opted out” of the DRIP by the dividend record date will have their cash dividends automatically reinvested into additional shares of our common stock, rather than receiving the cash dividends. We have the option to satisfy the share requirements of the DRIP through the issuance of new shares of common stock or through open market purchases of common stock by the DRIP plan administrator.

 

Capital Gains Incentive Fee

 

The Company records an expense accrual on the consolidated statements of operations relating to the capital gains incentive fee payable to the Manager, as recorded on the consolidated statements of assets and liabilities when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments, as a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time.

 

The actual incentive fee payable to the Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and only reflect those realized capital gains net of realized and unrealized losses for the period.

 

Recent Accounting Pronouncements

 

In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (Topic 820) (“ASU 2022-03”), which clarifies that a contractual sale restriction prohibiting the sale of an equity security is a characteristic of the reporting entity holding the equity security and is not included in the equity security’s unit of account. Accordingly, an entity should not consider the contractual sale restriction when measuring the equity security’s fair value. In addition, ASU 2022-03 prohibits an entity from recognizing a contractual sale restriction as a separate unit of account. ASU 2022-03 amendments are effective for fiscal years beginning after December 15, 2023, with early adoption permitted. The Company is currently evaluating the impact of the adoption of ASU 2022-03 on its consolidated financial statements.

 

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In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) to provide optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 established Topic 848 to provide relief during the temporary transition period and includes a sunset provision based on expectations of when the London Interbank Offered Rate (“LIBOR”) would cease being published. With the adoption of ASU 2020-04, there was no significant impact to the Company’s financial position.

 

Risk Management

 

In the ordinary course of its business, the Company manages a variety of risks, including market and credit risk. Market risk is the risk of potential adverse changes to the value of investments because of changes in market conditions such as interest rate movements and volatility in investment prices.

 

Credit risk is the risk of default or non-performance by portfolio companies, equivalent to the investment’s carrying amount. The Company is also exposed to credit risk related to maintaining all of its cash and cash equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.

 

The Company has investments in lower rated and comparable quality unrated high yield bonds and bank loans. Investments in high yield investments are accompanied by a greater degree of credit risk. The risk of loss due to default by the issuer is significantly greater for holders of high yield securities, because such investments are generally unsecured and are often subordinated to other creditors of the issuer.

 

Note 3. Investments

 

As noted above, the Company values all investments in accordance with ASC 820. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between independent market participants at the measurement date.

 

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

 

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

 

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

 

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

 

  Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation technique. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

35

 

 

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, the Company evaluates the source of inputs, including any markets in which its investments are trading, in determining fair value.

 

The following table presents fair value measurements of investments, by major class, as of November 30, 2023 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements   Valued Using
Net Asset
     
   Level 1   Level 2   Level 3   Value*   Total 
First lien term loans  $
              -
   $
         -
   $959,892   $
      -
   $959,892 
Second lien term loans   
-
    
-
    14,873    
-
    14,873 
Unsecured term loans   
-
    
-
    17,619    
-
    17,619 
Structured finance securities   
-
    
-
    29,387    
-
    29,387 
Equity interests   
-
    
-
    84,476    7,792    92,268 
Total  $
-
   $
-
   $1,106,247   $7,792   $1,114,039 

 

*The Company's equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy.

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2023 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements   Valued Using
Net Asset
     
   Level 1   Level 2   Level 3   Value*   Total 
First lien term loans  $
         -
   $
          -
   $798,534   $
-
   $798,534 
Second lien term loans   
-
    
-
    14,936    
-
    14,936 
Unsecured term loans   
-
    
-
    20,661    
-
    20,661 
Structured finance securities   
-
    
-
    41,362    
-
    41,362 
Equity interests   
-
    
-
    83,990    13,107    97,097 
Total  $
-
   $
-
   $959,483   $13,107   $972,590 

 

*The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2023 (dollars in thousands):

 

   First lien
term loans
   Second lien
term loans
   Unsecured
term loans
   Structured
finance
securities
   Equity
interests
   Total 
Balance as of February 28, 2023  $798,534   $14,936   $20,661   $41,362   $83,990   $959,483 
Payment-in-kind and other adjustments to cost   1,147    624    
-
    (5,531)   (293)   (4,053)
Net accretion of discount on investments   1,637    4    
-
    
-
    
-
    1,641 
Net change in unrealized appreciation (depreciation) on investments   (20,102)   (691)   341    (6,444)   (7,715)   (34,611)
Purchases   194,541    
-
    
-
    
-
    8,343    202,884 
Sales and repayments   (15,865)   
-
    (3,383)   
-
    
-
    (19,248)
Net realized gain (loss) from investments   
-
    
-
    
-
    
-
    151    151 
Balance as of November 30, 2023  $959,892   $14,873   $17,619   $29,387   $84,476   $1,106,247 
Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period  $(20,033)  $(691)  $(5)  $(6,444)  $(7,792)  $(34,965)

 

36

 

 

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

 

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

 

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2023.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2022 (dollars in thousands):

 

   First lien
term loans
   Second lien
term loans
   Unsecured
term loans
   Structured
finance
securities
   Equity
interests
   Total 
Balance as of February 28, 2022  $631,572   $44,386   $15,931   $38,030   $75,632   $805,551 
Payment-in-kind and other adjustments to cost   244    90    
-
    (2,159)   451    (1,374)
Net accretion of discount on investments   1,262    (17)   
-
    
-
    
-
    1,245 
Net change in unrealized appreciation (depreciation) on investments   (12,049)   (663)   10    (8,219)   2,467    (18,454)
Purchases   309,022    4,950    4,494    11,393    10,606    340,465 
Sales and repayments   (125,972)   (24,966)   
-
    (145)   (11,009)   (162,092)
Net realized gain (loss) from investments   163    
-
    
-
    
-
    7,203    7,366 
Balance as of November 30, 2022  $804,242   $23,780   $20,435   $38,900   $85,350   $972,707 
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the period  $(12,318)  $(705)  $10   $(8,219)  $15,042   $(6,190)

 

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2022.

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2023 were as follows (dollars in thousands):

 

   Fair Value   Valuation Technique  Unobservable Input  Range  Weighted Average* 
First lien term loans  $959,892   Market Comparables  Market Yield (%)  11.1% - 23.1%   13.2%
           Revenue Multiples (x)  0.3x - 5.2x   3.8x
           EBITDA Multiples (x)  5.0x – 15.0x   13.7x
Second lien term loans   14,873   Market Comparables  Market Yield (%)  18.9% - 71.8%   53.2%
           Revenue Multiples (x)  14.8x - 14.8x   14.8x
Unsecured term loans   17,619   Collateral Value Coverage  Net Asset Value  100.0%   100.0%
Structured finance securities   29,387   Discounted Cash Flow  Discount Rate (%)  12.0% - 22.0%   15.8%
           Recovery Rate (%)  35.0% - 70.0%   70.0%
           Prepayment Rate (%)  20.0%   20.0%
Equity interests   84,476   Enterprise Value Waterfall  Revenue Multiples (x)  1.3x - 10.9x   6.4x
           EBITDA Multiples (x)  0.3x - 28.6x   11.7x
Total  $1,106,247               

 

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

 

37

 

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2023 were as follows (dollars in thousands):

 

   Fair Value   Valuation Technique  Unobservable Input  Range  Weighted Average* 
First lien term loans  $
798,534
   Market Comparables  Market Yield (%)  10.5%  - 23.1%   12.8%
           Revenue Multiples (x)  4.1x   4.1x
           EBITDA Multiples (x)  8.0x   8.0x
Second lien term loans   14,936   Market Comparables  Market Yield (%)  15.6% - 61.8%   45.8%
Unsecured term loans   20,661   Market Comparables  Market Yield (%)  10.0% - 28.8%   12.6%
        Market Comparables  Market Quote (%)  100.0%   100.0%
        Collateral Valuae Coverage  Net Asset Value (%)  100.0%   100.0%
Structured finance securities   41,362   Discounted Cash Flow  Discount Rate (%)  12.0% - 22.0%   17.6%
           Recovery Rate (%)  35.0% - 70.0%   70.0%
           Prepayment Rate (%)  20.0%   20.0%
Equity interests   83,990   Enterprise Value Waterfall  EBITDA Multiples (x)  5.5x - 28.6x   11.0x
           Revenue Multiples (x)  1.3x - 11.2x   6.4x
Total  $
959,483
               

 

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

 

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

 

The composition of our investments as of November 30, 2023 at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized Cost
   Amortized Cost
Percentage of
Total Portfolio
   Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
 
First lien term loans  $989,922    86.3%  $959,892    86.2%
Second lien term loans   21,743    1.9    14,873    1.3 
Unsecured term loans   17,619    1.5    17,619    1.6 
Structured finance securities   44,180    3.8    29,387    2.6 
Equity interests   74,400    6.5    92,268    8.3 
Total  $1,147,864    100.0%  $1,114,039    100.0%

 

The composition of our investments as of February 28, 2023 at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized
Cost
   Amortized Cost
Percentage of
Total Portfolio
   Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
 
First lien term loans  $808,464    83.7%  $798,534    82.1%
Second lien term loans   21,114    2.2    14,936    1.5 
Unsecured term loans   21,001    2.2    20,661    2.1 
Structured finance securities   49,711    5.1    41,362    4.3 
Equity interests   66,199    6.8    97,097    10.0 
Total  $966,489    100.0%  $972,590    100.0%

 

38

 

 

For loans and debt securities for which market quotations are not readily available, the Company determines their fair value based on third party indicative broker quotes, where available, or the inputs that a hypothetical market participant would use to value the security in a current hypothetical sale using a market comparables valuation technique. In applying the market comparables valuation technique, the Company determines the fair value based on such factors as market participant inputs including synthetic credit ratings, estimated remaining life, current market yield and interest rate spreads of similar securities as of the measurement date. If, in the Company’s judgment, the market comparables technique is not sufficient or appropriate, the Company may use additional techniques such as an asset liquidation or expected recovery model.

 

For equity securities of portfolio companies and partnership interests, the Company determines the fair value using an enterprise value waterfall valuation technique. Under the enterprise value waterfall valuation technique, the Company determines the enterprise fair value of the portfolio company and then waterfalls the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, the Company weighs some or all of the traditional market valuation techniques and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The techniques for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, the Company may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. The Company also takes into account historical and anticipated financial results.

  

The Company’s investments in Saratoga CLO and SLF 2022 are carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO and SLF 2022, when available, as determined by the Manager and recommended to the Company’s board of directors. Specifically, the Company uses Intex cash flows, or an appropriate substitute, to form the basis for the valuation of the investment in Saratoga CLO and SLF 2022. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs are based on available market data and projections provided by third parties as well as management estimates. The Company ran Intex models based on inputs about the refinanced Saratoga CLO’s structure and the SLF 2022 structure, including capital structure, cost of liabilities and reinvestment period. 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 investments in Saratoga CLO and SLF 2022 at November 30, 2023. The inputs at November 30, 2023 for the valuation model include:

 

  Default rate: 2.0%

 

  Recovery rate: 35%-70%

 

  Discount rate: 12.0%-22.0%

 

  Prepayment rate: 20.0%

 

  Reinvestment rate / price: $98.00 for six months; then L+365bps / $99.00

 

39

 

 

The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV of SLF JV, or equivalent, as practical expedient.

 

Investment Concentration

 

Set forth is a brief description of each portfolio company in which the fair value of the Company’s investment represents greater than 5% of the Company’s total assets as of November 30, 2023, excluding Saratoga CLO, SLF JV and SLF 2022 (see Note 4 and Note 5 for more information on Saratoga CLO, SLF JV and SLF 2022, respectively).

 

HemaTerra Holdings Company, LLC

 

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

 

Artemis Wax Corp.

 

Artemis Wax Corporation is a U.S. based retail aggregator of European Wax Center (“EWC”) franchise locations with a concentration in the northeast. Founded in 2004, EWC is the largest U.S. body waxing national chain with more than 800 locations across the country.

 

Granite Comfort, LP

 

Granite Comfort, LP is a U.S. based heating, ventilation and air conditioning (“HVAC”) company. The company provides traditional service and replacement of HVAC / plumbing systems, as well as a rental model that is in the early stages of implementation.

 

Note 4. Investment in Saratoga CLO

 

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

 

On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. Following this refinancing, the Saratoga CLO portfolio increased its aggregate principal amount from approximately $300.0 million to approximately $500.0 million of predominantly senior secured first lien term loans.

 

On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary of Saratoga CLO. During the fourth quarter ended February 28, 2021, the CLO 2013-1 Warehouse 2 Ltd. was repaid in full.

 

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

 

40

 

 

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

 

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

 

For the three months ended November 30, 2023 and November 30, 2022, the Company accrued management fee income of $0.8 million and $0.8 million, respectively, and interest income of $0.0 million and $0.2 million, respectively, from the subordinated notes of Saratoga CLO.

  

For the nine months ended November 30, 2023 and November 30, 2022, the Company accrued management fee income of $2.5 million and $2.5 million, respectively, and interest income of $0.0 million and $1.2 million, respectively, from the subordinated notes of Saratoga CLO.

 

As of November 30, 2023, the aggregate principal amounts of the Company’s investments in the subordinated notes and Class F-2-R-3 Notes of the Saratoga CLO was $111.0 million and $9.4 million, respectively, which had a corresponding fair value of $8.9 million and $9.0 million, respectively. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of November 30, 2023, Saratoga CLO had investments with a principal balance of $643.5 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. As of November 30, 2023, the present value of the projected future cash flows of the subordinated notes was approximately $8.9 million, using a 22.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 million, which consists of additional investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021; to date, the Company has received distributions of $83.2 million, management fees of $34.3 million and incentive fees of $1.2 million.

 

As of February 28, 2023, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $21.2 million. As of February 28, 2023, the fair value of its investment in the Class F-R-3 Notes of Saratoga CLO was $8.8 million. As of February 28, 2023, Saratoga CLO had investments with a principal balance of $645.6 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. As of February 28, 2023, the present value of the projected future cash flows of the subordinated notes, was approximately $21.2 million, using a 22.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 million, which consists of additional investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021. As of February 28, 2023, the Company has received distributions of $77.7 million, management fees of $31.9 million and incentive fees of $1.2 million.

 

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2023 (unaudited) and February 28, 2023 and for the three and nine months ended November 30, 2023 (unaudited) and November 30, 2022 (unaudited).

 

41

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

   November 30,
2023
   February 28,
2023
 
   (unaudited)     
ASSETS        
Investments at fair value        
Loans at fair value (amortized cost of $631,773,703 and $645,599,001, respectively)  $594,703,611   $605,954,468 
Equities at fair value  (amortized cost of $615,405 and $0, respectively)   743,239    
-
 
Total investments at fair value (amortized cost of $632,389,108 and $645,599,001, respectively)   595,446,850    605,954,468 
Cash and cash equivalents   13,681,256    23,776,950 
Receivable from open trades   6,147,032    1,827,460 
Interest receivable (net of reserve of $791,292 and $234,690, respectively)   3,566,370    3,026,720 
Due from affiliate (See Note 7)   15,528    119,150 
Prepaid expenses and other assets   72,050    152,760 
Total assets  $618,929,086   $634,857,508 
           
LIABILITIES          
Interest payable  $5,495,223   $4,662,695 
Payable from open trades   8,413,799    23,184,337 
Accrued base management fee   72,806    72,762 
Accrued subordinated management fee   291,226    291,047 
Accounts payable and accrued expenses   79,241    82,565 
Saratoga Investment Corp. CLO 2013-1, Ltd. Notes:          
Class A-1-R-3 Senior Secured Floating Rate Notes   357,500,000    357,500,000 
Class A-2-R-3 Senior Secured Floating Rate Notes   65,000,000    65,000,000 
Class B-FL-R-3 Senior Secured Floating Rate Notes   60,500,000    60,500,000 
Class B-FXD-R-3 Senior Secured Fixed Rate Notes   11,000,000    11,000,000 
Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes   26,000,000    26,000,000 
Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes   6,500,000    6,500,000 
Class D-R-3 Deferrable Mezzanine Floating Rate Notes   39,000,000    39,000,000 
Discount on Class D-R-3 Notes   (226,101)   (244,234)
Class E-R-3 Deferrable Mezzanine Floating Rate Notes   27,625,000    27,625,000 
Discount on Class E-R-3 Notes   (2,348,935)   (2,537,315)
Class F-1-R-3 Notes Deferrable Junior Floating Rate Notes   8,500,000    8,500,000 
Class F-2-R-3 Notes Deferrable Junior Floating Rate Notes   9,375,000    9,375,000 
Deferred debt financing costs   (1,754,687)   (1,897,076)
Subordinated Notes   111,000,000    111,000,000 
Discount on Subordinated Notes   (37,150,912)   (40,130,353)
Total liabilities   694,871,660    705,484,428 
NET ASSETS          
Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 common shares issued and outstanding, respectively   250    250 
Total distributable earnings (loss)   (75,942,824)   (70,627,170)
Total net deficit   (75,942,574)   (70,626,920)
Total liabilities and net assets  $618,929,086   $634,857,508 

 

See accompanying notes to financial statements.

 

42

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

   For the three months ended   For the nine months ended 
   November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
INVESTMENT INCOME                
Total interest from investments  $15,599,943   $11,753,670   $46,240,246   $29,075,284 
Interest from cash and cash equivalents   139,759    13,215    480,995    19,320 
Other income   286,607    26,224    756,831    141,828 
Total investment income   16,026,309    11,793,109    47,478,072    29,236,432 
                     
EXPENSES                    
Interest and debt financing expenses   14,644,320    10,177,731    43,349,057    26,287,544 
Base management fee   163,985    163,651    490,793    490,249 
Subordinated management fee   655,943    654,604    1,963,174    1,960,994 
Professional fees   87,540    53,254    260,431    263,647 
Trustee expenses   64,554    64,579    193,588    197,407 
Other expense   50,330    93,097    190,215    244,402 
Total expenses   15,666,672    11,206,916    46,447,258    29,444,243 
NET INVESTMENT INCOME (LOSS)   359,637    586,193    1,030,814    (207,811)
                     
REALIZED AND UNREALIZED LOSS ON INVESTMENTS                    
Net realized loss from investments   (6,298,909)   (532,640)   (9,048,743)   (1,599,841)
Net change in unrealized depreciation on investments   (313,230)   (10,640,315)   2,702,275    (36,866,766)
Net realized and unrealized gain (loss) on investments   (6,612,139)   (11,172,955)   (6,346,468)   (38,466,607)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $(6,252,502)  $(10,586,762)  $(5,315,654)  $(38,674,418)

 

See accompanying notes to financial statements.

 

43

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

November 30, 2023

(unaudited)

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Altisource Solutions S.a r.l.  Banking, Finance, Insurance & Real Estate  Common Stock   Equity                           15,981   $-   $68,239 
Envision Parent Inc  Healthcare & Pharmaceuticals  Common Stock   Equity                           4,410    175,000    175,000 
Envision Parent Inc  Healthcare & Pharmaceuticals  Warrants   Equity                           92,837    -    - 
Isagenix International, LLC  Beverage, Food & Tobacco  Common Stock   Equity                           86,398    -    - 
URS TOPCO LLC  Transportation: Cargo  Common Stock   Equity                           25,330    440,405    500,000 
19TH HOLDINGS GOLF, LLC  Consumer goods: Durable  Term Loan   Loan    1M USD SOFR+  3.25%   0.50%   8.68%   2/7/2029   $2,479,925    2,386,376    2,349,729 
888 Acquisitions Limited  Hotel, Gaming & Leisure  Term Loan B   Loan    6M USD SOFR+  5.25%   0.00%   10.82%   7/8/2028    2,478,261    2,165,072    2,378,684 
Adtalem Global Education Inc.  Services: Business  Term Loan B (02/21)   Loan    1M USD SOFR+  4.00%   0.75%   9.46%   8/11/2028    691,846    686,981    691,127 
Aegis Sciences Corporation  Healthcare & Pharmaceuticals  Term Loan   Loan    3M USD SOFR+  5.50%   1.00%   11.13%   5/9/2025    2,318,678    2,313,318    2,188,252 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan B (03/23)   Loan    3M USD SOFR+  3.00%   0.00%   8.39%   5/1/2030    1,678,901    1,666,684    1,665,268 
AHEAD DB Holdings, LLC  Services: Business  Term Loan (04/21)   Loan    3M USD SOFR+  3.75%   0.75%   9.24%   10/18/2027    2,932,500    2,860,328    2,896,899 
Air Canada  Transportation: Consumer  Term Loan B (07/21)   Loan    3M USD SOFR+  3.50%   0.75%   9.14%   8/11/2028    1,975,000    1,852,793    1,971,129 
AIS HoldCo, LLC  Services: Business  Term Loan   Loan    3M USD SOFR+  5.00%   0.00%   10.64%   8/15/2025    4,621,420    4,559,512    4,436,563 
AIT Worldwide Logistics Holdings, Inc.  Transportation: Cargo  Term Loan (04/21)   Loan    1M USD SOFR+  4.75%   0.75%   10.17%   4/6/2028    2,481,013    2,334,057    2,415,266 
Alchemy US Holdco 1, LLC  Metals & Mining  Term Loan   Loan    1M USD LIBOR+  7.32%   0.00%   7.42%   10/10/2025    1,654,803    1,646,697    1,638,255 
AlixPartners, LLP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)   Loan    1M USD SOFR+  2.75%   0.50%   8.21%   2/4/2028    243,750    243,463    243,947 
Alkermes, Inc.  Healthcare & Pharmaceuticals  Term Loan B (3/21)   Loan    1M USD SOFR+  2.50%   0.50%   7.95%   3/12/2026    2,109,987    2,099,641    2,096,800 
Allen Media, LLC  Media: Diversified & Production  Term Loan (7/21)   Loan    3M USD SOFR+  5.50%   0.00%   11.04%   2/10/2027    4,360,367    4,338,867    3,804,420 
Alliant Holdings Intermediate, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B4   Loan    1M USD LIBOR+  3.50%   0.50%   8.96%   11/5/2027    980,000    979,568    980,372 
Allied Universal Holdco LLC  Services: Business  Term Loan 4/21   Loan    1M USD SOFR+  3.75%   0.50%   9.20%   5/12/2028    1,960,000    1,953,189    1,907,727 

 

44

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Altisource Solutions S.a r.l.  Banking, Finance, Insurance & Real Estate  Term Loan B (03/18)   Loan     3M USD SOFR+  5.00%   1.00%   10.49%   4/30/2025    1,100,390    1,099,813    870,409 
Altium Packaging LLC  Containers, Packaging & Glass  Term Loan (01/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   1/29/2028    487,500    485,997    484,521 
American Axle & Manufacturing Inc.  Automotive  Term Loan (12/22)   Loan     1M USD SOFR+  3.50%   0.50%   8.92%   12/13/2029    490,000    476,804    488,927 
American Greetings Corporation  Media: Advertising, Printing & Publishing  Term Loan (01/23)   Loan     1M USD SOFR+  6.00%   1.00%   11.35%   4/5/2028    2,990,265    2,988,626    2,985,271 
American Trailer World Corp  Automotive  Term Loan   Loan     1M USD SOFR+  3.75%   0.75%   9.17%   3/3/2028    1,357,439    1,355,326    1,282,020 
AmWINS Group, LLC  Banking, Finance, Insurance & Real Estate  Term Loan 2/21   Loan     1M USD SOFR+  2.25%   0.75%   7.71%   2/17/2028    1,945,026    1,928,224    1,941,661 
Anastasia Parent LLC  Consumer goods: Non-durable  Term Loan   Loan     3M USD SOFR+  3.75%   0.00%   9.40%   8/11/2025    950,000    948,542    626,525 
Anchor Glass Container Corporation  Containers, Packaging & Glass  Term Loan (07/17)   Loan     6M USD LIBOR+  2.75%   1.00%   8.04%   12/7/2023    466,406    466,399    377,789 
Anchor Packaging, LLC  Containers, Packaging & Glass  Term Loan B   Loan     1M USD SOFR+  3.50%   0.00%   8.95%   7/18/2026    1,964,425    1,942,201    1,934,468 
ANI Pharmaceuticals, Inc.  Healthcare & Pharmaceuticals  Term Loan B   Loan     1M USD SOFR+  6.00%   0.75%   11.46%   11/19/2027    2,947,500    2,906,490    2,936,447 
AP Core Holdings II LLC  High Tech Industries  Term Loan B1   Loan     1M USD SOFR+  5.50%   0.75%   10.96%   9/1/2027    1,800,000    1,781,280    1,760,994 
AP Core Holdings II LLC  High Tech Industries  Term Loan B2   Loan     1M USD SOFR+  5.50%   0.75%   10.96%   9/1/2027    500,000    494,807    487,915 
APEX GROUP TREASURY LLC  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     3M USD SOFR+  5.00%   0.50%   10.40%   7/26/2028    496,250    468,286    495,630 
APLP Holdings Limited Partnership  Energy: Electricity  Term Loan B (3/21)   Loan     3M USD SOFR+  3.75%   1.00%   9.24%   5/14/2027    278,378    276,619    279,539 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     1M USD SOFR+  2.75%   0.00%   8.21%   5/15/2026    2,916,244    2,896,013    2,821,466 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1 (2/21)   Loan     1M USD SOFR+  3.50%   0.50%   8.94%   3/6/2028    975,000    968,360    936,000 
AppLovin Corporation  High Tech Industries  Term Loan (10/21)   Loan     1M USD SOFR+  3.10%   0.50%   8.45%   10/21/2028    1,477,500    1,474,732    1,476,673 
AppLovin Corporation  High Tech Industries  Term Loan (08/23)   Loan     1M USD SOFR+  3.00%   0.50%   8.45%   8/15/2030    972,054    972,054    971,898 
Aramark Services, Inc.  Services: Consumer  Term Loan B (4/21)   Loan     1M USD SOFR+  2.50%   0.00%   7.96%   4/1/2028    1,753,715    1,748,034    1,751,523 
Aramark Services, Inc.  Services: Consumer  Term Loan   Loan     1M USD SOFR+  1.75%   0.00%   7.21%   1/15/2027    2,331,250    2,289,490    2,323,977 

 

45

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
ARC FALCON I INC.  Chemicals, Plastics, & Rubber  Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.95%   9/23/2028    983,774    980,943    950,926 
Arches Buyer Inc.  Services: Consumer  Term Loan B   Loan     1M USD SOFR+  3.25%   0.50%   8.70%   12/6/2027    1,469,697    1,462,751    1,443,977 
ARCIS GOLF LLC  Services: Consumer  Term Loan B   Loan     1M USD SOFR+  4.25%   0.50%   9.71%   11/19/2028    497,980    493,142    498,189 
Aretec Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     1M USD SOFR+  4.50%   0.00%   9.95%   8/9/2030    2,649,358    2,633,197    2,605,829 
Asplundh Tree Expert, LLC  Services: Business  Term Loan 2/21   Loan     1M USD SOFR+  1.75%   0.00%   7.20%   9/7/2027    970,000    967,259    971,620 
AssuredPartners Capital, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (2/20)   Loan     1M USD SOFR+  3.50%   0.00%   8.96%   2/12/2027    982,143    979,630    980,915 
Assuredpartners Inc.  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.85%   2/12/2027    492,500    491,781    492,195 
Assuredpartners Inc.  Banking, Finance, Insurance & Real Estate  Incremental Term Loan (7/21)   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   2/12/2027    977,500    977,500    976,689 
ASTRO ONE ACQUISITION CORPORATION  Consumer goods: Durable  Term Loan   Loan     3M USD LIBOR+  5.50%   0.75%   11.23%   9/15/2028    2,947,500    2,925,937    1,277,240 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B10   Loan     1M USD SOFR+  4.00%   0.00%   9.45%   8/19/2028    1,980,000    1,896,782    1,939,568 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B8   Loan     1M USD SOFR+  3.25%   0.00%   8.71%   12/18/2026    2,942,168    2,935,901    2,899,153 
ATHENAHEALTH GROUP INC.  Healthcare & Pharmaceuticals  Term Loan B (2/22)   Loan     1M USD SOFR+  3.25%   0.50%   8.60%   2/15/2029    1,320,514    1,316,061    1,294,843 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B6   Loan     1M USD SOFR+  2.50%   0.00%   7.83%   6/8/2028    997,500    944,250    998,637 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B5 (7/21)   Loan     1M USD SOFR+  2.25%   0.50%   7.68%   12/1/2027    486,250    483,209    486,362 
Axalta Coating Systems US Holdings  Chemicals, Plastics, & Rubber  Term Loan B (08/23)   Loan     3M USD SOFR+  2.50%   0.50%   7.89%   12/20/2029    920,194    912,118    921,629 
AZURITY PHARMACEUTICALS, INC.  Healthcare & Pharmaceuticals  Term Loan B   Loan     1M USD SOFR+  6.62%   0.75%   12.08%   9/20/2027    456,250    446,528    438,000 
B&G Foods, Inc.  Beverage, Food & Tobacco  Term Loan   Loan     1M USD SOFR+  2.50%   0.00%   7.85%   10/10/2026    556,042    553,602    544,921 
B.C. Unlimited Liability Co (Burger King)  Beverage, Food & Tobacco  Term Loan B (09/23)   Loan     1M USD SOFR+  2.25%   0.00%   7.60%   9/12/2030    1,447,500    1,426,632    1,440,943 
BAKELITE UK INTERMEDIATE LTD.  Chemicals, Plastics, & Rubber  Term Loan   Loan     3M USD SOFR+  4.00%   0.50%   9.54%   5/29/2029    987,500    983,531    955,406 
Baldwin Risk Partners, LLC  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   10/14/2027    1,965,074    1,950,504    1,956,880 

 

46

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Barnes Group Inc.  Aerospace & Defense  Term Loan B   Loan     1M USD SOFR+  3.00%   0.00%   8.45%   8/9/2030    250,000    248,176    249,438 
Bausch Health Companies Inc.  Healthcare & Pharmaceuticals  Term Loan B (1/22)   Loan     1M USD SOFR+  5.25%   0.50%   10.69%   2/1/2027    1,875,000    1,724,183    1,414,069 
Belfor Holdings Inc.  Services: Consumer  Term Loan B-1 (11/23)   Loan     1M USD SOFR+  3.75%   0.50%   9.10%   10/25/2030    1,600,000    1,584,111    1,598,000 
Belron Finance US LLC  Automotive  Term Loan B (3/21)   Loan     3M USD SOFR+  2.43%   0.50%   8.07%   4/13/2028    1,950,000    1,937,133    1,949,025 
Belron Finance US LLC  Automotive  Term Loan (04/23)   Loan     3M USD SOFR+  2.75%   0.50%   8.25%   4/17/2029    249,375    248,202    249,624 
Bengal Debt Merger Sub LLC  Beverage, Food & Tobacco  Term Loan   Loan     3M USD SOFR+  3.25%   0.50%   8.74%   1/24/2029    1,975,000    1,974,221    1,846,941 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (6/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   4/23/2026    1,453,957    1,447,944    1,421,242 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     1M USD SOFR+  2.25%   0.00%   7.71%   4/23/2026    972,152    968,404    944,202 
Blue Tree Holdings, Inc.  Chemicals, Plastics, & Rubber  Term Loan (2/21)   Loan     3M USD SOFR+  2.50%   0.00%   8.15%   3/4/2028    975,000    973,497    960,785 
Bombardier Recreational Products, Inc.  Consumer goods: Durable  Term Loan B3   Loan     1M USD SOFR+  2.75%   0.50%   8.10%   12/13/2029    495,009    483,825    492,411 
Bombardier Recreational Products, Inc.  Consumer goods: Durable  Term Loan (1/20)   Loan     1M USD SOFR+  2.00%   0.00%   7.45%   5/24/2027    1,443,799    1,439,363    1,423,051 
Boost Newco Borrower, LLC (Worldpay)  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     1M USD SOFR+  3.00%   0.50%   8.32%   9/20/2030    500,000    497,500    499,375 
Boxer Parent Company, Inc.  High Tech Industries  Term Loan (2/21)   Loan     1M USD SOFR+  3.75%   0.00%   9.21%   10/2/2025    512,255    512,255    512,070 
BrightSpring Health Services (Phoenix Guarantor)  Healthcare & Pharmaceuticals  Term Loan B-3   Loan     1M USD SOFR+  3.50%   0.00%   8.96%   3/5/2026    975,000    975,000    973,840 
BroadStreet Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B3   Loan     1M USD SOFR+  3.00%   0.00%   8.46%   1/22/2027    2,926,045    2,922,815    2,918,729 
Brookfield WEC Holdings Inc.  Energy: Electricity  Term Loan (1/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   8/1/2025    1,451,420    1,452,327    1,452,261 
BROWN GROUP HOLDING, LLC  Aerospace & Defense  Term Loan B-2   Loan     3M USD SOFR+  3.75%   0.00%   9.14%   7/1/2029    495,000    484,548    495,040 
Buckeye Partners, L.P.  Utilities: Oil & Gas  Term Loan B2   Loan     1M USD SOFR+  2.50%   0.00%   7.83%   11/15/2030    333,333    332,721    333,250 
Buckeye Partners, L.P.  Utilities: Oil & Gas  Term Loan (1/21)   Loan     1M USD SOFR+  2.25%   0.00%   7.67%   11/1/2026    1,601,929    1,595,092    1,602,058 
BW Gas & Convenience Holdings LLC  Beverage, Food & Tobacco  Term Loan B   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   3/31/2028    2,443,750    2,427,104    2,419,313 

 

47

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Callaway Golf Company  Retail  Term Loan B   Loan     1M USD SOFR+  3.50%   0.00%   8.95%   3/9/2030    497,500    492,717    495,948 
Camping World, Inc.  Retail  Term Loan B (5/21)   Loan     1M USD SOFR+  2.50%   0.75%   7.96%   6/5/2028    2,468,354    2,275,387    2,352,268 
CAPSTONE BORROWER INC  Services: Business  Term Loan (06/23)   Loan     3M USD SOFR+  3.75%   0.00%   9.14%   6/15/2030    1,000,000    985,743    993,130 
CareerBuilder, LLC  Services: Business  Term Loan B3   Loan     3M USD SOFR+  6.75%   0.00%   12.40%   7/31/2026    4,035,492    4,015,117    706,211 
Castle US Holding Corporation  Media: Advertising, Printing & Publishing  Term Loan B (USD)   Loan     1M USD SOFR+  3.75%   0.00%   9.21%   1/27/2027    1,950,825    1,943,262    1,362,730 
CASTLELAKE AVIATION LLC  Aerospace & Defense  Term Loan B   Loan     3M USD SOFR+  2.75%   0.50%   8.42%   10/21/2027    992,500    985,896    991,259 
CBI BUYER, INC.  Consumer goods: Durable  Term Loan   Loan     1M USD SOFR+  3.25%   0.50%   8.71%   1/6/2028    2,947,273    2,811,619    1,224,769 
CBL & Associates Limited Partnership  Retail  Term Loan 11/21   Loan     1M USD SOFR+  2.75%   1.00%   8.18%   11/1/2025    2,473,146    2,136,126    2,164,893 
CCC Intelligent Solutions Inc.  Services: Business  Term Loan B   Loan     1M USD SOFR+  2.25%   0.50%   7.71%   9/16/2028    245,625    245,216    245,522 
CCI Buyer, Inc  Telecommunications  Term Loan   Loan     3M USD SOFR+  4.00%   0.75%   9.39%   12/17/2027    243,750    242,208    241,878 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan   Loan     1M USD SOFR+  4.25%   0.50%   9.67%   3/5/2028    992,500    949,779    930,469 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan B   Loan     1M USD SOFR+  3.75%   0.75%   9.21%   3/5/2028    975,000    971,749    917,309 
CCS-CMGC Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan   Loan     6M USD SOFR+  5.50%   0.00%   11.32%   9/25/2025    2,381,250    2,373,889    1,998,393 
CDK GLOBAL, INC.  High Tech Industries  Term Loan B (10/23)   Loan     3M USD SOFR+  4.00%   0.00%   9.41%   7/6/2029    992,500    966,595    992,679 
Cengage Learning, Inc.  Media: Advertising, Printing & Publishing  Term Loan B (6/21)   Loan     3M USD SOFR+  4.75%   1.00%   10.41%   7/14/2026    2,940,000    2,923,619    2,935,237 
CENTURI GROUP, INC.  Construction & Building  Term Loan B   Loan     1M USD SOFR+  2.50%   0.50%   7.96%   8/27/2028    870,830    864,602    869,523 
CenturyLink, Inc.  Telecommunications  Term Loan B (1/20)   Loan     1M USD SOFR+  2.25%   0.00%   7.71%   3/15/2027    3,850,497    3,847,375    2,302,058 
Charlotte Buyer, Inc.  Services: Business  Term Loan B   Loan     1M USD SOFR+  5.25%   0.50%   10.57%   2/11/2028    1,488,750    1,403,657    1,486,472 
Chemours Company, (The)  Chemicals, Plastics, & Rubber  Term Loan B2   Loan     1M USD SOFR+  3.50%   0.50%   8.85%   8/10/2028    2,399,716    2,359,528    2,368,232 
Churchill Downs Incorporated  Hotel, Gaming & Leisure  Term Loan B1 (3/21)   Loan     1M USD SOFR+  2.00%   0.00%   7.45%   3/17/2028    487,500    486,756    486,077 

 

48

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
CIMPRESS PUBLIC LIMITED COMPANY  Media: Advertising, Printing & Publishing  USD Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   5/17/2028    1,964,874    1,887,057    1,937,857 
CITADEL SECURITIES LP  Banking, Finance, Insurance & Real Estate  Term Loan B (07/23)   Loan     1M USD SOFR+  2.50%   0.00%   7.96%   7/29/2030    4,875,281    4,874,298    4,872,649 
Citco Funding LLC  Banking, Finance, Insurance & Real Estate  Term Loa 1st Lien Incremental   Loan     3M USD SOFR+  3.25%   0.50%   8.64%   4/27/2028    1,000,000    995,042    1,001,250 
Clarios Global LP  Automotive  Incremental Term Loan (04/23)   Loan     1M USD SOFR+  3.75%   0.00%   9.10%   5/5/2030    1,200,000    1,194,227    1,200,900 
Claros Mortgage Trust, Inc  Banking, Finance, Insurance & Real Estate  Term Loan B-1 (11/21)   Loan     1M USD SOFR+  4.50%   0.50%   9.94%   8/9/2026    3,413,379    3,398,299    3,217,109 
CLYDESDALE ACQUISITION HOLDINGS, INC.  Containers, Packaging & Glass  Term Loan B   Loan     1M USD SOFR+  4.18%   0.50%   9.62%   4/13/2029    1,481,250    1,450,627    1,468,748 
Columbus McKinnon Corporation  Capital Equipment  Term Loan (4/21)   Loan     3M USD SOFR+  2.75%   0.50%   8.42%   5/14/2028    419,219    418,529    418,695 
Conduent, Inc.  Services: Business  Term Loan B   Loan     1M USD SOFR+  4.25%   0.50%   9.71%   10/16/2028    2,769,376    2,705,272    2,702,440 
Connect Finco SARL  Telecommunications  Term Loan (1/21)   Loan     1M USD SOFR+  3.50%   1.00%   8.85%   12/11/2026    2,895,000    2,811,282    2,887,299 
Consolidated Communications, Inc.  Telecommunications  Term Loan B   Loan     1M USD SOFR+  3.50%   0.75%   8.96%   10/2/2027    2,714,005    2,544,699    2,492,352 
CORAL-US CO-BORROWER LLC  Telecommunications  Term Loan B-5   Loan     1M USD SOFR+  2.25%   0.00%   7.79%   1/31/2028    4,000,000    3,990,261    3,941,520 
Corelogic, Inc.  Services: Business  Term Loan (4/21)   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   6/2/2028    2,450,000    2,441,541    2,295,356 
Cortes NP Acquisition Corp (Vertiv)  Capital Equipment  Term Loan 2/21   Loan     1M USD SOFR+  2.75%   0.00%   8.18%   3/2/2027    1,945,000    1,945,000    1,946,712 
Creative Artists Agency, LLC  Media: Diversified & Production  Term Loan B (02/23)   Loan     1M USD SOFR+  3.50%   0.00%   8.85%   11/27/2028    1,592,002    1,581,259    1,594,884 
CROCS INC  Consumer goods: Durable  Term Loan B   Loan     3M USD SOFR+  3.00%   0.00%   8.54%   2/19/2029    1,500,000    1,450,389    1,503,195 
Cross Financial Corp  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)   Loan     1M USD SOFR+  4.00%   0.75%   9.46%   9/15/2027    488,750    488,517    488,139 
Crown Subsea Communications Holding, Inc.  Construction & Building  Term Loan (4/21)   Loan     1M USD SOFR+  5.00%   0.75%   10.43%   4/27/2027    3,404,110    3,381,709    3,421,130 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B-5   Loan     1M USD LIBOR+  2.50%   0.00%   7.94%   4/15/2027    481,250    481,250    449,743 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan 12/22   Loan     1M USD SOFR+  4.50%   0.00%   9.82%   4/15/2027    2,382,032    2,373,479    2,291,229 
CTC Holdings, LP  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     3M USD SOFR+  5.00%   0.50%   10.52%   2/15/2029    2,216,250    2,169,883    2,177,466 

 

49

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
CTS Midco, LLC  High Tech Industries  Term Loan B   Loan     3M USD SOFR+  6.00%   1.00%   11.64%   11/2/2027    1,941,421    1,905,431    1,727,864 
Daseke Inc  Transportation: Cargo  Term Loan 2/21   Loan     1M USD SOFR+  4.00%   0.75%   9.46%   3/5/2028    1,200,000    1,196,089    1,186,128 
Dave & Buster’s Inc.  Hotel, Gaming & Leisure  Term Loan (6/23)   Loan     1M USD SOFR+  3.75%   0.50%   9.19%   6/29/2029    990,019    947,653    989,860 
DCert Buyer, Inc.  High Tech Industries  Term Loan   Loan     1M USD SOFR+  4.00%   0.00%   9.35%   10/16/2026    1,458,438    1,458,438    1,439,712 
Delek US Holdings, Inc.  Utilities: Oil & Gas  Term Loan B (11/22)   Loan     1M USD SOFR+  3.50%   0.50%   8.95%   11/16/2029    5,359,500    5,254,511    5,347,334 
Delos Aircraft DAC  Transportation: Consumer  Term Loan B   Loan     3M USD SOFR+  2.00%   0.00%   7.39%   10/14/2027    250,000    250,000    250,548 
Delta 2 Lux Sarl  Hotel, Gaming & Leisure  Term Loan B   Loan     1M USD SOFR+  2.25%   0.50%   7.60%   1/15/2030    2,000,000    1,991,065    2,000,620 
Derby Buyer LLC  Chemicals, Plastics, & Rubber  Term Loan (09/23)   Loan     1M USD SOFR+  4.25%   0.50%   9.57%   11/1/2030    625,000    615,729    622,394 
DexKo Global, Inc. (Dragon Merger)  Automotive  Term Loan (9/21)   Loan     3M USD SOFR+  3.75%   0.50%   9.40%   10/4/2028    985,000    982,036    965,073 
DG Investment Intermediate Holdings 2, Inc.  Aerospace & Defense  Incremental Term Loan (3/22)   Loan     1M USD SOFR+  4.75%   0.75%   10.10%   3/31/2028    495,000    478,051    491,287 
Diamond Sports Group, LLC (a)  Media: Broadcasting & Subscription  Second Lien Term Loan   Loan     1M USD SOFR+  5.25%   0.00%   10.67%   8/24/2026    3,374,880    3,089,287    71,716 
Diamond Sports Group, LLC (a)  Media: Broadcasting & Subscription  1st Priority Term Loan   Loan     1M USD SOFR+  10.00%   1.00%   15.42%   5/25/2026    342,343    335,566    246,977 
DIRECTV FINANCING, LLC  Media: Broadcasting & Subscription  Term Loan   Loan     1M USD SOFR+  5.00%   0.75%   10.46%   8/2/2027    3,280,000    3,258,124    3,222,862 
DISCOVERY PURCHASER CORPORATION  Chemicals, Plastics, & Rubber  Term Loan   Loan     3M USD SOFR+  4.38%   0.50%   9.77%   10/4/2029    1,488,750    1,383,919    1,417,662 
Dispatch Acquisition Holdings, LLC  Environmental Industries  Term Loan B (3/21)   Loan     3M USD SOFR+  4.25%   0.75%   9.79%   3/25/2028    488,750    485,513    458,203 
DOMTAR CORPORATION  Forest Products & Paper  Term Loan 9/21   Loan     1M USD SOFR+  5.50%   0.75%   10.96%   11/30/2028    1,260,510    1,227,610    1,241,602 
DOTDASH MEREDITH, INC.  Media: Advertising, Printing & Publishing  Term Loan B   Loan     1M USD SOFR+  4.00%   0.50%   9.42%   11/30/2028    1,979,798    1,807,707    1,950,101 
DRI HOLDING INC.  Media: Advertising, Printing & Publishing  Term Loan (12/21)   Loan     1M USD SOFR+  5.25%   0.50%   10.70%   12/15/2028    3,942,469    3,813,846    3,587,646 
DRW Holdings, LLC  Banking, Finance, Insurance & Real Estate  Term Loan (2/21)   Loan     1M USD SOFR+  3.75%   0.00%   9.21%   3/1/2028    6,370,000    6,336,957    6,351,400 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan   Loan     1M USD SOFR+  2.75%   0.00%   8.21%   8/21/2025    198,929    198,647    198,432 

 

50

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan (01/23)   Loan     1M USD SOFR+  3.25%   0.50%   8.70%   1/31/2030    2,029,327    2,026,514    1,963,374 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan (08/23)   Loan     1M USD SOFR+  4.00%   0.50%   9.35%   1/31/2030    1,100,000    1,073,252    1,075,250 
EAB Global, Inc.  Services: Business  Term Loan (08/21)   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   8/16/2028    982,500    979,067    976,566 
Echo Global Logistics, Inc.  Services: Business  Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.95%   11/23/2028    1,970,000    1,966,879    1,851,091 
Edelman Financial Group Inc., The  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)   Loan     1M USD SOFR+  3.50%   0.75%   8.96%   4/7/2028    2,171,883    2,166,634    2,147,949 
Electrical Components Inter., Inc.  Capital Equipment  Term Loan (6/18)   Loan     3M USD SOFR+  4.25%   0.00%   9.74%   6/26/2025    1,873,417    1,873,417    1,844,154 
ELECTRON BIDCO INC.  Healthcare & Pharmaceuticals  Term Loan   Loan     1M USD SOFR+  3.00%   0.50%   8.46%   11/1/2028    492,500    490,840    491,953 
ELO Touch Solutions, Inc.  Media: Diversified & Production  Term Loan (12/18)   Loan     1M USD SOFR+  6.50%   0.00%   11.96%   12/14/2025    1,966,935    1,929,446    1,911,625 
Embecta Corp  Healthcare & Pharmaceuticals  Term Loan B   Loan     6M USD SOFR+  3.00%   0.50%   8.34%   3/30/2029    2,605,208    2,587,637    2,547,685 
Emerson Climate Technologies Inc  Services: Business  Term Loan B (04/23)   Loan     1M USD SOFR+  3.00%   0.00%   8.35%   5/31/2030    626,147    620,209    626,422 
Endo Luxembourg Finance Company I S.a.r.l.  Healthcare & Pharmaceuticals  Term Loan (3/21)   Loan     Prime  6.00%   0.75%   14.50%   3/27/2028    2,335,285    2,329,778    1,500,421 
Endure Digital, Inc.  High Tech Industries  Term Loan B   Loan     6M USD SOFR+  3.50%   0.75%   9.42%   2/10/2028    2,443,750    2,435,835    2,351,670 
Entain Holdings (Gibraltar) Limited  Hotel, Gaming & Leisure  Term Loan B (10/22)   Loan     3M USD SOFR+  3.50%   0.50%   8.99%   10/30/2029    1,491,248    1,475,263    1,492,486 
EOS U.S. FINCO LLC  Transportation: Cargo  Term Loan   Loan     3M USD SOFR+  5.75%   0.50%   11.16%   10/6/2029    981,250    911,874    899,482 
Equiniti Group PLC  Services: Business  Term Loan B   Loan     6M USD SOFR+  4.50%   0.50%   10.09%   12/11/2028    982,500    975,049    983,119 
Evertec Group LLC  Banking, Finance, Insurance & Real Estate  Term Loan B (09/23)   Loan     1M USD SOFR+  3.50%   0.50%   8.85%   10/12/2030    1,250,000    1,231,250    1,246,875 
EyeCare Partners, LLC  Healthcare & Pharmaceuticals  Term Loan   Loan     3M USD SOFR+  3.75%   0.00%   9.39%   2/18/2027    1,933,172    1,933,172    999,972 
Finco I LLC  Banking, Finance, Insurance & Real Estate  Term Loan B (08/23)   Loan     3M USD SOFR+  3.00%   0.00%   8.38%   6/27/2029    2,823,872    2,820,834    2,826,216 
First Brands Group, LLC  Automotive  1st Lien Term Loan (3/21)   Loan     6M USD SOFR+  5.00%   1.00%   10.88%   3/30/2027    4,875,000    4,825,909    4,788,469 
First Eagle Investment Management  Banking, Finance, Insurance & Real Estate  Refinancing Term Loan   Loan     3M USD SOFR+  2.50%   0.00%   7.99%   2/1/2027    5,105,275    5,095,245    5,061,268 

 

51

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor  

Current Rate

(All In)

   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
First Student Bidco Inc.  Transportation: Consumer  Term Loan B   Loan     3M USD SOFR+  3.00%   0.50%   8.65%   7/21/2028    717,321    713,586    705,069 
First Student Bidco Inc.  Transportation: Consumer  Term Loan C   Loan     3M USD SOFR+  3.00%   0.50%   8.65%   7/21/2028    269,608    268,194    265,003 
Fitness International, LLC (LA Fitness)  Services: Consumer  Term Loan B (4/18)   Loan     1M USD SOFR+  3.25%   1.00%   8.70%   4/18/2025    1,330,058    1,327,769    1,319,844 
Flutter Financing B.V.  Hotel, Gaming & Leisure  Term Loan B (11/23)   Loan     1M USD SOFR+  2.25%   0.50%   7.57%   11/10/2030    3,000,000    2,992,500    2,985,000 
Flutter Financing B.V.  Hotel, Gaming & Leisure  Third Amendment 2028-B Term Loan   Loan     3M USD SOFR+  3.25%   0.50%   8.90%   7/21/2028    311,641    305,724    311,747 
FOCUS FINANCIAL PARTNERS, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     1M USD SOFR+  3.25%   0.50%   8.60%   6/30/2028    1,476,115    1,461,210    1,475,008 
Franchise Group, Inc.  Services: Consumer  First Out Term Loan   Loan     3M USD SOFR+  4.75%   0.75%   10.44%   3/10/2026    799,104    794,937    594,533 
Franchise Group, Inc.  Services: Consumer  Term Loan B   Loan     3M USD SOFR+  4.75%   0.75%   10.39%   3/10/2026    2,985,000    2,870,120    2,238,750 
Franklin Square Holdings, L.P.  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  2.25%   0.00%   7.70%   8/1/2025    4,274,975    4,265,372    4,274,975 
Froneri International (R&R Ice Cream)  Beverage, Food & Tobacco  Term Loan B-2   Loan     1M USD SOFR+  2.25%   0.00%   7.70%   1/29/2027    1,935,000    1,933,409    1,934,013 
Garrett LX III S.a r.l.  Automotive  Dollar Term Loan   Loan     3M USD SOFR+  3.25%   0.50%   8.89%   4/30/2028    1,470,000    1,465,230    1,468,163 
Gemini HDPE LLC  Chemicals, Plastics, & Rubber  Term Loan B (12/20)   Loan     3M USD SOFR+  3.00%   0.50%   8.64%   12/31/2027    2,210,434    2,199,038    2,198,918 
Genesee & Wyoming, Inc.  Transportation: Cargo  Term Loan (11/19)   Loan     3M USD SOFR+  2.00%   0.00%   7.49%   12/30/2026    1,447,500    1,444,152    1,447,876 
GGP Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B   Loan     1M USD SOFR+  2.50%   0.00%   7.95%   8/27/2025    2,813,716    2,599,873    2,793,120 
GIP Pilot Acquisition Partners, L.P.  Energy: Oil & Gas  Term Loan   Loan     3M USD SOFR+  3.00%   0.00%   8.39%   10/4/2030    500,000    497,500    498,750 
Global Tel*Link Corporation  Telecommunications  Term Loan B   Loan     3M USD SOFR+  4.25%   0.00%   9.78%   11/29/2025    4,859,368    4,750,849    4,666,353 
Go Daddy Operating Company, LLC  High Tech Industries  Term Loan 2/21   Loan     1M USD SOFR+  2.00%   0.00%   7.46%   8/10/2027    949,865    949,865    949,865 
GOLDEN WEST PACKAGING GROUP LLC  Forest Products & Paper  Term Loan (11/21)   Loan     1M USD SOFR+  5.25%   0.75%   10.71%   12/1/2027    1,900,000    1,886,250    1,691,000 
Graham Packaging Co Inc  Containers, Packaging & Glass  Term Loan (2/21)   Loan     1M USD SOFR+  3.00%   0.75%   8.46%   8/7/2027    945,831    941,791    943,012 
Great Outdoors Group, LLC  Retail  Term Loan B2   Loan     3M USD SOFR+  3.75%   0.75%   9.40%   3/6/2028    972,650    969,503    963,449 

 

52

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Griffon Corporation  Consumer goods: Durable  Term Loan B   Loan     3M USD SOFR+  2.25%   0.50%   7.79%   1/24/2029    144,688    144,458    144,507 
Grosvenor Capital Management Holdings, LLLP  Banking, Finance, Insurance & Real Estate  Amendment 5 Term Loan   Loan     1M USD SOFR+  2.50%   0.50%   7.96%   2/24/2028    2,815,150    2,813,659    2,817,796 
Groupe Solmax Inc.  Environmental Industries  Term Loan (6/21)   Loan     3M USD SOFR+  4.75%   0.75%   10.40%   5/27/2028    2,479,747    2,115,899    2,289,773 
GYP HOLDINGS III CORP.  Construction & Building  2023 Refinancing Term Loans   Loan     1M USD SOFR+  3.00%   0.00%   8.35%   4/25/2030    250,000    248,786    250,625 
Harbor Freight Tools USA, Inc.  Retail  Term Loan B (06/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   10/19/2027    3,344,665    3,329,534    3,317,941 
Helix Gen Funding, LLc  Energy: Electricity  Term Loan   Loan     1M USD SOFR+  4.75%   1.00%   10.10%   12/31/2027    991,574    972,966    992,447 
Hertz Corporation (The)  Transportation: Consumer  Term Loan B   Loan     1M USD SOFR+  3.75%   0.00%   9.08%   6/30/2028    500,000    490,016    493,750 
Hillman Group Inc. (The) (New)  Consumer goods: Durable  Term Loan B-1 (2/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   7/14/2028    3,181,350    3,177,383    3,176,865 
Hilton Domestic Operating Company Inc.  Hotel, Gaming & Leisure  Term Loan B 4   Loan     1M USD SOFR+  2.00%   0.00%   7.44%   11/8/2030    1,500,000    1,496,277    1,500,810 
Hilton Grand Vacations Borrower LLC  Hotel, Gaming & Leisure  Term Loan (3/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   8/2/2028    498,728    498,728    498,104 
Hilton Grand Vacations Borrower LLC  Hotel, Gaming & Leisure  Term Loan B   Loan     1M USD SOFR+  2.75%   0.00%   8.18%   8/2/2028    500,000    500,000    499,375 
HLF Financing SARL (Herbalife)  Consumer goods: Non-durable  Term Loan B (08/18)   Loan     1M USD SOFR+  2.50%   0.00%   7.96%   8/18/2025    3,480,000    3,475,798    3,455,849 
Holley Purchaser, Inc  Automotive  Term Loan (11/21)   Loan     3M USD SOFR+  3.75%   0.75%   9.40%   11/17/2028    2,260,252    2,253,200    2,136,888 
Howden Group Holdings  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)   Loan     1M USD LIBOR+  3.25%   0.75%   8.75%   11/12/2027    2,135,720    2,128,773    2,131,812 
Hudson River Trading LLC  Banking, Finance, Insurance & Real Estate  Term Loan (3/21)   Loan     1M USD SOFR+  3.00%   0.00%   8.46%   3/17/2028    5,850,000    5,811,835    5,801,796 
Hunter Douglas Inc  Consumer goods: Durable  Term Loan B-1   Loan     3M USD SOFR+  3.50%   0.50%   8.88%   2/26/2029    1,979,950    1,737,158    1,909,582 
Idera, Inc.  High Tech Industries  Term Loan (02/21)   Loan     3M USD SOFR+  3.75%   0.75%   9.28%   3/2/2028    4,774,385    4,767,842    4,714,705 
IMA Financial Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (11/23)   Loan     1M USD SOFR+  3.75%   0.50%   9.19%   11/1/2028    500,000    497,500    498,750 
IMA Financial Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/21)   Loan     1M USD SOFR+  3.75%   0.50%   9.21%   11/1/2028    1,965,000    1,957,998    1,960,088 
INDY US BIDCO, LLC  Services: Business  Term Loan (11/21)   Loan     1M USD SOFR+  3.75%   0.00%   9.10%   3/6/2028    2,198,875    2,198,096    2,112,305 

 

53

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
INEOS 226 Ltd.  Chemicals, Plastics, & Rubber  Term Loan 3/23   Loan     1M USD SOFR+  3.75%   0.00%   9.20%   3/13/2030    498,750    493,951    481,917 
Ineos US Finance LLC  Chemicals, Plastics, & Rubber  Term Loan C   Loan     1M USD SOFR+  3.50%   0.00%   8.95%   2/9/2030    997,500    987,946    987,994 
INEOS US PETROCHEM LLC  Chemicals, Plastics, & Rubber  Term Loan B   Loan     1M USD SOFR+  4.25%   0.00%   9.70%   4/3/2029    2,464,874    2,410,868    2,394,009 
Informatica Inc.  High Tech Industries  Term Loan B (10/21)   Loan     1M USD SOFR+  2.75%   0.00%   8.21%   10/27/2028    492,500    492,222    490,776 
Ingram Micro Inc.  Wholesale  Term Loan (09/23)   Loan     3M USD SOFR+  3.00%   0.50%   8.65%   6/30/2028    1,095,000    1,087,159    1,092,263 
Inmar, Inc.  Services: Business  Term Loan (06/23)   Loan     1M USD SOFR+  5.50%   1.00%   10.85%   5/1/2026    3,341,625    3,239,173    3,249,730 
Innophos, Inc.  Chemicals, Plastics, & Rubber  Term Loan B   Loan     1M USD SOFR+  3.25%   0.00%   8.71%   2/4/2027    482,500    481,433    472,729 
INSTANT BRANDS HOLDINGS INC. (a)  Consumer goods: Durable  Term Loan 4/21   Loan     Prime  4.00%   0.75%   14.50%   4/7/2028    3,942,576    3,928,417    285,009 
INSTANT BRANDS HOLDINGS INC. (a)  Consumer goods: Durable  PIK DIP Term Loan   Loan     1M USD SOFR+  10.00%   1.00%   15.46%   12/12/2023    1,505,449    1,447,846    1,543,085 
IRB Holding Corporation  Beverage, Food & Tobacco  Term Loan B (1/22)   Loan     1M USD SOFR+  3.00%   0.75%   8.45%   12/15/2027    496,221    491,846    495,219 
Isagenix International, LLC  Beverage, Food & Tobacco  Term Loan   Loan     6M USD SOFR+  2.50%   0.00%   8.04%   4/13/2028    1,231,904    797,368    1,047,119 
Isolved Inc.  Services: Business  Term Loan   Loan     6M USD SOFR+  4.00%   0.50%   9.48%   10/5/2030    625,000    618,832    624,219 
Jane Street Group  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)   Loan     1M USD SOFR+  2.75%   0.00%   8.21%   1/31/2028    3,890,000    3,888,510    3,890,739 
Journey Personal Care Corp.  Consumer goods: Non-durable  Term Loan B   Loan     6M USD LIBOR+  4.25%   0.75%   9.98%   3/1/2028    977,500    974,155    941,333 
JP Intermediate B, LLC  Consumer goods: Non-durable  Term Loan 7/23   Loan     3M USD SOFR+  5.50%   1.00%   11.14%   11/20/2027    3,456,884    3,441,879    622,239 
Kleopatra Finco S.a r.l.  Containers, Packaging & Glass  Term Loan (1/21) (USD)   Loan     6M USD SOFR+  4.73%   0.50%   10.48%   2/12/2026    1,462,500    1,459,970    1,346,421 
Kodiak BP, LLC  Construction & Building  Term Loan   Loan     3M USD SOFR+  3.25%   0.75%   8.90%   3/13/2028    487,430    486,463    484,788 
Koppers Inc  Chemicals, Plastics, & Rubber  Term Loan B   Loan     1M USD SOFR+  3.50%   0.50%   8.93%   4/10/2030    997,500    969,191    999,994 
KREF Holdings X LLC  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)   Loan     1M USD SOFR+  3.50%   0.50%   8.94%   9/1/2027    487,566    480,274    477,814 
Lakeland Tours, LLC  Hotel, Gaming & Leisure  Holdco Fixed Term Loan   Loan    -  0.00%   0.00%   8.00%   9/27/2027    1,127,568    554,262    834,400 

 

54

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Lealand Finance Company B.V.  Energy: Oil & Gas  Exit Term Loan   Loan     1M USD SOFR+  1.00%   0.00%   6.46%   6/30/2025    353,067    353,067    156,673 
LHS BORROWER, LLC  Construction & Building  Term Loan (02/22)   Loan     1M USD SOFR+  4.75%   0.50%   10.20%   2/16/2029    2,482,172    2,076,065    2,181,209 
Lifetime Brands, Inc  Consumer goods: Non-durable  Term Loan   Loan     1M USD SOFR+  5.50%   1.00%   10.94%   8/26/2027    1,659,313    1,652,811    1,568,051 
Liquid Tech Solutions Holdings, LLC  Services: Business  Term Loan   Loan     3M USD SOFR+  4.75%   0.75%   10.40%   3/17/2028    977,500    975,116    959,582 
LogMeIn, Inc.  High Tech Industries  Term Loan (8/20)   Loan     3M USD SOFR+  4.75%   0.00%   10.28%   8/31/2027    3,890,000    3,845,562    2,547,950 
LOYALTY VENTURES INC. (a)  Services: Business  Term Loan B   Loan     Prime  5.50%   0.50%   14.00%   11/3/2027    2,913,525    2,901,389    26,717 
LPL Holdings, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1   Loan     1M USD SOFR+  1.75%   0.00%   7.17%   11/11/2026    1,198,517    1,197,542    1,197,271 
LSF11 A5 HOLDCO LLC  Chemicals, Plastics, & Rubber  Term Loan (01/23)   Loan     1M USD SOFR+  4.25%   0.50%   9.70%   10/14/2028    1,496,250    1,476,730    1,479,103 
LSF11 A5 HOLDCO LLC  Chemicals, Plastics, & Rubber  Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.96%   10/16/2028    246,250    245,423    242,125 
LSF11 TRINITY BIDCO INC  Aerospace & Defense  Term Loan   Loan     1M USD SOFR+  4.25%   0.00%   9.57%   6/14/2030    997,500    983,188    997,500 
LSF9 Atlantis Holdings, LLC (A Wireless)  Retail  Term Loan B   Loan     3M USD SOFR+  7.25%   0.75%   12.64%   3/29/2029    2,812,500    2,734,432    2,635,847 
MAGNITE, INC.  Services: Business  Term Loan   Loan     1M USD SOFR+  5.00%   0.75%   10.46%   4/28/2028    2,942,374    2,884,940    2,946,581 
Marriott Ownership Resorts, Inc.  Hotel, Gaming & Leisure  Term Loan (11/19)   Loan     1M USD SOFR+  1.75%   0.00%   7.20%   8/29/2025    1,317,074    1,317,074    1,312,793 
Match Group, Inc, The  Services: Consumer  Term Loan (1/20)   Loan     3M USD SOFR+  1.75%   0.00%   7.30%   2/15/2027    250,000    249,714    248,673 
Mayfield Agency Borrower Inc. (FeeCo)  Banking, Finance, Insurance & Real Estate  Term Loan B (02/23)   Loan     1M USD SOFR+  5.00%   0.00%   10.45%   2/27/2028    3,441,375    3,350,332    3,446,399 
McGraw-Hill Education, Inc.  Media: Advertising, Printing & Publishing  Term Loan (07/21)   Loan     1M USD SOFR+  4.75%   0.50%   10.21%   7/28/2028    1,960,000    1,944,688    1,922,544 
MedAssets Software Inter Hldg, Inc.  High Tech Industries  Term Loan (11/21) (USD)   Loan     1M USD SOFR+  4.00%   0.50%   9.46%   12/18/2028    492,500    489,926    388,051 
Mermaid Bidco Inc.  High Tech Industries  Term Loan B2   Loan     3M USD SOFR+  4.50%   0.75%   9.90%   12/22/2027    1,971,366    1,951,214    1,970,143 
Michaels Companies Inc  Retail  Term Loan B (Magic Mergeco)   Loan     3M USD SOFR+  4.25%   0.75%   9.90%   4/8/2028    2,448,662    2,434,987    1,857,922 
MKS Instruments, Inc.  High Tech Industries  Term Loan B   Loan     1M USD SOFR+  2.50%   0.50%   7.82%   8/17/2029    1,500,000    1,496,324    1,495,620 

 

55

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Momentive Performance Materials Inc.  Chemicals, Plastics, & Rubber  Term Loan (03/23)   Loan     1M USD SOFR+  4.50%   0.00%   9.85%   3/28/2028    497,500    479,421    475,610 
Moneygram International, Inc.  Services: Business  Term Loan   Loan     3M USD SOFR+  5.50%   0.50%   10.91%   5/31/2030    2,500,000    2,120,669    2,381,250 
Mosel Bidco SE  High Tech Industries  Term Loan B   Loan     3M USD SOFR+  4.75%   0.50%   10.14%   9/16/2030    500,000    495,100    499,375 
MPH Acquisition Holdings LLC (Multiplan)  Services: Business  Term Loan B (08/21)   Loan     3M USD SOFR+  4.25%   0.50%   9.90%   9/1/2028    2,969,697    2,732,570    2,812,303 
NAB Holdings, LLC (North American Bancard)  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)   Loan     3M USD SOFR+  3.00%   0.50%   8.54%   11/23/2028    2,947,500    2,942,337    2,943,816 
Napa Management Services Corp  Healthcare & Pharmaceuticals  Term Loan B (02/22)   Loan     1M USD SOFR+  5.25%   0.75%   10.70%   2/22/2029    2,977,330    2,436,226    2,476,781 
Natgasoline LLC  Chemicals, Plastics, & Rubber  Term Loan   Loan     1M USD SOFR+  3.50%   0.00%   8.96%   11/14/2025    3,314,598    3,302,114    3,289,738 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan 2/21   Loan     1M USD SOFR+  3.75%   0.75%   9.20%   3/2/2028    2,715,157    2,707,940    2,458,928 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan C 2/21   Loan     3M USD SOFR+  3.75%   0.75%   9.24%   3/2/2028    87,464    87,202    79,210 
Nexstar Broadcasting, Inc. (Mission Broadcasting)  Media: Broadcasting & Subscription  Term Loan   Loan     1M USD SOFR+  2.50%   0.00%   7.96%   9/18/2026    657,625    653,653    657,007 
Next Level Apparel, Inc.  Retail  Term Loan   Loan     3M USD SOFR+  7.50%   1.00%   13.00%   8/9/2024    2,627,584    2,586,255    1,970,688 
NortonLifeLock Inc.  High Tech Industries  Term Loan B   Loan     1M USD SOFR+  2.00%   0.50%   7.45%   9/12/2029    1,244,848    1,239,968    1,241,026 
Nouryon Finance B.V.  Chemicals, Plastics, & Rubber  Term Loan B   Loan     1M USD SOFR+  4.00%   0.00%   9.42%   4/3/2028    498,750    493,763    494,800 
Nouryon Finance B.V.  Chemicals, Plastics, & Rubber  Term Loan (05/23)   Loan     3M USD SOFR+  4.00%   0.00%   9.47%   4/3/2028    500,000    495,075    495,780 
Novae LLC  Automotive  Term Loan B   Loan     1M USD SOFR+  5.00%   0.75%   10.43%   12/22/2028    1,970,000    1,958,410    1,883,813 
Nuvei Technologies Corp.  High Tech Industries  US Term Loan   Loan     1M USD SOFR+  2.50%   0.50%   7.96%   9/29/2025    2,199,375    2,197,567    2,196,978 
Olaplex, Inc.  Consumer goods: Non-durable  Term Loan (2/22)   Loan     1M USD SOFR+  3.50%   0.50%   8.95%   2/23/2029    2,473,665    2,379,080    2,261,647 
Open Text Corporation  High Tech Industries  Term Loan B (08/23)   Loan     1M USD SOFR+  2.75%   0.50%   8.20%   1/31/2030    1,457,369    1,416,604    1,458,827 
Organon & Co.  Healthcare & Pharmaceuticals  Term Loan USD   Loan     1M USD SOFR+  3.00%   0.50%   8.44%   6/2/2028    2,118,750    2,112,032    2,113,453 
Oxbow Carbon, LLC  Metals & Mining  Term Loan B (04/23)   Loan     3M USD SOFR+  4.00%   0.50%   9.49%   5/2/2030    498,750    489,222    497,817 

 

56

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
PACIFIC DENTAL SERVICES, LLC  Healthcare & Pharmaceuticals  Term Loan   Loan     1M USD SOFR+  3.50%   0.75%   8.96%   4/21/2028    897,704    896,605    896,304 
Pacific Gas & Electric  Utilities: Electric  Term Loan   Loan     1M USD SOFR+  3.00%   0.50%   8.46%   6/18/2025    1,453,675    1,450,940    1,452,992 
PACTIV EVERGREEN GROUP HOLDINGS INC.  Containers, Packaging & Glass  Term Loan B   Loan     1M USD SOFR+  3.25%   0.50%   8.71%   9/20/2028    975,000    971,601    974,961 
Padagis LLC  Healthcare & Pharmaceuticals  Term Loan   Loan     3M USD SOFR+  4.75%   0.50%   10.43%   7/6/2028    941,176    934,257    880,000 
PAR PETROLEUM LLC  Energy: Oil & Gas  Term Loan 2/23   Loan     3M USD SOFR+  4.25%   0.50%   9.74%   2/27/2030    2,489,994    2,465,456    2,482,723 
PATAGONIA HOLDCO LLC  Telecommunications  Term Loan B   Loan     3M USD SOFR+  5.75%   0.50%   11.12%   8/1/2029    1,980,000    1,667,115    1,732,500 
Pathway Partners Vet Management Company LLC  Services: Business  Term Loan   Loan     1M USD SOFR+  3.75%   0.00%   9.21%   3/30/2027    482,785    476,627    424,450 
PCI Gaming Authority  Hotel, Gaming & Leisure  Term Loan   Loan     1M USD SOFR+  2.50%   0.00%   7.96%   5/29/2026    809,038    807,346    808,488 
PEARLS (Netherlands) Bidco B.V.  Chemicals, Plastics, & Rubber  USD Term Loan (02/22)   Loan     3M USD SOFR+  3.75%   0.50%   9.13%   2/28/2029    985,000    983,406    973,919 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC  Healthcare & Pharmaceuticals  Term Loan (12/22)   Loan     1M USD SOFR+  3.25%   0.50%   8.71%   12/29/2028    1,478,391    1,473,623    1,399,549 
Penn National Gaming, Inc  Hotel, Gaming & Leisure  Term Loan B   Loan     1M USD SOFR+  2.75%   0.50%   8.20%   5/3/2029    987,500    983,469    986,937 
Peraton Corp.  Aerospace & Defense  Term Loan B   Loan     1M USD SOFR+  3.75%   0.75%   9.20%   2/1/2028    5,250,093    5,236,942    5,213,553 
PHYSICIAN PARTNERS, LLC  Healthcare & Pharmaceuticals  Term Loan   Loan     3M USD SOFR+  4.00%   0.50%   9.53%   12/23/2028    2,966,209    2,904,698    2,794,406 
Pike Corporation  Construction & Building  Term Loan (8/22)   Loan     1M USD SOFR+  3.50%   0.00%   8.85%   1/21/2028    495,000    484,990    494,941 
Pitney Bowes Inc  Services: Business  Term Loan B   Loan     1M USD SOFR+  4.00%   0.00%   9.46%   3/17/2028    3,909,849    3,886,929    3,795,016 
Plastipak Holdings Inc.  Containers, Packaging & Glass  Term Loan B (11/21)   Loan     1M USD SOFR+  2.50%   0.50%   7.95%   12/1/2028    1,906,176    1,899,212    1,902,612 
Playtika Holding Corp.  High Tech Industries  Term Loan B (3/21)   Loan     1M USD SOFR+  2.75%   0.00%   8.21%   3/13/2028    4,387,500    4,381,054    4,355,691 
PMHC II, INC.  Chemicals, Plastics, & Rubber  Term Loan (02/22)   Loan     3M USD SOFR+  4.25%   0.50%   9.81%   4/21/2029    1,980,000    1,972,003    1,769,011 
PointClickCare Technologies, Inc.  High Tech Industries  Term Loan B   Loan     6M USD SOFR+  3.00%   0.75%   8.76%   12/29/2027    487,500    485,978    486,281 
Polymer Process Holdings, Inc.  Containers, Packaging & Glass  Term Loan   Loan     1M USD SOFR+  4.75%   0.75%   10.21%   2/12/2028    5,362,500    5,324,344    4,985,463 

 

57

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Pre-Paid Legal Services, Inc.  Services: Consumer  Term Loan (12/21)   Loan     1M USD SOFR+  3.75%   0.50%   9.21%   12/15/2028    2,955,000    2,935,606    2,923,854 
Presidio, Inc.  Services: Business  Term Loan B (1/20)   Loan     3M USD SOFR+  3.50%   0.00%   8.98%   1/22/2027    483,750    483,344    483,508 
Prime Security Services Borrower, LLC (ADT)  Services: Consumer  Term Loan B (10/23)   Loan     1M USD SOFR+  2.50%   0.00%   7.83%   10/11/2030    2,000,000    1,980,233    2,000,140 
PRIORITY HOLDINGS, LLC  Services: Consumer  Term Loan   Loan     1M USD SOFR+  5.75%   1.00%   11.21%   4/27/2027    2,932,500    2,913,181    2,921,503 
PriSo Acquisition Corporation  Construction & Building  Term Loan (01/21)   Loan     3M USD SOFR+  3.25%   0.75%   8.91%   12/28/2027    487,493    485,875    469,324 
Project Leopard Holdings, Inc. (NEW)  High Tech Industries  Term Loan B (06/22)   Loan     3M USD SOFR+  5.25%   0.50%   10.73%   7/20/2029    992,500    932,308    861,619 
Propulsion (BC) Finco  Aerospace & Defense  Term Loan   Loan     3M USD SOFR+  3.75%   0.50%   9.14%   9/14/2029    750,000    742,500    747,855 
PUG LLC  Services: Consumer  Term Loan B (02/20)   Loan     1M USD SOFR+  3.50%   0.00%   8.96%   2/12/2027    476,413    475,263    460,634 
Quartz AcquireCo, LLC  High Tech Industries  Term Loan B   Loan     1M USD SOFR+  3.50%   0.00%   8.85%   6/28/2030    1,000,000    990,335    1,000,000 
QUEST BORROWER LIMITED  High Tech Industries  Term Loan (1/22)   Loan     3M USD SOFR+  4.25%   0.50%   9.78%   2/1/2029    1,975,000    1,959,333    1,438,788 
Rackspace Technology Global, Inc.  High Tech Industries  Term Loan (1/21)   Loan     1M USD SOFR+  2.75%   0.75%   8.19%   2/15/2028    2,952,114    2,872,658    1,203,902 
RAND PARENT LLC  Transportation: Cargo  Term Loan B   Loan     3M USD SOFR+  4.25%   0.00%   9.64%   3/16/2030    2,487,500    2,404,220    2,436,506 
RealPage, Inc.  High Tech Industries  Term Loan (04/21)   Loan     1M USD SOFR+  3.00%   0.50%   8.46%   4/24/2028    980,000    978,635    954,892 
Recess Holdings, Inc.  Consumer goods: Durable  Term Loan B   Loan     3M USD SOFR+  4.00%   1.00%   9.39%   3/17/2027    1,000,000    990,639    998,130 
Rent-A-Center, Inc.  Retail  Term Loan B2 (9/21)   Loan     6M USD SOFR+  3.25%   0.50%   9.12%   2/17/2028    1,865,209    1,831,318    1,858,215 
Research Now Group, Inc  Media: Advertising, Printing & Publishing  Term Loan   Loan     3M USD SOFR+  5.50%   1.00%   11.14%   12/20/2024    4,264,202    4,235,793    3,156,832 
Resideo Funding Inc.  Services: Consumer  Term Loan (1/21)   Loan     1M USD SOFR+  2.25%   0.50%   7.69%   2/11/2028    1,462,500    1,461,040    1,463,231 
Resolute Investment Managers (American Beacon), Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)   Loan     3M USD SOFR+  4.25%   1.00%   9.79%   4/30/2024    3,004,051    3,002,736    1,903,817 
Restoration Hardware, Inc.  Retail  Term Loan (9/21)   Loan     1M USD SOFR+  2.50%   0.50%   7.96%   10/20/2028    3,436,140    3,431,061    3,242,857 
Reynolds Consumer Products LLC  Containers, Packaging & Glass  Term Loan   Loan     1M USD SOFR+  1.75%   0.00%   7.17%   1/29/2027    1,148,220    1,148,220    1,147,347 

 

58

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
Reynolds Group Holdings Inc.  Containers, Packaging & Glass  Term Loan B2   Loan     1M USD SOFR+  3.25%   0.00%   8.71%   2/5/2026    1,933,578    1,928,916    1,935,918 
Russell Investments US Inst’l Holdco, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)   Loan     1M USD SOFR+  3.50%   1.00%   8.92%   6/2/2025    5,503,217    5,484,868    5,146,884 
RV Retailer LLC  Automotive  Term Loan   Loan     1M USD SOFR+  3.75%   0.75%   9.19%   2/8/2028    2,935,225    2,896,162    2,348,180 
Ryan Specialty Group LLC  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  3.00%   0.75%   8.45%   9/1/2027    1,467,278    1,457,466    1,467,278 
S&S HOLDINGS LLC  Services: Business  Term Loan   Loan     3M USD SOFR+  5.00%   0.50%   10.50%   3/10/2028    2,439,950    2,397,129    2,353,332 
Sally Holdings LLC  Retail  Term Loan B   Loan     1M USD SOFR+  2.25%   0.00%   7.60%   2/28/2030    497,500    494,003    497,500 
Schweitzer-Mauduit International, Inc.  High Tech Industries  Term Loan B   Loan     1M USD SOFR+  3.75%   0.75%   9.21%   4/20/2028    2,932,500    2,921,724    2,888,513 
Scientific Games Holdings LP  Hotel, Gaming & Leisure  Term Loan B   Loan     3M USD SOFR+  3.50%   0.50%   8.91%   4/4/2029    495,000    494,105    492,129 
Sedgwick Claims Management Services, Inc.  Services: Business  Term Loan B 2/23   Loan     1M USD SOFR+  3.75%   0.00%   9.10%   2/17/2028    995,000    986,084    995,746 
SETANTA AIRCRAFT LEASING DAC  Aerospace & Defense  Term Loan   Loan     3M USD SOFR+  2.00%   0.00%   7.65%   11/2/2028    1,000,000    998,223    999,690 
Sitel Worldwide Corporation  Services: Business  USD Term Loan (7/21)   Loan     1M USD SOFR+  3.75%   0.50%   9.21%   8/28/2028    1,960,000    1,953,329    1,868,860 
SiteOne Landscape Supply, LLC  Services: Business  Term Loan (3/21)   Loan     1M USD SOFR+  2.00%   0.50%   7.46%   3/18/2028    1,270,636    1,264,813    1,270,636 
SMG US Midco 2, Inc.  Services: Business  Term Loan (01/20)   Loan     3M USD SOFR+  2.50%   0.00%   8.14%   1/23/2025    481,250    481,250    481,009 
Smyrna Ready Mix Concrete, LLC  Construction & Building  Term Loan B   Loan     1M USD SOFR+  3.50%   0.00%   8.83%   4/1/2029    514,217    510,649    514,217 
Sotheby’s  Services: Business  Term Loan (7/21)   Loan     3M USD SOFR+  4.50%   0.50%   10.16%   1/15/2027    3,199,197    3,165,699    3,108,212 
Sparta U.S. HoldCo LLC  Chemicals, Plastics, & Rubber  Term Loan (04/21)   Loan     1M USD SOFR+  3.25%   0.75%   8.68%   8/2/2028    1,965,000    1,958,268    1,943,955 
Specialty Pharma III Inc.  Services: Business  Term Loan   Loan     1M USD SOFR+  4.25%   0.75%   9.70%   3/31/2028    1,960,000    1,946,802    1,901,200 
Spin Holdco, Inc.  Services: Consumer  Term Loan 3/21   Loan     3M USD SOFR+  4.00%   0.75%   9.66%   3/4/2028    2,925,000    2,914,050    2,530,652 
Spirit Aerosystems Inc.  Aerospace & Defense  Term Loan   Loan     3M USD SOFR+  4.25%   0.50%   9.62%   1/14/2027    -    3,010    - 
SRAM, LLC  Consumer goods: Durable  Term Loan (05/21)   Loan     1M USD LIBOR+  2.75%   0.50%   7.94%   5/12/2028    2,654,545    2,651,633    2,637,955 

 

59

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair Value 
STANDARD INDUSTRIES INC.  Construction & Building  Term Loan B   Loan     1M USD SOFR+  2.25%   0.50%   7.70%   9/22/2028    622,750    618,411    622,750 
Staples, Inc.  Wholesale  Term Loan (03/19)   Loan     1M USD SOFR+  5.00%   0.00%   10.43%   4/16/2026    4,307,528    4,232,220    3,927,647 
Star Parent, Inc.  Services: Business  Term Loan B (09/23)   Loan     3M USD SOFR+  4.00%   0.00%   9.39%   9/19/2030    1,250,000    1,231,694    1,220,663 
Storable, Inc  High Tech Industries  Term Loan B   Loan     1M USD SOFR+  3.50%   0.50%   8.85%   4/17/2028    491,250    490,647    486,686 
Summit Materials, LLC  Metals & Mining  Term Loan B (12/22)   Loan     6M USD SOFR+  3.00%   0.00%   8.57%   12/13/2027    248,125    246,032    248,311 
Superannuation & Investments US LLC  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  3.75%   0.50%   9.21%   12/1/2028    982,500    975,039    980,348 
Sweetwater Borrower, LLC  Retail  Term Loan (8/21)   Loan     1M USD SOFR+  4.25%   0.75%   9.71%   8/2/2028    1,897,331    1,817,038    1,864,128 
Syncsort Incorporated  High Tech Industries  Term Loan B (10/21)   Loan     3M USD SOFR+  4.00%   0.75%   9.64%   4/24/2028    2,451,228    2,450,470    2,389,947 
Ta TT Buyer LLC  Media: Broadcasting & Subscription  Term Loan 3/22   Loan     3M USD SOFR+  5.00%   0.50%   10.39%   4/2/2029    990,000    981,723    987,525 
Tenable Holdings, Inc.  Services: Business  Term Loan B (6/21)   Loan     1M USD SOFR+  2.75%   0.50%   8.21%   7/7/2028    982,500    980,870    980,044 
Teneo Holdings LLC  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  5.25%   1.00%   10.70%   7/15/2025    4,349,239    4,311,114    4,335,669 
Ten-X, LLC  Banking, Finance, Insurance & Real Estate  Term Loan 5/23   Loan     1M USD SOFR+  6.00%   0.00%   11.35%   5/25/2028    1,885,000    1,884,599    1,791,334 
The Dun & Bradstreet Corporation  Services: Business  Term Loan B   Loan     1M USD SOFR+  3.00%   0.00%   8.34%   1/18/2029    246,250    244,835    246,250 
The Dun & Bradstreet Corporation  Services: Business  Term Loan B (7/23)   Loan     1M USD SOFR+  2.75%   0.00%   8.19%   2/6/2026    905,556    905,108    905,701 
Thor Industries, Inc.  Automotive  Term Loan B2   Loan     1M USD SOFR+  2.75%   0.00%   8.07%   11/15/2030    847,276    838,835    849,394 
Torrid LLC  Wholesale  Term Loan 5/21   Loan     6M USD SOFR+  5.50%   0.75%   11.26%   6/14/2028    3,339,681    2,907,402    2,237,586 
TORY BURCH LLC  Retail  Term Loan   Loan     1M USD SOFR+  3.25%   0.50%   8.71%   4/15/2028    2,314,001    2,172,572    2,287,321 
Tosca Services, LLC  Containers, Packaging & Glass  Term Loan (2/21)   Loan     3M USD SOFR+  3.50%   0.75%   9.14%   8/18/2027    486,250    482,017    399,941 
Trans Union LLC  Banking, Finance, Insurance & Real Estate  Term Loan   Loan     1M USD SOFR+  2.25%   0.50%   7.71%   12/1/2028    619,597    618,540    619,386 
Transdigm, Inc.  Aerospace & Defense  Term Loan H   Loan     3M USD SOFR+  3.25%   0.00%   8.64%   2/21/2027    1,978,420    1,975,263    1,979,349 

 

60

 

 

Issuer Name  Industry  Asset Name  Asset
Type
   Reference
Rate/Spread
   SOFR/LIBOR Floor   Current Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
TRITON WATER HOLDINGS, INC.  Beverage, Food & Tobacco  Term Loan (03/21)   Loan     3M USD SOFR+  3.25%   0.50%   8.90%   3/31/2028    1,466,253    1,461,285    1,440,594 
Tronox Finance LLC  Chemicals, Plastics, & Rubber  Term Loan   Loan     1M USD SOFR+  2.50%   0.00%   7.96%   3/10/2028    346,923    346,508    342,285 
Tronox Finance LLC  Chemicals, Plastics, & Rubber  Incremental Term Loan   Loan     1M USD SOFR+  3.50%   0.50%   8.85%   8/11/2028    2,000,000    1,980,723    1,989,380 
TruGreen Limited Partnership  Services: Consumer  Term Loan   Loan     1M USD SOFR+  4.00%   0.75%   9.45%   10/29/2027    947,196    942,620    887,324 
Uber Technologies, Inc.  Transportation: Consumer  Term Loan 2/23   Loan     3M USD SOFR+  2.75%   0.00%   8.16%   2/27/2030    396,688    395,747    397,434 
Ultra Clean Holdings, Inc.  High Tech Industries  Incremental Term Loan 3/21   Loan     1M USD SOFR+  3.75%   0.00%   9.21%   8/27/2025    769,730    768,007    769,968 
Unimin Corporation  Metals & Mining  Term Loan (12/20)   Loan     3M USD SOFR+  4.00%   1.00%   9.68%   7/31/2026    496,815    480,224    491,936 
United Natural Foods, Inc  Beverage, Food & Tobacco  Term Loan B   Loan     1M USD SOFR+  3.25%   0.00%   8.71%   10/22/2025    1,270,714    1,243,594    1,265,263 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/21)   Loan     1M USD SOFR+  3.25%   0.75%   8.71%   3/15/2026    2,428,019    2,423,974    2,423,770 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/22)   Loan     3M USD SOFR+  4.25%   0.50%   9.64%   6/25/2029    246,875    240,628    246,413 
USI T/L (09/23)     Term Loan (09/23)   Loan                           -    2    - 
Utz Quality Foods, LLC  Beverage, Food & Tobacco  Term Loan B   Loan     3M USD SOFR+  3.00%   0.00%   8.64%   1/20/2028    1,814,474    1,813,602    1,811,643 
Vaco Holdings, LLC  Services: Business  Term Loan (01/22)   Loan     6M USD SOFR+  5.00%   0.75%   10.59%   1/19/2029    2,324,466    2,264,168    2,243,110 
Vericast Corp.  Media: Advertising, Printing & Publishing  Term Loan   Loan     3M USD SOFR+  7.75%   1.00%   13.40%   6/15/2026    1,201,006    1,200,103    1,138,950 
Verifone Systems, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (7/18)   Loan     3M USD SOFR+  4.00%   0.00%   9.64%   8/20/2025    1,357,316    1,354,603    1,284,197 
Vertex Aerospace Services Corp  Aerospace & Defense  Term Loan (10/21)   Loan     1M USD SOFR+  3.25%   0.75%   8.70%   12/6/2028    985,000    981,666    983,926 
VFH Parent LLC  Banking, Finance, Insurance & Real Estate  Term Loan (01/22)   Loan     1M USD SOFR+  3.00%   0.50%   8.45%   1/12/2029    3,069,879    3,064,493    3,059,135 
Viasat Inc  Telecommunications  Term Loan (2/22)   Loan     1M USD SOFR+  4.50%   0.50%   9.85%   3/2/2029    2,974,912    2,913,288    2,859,218 
Virtus Investment Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (9/21)   Loan     1M USD SOFR+  2.25%   0.00%   7.71%   9/28/2028    2,830,909    2,824,386    2,823,832 
Vistra Energy Corp  Utilities: Electric  2018 Incremental Term Loan   Loan     1M USD SOFR+  1.75%   0.00%   7.21%   12/31/2025    889,393    889,296    889,508 
Vizient, Inc  Healthcare & Pharmaceuticals  Term Loan 4/22   Loan     1M USD SOFR+  2.25%   0.50%   7.70%   5/16/2029    493,750    489,630    494,367 
VM Consolidated, Inc.  Construction & Building  Term Loan B (3/21)   Loan     1M USD SOFR+  3.25%   0.00%   8.71%   3/24/2028    1,847,267    1,845,878    1,851,497 
Vouvray US Finance LLC  High Tech Industries  Term Loan   Loan     1M USD SOFR+  6.00%   1.00%   11.35%   9/30/2025    467,500    467,500    461,268 
Walker & Dunlop, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (12/22)   Loan     1M USD SOFR+  3.00%   0.50%   8.45%   12/15/2028    497,500    488,708    495,013 
Warner Music Group Corp. (WMG Acquisition Corp.)  Hotel, Gaming & Leisure  Term Loan G   Loan     1M USD SOFR+  2.13%   0.00%   7.59%   1/20/2028    1,250,000    1,249,887    1,249,225 
Watlow Electric Manufacturing Company  High Tech Industries  Term Loan B   Loan     3M USD SOFR+  3.75%   0.50%   9.40%   3/2/2028    2,893,795    2,883,133    2,861,848 
WeddingWire, Inc.  Services: Consumer  Term Loan (09/23)   Loan     1M USD SOFR+  4.50%   0.00%   9.85%   1/29/2028    4,808,923    4,805,746    4,742,801 
WEX Inc.  Services: Business  Term Loan B (3/21)   Loan     1M USD SOFR+  2.25%   0.00%   7.71%   3/31/2028    2,932,368    2,925,031    2,934,890 
WildBrain Ltd.  Media: Diversified & Production  Term Loan   Loan     1M USD SOFR+  4.25%   0.75%   9.71%   3/27/2028    1,950,000    1,923,431    1,890,291 
Wyndham Hotels & Resorts, Inc.  Hotel, Gaming & Leisure  Term Loan  5/23   Loan     1M USD SOFR+  2.25%   0.00%   7.70%   5/24/2030    997,500    992,657    998,468 
Xerox 10/23 T/L B  Services: Business  Term Loan   Loan     1M USD SOFR+  4.25%   0.50%   9.68%   10/16/2028    -    263    - 
Xperi Corporation  High Tech Industries  Term Loan   Loan     1M USD SOFR+  3.50%   0.00%   8.97%   6/8/2028    2,188,346    2,183,612    2,180,819 
Zayo Group, LLC  Telecommunications  Term Loan 4/22   Loan     1M USD SOFR+  4.25%   0.50%   9.67%   3/9/2027    985,000    966,759    838,068 
ZEBRA BUYER (Allspring) LLC  Banking, Finance, Insurance & Real Estate  Term Loan 4/21   Loan     3M USD SOFR+  3.25%   0.50%   8.95%   11/1/2028    1,871,259    1,862,197    1,841,524 
Zekelman Industries, Inc.  Metals & Mining  Term Loan (01/20)   Loan     1M USD SOFR+  2.00%   0.00%   7.44%   1/25/2027    955,889    955,889    952,964 
Zest Acquisition Corp.  Healthcare & Pharmaceuticals  Term Loan (1/23)   Loan     1M USD SOFR+  5.50%   0.00%   10.85%   2/8/2028    1,985,000    1,898,214    1,935,375 
Zodiac Pool Solutions  High Tech Industries  Term Loan (1/22)   Loan     1M USD SOFR+  4.25%   0.00%   9.70%   11/28/2025    491,250    490,406    489,161 
 TOTAL INVESTMENTS                                         $

632,389,108

   $

595,446,850

 

 

61

 

 

   Number of Shares   Cost   Fair Value 
Cash and cash equivalents            
U.S. Bank Money Market (b)   13,681,256   $13,681,256   $13,681,256 
Total cash and cash equivalents   13,681,256   $13,681,256   $13,681,256 

 

(a)As of November 30, 2023, the investment was in default and on non-accrual status.
(b)Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of November 30, 2023.
(c)Investments include Payment-in-Kind Interest.

 

LIBOR—London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

 

1M USD LIBOR—The 1 month USD LIBOR rate as of November 30, 2023 was 5.46%.

3M USD LIBOR—The 3 month USD LIBOR rate as of November 30, 2023 was 5.63%.

6M USD LIBOR—The 6 month USD LIBOR rate as of November 30, 2023 was 5.76%.

1M SOFR - The 1 month SOFR rate as of November 30, 2023 was 5.34%.

3M SOFR - The 3 month SOFR rate as of November 30, 2023 was 5.37%.

6M SOFR - The 6 month SOFR rate as of November 30, 2023 was 5.33%.

 

Prime—The Prime Rate as of November 30, 2023 was 8.50%.

 

See accompanying notes to financial statements.

 

62

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

February 28, 2023

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
19TH HOLDINGS GOLF, LLC  Consumer goods: Durable  Term Loan  Loan   1M USD SOFR+  3.00%   0.50%   7.67%   2/7/2029   $1,997,500   $1,924,905   $1,901,380 
888 Acquisitions Limited  Hotel, Gaming & Leisure  Term Loan B  Loan   3M USD SOFR+  5.25%   0.00%   9.93%   7/8/2028    2,494,565    2,143,085    2,126,617 
ADMI Corp.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+  3.00%   0.00%   7.63%   4/30/2025    1,910,276    1,907,516    1,825,517 
Adtalem Global Education Inc.  Services: Business  Term Loan B (02/21)  Loan   1M USD LIBOR+  4.00%   0.75%   8.63%   8/11/2028    691,846    686,475    689,992 
Aegis Sciences Corporation  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  5.50%   1.00%   10.36%   5/9/2025    2,349,601    2,341,307    2,268,540 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan (09/20)  Loan   1M USD LIBOR+  2.75%   0.75%   7.38%   1/4/2026    214,286    213,103    212,946 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan (1/19)  Loan   1M USD LIBOR+  2.75%   0.00%   7.38%   1/4/2026    1,468,430    1,463,378    1,457,416 
AHEAD DB Holdings, LLC  Services: Business  Term Loan (04/21)  Loan   3M USD LIBOR+  3.75%   0.75%   8.48%   10/18/2027    2,955,000    2,871,299    2,915,285 
AI Convoy (Luxembourg) S.a.r.l.  Aerospace & Defense  Term Loan B (USD)  Loan   6M USD LIBOR+  3.50%   1.00%   8.17%   1/18/2027    -    -    - 
Air Canada  Transportation: Consumer  Term Loan B (07/21)  Loan   3M USD LIBOR+  3.50%   0.75%   8.37%   8/11/2028    1,990,000    1,851,613    1,984,408 
AIS HoldCo, LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+  5.00%   0.00%   9.83%   8/15/2025    4,789,642    4,700,517    4,622,004 
AIT Worldwide Logistics Holdings, Inc.  Transportation: Cargo  Term Loan (04/21)  Loan   1M USD LIBOR+  4.75%   0.75%   9.33%   4/6/2028    2,500,000    2,333,827    2,407,300 
AL GCX Holdings (Arclight) T/L B  Energy: Oil & Gas  Term Loan B  Loan   3M USD SOFR+  3.50%   0.50%   8.28%   5/17/2029    976,802    971,918    975,581 
Alchemy US Holdco 1, LLC  Metals & Mining  Term Loan  Loan   1M USD LIBOR+  5.50%   0.00%   5.60%   10/10/2025    1,654,803    1,644,633    1,551,378 
AlixPartners, LLP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   2/4/2028    245,625    245,275    245,050 
Alkermes, Inc.  Healthcare & Pharmaceuticals  Term Loan B (3/21)  Loan   1M USD LIBOR+  2.50%   0.50%   7.11%   3/12/2026    2,126,218    2,112,914    2,062,432 
Allen Media, LLC  Media: Diversified & Production  Term Loan (7/21)  Loan   3M USD SOFR+  5.50%   0.00%   10.23%   2/10/2027    4,394,261    4,368,566    3,649,434 
Alliant Holdings Intermediate, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B4  Loan   1M USD LIBOR+  3.50%   0.50%   8.09%   11/5/2027    987,500    986,800    974,781 
Allied Universal Holdco LLC  Services: Business  Term Loan 4/21  Loan   1M USD SOFR+  3.75%   0.50%   8.47%   5/12/2028    1,975,000    1,967,474    1,900,404 
Altisource Solutions S.a r.l.  Banking, Finance, Insurance & Real Estate  Term Loan B (03/18)  Loan   3M USD LIBOR+  4.00%   1.00%   8.73%   4/3/2024    1,126,283    1,124,635    893,142 

 

63

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Altium Packaging LLC  Containers, Packaging & Glass  Term Loan (01/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   1/29/2028    491,250    489,554    480,506 
American Airlines T/L (2/23)  Transportation: Consumer  Term Loan  Loan   N/A  N/A    N/A    N/A    N/A    -    27    - 
American Axle & Manufacturing Inc.  Automotive  Term Loan (12/22)  Loan   1M USD SOFR+  3.50%   0.50%   8.16%   12/5/2029    500,000    485,367    499,000 
American Greetings Corporation  Media: Advertising, Printing & Publishing  Term Loan  Loan   1M USD LIBOR+  4.50%   1.00%   9.07%   4/6/2024    3,012,861    3,011,462    3,011,596 
American Trailer World Corp  Automotive  Term Loan  Loan   1M USD SOFR+  3.75%   0.75%   8.47%   3/3/2028    1,357,439    1,354,762    1,194,967 
AmWINS Group, LLC  Banking, Finance, Insurance & Real Estate  Term Loan 2/21  Loan   1M USD LIBOR+  2.25%   0.75%   6.88%   2/17/2028    1,960,017    1,940,778    1,926,462 
Anastasia Parent LLC  Consumer goods: Non-durable  Term Loan  Loan   3M USD LIBOR+  3.75%   0.00%   8.48%   8/11/2025    957,500    955,643    791,134 
Anchor Glass Container Corporation  Containers, Packaging & Glass  Term Loan (07/17)  Loan   3M USD LIBOR+  2.75%   1.00%   7.48%   12/7/2023    470,138    469,901    333,915 
Anchor Packaging, LLC  Containers, Packaging & Glass  Term Loan B  Loan   1M USD LIBOR+  4.00%   0.00%   8.63%   7/18/2026    977,215    971,052    952,785 
ANI Pharmaceuticals, Inc.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+  6.00%   0.75%   10.63%   11/19/2027    2,970,000    2,922,446    2,866,050 
AP Core Holdings II LLC  High Tech Industries  Term Loan B1  Loan   1M USD LIBOR+  5.50%   0.75%   10.13%   9/1/2027    1,875,000    1,852,824    1,802,344 
AP Core Holdings II LLC  High Tech Industries  Term Loan B2  Loan   1M USD LIBOR+  5.50%   0.75%   10.13%   9/1/2027    500,000    494,095    480,415 
APEX GROUP TREASURY LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   3M USD SOFR+  5.00%   0.50%   9.66%   7/26/2028    500,000    468,464    497,500 
APi Group DE, Inc. (J2 Acquisition)  Services: Business  Term Loan B  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   10/1/2026    1,757,184    1,751,429    1,754,548 
APLP Holdings Limited Partnership  Energy: Electricity  Term Loan B (3/21)  Loan   3M USD LIBOR+  3.75%   1.00%   8.48%   5/14/2027    440,541    437,327    440,726 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  2.75%   0.00%   7.38%   5/15/2026    2,939,086    2,914,348    2,850,914 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1 (2/21)  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   3/6/2028    982,500    975,109    928,463 
AppLovin Corporation  High Tech Industries  Term Loan (10/21)  Loan   3M USD SOFR+  3.10%   0.50%   7.70%   10/21/2028    1,488,750    1,485,729    1,472,002 
AppLovin Corporation  High Tech Industries  Term Loan B  Loan   3M USD SOFR+  3.35%   0.00%   7.94%   8/15/2025    979,592    979,592    972,245 
Aramark Corporation  Services: Consumer  Term Loan B (4/21)  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   4/1/2028    1,753,715    1,747,448    1,747,139 

 

64

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Aramark Corporation  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   1/15/2027    2,331,250    2,280,733    2,305,023 
ARC FALCON I INC.  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  3.75%   0.50%   8.38%   9/23/2028    863,885    860,682    811,836 
ARC FALCON I INC. (a)  Chemicals, Plastics, & Rubber  Delayed Draw Term Loan  Loan   3M USD LIBOR+  1.00%   0.50%   1.00%   9/29/2028    -    (512)   (7,675)
Arches Buyer Inc.  Services: Consumer  Term Loan B  Loan   1M USD SOFR+  3.25%   0.50%   7.97%   12/6/2027    1,484,848    1,477,106    1,395,758 
Aretec Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/18)  Loan   1M USD SOFR+  4.25%   0.00%   8.97%   10/1/2025    1,916,203    1,913,228    1,887,460 
ASP BLADE HOLDINGS, INC.  Capital Equipment  Term Loan  Loan   3M USD LIBOR+  4.00%   0.50%   8.73%   10/7/2028    99,059    98,658    82,491 
Asplundh Tree Expert, LLC  Services: Business  Term Loan 2/21  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   9/7/2027    977,500    974,396    974,010 
AssuredPartners Capital, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (2/20)  Loan   1M USD LIBOR+  3.50%   0.00%   8.13%   2/12/2027    989,796    986,847    967,773 
AssuredPartners Inc.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+  3.50%   0.50%   8.12%   2/12/2027    496,250    495,400    485,084 
AssuredPartners Inc.  Banking, Finance, Insurance & Real Estate  Incremental Term Loan (7/21)  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   2/12/2027    985,000    985,000    962,838 
ASTRO ONE ACQUISITION CORPORATION  Consumer goods: Durable  Term Loan  Loan   3M USD LIBOR+  5.50%   0.75%   10.23%   9/15/2028    2,970,000    2,946,187    1,767,150 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B10  Loan   3M USD SOFR+  4.00%   0.00%   8.68%   8/19/2028    1,995,000    1,901,937    1,866,741 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B8  Loan   1M USD LIBOR+  3.25%   0.00%   7.88%   12/18/2026    2,964,858    2,956,667    2,817,683 
ATHENAHEALTH GROUP INC.  Healthcare & Pharmaceuticals  Term Loan B (2/22)  Loan   1M USD SOFR+  3.50%   0.50%   8.06%   2/15/2029    1,330,543    1,325,206    1,227,426 
ATHENAHEALTH GROUP INC. (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan (02/22)  Loan   3M USD LIBOR+  3.50%   0.50%   3.50%   2/15/2029    -    -    (12,636)
Avison Young (Canada) Inc  Services: Business  Term Loan (08/22)  Loan   1M USD SOFR+  7.00%   0.00%   11.73%   1/31/2026    748,125    708,918    635,906 
Avison Young (Canada) Inc  Services: Business  Term Loan  Loan   1M USD SOFR+  5.75%   0.00%   10.48%   1/31/2026    3,370,882    3,344,831    2,646,142 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B5 (7/21)  Loan   1M USD LIBOR+  2.25%   0.50%   6.85%   12/1/2027    490,000    486,530    489,539 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B3  Loan   1M USD LIBOR+  1.75%   0.75%   6.35%   1/15/2025    1,000,000    932,184    998,440 
Axalta Coating Systems Dutch Holding B B.V.  Chemicals, Plastics, & Rubber  Term Loan B-4 Dollar  Loan   3M USD SOFR+  3.00%   0.50%   7.51%   12/7/2029    1,000,000    990,447    1,003,570 

 

65

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
AZURITY PHARMACEUTICALS, INC.  Healthcare & Pharmaceuticals  Term Loan B  Loan   3M USD LIBOR+  6.00%   0.75%   10.75%   9/20/2027    475,000    463,094    457,188 
B&G Foods, Inc.  Beverage, Food & Tobacco  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   10/10/2026    642,295    638,890    613,391 
B.C. Unlimited Liability Co (Burger King)  Beverage, Food & Tobacco  Term Loan B4  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   11/19/2026    1,455,000    1,430,342    1,440,712 
BAKELITE UK INTERMEDIATE LTD.  Chemicals, Plastics, & Rubber  Term Loan  Loan   3M USD SOFR+  4.00%   0.50%   8.73%   5/29/2029    995,000    990,609    940,275 
Baldwin Risk Partners, LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  3.50%   0.50%   8.10%   10/14/2027    1,226,325    1,215,617    1,205,637 
Bausch Health Companies Inc.  Healthcare & Pharmaceuticals  Term Loan B (1/22)  Loan   1M USD SOFR+  5.25%   0.50%   9.91%   2/1/2027    1,950,000    1,764,574    1,534,299 
Belfor Holdings Inc.  Services: Consumer  Term Loan B-2 (3/22)  Loan   1M USD SOFR+  4.25%   0.50%   8.87%   4/6/2026    994,911    971,026    992,424 
Belfor Holdings Inc.  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  4.00%   0.00%   8.63%   4/6/2026    245,547    245,547    244,995 
Belron Finance US LLC  Automotive  Term Loan B (3/21)  Loan   3M USD LIBOR+  2.50%   0.50%   7.38%   4/13/2028    1,965,000    1,950,181    1,960,913 
Bengal Debt Merger Sub LLC  Beverage, Food & Tobacco  Term Loan  Loan   3M USD SOFR+  3.25%   0.50%   7.93%   1/24/2029    1,990,000    1,988,811    1,804,273 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (6/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   4/23/2026    1,465,141    1,457,842    1,441,332 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  2.25%   0.00%   6.88%   4/23/2026    979,747    975,006    952,804 
Blue Tree Holdings, Inc.  Chemicals, Plastics, & Rubber  Term Loan (2/21)  Loan   3M USD LIBOR+  2.50%   0.00%   7.23%   3/4/2028    982,500    980,692    967,763 
Bombardier Recreational Products, Inc.  Consumer goods: Durable  Term Loan  12/22  Loan   1M USD SOFR+  3.50%   0.50%   8.12%   12/12/2029    498,750    486,572    496,007 
Bombardier Recreational Products, Inc.  Consumer goods: Durable  Term Loan (1/20)  Loan   1M USD LIBOR+  2.00%   0.00%   6.63%   5/24/2027    1,455,049    1,449,140    1,416,854 
Boxer Parent Company, Inc.  High Tech Industries  Term Loan (2/21)  Loan   1M USD LIBOR+  3.75%   0.00%   8.38%   10/2/2025    516,794    516,794    509,827 
Bracket Intermediate Holding Corp  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  4.25%   0.00%   9.04%   9/5/2025    957,500    955,597    929,378 
BrightSpring Health Services (Phoenix Guarantor)  Healthcare & Pharmaceuticals  Term Loan B-3  Loan   1M USD LIBOR+  3.50%   0.00%   8.13%   3/5/2026    982,500    982,500    967,556 
BroadStreet Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B3  Loan   1M USD LIBOR+  3.00%   0.00%   7.63%   1/22/2027    2,948,786    2,944,577    2,906,412 
Brookfield WEC Holdings Inc.  Energy: Electricity  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   8/1/2025    1,462,613    1,464,152    1,456,090 

 

66

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
BROWN GROUP HOLDING, LLC  Aerospace & Defense  Term Loan B-2  Loan   1M USD SOFR+  3.75%   0.00%   8.37%   6/8/2029    498,750    487,209    498,336 
Buckeye Partners, L.P.  Utilities: Oil & Gas  Term Loan (1/21)  Loan   1M USD LIBOR+  2.25%   0.00%   6.82%   11/1/2026    1,950,188    1,941,198    1,946,931 
BW Gas & Convenience Holdings LLC  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   3/31/2028    2,462,500    2,443,814    2,437,875 
Callaway Golf Company  Retail  Term Loan B  Loan   1M USD LIBOR+  4.50%   0.00%   9.13%   1/4/2026    675,000    668,575    674,582 
Camping World, Inc.  Retail  Term Loan B (5/21)  Loan   1M USD LIBOR+  2.50%   0.75%   7.09%   6/5/2028    2,487,342    2,268,038    2,208,560 
CareerBuilder, LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+  6.75%   1.00%   11.48%   7/31/2023    5,393,388    5,347,671    3,513,792 
Castle US Holding Corporation  Media: Advertising, Printing & Publishing  Term Loan B (USD)  Loan   1M USD LIBOR+  3.75%   0.00%   8.38%   1/27/2027    1,963,384    1,954,023    1,375,469 
CASTLELAKE AVIATION LLC  Aerospace & Defense  Term Loan B  Loan   1M USD SOFR+  2.75%   0.50%   7.31%   10/21/2027    1,000,000    992,500    987,080 
CBI BUYER, INC.  Consumer goods: Durable  Term Loan  Loan   1M USD LIBOR+  3.25%   0.50%   7.88%   1/6/2028    2,969,887    2,814,181    2,026,948 
CCC Intelligent Solutions Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+  2.25%   0.50%   6.88%   9/16/2028    247,500    247,017    244,612 
CCI Buyer, Inc  Telecommunications  Term Loan  Loan   3M USD SOFR+  4.00%   0.75%   8.58%   12/17/2027    245,625    243,880    241,223 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD SOFR+  4.25%   0.50%   8.97%   3/5/2028    1,000,000    951,484    975,000 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+  3.75%   0.75%   8.39%   3/5/2028    982,500    978,899    957,938 
CCS-CMGC Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+  5.50%   0.00%   10.13%   9/25/2025    2,400,000    2,390,330    1,605,504 
CDK GLOBAL, INC.  High Tech Industries  Term Loan B  Loan   3M USD SOFR+  4.50%   0.50%   9.08%   7/6/2029    1,000,000    971,508    996,150 
Cengage Learning, Inc.  Media: Advertising, Printing & Publishing  Term Loan B (6/21)  Loan   6M USD LIBOR+  4.75%   1.00%   9.88%   7/14/2026    2,962,500    2,942,124    2,794,171 
CENTURI GROUP, INC.  Construction & Building  Term Loan B  Loan   3M USD LIBOR+  2.50%   0.50%   7.45%   8/27/2028    878,330    871,190    870,100 
CenturyLink, Inc.  Telecommunications  Term Loan B (1/20)  Loan   1M USD LIBOR+  2.25%   0.00%   6.88%   3/15/2027    3,887,492    3,883,600    3,208,269 
Charlotte Buyer, Inc.  Services: Business  Term Loan B  Loan   1M USD SOFR+  5.25%   0.00%   9.81%   2/11/2028    1,500,000    1,403,100    1,455,945 
Chemours Company, (The)  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   6.39%   4/3/2025    905,031    880,859    898,406 

 

67

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Churchill Downs Incorporated  Hotel, Gaming & Leisure  Term Loan B1 (3/21)  Loan   1M USD LIBOR+  2.00%   0.00%   6.64%   3/17/2028    491,250    490,382    486,952 
CIMPRESS PUBLIC LIMITED COMPANY  Media: Advertising, Printing & Publishing  USD Term Loan  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   5/17/2028    1,979,950    1,892,607    1,785,419 
CITADEL SECURITIES LP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)  Loan   1M USD SOFR+  2.50%   0.00%   7.23%   2/2/2028    4,912,500    4,910,914    4,865,684 
Clarios Global LP  Automotive  Term Loan B1  Loan   1M USD LIBOR+  3.25%   0.00%   7.88%   4/30/2026    1,267,812    1,261,524    1,260,091 
Claros Mortgage Trust, Inc  Banking, Finance, Insurance & Real Estate  Term Loan B-1 (11/21)  Loan   1M USD SOFR+  4.50%   0.50%   9.16%   8/9/2026    3,439,962    3,421,651    3,401,262 
CLYDESDALE ACQUISITION HOLDINGS, INC.  Containers, Packaging & Glass  Term Loan B  Loan   1M USD SOFR+  4.18%   0.50%   8.89%   4/13/2029    1,492,500    1,458,949    1,469,993 
Cole Haan  Consumer goods: Non-durable  Term Loan B  Loan   3M USD LIBOR+  5.50%   0.00%   10.23%   2/7/2025    875,000    871,486    841,461 
Columbus McKinnon Corporation  Capital Equipment  Term Loan (4/21)  Loan   3M USD LIBOR+  2.75%   0.50%   7.50%   5/14/2028    449,172    448,339    446,926 
Conduent, Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+  4.25%   0.50%   8.88%   10/16/2028    1,787,985    1,755,247    1,742,177 
Connect Finco SARL  Telecommunications  Term Loan (1/21)  Loan   1M USD SOFR+  3.50%   1.00%   8.14%   12/11/2026    2,917,500    2,816,917    2,863,526 
Consolidated Communications, Inc.  Telecommunications  Term Loan B  Loan   1M USD LIBOR+  3.50%   0.75%   8.19%   10/2/2027    2,714,005    2,520,099    2,435,819 
CORAL-US CO-BORROWER LLC  Telecommunications  Term Loan B-5  Loan   1M USD LIBOR+  2.25%   0.00%   6.84%   1/31/2028    4,000,000    3,988,733    3,867,160 
Corelogic, Inc.  Services: Business  Term Loan (4/21)  Loan   1M USD LIBOR+  3.50%   0.50%   8.19%   6/2/2028    2,468,750    2,459,383    2,110,164 
Cortes NP Acquisition Corp (Vertiv)  Capital Equipment  Term Loan 2/21  Loan   1M USD LIBOR+  2.75%   0.00%   7.32%   3/2/2027    1,960,000    1,960,000    1,934,579 
COWEN INC.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   6M USD LIBOR+  3.25%   0.00%   7.43%   3/24/2028    3,927,406    3,907,308    3,922,496 
Creative Artists Agency, LLC  Media: Diversified & Production  Term Loan B (02/23)  Loan   1M USD SOFR+  3.50%   0.00%   8.06%   11/1/2028    1,600,000    1,588,000    1,595,008 
CROCS INC  Consumer goods: Durable  Term Loan  Loan   6M USD SOFR+  3.50%   0.50%   7.73%   2/20/2029    2,512,500    2,421,039    2,504,133 
Cross Financial Corp  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)  Loan   1M USD LIBOR+  4.00%   0.75%   8.69%   9/15/2027    492,500    492,174    489,422 
Crown Subsea Communications Holding, Inc.  Construction & Building  Term Loan (4/21)  Loan   1M USD LIBOR+  4.75%   0.75%   9.32%   4/27/2027    3,404,110    3,377,740    3,340,283 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B-5  Loan   1M USD LIBOR+  2.50%   0.00%   7.09%   4/15/2027    485,000    485,000    435,894 

 

68

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan 12/22  Loan   1M USD SOFR+  4.50%   0.00%   9.06%   4/15/2027    2,400,032    2,389,363    2,244,030 
CTS Midco, LLC  High Tech Industries  Term Loan B  Loan   3M USD LIBOR+  6.00%   1.00%   10.83%   11/2/2027    1,960,000    1,917,602    1,666,000 
Daseke Inc  Transportation: Cargo  Term Loan 2/21  Loan   1M USD LIBOR+  4.00%   0.75%   8.64%   3/5/2028    1,473,750    1,468,500    1,468,223 
Dave & Buster’s Inc.  Hotel, Gaming & Leisure  Term Loan B (04/22)  Loan   1M USD SOFR+  5.00%   0.50%   9.75%   6/29/2029    995,000    948,574    997,736 
DCert Buyer, Inc.  High Tech Industries  Term Loan  Loan   6M USD SOFR+  4.00%   0.00%   8.70%   10/16/2026    1,469,773    1,469,773    1,446,257 
Delek US Holdings, Inc.  Utilities: Oil & Gas  Term Loan B (11/22)  Loan   1M USD SOFR+  3.50%   0.50%   8.22%   11/16/2029    5,400,000    5,285,256    5,298,750 
Delta 2 Lux Sarl  Hotel, Gaming & Leisure  Term Loan B  Loan   1M USD SOFR+  3.25%   0.50%   7.87%   1/15/2030    1,000,000    990,424    1,001,750 
DexKo Global, Inc. (Dragon Merger)  Automotive  Term Loan (9/21)  Loan   3M USD LIBOR+  3.75%   0.50%   8.48%   10/4/2028    992,500    989,236    928,980 
DG Investment Intermediate Holdings 2, Inc.  Aerospace & Defense  Incremental Term Loan (3/22)  Loan   1M USD SOFR+  4.75%   0.75%   9.37%   3/31/2028    498,750    479,659    488,152 
Diamond Sports Group, LLC (b)  Media: Broadcasting & Subscription  Second Lien Term Loan  Loan   3M USD SOFR+  3.40%   0.00%   8.03%   8/24/2026    3,374,880    3,017,273    382,306 
Diamond Sports Group, LLC (b)  Media: Broadcasting & Subscription  1st Priority Term Loan  Loan   6M USD SOFR+  8.00%   1.00%   13.06%   5/25/2026    342,343    333,975    318,951 
DIRECTV FINANCING, LLC  Media: Broadcasting & Subscription  Term Loan  Loan   1M USD LIBOR+  5.00%   0.75%   9.63%   8/2/2027    3,550,000    3,523,794    3,448,754 
DISCOVERY PURCHASER CORPORATION  Chemicals, Plastics, & Rubber  Term Loan  Loan   3M USD SOFR+  4.38%   0.50%   8.96%   10/4/2029    1,500,000    1,385,334    1,433,310 
Dispatch Acquisition Holdings, LLC  Environmental Industries  Term Loan B (3/21)  Loan   3M USD LIBOR+  4.25%   0.75%   8.98%   3/25/2028    492,500    488,806    434,631 
DOMTAR CORPORATION  Forest Products & Paper  Term Loan 9/21  Loan   1M USD LIBOR+  5.50%   0.75%   10.10%   11/30/2028    1,310,136    1,272,492    1,286,121 
DOTDASH MEREDITH, INC.  Media: Advertising, Printing & Publishing  Term Loan B  Loan   1M USD SOFR+  4.00%   0.50%   8.67%   11/30/2028    1,994,949    1,803,027    1,755,556 
DRI HOLDING INC.  Media: Advertising, Printing & Publishing  Term Loan (12/21)  Loan   1M USD LIBOR+  5.25%   0.50%   9.88%   12/15/2028    3,972,487    3,830,439    3,552,913 
DRW Holdings, LLC  Banking, Finance, Insurance & Real Estate  Term Loan (2/21)  Loan   1M USD LIBOR+  3.75%   0.00%   8.38%   3/1/2028    6,435,000    6,396,896    6,284,164 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan  Loan   1M USD LIBOR+  2.75%   0.00%   7.38%   8/21/2025    1,612,878    1,609,665    1,602,798 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan (01/23)  Loan   1M USD SOFR+  3.25%   0.00%   7.97%   1/31/2030    2,034,413    2,031,025    2,021,698 

 

69

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
EAB Global, Inc.  Services: Business  Term Loan (08/21)  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   8/16/2028    990,000    985,965    969,586 
Echo Global Logistics, Inc.  Services: Business  Term Loan  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   11/23/2028    1,985,000    1,981,077    1,916,776 
Edelman Financial Group Inc., The  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)  Loan   1M USD LIBOR+  3.50%   0.75%   8.13%   4/7/2028    2,188,547    2,182,686    2,129,281 
Electrical Components Inter., Inc.  Capital Equipment  Term Loan (6/18)  Loan   1M USD LIBOR+  4.25%   0.00%   8.88%   6/26/2025    1,888,404    1,888,404    1,719,638 
ELECTRON BIDCO INC.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+  3.00%   0.50%   7.63%   11/1/2028    496,250    494,396    491,208 
ELO Touch Solutions, Inc.  Media: Diversified & Production  Term Loan (12/18)  Loan   1M USD LIBOR+  6.50%   0.00%   11.13%   12/14/2025    2,175,269    2,121,627    2,169,831 
Embecta Corp  Healthcare & Pharmaceuticals  Term Loan B  Loan   6M USD SOFR+  3.00%   0.50%   7.79%   3/30/2029    614,918    611,634    604,735 
Endo Luxembourg Finance Company I S.a.r.l.  Healthcare & Pharmaceuticals  Term Loan (3/21)  Loan   Prime  6.00%   0.75%   13.75%   3/27/2028    2,335,285    2,328,380    1,839,037 
Endure Digital, Inc.  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+  3.50%   0.75%   8.07%   2/10/2028    2,462,500    2,453,593    2,276,581 
Entain Holdings (Gibraltar) Limited  Hotel, Gaming & Leisure  Term Loan B (10/22)  Loan   3M USD SOFR+  3.50%   0.50%   8.18%   10/30/2029    1,000,000    987,635    999,060 
Envision Healthcare Corporation  Healthcare & Pharmaceuticals  Term Loan B (06/18)  Loan   3M USD LIBOR+  3.75%   0.00%   8.48%   10/10/2025    4,784,383    4,782,311    1,202,076 
EOS U.S. FINCO LLC  Transportation: Cargo  Term Loan  Loan   3M USD SOFR+  6.00%   0.50%   10.60%   8/3/2029    1,000,000    923,495    986,250 
Equiniti Group PLC  Services: Business  Term Loan B  Loan   6M USD SOFR+  4.50%   0.50%   9.54%   12/11/2028    990,000    981,797    990,624 
EyeCare Partners, LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  3.75%   0.00%   8.48%   2/18/2027    1,948,081    1,948,081    1,621,174 
Finco I LLC  Banking, Finance, Insurance & Real Estate  Term Loan B (9/20)  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   6/27/2025    2,830,950    2,826,805    2,830,950 
First Brands Group, LLC  Automotive  1st Lien Term Loan (3/21)  Loan   6M USD SOFR+  5.00%   1.00%   10.25%   3/30/2027    4,912,500    4,854,265    4,754,367 
First Eagle Investment Management  Banking, Finance, Insurance & Real Estate  Refinancing Term Loan  Loan   3M USD LIBOR+  2.50%   0.00%   7.23%   2/1/2027    5,146,145    5,133,892    5,055,007 
First Student Bidco Inc.  Transportation: Consumer  Term Loan B  Loan   3M USD LIBOR+  3.00%   0.50%   7.73%   7/21/2028    723,088    718,928    689,255 
First Student Bidco Inc.  Transportation: Consumer  Term Loan C  Loan   3M USD LIBOR+  3.00%   0.50%   7.73%   7/21/2028    269,608    268,052    256,993 
Fitness International, LLC (LA Fitness)  Services: Consumer  Term Loan B (4/18)  Loan   3M USD SOFR+  3.25%   1.00%   8.08%   4/18/2025    1,330,058    1,326,810    1,268,211 

 

70

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Flutter Financing B.V.  Hotel, Gaming & Leisure  Term Loan  Loan   3M USD LIBOR+  2.25%   0.00%   6.98%   7/21/2026    1,975,000    1,972,044    1,971,643 
Flutter Financing B.V.  Hotel, Gaming & Leisure  Third Amendment 2028-B Term Loan  Loan   3M USD SOFR+  3.25%   0.50%   8.09%   7/21/2028    748,125    732,248    747,848 
FOCUS FINANCIAL PARTNERS, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD SOFR+  3.25%   0.50%   7.87%   6/30/2028    1,487,298    1,470,684    1,477,765 
Franchise Group, Inc.  Services: Consumer  First Out Term Loan  Loan   3M USD LIBOR+  4.75%   0.75%   9.56%   3/10/2026    799,104    793,938    760,148 
Franchise Group, Inc.  Services: Consumer  Term Loan B  Loan   3M USD SOFR+  4.75%   0.75%   9.70%   3/10/2026    3,000,000    2,852,614    2,857,500 
Franklin Square Holdings, L.P.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  2.25%   0.00%   6.94%   8/1/2025    4,308,730    4,296,025    4,303,344 
Froneri International (R&R Ice Cream)  Beverage, Food & Tobacco  Term Loan B-2  Loan   1M USD LIBOR+  2.25%   0.00%   6.88%   1/29/2027    1,950,000    1,948,124    1,915,524 
Garrett LX III S.a r.l.  Automotive  Dollar Term Loan  Loan   3M USD LIBOR+  3.25%   0.50%   8.08%   4/30/2028    1,481,250    1,475,822    1,460,261 
Gates Global LLC  Automotive  Term Loan (11/22)  Loan   1M USD SOFR+  3.50%   0.50%   8.12%   11/15/2029    249,375    242,119    249,121 
Gemini HDPE LLC  Chemicals, Plastics, & Rubber  Term Loan B (12/20)  Loan   3M USD LIBOR+  3.00%   0.50%   7.83%   12/31/2027    2,289,884    2,276,592    2,281,297 
Genesee & Wyoming, Inc.  Transportation: Cargo  Term Loan (11/19)  Loan   3M USD LIBOR+  2.00%   0.00%   6.73%   12/30/2026    1,458,750    1,454,820    1,453,892 
GGP Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  2.50%   0.00%   2.96%   8/27/2025    3,072,992    2,734,560    3,053,141 
Global Tel*Link Corporation  Telecommunications  Term Loan B  Loan   3M USD SOFR+  4.25%   0.00%   9.08%   11/29/2025    4,897,634    4,753,219    4,342,830 
Go Daddy Operating Company, LLC  High Tech Industries  Term Loan 2/21  Loan   1M USD LIBOR+  2.00%   0.00%   6.63%   8/10/2027    1,959,799    1,959,799    1,950,255 
GOLDEN WEST PACKAGING GROUP LLC  Forest Products & Paper  Term Loan (11/21)  Loan   1M USD LIBOR+  5.25%   0.75%   9.88%   12/1/2027    1,962,500    1,946,411    1,903,625 
Graham Packaging Co Inc  Containers, Packaging & Glass  Term Loan (2/21)  Loan   1M USD LIBOR+  3.00%   0.75%   7.63%   8/7/2027    962,517    957,931    956,501 
Great Outdoors Group, LLC  Retail  Term Loan B2  Loan   1M USD LIBOR+  3.75%   0.75%   8.38%   3/6/2028    980,094    976,551    964,471 
Greenhill & Co., Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   3M USD LIBOR+  3.25%   0.00%   8.20%   4/12/2024    2,844,231    2,836,329    2,789,707 
Griffon Corporation  Consumer goods: Durable  Term Loan B  Loan   1M USD SOFR+  2.50%   0.50%   7.20%   1/24/2029    154,375    154,051    152,959 
Grosvenor Capital Management Holdings, LLLP  Banking, Finance, Insurance & Real Estate  Amendment 5 Term Loan  Loan   1M USD LIBOR+  2.50%   0.50%   7.13%   2/24/2028    2,836,805    2,834,453    2,808,437 

 

71

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Groupe Solmax Inc.  Environmental Industries  Term Loan (6/21)  Loan   3M USD LIBOR+  4.75%   0.75%   9.48%   5/27/2028    1,994,937    1,625,873    1,720,633 
Harbor Freight Tools USA, Inc.  Retail  Term Loan B (06/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   10/19/2027    3,438,442    3,420,645    3,324,355 
Helix Gen Funding, LLc  Energy: Electricity  Term Loan B (02/17)  Loan   1M USD LIBOR+  3.75%   1.00%   8.38%   6/3/2024    209,702    209,702    208,332 
Hillman Group Inc. (The) (New)  Consumer goods: Durable  Term Loan B-1 (2/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   7/14/2028    3,479,167    3,473,274    3,441,105 
Hillman Group Inc. (The) (New) (a)  Consumer goods: Durable  Delayed Draw Term Loan (2/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   7/14/2028    66,667    66,667    57,444 
HLF Financing SARL (Herbalife)  Consumer goods: Non-durable  Term Loan B (08/18)  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   8/18/2025    3,510,000    3,504,423    3,452,225 
Holley Purchaser, Inc  Automotive  Term Loan (11/21)  Loan   3M USD LIBOR+  3.75%   0.75%   8.48%   11/17/2028    2,317,577    2,309,047    1,888,825 
Howden Group Holdings  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)  Loan   1M USD LIBOR+  3.25%   0.75%   7.94%   11/12/2027    2,152,191    2,144,311    2,117,218 
Hudson River Trading LLC  Banking, Finance, Insurance & Real Estate  Term Loan (3/21)  Loan   1M USD SOFR+  3.00%   0.00%   7.73%   3/17/2028    5,895,000    5,850,826    5,619,173 
Idera, Inc.  High Tech Industries  Term Loan (02/21)  Loan   3M USD LIBOR+  3.75%   0.75%   8.51%   3/2/2028    4,811,111    4,802,585    4,635,698 
IMA Financial Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/21)  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   11/1/2028    1,980,000    1,972,160    1,947,825 
INDY US BIDCO, LLC  Services: Business  Term Loan (11/21)  Loan   1M USD LIBOR+  3.75%   0.00%   8.38%   3/6/2028    2,215,703    2,215,226    1,888,200 
Ineos US Finance LLC  Chemicals, Plastics, & Rubber  Term Loan C  Loan   1M USD SOFR+  3.75%   0.00%   8.42%   2/9/2030    1,000,000    990,000    991,560 
INEOS US PETROCHEM LLC  Chemicals, Plastics, & Rubber  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   1/29/2026    1,979,950    1,929,143    1,967,080 
Informatica Inc.  High Tech Industries  Term Loan B (10/21)  Loan   1M USD LIBOR+  2.75%   0.00%   7.44%   10/27/2028    496,250    495,896    494,761 
Ingram Micro Inc.  Wholesale  Term Loan  Loan   3M USD LIBOR+  3.50%   0.50%   8.23%   6/30/2028    1,477,500    1,465,872    1,468,266 
Inmar Acquisition Sub, Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+  4.00%   1.00%   8.63%   5/1/2024    3,350,673    3,327,770    3,270,055 
Innophos, Inc.  Chemicals, Plastics, & Rubber  Term Loan B  Loan   1M USD LIBOR+  3.25%   0.00%   7.88%   2/4/2027    486,250    484,966    483,007 
INSTANT BRANDS HOLDINGS INC.  Consumer goods: Durable  Term Loan 4/21  Loan   3M USD LIBOR+  5.00%   0.75%   9.95%   4/7/2028    4,027,667    4,010,741    2,154,802 
IRB Holding Corporation  Beverage, Food & Tobacco  Term Loan B3  Loan   1M USD SOFR+  3.00%   0.75%   7.57%   12/14/2027    500,000    495,150    493,125 

 

72

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
IRB Holding T/L B (1/22)  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD SOFR+  3.00%   0.75%   7.69%   12/15/2027    500,000    495,150    493,125 
Isagenix International, LLC (b)  Beverage, Food & Tobacco  Term Loan  Loan   3M USD LIBOR+  7.75%   1.00%   11.35%   6/14/2025    2,330,036    2,311,947    814,068 
J Jill Group, Inc  Retail  Priming Term Loan  Loan   3M USD LIBOR+  5.00%   1.00%   9.83%   5/8/2024    1,553,698    1,553,299    1,464,361 
Jane Street Group  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.00%   7.38%   1/31/2028    3,920,000    3,917,671    3,897,970 
Journey Personal Care Corp.  Consumer goods: Non-durable  Term Loan B  Loan   3M USD LIBOR+  4.25%   0.75%   8.98%   3/1/2028    985,000    981,310    731,569 
JP Intermediate B, LLC  Consumer goods: Non-durable  Term Loan  Loan   3M USD LIBOR+  5.50%   1.00%   10.33%   11/15/2025    3,884,160    3,863,896    2,469,199 
Klockner-Pentaplast of America, Inc.  Containers, Packaging & Glass  Term Loan (1/21) (USD)  Loan   6M USD SOFR+  4.75%   0.50%   10.13%   2/12/2026    1,473,750    1,469,605    1,354,936 
Kodiak BP, LLC  Construction & Building  Term Loan  Loan   3M USD LIBOR+  3.25%   0.75%   7.98%   3/13/2028    491,242    490,111    472,083 
KREF Holdings X LLC  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   9/1/2027    491,288    482,835    482,690 
Lakeland Tours, LLC  Hotel, Gaming & Leisure  Holdco Fixed Term Loan  Loan   Fixed  0.00%   0.00%   13.25%   9/27/2027    990,775    383,373    644,004 
Lealand Finance Company B.V.  Energy: Oil & Gas  Exit Term Loan  Loan   1M USD LIBOR+  1.00%   0.00%   5.63%   6/30/2025    345,078    345,078    221,426 
LHS BORROWER, LLC  Construction & Building  Term Loan (02/22)  Loan   1M USD SOFR+  4.75%   0.50%   9.47%   2/16/2029    997,487    815,989    817,940 
Lifetime Brands, Inc  Consumer goods: Non-durable  Term Loan B  Loan   1M USD SOFR+  3.50%   1.00%   8.23%   2/28/2025    2,616,496    2,602,628    2,295,975 
Liquid Tech Solutions Holdings, LLC  Services: Business  Term Loan  Loan   6M USD LIBOR+  4.75%   0.00%   8.92%   3/17/2028    985,000    982,312    940,675 
LogMeIn, Inc.  High Tech Industries  Term Loan (8/20)  Loan   1M USD LIBOR+  4.75%   0.00%   9.38%   8/31/2027    3,920,000    3,868,809    2,137,145 
LOYALTY VENTURES INC. (b)  Services: Business  Term Loan B  Loan   Prime  3.50%   0.50%   11.25%   11/3/2027    3,089,630    3,074,278    926,889 
LPL Holdings, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1  Loan   1M USD LIBOR+  1.75%   0.00%   6.32%   11/11/2026    1,207,856    1,206,501    1,203,701 
LSF11 A5 HOLDCO LLC  Chemicals, Plastics, & Rubber  Term Loan (01/23)  Loan   1M USD SOFR+  4.25%   0.50%   8.97%   10/14/2028    500,000    486,534    489,165 
LSF11 A5 HOLDCO LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD SOFR+  3.50%   0.50%   8.23%   10/16/2028    248,125    247,170    241,508 
LSF9 Atlantis Holdings, LLC (A Wireless)  Retail  Term Loan B  Loan   3M USD SOFR+  7.25%   0.75%   11.83%   3/29/2029    2,962,500    2,872,908    2,888,438 

 

73

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
MAGNITE, INC.  Services: Business  Term Loan  Loan   1M USD LIBOR+  5.00%   0.75%   9.63%   4/28/2028    2,964,950    2,901,156    2,826,575 
Marriott Ownership Resorts, Inc.  Hotel, Gaming & Leisure  Term Loan (11/19)  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   8/29/2025    1,317,074    1,317,074    1,308,842 
Match Group, Inc, The  Services: Consumer  Term Loan (1/20)  Loan   3M USD LIBOR+  1.75%   0.00%   6.49%   2/15/2027    250,000    249,658    247,500 
Maxar Technologies Inc  Aerospace & Defense  Term Loan (6/22)  Loan   1M USD SOFR+  4.25%   0.50%   8.97%   6/14/2029    1,994,987    1,926,722    1,997,641 
Mayfield Agency Borrower Inc. (FeeCo)  Banking, Finance, Insurance & Real Estate  Term Loan B (02/23)  Loan   3M USD SOFR+  5.00%   0.00%   8.81%   2/27/2028    3,450,000    3,346,500    3,363,750 
McGraw-Hill Education, Inc.  Media: Advertising, Printing & Publishing  Term Loan (07/21)  Loan   3M USD LIBOR+  4.75%   0.50%   9.70%   7/28/2028    1,975,000    1,957,770    1,894,025 
MedAssets Software Inter Hldg, Inc.  High Tech Industries  Term Loan (11/21) (USD)  Loan   1M USD LIBOR+  4.00%   0.50%   8.63%   12/18/2028    496,250    493,413    462,753 
Mermaid Bidco Inc.  High Tech Industries  Term Loan B2  Loan   3M USD LIBOR+  3.50%   0.75%   8.30%   12/22/2027    983,769    981,224    964,093 
Messer Industries, LLC  Chemicals, Plastics, & Rubber  Term Loan B  Loan   3M USD LIBOR+  2.50%   0.00%   7.23%   3/1/2026    2,980,405    2,970,477    2,968,871 
Michaels Companies Inc  Retail  Term Loan B (Magic Mergeco)  Loan   3M USD LIBOR+  4.25%   0.75%   8.98%   4/8/2028    2,467,450    2,452,022    2,254,632 
MPH Acquisition Holdings LLC (Multiplan)  Services: Business  Term Loan B (08/21)  Loan   3M USD LIBOR+  4.25%   0.50%   9.20%   9/1/2028    2,992,424    2,725,679    2,509,148 
MW Industries, Inc. (Helix Acquisition Holdings)  Capital Equipment  Term Loan (2019 Incremental)  Loan   3M USD LIBOR+  3.75%   0.00%   8.48%   9/30/2024    2,842,097    2,823,791    2,778,150 
NAB Holdings, LLC (North American Bancard)  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)  Loan   3M USD SOFR+  3.00%   0.50%   7.73%   11/23/2028    2,970,000    2,963,897    2,927,678 
Napa Management Services Corp  Healthcare & Pharmaceuticals  Term Loan B (02/22)  Loan   1M USD SOFR+  5.25%   0.75%   9.95%   2/22/2029    3,000,000    2,407,500    2,285,640 
Natgasoline LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  3.50%   0.00%   8.19%   11/14/2025    3,436,481    3,419,311    3,395,690 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan 2/21  Loan   1M USD SOFR+  3.75%   0.75%   8.47%   3/2/2028    2,736,043    2,727,702    2,108,477 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan C 2/21  Loan   3M USD LIBOR+  3.75%   0.75%   8.48%   3/2/2028    87,464    87,137    67,402 
NEW ERA CAP, LLC  Consumer goods: Durable  Term Loan (01/22)  Loan   3M USD LIBOR+  6.00%   0.75%   10.82%   7/13/2027    3,628,164    3,627,422    3,483,037 
Nexstar Broadcasting, Inc. (Mission Broadcasting)  Media: Broadcasting & Subscription  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   9/18/2026    657,625    652,850    655,745 
Next Level Apparel, Inc.  Retail  Term Loan  Loan   3M USD LIBOR+  5.50%   1.00%   10.33%   8/9/2024    1,675,340    1,670,519    1,373,779 

 

74

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
NortonLifeLock Inc.  High Tech Industries  Term Loan B  Loan   1M USD SOFR+  2.00%   0.50%   6.72%   9/12/2029    1,398,374    1,392,077    1,382,391 
Novae LLC  Automotive  Term Loan B  Loan   3M USD SOFR+  5.00%   0.75%   9.82%   12/22/2028    1,985,000    1,972,048    1,692,213 
Nuvei Technologies Corp.  High Tech Industries  US Term Loan  Loan   1M USD LIBOR+  2.50%   0.50%   7.13%   9/29/2025    2,216,250    2,213,211    2,210,709 
Olaplex, Inc.  Consumer goods: Non-durable  Term Loan (2/22)  Loan   1M USD SOFR+  3.50%   0.50%   8.20%   2/23/2029    2,492,500    2,386,817    2,224,556 
Open Text Corporation  High Tech Industries  Term Loan B  Loan   1M USD SOFR+  3.50%   0.50%   8.22%   8/24/2029    1,500,000    1,455,000    1,496,955 
Organon & Co.  Healthcare & Pharmaceuticals  Term Loan USD  Loan   3M USD LIBOR+  3.00%   0.50%   7.75%   6/2/2028    2,327,083    2,318,310    2,297,995 
Pacific Gas & Electric  Utilities: Electric  Term Loan  Loan   1M USD LIBOR+  3.00%   0.50%   7.69%   6/18/2025    1,464,944    1,460,891    1,457,619 
PACTIV EVERGREEN GROUP HOLDINGS INC.  Containers, Packaging & Glass  Term Loan B  Loan   1M USD LIBOR+  3.25%   0.50%   7.88%   9/20/2028    987,500    983,571    981,950 
Padagis LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  4.75%   0.50%   9.54%   7/6/2028    941,176    933,570    864,122 
Panther Guarantor II, L.P. (Forcepoint)  High Tech Industries  Term Loan 1/21  Loan   3M USD LIBOR+  4.25%   0.50%   9.08%   1/7/2028    492,500    489,882    461,719 
PAR PETROLEUM LLC  Energy: Oil & Gas  Term Loan 2/23  Loan   1M USD SOFR+  4.25%   0.50%   8.92%   2/13/2030    1,500,000    1,477,500    1,479,375 
PATAGONIA HOLDCO LLC  Telecommunications  Term Loan B  Loan   3M USD SOFR+  5.75%   0.50%   10.47%   8/1/2029    1,995,000    1,653,635    1,700,738 
Pathway Partners Vet Management Company LLC  Services: Business  Term Loan  Loan   1M USD LIBOR+  3.75%   0.00%   8.38%   3/30/2027    486,509    479,333    424,630 
PCI Gaming Authority  Hotel, Gaming & Leisure  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   7.13%   5/29/2026    809,038    806,994    807,396 
PEARLS (Netherlands) Bidco B.V.  Chemicals, Plastics, & Rubber  USD Term Loan (02/22)  Loan   3M USD SOFR+  3.75%   0.50%   8.43%   2/28/2029    992,500    990,539    975,131 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC  Healthcare & Pharmaceuticals  Term Loan (12/22)  Loan   1M USD LIBOR+  3.25%   0.50%   7.88%   12/29/2028    1,292,862    1,287,663    1,272,396 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan (12/21)  Loan   1M USD LIBOR+  3.25%   0.50%   7.88%   12/29/2028    147,287    147,287    144,174 
Penn National Gaming, Inc  Hotel, Gaming & Leisure  Term Loan B  Loan   1M USD SOFR+  2.75%   0.50%   7.47%   5/3/2029    995,000    990,530    990,851 
Peraton Corp.  Aerospace & Defense  Term Loan B  Loan   1M USD LIBOR+  3.75%   0.75%   8.38%   2/1/2028    5,306,577    5,291,284    5,249,372 
PHYSICIAN PARTNERS, LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD SOFR+  4.00%   0.50%   8.72%   12/23/2028    1,985,000    1,967,896    1,900,638 

 

75

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Pike Corporation  Construction & Building  Term Loan (8/22)  Loan   1M USD SOFR+  3.50%   0.00%   8.12%   1/21/2028    498,750    487,274    497,294 
Pitney Bowes Inc  Services: Business  Term Loan B  Loan   1M USD SOFR+  4.00%   0.00%   8.73%   3/17/2028    3,939,924    3,914,651    3,789,734 
Plastipak Holdings Inc.  Containers, Packaging & Glass  Term Loan B (11/21)  Loan   1M USD LIBOR+  2.50%   0.50%   7.13%   12/1/2028    1,921,176    1,913,386    1,911,974 
Playtika Holding Corp.  High Tech Industries  Term Loan B (3/21)  Loan   1M USD LIBOR+  2.75%   0.00%   7.38%   3/13/2028    4,421,250    4,414,119    4,370,804 
PMHC II, INC.  Chemicals, Plastics, & Rubber  Term Loan (02/22)  Loan   3M USD SOFR+  4.25%   0.50%   9.08%   4/21/2029    1,995,000    1,986,056    1,710,912 
PointClickCare Technologies, Inc.  High Tech Industries  Term Loan B  Loan   3M USD LIBOR+  3.00%   0.75%   7.75%   12/29/2027    491,250    489,531    487,566 
Polymer Process Holdings, Inc.  Containers, Packaging & Glass  Term Loan  Loan   1M USD LIBOR+  4.75%   0.75%   9.38%   2/12/2028    5,403,750    5,359,857    5,025,488 
Pre-Paid Legal Services, Inc.  Services: Consumer  Term Loan (12/21)  Loan   1M USD LIBOR+  3.75%   0.50%   8.38%   12/15/2028    2,977,500    2,956,393    2,929,116 
Presidio, Inc.  Services: Business  Term Loan B (1/20)  Loan   3M USD SOFR+  3.50%   0.00%   8.28%   1/22/2027    487,500    486,909    485,267 
Prime Security Services Borrower, LLC (ADT)  Services: Consumer  Term Loan (1/21)  Loan   3M USD LIBOR+  2.75%   0.75%   7.52%   9/23/2026    3,520,468    3,520,468    3,511,667 
PRIORITY HOLDINGS, LLC  Services: Consumer  Term Loan  Loan   3M USD LIBOR+  5.75%   1.00%   10.70%   4/27/2027    2,955,000    2,932,371    2,936,531 
PriSo Acquisition Corporation  Construction & Building  Term Loan (01/21)  Loan   3M USD LIBOR+  3.25%   0.75%   8.00%   12/28/2027    491,245    489,458    450,310 
Project Leopard Holdings, Inc. (NEW)  High Tech Industries  Term Loan B (06/22)  Loan   6M USD SOFR+  5.25%   0.50%   9.80%   7/20/2029    1,000,000    933,902    924,690 
Prometric Inc. (Sarbacane Bidco)  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  3.00%   1.00%   7.64%   1/29/2025    476,438    475,777    444,278 
PUG LLC  Services: Consumer  Term Loan B (02/20)  Loan   1M USD LIBOR+  3.50%   0.00%   8.13%   2/12/2027    480,126    478,777    378,099 
QUEST BORROWER LIMITED  High Tech Industries  Term Loan (1/22)  Loan   3M USD SOFR+  4.25%   0.50%   9.08%   2/1/2029    1,990,000    1,972,710    1,707,539 
Rackspace Technology Global, Inc.  High Tech Industries  Term Loan (1/21)  Loan   3M USD LIBOR+  2.75%   0.75%   7.60%   2/15/2028    2,974,823    2,882,889    1,863,310 
RAND PARENT LLC  Transportation: Cargo  Term Loan B  Loan   1M USD SOFR+  4.25%   0.00%   8.80%   2/7/2030    1,500,000    1,462,500    1,455,000 
RealPage, Inc.  High Tech Industries  Term Loan (04/21)  Loan   1M USD LIBOR+  3.00%   0.50%   7.63%   4/24/2028    987,500    985,860    955,159 
Renaissance Learning, Inc.  Services: Consumer  Term Loan (5/18)  Loan   1M USD LIBOR+  3.25%   0.00%   7.88%   5/30/2025    2,938,373    2,922,432    2,871,025 

 

76

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Rent-A-Center, Inc.  Retail  Term Loan B2 (9/21)  Loan   3M USD LIBOR+  3.25%   0.50%   8.13%   2/17/2028    1,976,155    1,934,422    1,927,997 
Research Now Group, Inc  Media: Advertising, Printing & Publishing  Term Loan  Loan   3M USD LIBOR+  5.50%   1.00%   10.31%   12/20/2024    4,298,135    4,249,328    3,200,305 
Resideo Funding Inc.  Services: Consumer  Term Loan (1/21)  Loan   3M USD LIBOR+  2.25%   0.50%   7.12%   2/11/2028    1,473,750    1,471,623    1,471,908 
Resolute Investment Managers (American Beacon), Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)  Loan   3M USD LIBOR+  4.25%   1.00%   8.98%   4/30/2024    3,038,616    3,035,050    2,385,313 
Restoration Hardware, Inc.  Retail  Term Loan (9/21)  Loan   1M USD LIBOR+  2.50%   0.50%   7.13%   10/20/2028    3,462,437    3,456,353    3,320,477 
Reynolds Consumer Products LLC  Containers, Packaging & Glass  Term Loan  Loan   1M USD SOFR+  1.75%   0.00%   6.47%   1/29/2027    1,276,932    1,276,737    1,273,880 
Reynolds Group Holdings Inc.  Containers, Packaging & Glass  Term Loan B2  Loan   1M USD LIBOR+  3.25%   0.00%   7.88%   2/5/2026    3,124,551    3,114,804    3,114,302 
Rocket Software, Inc.  High Tech Industries  Term Loan (11/18)  Loan   1M USD LIBOR+  4.25%   0.00%   8.88%   11/28/2025    2,875,317    2,870,016    2,818,414 
Russell Investments US Inst’l Holdco, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)  Loan   1M USD LIBOR+  3.50%   1.00%   8.13%   6/2/2025    5,590,662    5,565,048    5,499,813 
RV Retailer LLC  Automotive  Term Loan  Loan   3M USD SOFR+  3.75%   0.75%   8.55%   2/8/2028    2,957,631    2,912,519    2,516,441 
Ryan Specialty Group LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+  3.00%   0.75%   7.72%   9/1/2027    1,478,623    1,467,543    1,474,010 
S&S HOLDINGS LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+  5.00%   0.50%   9.83%   3/10/2028    2,458,719    2,409,819    2,349,625 
Sally Holdings LLC  Retail  Term Loan B  Loan   1M USD SOFR+  2.50%   0.00%   7.06%   3/24/2030    500,000    496,250    498,750 
Samsonite International S.A.  Consumer goods: Non-durable  Term Loan B2  Loan   1M USD LIBOR+  3.00%   0.75%   7.63%   4/25/2025    927,537    914,134    927,537 
Schweitzer-Mauduit International, Inc.  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+  3.75%   0.75%   8.44%   4/20/2028    2,955,000    2,942,014    2,895,900 
Scientific Games Holdings LP  Hotel, Gaming & Leisure  Term Loan B  Loan   3M USD SOFR+  3.50%   0.50%   8.10%   4/4/2029    498,750    497,703    489,942 
Sedgwick Claims Management Services, Inc.  Services: Business  Term Loan B 2/23  Loan   1M USD SOFR+  3.75%   0.00%   8.32%   2/17/2028    1,000,000    990,000    987,500 
SETANTA AIRCRAFT LEASING DAC  Aerospace & Defense  Term Loan  Loan   3M USD LIBOR+  2.00%   0.00%   6.73%   11/2/2028    1,000,000    998,000    991,250 
Signify Health, LLC  Healthcare & Pharmaceuticals  Term Loan B (6/21)  Loan   3M USD LIBOR+  3.00%   0.50%   7.73%   6/16/2028    493,750    491,846    493,750 
Sitel Worldwide Corporation  Services: Business  USD Term Loan (7/21)  Loan   1M USD LIBOR+  3.75%   0.50%   8.39%   8/28/2028    1,975,000    1,967,031    1,966,982 

 

77

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
SiteOne Landscape Supply, LLC  Services: Business  Term Loan (3/21)  Loan   1M USD LIBOR+  2.00%   0.50%   6.64%   3/18/2028    777,852    776,450    774,609 
SMG US Midco 2, Inc.  Services: Business  Term Loan (01/20)  Loan   3M USD LIBOR+  2.50%   0.00%   7.33%   1/23/2025    485,000    485,000    479,243 
Smyrna Ready Mix Concrete, LLC  Construction & Building  Term Loan  Loan   1M USD SOFR+  4.25%   0.50%   8.97%   4/2/2029    1,000,000    992,500    995,000 
Solis IV B.V.  Consumer goods: Durable  Term Loan B-1  Loan   3M USD SOFR+  3.50%   0.50%   8.37%   2/26/2029    1,994,987    1,724,963    1,826,132 
Sotheby’s  Services: Business  Term Loan (7/21)  Loan   3M USD LIBOR+  4.50%   0.50%   9.33%   1/15/2027    3,223,744    3,183,482    3,209,237 
Sparta U.S. HoldCo LLC  Chemicals, Plastics, & Rubber  Term Loan (04/21)  Loan   1M USD LIBOR+  3.25%   0.75%   7.82%   8/2/2028    1,980,000    1,972,123    1,964,160 
Specialty Pharma III Inc.  Services: Business  Term Loan  Loan   1M USD LIBOR+  4.25%   0.75%   8.88%   3/31/2028    1,975,000    1,959,930    1,821,938 
Spectrum Brands, Inc.  Consumer goods: Durable  Term Loan (2/21)  Loan   3M USD LIBOR+  2.00%   0.50%   6.96%   3/3/2028    491,250    490,363    487,158 
Spin Holdco, Inc.  Services: Consumer  Term Loan 3/21  Loan   3M USD LIBOR+  4.00%   0.75%   8.77%   3/4/2028    2,947,500    2,935,211    2,475,487 
Spirit Aerosystems Inc.  Aerospace & Defense  Term Loan (11/22)  Loan   3M USD SOFR+  4.50%   0.50%   9.18%   1/14/2027    498,750    484,414    498,541 
SRAM, LLC  Consumer goods: Durable  Term Loan (05/21)  Loan   1M USD LIBOR+  2.75%   0.50%   7.38%   5/12/2028    2,709,091    2,705,948    2,682,000 
SS&C Technologies, Inc.  Services: Business  Term Loan B3  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   4/16/2025    167,061    166,987    166,678 
SS&C Technologies, Inc.  Services: Business  Term Loan B4  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   4/16/2025    148,146    148,083    147,807 
SS&C Technologies, Inc.  Services: Business  Term Loan B-5  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   4/16/2025    458,152    457,773    457,199 
STANDARD INDUSTRIES INC.  Construction & Building  Term Loan B  Loan   6M USD LIBOR+  2.25%   0.50%   6.43%   9/22/2028    630,250    625,240    628,032 
Staples, Inc.  Wholesale  Term Loan (03/19)  Loan   3M USD LIBOR+  5.00%   0.00%   9.81%   4/16/2026    4,341,357    4,246,081    4,013,802 
Storable, Inc  High Tech Industries  Term Loan B  Loan   3M USD SOFR+  3.50%   0.50%   8.08%   4/17/2028    495,000    494,153    482,318 
Summit Materials, LLC  Metals & Mining  Term Loan B (12/22)  Loan   3M USD SOFR+  3.00%   0.00%   7.61%   12/13/2027    250,000    247,640    249,583 
Superannuation & Investments US LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  3.75%   0.50%   8.38%   12/1/2028    990,000    981,648    984,515 
Sweetwater Borrower, LLC  Retail  Term Loan (8/21)  Loan   1M USD LIBOR+  4.25%   0.75%   8.94%   8/2/2028    2,000,000    1,905,968    1,880,000 

 

78

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
Syncsort Incorporated  High Tech Industries  Term Loan B (10/21)  Loan   3M USD LIBOR+  4.00%   0.75%   8.82%   4/24/2028    2,469,987    2,468,993    2,243,984 
Ta TT Buyer LLC  Media: Broadcasting & Subscription  Term Loan 3/22  Loan   6M USD SOFR+  5.00%   0.50%   8.98%   4/2/2029    997,500    988,507    982,538 
Tenable Holdings, Inc.  Services: Business  Term Loan B (6/21)  Loan   3M USD LIBOR+  2.75%   0.50%   7.58%   7/7/2028    990,000    988,026    980,922 
Teneo Holdings LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+  5.25%   1.00%   9.97%   7/15/2025    4,383,217    4,330,652    4,322,948 
Ten-X, LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  4.00%   1.00%   8.63%   9/27/2024    1,900,000    1,899,296    1,819,250 
The Dun & Bradstreet Corporation  Services: Business  Term Loan B  Loan   1M USD SOFR+  3.25%   0.00%   7.85%   1/18/2029    248,125    246,554    246,636 
The Dun & Bradstreet Corporation  Services: Business  Term Loan  Loan   1M USD LIBOR+  3.25%   0.00%   7.87%   2/6/2026    962,949    962,285    960,021 
THE KNOT WORLDWIDE INC.  Services: Consumer  Term Loan (1/22)  Loan   1M USD SOFR+  4.50%   0.00%   9.22%   12/19/2025    4,845,447    4,840,970    4,833,333 
Thor Industries, Inc.  Automotive  USD Term Loan (3/21)  Loan   1M USD LIBOR+  3.00%   0.00%   7.69%   2/1/2026    2,015,823    1,990,264    2,004,494 
Torrid LLC  Wholesale  Term Loan 5/21  Loan   3M USD LIBOR+  5.50%   0.75%   10.31%   6/14/2028    2,978,835    2,540,024    2,529,031 
TORY BURCH LLC  Retail  Term Loan  Loan   1M USD LIBOR+  3.50%   0.50%   8.13%   4/15/2028    1,329,211    1,232,469    1,268,147 
Tosca Services, LLC  Containers, Packaging & Glass  Term Loan (2/21)  Loan   1M USD SOFR+  3.50%   0.75%   8.23%   8/18/2027    490,000    485,078    383,180 
Trans Union LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  2.25%   0.50%   6.88%   12/1/2028    796,452    794,928    791,203 
Transdigm, Inc.  Aerospace & Defense  Term Loan H  Loan   3M USD SOFR+  3.25%   0.00%   7.83%   2/21/2027    1,993,370    1,990,666    1,989,941 
TRITON WATER HOLDINGS, INC.  Beverage, Food & Tobacco  Term Loan (03/21)  Loan   3M USD LIBOR+  3.50%   0.50%   8.23%   3/31/2028    1,477,502    1,471,933    1,372,422 
Tronox Finance LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  2.25%   0.00%   6.88%   3/10/2028    346,923    346,338    340,907 
TruGreen Limited Partnership  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  4.00%   0.75%   8.63%   10/29/2027    954,501    949,189    873,368 
Uber Technologies, Inc.  Transportation: Consumer  Term Loan B (2/21)  Loan   3M USD LIBOR+  3.50%   0.00%   8.45%   2/25/2027    3,906,277    3,874,854    3,913,620 
Ultra Clean Holdings, Inc.  High Tech Industries  Incremental Term Loan 3/21  Loan   1M USD LIBOR+  3.75%   0.00%   8.38%   8/27/2025    820,338    817,776    819,928 
Unimin Corporation  Metals & Mining  Term Loan (12/20)  Loan   3M USD LIBOR+  4.00%   1.00%   8.78%   7/31/2026    496,815    476,431    489,984 

 

79

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference
Rate/Spread
  SOFR/LIBOR Floor   Current
Rate
(All In)
   Maturity Date   Principal/
Number of Shares
   Cost   Fair
Value
 
United Natural Foods, Inc  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD SOFR+  3.25%   0.00%   7.98%   10/22/2025    1,289,967    1,252,901    1,291,309 
United Road Services Inc.  Transportation: Cargo  Term Loan (10/17)  Loan   3M USD LIBOR+  5.75%   1.00%   10.70%   9/1/2024    889,180    886,242    465,335 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/21)  Loan   1M USD LIBOR+  3.25%   0.75%   7.88%   3/15/2026    2,446,648    2,441,783    2,426,610 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/22)  Loan   3M USD SOFR+  4.25%   0.50%   8.83%   6/25/2029    248,750    241,881    248,233 
Utz Quality Foods, LLC  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD SOFR+  3.00%   0.00%   7.73%   1/20/2028    1,828,465    1,827,288    1,825,046 
Vaco Holdings, LLC  Services: Business  Term Loan (01/22)  Loan   3M USD SOFR+  5.00%   0.75%   9.73%   1/19/2029    2,342,210    2,275,198    2,310,989 
Vericast Corp.  Media: Advertising, Printing & Publishing  Term Loan  Loan   3M USD SOFR+  7.75%   1.00%   12.33%   6/15/2026    1,201,006    1,199,817    939,787 
Verifone Systems, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (7/18)  Loan   3M USD LIBOR+  4.00%   0.00%   8.96%   8/20/2025    1,368,031    1,364,137    1,269,875 
Vertex Aerospace Services Corp  Aerospace & Defense  Term Loan (10/21)  Loan   1M USD LIBOR+  3.50%   0.75%   8.13%   12/6/2028    992,500    988,789    987,895 
VFH Parent LLC  Banking, Finance, Insurance & Real Estate  Term Loan (01/22)  Loan   1M USD SOFR+  3.00%   0.50%   7.66%   1/12/2029    3,069,879    3,063,097    3,036,111 
Viasat Inc  Telecommunications  Term Loan (2/22)  Loan   1M USD SOFR+  4.50%   0.50%   9.23%   3/2/2029    1,994,987    1,948,951    1,967,137 
Virtus Investment Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (9/21)  Loan   1M USD LIBOR+  2.25%   0.00%   6.85%   9/28/2028    2,853,409    2,845,646    2,834,377 
Vistra Energy Corp  Utilities: Electric  2018 Incremental Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   6.38%   12/31/2025    897,014    896,802    895,023 
Vizient, Inc  Healthcare & Pharmaceuticals  Term Loan 4/22  Loan   1M USD SOFR+  2.25%   0.50%   6.91%   5/16/2029    497,500    492,868    496,525 
VM Consolidated, Inc.  Construction & Building  Term Loan B (3/21)  Loan   1M USD LIBOR+  3.25%   0.00%   7.88%   3/24/2028    2,185,087    2,183,095    2,180,170 
Vouvray US Finance LLC  High Tech Industries  Term Loan  Loan   1M USD SOFR+  6.00%   1.00%   10.62%   9/9/2025    471,250    471,250    442,386 
Walker & Dunlop, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (12/22)  Loan   1M USD SOFR+  3.00%   0.50%   7.72%   12/15/2028    500,000    490,249    496,250 
Warner Music Group Corp. (WMG Acquisition Corp.)  Hotel, Gaming & Leisure  Term Loan Incremental (11/22)  Loan   1M USD SOFR+  3.00%   0.50%   7.62%   1/19/2028    500,000    490,562    498,960 
Warner Music Group Corp. (WMG Acquisition Corp.)  Hotel, Gaming & Leisure  Term Loan G  Loan   1M USD LIBOR+  2.13%   0.00%   6.76%   1/20/2028    1,250,000    1,249,851    1,243,750 
Watlow Electric Manufacturing Company  High Tech Industries  Term Loan B  Loan   3M USD SOFR+  3.75%   0.50%   8.69%   3/2/2028    2,456,250    2,447,468    2,417,368 
West Corporation  Telecommunications  Term Loan B-3  Loan   3M USD SOFR+  4.00%   1.00%   8.93%   4/9/2027    1,189,119    1,172,865    1,044,939 
WEX Inc.  Services: Business  Term Loan B (3/21)  Loan   1M USD LIBOR+  2.25%   0.00%   6.88%   3/31/2028    2,954,924    2,946,492    2,944,582 
WildBrain Ltd.  Media: Diversified & Production  Term Loan  Loan   1M USD SOFR+  4.25%   0.75%   8.98%   3/27/2028    1,965,000    1,935,307    1,864,903 
Xperi Corporation  High Tech Industries  Term Loan  Loan   1M USD LIBOR+  3.50%   0.00%   8.13%   6/8/2028    2,427,446    2,420,580    2,388,752 
Zayo Group, LLC  Telecommunications  Term Loan 4/22  Loan   1M USD SOFR+  4.25%   0.50%   8.87%   3/9/2027    992,500    971,029    842,027 
ZEBRA BUYER (Allspring) LLC  Banking, Finance, Insurance & Real Estate  Term Loan 4/21  Loan   3M USD LIBOR+  3.00%   0.50%   7.75%   11/1/2028    880,444    876,985    874,941 
Zekelman Industries, Inc.  Metals & Mining  Term Loan (01/20)  Loan   3M USD LIBOR+  2.00%   0.00%   6.73%   1/25/2027    961,471    961,471    948,251 
Zest Acquisition Corp.  Healthcare & Pharmaceuticals  Term Loan (1/23)  Loan   1M USD SOFR+  5.50%   0.00%   10.07%   1/31/2028    2,000,000    1,901,512    1,928,340 
Zodiac Pool Solutions  Consumer goods: Durable  Term Loan (1/22)  Loan   1M USD SOFR+  2.00%   0.50%   6.72%   1/29/2029    495,000    494,015    490,192 
 TOTAL INVESTMENTS                                      $

645,599,001

   $

605,954,468

 

 

80

 

 

   Number of Shares   Cost   Fair Value 
Cash and cash equivalents            
U.S. Bank Money Market (c)   23,776,950   $23,776,950   $23,776,950 
Total cash and cash equivalents   23,776,950   $23,776,950   $23,776,950 

 

(a)All or a portion of this investment has an unfunded commitment as of February 28, 2023.
(b)As of February 28, 2023, the investment was in default and on non-accrual status.
(c)Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of February 28, 2023.
(d)Investments include Payment-in-Kind Interest.

 

LIBOR—London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

 

1M USD LIBOR—The 1 month USD LIBOR rate as of February 28, 2023 was 4.67%.

3M USD LIBOR—The 3 month USD LIBOR rate as of February 28, 2023 was 4.97%.

6M USD LIBOR—The 6 month USD LIBOR rate as of February 28, 2023 was 5.26%.

1M SOFR - The 1 month SOFR rate as of February 28, 2023 was 4.66%.

3M SOFR - The 3 month SOFR rate as of February 28, 2023 was 4.89%.

6M SOFR - The 6 month SOFR rate as of February 28, 2023 was 5.15%.

 

Prime—The Prime Rate as of February 28, 2023 was 7.75%.

 

See accompanying notes to financial statements.

 

81

 

 

Note 5. Investment in SLF JV

 

On October 26, 2021, the Company and TJHA entered into the LLC Agreement to co-manage SLF JV. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd (“SLF 2021”), which is a wholly owned subsidiary of SLF JV. SLF 2021 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.

 

On September 30, 2022, SLF 2021 was renamed to Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. (“SLF 2022”).

 

The Company and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.

 

The Company and TJHA have committed to provide up to a combined $50.0 million of financing to SLF JV through cash contributions, with the Company providing $43.75 million and TJHA providing $6.25 million, resulting in an 87.5% and 12.5% ownership between the two parties. The financing is issued in the form of an unsecured note and equity. The unsecured note pays a fixed rate of 10.0% per annum and is due and payable in full on October 20, 2033. As of November 30, 2023, the Company and TJHA’s investment in SLF JV consisted of an unsecured note of $17.6 million and $2.5 million, respectively; and membership interest of $17.6 million and $2.5 million, respectively. As of November 30, 2023 and February 28, 2023, the Company’s investment in the unsecured note of SLF JV had a fair value of $17.6 million and $17.6 million, respectively, and the Company’s investment in the membership interests of SLF JV had a fair value of $7.8 million and $13.1 million, respectively.

 

The Company has determined that SLF JV is an investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, ASC 810, Consolidation, concludes that in a joint venture where both members have equal decision making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, the Company does not consolidate SLF JV.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company earned $0.4 million and $0.1 million, respectively, of interest income related to SLF JV, which is included in interest income. For the nine months ended November 30, 2023 and November 30, 2022, the Company earned $1.3 million and $1.1 million, respectively, of interest income related to SLF JV, which is included in interest income. As of November 30, 2023 and February 28, 2023, $0.2 million and $0.4 million, respectively, of interest income related to SLF JV was included in interest receivable.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company earned $1.3 million and $0.0 million, respectively, of dividend income related to SLF JV, which is included in dividend income. For the nine months ended November 30, 2023 and November 30, 2022, the Company earned $4.7 million and $0.0 million, respectively, of dividend income related to SLF JV, which is included in dividend income.

 

SLF JV’s initial investment in SLF 2022 was in the form of an unsecured loan. The unsecured loan paid a floating rate of LIBOR plus 7.00% per annum and was paid in full on June 9, 2023. The unsecured loan was repaid in full on October 28, 2022, as part of the CLO closing.

 

On October 28, 2022, SLF 2022 issued $402.1 million of the 2022 JV CLO Notes through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee. As part of the transaction, the Company purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million. As of November 30, 2023 and February 28, 2023, the fair value of these Class E Notes were $11.5 million and $11.4 million, respectively.

 

82

 

 

Note 6. Income Taxes

 

SIA-AAP, Inc., SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-G4, Inc., SIA-GH, Inc., SIA-MDP, Inc., SIA-MAC, Inc., SIA-PP Inc., SIA-SZ, Inc., SIA-TG, Inc., SIA-TT Inc., SIA-Vector, Inc., and SIA-VR, Inc., each 100% owned by the Company, are each filing standalone C Corporation tax returns for U.S. federal and state tax purposes. As separately regarded entities for tax purposes, these entities are subject to U.S. federal income tax at normal corporate rates. For tax purposes, any distributions by the entities to the parent company would generally need to be distributed to the Company’s shareholders. Generally, such distributions of the entities’ income to the Company’s 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 arising from net operating losses and unrealized appreciation and deprecation of securities held. Deferred tax assets and liabilities are measured using enacted corporate federal and state tax rates expected to apply to taxable income in the years in which those net operating losses are utilized and the unrealized gains and losses are realized. Deferred tax assets and deferred tax liabilities are netted off by entity, as allowed. The recoverability of deferred tax assets is assessed and a valuation allowance is recorded to the extent that it is more likely than not that any portion of the deferred tax asset will not be realized on the basis of a history of operating losses combined with insufficient projected taxable income or other taxable events in the taxable blockers. In February 2022, SIA-GH, Inc., SIA-TT Inc. and SIA-VR, Inc. received an approved plan of liquidation following the sale of equity held by each of the portfolio companies.

 

The Company may distribute a portion of its realized net long term capital gains in excess of realized net short term capital losses to its stockholders, but may also decide to retain a portion, or all, of its net capital gains and elect to pay the 21% U.S. federal tax on the net capital gain, potentially in the form of a “deemed distribution” to its stockholders.  Income tax (provision) relating to an election to retain its net capital gains, including in the form of a deemed distribution, is included as a component of income tax (provision) benefit from realized gains on investments, depending on the character of the underlying taxable income (ordinary or capital gains), on the consolidated statements of operations. 

 

Deferred tax assets and liabilities, and related valuation allowance as of November 30, 2023 and February 28, 2023 were as follows:

 

   November 30,
2023
   February 28,
2023
 
Total deferred tax assets  $2,382,032   $2,542,373 
Total deferred tax liabilities   (3,586,522)   (3,008,829)
Valuation allowance on net deferred tax assets   (2,217,816)   (2,350,116)
Net deferred tax liability  $(3,422,306)  $(2,816,572)

 

As of November 30, 2023, the valuation allowance on deferred tax assets was $2.2 million, which represents the federal and state tax effect of net operating losses and unrealized losses that the Company does not believe will be realized through future taxable income. Any adjustments to the Company’s valuation allowance will depend on estimates of future taxable income and will be made in the period such determination is made.

 

83

 

 

Net income tax expense for the three months ended November 30, 2023 includes $0.4 million deferred tax expense (benefit) on net change in unrealized appreciation (depreciation) on investments, and $0.2 million net change in total operating expense in the consolidated statement of operations, respectively. Net income tax expense for the three months ended November 30, 2022 includes $0.4 million deferred tax expense (benefit) on net change in unrealized appreciation (depreciation) on investments, and ($0.5) million income tax provision/benefit from realized gain/(loss) on investments and $0.1 million net change in total operating expense, in the consolidated statement of operations, respectively.

 

Net income tax expense for the nine months ended November 30, 2023 includes $0.6 million deferred tax expense (benefit) on net change in unrealized appreciation (depreciation) on investments, and ($0.0) million net change in total operating expense, in the consolidated statement of operations, respectively. Net income tax expense for the nine months ended November 30, 2022 includes $1.0 million deferred tax expense (benefit) on net change in unrealized appreciation (depreciation) on investments, ($0.5) million income tax provision/(benefit) from realized gain/(loss) on investments and ($0.1) million net change in total operating expense, in the consolidated statement of operations, respectively.

 

Deferred tax temporary differences may include differences for state taxes and joint venture interests.

 

Federal and state income tax (provisions) benefit on investments for three and nine months ended November 30, 2023 and November 30, 2022:

 

   For the three months ended   For the nine months ended 
   November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
Current                
Federal  $
-
   $(255,959)  $
-
   $(473,475)
State   
-
    (158,721)        (80,273)
Net current expense   
-
    (414,680)   
-
    (553,748)
Deferred                    
Federal   699,986    460,531    661,245    844,727 
State   (64,192)   (29,901)   (55,512)   45,917 
Net deferred expense   635,794    430,629    605,733    890,645 
Net tax provision  $635,794   $15,949   $605,733   $336,896 

 

Note 7. Agreements and Related Party Transactions

 

Investment Advisory and Management Agreement

 

On July 30, 2010, the Company entered into the Management Agreement with the Manager. The initial term of the Management Agreement was two years from its effective date, with one-year renewals thereafter subject to certain approvals by the Company’s board of directors and/or the Company’s stockholders. Most recently, on July 6, 2023, the Company’s board of directors approved the renewal of the Management Agreement for an additional one-year term. Pursuant to the Management Agreement, the Manager implements the Company’s business strategy on a day-to-day basis and performs certain services for the Company, subject to oversight by the board of directors. The 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, the Company pays the Manager a management fee for investment advisory and management services consisting of a base management fee and an incentive management fee.

 

Base Management Fee and Incentive Management Fee

 

The base management fee of 1.75% per year is calculated based on the average value of the Company’s 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 base management fee is paid quarterly following the filing of the most recent quarterly report on Form 10-Q.

 

84

 

 

The incentive management fee consists of the following two parts:

 

The first, payable quarterly in arrears, equals 20.0% of the Company’s 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, the Manager receives no incentive fee unless our pre-incentive fee net investment income exceeds the hurdle rate of 1.875%. The 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 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 the Company’s “incentive fee capital gains,” which equals the Company’s 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 on each investment in the Company’s portfolio, 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 the 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 three months ended November 30, 2023 and November 30, 2022, the Company incurred $4.9 million and $4.3 million in base management fees, respectively. For the three months ended November 30, 2023 and November 30, 2022, the Company incurred $3.3 million and $2.3 million in incentive fees related to pre-incentive fee net investment income, respectively. For the three months ended November 30, 2023 and November 30, 2022, the Company accrued an expense (benefit) of ($1.0) million and ($0.8) million in incentive fees related to capital gains.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company incurred $14.3 million and $12.2 million in base management fees, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the Company incurred $9.8 million and $3.9 million in incentive fees related to pre-incentive fee net investment income, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the Company accrued an expense (benefit) of ($5.0) million and ($3.7) million in incentive fees related to capital gains.

 

85

 

 

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 November 30, 2023, the base management fees accrual was $4.9 million and the incentive fees accrual was $3.3 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 28, 2023, the base management fees accrual was $4.3 million and the incentive fees accrual was $7.9 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities.

 

Administration Agreement

 

On July 30, 2010, the Company entered into a separate administration agreement (the “Administration Agreement”) with the Manager, pursuant to which the Manager, as the Company’s administrator, has agreed to furnish the Company with the facilities and administrative services necessary to conduct day-to-day operations and provide managerial assistance on the Company’s behalf to those portfolio companies to which the Company is required to provide such assistance. The initial term of the Administration Agreement was two years from its effective date, with one-year renewals thereafter subject to certain approvals by the Company’s board of directors and/or the Company’s 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. Most recently, on July 6, 2023, the Company’s board of directors approved the renewal of the Administration Agreement for an additional one-year term and subsequently increased the cap on the payment or reimbursement of expenses by the Company from $3.275 million to $4.3 million, effective August 1, 2023.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recognized $1.1 million and $0.8 million in administrator expenses, respectively, pertaining to bookkeeping, recordkeeping and other administrative services provided to the Company in addition to the Company’s allocable portion of rent and other overhead related expenses. For the nine months ended November 30, 2023 and November 30, 2022, the Company recognized $2.8 million and $2.3 million in administrator expenses, respectively, pertaining to bookkeeping, recordkeeping and other administrative services provided to the Company in addition to the Company’s allocable portion of rent and other overhead related expenses. As of November 30, 2023 and February 28, 2023, $0.4 million and $0.001 million, respectively, of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities.

 

Saratoga CLO

 

On December 14, 2018, the Company completed the third refinancing and issuance of the 2013-1 Reset CLO Notes. This refinancing, among other things, extended the Saratoga CLO reinvestment period to January 2021, and extended its legal maturity to January 2030. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $300 million in assets to approximately $500 million.

 

In conjunction with the third refinancing and issuance of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. See Note 4 for additional information.

 

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On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, extended its legal maturity to April 2033, and extended the non-call period to February 2022. In addition, and as part of the refinancing, the Saratoga CLO was upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At November 30, 2021, the outstanding receivable of 2.6 million was repaid in full.

 

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

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recognized management fee income of $0.8 million and $0.8 million, respectively, related to the Saratoga CLO.

  

For the nine months ended November 30, 2023 and November 30, 2022, the Company recognized management fee income of $2.5 million and $2.5 million, respectively, related to the Saratoga CLO.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company neither bought nor sold any investments from the Saratoga CLO.

 

SLF JV

 

On October 26, 2021, the Company and TJHA entered into an LLC Agreement to co-manage the SLF JV. SLF JV is a joint venture that invests in the debt or equity interests of collateralized loan obligations, loan, notes and other debt instruments.

 

On October 28, 2022, SLF 2022 issued $402.1 million of the 2022 JV CLO Notes through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee.

  

As of November 30, 2023, the Company’s investment in the SLF JV had a fair value of $25.4 million, consisting of an unsecured loan of $17.6 million and membership interest of $7.8 million. For the three and nine months ended November 30, 2023, the Company had $0.4 million and $1.3 million, respectively, of interest income related to SLF JV, of which $0.2 million was included in interest receivable as of November 30, 2023. For the three and nine months ended November 30, 2022, the Company had $0.1 million and $0.1 million, respectively, of interest income related to SLF JV, of which $0.0 million was included in interest receivable as of November 30, 2022. For the three and nine months ended November 30, 2023, the Company had $1.3 million and $4.7 million, respectively, of dividend income related to SLF JV. For the three and nine months ended November 30, 2022, the Company had $0.0 million and $0.0 million, respectively, of dividend income related to SLF JV.

 

As part of the JV CLO trust transaction, the Company purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million.

 

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Note 8. 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% after giving effect to such leverage, or 150% if certain requirements under the 1940 Act are met. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, our board of directors, including a majority of our directors who are not “interested persons” (as defined in Section 2(a)(19) of the 1940 Act”) of the Company (“independent directors”), approved a minimum asset coverage ratio of 150%. The 150% asset coverage ratio became effective on April 16, 2019. 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 159.3% as of November 30, 2023 and 165.9% as of February 28, 2023.

 

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 lender’s 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 lender’s 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 with Madison Capital Funding LLC (the “Madison Credit Facility”), 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, SBIC II LP and SBIC III LP, were pledged under the Madison Credit Facility to secure our obligations thereunder.

 

On October 4, 2021, all outstanding amounts on the Madison Credit Facility were repaid and the Madison Credit Facility was terminated. The repayment and termination of the Madison Credit Facility resulted in a realized loss on the extinguishment of debt of $0.8 million.

 

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Encina Credit Facility

 

On October 4, 2021, the Company entered into the Credit and Security Agreement (the “Credit Agreement”) relating to a $50.0 million senior secured revolving credit facility with the Lender, supported by loans held by SIF II and pledged to the Encina Credit Facility. The terms of the Encina Credit Facility required a minimum drawn amount of $12.5 million at all times during the first six months following the closing date, which increased to the greater of $25.0 million or 50% of the commitment amount in effect at any time thereafter. Advances under the Encina Credit Facility originally bore interest at a floating rate per annum equal to LIBOR plus 4.0%, with LIBOR having a floor of 0.75%, with customary provisions related to the selection by the Lender and the Company of a replacement benchmark rate. 

 

On January 27, 2023, we entered into the first amendment to the Credit Agreement to, among other things:

 

  increase the borrowings available under the Encina Credit Facility from up to $50.0 million to up to $65.0 million;

 

  change the underlying benchmark used to compute interest under the Credit Agreement from LIBOR to Term SOFR for a one-month tenor plus a 0.10% credit spread adjustment;

 

  increase the applicable effective margin rate on borrowings from 4.00% to 4.25%;

 

  extend the revolving period from October 4, 2024 to January 27, 2026;

 

  extend the period during which the borrower may request one or more increases in the borrowings available under the Encina Credit Facility (each such increase, a “Facility Increase”) from October 4, 2023 to January 27, 2025, and increased the maximum borrowings available pursuant to the Encina Facility Increase from $75.0 million to $150.0 million;

 

  revise the eligibility criteria for eligible collateral loans to exclude certain industries in which an obligor or related guarantor may be involved; and

 

  amend the provisions permitting the borrower to request an extension in the Commitment Termination Date (as defined in the Credit Agreement) to allow requests to extend any applicable Commitment Termination Date, rather than a one-time request to extend the original Commitment Termination Date, subject to a notice requirement.

 

In addition to any fees or other amounts payable under the terms of the Encina Credit Facility, an administrative agent fee per annum equal to $0.1 million is payable in equal monthly installments in arrears.

 

As of November 30, 2023 and February 28, 2023, there were $35.0 million and $32.5 million outstanding borrowings under the Encina Credit Facility. During the applicable periods, the Company was in compliance with all of the limitations and requirements under the Credit Agreement. Financing costs of $2.0 million related to the Encina Credit Facility have been capitalized and are being amortized over the term of the facility, with all existing financing costs amortized through January 27, 2026 from the date of the amendment and extension.

 

For the three months ended November 30, 2023 and November 30, 2022, we recorded $0.9 million and $0.6 million of interest expense related to the Encina Credit Facility, respectively, which includes commitment and administrative agent fees. For the three months ended November 30, 2023 and November 30, 2022, we recorded $0.1 million and $0.1 million of deferred financing costs related to the Encina Credit Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023, the weighted average interest rate on the outstanding borrowings under the Encina Credit Facility was 9.79%, and the average dollar amount of outstanding borrowings under the Encina Credit Facility was $35.0 million.

 

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For the nine months ended November 30, 2023 and November 30, 2022, we recorded $3.0 million and $1.2 million of interest expense related to the Encina Credit Facility, respectively, which includes commitment and administrative agent fees. For the nine months ended November 30, 2023 and November 30, 2022, we recorded $0.3 million and $0.3 million of deferred financing costs related to the Encina Credit Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023, the weighted average interest rate on the outstanding borrowings under the Encina Credit Facility was 9.62%, and the average dollar amount of outstanding borrowings under the Encina Credit Facility was $38.9 million.

 

The Encina 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 Encina 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. Availability on the Encina 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 SOFR rate, plus an applicable effective margin of 4.25%. In addition, the Company will pay the lender 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 Encina Credit Facility.

 

Our borrowing base under the Encina Credit Facility is $86.4 million subject to the Encina Credit Facility cap of $65.0 million at November 30, 2023. 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 SEC. Accordingly, the November 30, 2023 borrowing base relies upon the valuations set forth in the Quarterly Report on Form 10-Q for the period ended August 31, 2023. The valuations presented in this Quarterly Report on Form 10-Q will not be incorporated into the borrowing base until after this Quarterly Report on Form 10-Q is filed with the SEC. 

 

SBA Debentures

 

The Company’s wholly owned subsidiaries, SBIC LP, SBIC II LP, and SBIC III LP, received SBIC licenses from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022, respectively. SBIC LP’s license provides up to $150.0 million in additional long-term capital in the form of SBA debentures, while SBIC II LP’s and SBIC III LP’s SBIC licenses provide up to $175.0 million each. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million. With all debentures repaid to the SBA, SBIC LP’s license was surrendered on January 3, 2024, providing the Company access to all undistributed capital of SBIC LP.

 

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 $24.0 million and have average annual fully taxed net income not exceeding $8.0 million for the two most recent fiscal years. In addition, an SBIC must devote 25.0% of its investment activity to “smaller enterprises” as defined by the SBA. A smaller enterprise 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.

 

The Company’s wholly owned SBIC Subsidiaries are able to borrow funds from the SBA against each SBIC’s regulatory capital (which generally approximates equity capital in the respective SBIC). The SBIC Subsidiaries are subject to customary regulatory requirements including but not limited to, a periodic examination by the SBA and requirements to maintain certain minimum financial ratios and other covenants. Receipt of an SBIC license does not assure that the SBIC Subsidiaries will receive SBA-guaranteed debenture funding, which is dependent upon the SBIC Subsidiaries complying with SBA regulations and policies. The SBA, as a creditor, will have a superior claim to each SBIC Subsidiaries’ assets over the Company’s stockholders and debtholders in the event that the Company liquidates such SBIC Subsidiary or the SBA exercises its remedies under the SBA-guaranteed debentures issued by the SBIC Subsidiary upon an event of default.

 

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The Company received exemptive relief from the SEC to permit it to exclude the debt of the SBIC subsidiaries guaranteed by the SBA from the definition of senior securities in the asset coverage test under the 1940 Act. This allows the Company increased flexibility under the asset coverage requirement by permitting it to borrow up to $350.0 million more than it would otherwise be able to absent the receipt of this exemptive relief.

 

As of November 30, 2023, SBIC LP, SBIC II LP and SBIC III LP had an aggregate total of equity capital of $75.0 million, $87.5 million and $66.7 million, respectively, and had $205.0 million in SBA-guaranteed debentures collectively outstanding, with $0.0 million held in SBIC LP, $175.0 million held in SBIC II LP and $30.0 million held in SBIC III LP.

 

As noted above, as of November 30, 2023, there was $205.0 million of SBA debentures outstanding and as of February 28, 2023, there was $202.0 million of SBA debentures outstanding. 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 and would be classified as a Level 3 liability within the fair value hierarchy. Financing costs of $5.0 million, $6.0 million, and $0.4 million related to the SBA debentures issued by SBIC LP, SBIC II LP and SBIC III LP, respectively, have been capitalized and are being amortized over the term of the commitment and drawdown. During the nine months ended November 30, 2023, the Company repaid $27.0 million of SBA debentures in SBIC LP, resulting in a realized loss on extinguishment of $0.1 million related to the acceleration of deferred debt financing costs.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $1.6 million and $1.7 million of interest expense related to the SBA debentures, respectively. For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.3 million and $0.2 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 three months ended November 30, 2023 and November 30, 2022 on the outstanding borrowings of the SBA debentures was 3.25% and 2.86%, respectively. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of SBA debentures outstanding was $200.4 million and $242.7 million, respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $4.6 million and $4.6 million of interest expense related to the SBA debentures, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $0.7 million and $0.7 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 nine months ended November 30, 2023 and November 30, 2022 on the outstanding borrowings of the SBA debentures was 3.01% and 2.74%, respectively. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of SBA debentures outstanding was $201.7 million and $226.5 million, respectively.

 

Notes

 

6.25% 2025 Notes

 

On August 28, 2018, the Company issued $40.0 million in aggregate principal amount of 6.25% fixed-rate notes due 2025 (the “6.25% 2025 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.3 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $5.0 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $1.6 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

91

 

 

On February 5, 2019, the Company issued an additional $20.0 million in aggregate principal amount of the 6.25% 2025 Notes for net proceeds of $19.2 million after deducting underwriting commissions of approximately $0.6 million and discount of $0.2 million. Offering costs incurred were approximately $0.2 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $2.5 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The additional 6.25% 2025 Notes were treated as a single series with the existing 6.25% 2025 Notes under the indenture and have the same terms as the existing 6.25% 2025 Notes. The net proceeds from this offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. The financing costs and discount of $1.0 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

On August 31, 2021, the Company redeemed $60.0 million in aggregate principal amount of issued and outstanding 6.25% 2025 Notes. The 6.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAF” and have been delisted following the full redemption on August 31, 2021. As such, it was not fair valued with market quotes and is not fair value leveled. The repayment of the 6.25% 2025 Notes resulted in a realized loss on the extinguishment of debt of $1.5 million. 

 

7.25% 2025 Notes

 

On June 24, 2020, the Company issued $37.5 million in aggregate principal amount of 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds to the Company were $5.4 million after deducting underwriting commissions of approximately $0.2 million. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and were amortized over the term of the 7.25% 2025 Notes.

 

On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes. The 7.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAK” and have been delisted following the full redemption on July 14, 2022. As such, it was not fair valued with market quotes and is not fair value leveled. The repayment of the 7.25% 2025 Notes resulted in a realized loss on the extinguishment of debt of $1.0 million.

 

 For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.0 million and $0.0 million, respectively, of interest expense and $0.0 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 7.25% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of the 7.25% 2025 Notes outstanding was $0.0 million and $0.0 million respectively. 

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $0.0 million and $1.2 million, respectively, of interest expense and $0.0 million and $0.1 million, respectively, of amortization of deferred financing costs related to the 7.25% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of the 7.25% 2025 Notes outstanding was $0.0 million and $18.0 million respectively. 

 

7.75% 2025 Notes

 

On July 9, 2020, the Company issued $5.0 million in aggregate principal amount of 7.75% fixed-rate notes due in 2025 (the “7.75% 2025 Notes”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year. The 7.75% 2025 Notes mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at the Company’s option subject to a fee depending on the date of repayment. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $0.3 million related to the 7.75% 2025 Notes have been capitalized and are being amortized over the term of the 7.75% 2025 Notes.

 

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As of November 30, 2023, the total 7.75% 2025 Notes outstanding was $5.0 million. The 7.75% 2025 Notes are not listed and have a par value of $25.00 per note. The carrying amount of the amount outstanding of 7.75% 2025 Notes had a fair value of $4.9 million, which is based on a market yield analysis and would be classified as a Level 3 liability within the fair value hierarchy. As of February 28, 2023, the carrying amount and fair value of the 7.75% 2025 Notes was $5.0 million and $4.9 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.1 million and $0.1 million, respectively, of interest expense and $0.01 million and $0.01 million, respectively, of amortization of deferred financing costs related to the 7.75% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of 7.75% 2025 Notes outstanding was $5.0 million and $5.0 million respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $0.3 million and $0.3 million, respectively, of interest expense and $0.04 million and $0.04 million, respectively, of amortization of deferred financing costs related to the 7.75% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of 7.75% 2025 Notes outstanding was $5.0 million and $5.0 million respectively.

 

6.25% 2027 Notes

 

On December 29, 2020, the Company issued $5.0 million in aggregate principal amount of 6.25% fixed-rate notes due in 2027 (the “6.25% 2027 Notes”). Offering costs incurred were approximately $0.1 million. Interest on the 6.25% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% 2027 Notes mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at the Company’s option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $0.1 million related to the 6.25% 2027 Notes have been capitalized and are being amortized over the term of the Notes.

 

On January 28, 2021, the Company issued an additional $10.0 million in aggregate principal amount of the 6.25% 2027 Notes for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million (the “Additional 6.25% 2027 Notes”). Offering costs incurred were approximately $0.1 million. The Additional 6.25% 2027 Notes are treated as a single series with the existing 6.25% 2027 Notes under the indenture and have the same terms as the existing 6.25% 2027 Notes. Interest on the 6.25% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% 2027 Notes mature on January 28, 2027 and commencing January 28, 2023, may be redeemed in whole or in part at any time or from time to time at the Company’s option. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $0.4 million related to the 6.25% 2027 Notes have been capitalized and are being amortized over the term of the 6.25% 2027 Notes. The 6.25% 2027 Notes are not listed and have a par value of $25.00 per note.

 

As of November 30, 2023, the total 6.25% 2027 Notes outstanding was $15.0 million. The 6.25% 2027 Notes are not listed and have a par value of $25.00 per note. The carrying amount of the amount outstanding of 6.25% 2027 Notes had a fair value of $14.0 million, which is based on a market yield analysis and would be classified as a Level 3 liability within the fair value hierarchy. As of February 28, 2023, the carrying amount and fair value of the 6.25% 2027 Notes was $15.0 million and $13.7 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.2 million and $0.2 million, respectively, of interest expense and $0.02 million and $0.02 million, respectively, of amortization of deferred financing costs related to the 6.25% 2027 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022 the average dollar amount of 6.25% 2027 Notes outstanding was $15.0 million and $15.0 million respectively.

 

93

 

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $0.7 million and $0.7 million, respectively, of interest expense and $0.05 million and $0.05 million, respectively, of amortization of deferred financing costs related to the 6.25% 2027 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022 the average dollar amount of 6.25% 2027 Notes outstanding was $15.0 million and $15.0 million respectively.

 

4.375% 2026 Notes

 

On March 10, 2021, the Company issued $50.0 million in aggregate principal amount of 4.375% fixed-rate notes due in 2026 (the “4.375% 2026 Notes”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.3 million.  Interest on the 4.375% 2026 Notes is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year. The 4.375% 2026 Notes mature on February 28, 2026 and may be redeemed in whole or in part at any time on or after November 28, 2025 at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $1.3 million related to the 4.375% 2026 Notes have been capitalized and are being amortized over the term of the 4.375% 2026 Notes.

 

On July 15, 2021, the Company issued an additional $125.0 million in aggregate principal amount of the 4.375% 2026 Notes (the “Additional 4.375% 2026 Notes”) for net proceeds for approximately $123.8 million, based on the public offering price of 101.00% of the aggregate principal amount of the Additional 4.375% 2026 Notes, after deducting the underwriting commissions of $2.5 million. Offering costs incurred were approximately $0.2 million. The Additional 4.375% 2026 Notes are treated as a single series with the existing 4.375% 2026 Notes under the indenture and have the same terms as the existing 4.375% 2026 Notes. The net proceeds from the offering were used to redeem all of the outstanding 6.25% fixed-rate note due 2025, and for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $2.7 million have been capitalized and are being amortized over the term of the additional 4.375% 2026 Notes.

 

As of November 30, 2023, the total 4.375% 2026 Notes outstanding was $175.0 million. The 4.375% 2026 Notes are not listed and are issued in minimum denominations of $2,000 and integral multiples of $1,000 in excess thereof. The carrying amount of the amount outstanding of 4.375% 2026 Notes had a fair value of $160.4 million, which is based on a market yield analysis and would be classified as a Level 3 liability within the fair value hierarchy. As of February 28, 2023, the carrying amount and fair value of the 4.375% 2026 Notes was $175.0 million and $156.1 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $1.9 million and $1.9 million, respectively, of interest expense, $0.1 million and $0.2 million, respectively, of amortization of deferred financing costs and $0.08 million and $0.07 million, respectively, of amortization of premium on issuance of 4.375% Notes due 2026 (inclusive of the issuance of the Additional 4.375% 2026 Notes). Interest expense, amortization of deferred financing costs and amortization of premium on issuance of notes are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of 4.375% 2026 Notes outstanding was $175.0 million and $175.0 million, respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $5.7 million and $5.7 million, respectively, of interest expense, $0.4 million and $0.6 million, respectively, of amortization of deferred financing costs and $0.2 million and $0.2 million, respectively, of amortization of premium on issuance of 4.375% Notes due 2026 (inclusive of the issuance of the Additional 4.375% 2026 Notes). Interest expense, amortization of deferred financing costs and amortization of premium on issuance of notes are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of 4.375% 2026 Notes outstanding was $175.0 million and $175.0 million, respectively.

 

94

 

 

4.35% 2027 Notes

 

On January 19, 2022, the Company issued $75.0 million in aggregate principal amount of 4.35% fixed-rate notes due in 2027 (the “4.35% 2027 Notes”) for net proceeds of $73.0 million, based on the public offering price of 99.317% of the aggregate principal amount of the 4.35% 2027 Notes, after deducting the underwriting commissions of approximately $1.5 million. Offering costs incurred were approximately $0.3 million. Interest on the 4.35% 2027 Notes is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.35% per year. The 4.35% 2027 Notes mature on February 28, 2027 and may be redeemed in whole or in part at the Company’s option at any time prior to November 28, 2026, at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $1.8 million related to the 4.35% 2027 Notes have been capitalized and are being amortized over the term of the 4.35% 2027 Notes.

 

As of November 30, 2023, the total 4.35% 2027 Notes outstanding was $75.0 million. The 4.35% 2027 Notes are not listed. The carrying amount of the amount outstanding of 4.35% 2027 Notes had a fair value of $66.2 million, which is based on a market yield analysis and would be classified as a Level 3 liability within the fair value hierarchy. As of February 28, 2023, the carrying amount and fair value of the 4.35% 2027 Notes was $75.0 million and $64.5 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.8 million and $0.8 million, respectively, of interest expense, $0.1 million and $0.1 million, respectively, of amortization of deferred financial costs and $0.02 million and $0.02 million, respectively, of amortization of discount related to the 4.35% 2027 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of 4.35% 2027 Notes outstanding was $75.0 million and $75.0 million, respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $2.4 million and $2.4 million, respectively, of interest expense, $0.3 million and $0.3 million, respectively, of amortization of deferred financial costs and $0.08 million and $0.07 million, respectively, of amortization of discount related to the 4.35% 2027 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of 4.35% 2027 Notes outstanding was $75.0 million and $75.0 million, respectively.

 

6.00% 2027 Notes

 

On April 27, 2022, the Company issued $87.5 million in aggregate principal amount of 6.00% fixed-rate notes due 2027 (the “6.00% 2027 Notes”) for net proceeds of $84.8 million after deducting underwriting commissions of approximately $2.7 million. Offering costs incurred were approximately $0.1 million. On May 10, 2022, the underwriters partially exercised their option to purchase an additional $10.0 million in aggregate principal amount of the 6.00% 2027 Notes. Net proceeds to the Company were $9.7 million after deducting underwriting commissions of approximately $0.3 million. Interest on the 6.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.00% per year. The 6.00% 2027 Notes mature on April 30, 2027 and commencing April 27, 2024, may be redeemed in whole or in part at any time or from time to time at the Company’s option. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $3.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes. The 6.00% 2027 Notes are listed on the NYSE under the trading symbol “SAT” with a par value of $25.00 per note.

 

On August 15, 2022, the Company issued an additional $8.0 million in aggregate principal amount of the 6.00% 2027 Notes (the “Additional 6.00% 2027 Notes”) for net proceeds of $7.8 million, based on the public offering price of 97.80% of the aggregate principal amount of the 6.00% 2027 Notes. Additional offering costs incurred were approximately $0.2 million. The Additional 6.00% 2027 Notes are treated as a single series with the existing 6.00% 2027 Notes under the indenture and have the same terms as the existing 6.00% 2027 Notes. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Additional financing costs of $0.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes.

 

95

 

 

As of November 30, 2023, the carrying amount and fair value of the 6.00% 2027 Notes was $105.5 million and $99.4 million, respectively. The fair value of the 6.00% 2027 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. As of February 28, 2023, the carrying amount and fair value of the 6.00% 2027 Notes was $105.5 million and $100.4 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $1.6 million and $1.6 million, respectively, of interest expense, $0.2 million and $0.2 million, respectively, of amortization of deferred financial costs and $0.01 million and $0.01 million, respectively, of amortization of discount related to the 6.00% 2027 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of 6.00% 2027 Notes outstanding was $105.5 million and $99.0 million, respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, we recorded $4.7 million and $3.7 million, respectively, of interest expense, $0.6 million and $0.4 million, respectively, of amortization of deferred financial costs and $0.03 million and $0.01 million, respectively, of amortization of discount related to the 6.00% 2027 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of 6.00% 2027 Notes outstanding was $105.5 million and $82.5 million, respectively.

 

7.00% 2025 Notes 

 

On September 8, 2022, the Company issued $12.0 million in aggregate principal amount of 7.00% fixed-rate notes due 2025 (the “7.00% 2025 Notes”) for net proceeds of $11.6 million after deducting underwriting discounts of approximately $0.4 million. Additional offering costs incurred were approximately $0.05 million. Interest on the 7.00% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.00% per year. The 7.00% 2025 Notes mature on September 8, 2025 and commencing September 8, 2024, may be redeemed in whole or in part at any time or from time to time at the Company’s option. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $0.04 million related to the 7.00% 2025 Notes have been capitalized and are being amortized over the term of the 7.00% 2025 Notes.

 

As of November 30, 2023, the carrying amount of the 7.00% 2025 Notes was $12.0 million. The 7.00% 2025 Notes are not listed. The carrying amount of the outstanding 7.00% 2025 Notes had a fair value of $11.7 million, which is based on a market yield analysis and would be classified as a Level 3 liability within the fair value hierarchy. As of February 28, 2023, the carrying amount and fair value of the 7.00% 2025 Notes was $12.0 million and $11.5 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.2 million and $0.2 million, respectively, of interest expense, $0.03 million and $0.0 million, respectively, of amortization of deferred financial costs and $0.03 million and $0.03 million, respectively, of amortization of discount related to the 7.00% 2025 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of 7.00% 2025 Notes outstanding was $12.0 million and $11.1 million, respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $0.6 million and $0.2 million, respectively, of interest expense, $0.09 million and $0.0 million, respectively, of amortization of deferred financial costs and $0.08 million and $0.03 million, respectively, of amortization of discount related to the 7.00% 2025 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of 7.00% 2025 Notes outstanding was $12.0 million and $3.7 million, respectively.

 

96

 

 

8.00% 2027 Notes

 

On October 27, 2022, the Company issued $40.0 million in aggregate principal amount of our 8.00% fixed-rate notes due 2027 (the “8.00% 2027 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.2 million. On November 10, 2022, the underwriters partially exercised their option to purchase an additional $6.0 million in aggregate principal amount of the 8.00% 2027 Notes. Net proceeds to the Company were $5.8 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.00% per year. The 8.00% 2027 Notes mature on October 31, 2027 and commencing October 27, 2024, may be redeemed in whole or in part at any time or from time to time at the Company’s option. The net proceeds from the offering were used for general corporate purposes in accordance with the Company’s investment objective and strategies. Financing costs of $1.7 million related to the 8.00% 2027 Notes have been capitalized and are being amortized over the term of the 8.00% 2027 Notes. The 8.00% 2027 Notes are listed on the NYSE under the trading symbol “SAJ” with a par value of $25.00 per note.

 

As of November 30, 2023, the carrying amount and fair value of the 8.00% 2027 Notes was $46.0 million and $46.6 million, respectively. The fair value of the 8.00% 2027 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. As of February 28, 2023, the carrying amount and fair value of the 8.00% 2027 Notes was $46.0 million and $46.4 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.9 million and $0.3 million, respectively, of interest expense and $0.09 million and $0.03 million, respectively, of amortization of deferred financing costs related to the 8.00% 2027 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022, the average dollar amount of 8.00% 2027 Notes outstanding was $46.0 million and $16.9 million, respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $2.8 million and $0.3 million, respectively, of interest expense and $0.3 million and $0.03 million, respectively, of amortization of deferred financing costs related to the 8.00% 2027 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022, the average dollar amount of 8.00% 2027 Notes outstanding was $46.0 million and $5.6 million, respectively.

 

8.125% 2027 Notes

 

On December 13, 2022, the Company issued $52.5 million in aggregate principal amount of 8.125% fixed-rate notes due 2027 (the “8.125% 2027 Notes”) for net proceeds of $50.8 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.1 million. On December 21, 2022, the underwriters fully exercised their option to purchase an additional $7.9 million in aggregate principal amount of the 8.125% 2027 Notes. Net proceeds to the Company were $7.6 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.125% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.125% per year, beginning February 28, 2023. The 8.125% 2027 Notes mature on December 31, 2027 and commencing December 13, 2024, may be redeemed in whole or in part at any time or from time to time at the Company’s option. The net proceeds from this offering were used to make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with the Company’s investment objective and strategies and for general corporate purposes. Financing costs of $2.0 million related to the 8.125% 2027 Notes have been capitalized and are being amortized over the term of the 8.125% 2027 Notes. The 8.125% 2027 Notes are listed on the NYSE under the trading symbol “SAY” with a par value of $25.00 per note.

 

As of November 30, 2023, the carrying amount and fair value of the 8.125% 2027 Notes was $60.4 million and $60.4 million, respectively. The fair value of the 8.125% 2027 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. As of February 28, 2023, the carrying amount and fair value of the 8.125% 2027 Notes was $60.4 million and $61.1 million, respectively.

 

97

 

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $1.2 million and $0.0 million, respectively, of interest expense and $0.1 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 8.125% 2027 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022 the average dollar amount of 8.125% 2027 Notes outstanding was $60.4 million and $0.0 million respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $3.7 million and $0.0 million, respectively, of interest expense and $0.3 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 8.125% 2027 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022 the average dollar amount of 8.125% 2027 Notes outstanding was $60.4 million and $0.0 million respectively.

 

8.75% 2024 Notes

 

On March 31, 2023, the Company issued $10.0 million in aggregate principal amount of 8.75% fixed-rate notes due 2024 (the “8.75% 2024 Notes”) for net proceeds of $9.7 million after deducting underwriting discounts of approximately $0.4 million. On May 1, 2023, the Company issued an additional $10.0 million in aggregate principal amount of the 8.75% 2024 Notes for net proceeds of $9.7 million after deducting underwriting discounts of approximately $0.4 million. Offering costs incurred were approximately $0.03 million. Interest on the 8.75% 2024 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.75% per year. The 8.75% 2024 Notes mature on March 31, 2024. Net proceeds from this offering were used to make investments in middle-market companies (including investments made through the SBIC Subsidiaries) in accordance with the Company’s investment objective and strategies and general corporate purposes. Financing costs and discounts of $0.7 million related to the 8.75% 2024 Notes have been capitalized and are being amortized over the term of the 8.75% 2024 Notes.

 

As of November 30, 2023, the total 8.75% 2024 Notes outstanding was $20.0 million. The 8.75% 2024 Notes are not listed. The carrying amount of the amount outstanding of 8.75% 2024 Notes had a fair value of $20.0 million, which is based on a market yield analysis and would be classified as a Level 3 liability within the fair value hierarchy. As of February 28, 2023, the carrying amount and fair value of the 8.75% 2024 Notes was $0.0 million and $0.0 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $0.4 million and $0.0 million, respectively, of interest expense, $0.2 million and $0.0 million, respectively, of amortization of deferred financial costs and $0.2 million and $0.0 million, respectively, of amortization of discount related to the 8.75% 2024 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022 the average dollar amount of 8.75% 2024 Notes outstanding was $20.0 million and $0.0 million respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $1.1 million and $0.0 million, respectively, of interest expense, $0.5 million and $0.0 million, respectively, of amortization of deferred financial costs and $0.4 million and $0.0 million, respectively, of amortization of discount related to the 8.75% 2024 Notes. Interest expense and amortization of discount and deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022 the average dollar amount of 8.75% 2024 Notes outstanding was $16.7 million and $0.0 million respectively.

 

98

 

 

8.50% 2028 Notes

 

On April 14, 2023, the Company issued $50.0 million in aggregate principal amount of 8.50% fixed-rate notes due 2028 (the “8.50% 2028 Notes”) for net proceeds of $48.4 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.03 million. On April 26, 2023, the underwriters fully exercised their option to purchase an additional $7.5 million in aggregate principal amount of the 8.50% 2028 Notes. Net proceeds to the Company were $7.3 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.50% 2028 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.50% per year.  The 8.50% 2028 Notes mature on April 15, 2028, and commencing April 14, 2025, may be redeemed in whole or in part at any time or from time to time at the Company’s option. Net proceeds from this offering were used to repay a portion of the outstanding indebtedness under the Encina Credit Facility, make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with the Company’s investment objective and strategies and for general corporate purposes. Financing costs of $2.0 million related to the 8.50% 2028 Notes have been capitalized and are being amortized over the term of the 8.50% 2028 Notes. The 8.50% 2028 Notes are listed on the NYSE under the trading symbol “SAZ” with a par value of $25.00 per note.

 

As of November 30, 2023, the carrying amount and fair value of the 8.50% 2028 Notes was $57.5 million and $58.0 million, respectively. The fair value of the 8.50% 2028 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. As of February 28, 2023, the carrying amount and fair value of the 8.50% 2028 Notes was $0.0 million and $0.0 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, the Company recorded $1.2 million and $0.0 million, respectively, of interest expense and $0.1 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 8.50% 2028 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2023 and November 30, 2022 the average dollar amount of 8.50% 2028 Notes outstanding was $57.5 million and $0.0 million respectively.

 

For the nine months ended November 30, 2023 and November 30, 2022, the Company recorded $3.1 million and $0.0 million, respectively, of interest expense and $0.3 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 8.50% 2028 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2023 and November 30, 2022 the average dollar amount of 8.50% 2028 Notes outstanding was $47.8 million and $0.0 million respectively.

 

99

 

SENIOR SECURITIES

(dollar amounts in thousands, except per share data)

 

Class and Year (1)(2)  Total Amount
Outstanding
Exclusive of
Treasury
Securities(3)
   Asset
Coverage
per Unit(4)
   Involuntary
Liquidating
Preference
per Share(5)
   Average
Market
Value
per Share(6)
 
   (in thousands) 
Credit Facility with Encina Lender Finance, LLC                
Fiscal year 2024 (as of November 30, 2023)  $35,000   $1,593    -    N/A 
Fiscal year 2023 (as of February 28, 2023)  $32,500   $1,659    -    N/A 
Fiscal yaer 2022 (as of February 28, 2022)  $12,500   $2,093    -    N/A 
Credit Facility with Madison Capital Funding(14)                    
Fiscal year 2021 (as of February 28, 2021)  $-   $3,471    -    N/A 
Fiscal year 2020 (as of February 29, 2020)  $-   $6,071    -    N/A 
Fiscal year 2019 (as of February 28, 2019)  $-   $2,345    -    N/A 
Fiscal year 2018 (as of February 28, 2018)  $-   $2,930    -    N/A 
Fiscal year 2017 (as of February 28, 2017)  $-   $2,710    -    N/A 
Fiscal year 2016 (as of February 29, 2016)  $-   $3,025    -    N/A 
Fiscal year 2015 (as of February 28, 2015)  $9,600   $3,117    -    N/A 
Fiscal year 2014 (as of February 28, 2014)  $-   $3,348    -    N/A 
Fiscal year 2013 (as of February 28, 2013)  $24,300   $5,421    -    N/A 
Fiscal year 2012 (as of February 29, 2012)  $20,000   $5,834    -    N/A 
Fiscal year 2011 (as of February 28, 2011)  $4,500   $20,077    -    N/A 
Fiscal year 2010 (as of February 28, 2010)  $-   $-    -    N/A 
Fiscal year 2009 (as of February 28, 2009)  $-   $-    -    N/A 
Fiscal year 2008 (as of February 29, 2008)  $-   $-    -    N/A 
Fiscal year 2007 (as of February 28, 2007)  $-   $-    -    N/A 
7.50% Notes due 2020(7)                    
Fiscal year 2017 (as of February 28, 2017)  $-   $-    -    N/A 
Fiscal year 2016 (as of February 29, 2016)  $61,793   $3,025    -   $25.24(8)
Fiscal year 2015 (as of February 28, 2015)  $48,300   $3,117    -   $25.46(8)
Fiscal year 2014 (as of February 28, 2014)  $48,300   $3,348    -   $25.18(8)
Fiscal year 2013 (as of February 28, 2013)  $-   $-    -    N/A 
Fiscal year 2012 (as of February 29, 2012)  $-   $-    -    N/A 
Fiscal year 2011 (as of February 28, 2011)  $-   $-    -    N/A 
Fiscal year 2010 (as of February 28, 2010)  $-   $-    -    N/A 
Fiscal year 2009 (as of February 28, 2009)  $-   $-    -    N/A 
Fiscal year 2008 (as of February 29, 2008)  $-   $-    -    N/A 
Fiscal year 2007 (as of February 28, 2007)  $-   $-    -    N/A 
6.75% Notes due 2023(9)                    
Fiscal year 2020 (as of February 29, 2020)  $-   $-    -    N/A 
Fiscal year 2019 (as of February 28, 2019)  $74,451   $2,345    -   $25.74(10)
Fiscal year 2018 (as of February 28, 2018)  $74,451   $2,930    -   $26.05(10)
Fiscal year 2017 (as of February 28, 2017)  $74,451   $2,710    -   $25.89(10)
8.75% Notes due 2024                    
Fiscal year 2024 (as of November 30, 2023)  $20,000   $1,593    -   $25.00(12)
6.25% Notes due 2025(13)                    
Fiscal year 2022 (as of February 28, 2022)   -    -    -     N/A  
Fiscal year 2021 (as of February 28, 2021)  $60,000   $3,471    -   $24.24(11)
Fiscal year 2020 (as of February 29, 2020)  $60,000   $6,071    -   $25.75(11)
Fiscal year 2019 (as of February 28, 2019)  $60,000   $2,345    -   $24.97(11)
7.00% Notes due 2025                    
Fiscal year 2024 (as of November 30, 2023)  $12,000   $1,593    -   $25.00(12)
Fiscal year 2023 (as of February 28, 2023)  $12,000   $1,659    -   $25.00(12)
7.25% Notes due 2025(17)                    
Fiscal year 2023 (as of February 28, 2023)   -    -    -     N/A  
Fiscal year 2022 (as of February 28, 2022)  $43,125   $2,093    -   $25.46(11)
Fiscal year 2021 (as of February 28, 2021)  $43,125   $3,471    -   $25.77(11)
7.75% Notes due 2025                    
Fiscal year 2024 (as of November 30, 2023)  $5,000   $1,593    -   $25.00(12)
Fiscal year 2023 (as of February 28, 2023)  $5,000   $1,659    -   $25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $5,000   $2,093    -   $25.00(12)
Fiscal year 2021 (as of February 28, 2021)  $5,000   $3,471    -   $25.00(12)
4.375% Notes due 2026                    
Fiscal year 2024 (as of November 30, 2023)  $175,000   $1,593    -   $25.00(12)
Fiscal year 2023 (as of February 28, 2023)  $175,000   $1,659    -   $25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $175,000   $2,093    -   $25.00(12)
4.35% Notes due 2027                    
Fiscal year 2024 (as of November 30, 2023)  $75,000   $1,593    -   $25.00(12)
Fiscal year 2023 (as of February 28, 2023)  $75,000   $1,659    -   $25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $75,000   $2,093    -   $25.00(12)
6.00% Notes due 2027                    
Fiscal year 2024 (as of November 30, 2023)  $105,500   $1,593    -   $23.34(15)
Fiscal year 2023 (as of February 28, 2023)  $105,500   $1,659    -   $23.97(15)
6.25% Notes due 2027                    
Fiscal year 2024 (as of November 30, 2023)  $15,000   $1,593    -   $25.00(12)
Fiscal year 2023 (as of February 28, 2023)  $15,000   $1,659    -   $25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $15,000   $2,093    -   $25.00(12)
Fiscal year 2021 (as of February 28, 2021)  $15,000   $3,471    -   $25.00(12)
8.00% Notes due 2027                    
Fiscal year 2024 (as of November 30, 2023)  $46,000   $1,593    -   $24.93(15)
Fiscal year 2023 (as of February 28, 2023)  $46,000   $1,659    -   $25.08(15)
8.125% Notes due 2027                    
Fiscal year 2024 (as of November 30, 2023)  $60,375   $1,593    -   $24.97(15)
Fiscal year 2023 (as of February 28, 2023)  $60,375   $1,659    -   $25.10(15)
8.50% Notes due 2028                    
Fiscal year 2024 (as of November 30, 2023)  $57,500   $1,593    -   $25.07(16)

100

 

 

 

(1)We have excluded our SBA-guaranteed debentures from this table because the SEC has granted us exemptive relief that permits us to exclude such debentures from the definition of senior securities in the 150% asset coverage ratio we are required to maintain under the 1940 Act.

  

(2)This table does not include the senior securities of our predecessor entity, GSC Investment Corp., relating to a revolving securitized credit facility with Deutsche Bank, in light of the fact that the Company was under different management during the time that such credit facility was outstanding.

 

(3)Total amount of senior securities outstanding at the end of the period presented.

 

(4)Asset coverage per unit is the ratio of our total assets, less all liabilities and indebtedness not represented by senior securities, to the aggregate amount of senior securities representing indebtedness. Asset coverage per unit is expressed in terms of dollar amounts per $1,000 of indebtedness, calculated on a total basis.

 

(5)The amount to which such class of senior security would be entitled upon the involuntary liquidation of the issuer in preference to any security junior to it. The “—” indicates information which the Securities and Exchange Commission expressly does not require to be disclosed for certain types of senior securities.

 

(6)Not applicable for credit facility because not registered for public trading.

 

(7)On January 13, 2017, the Company redeemed in full its 2020 Notes. The Company used a portion of the net proceeds from the 2023 Notes offering, which was completed in December 2016, to redeem the 2020 Notes in full.

 

(8)Based on the average daily trading price of the 2020 Notes on the NYSE.

 

(9)On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.45 million, respectively, in aggregate principal amount of the $74.45 million in aggregate principal amount of issued and outstanding 2023 Notes.

 

(10)Based on the average daily trading price of the 2023 Notes on the NYSE.

 

(11)Based on the average daily trading price of the 2025 Notes on the NYSE.

 

(12)The carrying value of this unlisted security approximates its fair value, based on a waterfall analysis showing adequate collateral coverage.

 

(13)On August 31, 2021, the Company redeemed $60.0 million in aggregate principal amount of the issued and outstanding 6.25% 2025 Notes. The Company used a portion of the net proceeds from the 4.375% 2026 Notes offering, which was completed in July 2021, to redeem the 6.25% 2025 Notes in full.

 

(14)On October 4, 2021, the Company repaid all remaining amounts outstanding under the Madison Credit Facility and the credit agreement relating to the Madison Credit Facility was terminated.

 

(15)Based on the average daily trading price of the 2027 Notes on the NYSE.

 

(16)Based on the average daily trading price of the 2028 Notes on the NYSE.

 

(17)On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes.

 

101

 

 

Note 9. Commitments and Contingencies

 

Contractual Obligations

 

The following table shows our payment obligations for repayment of debt and other contractual obligations at November 30, 2023:

 

   Payment Due by Period 
Long-Term Debt Obligations  Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
           ($ in thousands)         
Encina credit facility  $35,000   $
-
   $35,000   $
-
   $
-
 
SBA debentures   205,000    
-
    
-
    
-
    205,000 
8.75% 2024 Notes   20,000    20,000    
-
    
-
    
-
 
7.00% 2025 Notes   12,000    
-
    12,000    
-
    
-
 
7.75% 2025 Notes   5,000    
-
    5,000    
-
    
-
 
4.375% 2026 Notes   175,000    
-
    175,000    
-
    
-
 
4.35% 2027 Notes   75,000    
-
    
-
    75,000    
-
 
6.00% 2027 Notes   105,500    
-
    
-
    105,500    
-
 
6.25% 2027 Notes   15,000    
-
    
-
    15,000    
-
 
8.00% 2027 Notes   46,000    
-
    
-
    46,000    
-
 
8.125% 2027 Notes   60,375    
-
    
-
    60,375    
-
 
8.50% 2028 Notes   57,500    
-
    
-
    57,500    
-
 
Total Long-Term Debt Obligations  $811,375   $20,000   $227,000   $359,375   $205,000 

 

Off-Balance Sheet Arrangements

 

As of November 30, 2023 and February 28, 2023, the Company’s off-balance sheet arrangements consisted of $128.4 million and $108.8 million, respectively, of unfunded commitments outstanding to provide debt financing to its portfolio companies or to fund limited partnership interests. Such commitments are generally up to the Company’s 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 Company’s consolidated statements of assets and liabilities and are not reflected in the Company’s consolidated statements of assets and liabilities.

 

102

 

 

A summary of the unfunded commitments outstanding as of November 30, 2023 and February 28, 2023 is shown in the table below (dollars in thousands):

 

   November 30,
2023
   February 28,
2023
 
At Company’s discretion        
ActiveProspect, Inc.  $10,000   $10,000 
Artemis Wax Corp.   23,500    
-
 
Ascend Software, LLC   5,000    5,000 
Granite Comfort, LP   750    15,000 
JDXpert   5,000    5,000 
LFR Chicken LLC   -    4,000 
Pepper Palace, Inc.   1,898    3,000 
Procurement Partners, LLC   4,250    4,250 
Saratoga Senior Loan Fund I JV, LLC   8,548    8,548 
Sceptre Hospitality Resources, LLC   5,000    5,000 
Stretch Zone Franchising, LLC   3,750    
-
 
VetnCare MSO, LLC   10,000    
-
 
Total  $77,696   $59,798 
           
At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required          
Alpha Aesthetics Partners OpCo, LLC  $3,720   $
-
 
ARC Health OpCo LLC   2,585    10,773 
Artemis Wax Corp.   
-
    8,500 
Ascend Software, LLC   1,500    3,200 
Axero Holdings, LLC - Revolver   500    500 
Axiom Medical Consulting, LLC   2,000    - 
BQE Software, Inc.   3,250    
-
 
C2 Educational Systems   3,000    
-
 
Davisware, LLC   1,500    
-
 
Exigo, LLC   -    4,167 
Exigo, LLC - Revolver   1,042    833 
Gen4 Dental Partners Holdings, LLC   244    11,000 
GoReact   2,500    2,500 
JDXpert   
-
    1,000 
Inspect Point Holding, LLC   1,500    - 
Modis Dental Partners OpCo, LLC   7,500    
-
 
Pepper Palace, Inc. - Delayed Draw Term Loan   
-
    2,000 
Pepper Palace, Inc. - Revolver   2,500    2,500 
Procurement Partners, LLC   
-
    1,000 
Stretch Zone Franchising, LLC   1,500    
-
 
VetnCare MSO, LLC   15,319    
-
 
Zollege PBC   575    1,000 
    50,735    48,973 
Total  $128,431   $108,771 

 

The Company believes its assets will provide adequate coverage to satisfy these unfunded commitments. As of November 30, 2023, the Company had cash and cash equivalents and cash and cash equivalents, reserve accounts of $47.0 million and $30.0 million in available borrowings under the Encina Credit Facility.

 

103

 

 

Note 10. Directors Fees

 

The independent directors each receive an annual fee of $70,000. They also receive $3,000 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each board meeting and receive $1,500 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 $12,500 and the chairman of each other committee of the board of directors receives an annual fee of $6,000 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 NAV or the market price at the time of payment. No compensation is paid to directors who are “interested persons” of the Company (as defined in Section 2(a)(19) of the 1940 Act). For the three months ended November 30, 2023 and November 30, 2022, the Company incurred $0.1 million and $0.1 million for directors’ fees and expenses, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the Company incurred $0.3 million and $0.3 million for directors’ fees and expenses, respectively. As of November 30, 2023 and February 28, 2023, $0.0 million and $0.01 million in directors’ fees and expenses were accrued and unpaid, respectively. As of November 30, 2023, the Company had not issued any common stock to our directors as compensation for their services.

 

Note 11. Stockholders’ Equity

 

Share Repurchases

 

On September 24, 2014, the Company announced the approval of an open market share repurchase plan that originally 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 (the “Share Repurchase Plan”). Since September 24, 2014, the Share Repurchase Plan has been extended annually, and the Company has periodically increased the amount of shares of common stock that may be purchased under the Share Repurchase Plan, most recently to 1.7 million shares of common stock. On January 8, 2024, the Company’s board of directors extended the Share Repurchase Plan for another year to January 15, 2025. As of November 30, 2023, the Company had purchased 1,035,203 shares of common stock, at the average price of $22.05 for approximately $22.8 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2023, the Company did not purchase any shares of common stock pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2023, the Company purchased 88,576 shares of common stock, at the average price $24.36 for approximately $2.2 million pursuant to the Share Repurchase Plan.

 

Public Equity Offering

 

On July 13, 2018, the Company issued 1,150,000 shares of its common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. The Company also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of its common stock, which was not exercised. 

 

Equity ATM Program

 

On March 16, 2017, the Company entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which the Company offered for sale, from time to time, up to $30.0 million of the Company’s common stock through an ATM offering. Subsequent to this, BB&T Capital Markets and B. Riley FBR, Inc. were also added to the agreement. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. This agreement was terminated as of July 29, 2021, and as of that date, the Company had sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs).

 

On July 30, 2021, the Company entered into an equity distribution agreement (the “Equity Distribution Agreement”) with Ladenburg Thalmann & Co. Inc. and Compass Point Research and Trading, LLC (collectively the “Agents”), through which the Company may offer for sale, from time to time, up to $150.0 million of the Company’s common stock through the Agents, or to them, as principal for their account (the “ATM Program”).

 

104

 

 

On July 6, 2023, the Equity Distribution Agreement was amended to increase the maximum amount of shares of our common stock to be sold through the ATM Program to $300.0 million from $150.0 million, and on July 19, 2023, the Equity Distribution Agreement was amended to add an additional distribution agent, Raymond James & Associates. The sales price per share of the Company’s common stock offered under the ATM Program, less the Agents’ commission, will not be less than the NAV per share of the Company’s common stock at the time of such sale. Consistent with the terms of the ATM Program, the Manager may, from time to time and in its sole discretion, contribute proceeds necessary to ensure that no sales are made at a price below the then-current NAV per share.

 

As of November 30, 2023, the Company sold 6,042,773 shares for gross proceeds of $158.3 million at an average price of $26.20 for aggregate net proceeds of $156.8 million (net of transaction costs). During the three months ended November 30, 2023, the Company sold 350,000 shares for gross proceeds of $10.0 million at an average price of $28.48 for aggregate net proceeds of $10.0 million (net of transaction costs). During the nine months ended November 30, 2023, the Company sold 1,202,412 shares for gross proceeds of $34.3 million at an average price of $28.54 for aggregate net proceeds of $34.3 million (net of transaction costs). The Manager agreed to reimburse the Company to the extent the per share price of the shares to the public, less underwriting fees, was less than net asset value per share. For the three months ended November 30, 2023, the Manager reimbursed the Company $1.0 million. For the nine months ended November 30, 2023, the Manager reimbursed the Company $3.1 million.

 

The Company adopted Rule 3-04/Rule 8-03(a)(5) under Regulation S-X (Note 2). Pursuant to Regulation S-X, the Company has presented a reconciliation of the changes in each significant caption of stockholders’ equity as shown in the tables below:

 

              Total     
   Common Stock   Capital
in Excess
  

Distributable

Earnings

     
   Shares   Amount   of Par Value   (Loss)   Net Assets 
Balance at February 28, 2022  12,131,350   $ 12,131   $ 328,062,246   $ 27,706,146   $ 355,780,523 
Increase (Decrease) from Operations:                    
Net investment income   -    
-
    
-
    7,976,222    7,976,222 
Net realized gain (loss) from investments   -    
-
    
-
    162,509    162,509 
Income tax (provision) benefit from realized gain on investments   -    
-
    
-
    69,250    69,250 
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    (9,333,449)   (9,333,449)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (361,951)   (361,951)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (6,428,817)   (6,428,817)
Capital Share Transactions:                         
Stock dividend distribution   42,825    43    1,108,637    
-
    1,108,680 
Repurchases of common stock   (142,177)   (142)   (3,734,174)   
-
    (3,734,316)
Repurchase fees   -    
-
    (2,840)   
-
    (2,840)
Balance at May 31, 2022   12,031,998   $12,032   $325,433,869   $19,789,910   $345,235,811 
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    7,698,014    7,698,014 
Net realized gain (loss) from investments   -    
-
    
-
    7,943,838    7,943,838 
Realized losses on extinguishment of debt   -    
-
    
-
    (1,204,809)   (1,204,809)
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    (13,258,456)   (13,258,456)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (230,154)   (230,154)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (6,369,981)   (6,369,981)
Capital Share Transactions:                         
Stock dividend distribution   48,590    49    1,088,139    
-
    1,088,188 
Repurchases of common stock   (153,350)   (154)   (3,685,951)   
-
    (3,686,105)
Repurchase fees   -    
-
    (3,071)   
-
    (3,071)
Balance at August 31, 2022   11,927,238   $11,927   $322,832,986   $14,368,362   $337,213,275 
                          
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    9,877,437    9,877,437 
Net realized gain (loss) from investments   -    
-
    
-
    (740,434)   (740,434)
Income tax (provision) benefit from realized gain on investments   -    
-
    
-
    479,318    479,318 
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    (3,176,208)   (3,176,208)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (425,848)   (425,848)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (6,433,298)   (6,433,298)
Capital Share Transactions:                         
Stock dividend distribution   52,312    53    1,150,881    
-
    1,150,934 
Repurchases of common stock   (94,071)   (95)   (2,179,600)   
-
    (2,179,695)
Repurchase fees   -    
-
    (1,881)   
-
    (1,881)
Balance at November 30, 2022   11,885,479   $11,885   $321,802,386   $13,949,329   $335,763,600 
                          
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    9,649,474    9,649,474 
Net realized gain (loss) from investments   -    
-
    
-
    80,683    80,683 
Realized losses on extinguishment of debt   -    
-
    
-
    (382,274)   (382,274)
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    10,549,981    10,549,981 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (697,380)   (697,380)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (8,081,306)   (8,081,306)
Capital Share Transactions:                         
Stock dividend distribution   53,615    55    1,300,405    
-
    1,300,460 
Repurchases of common stock   (48,594)   (49)   (1,224,175)   
-
    (1,224,224)
Repurchase fees   -    
-
    (972)   
-
    (972)
Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles   -    
-
    16,162    (16,162)   
-
 
Balance at February 28, 2023   11,890,500   $11,891   $321,893,806   $25,052,345   $346,958,042 
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    15,958,950    15,958,950 
Net realized gain (loss) from investments   -    
-
    
-
    90,691    90,691 
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    (16,322,307)   (16,322,307)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    59,407    59,407 
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (8,193,402)   (8,193,402)
Capital Share Transactions:                         
Stock dividend distribution   45,818    47    1,058,797    
-
    1,058,844 
Repurchases of common stock   (88,576)   (90)   (2,157,515)   
-
    (2,157,605)
Repurchase fees   -    
-
    (1,772)   
-
    (1,772)
Balance at May 31, 2023   11,847,742   $11,848   $320,793,316   $16,645,684   $337,450,848 
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    13,964,784    13,964,784 
Realized losses on extinguishment of debt   -    
-
    
-
    (110,056)   (110,056)
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    (5,737,571)   (5,737,571)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (221,206)   (221,206)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (8,352,335)   (8,352,335)
Capital Share Transactions:                         
Proceeds from issuance of common stock   852,412    852    22,497,265    
-
    

22,498,117

 
Capital contribution from manager   -    -    

2,050,288

    -    

2,050,288

 
Stock dividend distribution   29,627    30    749,283    
-
    749,313 
Offering costs   -    -    (213,427)   -    

(213,427

)
Balance at August 31, 2023   12,729,781   $12,730   $345,876,725   $16,189,300   $362,078,755 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    14,166,063    14,166,063 
Net realized gain (loss) from investments   -    -    -    60,565    60,565 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (17,866,353)   (17,866,353)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (415,894)   (415,894)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (9,286,642)   (9,286,642)
Capital Share Transactions:                         
Proceeds from issuance of common stock   350,000    350    

9,012,150

    -    9,012,150 
Capital contribution from manager   -    -    

1,043,000

    -    

1,043,000

 
Stock dividend distribution   35,196    35    858,960    -    858,995 
Offering costs   -    -    (92,240)   -    (92,240)
Balance at November 30, 2023   13,114,977   $13,115   $356,698,595   $2,847,039   $359,558,749 

 

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Note 12. Earnings Per Share

 

In accordance with the provisions of ASC Topic 260, Earnings per Share, 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 (decrease) in net assets resulting from operations per share for the three and nine months ended November 30, 2023 and November 30, 2022 (dollars in thousands except share and per share amounts):

 

   For the three months ended   For the nine months ended 
Basic and Diluted  November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
Net increase (decrease) in net assets resulting from operations  $(4,056)  $6,014   $3,627   $5,475 
Weighted average common shares outstanding   13,052,896    11,893,173    12,355,815    11,989,811 
Weighted average earnings (loss) per common share  $(0.31)  $0.51   $0.29   $0.46 

 

Note 13. Dividend

 

On November 15, 2023, the Company declared a dividend of $0.72 per share payable on December 28, 2023, to common stockholders of record on December 11, 2023. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP.

 

On August 14, 2023, the Company declared a dividend of $0.71 per share payable on September 28, 2023, to common stockholders of record on September 14, 2023. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP.

 

On May 22, 2023, the Company declared a dividend of $0.70 per share payable on June 29, 2023, to common stockholders of record on June 13, 2023. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP.

 

The following table summarizes dividends declared for the nine months ended November 30, 2023 (dollars in thousands except per share amounts):

 

Date Declared   Record Date   Payment Date  Amount
Per Share
   Total Amount* 
November 15, 2023  December 11, 2023  December 28, 2023  $0.72    8,888  
August 14, 2023  September 14, 2023  September 28, 2023   0.71   $9,287 
May 22, 2023  June 13, 2023  June 29, 2023   0.70   $8,352 
Total dividends declared        $2.13   $26,527 

 

 

*Total amount is calculated based on the number of shares outstanding at the date of record.

 

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The following table summarizes dividends declared for the nine months ended November 30, 2022 (dollars in thousands except per share amounts):

 

Date Declared  Record Date  Payment Date  Amount
Per Share
   Total Amount* 
November 15, 2022  December 15, 2022  January 4, 2023  $0.68   $8,081 
August 29, 2022  September 14, 2022  September 29, 2022   0.54    6,433 
May 26, 2022  June 14, 2022  June 29, 2022   0.53    6,370 
Total dividends declared        $1.75   $20,884 

 

 

*Total amount is calculated based on the number of shares outstanding at the date of record.

 

Note 14. Financial Highlights 

 

The following is a schedule of financial highlights as of and for the nine months ended November 30, 2023 and November 30, 2022:

 

Per share data  November 30,
2023
   November 30,
2022
 
Net asset value at beginning of period  $29.18   $29.33 
Net investment income(1)   3.57    2.13 
Net realized and unrealized gain and losses on investments(1)   (3.27)   (1.57)
Realized losses on extinguishment of debt   (0.01)   (0.10)
Net increase in net assets resulting from operations   0.29    0.46 
Distributions declared from net investment income   (2.10)   (1.60)
Total distributions to stockholders   (2.10)   (1.60)
Issuance of common stock(2)   (0.30)   
 
Capital contribution from manager for the issuance of common stock(14)   0.36    
 
Repurchases of common stock(3)   0.03    0.15 
Dilution(4)   (0.04)   (0.09)
Net asset value at end of period  $27.42   $28.25 
Net assets at end of period  $359,558,749   $335,763,600 
Shares outstanding at end of period   13,114,977    11,885,479 
Per share market value at end of period  $26.21   $26.37 
Total return based on market value(5)(6)   3.62%   2.74%
Total return based on net asset value(5)(7)   2.35%   2.98%
Ratio/Supplemental data:          
Ratio of net investment income to average net assets(8)   17.15%   9.90%
Expenses:          
Ratios of operating expenses and income taxes to average net assets*(9)   8.09%   7.02%
Ratio of incentive management fees to average net assets(5)   1.37%   0.06%
Ratio of interest and debt financing expenses to average net assets(9)   13.87%   8.97%
Ratio of total expenses and income taxes to average net assets*(8)   23.33%   16.05%
Portfolio turnover rate(5)(10)   1.80%   17.77%
Asset coverage ratio per unit(11)   1,593    1,732 
Average market value per unit          
Revolving Credit Facility(12)                        N/A                         N/A 
SBA Debentures Payable(12)                        N/A                         N/A 
8.75% Notes Payable 2024(12)                        N/A                         N/A 
7.00% Notes Payable 2025(12)                        N/A                         N/A 
7.25% Notes Payable 2025(13)                        N/A                         N/A 
7.75% Notes Payable 2025(12)                        N/A                         N/A 
4.375% Notes Payable 2026(12)                        N/A    N/A 
4.35% Notes Payable 2027(12)                         N/A      N/A  
6.00% Notes Payable 2027  $23.34   $24.20 
6.25% Notes Payable 2027(12)    N/A     N/A 
8.00% Notes Payable 2027  $24.93    24.94 
8.125% Notes Payable 2027  $24.97    N/A 
8.50% Notes Payable 2028  $25.07    N/A 

 

 

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

 

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(1)Per share amounts are calculated using the weighted average shares outstanding during the period.

 

(2) The continuous issuance of common stock may cause an incremental decrease in NAV per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company less than NAV per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date multiplied by (B) the differences between the net proceeds per share and the NAV per share on each share transaction date, divided by (ii) the total shares outstanding during the period.

 

(3)Represents the anti-dilutive impact on the NAV of the Company due to the repurchase of common shares.  See Note 11. Stockholders’ Equity.

 

(4)Represents the dilutive effect of issuing common stock below NAV per share during the period in connection with the satisfaction of the Company’s annual RIC distribution requirement and may include the impact of the different share amounts used for different items (weighted average basic common shares outstanding for the corresponding year and actual common shares outstanding at the end of the year) in the per common share data calculation and rounding impacts. See Note 13. Dividend.

 

(5)Ratios are not annualized.

 

(6)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 DRIP. Total investment return does not reflect brokerage commissions.

 

(7)Total investment return is calculated assuming a purchase of common shares at the current NAV 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 DRIP. Total investment return does not reflect brokerage commissions.

 

(8)Ratios are annualized.  Incentive management fees included within the ratio are not annualized.

 

(9)Ratios are annualized.

 

(10)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.

 

(11)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.

 

(12)The Revolving Credit Facility, SBA Debentures, 8.75% Notes Payable 2024, 7.00% Notes Payable 2025, 7.75% Notes Payable 2025, 4.375% Notes Payable 2026, 4.35% Notes Payable 2027 and 6.25% Notes Payable 2027 are not registered for public trading.

 

(13)On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the $43.1 million in aggregate principal amount of issued and outstanding 7.25% 2025 Notes and are no longer listed on the NYSE.

 

(14) The Manager agreed to reimburse the Company to the extent the per share price of the shares to the public, less underwriting fees, was less than net asset value per share.

 

Note 15. Subsequent Events

 

The Company has evaluated subsequent events through the filing of this Form 10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s consolidated financial statements and disclosures in the consolidated financial statements as of and for the quarter ended November 30, 2023.

 

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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

 

The following discussion should be read in conjunction with our consolidated financial statements and related notes and other financial information appearing elsewhere in this Quarterly Report on Form 10-Q. In addition to historical information, the following discussion and other parts of this Quarterly Report contain forward-looking information that involves risks and uncertainties. Our actual results could differ materially from those anticipated by such forward-looking information due to the factors discussed under “Note about Forward-Looking Statements” and Part I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended February 28, 2023.

 

The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements.

 

The forward-looking statements contained in this Quarterly Report on Form 10-Q involve risks and uncertainties, including statements as to:

 

  our future operating results;

 

  the introduction, withdrawal, success and timing of business initiatives and strategies;

 

  changes in political, economic or industry conditions, the interest rate environment or financial and capital markets, which could result in changes in the value of our assets;

 

  the relative and absolute investment performance and operations of our Manager;

 

  the impact of increased competition;

 

  our ability to turn potential investment opportunities into transactions and thereafter into completed and successful investments;

 

  the unfavorable resolution of any future legal proceedings;

 

  our business prospects and the operational and financial performance of our portfolio companies, including their ability to achieve our respective objectives as a result of the current economic conditions caused by, among other things, elevated levels of inflation, and a rising interest rate environment, and the effects of the disruptions caused thereby on our ability to continue to effectively manage our business;

 

 

interest rate volatility, including the replacement of LIBOR with alternate reference rates and the rising interest rate environment, could adversely affect our results, particularly if we elect to use leverage as part of our investment strategy;

 

  the impact of investments that we expect to make and future acquisitions and divestitures;

 

  our contractual arrangements and relationships with third parties;

 

  the dependence of our future success on the general economy and its impact on the industries in which we invest;

 

  the ability of our portfolio companies to achieve their objectives;

 

  our expected financings and investments;

 

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  our regulatory structure and tax treatment, including our ability to operate as a business development company (“BDC”), or to operate our small business investment company (“SBIC”) subsidiaries, and to continue to qualify to be taxed as a regulated investment company (“RIC”);

 

  the adequacy of our cash resources and working capital;

 

  the timing of cash flows, if any, from the operations of our portfolio companies;

 

the impact of supply chain constraints and labor difficulties on our portfolio companies and the global economy;

 

the elevated level of inflation, and its impact on our portfolio companies and on the industries in which we invest;

 

  the impact of legislative and regulatory actions and reforms and regulatory, supervisory or enforcement actions of government agencies relating to us or our Manager;

 

  the impact of changes to tax legislation and, generally, our tax position;

 

  our ability to access capital and any future financings by us;

 

  the ability of our Manager to attract and retain highly talented professionals; and
     
  the ability of our Manager to locate suitable investments for us and to monitor and effectively administer our investments.

 

Such forward-looking statements may include statements preceded by, followed by or that otherwise include terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “project,” “should,” “will” and “would” or the negative of these terms or other comparable terminology.

 

110

 

 

We have based the forward-looking statements included in this Quarterly Report on Form 10-Q on information available to us on the date of this Quarterly Report on Form 10-Q, and we assume no obligation to update any such forward-looking statements. Actual results could differ materially from those anticipated in our forward-looking statements, and future results could differ materially from historical performance. We undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by law or SEC rule or regulation. You are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

 

The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this Quarterly Report on Form 10-Q.

 

OVERVIEW

 

We are a Maryland corporation that has elected to be treated as a BDC under the Investment Company Act of 1940, as amended (the “1940 Act”). Our investment objective is to create attractive risk-adjusted returns by generating current income and long-term capital appreciation from our investments. We invest primarily in senior and unitranche leveraged loans and mezzanine debt issued by private U.S. middle-market companies, which we define as companies having earnings before interest, tax, depreciation and amortization (“EBITDA”) of between $2 million and $50 million, both through direct lending and through participation in loan syndicates. We may also invest up to 30.0% of the portfolio in opportunistic investments in order to seek to enhance returns to stockholders. Such investments may include investments in distressed debt, which may include securities of companies in bankruptcy, foreign debt, private equity, securities of public companies that are not thinly traded and structured finance vehicles such as collateralized loan obligation funds. Although we have no current intention to do so, to the extent we invest in private equity funds, we will limit our investments in entities that are excluded from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the 1940 Act, which includes private equity funds, to no more than 15.0% of its net assets. We have elected and qualified to be treated as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).

 

Corporate History

 

We commenced operations, at the time known as GSC Investment Corp., on March 23, 2007 and completed an initial public offering of shares of common stock on March 28, 2007. Prior to July 30, 2010, we were externally managed and advised by GSCP (NJ), L.P., an entity affiliated with GSC Group, Inc. In connection with the consummation of a recapitalization transaction on July 30, 2010, as described below we engaged Saratoga Investment Advisors to replace GSCP (NJ), L.P. as our investment adviser and changed our name to Saratoga Investment Corp.

 

As a result of the event of default under a revolving securitized credit facility with Deutsche Bank, in December 2008 we engaged the investment banking firm of Stifel, Nicolaus & Company to evaluate strategic transaction opportunities. On April 14, 2010, GSC Investment Corp. entered into a stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates, and an assignment, assumption and novation agreement with Saratoga Investment Advisors, pursuant to which GSC Investment Corp. assumed certain rights and obligations of Saratoga Investment Advisors under a debt commitment letter Saratoga Investment Advisors received from Madison Capital Funding LLC. The debt commitment letter indicated Madison Capital Funding’s willingness to provide GSC Investment Corp. with a $40.0 million senior secured revolving credit facility, subject to the satisfaction of certain terms and conditions. In addition, GSC Investment Corp. and GSCP (NJ), L.P. entered into a termination and release agreement, to be effective as of the closing of the transaction contemplated by the stock purchase agreement, pursuant to which GSCP (NJ), L.P., among other things, agreed to waive any and all accrued and unpaid deferred incentive management fees up to and as of the closing of the transaction contemplated by the stock purchase agreement but continued to be entitled to receive the base management fees earned through the date of the closing of the transaction contemplated by the stock purchase agreement.

 

On July 30, 2010, the transactions contemplated by the stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates were completed, the private sale of 986,842 shares of our common stock for $15.0 million in aggregate purchase price to Saratoga Investment Advisors and certain of its affiliates closed, the we entered into the Madison Credit Facility (as defined below), and we began doing business as Saratoga Investment Corp.

 

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We used the net proceeds from the private sale transaction and a portion of the funds available to us under the Madison Credit Facility to pay the full amount of principal and accrued interest, including default interest, outstanding under our revolving securitized credit facility with Deutsche Bank. The revolving securitized credit facility with Deutsche Bank was terminated in connection with our payment of all amounts outstanding thereunder on July 30, 2010.

 

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.

 

In January 2011, we registered for public resale of the 986,842 shares of our common stock issued to Saratoga Investment Advisors and certain of its affiliates.

 

Our wholly owned subsidiaries, Saratoga Investment Corp. SBIC LP (“SBIC LP”), Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), and Saratoga Investment Corp. SBIC III LP (“SBIC III LP”, and together with SBIC LP and SBIC II LP, the “SBIC Subsidiaries”), received SBIC licenses from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022, respectively. SBIC LP’s license provided up to $150.0 million in additional long-term capital in the form of SBA debentures, while SBIC II LP’s and SBIC III LP’s SBIC licenses provide up to $175.0 million each. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital. With all debentures repaid to the SBA, SBIC LP’s license was surrendered on January 3, 2024, providing the Company access to all undistributed capital of SBIC LP.

.

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

 

We have formed a wholly owned special purpose entity, Saratoga Investment Funding II LLC, a Delaware limited liability company (“SIF II”), for the purpose of entering into a $50.0 million senior secured revolving credit facility with Encina Lender Finance, LLC (the “Lender”), supported by loans held by SIF II and pledged to the Lender under the credit facility (the “Encina Credit Facility”). The Encina Credit Facility closed on October 4, 2021. During the first two years following the closing date, SIF II may request an increase in the commitment amount under the Encina Credit Facility to up to $75.0 million. The terms of the Encina Credit Facility required a minimum drawn amount of $12.5 million at all times during the first six months following the closing date, which increased to the greater of $25.0 million or 50% of the commitment amount in effect at any time thereafter. The term of the Encina Credit Facility is three years. Advances under the Encina Credit Facility bear interest at a floating rate per annum equal to LIBOR plus 4.0%, with LIBOR having a floor of 0.75%, with customary provisions related to our and the Lender’s selection of a replacement benchmark rate. Concurrently with the closing of the Encina Credit Facility, all remaining amounts outstanding on our existing revolving credit facility with Madison Capital Funding, LLC were repaid and the facility was terminated. On January 27, 2023, among other things, the borrowings available under the Encina Credit Facility was increased from up to $50.0 million to up to $65.0 million, the underlying benchmark rate used to compute interest changed from LIBOR to Term SOFR for one-month tenor plus a 0.10% credit spread adjustment, the applicable effective margin rate on borrowings increased from 4.00% to 4.25% and the maturity date was extended from October 4, 2024 to January 27, 2026.

 

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On October 26, 2021, we entered into a limited liability company agreement with TJHA JV I LLC (“TJHA”) to co-manage Saratoga Senior Loan Fund I JV LLC (“SLF JV”). SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2021-1 Ltd (“SLF 2021”), which is a wholly owned subsidiary of SLF JV. SLF 2021 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.

 

On September 30, 2022, SLF 2021 was renamed to Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. (“SLF 2022”).

 

We and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.

 

We and TJHA have committed to provide up to a combined $50.0 million of financing to SLF JV through cash contributions, where we provide $43.75 million and TJHA proves $6.25 million, resulting in an 87.5% and 12.5% ownership between the two parties. The financing is issued in the form of an unsecured note and equity. The unsecured note will pay a fixed rate of 10.0% per annum and is due and payable in full on June 15, 2023. As of November 30, 2023 our and TJHA’s investment in SLF JV consisted of an unsecured note of $17.6 million and $2.5 million, respectively; and membership interest of $17.6 million and $2.5 million, respectively.

 

SLF JV’s initial investment in SLF 2022 was in the form of an unsecured loan. The unsecured note paid a fixed rate of 10.00% per annum and is due and payable in full on October 20, 2033. The unsecured loan was repaid in full on October 28, 2022, as part of the CLO closing.

 

We have determined that SLF JV is an investment company under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services—Investment Companies; however, in accordance with such guidance we will generally not consolidate our investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as we and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, FASB ASC Topic 810, Consolidation, concludes that in a joint venture where both members have equal decision making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, we do not consolidate SLF JV.

 

On October 28, 2022, SLF 2022 issued $402.1 million of debt through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee. As part of the transaction, we purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million. As of November 30, 2023 and February 28, 2023, the fair value of these Class E Notes were $11.5 million and $11.4 million, respectively.

 

Critical Accounting Policies and Use of Estimates

 

Basis of Presentation

 

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make certain estimates and assumptions affecting amounts reported in our consolidated financial statements. We have identified investment valuation, revenue recognition and the recognition of capital gains incentive fee expense as our most critical accounting estimates. We continuously evaluate our estimates, including those related to the matters described below. These estimates are based on the information that is currently available to us and on various other assumptions that we believe to be reasonable under the circumstances. Actual results could differ materially from those estimates under different assumptions or conditions. A discussion of our critical accounting policies and estimates follows.

 

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Investment Valuation

 

We account for investments at fair value in accordance with FASB ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. Under ASC 820 we are required to assume that its investments are to be sold or its liabilities are to be transferred at the measurement date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.

 

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from Saratoga Investment Advisors, the audit committee of our board of directors and a third party independent valuation firm. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which we determine a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

We undertake a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:

 

  Each investment is initially valued by the responsible investment professionals of Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and

 

  An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. We use a third-party independent valuation firm to value our investment in the subordinated notes of Saratoga CLO and the Class F-2-R-3 Notes tranche of the Saratoga CLO every quarter.

 

In addition, all our investments are subject to the following valuation process:

 

  The audit committee of our board of directors reviews and approves each preliminary valuation and Saratoga Investment Advisors and an independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and

 

  Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of Saratoga Investment Advisors, independent valuation firm (to the extent applicable) and the audit committee of our board of directors.

 

Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flows 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 market comparables for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by Saratoga Investment Advisors and recommended to our board of directors. Specifically, we use Intex cash flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs are based on available market data and projections provided by third parties as well as management estimates. 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.

 

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Rule 2a-5 under the 1940 Act (“Rule 2a-5”) established a regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits boards, subject to board oversight and certain other conditions, to designate the investment adviser to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must determine the fair value of a security. Rule 31a-4 under the 1940 Act (“Rule 31a-4”) provides the recordkeeping requirements associated with fair value determinations. Finally, the SEC rescinded previously issued guidance on related issues, including the role of the board in determining fair value and the accounting and auditing of fund investments. While our board of directors has not elected to designate Saratoga Investment Advisors as the valuation designee, we have adopted certain revisions to its valuation policies and procedures in order comply with the applicable requirements of Rule 2a-5 and Rule 31a-4.

 

Revenue Recognition

 

Income Recognition

 

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. We stop 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 management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection.

 

Payment-in-Kind Interest

 

We hold debt and preferred equity investments in our 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. 

 

Revenues

 

We generate revenue in the form of interest income and capital gains on the debt investments that we hold and capital gains, if any, on equity interests that we may acquire. We expect our debt investments, whether in the form of leveraged loans or mezzanine debt, to have terms of up to ten years, and to bear interest at either a fixed or floating rate. Interest on debt will be payable generally either quarterly or semi-annually. In some cases, our debt or preferred equity investments may provide for a portion or all of the interest to be PIK. To the extent interest is PIK, it will be payable through the increase of the principal amount of the obligation by the amount of interest due on the then-outstanding aggregate principal amount of such obligation. The principal amount of the debt and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of commitment, origination, structuring, amendment, redemption or diligence fees, fees for providing managerial assistance or investment management services and possibly consulting fees. Any such fees will be generated in connection with our investments and recognized as earned. We may also invest in preferred equity or common equity securities that pay dividends on a current basis.

 

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

 

On December 14, 2018, we completed a third refinancing and upsize of the Saratoga CLO. The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, extended its legal maturity date to January 2030, and added a non-call period of January 2020. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million in aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, we also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par and the $20.0 million CLO 2013-1 Warehouse Loan was repaid.

 

On February 11, 2020, we entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary of Saratoga CLO. During the fourth quarter ended February 28, 2021, the CLO 2013-1 Warehouse 2 Ltd. was repaid in full.

 

On February 26, 2021, we completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, extended its legal maturity to April 2033, and added a non-call period of February 2022. In addition, and as part of the refinancing, the Saratoga CLO was upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, we invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. We also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was repaid in full.

 

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

 

The Saratoga CLO remains effectively 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Prior to the second refinancing and the issuance of the 2013-1 Amended CLO Notes, we received a base management fee of 0.25% per annum and a subordinated management fee of 0.25% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds.

 

Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

 

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of FASB ASC Topic 325-40, Investments-Other, Beneficial Interests in Securitized Financial Assets, 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.

 

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Expenses

 

Our primary operating expenses include the payment of investment advisory and management fees, professional fees, directors and officers insurance, fees paid to directors who are not “interested persons” (as defined in Section 2(a)(19) of the 1940 Act) of the Company (“independent directors”) and administrator expenses, including our allocable portion of our administrator’s overhead. Our investment advisory and management fees compensate our Manager for its work in identifying, evaluating, negotiating, closing and monitoring our investments. We bear all other costs and expenses of our operations and transactions, including those relating to:

 

  organization;

 

  calculating our net asset value (“NAV”) (including the cost and expenses of any independent valuation firm);

 

  expenses incurred by our Manager payable to third parties, including agents, consultants or other advisers, in monitoring our financial and legal affairs and in monitoring our investments and performing due diligence on our prospective portfolio companies;

 

  expenses incurred by our Manager payable for travel and due diligence on our prospective portfolio companies;

 

  interest payable on debt, if any, incurred to finance our investments;

 

  offerings of our common stock and other securities;

 

  investment advisory and management fees;

 

  fees payable to third parties, including agents, consultants or other advisers, relating to, or associated with, evaluating and making investments;

 

  transfer agent and custodial fees;

 

  federal and state registration fees;

 

  all costs of registration and listing our common stock on any securities exchange;

 

  U.S. federal, state and local taxes;

 

  independent directors’ fees and expenses;

 

  costs of preparing and filing reports or other documents required by governmental bodies (including the SEC and the SBA);

 

  costs of any reports, proxy statements or other notices to common stockholders including printing costs;

 

  our fidelity bond, directors and officers errors and omissions liability insurance, and any other insurance premiums;

 

  direct costs and expenses of administration, including printing, mailing, long distance telephone, copying, secretarial and other staff, independent auditors and outside legal costs; and

 

  administration fees and all other expenses incurred by us or, if applicable, the administrator in connection with administering our business (including payments under the Administration Agreement based upon our allocable portion of the administrator’s overhead in performing its obligations under an Administration Agreement, including rent and the allocable portion of the cost of our officers and their respective staffs (including travel expenses)).

 

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Pursuant to the investment advisory and management agreement that we had with GSCP (NJ), L.P., our former investment adviser and administrator, we had agreed to pay GSCP (NJ), L.P. as investment adviser a quarterly base management fee of 1.75% of the average value of our total 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 and an incentive fee.

 

The incentive fee had two parts:

 

  A fee, payable quarterly in arrears, equal to 20.0% of our pre-incentive fee net investment income, expressed as a rate of return on the value of the net assets at the end of the immediately preceding quarter, that exceeded a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter. Under this provision, in any fiscal quarter, our investment adviser received no incentive fee unless our pre-incentive fee net investment income exceeded the hurdle rate of 1.875%. Amounts received as a return of capital were not included in calculating this portion of the incentive fee. Since the hurdle rate was based on net assets, a return of less than the hurdle rate on total assets could still have resulted in an incentive fee.

 

  A fee, payable at the end of each fiscal year, equal to 20.0% of our net realized capital gains, if any, computed net of all realized capital losses and unrealized capital depreciation, in each case on a cumulative basis on each investment in our portfolio, less the aggregate amount of capital gains incentive fees paid to the investment adviser through such date.

 

We deferred cash payment of any incentive fee otherwise earned by our former investment adviser if, during the then most recent four full fiscal quarters ending on or prior to the date such payment was to be made, the sum of (a) our aggregate distributions to our stockholders and (b) our change in net assets (defined as total assets less liabilities) (before taking into account any incentive fees payable during that period) was less than 7.5% of our net assets at the beginning of such period. These calculations were appropriately pro-rated for the first three fiscal quarters of operation and adjusted for any share issuances or repurchases during the applicable period. Such incentive fee would become payable on the next date on which such test had been satisfied for the most recent four full fiscal quarters or upon certain terminations of the investment advisory and management agreement. We commenced deferring cash payment of incentive fees during the quarterly period ended August 31, 2007 and continued to defer such payments through the quarterly period ended May 31, 2010. As of July 30, 2010, the date on which GSCP (NJ), L.P. ceased to be our investment adviser and administrator, we owed GSCP (NJ), L.P. $2.9 million in fees for services previously provided to us; of which $0.3 million has been paid by us. GSCP (NJ), L.P. agreed to waive payment by us of the remaining $2.6 million in connection with the consummation of the stock purchase transaction with Saratoga Investment Advisors and certain of its affiliates described elsewhere in this Quarterly Report.

 

The terms of the investment advisory and management agreement with Saratoga Investment Advisors, our current investment adviser, are substantially similar to the terms of the investment advisory and management agreement we had entered into with GSCP (NJ), L.P., our former investment adviser, except for the following material distinctions in the fee terms:

 

  The capital gains portion of the incentive fee was reset with respect to gains and losses from May 31, 2010, and therefore losses and gains incurred prior to such time will not be taken into account when calculating the capital gains fee payable to Saratoga Investment Advisors and, as a result, Saratoga Investment Advisors will be entitled to 20.0% of net gains that arise after May 31, 2010. In addition, the cost basis for computing realized gains and losses on investments held by us as of May 31, 2010 equal the fair value of such investment as of such date. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P., the capital gains fee was calculated from March 21, 2007, and the gains were substantially outweighed by losses.

 

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  Under the “catch up” provision, 100.0% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income that exceeds 1.875% but is less than or equal to 2.344% in any fiscal quarter is payable to Saratoga Investment Advisors. This will enable Saratoga Investment Advisors to receive 20.0% of all net investment income as such amount approaches 2.344% in any quarter, and Saratoga Investment Advisors will receive 20.0% of any additional net investment income. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P. only received 20.0% of the excess net investment income over 1.875%.

 

  We will no longer have deferral rights regarding incentive fees in the event that the distributions to stockholders and change in net assets is less than 7.5% for the preceding four fiscal quarters.

 

Capital Gains Incentive Fee

 

We record an expense accrual relating to the capital gains incentive fee payable by us to the Manager when the unrealized gains on its investments exceed all realized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if we were to liquidate our investment portfolio at such time. The actual incentive fee payable to the Manager 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 for the period.

 

Recent Accounting Pronouncements

 

In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (Topic 820) (“ASU 2022-03”), which clarifies that a contractual sale restriction prohibiting the sale of an equity security is a characteristic of the reporting entity holding the equity security and is not included in the equity security’s unit of account. Accordingly, an entity should not consider the contractual sale restriction when measuring the equity security’s fair value. In addition, ASU 2022-03 prohibits an entity from recognizing a contractual sale restriction as a separate unit of account. ASU 2022-03’s amendments are effective for fiscal years beginning after December 15, 2023, with early adoption permitted. We are currently evaluating the impact of the adoption of ASU 2022-03 on our consolidated financial statements.

 

In March 2020, the FASB issued Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) to provide optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 established Topic 848 to provide relief during the temporary transition period and includes a sunset provision based on expectations of when the London Interbank Offered Rate (“LIBOR”) would cease being published. In December 2022, the FASB issued ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848, which deferred the sunset day of this guidance to December 31, 2024. With the adoption of ASU 2022-06, there was no significant impact to our financial position.

 

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Portfolio and Investment Activity

 

Investment Portfolio Overview

 

   November 30,
2023
  February 28,
2023
 
   ($ in millions)
Number of investments(1)   137    115 
Number of portfolio companies(2)   55    49 
Average investment per portfolio company(2)  $19.7   $19.0 
Average investment size(1)  $8.1   $8.3 
Weighted average maturity(3)   2.6 yrs    2.9 yrs 
Number of industries (5)   43    40 
Non-performing or delinquent investments (fair value)  $29.2   $9.8 
Fixed rate debt (% of interest earning portfolio)(3)  $5.2(0.5)%  $8.2(1.0)%
Fixed rate debt (weighted average current coupon)(3)   15.0%   12.2%
Floating rate debt (% of interest earning portfolio)(3)  $978.5(99.5)%  $817.1(99.0)%
Floating rate debt (weighted average current spread over LIBOR)(3)(4)   7.5%   7.0%

 

 

(1)Excludes our investment in the subordinated notes of Saratoga CLO.

 

(2)Excludes our investment in the subordinated notes of Saratoga CLO and Class F-2-R-3 Notes tranche, as well as the unsecured notes and equity interests in the SLF JV and the Class E Note tranche of the SLF 2022.

 

(3)Excludes our investment in the subordinated notes of Saratoga CLO and equity interests, as well as the unsecured notes and equity interests in SLF JV and the Class E Note tranche of the SLF 2022.

 

(4)Calculation uses either 1-month or 3-month LIBOR, depending on the contractual terms, and after factoring in any existing LIBOR floors.

 

(5)Our investment in the subordinated notes of Saratoga CLO and Class F-R-3 Note tranche, as well as the unsecured notes and equity interests in the SLF JV and the Class E Note tranche of the SLF 2022 are included in Structured Finance Securities industry.

 

During the three months ended November 30, 2023, we invested $35.6 million in new and existing portfolio companies and had $2.1 million in aggregate amount of exits and repayments resulting in net investments of $33.5 million for the period. During the three months ended November 30, 2022, we invested $87.5 million in new and existing portfolio companies and had $56.9 million in aggregate amount of exits and repayments resulting in net repayments of $30.6 million for the period.

 

During the nine months ended November 30, 2023, we invested $202.9 million in new and existing portfolio companies and had $19.2 million in aggregate amount of exits and repayments resulting in net investments of $183.7 million for the period. During the nine months ended November 30, 2022, we invested $345.0 million in new and existing portfolio companies and had $162.1 million in aggregate amount of exits and repayments resulting in net repayments of $183.0 million for the period.

 

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Portfolio Composition

 

Our portfolio composition at November 30, 2023: and February 28, 2023: at fair value was as follows:

 

   November 30,
2023
   February 28,
2023
 
   Percentage
of Total
Portfolio
   Weighted
Average
Current
Yield
   Percentage
of Total
Portfolio
   Weighted
Average
Current
Yield
 
First lien term loans   86.2%   12.5%   82.1%   12.3%
Second lien term loans   1.3    6.0    1.5    5.3 
Unsecured term loans   1.6    10.0    2.1    9.8 
Structured finance securities   2.6    10.7    4.3    7.4 
Equity interests   8.3    -    10.0    - 
Total   100.0%   11.4%   100.0%   10.7%

 

At November 30, 2023, our investment in the subordinated notes of Saratoga CLO, a collateralized loan obligation fund, had a fair value of $8.9 million and constituted 0.8% of our portfolio. This investment constitutes a first loss position in a portfolio that, as of November 30, 2023 and February 28, 2023, was composed of $643.5 million and $658.0 million, respectively, in aggregate principal amount of primarily senior secured first lien term loans. In addition, as of November 30, 2023, we also own $9.0 million in aggregate principal of the F-2-R-3 Notes in the Saratoga CLO, which only rank senior to the subordinated notes.

 

This investment is subject to unique risks. (See Part 1. Item 1A. Risk Factors—“Our investment in Saratoga CLO constitutes a leveraged investment in a portfolio of predominantly senior secured first lien term loans and is subject to additional risks and volatility” in our Annual Report on Form 10-K for the fiscal year ended February 28, 2023).

 

We do not consolidate the Saratoga CLO portfolio in our consolidated financial statements. Accordingly, the metrics below do not include the underlying Saratoga CLO portfolio investments. However, at November 30, 2023, $584.9 million or 98.2% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and four Saratoga CLO portfolio investments were in default with a fair value of $9.8 million. At February 28, 2023, $544.4 million or 89.8% of the Saratoga CLO portfolio investments in terms of market value had a CMR color rating of green or yellow and two Saratoga CLO portfolio investments were in default with a fair value of $2.8 million. For more information relating to the Saratoga CLO, see the audited financial statements for Saratoga in our Annual Report on Form 10-K for the fiscal year ended February 28, 2023.

 

Saratoga Investment Advisors normally grades all of our investments using a credit and monitoring rating system (“CMR”). The CMR consists of a single component: a color rating. The color rating is based on several criteria, including financial and operating strength, probability of default, and restructuring risk. The color ratings are characterized as follows: (Green)—performing credit; (Yellow)—underperforming credit; (Red)—in principal payment default and/or expected loss of principal.

 

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Portfolio CMR distribution

 

The CMR distribution for our investments at November 30, 2023 and February 28, 2023 was as follows:  

 

Saratoga Investment Corp.

  

   November 30,
2023
   February 28,
2023
 
Color Score  Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
       ($ in thousands)     
Green  $972,181    87.3%  $808,791    83.2%
Yellow   24,203    2.2    34,172    3.5 
Red   4,981    0.4    -    0.0 
N/A(1)   112,674    10.1    129,627    13.3 
Total  $1,114,039    100.0%  $972,590    100.0%

 

 

(1)Comprised of our investment in the subordinated notes of Saratoga CLO and equity interests.

 

The CMR distribution of Saratoga CLO investments at November 30, 2023 and February 28, 2023 was as follows:

 

Saratoga CLO

 

   November 30,
2023
   February 28,
2023
 
Color Score  Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
       ($ in thousands)     
Green  $543,304    91.3%  $544,424    89.9%
Yellow   41,612    7.0    40,812    6.7 
Red   9,788    1.6    20,718    3.4 
N/A(1)   743    0.1    -    0.0 
Total  $595,447    100.0%  $605,954    100.0%

 

 

(1)Comprised of Saratoga CLO’s equity interests.

 

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Portfolio composition by industry grouping at fair value

 

The following table shows our portfolio composition by industry grouping at fair value at November 30, 2023 and February 28, 2023:

 

Saratoga Investment Corp.

 

  November 30,
2023
   February 28,
2023
 
  Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
       ($ in thousands)     
Healthcare Software  $120,489    11.0%  $119,124    12.2%
IT Services   78,672    7.1    87,167    9.0 
HVAC Services and Sales   69,278    6.2    54,450    5.6 
Consumer Services   63,972    5.7    63,642    6.6 
Real Estate Services   53,128    4.8    53,406    5.5 
Healthcare Services   46,423    4.2    26,286    2.7 
Education Software   44,945    4.0    44,955    4.6 
Hospitality/Hotel   38,178    3.4    37,972    3.9 
Mental Healthcare Services   38,080    3.4    16,922    1.7 
Education Services   36,679    3.3    34,489    3.5 
Health/Fitness Franchisor   32,002    2.9    -    - 
Dental Practice Management   31,657    2.8    12,151    1.2 
Structured Finance Securities(1)   29,387    2.6    41,363    4.4 
Talent Acquisition Software   27,100    2.4    25,999    2.7 
Sports Management   26,995    2.4    26,711    2.7 
Financial Services   26,109    2.3    26,218    2.7 
Investment Fund   25,411    2.3    30,726    3.2 
Direct Selling Software   25,124    2.3    25,771    2.7 
Architecture & Engineering Software   25,035    2.2    -    - 
Association Management Software   23,696    2.1    -    - 
 Restaurant   22,405    2.0    24,826    2.6 
Mentoring Software   21,963    2.0    21,359    2.2 
Legal Software   20,777    1.9    20,699    2.1 
Marketing Orchestration Software   18,631    1.7    18,715    1.9 
Corporate Education Software   17,919    1.6    19,063    2.0 
Insurance Software   17,398    1.6    16,761    1.7 
Non-profit Services   14,190    1.3    13,095    1.3 
Employee Collaboration Software   13,894    1.2    13,052    1.3 
Lead Management Software   12,120    1.1    12,090    1.2 
Alternative Investment Management Software   10,810    1.0    10,459    1.1 
Research Software   10,632    1.0    10,677    1.1 
Roofing Contractor Software   10,002    0.9    -    - 
Field Service Management   9,939    0.9    9,958    1.0 
Fire Inspection Business Software   9,900    0.9    -    0.0 
Financial Services Software   9,866    0.9    9,096    0.9 
Industrial Products   9,461    0.8    9,608    1.0 
Office Supplies   7,023    0.6    6,373    0.7 
Specialty Food Retailer   4,981    0.4    -    0.0 
Veterinary Services   4,690    0.4    -    - 
Cyber Security   2,716    0.2    2,509    0.3 
Staffing Services   2,089    0.2    2,079    0.2 
Facilities Maintenance   273    0.0    408    0.0 
Healthcare Supply   -    0.0    -    - 
Specialty Food Retailer   -    0.0    24,411    2.5 
Total  $1,114,039    100.0%  $972,590    100.0%

 

 

(1)As of November 30, 2023 and February 28, 2023, the foregoing comprised of our investment in the subordinated notes and F-2-R-3 Notes of Saratoga CLO, as well as the unsecured notes and equity interests in the SLF JV and E-Notes of SLF 2022.

 

123

 

 

The following table shows Saratoga CLO’s portfolio composition by industry grouping at fair value at November 30, 2023 and February 28, 2023:

 

Saratoga CLO

 

  November 30,
2023
   February 28,
2023
 
  Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
       ($ in thousands)     
Banking, Finance, Insurance & Real Estate  $114,841    19.3%  $114,570    18.9%
Services: Business   64,096    10.8    65,947    10.9 
High Tech Industries   52,504    8.8    52,636    8.7 
Healthcare & Pharmaceuticals   38,097    6.4    38,952    6.4 
Services: Consumer   29,948    5.0    34,544    5.7 
Chemicals, Plastics, & Rubber   29,228    4.9    23,857    3.9 
Retail   25,509    4.3    24,049    4.0 
Telecommunications   21,961    3.7    22,514    3.7 
Media: Advertising, Printing & Publishing   20,977    3.5    20,309    3.4 
Hotel, Gaming & Leisure   19,825    3.3    14,315    2.4 
Automotive   19,610    3.3    20,410    3.4 
Consumer goods: Durable   18,966    3.2    24,887    4.1 
Containers, Packaging & Glass   17,901    3.0    18,239    3.0 
Construction & Building   14,397    2.4    13,875    2.3 
Beverage, Food & Tobacco   14,246    2.4    14,501    2.4 
Aerospace & Defense   13,149    2.2    13,688    2.3 
Media: Broadcasting & Subscription   10,597    1.8    11,143    1.8 
Consumer goods: Non-durable   9,476    1.6    13,734    2.3 
Media: Diversified & Production   9,201    1.5    9,279    1.5 
Transportation: Cargo   8,885    1.5    8,236    1.4 
Utilities: Oil & Gas   7,283    1.2    7,246    1.2 
Wholesale   7,257    1.2    8,011    1.3 
Capital Equipment   5,695    1.0    8,450    1.4 
Transportation: Consumer   4,083    0.7    6,844    1.1 
Metals & Mining   3,829    0.6    3,239    0.5 
Energy: Oil & Gas   3,138    0.5    2,676    0.4 
Forest Products & Paper   2,933    0.5    3,190    0.5 
Environmental Industries   2,748    0.5    2,155    0.4 
Energy: Electricity   2,724    0.5    2,105    0.3 
Utilities: Electric   2,343    0.4    2,353    0.4 
Total  $595,447    100.0%  $605,954    100.0%

 

124

 

 

Portfolio composition by geographic location at fair value

 

The following table shows our portfolio composition by geographic location at fair value at November 30, 2023 and February 28, 2023. The geographic composition is determined by the location of the corporate headquarters of the portfolio company.

 

   November 30,
2023
   February 28,
2023
 
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
   ($ in thousands) 
Southeast  $308,305    27.7%  $247,192    25.4%
Midwest   246,172    22.1    199,944    20.6 
West   219,581    19.7    173,283    17.8 
Northeast   143,585    12.9    133,158    13.7 
Southwest   122,577    11.0    123,744    12.7 
Northwest   -    -    2,509    0.3 
Other(1)   73,819    6.6    92,760    9.5 
Total  $1,114,039    100.0%  $972,590    100.0%

 

 

(1) Comprised of our investments in the subordinated notes, F-2-R-3 Notes of Saratoga CLO, as well as the unsecured notes and equity interests in the SLF JV and foreign investments.

 

Results of operations

 

Operating results for the three and nine months ended November 30, 2023 and November 30, 2022 was as follows:

 

   For the three months ended   For the nine months ended 
   November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
   ($ in thousands)         
Total investment income  $36,340   $26,257   $106,487   $66,789 
Total operating expenses   22,174    16,380    62,397    41,238 
Net investment income   14,166    9,877    44,090    25,551 
Net realized gain (loss) from investments   61    (740)   151    7,366 
Income tax (provision) benefit from realized gain on investments   -    479    -    549 
Net change in unrealized appreciation (depreciation) on investments   (17,867)   (3,176)   (39,926)   (25,768)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   (416)   (426)   (578)   (1,018)
Realized losses on extinguishment of debt   -    -    (110)   (1,205)
Net increase (decrease) in net assets resulting from operations  $(4,056)  $6,014   $3,627   $5,475 

 

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Investment income

 

The composition of our investment income for three and nine months ended November 30, 2023 and November 30, 2022 was as follows:

 

   For the three months ended   For the nine months ended 
   November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
   ($ in thousands)         
Interest from investments  $32,659   $23,517   $94,550   $59,356 
Interest from cash and cash equivalents   522    201    1,865    235 
Management fee income   820    818    2,454    2,451 
Dividend Income   1,811    437    5,284    950 
Structuring and advisory fee income   312    553    1,786    2,814 
Other income   216    731    548    983 
Total investment income  $36,340   $26,257   $106,487   $66,789 

 

For the three months ended November 30, 2023, total investment income increased $10.1 million, or 38.4%, to $36.3 million from $26.3 million for the three months ended November 30, 2022. Interest income from investments increased $9.1 million, or 38.9%, to $32.7 million for the three months ended November 30, 2023 from $23.5 million for the three months ended November 30, 2022. Interest income from investments increased due to the increase of $132.0 million, or 13.4%, in total investments at November 30, 2023 from $982.0 million at November 30, 2022 to $1,114.0 million as of November 30, 2023, combined with the increase in the weighted average current yield on investments to 11.4%, up from 10.4% at November 30, 2022.

 

For the nine months ended November 30, 2023, total investment income increased $39.7 million, or 59.4%, to $106.5 million from $66.8 million for the nine months ended November 30, 2022. Interest income from investments increased $35.2 million, or 59.3%, to $94.5 million for the nine months ended November 30, 2023 from $59.4 million for the nine months ended November 30, 2022. Interest income from investments increased due to the increase of $132.0 million, or 13.4%, in total investments at November 30, 2023 from $982.0 million at November 30, 2022 to $1,114.0 million as of November 30, 2023, combined with the increase in the weighted average current yield on investments to 11.3%, up from 10.4% at November 30, 2022.

 

For the three and nine months ended November 30, 2023 and November 30, 2022, total PIK income was $0.6 million and $0.4 million, respectively and $1.9 million and $0.7 million, respectively.

 

For the three months ended November 30, 2023 and November 30, 2022, interest from cash and cash equivalents was $0.5 million and $0.2 million, respectively. The increase of $0.3 million was due to the fact that cash and cash equivalents were earning close to zero interest during the three months ended November 30, 2022. 

 

For the nine months ended November 30, 2023 and November 30, 2022, interest from cash and cash equivalents was $1.9 million and $0.2 million, respectively. The increase of $1.7 million was due to the fact that cash and cash equivalents were earning close to zero interest during the three months ended November 30, 2022. 

 

Management fee income reflects the fee income received for managing the Saratoga CLO. For the three months ended November 30, 2023 and November 30, 2022, total management fee income was $0.8 million and $0.8 million, respectively. For the nine months ended November 30, 2023 and November 30, 2022, total management fee income was $2.5 million and $2.5 million, respectively.

 

For the three and nine months ended November 30, 2023 and November 30, 2022, total dividend income was $1.8 million and $0.4 million, respectively and $5.3 million and $0.9 million, respectively. Dividends received is recorded in the consolidated statements of operations when earned, and the increase primarily reflects dividend income of $1.3 million received on our membership interest in SLF JV during the three months ended November 30, 2023, and $4.7 million received during the nine months ended November 30, 2023.

 

For the three and nine months ended November 30, 2023 and November 30, 2022, total structuring and advisory fee income was $0.3 million and $0.6 million, respectively and $1.8 million and $2.8 million, respectively. Structuring and advisory fee income represents fee income earned and received performing certain investment and advisory activities during the closing of new investments.

 

126

 

 

For the three and nine months ended November 30, 2023 and November 30, 2022, other income was $0.2 million and $0.7 million, respectively and $0.5 million and $1.0 million, respectively. Other income includes origination fees, monitoring and amendment fees and prepayment fees and is recorded in the consolidated statements of operations when earned.

 

Operating expenses

 

The composition of our operating expenses for the three and nine months ended November 30, 2023 and November 30, 2022 was as follows:

 

   For the three months ended   For the nine months ended 
   November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
   ($ in thousands)         
Interest and debt financing expenses  $12,522   $8,450   $36,629   $23,243 
Base management fees   4,857    4,259    14,262    12,165 
Incentive management fees expense (benefit)   2,244    1,531    4,828    217 
Professional fees   434    559    1,407    1,344 
Administrator expenses   1,075    819    2,798    2,342 
Insurance   81    89    245    266 
Directors fees and expenses   81    80    281    300 
General & administrative and other expenses   660    525    1,958    1,492 
Income tax expense (benefit)   220    68    (11)   (132)
Total operating expenses  $22,174   $16,380   $62,397   $41,237 

 

For the three months ended November 30, 2023, total operating expenses increased $5.8 million, or 35.4%, compared to the three months ended November 30, 2022. For the nine months ended November 30, 2023, total operating expenses increased $21.2 million, or 51.3%, compared to the nine months ended November 30, 2022.

 

For the three months ended November 30, 2023, interest and debt financing expenses increased $4.1 million, or 48.2%, compared to the three months ended November 30, 2022. The increase is primarily attributable to an increase of 18.8% in average outstanding debt from $679.0 million for the three months ended November 30, 2022 to $806.8 million for the three months ended November 30, 2023, primarily reflecting (i) the issuance of the 6.00% 2027 Notes, 8.00% 2027 Notes, 7.00% 2025 Notes, and 8.125% 2027 Notes during the year ended February 28, 2023, and (ii) the issuance of the 8.75% 2024 Notes and the 8.50% 2028 Notes during the three months ended May 31, 2023, all of which are now outstanding for the full period this year.

 

For the nine months ended November 30, 2023, interest and debt financing expenses increased $13.4 million, or 57.6%, compared to the nine months ended November 30, 2022. The increase is primarily attributable to an increase of 67.7% in average outstanding debt from $476.3 million for the nine months ended November 30, 2022 to $798.9 million for the nine months ended November 30, 2023, primarily reflecting (i) the issuance of the 6.00% 2027 Notes, 8.00% 2027 Notes, 7.00% 2025 Notes, and 8.125% 2027 Notes during the year ended February 28, 2023, all of which are now outstanding for the full period this year, and (ii) the issuance of the 8.75% 2024 Notes and the 8.50% 2028 Notes during the nine months ended November 30, 2023.

 

127

 

 

For the three and nine months ended November 30, 2023 and November 30, 2022, the weighted average interest rate on our outstanding indebtedness was 5.52% and 4.43%, respectively and 5.43% and 5.74%, respectively. The increase in weighted average interest rate was primarily driven by the issuance of higher rate borrowings over the past year, reflecting the increase in base rates in the market.

 

As of November 30, 2023 and February 28, 2023, the SBA debentures represented 25.3% and 27.7% of overall debt, respectively.

 

For the three months ended November 30, 2023, base management fees increased $0.6 million, or 14.0%, from $4.3 million to $4.9 million compared to the three months ended November 30, 2022. The increase in base management fees results from the 14.4% increase in the average value of our total assets, less cash and cash equivalents, from $976.1 million for the three months ended November 30, 2022 to $1,108.5 million for the three months ended November 30, 2023. For the nine months ended November 30, 2023, base management fees increased $2.1 million, or 17.2%, from $12.2 million to $14.3 million compared to the nine months ended November 30, 2022. The increase in base management fees results from the 17.6% increase in the average value of our total assets, less cash and cash equivalents, from $922.6 million for the nine months ended November 30, 2022 to $1,082.1 million for the nine months ended November 30, 2023.

 

For the three months ended November 30, 2023, incentive management fees increased $0.7 million, or 46.5%, compared to the three months ended November 30, 2022. The incentive fee on income increased from $2.3 million to $3.3 million for the three months ended November 30, 2022 and 2023, respectively, reflecting the increase in net investment income during the three months ended November 30, 2023 as compared to the three months ended November 30, 2022. The incentive fee on capital gains decreased from a $(0.8) million benefit for the three months ended November 30, 2022 to a $(1.0) million benefit for the three months ended November 30, 2023, both reflecting the incentive fee on net realized and unrealized depreciation recognized during both these periods.

 

For the nine months ended November 30, 2023, incentive management fees increased $4.6 million, or 2,126.0%, compared to the nine months ended November 30, 2022. The incentive fee on income increased from $4.0 million for the nine months ended November 30, 2022 to $9.8 million for the nine months ended November 30, 2023, reflecting the fact that net investment income increased during this current period, and was above the hurdle during the full nine months ended November 30, 2023. The incentive fee on capital gains decreased from a $(3.7) million benefit for the nine months ended November 30, 2022 to a $(5.0) million benefit for the nine months ended November 30, 2023, both reflecting the incentive fee income on net realized and unrealized depreciation recognized during both these periods.

 

For the three and nine months ended November 30, 2023, professional fees decreased $0.1 million, or 22.2% and increased $0.1 million, or 4.7%, respectively, compared to the three and nine months ended November 30, 2022.

 

For the three and nine months ended November 30, 2023, administrator expenses increased $0.3 million, or 31.3% and increased $0.5 million, or 19.5%, respectively, compared to the three and nine months ended November 30, 2022, reflecting the contractual changes to the administrator agreement cap.

 

For the three and nine months ended November 30, 2023, general and other expenses increased $0.1 million, or 25.7% and increased $0.5 million, or 31.2%, respectively, compared to the three and nine months ended November 30, 2022.

 

128

 

 

As discussed above, the increase in interest and debt financing expenses for the three months ended November 30, 2023 compared to the three months ended November 30, 2022 is attributable both to an increase in the average dollar amount of outstanding debt, as well as the higher cost of that debt. During the three months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding under the Encina Credit Facility was $35.0 million and $32.8 million, respectively, and the average weighted average interest rate on the outstanding borrowing under the Encina Credit Facility was 9.79% and 7.19%, respectively. For the three months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding of SBA debentures was $200.4 million and $242.7 million, respectively. For the three months ended November 30, 2023 and November 30, 2022, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.25% and 2.86%, respectively.

 

As discussed above, the increase in interest and debt financing expenses for the nine months ended November 30, 2023 compared to the nine months ended November 30, 2022 is attributable both to an increase in the average dollar amount of outstanding debt, as well as the higher cost of that debt. During the nine months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding under the Encina Credit Facility was $38.9 million and $25.9 million, respectively, and the average weighted average interest rate on the outstanding borrowing under the Encina Credit Facility was 9.62% and 6.16%, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding of SBA debentures was $201.7 million and $226.5 million, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.01% and 2.74%, respectively.

The weighted average dollar amount of our unsecured notes for the three and nine months ended November 30, 2023 and November 30, 2022 were as follows:

 

   Three Months Ended   Nine Months Ended 
(in millions)  November 30,
2023
   November 30,
2022
   November 30,
2023
   November 30,
2022
 
7.25% 2025 Notes  $   $   $   $18.0 
7.75% 2025 Notes   5.0    5.0    5.0    5.0 
6.25% 2027 Notes   15.0    15.0    15.0    15.0 
4.375% 2026 Notes   175.0    175.0    175.0    175.0 
4.35% 2027 Notes   75.0    75.0    75.0    75.0 
6.00% 2027 Notes   105.5    105.5    105.5    82.5 
7.00% 2025 Notes   12.0    11.0    12.0    3.7 
8.00% 2027 Notes   46.0    16.9    46.0    5.6 
8.125% 2027 Notes   60.4        60.4     
8.75% 2024 Notes   20.0        16.7     
8.50% 2028 Notes   57.5        47.8     

 

For the three months ended November 30, 2023 and November 30, 2022, there were income tax expense (benefits) of $0.2 million and $0.07 million, respectively. For the nine months ended November 30, 2023 and November 30, 2022, there were income tax expense (benefits) of ($0.01) million and ($0.1) million, respectively. This relates to net deferred federal and state income tax expense (benefit) with respect to operating gains and losses and income derived from equity investments held in entities that are treated as corporations for U.S. federal income tax purposes, as well as current U.S. federal and state income taxes on those operating gains and losses when realized.

 

129

 

 

Net realized gains (losses) on sales of investments

 

For the three months ended November 30, 2023, we had $2.1 million of sales, repayments, exits or restructurings. For the nine months ended November 30, 2023, we had $19.2 million of sales, repayments, exits or restructurings resulting in $0.2 million of net realized gains. 

 

Nine Months ended November 30, 2023
 
Issuer  Asset Type  Gross Proceeds   Cost   Net
Realized
Gain (Loss)
 
PDDS Buyer, LLC  Equity Interests  $     -   $    -   $41,350 
Censis Technologies, Inc.  Equity Interests   -    -    6,773 
GreyHeller LLC  Equity Interests   -    -    42,568 
Ohio Medical, LLC  Equity Interests   -    -    60,565 

 

We received escrow payments from the prior sales of our investments in PPDS Buyer, LLC, Censis Technologies, Inc., Ohio Medical, LLC and GreyHeller LLC.

 

For the three months ended November 30, 2022, the Company had $56.9 million of sales, repayments, exits or restructurings resulting in $0.7 million of net realized losses. For the nine months ended November 30, 2022, the Company had $162.1 million of sales, repayments, exits or restructurings resulting in $7.4 million of net realized gains. 

 

Nine Months ended November 30, 2022
                
Issuer  Asset Type  Gross Proceeds   Cost   Net
Realized
Gain
 
PDDS Buyer, LLC  Equity Interests  $9,943,838   $2,000,000   $7,943,838 
Ohio Medical, LLC  Equity Interests   770,161    380,353    389,808 
Targus Holdings, Inc.  Equity Interests   294,087    1,424,329    (1,130,242)
Censis Technologies, Inc.  Equity Interests   -    -    68,731 
Texas Teachers of Tomorrow, LLC  Equity Interests   -    -    24,977 
V Rental Holdings LLC  Equity Interests   -    -    68,800 

 

The $7.9 million of net realized gains was from the sale of the equity position in the Company’s PPDS Buyer, LLC investment.

 

The $0.4 million of net realized gain was from the sale of the equity position in the Company’s Ohio Medical, LLC investment.

 

The $1.1 million of net realized loss was from the sale of the equity position in the Company’s Targus Holdings, Inc investment.

 

The Company received escrow payments from the prior sales of its investments in Censis Technologies, Inc., Texas Teachers of Tomorrow, LLC and V Rental Holdings LLC.

 

130

 

 

Net change in unrealized appreciation (depreciation) on investments

 

For the nine months ended November 30, 2023, our investments had a net change in unrealized depreciation of $39.9 million versus a net change in unrealized depreciation of $25.7 million for the nine months ended November 30, 2022.

 

The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2023 were the following (dollars in thousands):

 

Nine Months ended November 30, 2023

 

Issuer  Asset Type  Cost   Fair Value   Total Unrealized Appreciation (Depreciation)   YTD Change in Unrealized  Appreciation (Depreciation) 
Pepper Palace, Inc.  First Lien Term Loan & Equity Interests  $35,418   $4,981   $(30,437)  $(20,592)
Saratoga Senior Loan Fund I JV, LLC  Equity Interests   35,202    25,411    (9,791)   (5,315)
Netreo Holdings, LLC  First Lien Term Loan & Equity Interests   38,935    35,672    (3,263)   (11,544)
Saratoga Investment Corp. CLO 2013-1, Ltd.  Structured Finance Securities   23,412    8,939    (14,473)   (6,707)
ETU Holdings, Inc.  First Lien Term Loan, Second Lien Term Loan & Equity Interests   15,806    13,521    (2,285)   (2,368)
Zollege PBC  First Lien Term Loan & Equity Interests   17,516    14,604    (2,912)   (1,592)
Vector Controls Holding Co., LLC  First Lien Term Loan & Equity Interests   1,465    9,461    7,996    1,478 
Chronus LLC  First Lien Term Loan & Equity Interests   22,865    21,963    (902)   (1,399)

 

The $20.6 million of unrealized depreciation in our investment Pepper Palace, Inc. was driven by further declines in company performance.

 

The $5.3 million of unrealized depreciation in our investment Saratoga Senior Loan Fund I, JV, LLC was driven by the reduction in the carrying value of a defaulted loan in the portfolio, as well as overall market conditions.

 

The $11.5 million of unrealized depreciation in our investment Netreo Holdings, LLC was driven by increased company leverage and decreased company performance.

 

The $6.7 million of unrealized depreciation in our investment Saratoga Investment Corp. CLO 2013-1, Ltd. was driven by the reduction in the carrying value of certain defaulted loans in the portfolio, as well as overall market conditions.

 

The $2.4 million of unrealized depreciation in our investment ETU Holdings, Inc. was driven by overall company performance.

 

The $1.6 million of unrealized depreciation in our investment Zollege PBC was driven by overall company performance.

 

The $1.5 million of unrealized appreciation in our investment Vector Controls Holding Co., LLC was driven by decreased company leverage and overall company performance.

 

The $1.4 million of unrealized depreciation in our investment Chronus LLC was driven by overall company performance.

 

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The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2022 were the following (dollars in thousands):

 

Nine Months ended November 30, 2022

 

Issuer  Asset Type  Cost   Fair Value   Total
Unrealized
Appreciation
   YTD
Change in
Unrealized 
Appreciation
 
Pepper Palace, Inc.  First Lien Term Loan & Equity Interests  $34,314   $24,325   $(9,989)  $(9,470)
Artemis Wax Corp.  First Lien Term Loan & Equity Interests   64,663    68,576    3,913    2,453 
Vector Controls Holding Co., LLC  First Lien Term Loan & Equity Interests   3,478    9,091    5,613    2,194 
Axero Holdings, LLC  First Lien Term Loan & Equity Interests   10,546    12,506    1,961    1,412 
Destiny Solutions Inc.  Equity Interests   3,969    8,743    4,774    1,111 
Zollege PBC  First Lien Term Loan & Equity Interests   16,641    15,377    (1,264)   (1,130)
Netreo Holdings, LLC  First Lien Term Loan & Equity Interests   33,419    42,394    8,975    (1,668)
PDDS Buyer, LLC  First Lien Term Loan & Equity Interests   -    -    -    (5,094)
Saratoga Investment Corp. CLO 2013-1, Ltd.  Structured Finance Securities   29,969    19,427    (10,542)   (6,923)
Saratoga Senior Loan Fund I JV, LLC  Equity Interests   35,202    26,781    (8,421)   (7,312)

 

The $9.5 million of unrealized depreciation in our investment Pepper Palace, Inc. was driven by overall company performance.

 

The $2.5 million of unrealized appreciation in our investment in Artemis Wax Corp. was driven by growth and improved financial performance.

 

The $2.2 million of unrealized appreciation in our investment in Vector Controls Holdings Co., LLC was driven by overall company performance.

 

The $1.4 million of unrealized appreciation in our investment in Axero Holdings, LLC was driven by growth and improved financial performance.

 

The $1.1 million of unrealized appreciation in our investment in Destiny Solutions Inc. was driven by growth and improved financial performance.

 

The $1.1 million of unrealized depreciation in our investment in Zollege PBC was driven by overall company performance.

 

The $1.7 million of unrealized depreciation in our investment Netreo Holdings, LLC was driven by increased company leverage.

 

The $5.1 million of unrealized depreciation in our investment PDDS Buyer, LLC was driven by the sale of that investment, resulting in a reversal of previously recognized unrealized appreciation reclassified to realized gains.

 

The $6.9 million of unrealized depreciation in our investment Saratoga Investment Corp. CLO 2013-1, Ltd. was driven by the increase in discount rates, the impact of changes in LIBOR rates and overall market conditions.

 

The $7.3 million of unrealized depreciation in our investment Saratoga Senior Loan Fund I, JV, LLC was driven by the increase in discount rates and overall market conditions

 

Changes in net assets resulting from operations

 

For the three months ended November 30, 2023, we recorded a net decrease in net assets resulting from operations of $4.1 million. Based on 13,052,896 weighted average common shares outstanding as of November 30, 2023, our per share net decrease in net assets resulting from operations was $0.31 for the three months ended November 30, 2023. For the three months ended November 30, 2022, we recorded a net increase in net assets resulting from operations of $6.0 million. Based on 11,893,173 weighted average common shares outstanding as of November 30, 2022, our per share net increase in net assets resulting from operations was $0.51 for the three months ended November 30, 2022.

 

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For the nine months ended November 30, 2023, we recorded a net decrease in net assets resulting from operations of $3.6 million. Based on 12,355,815 weighted average common shares outstanding as of November 30, 2023, our per share net increase in net assets resulting from operations was $0.29 for the nine months ended November 30, 2023. For the nine months ended November 30, 2022, we recorded a net increase in net assets resulting from operations of $5.5 million. Based on 11,989,811 weighted average common shares outstanding as of November 30, 2022, our per share net decrease in net assets resulting from operations was $0.46 for the nine months ended November 30, 2022

 

FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

 

We intend to continue to generate cash primarily from cash flows from operations, including interest earned from our investments in debt in middle-market companies, interest earned from the temporary investment of cash in U.S. government securities and other high-quality debt investments that mature in one year or less, the Encina Credit Facility, our continued access to the SBA debentures future borrowings and future offerings of debt and equity securities.

 

Although we expect to fund the growth of our investment portfolio through the net proceeds from future equity offerings, including our dividend reinvestment plan (“DRIP”), the ATM Program, and issuances of senior securities or future borrowings, to the extent permitted by the 1940 Act, we cannot assure you that our plans to raise capital will be successful. In this regard, because our common stock has historically traded at a price below our current NAV per share and we are limited in our ability to sell our common stock at a price below NAV per share, we have been and may continue to be limited in our ability to raise equity capital. Consistent with the terms of the ATM Program, the Manager may, from time to time and in its sole discretion, contribute proceeds necessary to ensure that no sales are made at a price below the then-current NAV per share.

 

In addition, we intend to distribute to our stockholders substantially all of our operating taxable income in order to satisfy the distribution requirement applicable to RICs under the Code. In satisfying this distribution requirement, in accordance with certain applicable provisions of the Code and the Treasury regulations and a revenue procedure 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 that the aggregate amount of cash to be distributed to all stockholders must be at least 20% of the aggregate declared distribution. We may rely on the revenue procedure in future periods to satisfy our RIC distribution requirement.

 

Also, as a BDC, we generally are required to meet a coverage ratio of total assets, less liabilities and indebtedness not represented by senior securities, to total senior securities, which include all of our borrowings and any outstanding preferred stock, of at least 200%, reduced to 150% effective April 16, 2019 following the approval received from our board of directors, including a majority of our independent directors, on April 16, 2018. This requirement limits the amount that we may borrow. Our asset coverage ratio, as defined in the 1940 Act, was 159.3% as of November 30, 2023 and 165.9% as of February 28, 2023. To fund growth in our investment portfolio in the future, we anticipate needing to raise additional capital from various sources, including the equity markets and other debt-related markets, which may or may not be available on favorable terms, if at all.

 

Consequently, we may not have the funds or the ability to fund new investments, to make additional investments in our portfolio companies, to fund our unfunded commitments to portfolio companies, to pay dividends or to repay borrowings. Also, the illiquidity of our portfolio investments may make it difficult for us to sell these investments when desired and, if we are required to sell these investments, we may realize significantly less than their recorded value.

 

Due to the diverse capital sources available to us at this time, we believe we have adequate liquidity to support our near term capital requirements.

 

Encina Credit Facility

 

Below is a summary of the terms of the senior secured revolving credit facility we entered into with Encina Lender Finance, LLC on October 4, 2021.

 

Commitment. We entered into the Credit and Security Agreement (the “Credit Agreement”) relating to the Encina Credit Facility in the initial facility amount of $50.0 million (the “Facility Amount”). 

 

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Availability. We can draw up to the lesser of (i) the Facility Amount and (ii) the Borrowing Base. The Borrowing Base is an amount equal to (i) the difference of (A) the product of the applicable advance rate which varies from 50.0% to 75.0% depending on the type of loan asset (Defaulted Loans being excluded in that they carry an advance rate of 0%) and the value, determined in accordance with the Encina Credit Facility (the “Adjusted Borrowing Value”), of certain “eligible” loan assets pledged as security for the loan (the “Borrowing Base Value”) and (B) the Excess Concentration Amount, as calculated in accordance with the Encina Credit Facility, plus (ii) any amounts held in the Prefunding Account and, without duplication, Excess Cash held in the Collection Account, less (iii) the product of (a) the amount of any undrawn funding commitments we have under any loan asset and (b) the Unfunded Exposure Haircut Percentage, and less (iv) $100,000. Each loan asset we held as of the date on which the Encina Credit Facility was closed was valued as of that date and each loan asset that we acquire after such date will be valued at the lowest of its fair value, its face value (excluding accrued interest) and the purchase price paid for such loan asset. Adjustments to the value of a loan asset will be made to reflect, among other things and under certain circumstances, changes in its fair value, a default by the obligor on the loan asset, insolvency of the obligor, acceleration of the loan asset, and certain modifications to the terms of the loan asset.

  

The Encina Credit Facility contains limitations on the type of loan assets that are “eligible” to be included in the Borrowing Base and as to the concentration level of certain categories of loan assets in the Borrowing Base such as restrictions on geographic and industry concentrations, asset size and quality, payment frequency, status and terms, average life, and collateral interests. In addition, if an asset is to remain an “eligible” loan asset, we may not make changes to the payment, amortization, collateral and certain other terms of the loan assets without the consent of the administrative agent that will either result in subordination of the loan asset or be materially adverse to the lenders.

 

The Encina Credit Facility requires certain minimum drawn amounts. For the period beginning on the closing date and ended April 4, 2022, the minimum funding amount was $12.5 million. For the period beginning on April 5, 2022 through maturity, the minimum funding amount is the greater of $25.0 million and 50% of the Facility Amount in effect from time to time.

 

Collateral. The Encina Credit Facility is secured by assets of SIF II and pledged to the lender under the credit facility. SIF II is a wholly owned special purpose entity formed for the purpose of entering into the Encina Credit Facility.

 

Interest Rate and Fees. Under the Encina Credit Facility, funds were borrowed from or through certain lenders at the greater of the prevailing LIBOR rate and 0.75%, plus an applicable margin of 4.00%. The Credit Agreement includes benchmark replacement provisions which permit the Administrative Agent and the borrower to select a replacement rate upon the unavailability of LIBOR. In addition, we 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 Encina Credit Facility for the duration of the term of the Encina Credit Facility. Accrued interest and commitment fees are payable monthly in arrears. We were also obligated to pay certain other fees to the lenders in connection with the closing of the Encina Credit Facility.

 

Collateral Tests. It is a condition precedent to any borrowing under the Encina Credit Facility that the principal amount outstanding under the Encina Credit Facility, after giving effect to the proposed borrowings, not exceed the Borrowing Base (the “Borrowing Base Test”). In addition to satisfying the Borrowing Base Test, the following tests must also be satisfied (together with Borrowing Base Test, the “Collateral Tests”):

 

  o Interest Coverage Ratio. The ratio (expressed as a percentage) of interest collections with respect to pledged loan assets, less certain fees and expenses relating to the Encina Credit Facility, to accrued interest and commitment fees payable to the lenders under the Encina Credit Facility for the last 6 payment periods must equal at least 175.0%.

 

  o Overcollateralization Ratio. The ratio (expressed as a percentage) of the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets plus the fair value of certain ineligible pledged loan assets (in each case, subject to certain adjustments) to outstanding borrowings under the Encina Credit Facility plus the Unfunded Exposure Amount must equal at least 200.0%.

 

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The Encina Credit Facility also may require payment of outstanding borrowings or replacement of pledged loan assets upon our breach of our representation and warranty that pledged loan assets included in the Borrowing Base are “eligible” loan assets. Such ineligible collateral loans will be excluded from the calculation of the Borrowing Base and may lead to a Borrowing Base Deficiency, which may be cured by effecting one or more (or any combination thereof) of the following actions: (A) deposit into or credit to the collection account cash and eligible investments, (B) repay outstanding borrowings (together with certain costs and expenses), (C) sell or substitute loan assets in accordance with the Encina Credit Facility, or (D) pledge additional loan assets as collateral. Compliance with the Collateral Tests is also a condition to the discretionary sale of pledged loan assets by us.

 

Priority of Payments. The priority of payments provisions of the Encina Credit Facility require, after payment of specified fees and expenses, that collections of interest from the loan assets and, to the extent that these are insufficient, collections of principal from the loan assets, be applied on each payment date to payment of outstanding borrowings if the Borrowing Base Test, the Overcollateralization Ratio and the Interest Coverage Ratio would not otherwise be met.

 

Operating Expenses. The priority of payments provision of the Encina Credit Facility provides for the payment of certain of our operating expenses out of collections on interest and principal in accordance with the priority established in such provision. The operating expenses payable pursuant to the priority of payment provisions is limited to $200,000 per annum.

 

Covenants; Representations and Warranties; Events of Default. The Credit Agreement contains customary representations and warranties, affirmative covenants, negative covenants and events of default. The Credit Agreement does not contain grace periods for breach by us of any negative covenants or of certain of the affirmative covenants, including, without limitation, those related to preservation of the existence and separateness of the Company. Other events of default under the Credit Agreement include, among other things, the following:

 

  o Our failure to maintain an Interest Coverage Ratio of less than 175%;

 

  o Our failure of the Company to maintain an Overcollateralization Ratio of less than 200%;

 

  o the filing of certain ERISA or tax liens on our assets or the Equityholder;

 

  o failure by Specified Holders to collectively, directly or indirectly, own and control at least 51% of the outstanding equity interests of Saratoga Investment Advisor, or (y) possess the right to elect (through contract, ownership of voting securities or otherwise) at all times a majority of the board of directors (or similar governing body) of Saratoga Investment Advisor and to direct the management policies and decisions of Saratoga Investment Advisor, or (ii) the dissolution, termination or liquidation in whole or in part, transfer or other disposition, in each case, of all or substantially all of the assets of, Saratoga Investment Advisor;

 

  o indictment or conviction of Saratoga Investment Advisors or any “key person” for a felony offense, or any fraud, embezzlement or misappropriation of funds by Saratoga Investment Advisors or any “key person” and, in the case of “key persons,” without a reputable, experienced individual reasonably satisfactory to Encina Lender Finance appointed to replace such key person within 30 days;

 

  o resignation, termination, disability or death of a “key person” or failure of any “key person” to provide active participation in Saratoga Investment Advisors’ daily activities, all without a reputable, experienced individual reasonably satisfactory to Encina Lender Finance appointed within 30 days.

 

Fees and Expenses. We paid certain fees and reimbursed Encina Lender Finance, LLC for the aggregate amount of all documented, out-of-pocket costs and expenses, including the reasonable fees and expenses of lawyers, incurred by Encina Lender Finance, LLC in connection with the Encina Credit Facility and the carrying out of any and all acts contemplated thereunder up to and as of the date of closing. These amounts totaled $1.4 million.

 

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On January 27, 2023, we entered into the first amendment to the Credit Agreement to, among other things:

 

  increase the borrowings available under the Encina Credit Facility from up to $50.0 million to up to $65.0 million;

 

  change the underlying benchmark used to compute interest under the Credit Agreement from LIBOR to Term SOFR for a one-month tenor plus a 0.10% credit spread adjustment;

 

  increase the applicable effective margin rate on borrowings from 4.00% to 4.25%;

 

  extend the revolving period from October 4, 2024 to January 27, 2026;

 

  extend the period during which the borrower may request one or more increases in the borrowings available under the Encina Credit Facility (each such increase, a “Facility Increase”) from October 4, 2023 to January 27, 2025, and increased the maximum borrowings available pursuant to such Facility Increase from $75.0 million to $150.0 million;

 

  revise the eligibility criteria for eligible collateral loans to exclude certain industries in which an obligor or related guarantor may be involved; and

 

  amend the provisions permitting the borrower to request an extension in the Commitment Termination Date (as defined in the Credit Agreement) to allow requests to extend any applicable Commitment Termination Date, rather than a one-time request to extend the original Commitment Termination Date, subject to a notice requirement.

  

As of November 30, 2023, we had $35.0 million outstanding borrowings under the Credit Facility and $205.0 million of SBA-guaranteed debentures outstanding (which are discussed below).

  

SBA-guaranteed debentures

 

In addition, we, through three wholly owned subsidiaries, sought and obtained licenses from the SBA to operate an SBIC. In this regard, our wholly owned subsidiaries, SBIC LP, SBIC II LP, and SBIC III LP, received an SBIC license from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022, respectively. With all its debentures repaid to the SBA, SBIC LP’s license was surrendered on January 3, 2023. SBICs are designated 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.

 

The SBIC license allows our SBIC Subsidiaries to obtain leverage by issuing SBA-guaranteed debentures. SBA-guaranteed debentures are non-recourse, interest only debentures with interest payable semi-annually and have a ten-year maturity. The principal amount of SBA-guaranteed debentures is not required to be paid prior to maturity but may be prepaid at any time without penalty. The interest rate of SBA-guaranteed debentures is fixed on a semi-annual basis at a market-driven spread over U.S. Treasury Notes with 10-year maturities.

 

The SBIC Subsidiaries are regulated by the SBA. SBA regulations currently limit the amount that our SBIC Subsidiaries may borrow to a maximum of $175.0 million of SBA debentures when it has at least $87.5 million in regulatory capital, subject to the SBA’s approval. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million. Our wholly owned SBIC Subsidiaries are able to borrow funds from the SBA against regulatory capital (which generally approximates equity capital in the respective SBIC) and is subject to customary regulatory requirements, including, but not limited to, periodic examination by the SBA.

 

We received exemptive relief from the SEC to permit us to exclude the debt of our SBIC Subsidiaries guaranteed by the SBA from the definition of senior securities in the asset coverage test under the 1940 Act. This allows us increased flexibility under the asset coverage test by permitting us to borrow up to $350.0 million more than we 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, our board of directors, including a majority of our independent directors, approved of our becoming subject to a minimum asset coverage ratio of 150% from 200% under Sections 18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The 150% asset coverage ratio became effective on April 16, 2019.

 

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As of November 30, 2023 SBIC LP had $75.0 million in regulatory capital and $0.0 million in SBA-guaranteed debentures outstanding, SBIC II LP had $87.5 million in regulatory capital and $175.0 million in SBA-guaranteed debentures outstanding and SBIC III LP had $66.7 million in regulatory capital and $30.0 million in SBA-guaranteed debentures outstanding.

 

Unsecured notes

 

7.25% 2025 Notes

 

On June 24, 2020, we issued $37.5 million in aggregate principal amount of 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds were $5.4 million after deducting underwriting commissions of approximately $0.2 million. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and were amortized over the term of the 7.25% 2025 Notes.

 

On July 14, 2022, we redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes. The 7.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAK” and have been delisted following the full redemption on July 14, 2022. 

 

7.75% 2025 Notes

 

On July 9, 2020, we issued $5.0 million in aggregate principal amount of our 7.75% fixed-rate notes due in 2025 (the “7.75% 2025 Notes”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year. The 7.75% 2025 Notes mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option, subject to a fee depending on the date of repayment. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% 2025 Notes have been capitalized and are being amortized over the term of the Notes. The 7.75% 2025 Notes are not listed and have a par value of $25.00 per note.

 

At November 30, 2023, the total 7.75% 2025 Notes outstanding was $5.0 million.

 

6.25% 2027 Notes

 

On December 29, 2020, we issued $5.0 million in aggregate principal amount of our 6.25% fixed-rate notes due in 2027 (the “6.25% 2027 Notes”). Offering costs incurred were approximately $0.1 million.  Interest on the 6.25% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning February 28, 2021. The 6.25% 2027 Notes mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% 2027 Notes have been capitalized and are being amortized over the term of the Notes.

 

On January 28, 2021, we issued an additional $10.0 million in aggregate principal amount of the Second 6.25% 2027 Notes for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million (the “Additional 6.25% 2027 Notes”). The Additional 6.25% 2027 Notes are treated as a single series with the existing 6.25% 2027 Notes under the indenture and have the same terms as the existing 6.25% 2027 Notes. Offering costs incurred were approximately $0.1 million. Interest on the 6.25% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% 2027 Notes mature on January 28, 2027 and commencing January 28, 2023, 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 for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.4 million related to the 6.25% 2027 Notes have been capitalized and are being amortized over the term of the 6.25% 2027 Notes. The 6.25% 2027 Notes are not listed and have a par value of $25.00 per note.

 

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At November 30, 2023, the total 6.25% 2027 Notes outstanding was $15.0 million.

 

4.375% 2026 Notes

 

On March 10, 2021, we issued $50.0 million in aggregate principal amount of the 4.375% fixed-rate notes due in 2026 (the “4.375% 2026 Notes”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.3 million.  Interest on the 4.375% 2026 Notes is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year. The 4.375% 2026 Notes mature on February 28, 2026 and may be redeemed in whole or in part at any time on or after November 28, 2025 at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% 2026 Notes have been capitalized and are being amortized over the term of the 4.375% 2026Notes.

 

On July 15, 2021, we issued an additional $125.0 million in aggregate principal amount of the 4.375% 2026 Notes (the “Additional 4.375% 2026 Notes”) for net proceeds for approximately $123.8 million, based on the public offering price of 101.00% of the aggregate principal amount of the Additional 4.375% 2026 Notes, after deducting the underwriting commissions of $2.5 million. Offering costs incurred were approximately $0.2 million. The net proceeds from the offering were used to redeem all of the outstanding 6.25% fixed rate notes due 2025, and for general corporate purposes in accordance with our investment objective and strategies. The Additional 4.375% 2026 Notes are treated as a single series with the existing 4.375% 2026 Notes under the indenture and have the same terms as the existing 4.375% 2026 Notes.

 

At November 30, 2023, the total 4.375% 2026 Notes outstanding was $175.0 million.

 

4.35% 2027 Notes

 

On January 19, 2022, we issued $75.0 million in aggregate principal amount of our 4.35% fixed-rate Notes due in 2027 (the “4.35% 2027 Notes”) for net proceeds of $73.0 million, based on the public offering price of 99.317% of the aggregate principal amount of the 4.35% 2027 Notes, after deducting the underwriting commissions of approximately $1.5 million. Offering costs incurred were approximately $0.3 million.  Interest on the 4.35% 2027 Notes is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.35% per year, beginning August 28, 2022. The 4.35% 2027 Notes mature on February 28, 2027 and may be redeemed in whole or in part at our option at any time prior to November 28, 2026, at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.8 million related to the 4.35% 2027 Notes have been capitalized and are being amortized over the term of the 4.35% 2027 Notes.

 

At November 30, 2023 the total 4.35% 2027 Notes outstanding was $75.0 million.

 

6.00% 2027 Notes

 

On April 27, 2022, we issued $87.5 million in aggregate principal amount of 6.00% fixed-rate notes due 2027 (the “6.00% 2027 Notes”) for net proceeds of $84.8 million after deducting underwriting commissions of approximately $2.7 million. Offering costs incurred were approximately $0.1 million. On May 10, 2022, the underwriters partially exercised their option to purchase an additional $10.0 million in aggregate principal amount of the 6.00% 2027 Notes. Net proceeds were $9.7 million after deducting underwriting commissions of approximately $0.3 million. Interest on the 6.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.00% per year. The 6.00% 2027 Notes mature on April 30, 2027 and commencing April 27, 2024, 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 for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $3.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes. The 6.00% 2027 Notes are listed on the NYSE under the trading symbol “SAT” with a par value of $25.00 per note.

 

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On August 15, 2022, we issued an additional $8.0 million in aggregate principal amount of the 6.00% 2027 Notes (the “Additional 6.00% 2027 Notes”) for net proceeds of $7.8 million, based on the public offering price of 97.80% of the aggregate principal amount of the 6.00% 2027 Notes. Additional offering costs incurred were approximately $0.2 million. The Additional 6.00% 2027 Notes are treated as a single series with the existing 6.00% 2027 Notes under the indenture and have the same terms as the existing 6.00% 2027 Notes. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Additional financing costs of $0.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes.

 

At November 30, 2023 the total 6.00% 2027 Notes outstanding was $105.5 million.

 

7.00% 2025 Notes

 

On September 8, 2022, we issued $12.0 million in aggregate principal amount of 7.00% fixed-rate notes due 2025 (the “7.00% 2025 Notes”) for net proceeds of $11.6 million after deducting underwriting discounts of approximately $0.4 million. Additional offering costs incurred were approximately $0.05 million. Interest on the 7.00% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.00% per year. The 7.00% 2025 Notes mature on September 8, 2025 and commencing September 8, 2024, 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 for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.04 million related to the 7.00% 2025 Notes have been capitalized and are being amortized over the term of the 7.00% 2025 Notes.

 

At November 30, 2023 the total 7.00% 2025 Notes outstanding was $12.0 million.

 

8.00% 2027 Notes

 

On October 27, 2022, we issued $40.0 million in aggregate principal amount of our 8.00% fixed-rate notes due 2027 (the “8.00% 2027 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.1 million. On November 10, 2022, the underwriters partially exercised their option to purchase an additional $6.0 million in aggregate principal amount of the 8.00% 2027 Notes. Net proceeds were $5.8 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.00% per year. The 8.00% 2027 Notes mature on October 31, 2027 and commencing October 27, 2024, 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 for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.7 million related to the 8.00% 2027 Notes have been capitalized and are being amortized over the term of the 8.00% 2027 Notes. The 8.00% 2027 Notes are listed on the NYSE under the trading symbol “SAJ” with a par value of $25.00 per note.

 

At November 30, 2023 the total 8.00% 2027 Notes outstanding was $46.0 million.

 

8.125% 2027 Notes

 

On December 13, 2022, we issued $52.5 million in aggregate principal amount of 8.125% fixed-rate notes due 2027 (the “8.125% 2027 Notes”) for net proceeds of $50.8 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.1 million. On December 21, 2022, the underwriters fully exercised their option to purchase an additional $7.875 million in aggregate principal amount of the 8.125% 2027 Notes. Net proceeds were $7.6 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.125% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.125% per year, beginning February 28, 2023. The 8.125% 2027 Notes mature on December 31, 2027 and commencing December 13, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from this offering were used to make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $2.0 million related to the 8.125% 2027 Notes have been capitalized and are being amortized over the term of the 8.125% 2027 Notes. The 8.125% 2027 Notes are listed on the NYSE under the trading symbol “SAY” with a par value of $25.00 per note.

 

139

 

 

At November 30, 2023, the total 8.125% 2027 Notes outstanding was $60.4 million.

 

8.75% 2024 Notes

 

On March 31, 2023, we issued $10.0 million in aggregate principal amount of 8.75% fixed-rate notes due 2024 (the “8.75% 2024 Notes”) for net proceeds of $9.7 million after deducting underwriting discounts of approximately $0.4 million. On May 1, 2023, we issued an additional $10.0 million in aggregate principal amount of the 8.75% 2024 Notes for net proceeds of $9.7 million after deducting underwriting discounts of approximately $0.4 million. Offering costs incurred were approximately $0.03 million. Interest on the 8.75% 2024 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.75% per year.  The 8.75% 2024 Notes mature on March 31, 2024. Net proceeds from this offering were used to make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with our investment objective and strategies and general corporate purposes. Financing costs and discounts of $0.7 million related to the 8.75% 2024 Notes have been capitalized and are being amortized over the term of the 8.75% 2024 Notes.

 

At November 30, 2023, the total 8.75% 2024 Notes outstanding was $20.0 million.

 

8.50% 2028 Notes

 

On April 14, 2023, we issued $50.0 million in aggregate principal amount of 8.50% fixed-rate notes due 2028 (the “8.50% 2028 Notes”) for net proceeds of $48.4 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.03 million. On April 26, 2023, the underwriters fully exercised their option to purchase an additional $7.5 million in aggregate principal amount of the 8.50% 2028 Notes. Net proceeds were $7.3 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.50% 2028 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.50% per year.  The 8.50% 2028 Notes mature on April 15, 2028, and commencing April 14, 2025, may be redeemed in whole or in part at any time or from time to time at our option. Net proceeds from this offering were used to repay a portion of the outstanding indebtedness under the Encina Credit Facility, make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $2.0 million related to the 8.50% 2028 Notes have been capitalized and are being amortized over the term of the 8.50% 2028 Notes. The 8.50% 2028 Notes are listed on the NYSE under the trading symbol “SAZ” with a par value of $25.00 per note.

 

At November 30, 2023, the total 8.50% 2028 Notes outstanding was $57.5 million.

 

At November 30, 2023 and February 28, 2023, the fair value of investments, cash and cash equivalents and cash and cash equivalents, reserve accounts were as follows:

   November 30,
2023
   February 28,
2023
 
   Fair Value    Percentage
of Total
   Fair Value    Percentage
of Total
 
   ($ in thousands) 
Cash and cash equivalents  $21,387    1.9%  $65,746    6.2%
Cash and cash equivalents, reserve accounts   25,640    2.2    30,330    2.8 
First lien term loans   959,892    82.7    798,534    74.7 
Second lien term loans   14,873    1.3    14,936    1.4 
Unsecured term loans   17,619    1.5    41,362    3.9 
Structured finance securities   29,387    2.5    20,661    1.9 
Equity interests   92,268    7.9    97,097    9.1 
Total  $1,161,066    100.0%  $1,068,666    100.0%

Equity Capital Activities

 

Share Repurchases

 

On September 24, 2014, we announced the approval of the Share Repurchase Plan. Since September 24, 2014, the Share Repurchase Plan has been extended annually, and we have periodically increased the amount of shares of common stock that may be purchased under the Share Repurchase Plan. Most recently, on January 9, 2023, our board of directors extended the Share Repurchase Plan for another year to January 15, 2024, increasing the number of shares that may be repurchased under the Share Repurchase Plan to 1.7 million shares of common stock. As of November 30, 2023, we had purchased 1,035,203 shares of common stock, at the average price of $22.05 for approximately $22.8 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2023, we did not purchase any shares pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2023, we purchased 88,576 shares of common stock, at the average price $24.36 for approximately $2.2 million pursuant to the Share Repurchase Plan.

 

140

 

 

Public Equity Offering

 

On July 13, 2018, we issued 1,150,000 shares of common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. We also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of common stock, which was not exercised.

 

Equity ATM Program

 

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. Subsequent to this, we amended our equity distribution agreement to add BB&T Capital Markets and B. Riley FBR, Inc. as sales agents in our ATM offering. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. This agreement was terminated as of July 29, 2021, and as of that date, we had sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs).

 

On July 30, 2021, we entered into an equity distribution agreement (the “Equity Distribution Agreement”) with Ladenburg Thalmann & Co. Inc. and Compass Point Research and Trading, LLC, each as agents (the “Agents”), through which we may offer for sale, from time to time, up to $150.0 million of our common stock through the Agents, or to them, as principal for their account (the “ATM Program”).

 

On July 6, 2023, we amended the Equity Distribution Agreement to increase the maximum amount of shares of our common stock to be sold through the ATM Program to $300.0 million from $150.0 million, and on July 19, 2023, we amended the Equity Distribution Agreement to add an additional distribution agent, Raymond James & Associates. The sales price per share of our common stock offered under the ATM Program, less the Agents’ commission, will not be less than the NAV per share of our common stock at the time of such sale. Consistent with the terms of the ATM Program, the Manager may, from time to time and in its sole discretion, contribute proceeds necessary to ensure that no sales are made at a price below the then-current NAV per share.

 

As of November 30, 2023, we sold 6,042,773 shares for gross proceeds of $158.3 million at an average price of $26.20 for aggregate net proceeds of $156.8 million (net of transaction costs). During the three months ended November 30, 2023, we sold 350,000 shares for gross proceeds of $10.0 million at an average price of $28.48 for aggregate net proceeds of $10.0 million (net of transaction costs). During the nine months ended November 30, 2023, we sold 1,202,412 shares for gross proceeds of $34.3 million at an average price of $28.54 for aggregate net proceeds of $34.3 million (net of transaction costs). The Manager agreed to reimburse the Company to the extent the per share price of the shares to the public, less underwriting fees, was less than net asset value per share. For the three months ended November 30, 2023, the Manager reimbursed the Company $1.0 million. For the nine months ended November 30, 2023, the Manager reimbursed the Company $3.1 million.

 

141

 

Dividend Distributions

 

We have distributed or intend to distribute sufficient dividends to eliminate taxable income for our completed tax years. If we fail to satisfy the 90% distribution requirement or otherwise fail to qualify as a RIC in any tax year, we would be subject to tax in that year on all of our taxable income, regardless of whether we made any distributions to our shareholders. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Our distributions from November 30, 2023 back to inception were as follows:

 

Payment date  Cash
Dividend
 
Tax Year Ended February 28, 2024    
November 15, 2023  $0.72(44)
September 28, 2023   0.71(43)
June 29, 2023   0.70(42)
March 30, 2023   0.69(1)
   $2.92 
Tax Year Ended February 28, 2023     
January 4, 2023  $0.68(2)
September 29, 2022   0.54(3)
June 29, 2022   0.53(4)
March 28, 2022   0.53(5)
   $2.28 
Tax Year Ended February 28, 2022     
January 19, 2022  $0.53(6)
September 28, 2021   0.52(7)
June 29, 2021   0.44(8)
April 22, 2021   0.43(9)
   $1.92 
Tax Year Ended February 28, 2021     
February 10, 2021  $0.42(10)
November 10, 2020   0.41(11)
August 12, 2020   0.40(12)
   $1.03 
Tax Year Ended February 29, 2020     
February 6, 2020  $0.56(13)
September 26, 2019   0.56(14)
June 27, 2019   0.55(15)
March 28, 2019   0.54(16)
   $2.21 
Tax Year Ended February 28, 2019     
January 2, 2019  $0.53(17)
September 27, 2018   0.52(18)
June 27, 2018   0.51(19)
March 26, 2018   0.50(20)
   $2.06 
Tax Year Ended February 28, 2018     
December 27, 2017  $0.49(21)
September 26, 2017   0.48(22)
June 27, 2017   0.47(23)
March 28, 2017   0.46(24)
   $1.90 
Tax Year Ended February 28, 2017     
February 9, 2017  $0.45(25)
November 9, 2016   0.44(26)
September 5, 2016   0.20(27)
August 9, 2016   0.43(28)
April 27, 2016   0.41(29)
   $1.93 
Tax Year Ended February 29, 2016     
February 29, 2016  $0.40(30)
November 30, 2015   0.36(31)
August 31, 2015   0.33(32)
June 5, 2015   1.00(33)
May 29. 2015   0.27(34)
   $2.36 
 Tax Year Ended February 28, 2015     
February 27, 2015  $0.22(35)
November 28, 2014   0.18(36)
   $0.40 

 

142

 

 

Payment date  Cash
Dividend
 
Tax Year Ended February 28. 2014        
December 27, 2013   $ 2.65 (37)
    $ 2.65  
Tax Year Ended February 28, 2013        
December 31, 2012   $ 4.25 (38)
    $ 4.25  
Tax Year Ended February 29, 2012        
December 30, 2011   $ 3.00 (39)
    $ 3.00  
Tax Year Ended February 28, 2011        
December 29, 2010   $ 4.40 (40)
    $ 4.40  
Tax Year Ended February 28, 2010        
December 31, 2009   $ 18.25 (41)
    $ 18.25  

 

(1) Based on shareholder elections, the dividend consisted of approximately $7.1 million in cash and 46,818 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 $23.11 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 17, 20, 21, 22, 23, 24, 27, 28, 29, and 30, 2023.

 

(2) Based on shareholder elections, the dividend consisted of approximately $6.8 million in cash and 53,615 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 $24.26 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21, 22, 23, 27, 28, 29 and 30 2022 and January 3 and 4, 2023.
   
(3) Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 52,313 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 $22.00 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 16, 19, 20, 21, 22, 23, 26, 27, 28 and 29, 2022.
   
(4) Based on shareholder elections, the dividend consisted of approximately $5.1 million in cash and 48,590 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 $22.40 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 15, 16, 17, 21, 22, 23, 24, 27, 28 and 29, 2022.

 

(5) Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 42,825 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 $25.89 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 16, 17, 18, 21, 22, 23, 24, 25 and 28, 2022.
   

 

143

 

 

(6) Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 41,520 newly issued shares of common stock, or 0.3% 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 $26.85 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 5, 6, 7, 10, 11, 12, 13, 14, 18 and 19, 2022.

 

(7) Based on shareholder elections, the dividend consisted of approximately $4.9 million in cash and 38,016 newly issued shares of common stock, or 0.3% 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 $26.77 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2021.

 

(8) Based on shareholder elections, the dividend consisted of approximately $4.1 million in cash and 33,100 newly issued shares of common stock, or 0.3% 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 $25.03 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 16, 17, 18, 21, 22, 23, 24, 25, 28 and 29, 2021.

  

(9) Based on shareholder elections, the dividend consisted of approximately $3.9 million in cash and 38,580 newly issued shares of common stock, or 0.3% 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 $23.69 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on April 9,12, 13, 14, 15, 16, 19, 20, 21 and 22, 2021.

 

(10) Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 41,388 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 $21.75 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 28, 29 and February 1, 2, 3, 4, 5, 8, 9 and 10, 2021.
   
(11) Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 45,706 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 $17.63 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 28, 29, 30 and November 2, 3, 4, 5, 6, 9 and 10, 2020.
   
(12) Based on shareholder elections, the dividend consisted of approximately $3.7 million in cash and 47,098 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 $16.45 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on July 30, 31 and August 3, 4, 5, 6, 7, 10, 11 and 12, 2020.

 

(13) Based on shareholder elections, the dividend consisted of approximately $5.4 million in cash and 35,682 newly issued shares of common stock, or 0.3% 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 $25.44 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on January 24, 27, 28, 29, 30, 31 and February 3, 4, 5 and 6, 2020.
   
(14) Based on shareholder elections, the dividend consisted of approximately $4.5 million in cash and 34,575 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 $23.34 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 13, 16, 17, 18, 19, 20, 23, 24, 25 and 26, 2019.

 

(15) Based on shareholder elections, the dividend consisted of approximately $3.6 million in cash and 31,545 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 $22.65 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2019.

 

144

 

 

(16) Based on shareholder elections, the dividend consisted of approximately $3.5 million in cash and 31,240 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 $21.36 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on March 15, 18, 19, 20, 21, 22, 25, 26, 27 and 28, 2019.
   
(17) Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 30,796 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 $18.88 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on December 18, 19, 20, 21, 24, 26, 27, 28, 31, 2018 and January 2, 2019.
   
(18) Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash and 25,862 newly issued shares of common stock, or 0.3% 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 $22.35 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2018.

 

(19) Based on shareholder elections, the dividend consisted of approximately $2.7 million in cash and 21,562 newly issued shares of common stock, or 0.3% 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 $23.72 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2018.
   
(20) 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.

  

(21) 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 95.0% of 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.
   
(22) 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 95.0% of 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.
   
(23) 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 95.0% of 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.

 

(24) 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 95.0% of 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.
   
(25) 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 95.0% of 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.

 

145

 

 

(26) 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 95.0% of 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.
   
(27) 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 95.0% of 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.

 

(28) 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 95.0% of 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.

 

(29) 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 95.0% of 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.
   
(30) 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 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 $13.11 per share, which equaled 95.0% of 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.
   
(31) 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 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 $14.53 per share, which equaled 95.0% of 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.

 

(32) 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 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 $15.28 per share, which equaled 95.0% of 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.

  

(33) 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 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 $16.47 per share, which equaled 95.0% of 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.
   
(34) 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 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 $16.78 per share, which equaled 95.0% of 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.

 

146

 

 

(35) 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 95.0% of 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.
   
(36) 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 95.0% of 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.
   
(37) 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 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 $15.439 per share, which equaled the volume weighted average trading price per share of the common stock on December 11, 13 and 16, 2013.

  

(38) Based on shareholder elections, the dividend consisted of $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.
   
(39) Based on shareholder elections, the dividend consisted of $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 $13.117067 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011.
   
(40) Based on shareholder elections, the dividend consisted of $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.

 

(41) Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 shares of common stock, or 104.0% 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 13.7% 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 $1.5099 per share, which equaled the volume weighted average trading price per share of the common stock on December 24 and 28, 2009.

 

147

 

 

(42)   Based on shareholder elections, the dividend consisted of approximately $7.6 million in cash and 29,628 newly issued shares of common stock, or 0.2% 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 $25.29 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 15, 16, 20, 21, 22, 23, 26, 27, 28, and 29, 2023.

 

(43)   Based on shareholder elections, the dividend consisted of approximately $8.4 million in cash and 35,197 newly issued shares of common stock, or 0.3% 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 $24.41 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 15, 18, 19, 20, 21, 22, 25, 26, 27, and 28, 2023.

 

(44)   Based on shareholder elections, the dividend consisted of approximately $8.9 million in cash and 37,395 newly issued shares of common stock, or 0.3% 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 $24.47 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 14, 15, 18, 19, 20, 21, 22, 26, 27, and 28, 2023.

 

We cannot provide any assurance that these measures will provide sufficient sources of liquidity to support our operations and growth.

 

Our asset coverage ratio, as defined in the 1940 Act, was 159.3% as of November 30, 2023 and 165.9% as of February 28, 2023.

  

Subsequent Events

 

The Company has evaluated subsequent events through the filing of this Form 10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s consolidated financial statements and disclosures in the consolidated financial statements as of and for the quarter ended November 30, 2023.

 

Contractual obligations

The following table shows our payment obligations for repayment of debt and other contractual obligations at November 30, 2023:

       Payment Due by Period 
Long-Term Debt Obligations  Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 
Encina credit facility  $35,000   $-   $35,000   $-   $- 
SBA debentures   205,000    -    -    -    205,000 
8.75% 2024 Notes   20,000    20,000    -    -    - 
7.00% 2025 Notes   12,000    -    12,000    -    - 
7.75% 2025 Notes   5,000    -    5,000    -    - 
4.375% 2026 Notes   175,000    -    175,000    -    - 
4.35% 2027 Notes   75,000    -    -    75,000    - 
6.00% 2027 Notes   105,500    -    -    105,500    - 
6.25% 2027 Notes   15,000    -    -    15,000    - 
8.00% 2027 Notes   46,000    -    -    46,000    - 
8.125% 2027 Notes   60,375    -    -    60,375    - 
8.50% 2028 Notes   57,500    -    -    57,500    - 
Total Long-Term Debt Obligations  $811,375   $20,000   $227,000   $359,375   $205,000 

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Off-balance sheet arrangements

 

As of November 30, 2023 and February 28, 2023, our off-balance sheet arrangements consisted of $128.4 million and $108.8 million, respectively, of unfunded commitments outstanding to provide debt financing to its portfolio companies or to fund limited partnership interests. Such commitments are generally up to our 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 our consolidated statements of assets and liabilities and are not reflected in our consolidated statements of assets and liabilities.

 

A summary of the unfunded commitments outstanding as of November 30, 2023 and February 28, 2023 is shown in the table below (dollars in thousands):

   November 30,
2023
   February 28,
2023
 
At Company’s discretion        
ActiveProspect, Inc.  $10,000   $10,000 
Artemis Wax Corp.   23,500    - 
Ascend Software, LLC   5,000    5,000 
Granite Comfort, LP   750    15,000 
JDXpert   5,000    5,000 
LFR Chicken LLC   -    4,000 
Pepper Palace, Inc.   1,898    3,000 
Procurement Partners, LLC   4,250    4,250 
Saratoga Senior Loan Fund I JV, LLC   8,548    8,548 
Sceptre Hospitality Resources, LLC   5,000    5,000 
Stretch Zone Franchising, LLC   3,750    - 
VetnCare MSO, LLC   10,000    - 
Total  $77,696   $59,798 
           
At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required          
Alpha Aesthetics Partners OpCo, LLC  $3,720   $- 
ARC Health OpCo LLC   2,585    10,773 
Artemis Wax Corp.   -    8,500 
Ascend Software, LLC   1,500    3,200 
Axero Holdings, LLC - Revolver   500    500 
Axiom Medical Consulting, LLC   2,000    - 
BQE Software, Inc.   3,250    - 
C2 Educational Systems   3,000    - 
Davisware, LLC   1,500    - 
Exigo, LLC   -    4,167 
Exigo, LLC - Revolver   1,042    833 
Gen4 Dental Partners Holdings, LLC   244    11,000 
GoReact   2,500    2,500 
JDXpert   -    1,000 
Inspect Point Holding, LLC   1,500    - 
Modis Dental Partners OpCo, LLC   7,500    - 
Pepper Palace, Inc. - Delayed Draw Term Loan   -    2,000 
Pepper Palace, Inc. - Revolver   2,500    2,500 
Procurement Partners, LLC   -    1,000 
Stretch Zone Franchising, LLC   1,500    - 
VetnCare MSO, LLC   15,319    - 
Zollege PBC   575    1,000 
    50,735    48,973 
Total  $128,431   $108,771 

 

We believe our assets will provide adequate coverage to satisfy these unfunded commitments. As of November 30, 2023, we had cash and cash equivalents and cash and cash equivalents, reserve accounts of $47.0 million and $30.0 million in available borrowings under the Encina Credit Facility.

 

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

Our business activities contain elements of market risk. We consider our principal market risk to be the fluctuation in interest rates. Managing this risk is essential to our business. Accordingly, we have systems and procedures designed to identify and analyze our risks, to establish appropriate policies and thresholds and to continually monitor this risk and thresholds by means of administrative and information technology systems and other policies and processes.

 

Interest rate risk is defined as the sensitivity of our current and future earnings to interest rate volatility, including relative changes in different interest rates, variability of spread relationships, the difference in re-pricing intervals between our assets and liabilities and the effect that interest rates may have on our cash flows. Changes in the general level of interest rates can affect our net interest income, which is the difference between the interest income earned on interest earning assets and our interest expense incurred in connection with our interest-bearing debt and liabilities. Changes in interest rates can also affect, among other things, our ability to acquire leveraged loans, high yield bonds and other debt investments and the value of our investment portfolio.

 

Our investment income is affected by fluctuations in various interest rates, including SOFR and the prime rate. Substantially all of our portfolio is, and we expect will continue to be, comprised of floating rate investments that utilize SOFR or an alternate rate. Since March 2022, the Federal Reserve has been rapidly raising interest rates and has indicated that it may consider an additional rate hike in response to ongoing inflation concerns. In a rising interest rate environment, our cost of funds would increase, which could reduce our net investment income if there is not a corresponding increase in interest income generated by our investment portfolio. It is possible that the Federal Reserve’s tightening cycle could result in a recession in the United States, which would likely decrease interest rates. A prolonged reduction in interest rates will reduce our gross investment income and could result in a decrease in our net investment income if such decreases in base rates, such as SOFR, are not offset by corresponding increases in the spread over such base rates that we earn on any portfolio investments, a decrease in our operating expenses, including with respect to our income incentive fee, or a decrease in the interest rate of our floating interest rate liabilities. Our interest expense is affected by fluctuations in SOFR on our Encina Credit Facility. In addition, all of our assets have been transitioned from LIBOR to an acceptable replacement rate, such as SOFR. At November 30, 2023, we had $760.4 million of borrowings outstanding. In addition, there were $35.0 million borrowings outstanding under the Encina Credit Facility as of November 30, 2023.

 

We have analyzed the potential impact of changes in interest rates on interest income from investments. Assuming that our investments as of November 30, 2023 were to remain constant for a full fiscal year and no actions were taken to alter the existing interest rate terms, a hypothetical change of a 1.0% increase in interest rates would cause a corresponding increase of approximately $10.0 million to our interest income. Conversely, a hypothetical change of a 1.0% decrease in interest rates would cause a corresponding decrease of approximately $10.0 million to our interest income.

 

Changes in interest rates would have no impact to our current interest and debt financing expense, as all our borrowings except for our credit facility are fixed rate, and our credit facility is currently undrawn.

 

Although management believes that this measure is indicative of our sensitivity to interest rate changes, it does not adjust for potential changes in credit quality, size and composition of the assets on the statements of assets and liabilities and other business developments that could magnify or diminish our sensitivity to interest rate changes, nor does it account for divergences in SOFR and the commercial paper rate, which have historically moved in tandem but, in times of unusual credit dislocations, could have periods of divergence. Accordingly, no assurances can be given that actual results would not materially differ from the potential outcome simulated by this estimate.

 

150

 

 

For further information, the following table shows the approximate annualized increase or decrease in the components of net investment income due to hypothetical base rate changes in interest rates, assuming no changes in our investments and borrowings as of November 30, 2023.

 

    Increase   (Increase)   Increase   Increase   Increase 
Basis   (Decrease)   Decrease   (Decrease) in Net   (Decrease) in Net   (Decrease) in Net 
Point   in Interest   in Interest   Interest   Interest   Investment 
Change   Income   Expense   Income   Income*   Income per Share 
    ($ in thousands)         
 -100   $(10,134)  $350   $(9,784)  $(7,827)  $(0.60)
 -50    (5,067)   175    (4,892)   (3,914)   (0.30)
 -25    (2,534)   88    (2,446)   (1,957)   (0.16)
 25    2,534    (88)   2,446    1,957    0.16 
 50    5,067    (175)   4,892    3,914    0.30 
 100    10,134    (350)   9,784    7,827    0.60 
 200    20,269    (700)   19,569    15,655    1.19 
 300    30,570    (1,050)   29,520    23,616    1.80 
 400    40,904    (1,400)   39,504    31,603    2.41 

 

*Adjusts Net Interest Income for the impact of the first incentive fee on Net Investment Income

 

ITEM 4. CONTROLS AND PROCEDURES

 

(a) As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our management, including our chief executive officer and our chief financial officer, of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934). Based on that evaluation, our chief executive officer and our chief financial officer have concluded that our current disclosure controls and procedures are effective in facilitating timely decisions regarding required disclosure of any material information relating to us that is required to be disclosed by us in the reports we file or submit under the Securities Exchange Act of 1934. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

 

(b) There have been no changes in the Company’s internal control over financial reporting (as defined in Rule 13a-15(f) of Exchange Act) that occurred during the quarter ended November 30, 2023 that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

 

151

 

 

PART II. OTHER INFORMATION

 

Item 1. Legal Proceedings

 

Neither we nor our wholly owned subsidiaries, Saratoga Investment Funding LLC, Saratoga Investment Funding II, LLC, Saratoga Investment Corp. SBIC LP, Saratoga Investment Corp. SBIC II LP, or Saratoga Investment Corp. SBIC III LP, are currently subject to any material legal proceedings.

 

Item 1A. Risk Factors

 

In addition to information set forth in this report, you should carefully consider the “Risk Factors” discussed in our most recent Annual Report on Form 10-K filed with the SEC, which could materially affect our business, financial condition and/or operating results. Except for the risk factor set forth below, there have been no material changes during the nine months ended November 30, 2023 to the risk factors discussed in “Item 1A. Risk Factors” of our Annual Report on Form 10-K for the fiscal year ended February 28, 2023. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial condition and/or operating results.

 

The alternative reference rates that have replaced LIBOR in our credit arrangements and other financial instruments may not yield the same or similar economic results as LIBOR over the life of such transactions.

 

LIBOR, the London Interbank Offered Rate, is an index rate that historically was widely used in lending transactions and was a common reference rate for setting the floating interest rate on private loans. Prior to June 30, 2023, LIBOR was typically the reference rate used in floating-rate loans identified by the Manager.

 

The ICE Benchmark Administration (“IBA”) (the entity that is responsible for calculating LIBOR) ceased providing overnight, one, three, six and twelve months USD LIBOR tenors on June 30, 2023. In addition, the United Kingdom’s Financial Conduct Authority (“FCA”), which oversees the IBA, now prohibits entities supervised by the FCA from using LIBORs, including USD LIBOR, except in very limited circumstances.

 

In the United States, the Secured Overnight Financing Rate (“SOFR”) is the preferred alternative rate for LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions. SOFR is published by the Federal Reserve Bank of New York each U.S. Government Securities Business Day, for transactions made on the immediately preceding US. Government Securities Business Day. Alternative reference rates that may replace LIBOR, including SOFR for USD transactions, may not yield the same or similar economic results as LIBOR over the lives of such transactions.

 

152

 

 

Substantially all of our loans that referenced LIBOR have been amended to reference the forward-looking term rate published by CME Group Benchmark Administration Limited based on the secured overnight financing rate (“CME Term SOFR”). CME Term SOFR rates are forward-looking rates that are derived by compounding projected overnight SOFR rates over one, three, and six months taking into account the values of multiple consecutive, executed, one-month and three-month CME Group traded SOFR futures contracts and, in some cases, over-the-counter SOFR Overnight Indexed Swaps as an indicator of CME Term SOFR reference rate values. CME Term SOFR and the inputs on which it is based are derived from SOFR. Since CME Term SOFR is a relatively new market rate, there will likely be no established trading market for credit agreements or other financial instruments when they are issued, and an established market may never develop or may not be liquid. Market terms for instruments referencing CME Term SOFR rates may be lower than those of later-issued CME Term SOFR indexed instruments. Similarly, if CME Term SOFR does not prove to be widely used, the trading price of instruments referencing CME Term SOFR may be lower than those of instruments indexed to indices that are more widely used.

 

Item 2. Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities

 

Not applicable.

 

Item 3. Defaults Upon Senior Securities

 

Not applicable.

 

Item 4. Mine Safety Disclosures

 

Not applicable.

 

Item 5. Other Information

  

  (a) None.

 

  (b) None.

 

  (c) For the period covered by this Quarterly Report on Form 10-Q, no director or officer of the Company has entered into (i) any contract, instruction or written plan for the purchase or sale of securities of the Company intended to satisfy the affirmative defense conditions of Rule 10b5-1(c) under the Exchange Act or (ii) any non-Rule 10b5-1 trading arrangement.

 

The Company has adopted insider trading policies and procedures governing the purchase, sale, and disposition of the Company’s securities by officers and directors of the Company that are reasonably designed to promote compliance with insider trading laws, rules and regulations.

 

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ITEM 6. EXHIBITS

 

The following exhibits are filed as part of this report or hereby incorporated by reference to exhibits previously filed with the SEC:

  

EXHIBIT INDEX

 

Exhibit
Number
  Description
     
3.1(a)   Articles of Incorporation of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on July 13, 2007).
     
3.1(b)   Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
     
3.1(c)   Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 13, 2010).
     
3.2   Third Amended and Restated Bylaws of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed January 6, 2021).

 

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4.1   Specimen certificate of Saratoga Investment Corp.’s common stock, par value $0.001 per share (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-169135, filed on September 1, 2010).
     
4.2   Registration Rights Agreement dated July 30, 2010 between GSC Investment Corp., GSC CDO III L.L.C., and the investors party thereto (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
     
4.3   Dividend Reinvestment Plan (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on September 24, 2014).
     
4.4   Form of Indenture by and between the Company and U.S. Bank National Association, as trustee (incorporated by reference to Saratoga Investment Corp.’s Pre-Effective Amendment No. 2 to the Registration Statement on Form N-2, File No. 333-186323 filed on April 30, 2013).
     
4.5   Form of Articles Supplementary Establishing and Fixing the Rights and Preferences of Preferred Stock (incorporated by reference to Saratoga Investment Corp.’s Pre-Effective Amendment No. 1 to the Registration Statement on Form N-2, File No. 333-196526, filed on December 5, 2014).
     
4.6   Fifth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to 7.75% Notes due 2025 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q, filed on January 10, 2023).
     
4.7   Seventh Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to 6.25% Notes due 2027 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q, filed on January 10, 2023).
     
4.8   Eighth Supplemental Indenture between the Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to the 4.375% Note due 2026 (incorporated by reference to Exhibit 4.2 to Saratoga Investment Corp.’s Current Report on Form 8-K (File No. 814-00732) filed on March 10, 2021).
     
4.9   Ninth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to the 4.35% Note due 2027 (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K (File No. 814-00732) filed on January 19, 2022).
     
4.10   Tenth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to the 6.00% Note due 2027 (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K (File No. 814-00732) filed on April 27, 2022).
     
4.11   Eleventh Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association (as successor in interest to U.S. Bank National Association), as trustee, relating to the 7.00% Notes due 2025 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q, filed on January 10, 2023).
     
4.12   Twelfth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association, as trustee, relating to the 8.00% Notes due 2027 (incorporated by reference to the Saratoga Investment Corp.’s Current Report on Form 8-K (File No. 813-00732) filed on October 27, 2022).
     
4.13   Thirteenth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association (as successor in interest to U.S. Bank National Association), as trustee, relating to the 8.125% Notes due 2027 (incorporated by reference to the Registrant’s Current Report on Form 8-K, filed on December 13, 2022).

 

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4.15   Fifteenth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association (as successor in interest to U.S. Bank National Association), as trustee, relating to the 8.50% Notes due 2028 (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on April 14, 2023).
     
4.16   Form of 7.75% Notes due 2025 (incorporated by reference to Exhibit 4.6 hereto).
     
4.17   Form of 6.25% Notes due 2027 (incorporated by reference to Exhibit 4.7 hereto).
     
4.18   Form of 4.375% Notes due 2026 (incorporated by reference to Exhibit 4.8 hereto).
     
4.19   Form of 4.35% Notes due 2027 (incorporated by reference to Exhibit 4.9 hereto).
     
4.20   Form of 6.00% Notes due 2027 (incorporated by reference to Exhibit 4.10 hereto).
     
4.21   Form of 7.00% Notes due 2025 (incorporated by reference to Exhibit 4.11 hereto).
     
4.22   Form of 8.00% Notes due 2027 (incorporated by reference to Exhibit 4.12 hereto).
     
4.23   Form of 8.125% Notes due 2027 (incorporated by reference to Exhibit 4.13 hereto).
     
4.25   Form of 8.50% Notes due 2028 (incorporated by reference to Exhibit 4.15 hereto).
     
10.1   Investment Advisory and Management Agreement dated July 30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
     
10.2   Custodian Agreement dated March 21, 2007 between GSC Investment LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on July 13, 2007).
     
10.3   Administration Agreement dated July 30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
     
10.4   Trademark License Agreement dated July 30, 2010 between Saratoga Investment Advisors, LLC and GSC Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
     
10.5   Form of Indemnification Agreement between Saratoga Investment Corp. and each officer and director of Saratoga Investment Corp. (incorporated by reference to Amendment No. 2 to Saratoga Investment Corp.’s Registration Statement on Form N-2 filed on January 12, 2007).
     
10.6  

Amended and Restated Indenture, dated as of November 15, 2016, among Saratoga Investment Corp. CLO 2013-1, Ltd., Saratoga Investment Corp. CLO 2013-1, Inc. and U.S. Bank National Association. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-216344, filed on February 28, 2017).

     
10.7   Amended and Restated Collateral Management Agreement, dated February 26, 2021, by and between Saratoga Investment Corp. and Saratoga Investment Corp. CLO 2013-1, Ltd. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on March 4, 2021).
     
10.8   Amended and Restated Collateral Administration Agreement, dated February 26, 2021, by and between Saratoga Investment Corp., Saratoga Investment Corp. CLO 2013-1, Ltd. and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on March 4, 2021).

 

156

 

 

10.9   Equity Distribution Agreement, dated July 30, 2021, by and among Saratoga Investment Corp. and Saratoga Investment Advisors, LLC, on the one hand, and Ladenburg Thalmann & Co. Inc. and Compass Point Research & Trading, LLC, on the other hand (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 2, 2021).
     
10.10   Amendment No. 2 to the Equity Distribution Agreement, dated July 30, 2021, by and among Saratoga Investment Corp. and Saratoga Investment Advisors, LLC, on the one hand, and Ladenburg Thalmann & Co. Inc. and Compass Point Research & Trading, LLC, on the other hand (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on July 10, 2023).
     
10.11   Amendment No. 3 to the Equity Distribution Agreement, dated July 30, 2021, by and among Saratoga Investment Corp. and Saratoga Investment Advisors, LLC, on the one hand, and Ladenburg Thalmann & Co. Inc., Compass Point Research and Trading, LLC, and Raymond James & Associates, Inc. on the other hand (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on July 19, 2023).
     
10.12   Credit and Security Agreement, dated as of October 4, 2021, by and among Saratoga Investment Funding II, LLC, Saratoga Investment Corp., as collateral manager and equityholder, the lenders party thereto, Encina Lender Finance, LLC, as administrative agent for the secured parties and the collateral agent, and U.S. Bank National Association, as collateral custodian for the secured parties thereto and as collateral administrator (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 7, 2021).
     
10.13   First Amendment to the Credit and Security Agreement, dated as of January 27, 2023, by and among Saratoga Investment Fund II LLC, as borrower, Saratoga Investment Corp., as equityholder and as collateral manager, the lenders party thereto, Encina Lender Finance, LLC, as administrative agent and as collateral agent, U.S. Bank National Association, as custodian, and U.S. Bank Trust Company, National Association (successor in interest to U.S. Bank National Association), as collateral administrator (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K, filed on February 2, 2023).
     
10.14   Equity Pledge Agreement, dated as of October 4, 2021, by and between Saratoga Investment Corp. and Encina Lender Finance, LLC, as collateral agent for the secured parties thereto (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 7, 2021).
     
10.15   Loan Sale and Contribution Agreement, dated as of October 4, 2021, by and between Saratoga Investment Corp., as seller, and Saratoga Investment Funding II LLC, as purchaser (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 7, 2021).
     
10.16   Saratoga Senior Loan Fund I JV LLC Limited Liability Company Agreement, dated October 26, 2021, by and between Saratoga Investment Corp. and TJHA JV I LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 27, 2021).
     
10.17   Note Purchase Agreement by and between Saratoga Investment Corp. and the purchaser party thereto, dated July 9, 2020 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on October 4, 2022).
     
10.18   First Supplemental Note Purchase Agreement by and between Saratoga Investment Corp. and the purchaser party thereto, dated January 28, 2021 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on October 4, 2022).

 

157

 

 

10.19   Second Supplemental Note Purchase Agreement by and between Saratoga Investment Corp. and the purchaser party thereto, dated September 8, 2022 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on October 4, 2022).
     
14   Code of Ethics of the Company adopted under Rule 17j-1 (incorporated by reference to Amendment No.7 to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-138051, filed on March 22, 2007).
     
31.1*   Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934
     
31.2*   Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934
     
32.1*   Certification of Chief Executive Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C.1350)
     
32.2*   Certification of Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)
     
101.INS   Inline XBRL Instance Document.
     
101.SCH   Inline XBRL Taxonomy Extension Schema Document.
     
101.CAL   Inline XBRL Taxonomy Extension Calculation Linkbase Document.
     
101.DEF   Inline XBRL Taxonomy Extension Definition Linkbase Document.
     
101.LAB   Inline XBRL Taxonomy Extension Label Linkbase Document.
     
101.PRE   Inline XBRL Taxonomy Extension Presentation Linkbase Document.
     
104   Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

 

* Filed herewith

 

158

 

 

SIGNATURES

 

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  SARATOGA INVESTMENT CORP.
     
Date: January 9, 2024 By: /s/ CHRISTIAN L. OBERBECK
    Christian L. Oberbeck
    Chief Executive Officer
     
  By: /s/ HENRI J. STEENKAMP
    Henri J. Steenkamp
    Chief Financial Officer and
Chief Compliance Officer

 

 

159

 

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Exhibit 31.1

 

CERTIFICATION OF CHIEF EXECUTIVE OFFICER PURSUANT TO

RULE 13a-14(a) and 15d-14(a) UNDER THE SECURITIES EXCHANGE ACT OF 1934, AS AMENDED

 

I, Christian L. Oberbeck, certify that:

 

1. I have reviewed this Quarterly Report on Form 10-Q of Saratoga Investment Corp. (the “registrant”);

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the company as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the company’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

 

(d) Disclosed in this report any change in the company’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: January 9, 2024  
   
  /s/ CHRISTIAN L. OBERBECK
  Christian L. Oberbeck
  Chief Executive Officer

 

 

Exhibit 31.2

 

CERTIFICATION OF CHIEF FINANCIAL OFFICER PURSUANT TO

RULE 13a-14(a) and 15d-14(a) UNDER THE SECURITIES EXCHANGE ACT OF 1934, AS AMENDED

 

I, Henri J. Steenkamp, certify that:

 

1. I have reviewed this Quarterly Report on Form 10-Q of Saratoga Investment Corp. (the “registrant”);

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the company as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:

 

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c) Evaluated the effectiveness of the company’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

 

(d) Disclosed in this report any change in the company’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant ’s board of directors (or persons performing the equivalent functions):

 

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

 

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date: January 9, 2024  
   
  /s/ HENRI J. STEENKAMP
  Name: Henri J. Steenkamp
  Chief Financial Officer and Chief Compliance Officer

 

Exhibit 32.1

 

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

 

The certification set forth below is being submitted in connection with the accompanying Quarterly Report of Saratoga Investment Corp. on Form 10-Q (the “Report”) for the purpose of complying with Rule 13a-14(b) or Rule 15d-14(b) of the Securities Exchange Act of 1934 (the “Exchange Act”) and Section 1350 of Chapter 63 of Title 18 of the United States Code.

 

Christian L. Oberbeck, the Chief Executive Officer, certifies that, to the best of his knowledge:

 

  1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

 

  2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.

 

Date: January 9, 2024  
   
  /s/ CHRISTIAN L. OBERBECK
  Christian L. Oberbeck
  Chief Executive Officer

 

 

Exhibit 32.2

 

CERTIFICATION PURSUANT TO

SECTION 1350, CHAPTER 63 OF TITLE 18, UNITED STATES CODE,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

 

The certification set forth below is being submitted in connection with the accompanying Quarterly Report of Saratoga Investment Corp. on Form 10-Q (the “Report”) for the purpose of complying with Rule 13a-14(b) or Rule 15d-14(b) of the Securities Exchange Act of 1934 (the “Exchange Act”) and Section 1350 of Chapter 63 of Title 18 of the United States Code.

 

Henri J. Steenkamp, the Chief Financial Officer, Chief Compliance Officer and Secretary of Saratoga Investment Corp. certifies that, to the best of his knowledge:

 

  1. The Report fully complies with the requirements of Section 13(a) or 15(d) of the Exchange Act; and

 

  2.

The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Saratoga Investment Corp.

 

Date: January 9, 2024  
   
  /s/ HENRI J. STEENKAMP
  Name: Henri J. Steenkamp
  Chief Financial Officer and Chief Compliance Officer