Saratoga Investment Corp.
SARATOGA INVESTMENT CORP. (Form: 10-Q, Received: 01/13/2016 16:02:03)
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

For the Quarterly Period Ended November 30, 2015

 

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

Commission File Number: 001-33376

 

 

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 No.)

 

535 Madison Avenue
New York, New York
  10022
(Address of principal executive office)   (Zip Code)

(212) 906-7800

(Registrant’s telephone number, including area code)

Not applicable

(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)

 

 

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   x     No   ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes   ¨     No   ¨

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

 

Large Accelerated Filer   ¨    Accelerated Filer   ¨
Non-Accelerated Filer   x    Smaller Reporting Company   ¨

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

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of January 13, 2016 was 5,695,144.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

 

 

         Page  

PART I

  FINANCIAL INFORMATION      3   

Item 1.

  Financial Statements      3   
  Consolidated Statements of Assets and Liabilities as of November 30, 2015 (unaudited) and February 28, 2015      3   
  Consolidated Statements of Operations for the three and nine months ended November 30, 2015 and November 30, 2014 (unaudited)      4   
  Consolidated Schedules of Investments as of November 30, 2015 (unaudited) and February 28, 2015      5   
  Consolidated Statements of Changes in Net Assets for the nine months ended November 30, 2015 and November 30, 2014 (unaudited)      11   
  Consolidated Statements of Cash Flows for the nine months ended November 30, 2015 and November 30, 2014 (unaudited)      12   
  Notes to Consolidated Financial Statements as of November 30, 2015 (unaudited)      13   

Item 2.

  Management’s Discussion and Analysis of Financial Condition and Results of Operations      36   

Item 3.

  Quantitative and Qualitative Disclosures About Market Risk      58   

Item 4.

  Controls and Procedures      58   

PART II

  OTHER INFORMATION      59   

Item 1.

  Legal Proceedings      59   

Item 1A.

  Risk Factors      59   

Item 2.

  Unregistered Sales of Equity Securities and Use of Proceeds      59   

Item 3.

  Defaults upon Senior Securities      59   

Item 4.

  Mine Safety Disclosures      59   

Item 5.

  Other Information      59   

Item 6.

  Exhibits      60   

Signatures

       61   

 

2


Table of Contents

PART I FINANCIAL INFORMATION

Item 1. Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

     As of  
     November 30, 2015     February 28, 2015  
     (unaudited)        

ASSETS

    

Investments at fair value

    

Non-control/non-affiliate investments (amortized cost of $225,051,428 and $222,505,383, respectively)

   $ 225,261,956      $ 223,506,589   

Control investments (cost of $13,667,666 and $15,953,001, respectively)

     15,775,843        17,031,146   
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $238,719,094 and $238,458,384, respectively)

     241,037,799        240,537,735   

Cash and cash equivalents

     6,019,448        1,888,158   

Cash and cash equivalents, reserve accounts

     21,145,241        18,175,214   

Interest receivable, (net of reserve of $537,847 and $309,498, respectively)

     2,973,737        2,469,398   

Management fee receivable

     170,256        171,913   

Other assets

     396,659        317,637   
  

 

 

   

 

 

 

Total assets

   $ 271,743,140      $ 263,560,055   
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facility

   $ —        $ 9,600,000   

Deferred debt financing costs, revolving credit facility

     (535,533     (594,845

SBA debentures payable

     79,000,000        79,000,000   

Deferred debt financing costs, SBA debentures payable

     (2,014,360     (2,340,894

Notes payable

     61,374,525        48,300,000   

Deferred debt financing costs, notes payable

     (1,760,041     (1,847,564

Dividend payable

     886,817        402,200   

Base management and incentive fees payable

     5,657,867        5,835,941   

Accounts payable and accrued expenses

     648,275        835,189   

Interest and debt fees payable

     850,362        1,405,466   

Due to manager

     361,862        365,820   
  

 

 

   

 

 

 

Total liabilities

   $ 144,469,774      $ 140,961,313   
  

 

 

   

 

 

 

Commitments and contingencies (See Note 7)

    

NET ASSETS

    

Common stock, par value $.001, 100,000,000 common shares authorized, 5,634,115 and 5,401,899 common shares issued and outstanding, respectively

   $ 5,634      $ 5,402   

Capital in excess of par value

     188,270,413        184,877,680   

Distribution in excess of net investment income

     (27,094,304     (23,905,603

Accumulated net realized loss from investments and derivatives

     (36,227,082     (40,458,088

Accumulated net unrealized appreciation on investments and derivatives

     2,318,705        2,079,351   
  

 

 

   

 

 

 

Total net assets

     127,273,366        122,598,742   
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 271,743,140      $ 263,560,055   
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 22.59      $ 22.70   
  

 

 

   

 

 

 

See accompanying notes to consolidated financial statements.

 

3


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

     For the three months ended
November 30
    For the nine months ended
November 30
 
     2015      2014     2015     2014  

INVESTMENT INCOME

         

Interest from investments

         

Non-control/Non-affiliate investments

   $ 5,435,083       $ 5,038,877      $ 16,961,744      $ 14,794,342   

Payment-in-kind interest income from Non-control/Non-affiliate investments

     41,322         319,994        995,465        902,536   

Control investments

     750,605         694,641        2,020,301        1,996,010   
  

 

 

    

 

 

   

 

 

   

 

 

 

Total interest income

     6,227,010         6,053,512        19,977,510        17,692,888   

Interest from cash and cash equivalents

     1,307         1,024        2,774        2,738   

Management fee income

     369,388         383,012        1,121,286        1,150,505   

Other income

     338,219         867,409        1,153,838        1,078,239   
  

 

 

    

 

 

   

 

 

   

 

 

 

Total investment income

     6,935,924         7,304,957        22,255,408        19,924,370   
  

 

 

    

 

 

   

 

 

   

 

 

 

EXPENSES

         

Interest and debt financing expenses

     2,129,105         1,869,176        6,240,946        5,466,279   

Base management fees

     1,091,405         1,087,734        3,366,739        3,093,399   

Professional fees

     347,639         225,776        1,030,616        937,083   

Administrator expenses

     325,000         250,000        850,000        750,000   

Incentive management fees

     404,218         932,609        2,160,772        2,079,976   

Insurance

     85,262         83,388        259,895        252,002   

Directors fees and expenses

     51,000         51,000        153,000        159,761   

General & administrative

     351,875         176,293        738,244        400,487   

Excise tax expense (credit)

     —           —          (123,338     —     
  

 

 

    

 

 

   

 

 

   

 

 

 

Total expenses

     4,785,504         4,675,976        14,676,874        13,138,987   
  

 

 

    

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME

     2,150,420         2,628,981        7,578,534        6,785,383   
  

 

 

    

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

         

Net realized gain from investments

     447,813         2,761,558        4,231,006        3,203,399   

Net unrealized appreciation/(depreciation) on investments

     823,093         (2,005,072     239,354        (1,686,263
  

 

 

    

 

 

   

 

 

   

 

 

 

Net gain on investments

     1,270,906         756,486        4,470,360        1,517,136   
  

 

 

    

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 3,421,326       $ 3,385,467      $ 12,048,894      $ 8,302,519   
  

 

 

    

 

 

   

 

 

   

 

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

   $ 0.61       $ 0.63      $ 2.18      $ 1.54   

WEIGHTED AVERAGE COMMON STOCK OUTSTANDING - BASIC AND DILUTED

     5,632,011         5,379,616        5,533,094        5,379,616   

See accompanying notes to consolidated financial statements.

 

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Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2015

(unaudited)

 

Company

 

Industry

 

Investment Interest Rate /

Maturity

  Principal/
Number of
Shares
    Cost     Fair Value (c)     % of
Net Assets
 

Non-control/Non-affiliated investments - 177.0% (b)

       

National Truck Protection Co., Inc. (d), (g)

  Automotive Aftermarket     Common Stock     1,116      $ 1,000,000      $ 1,314,811        1.0

National Truck Protection Co., Inc. (d)

  Automotive Aftermarket   First Lien Term Loan 15.50% Cash, 9/13/2018   $ 7,326,770        7,326,770        7,326,770        5.8

Take 5 Oil Change, L.L.C. (d), (g)

  Automotive Aftermarket   Common Stock     7,128        480,535        2,149,805        1.7
       

 

 

   

 

 

   

 

 

 
    Total Automotive Aftermarket       8,807,305        10,791,386        8.5
       

 

 

   

 

 

   

 

 

 

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting A-1     2,535        220,900        2,470,814        1.9

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting B-1     1,600        139,424        1,559,488        1.2

Polar Holding Company, Ltd. (a), (i)

  Building Products   First Lien Term Loan 10.00% Cash, 8/13/2016   $ 1,000,000        1,000,000        1,000,000        0.8
       

 

 

   

 

 

   

 

 

 
    Total Building Products       1,360,324        5,030,302        3.9
       

 

 

   

 

 

   

 

 

 

BMC Software, Inc. (d)

  Business Services   First Lien Term Loan 5.00% Cash, 9/10/2020   $ 5,686,667        5,647,170        4,916,692        3.9

Dispensing Dynamics International (d)

  Business Services   Senior Secured Note 12.50% Cash, 1/1/2018   $ 12,000,000        12,028,177        11,820,000        9.3

Easy Ice, LLC (d)

  Business Services   First Lien Term Loan 9.50% Cash, 1/15/2020   $ 12,000,000        11,887,478        12,000,000        9.4

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note 10.00% Cash, 1/23/2020   $ 8,400,000        8,293,649        8,566,320        6.7

Emily Street Enterprises, L.L.C. (g)

  Business Services   Warrant Membership Interests     49,318        400,000        598,720        0.5

Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)

  Business Services   First Lien Term Loan 6.25% Cash, 6/28/2019   $ 5,000,000        4,901,162        4,894,000        3.8

Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)

  Business Services   Second Lien Term Loan 10.50% Cash, 6/28/2020   $ 3,000,000        2,910,645        2,910,000        2.3

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan 11.00% Cash, 11/29/2017   $ 5,259,171        5,218,435        5,259,171        4.1

Knowland Technology Holdings, L.L.C. (j), (k), (l)

  Business Services   Delayed Draw Term Loan 11.00% Cash, 11/29/2017   $ —          —          —          0.0

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 9,380,656        9,285,179        9,380,656        7.4

Vector Controls Holding Co., LLC (d), (g)

  Business Services   Warrants to Purchase Limited Liability Company Interests     101        —          280,000        0.2
       

 

 

   

 

 

   

 

 

 
    Total Business Services       60,571,895        60,625,559        47.6
       

 

 

   

 

 

   

 

 

 

Advanced Air & Heat of Florida, LLC

  Consumer Products   First Lien Term Loan 9.75% Cash, 7/17/2020   $ 7,550,000        7,474,199        7,550,000        5.9

Advanced Air & Heat of Florida, LLC (j) (i)

  Consumer Products   Delayed Draw Term Loan 9.75% Cash, 7/17/2020     —          —          —          0.0

Targus Group International, Inc. (d), (m)

  Consumer Products   First Lien Term Loan, 14.75% (13.75% Cash/1.00 PIK), 5/24/2016   $ 3,590,252        3,586,064        2,229,906        1.8

Targus Holdings, Inc. (d), (g)

  Consumer Products   Common Stock     62,413        566,765        —          0.0

Targus Holdings, Inc. (d), (m)

  Consumer Products   Unsecured Note 10.00% PIK, 6/14/2019   $ 2,054,158        2,054,158        —          0.0

Targus Holdings, Inc. (d), (m)

  Consumer Products   Unsecured Note 16.00% PIK, 10/26/2018   $ 429,797        425,942        —          0.0
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       14,107,128        9,779,906        7.7
       

 

 

   

 

 

   

 

 

 

Expedited Travel L.L.C. (g)

  Consumer Services   Common Stock     1,000,000        1,000,000        1,328,054        1.0

Expedited Travel L.L.C.

  Consumer Services   First Lien Term Loan 10.00% Cash, 10/10/2019   $ 11,902,135        11,814,773        12,096,140        9.5

My Alarm Center, LLC

  Consumer Services   Second Lien Term Loan 12.00% Cash, 7/9/2019   $ 7,500,000        7,500,000        7,500,000        5.9

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan 6.50% Cash, 7/1/2019   $ 1,600,977        1,589,991        1,592,972        1.3

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan 10.25% Cash, 7/1/2020   $ 10,000,000        9,960,787        10,000,000        7.9

Prime Security Services, LLC

  Consumer Services   Second Lien Term Loan 9.75% Cash, 7/1/2022   $ 12,000,000        11,824,670        11,760,000        9.2
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       43,690,221        44,277,166        34.8
       

 

 

   

 

 

   

 

 

 

M/C Acquisition Corp., L.L.C. (d), (g)

  Education   Class A Common Stock     544,761        30,241        —          0.0

M/C Acquisition Corp., L.L.C. (d)

  Education   First Lien Term Loan 1.00% Cash, 3/31/2016   $ 2,321,073        1,193,790        8,087        0.0
       

 

 

   

 

 

   

 

 

 
    Total Education       1,224,031        8,087        0.0
       

 

 

   

 

 

   

 

 

 

 

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Table of Contents

TM Restaurant Group L.L.C.

  Food and Beverage   First Lien Term Loan 9.75% Cash, 7/16/2017   $ 9,688,225        9,577,628        9,676,600        7.6
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       9,577,628        9,676,600        7.6
       

 

 

   

 

 

   

 

 

 

Bristol Hospice, LLC

  Healthcare Services   Senior Secured Note 11.00% (10.00% Cash/1.00% PIK), 11/29/2018   $ 5,418,292        5,348,323        5,418,293        4.3

Roscoe Medical, Inc. (d), (g)

  Healthcare Services   Common Stock     5,000        500,000        304,300        0.2

Roscoe Medical, Inc.

  Healthcare Services   Second Lien Term Loan 11.25% Cash, 9/26/2019   $ 4,200,000        4,138,622        3,891,300        3.1

Smile Brands Group Inc. (d)

  Healthcare Services   First Lien Term Loan 9.00% (7.50% Cash/1.50% PIK), 8/16/2019   $ 4,413,859        4,351,729        3,269,345        2.5

Surgical Specialties Corporation (US), Inc. (d)

  Healthcare Services   First Lien Term Loan 7.25% Cash, 8/22/2018   $ 2,201,191        2,187,850        2,168,173        1.7

Zest Holdings, LLC (d)

  Healthcare Services   First Lien Term Loan 5.25% Cash, 8/16/2020   $ 4,218,987        4,149,940        4,183,969        3.3
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       20,676,464        19,235,380        15.1
       

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

  Media   First Lien Term Loan 10.00% Cash, 5/16/2019   $ 9,056,857        8,922,354        9,237,995        7.3

HMN Holdco, LLC

  Media   First Lien Term Loan 10.00% Cash, 5/16/2020   $ 1,600,000        1,571,690        1,632,000        1.3

HMN Holdco, LLC (j), (k)

  Media   Deferred Draw Term Loan 10.00% Cash, 5/16/2020   $ —          —          48,000        0.0

HMN Holdco, LLC

  Media   Class A Series     4,264        61,647        333,061        0.3

HMN Holdco, LLC

  Media   Class A Warrant     30,320        438,353        2,031,137        1.6

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Common)     57,872        —          3,579,383        2.8

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests     8,139        —          560,940        0.4
       

 

 

   

 

 

   

 

 

 
    Total Media       10,994,044        17,422,516        13.7
       

 

 

   

 

 

   

 

 

 

Elyria Foundry Company, L.L.C.

  Metals   Common Stock     35,000        9,217,564        3,265,500        2.6

Elyria Foundry Company, L.L.C.

  Metals   Revolver 10.00% Cash, 12/31/2020   $ 8,500,000        8,500,000        8,500,000        6.7
       

 

 

   

 

 

   

 

 

 
    Total Metals       17,717,564        11,765,500        9.3
       

 

 

   

 

 

   

 

 

 

Avionte Holdings, LLC (g)

  Software as a Service   Common Stock     100,000        100,000        162,179        0.1

Avionte Holdings, LLC

  Software as a Service   First Lien Term Loan 9.75% Cash, 1/8/2019   $ 2,406,342        2,373,838        2,406,342        1.9

Censis Technologies, Inc.

  Software as a Service   First Lien Term Loan B 11.00% Cash, 7/24/2019   $ 11,625,000        11,441,860        11,549,437        9.1

Censis Technologies, Inc. (g), (h)

  Software as a Service   Limited Partner Interests     999        999,000        933,306        0.7

Finalsite Holdings, Inc.

  Software as a Service   Second Lien Term Loan 10.25% Cash, 11/21/2019   $ 7,500,000        7,438,341        7,500,000        5.9

Identity Automation Systems (g)

  Software as a Service   Common Stock Class A Units     232,616        232,616        239,594        0.2

Identity Automation Systems

  Software as a Service   First Lien Term Loan 10.25% Cash, 8/25/2019   $ 4,400,000        4,364,787        4,400,000        3.5

Mercury Network, LLC

  Software as a Service   First Lien Term Loan 10.25% Cash, 4/20/2020   $ 9,045,653        8,961,339        9,045,653        7.1

Mercury Network, LLC (g)

  Software as a Service   Common Stock     413,043        413,043        413,043        0.3
       

 

 

   

 

 

   

 

 

 
    Total Software as a Service       36,324,824        36,649,554        28.8
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      225,051,428        225,261,956        177.0
       

 

 

   

 

 

   

 

 

 

Control investments - 12.4% (b)

           

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)

  Structured Finance Securities   Other/Structured Finance Securities 21.81%, 10/17/2023   $ 30,000,000        13,667,666        15,775,843        12.4
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          13,667,666        15,775,843        12.4
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 189.4% (b)

      $ 238,719,094      $ 241,037,799        189.4
       

 

 

   

 

 

   

 

 

 

 

    Principal/
Number of Shares
    Cost     Fair Value (c)     % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 21.3%

       

U.S. Bank Money Market (n)

  $ 27,164,689      $ 27,164,689      $ 27,164,689        21.3
 

 

 

   

 

 

   

 

 

   

 

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

  $ 27,164,689      $ 27,164,689      $ 27,164,689        21.3
 

 

 

   

 

 

   

 

 

   

 

 

 

 

6


Table of Contents
(a) Represents a non-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 7.0% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.
(b) Percentages are based on net assets of $127,273,366 as of November 30, 2015.
(c) Because there is no readily available market value for these investments, the fair value of these investments is approved in good faith by our board of directors. (see Note 3 to the consolidated financial statements).
(d) These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).
(e) This investment does not have a stated interest rate that is payable thereon. As a result, the 21.81% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f) As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the period in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

   Purchases      Redemptions      Sales
(Cost)
     Interest
Income
     Management
Fee Income
     Net Realized
Gains/(Losses)
     Net Unrealized
Appreciation
 

Saratoga Investment Corp. CLO
2013-1, Ltd.

   $ —         $ —         $ —         $ 2,020,301       $ 1,121,286       $ —         $ 2,108,177   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(g) Non-income producing at November 30, 2015.
(h) Includes securities issued by an affiliate of the company.
(i) Non-U.S. company. The principal place of business for Polar Holding Company, Ltd. is Canada.
(j) The investment has an unfunded commitment as of November 30, 2015 (See Note 7).
(k) Includes an analysis of the fair value of any unfunded loan commitments.
(l) The entire commitment was unfunded at November 30, 2015. As such, no interest is being earned on this investment.
(m) The investment was on non-accrual status as of November 30, 2015
(n) 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, 2015.

 

7


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2015

 

Company

 

Industry

 

Investment Interest Rate /

Maturity

  Principal/
Number

of Shares
    Cost     Fair Value (c)     % of
Net Assets
 

Non-control/Non-affiliated investments - 182.3% (b)

       

National Truck Protection Co., Inc. (d), (g)

  Automotive Aftermarket   Common Stock     1,116      $ 1,000,000      $ 1,769,432        1.4

National Truck Protection Co., Inc. (d)

  Automotive Aftermarket   First Lien Term Loan 15.50% Cash, 9/13/2018   $ 7,737,848        7,737,848        7,737,848        6.3

Take 5 Oil Change, L.L.C. (d), (g)

  Automotive Aftermarket   Common Stock     7,128        480,535        1,472,502        1.2
       

 

 

   

 

 

   

 

 

 
    Total Automotive Aftermarket       9,218,383        10,979,782        8.9
       

 

 

   

 

 

   

 

 

 

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting A-1     2,535        220,900        1,493,470        1.2

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting B-1     1,600        139,424        942,624        0.8

Polar Holding Company, Ltd. (a), (i)

  Building Products   First Lien Term Loan 10.00% Cash, 8/13/2016   $ 1,000,000        1,000,000        1,000,000        0.8
       

 

 

   

 

 

   

 

 

 
    Total Building Products       1,360,324        3,436,094        2.8
       

 

 

   

 

 

   

 

 

 

BMC Software, Inc. (d)

  Business Services   First Lien Term Loan 5.00% Cash, 9/10/2020   $ 5,731,667        5,686,622        5,478,327        4.5

Dispensing Dynamics International (d)

  Business Services   Senior Secured Note 12.50% Cash, 1/1/2018   $ 7,000,000        6,910,112        7,350,000        6.0

Easy Ice, LLC (d)

  Business Services   First Lien Term Loan 9.50% Cash, 1/15/2020   $ 12,000,000        11,872,639        12,000,000        9.6

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note 10.00% Cash, 1/23/2020   $ 8,400,000        8,260,787        8,400,000        6.9

Emily Street Enterprises, L.L.C. (g)

  Business Services   Warrant Membership Interests     49,318        400,000        391,584        0.3

Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)

  Business Services   First Lien Term Loan 5.50% Cash, 6/28/2019   $ 1,955,051        1,941,417        1,925,725        1.6

Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)

  Business Services   Second Lien Term Loan 9.50% Cash, 6/28/2020   $ 2,000,000        1,975,767        1,965,000        1.6

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan 11.00% Cash, 11/29/2017   $ 5,259,171        5,205,142        5,259,171        4.3

Knowland Technology Holdings, L.L.C. (j), (k), (l)

  Business Services   Delayed Draw Term Loan 11.00% Cash, 11/29/2017   $ —          —          —          0.0

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 9,436,991        9,312,095        9,295,437        7.6

Vector Controls Holding Co., LLC (d), (g)

  Business Services   Warrants to Purchase Limited Liability Company Interests     101        —          62,341        0.1
       

 

 

   

 

 

   

 

 

 
    Total Business Services       51,564,581        52,127,585        42.5
       

 

 

   

 

 

   

 

 

 

Advanced Air & Heat of Florida, LLC

  Consumer Products   First Lien Term Loan 10.00% Cash, 1/31/2019   $ 5,955,441        5,881,694        5,955,441        5.0

Targus Group International, Inc. (d)

  Consumer Products   First Lien Term Loan, 12.00% (11.00% Cash/1.00 PIK), 5/24/2016   $ 3,569,127        3,537,732        3,283,597        2.7

Targus Holdings, Inc. (d), (g)

  Consumer Products   Common Stock     62,413        566,765        —          0.0

Targus Holdings, Inc. (d), (g)

  Consumer Products   Unsecured Note 10.00% PIK, 6/14/2019   $ 2,054,158        2,054,158        —          0.0

Targus Holdings, Inc. (d), (g)

  Consumer Products   Unsecured Note 16.00% PIK, 10/26/2018   $ 429,797        425,227        —          0.0
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       12,465,576        9,239,038        7.7
       

 

 

   

 

 

   

 

 

 

CFF Acquisition L.L.C. (d)

  Consumer Services   First Lien Term Loan 7.50% Cash, 7/31/2015   $ 716,179        714,270        716,179        0.6

Expedited Travel L.L.C. (g)

  Consumer Services   Common Stock     1,000,000        1,000,000        1,069,157        0.9

Expedited Travel L.L.C.

  Consumer Services   First Lien Term Loan 10.00% Cash, 10/10/2019   $ 13,750,000        13,609,579        13,750,000        11.2

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan 6.25% Cash, 7/1/2019   $ 3,709,677        3,680,863        3,652,919        3.0

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan 9.75% Cash, 7/1/2020   $ 5,000,000        4,937,212        4,981,000        4.1
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       23,941,924        24,169,255        22.3
       

 

 

   

 

 

   

 

 

 

M/C Acquisition Corp., L.L.C. (d), (g)

  Education   Class A Common Stock     544,761        30,241        —          0.0

M/C Acquisition Corp., L.L.C. (d)

  Education   First Lien Term Loan 1.00% Cash, 3/31/2015   $ 2,362,978        1,235,695        100,951        0.1
       

 

 

   

 

 

   

 

 

 
    Total Education       1,265,936        100,951        0.1
       

 

 

   

 

 

   

 

 

 

Group Dekko, Inc. (d)

  Electronics   Second Lien Term Loan 11.00% (10.00% Cash/1.00% PIK), 5/1/2016   $ 6,950,048        6,950,048        6,667,181        5.4
       

 

 

   

 

 

   

 

 

 
    Total Electronics       6,950,048        6,667,181        5.4
       

 

 

   

 

 

   

 

 

 

 

8


Table of Contents

TB Corp. (d)

  Food and Beverage   First Lien Term Loan 5.76% Cash, 6/19/2018   $ 5,050,436        5,038,131        5,037,810        4.0

TB Corp. (d)

  Food and Beverage   Unsecured Note 13.50% (12.00% Cash/1.50% PIK), 12/20/2018   $ 2,546,121        2,512,732        2,546,121        2.1

TM Restaurant Group L.L.C.

  Food and Beverage   First Lien Term Loan 7.75% Cash, 7/16/2017   $ 2,791,595        2,791,595        2,763,679        2.3
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       10,342,458        10,347,610        8.4
       

 

 

   

 

 

   

 

 

 

Bristol Hospice, LLC

  Healthcare Services   Senior Secured Note 11.00% (10.00% Cash/1.00% PIK), 11/29/2018   $ 5,459,134        5,374,249        5,459,134        4.4

Bristol Hospice, LLC (j), (l)

  Healthcare Services   Delayed Draw Term Loan 11.00% (10.00% Cash/1.00% PIK), 11/29/2018   $ —          —          —          0.0

Roscoe Medical, Inc. (d), (g)

  Healthcare Services   Common Stock     5,000        500,000        294,500        0.2

Roscoe Medical, Inc.

  Healthcare Services   Second Lien Term Loan 11.25% Cash, 9/26/2019   $ 4,200,000        4,129,704        3,990,000        3.3

Smile Brands Group Inc. (d)

  Healthcare Services   First Lien Term Loan 7.50% Cash, 8/16/2019   $ 4,443,750        4,373,369        4,159,350        3.4

Surgical Specialties Corporation (US), Inc. (d)

  Healthcare Services   First Lien Term Loan 7.25% Cash, 8/22/2018   $ 2,312,500        2,295,234        2,277,813        1.9

Zest Holdings, LLC (d)

  Healthcare Services   First Lien Term Loan 5.25% Cash, 8/16/2020   $ 4,443,919        4,361,438        4,460,806        3.6
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       21,033,994        20,641,603        16.8
       

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

  Media   First Lien Term Loan 14.00% (12.00% Cash/2.00% PIK), 5/16/2019   $ 9,368,327        9,206,438        9,579,115        7.9

HMN Holdco, LLC

  Media   First Lien Term Loan 12.00% Cash, 5/16/2020   $ 1,600,000        1,569,149        1,576,000        1.3

HMN Holdco, LLC (j), (k)

  Media   Deferred Draw Term Loan 12.00% Cash, 5/16/2020   $ —          —          (36,000     0.0

HMN Holdco, LLC (g)

  Media   Class A Series     4,264        61,647        223,604        0.2

HMN Holdco, LLC (g)

  Media   Class A Warrant     30,320        438,353        1,247,365        1.0

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Common)     57,872        —          2,085,128        1.7

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests     8,139        —          350,464        0.3
       

 

 

   

 

 

   

 

 

 
    Total Media       11,275,587        15,025,676        12.4
       

 

 

   

 

 

   

 

 

 

Elyria Foundry Company, L.L.C. (d), (g)

  Metals   Common Stock     35,000        9,217,563        6,762,000        5.5

Elyria Foundry Company, L.L.C. (d)

  Metals   Revolver 9.00% Cash, 12/31/2020   $ 8,500,000        8,500,000        8,500,000        6.8
       

 

 

   

 

 

   

 

 

 
    Total Metals       17,717,563        15,262,000        12.3
       

 

 

   

 

 

   

 

 

 

Network Communications, Inc. (d), (g)

  Publishing   Common Stock     380,572        —          300,652        0.2

Network Communications, Inc. (d)

  Publishing   Unsecured Notes 8.60% PIK, 1/14/2020   $ 2,732,976        2,374,260        1,684,118        1.4
       

 

 

   

 

 

   

 

 

 
    Total Publishing       2,374,260        1,984,770        1.6
       

 

 

   

 

 

   

 

 

 

Avionte Holdings, LLC (g)

  Software as a Service   Common Stock     100,000        100,000        163,000        0.1

Avionte Holdings, LLC

  Software as a Service   First Lien Term Loan 9.75% Cash, 1/8/2019   $ 3,000,000        2,951,759        3,000,000        2.4

Avionte Holdings, LLC (j), (l)

  Software as a Service   Delayed Draw Term Loan A 9.75% Cash, 1/8/2019   $ —          —          —          0.0

Censis Technologies, Inc.

  Software as a Service   First Lien Term Loan B 11.00% Cash, 7/24/2019   $ 11,850,000        11,634,939        11,850,000        9.7

Censis Technologies, Inc. (g), (h)

  Software as a Service   Limited Partner Interests     999        999,000        981,627        0.8

Community Investors, Inc. (g)

  Software as a Service   Common Stock     1,282        1,282        1,769        0.0

Community Investors, Inc.

  Software as a Service   First Lien, Last Out Term Loan 11.78% Cash, 9/30/2019   $ 12,000,000        12,000,000        12,000,000        9.7

Community Investors, Inc.

  Software as a Service   First Lien Term Loan B 12.25% Cash, 12/31/2020   $ 2,500,000        2,500,000        2,500,000        2.0

Community Investors, Inc. (g)

  Software as a Service   Preferred Stock 10%     63,463        149,138        87,579        0.1

Community Investors, Inc.

  Software as a Service   Preferred Stock - A2 10%     38,641        100,853        53,325        0.0

Community Investors, Inc. (g)

  Software as a Service   Preferred Stock - A Shares 10%     135,584        135,584        187,106        0.2

Finalsite Holdings, Inc.

  Software as a Service   Second Lien Term Loan 10.25% Cash, 11/21/2019   $ 7,500,000        7,429,305        7,500,000        6.1

Identity Automation Systems (g)

  Software as a Service   Common Stock Class A Units     232,616        232,616        225,638        0.2

Identity Automation Systems

  Software as a Service   First Lien Term Loan 10.25% Cash, 8/25/2019   $ 4,475,000        4,433,897        4,475,000        3.7

Pen-Link, Ltd. (d)

  Software as a Service   Second Lien Term Loan 12.50% Cash, 5/26/2019   $ 10,500,000        10,326,376        10,500,000        8.6
       

 

 

   

 

 

   

 

 

 
    Total Software as a Service       52,994,749        53,525,044        43.6
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      222,505,383        223,506,589        182.3
       

 

 

   

 

 

   

 

 

 

 

9


Table of Contents

Control investments - 13.9% (b)

           

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)

  Structured Finance Securities   Other/Structured Finance Securities 14.32%, 10/17/2023   $ 30,000,000        15,953,001        17,031,146        13.9
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          15,953,001        17,031,146        13.9
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 196.2% (b)

      $   238,458,384      $ 240,537,735        196.2
       

 

 

   

 

 

   

 

 

 

 

    Principal/
Number of Shares
    Cost     Fair Value (c)     % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 16.4%

       

U.S. Bank Money Market (m)

  $ 20,063,372      $ 20,063,372      $ 20,063,372        16.4
 

 

 

   

 

 

   

 

 

   

 

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

  $ 20,063,372      $ 20,063,372      $ 20,063,372        16.4
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Represents a non-qualifyng investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 7.5% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.
(b) Percentages are based on net assets of $122,598,742, as of February 28, 2015.
(c) Because there is no readily available market value for these investments, the fair value of these investments is approved in good faith by our board of directors. (see Note 3 to the consolidated financial statements).
(d) These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).
(e) This investment does not have a stated interest rate that is payable thereon. As a result, the 14.32% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f) As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the period in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

   Purchases      Redemptions      Sales
(Cost)
     Interest
Income
     Management
Fee Income
     Net Realized
Gains/(Losses)
     Net Unrealized
Appreciation
 

Saratoga Investment Corp. CLO 2013-1, Ltd.

   $ —         $ —         $ —         $ 2,707,230       $ 1,520,205       $ —         $ 1,078,145   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(g) Non-income producing at February 28, 2015.
(h) Includes securities issued by an affiliate of the company.
(i) Non-U.S. company. The principal place of business for Polar Holding Company, Ltd. is Canada.
(j) The investment has an unfunded commitment as of February 28, 2015 (See Note 7).
(k) Includes an analysis of the value of any unfunded loan commitments.
(l) The entire commitment was unfunded at February 28, 2015. As such, no interest is being earned on this investment.
(m) 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, 2015.

 

10


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

     For the nine months ended
November 30, 2015
    For the nine months ended
November 30, 2014
 

INCREASE FROM OPERATIONS:

    

Net investment income

   $ 7,578,534      $ 6,785,383   

Net realized gain from investments

     4,231,006        3,203,399   

Net unrealized appreciation/(depreciation) on investments

     239,354        (1,686,263
  

 

 

   

 

 

 

Net increase in net assets from operations

     12,048,894        8,302,519   
  

 

 

   

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

    

Distributions

     (10,767,093     (968,333
  

 

 

   

 

 

 

Net decrease in net assets from shareholder distributions

     (10,767,093     (968,333
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

    

Stock dividend distribution

     3,778,630        —     

Repurchases of common stock

     (38,981     —     

Offering costs

     (346,826     —     
  

 

 

   

 

 

 

Net increase in net assets from capital share transactions

     3,392,823        —     
  

 

 

   

 

 

 

Total increase in net assets

     4,674,624        7,334,186   

Net assets at beginning of period

     122,598,742        113,427,929   
  

 

 

   

 

 

 

Net assets at end of period

   $ 127,273,366      $ 120,762,115   
  

 

 

   

 

 

 

Net asset value per common share

   $ 22.59      $ 22.45   

Common shares outstanding at end of period

     5,634,115        5,379,616   

Distribution in excess of net investment income

   $ (27,094,304   $ (25,306,616

See accompanying notes to consolidated financial statements.

 

11


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

     For the nine months ended
November 30, 2015
    For the nine months ended
November 30, 2014
 

Operating activities

    

NET INCREASE IN NET ASSETS FROM OPERATIONS

   $ 12,048,894      $ 8,302,519   

ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:

    

Paid-in-kind interest income

     (900,398     (566,776

Net accretion of discount on investments

     (377,279     (435,222

Amortization of deferred debt financing costs

     669,831        726,579   

Net realized gain from investments

     (4,231,006     (3,203,399

Net unrealized (appreciation) depreciation on investments

     (239,354     1,686,263   

Proceeds from sale and redemption of investments

     62,676,779        51,175,739   

Purchase of investments

     (57,428,806     (83,985,346

(Increase) decrease in operating assets:

    

Cash and cash equivalents, reserve accounts

     (2,970,027     (7,444,962

Interest receivable

     (504,339     (599,123

Management fee receivable

     1,657        (28,128

Other assets

     (163,557     5,878   

Increase (decrease) in operating liabilities:

    

Management and incentive fees payable

     (178,074     751,827   

Accounts payable and accrued expenses

     (186,914     (274,003

Interest and debt fees payable

     (555,104     (147,834

Due to manager

     (3,958     (60,721
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

     7,658,345        (34,096,709
  

 

 

   

 

 

 

Financing activities

    

Borrowings on debt

     10,600,000        47,600,000   

Paydowns on debt

     (20,200,000     (13,700,000

Issuance of notes

     13,074,525        —     

Debt financing cost

     (458,753     (1,639,800

Repurchases of common stock

     (38,981     —     

Payments of cash dividends

     (6,503,846     (648,144
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

     (3,527,055     31,612,056   
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS

     4,131,290        (2,484,653

CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD

     1,888,158        3,293,898   
  

 

 

   

 

 

 

CASH AND CASH EQUIVALENTS, END OF PERIOD

   $ 6,019,448      $ 809,245   
  

 

 

   

 

 

 

Supplemental information:

    

Interest paid during the period

   $ 6,126,220      $ 4,887,477   

Supplemental non-cash information:

    

Paid-in-kind interest income

   $ 900,398      $ 566,776   

Net accretion of discount on investments

   $ 377,279      $ 435,222   

Amortization of deferred debt financing costs

   $ 669,831      $ 726,579   

Stock dividend distribution

   $ 3,778,630      $ —     

See accompanying notes to consolidated financial statements.

 

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SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2015

(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 (the “1940 Act”). We commenced operations on March 23, 2007 as GSC Investment Corp. and completed our initial public offering (“IPO”) on March 28, 2007. We have elected to be treated as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code (the “Code”). We expect to continue to qualify and to elect to be treated for tax purposes as a RIC. Our investment objective is to generate current income and, to a lesser extent, capital appreciation from our investments.

GSC Investment, LLC (the “LLC”) was organized in May 2006 as a Maryland limited liability company. As of February 28, 2007, the LLC had not yet commenced its operations and investment activities.

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

On July 30, 2010, the Company changed its name from “GSC Investment Corp.” to “Saratoga Investment Corp.”.

We are externally managed and advised by our investment adviser, Saratoga Investment Advisors, LLC (the “Manager”), pursuant to the Management Agreement. Prior to July 30, 2010, we were managed and advised by GSCP (NJ), L.P.

On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received a Small Business Investment Company (“SBIC”) license from the Small Business Administration (“SBA”).

On April 2, 2015, the SBA issued a “green light” or “go forth” letter inviting us to continue our application process to obtain a license to form and operate its second SBIC subsidiary. If approved, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue $75 million of additional SBA-guaranteed debentures in addition to the $150 million already approved under the first license. Receipt of a green light letter from the SBA does not assure an applicant that the SBA will ultimately issue an SBIC license and we have received no assurance or indication from the SBA that it will receive an SBIC license, or of the timeframe in which it would receive a license, should one be granted.

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”) and include the accounts of the Company and its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC). 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 subsidiary, except as stated otherwise.

The Company and SBIC LP are both considered to be investment companies for financial reporting purposes and have applied the guidance in Topic 946, “Financial Services — Investment Companies”. There have been no changes to the Company or SBIC LP’s status as investment companies during the nine months ended November 30, 2015.

 

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Use of Estimates in the Preparation of Financial Statements

The preparation of the accompanying consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements, and income, gains (losses) and expenses during the period reported. Actual results could differ materially from those estimates.

Cash and Cash Equivalents

Cash and cash equivalents include short-term, liquid investments in a money market fund. Cash and cash equivalents are carried at cost which approximates fair value. Per section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another registered investment company such as a money market fund, if such investment would cause the Company to exceed any of the following limitations:

 

    we were to own more than 3.0% of the total outstanding voting stock of the money market fund;

 

    we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets; or

 

    we were to hold securities in money market funds and other registered investment companies and BDCs having an aggregate value in excess of 10.0% of the value of our total assets.

As of November 30, 2015, the Company did not exceed any of these limitations.

Cash and Cash Equivalents, Reserve Accounts

Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds representing payments received on secured investments or other reserved amounts associated with our $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility.

Investment Classification

The Company classifies its investments in accordance with the requirements of the 1940 Act. Under the 1940 Act, “Control Investments” are defined as investments in companies in which we own more than 25.0% of the voting securities or maintain greater than 50.0% of the board representation. Under the 1940 Act, “Affiliated Investments” are defined as those non-control investments in companies in which we own between 5.0% and 25.0% of the voting securities. Under the 1940 Act, “Non-affiliated Investments” are defined as investments that are neither Control Investments nor Affiliated Investments.

Investment Valuation

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

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third party independent valuation firm. Determinations of fair value may involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.

 

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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 our Manager and preliminary valuation conclusions are documented and discussed with the senior management of our Manager; and

 

    An independent valuation firm engaged by our board of directors reviews approximately one quarter 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 annually.

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

 

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

 

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

Our investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

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

Derivative Financial Instruments

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

Investment Transactions and Income Recognition

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

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon 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.

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325-40,  Investments-Other, Beneficial Interests in Securitized Financial Assets , (“ASC 325-40”), based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/or re-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

 

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Other Income

Other income includes dividends received, origination fees, structuring fees and advisory fees, and is recorded in income when earned.

Paid-in-Kind Interest

The Company holds debt investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due.

Deferred Debt Financing Costs

Financing costs incurred in connection with our credit facility are deferred and amortized using the straight line method over the life of their respective facilities. Financing costs incurred in connection with our SBA debentures are deferred and amortized using the effective yield method over the life of the debentures.

In April 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented on the consolidated statements of assets and liabilities as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015, and early adoption is allowed, and is to be applied on a retrospective basis. The Company has adopted the provisions of ASU 2015-03 as of February 28, 2015, by reclassifying deferred debt financing costs from within total assets to within total liabilities as a contra-liability. The adoption of the provisions of ASU 2015-03 did not materially impact the Company’s consolidated financial position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.

Contingencies

In the ordinary course of its business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management feels that the likelihood of such an event is remote.

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 filed an election to be treated for tax purposes as a RIC under Subchapter M of the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes.

In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least 90.0% of its investment company taxable income, as defined by the Code, for each fiscal tax year. The Company will be subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does not distribute at least 98.0% of its ordinary income in any calendar year and 98.2% of its capital gain net income for each one-year period ending on October 31.

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

 

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In accordance with certain applicable Treasury regulations and private letter rulings issued by the Internal Revenue Service, a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution. If too many stockholders elect to receive cash, each stockholder electing to receive cash will receive a pro rata amount of cash (with the balance of the distribution paid in stock). In no event will any stockholder, electing to receive cash, receive less than 20.0% of his or her entire distribution in cash. If these and certain other requirements are met, for U.S federal income tax purposes, the amount of the dividend paid in stock will be equal to the amount of cash that could have been received instead of stock.

ASC 740,  Income Taxes , (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the 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 in the consolidated statements of operations. During the fiscal year ended February 28, 2015, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2012, 2013 and 2014 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 2015 and February 28, 2015, there were no uncertain tax positions.

Dividends

Dividends to common stockholders are recorded on the ex-dividend date. The amount to be paid out as a dividend is determined by the board of directors. Net realized capital gains, if any, are generally distributed at least annually, although we may decide to retain such capital gains for reinvestment.

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

Capital Gains Incentive Fee

The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the consolidated statements of assets and liabilities, by the Company to its investment adviser when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the investment adviser if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Company’s investment adviser related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains net of realized and unrealized losses for the period.

New Accounting Pronouncements

In August 2015, the FASB issued ASU 2015-15, Interest—Imputation of Interest (Subtopic 835-30): Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements (“ASU 2015-15”). ASU 2015-15 updates the accounting guidance included in ASU 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs . The updated accounting guidance provided by ASU 2015-15 was the result of the Emerging Issues Task Force meeting, held on June 18, 2015, at which the SEC staff stated that the SEC would not object to an entity deferring and presenting costs related to revolving debt arrangements as an asset. As the Company previously adopted the provisions of ASU 2015-03 and reclassified all deferred debt financing costs from within total assets to within total liabilities as a contra-liability effective as of February 28, 2015, it has chosen not to avail itself of the updated accounting treatment provided by ASU 2015-15 and continues to include all deferred financing costs as a contra-liability within total liabilities.

In February 2015, the FASB issued ASU 2015-02, Consolidation (ASC Topic 810): Amendments to the Consolidation Analysis (“ASU 2015-02”). ASU 2015-02 significantly changes the consolidation analysis required under GAAP and ends the deferral granted to investment companies from applying the variable interest entity guidance. ASU 2015-02 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015 and early adoption is permitted. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

 

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In August 2014, the FASB issued new accounting guidance that requires management to assess an entity’s ability to continue as a going concern by incorporating and expanding upon certain principles that are currently in U.S. auditing standards. The amendments provide a definition of the term “substantial doubt” and include principles for considering the mitigating effect of management’s plans. The amendments also require an evaluation every reporting period, including interim periods for a period of one year after the date that the financial statements are issued (or available to be issued), and certain disclosures when substantial doubt is alleviated or not alleviated. The amendments in this update are effective for reporting periods ending after December 15, 2016. Management is currently evaluating the impact of adopting this new accounting guidance update on the Company’s consolidated financial statements.

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606) , which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. This guidance is effective for annual and interim reporting periods beginning after December 15, 2016, and early application is not permitted. The Company is currently evaluating the impact this ASU will have on its consolidated financial statements.

Risk Management

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

Credit risk is the risk of default or non-performance by portfolio companies, equivalent to the investment’s carrying amount.

The Company is also exposed to credit risk related to maintaining all of its cash and cash equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.

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

Note 3. Investments

As noted above, the Company values all investments in accordance with ASC 820. ASC 820 requires enhanced disclosures about assets and liabilities that are measured and reported at fair value. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

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

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

 

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

 

    Level 2—Valuations based on inputs other than quoted prices in active markets, which are either directly or indirectly observable.

 

    Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The inputs used in the determination of fair value may require significant management judgment or estimation. Such information may be the result of consensus pricing information or broker quotes which include a disclaimer that the broker would not be held to such a price in an actual transaction. The non-binding nature of consensus pricing and/or quotes accompanied by disclaimer would result in classification as Level 3 asset, assuming no additional corroborating evidence.

 

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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 Company’s valuation policy, we evaluate the source of inputs, including any markets in which our investments are trading, in determining fair value.

The following table presents fair value measurements of investments, by major class, as of November 30, 2015 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —        $ 14,538       $ 14,538   

First lien term loans

     —          —          145,639         145,639   

Second lien term loans

     —          —          43,561         43,561   

Unsecured notes

     —          —          —           —     

Structured finance securities

     —          —          15,776         15,776   

Equity interests

     —          —          21,524         21,524   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $  —        $  —        $ 241,038       $ 241,038   
  

 

 

    

 

 

    

 

 

    

 

 

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2015 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —        $ 18,302       $ 18,302   

First lien term loans

     —          —          145,207         145,207   

Second lien term loans

     —          —          35,603         35,603   

Unsecured notes

     —          —          4,230         4,230   

Structured finance securities

     —          —          17,031         17,031   

Equity interests

     —          —          20,165         20,165   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $  —        $ —        $  240,538       $  240,538   
  

 

 

    

 

 

    

 

 

    

 

 

 

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, 2015 (dollars in thousands):

 

     Syndicated
loans
    First lien
term loans
    Second
lien
term loans
    Unsecured
notes
    Structured
finance
securities
    Common
stock/
equities
    Total  

Balance as of February 28, 2015

   $ 18,302      $ 145,207      $ 35,603      $ 4,230      $ 17,031      $ 20,165      $ 240,538   

Net unrealized appreciation/(depreciation) on investments

     (1,442     (1,271     (67     656        1,030        1,333        239   

Purchases and other adjustments to cost

     30        30,254        27,341        669        —         413        58,707   

Sales and redemptions

     (2,370     (28,657     (19,502     (5,917     (2,285     (3,946     (62,677

Net realized gain from investments

     18        106        186        261        —         3,660        4,231   

Transfers in/out

     —         —         —         101        —         (101     —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2015

   $ 14,538      $ 145,639      $ 43,561      $ —        $ 15,776      $ 21,524      $ 241,038   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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

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

 

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Table of Contents

The net change in unrealized appreciation/(depreciation) for the nine months ended November 30, 2015 on investments held as of November 30, 2015 is $(216,346) and is included in net unrealized appreciation/(depreciation) on investments in the consolidated statements of operations.

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, 2014 (dollars in thousands):

 

     Syndicated
loans
    First lien
term loans
    Second
lien
term loans
    Unsecured
notes
     Structured
finance
securities
    Common
stock/
equities
    Total  

Balance as of February 28, 2014

   $  32,390      $  110,278      $  27,804      $  5,471       $  19,570      $  10,332      $  205,845   

Net unrealized appreciation/(depreciation) on investments

     (485     (704     (379     355         35        (508     (1,686

Purchases and other adjustments to cost

     44        62,903        18,630        147         —         3,263        84,987   

Sales and redemptions

     (7,462     (27,815     (9,500     —          (172     (6,227     (51,176

Net realized gain from investments

     36        756        46        —          —         2,365        3,203   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2014

   $ 24,523      $ 145,418      $ 36,601      $ 5,973       $ 19,433      $ 9,225      $ 241,173   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

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

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

The net change in unrealized appreciation/(depreciation) for the nine months ended November 30, 2014 on investments held as of November 30, 2014 was $573,734 and is included in net unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2015 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input   Range

Syndicated loans

     14,538       Market Comparables    Third-Party Bid   74.5% - 99.2%

First lien term loans

     145,639       Market Comparables    Market Yield (%)   6.5% - 15.5%
         EBITDA Multiples (x)   0.1x - 1.0x
         Third-Party Bid   71.8% - 99.5%

Second lien term loans

     43,561       Market Comparables    Market Yield (%)   0.0% - 12.6%
         Third-Party Bid   97.0% - 100.0%

Unsecured notes

     —         Market Comparables    Market Yield (%)   0.0% - 0.0%

Structured finance securities

     15,776       Discounted Cash Flows    Discount Rate (%)   13.0%

Equity interests

     21,524       Market Comparables    EBITDA Multiples (x)   5.0x - 12.8x

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2015 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input   Range

Syndicated loans

     18,302       Market Comparables    Third-Party Bid   93.6% - 100.4%

First lien term loans

     145,207       Market Comparables    Market Yield (%)   5.8% - 17.7%
         EBITDA Multiples (x)   3.0x
         Third-Party Bid   79.3 - 105.0

Second lien term loans

     35,603       Market Comparables    Market Yield (%)   8.5% - 15.0%
         Third-Party Bid   98.3% - 98.3%

Unsecured notes

     4,230       Market Comparables    Market Yield (%)   13.2% - 20.3%

Structured finance securities

     17,031       Discounted Cash Flow    Discount Rate (%)   12.0%

Equity interests

     20,165       Market Comparables    EBITDA Multiples (x)   5.0x - 12.1x

 

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Table of Contents

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 EBITDA valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate, in isolation, would result in a significantly lower (higher) fair value measurement.

The composition of our investments as of November 30, 2015, at amortized cost and fair value were as follows (dollars in thousands):

 

     Investments at
Amortized Cost
     Amortized Cost
Percentage of
Total Portfolio
    Investments at
Fair Value
     Fair Value
Percentage of
Total Portfolio
 

Syndicated loans

   $ 16,337         6.8   $ 14,538         6.0

First lien term loans

     146,661         61.4        145,639         60.4   

Second lien term loans

     43,773         18.4        43,561         18.1   

Unsecured notes

     2,480         1.1        —           —     

Structured finance securities

     13,668         5.7        15,776         6.6   

Equity interests

     15,800         6.6        21,524         8.9   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 238,719         100.0   $ 241,038         100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

The composition of our investments as of February 28, 2015, at amortized cost and fair value were as follows (dollars in thousands):

 

     Investments at
Amortized Cost
     Amortized Cost
Percentage of
Total Portfolio
    Investments at
Fair Value
     Fair Value
Percentage of
Total Portfolio
 

Syndicated loans

   $ 18,658         7.8   $ 18,302         7.6

First lien term loans

     144,959         60.8        145,207         60.3   

Second lien term loans

     35,748         15.0        35,603         14.8   

Unsecured notes

     7,366         3.1        4,230         1.8   

Structured finance securities

     15,953         6.7        17,031         7.1   

Equity interests

     15,774         6.6        20,165         8.4   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 238,458         100.0   $ 240,538         100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

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

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

 

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Table of Contents

Our investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. For the quarter ended November 30, 2013, in connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at November 30, 2015. The significant inputs for the valuation model include:

 

    Default rates: 2.0%

 

    Recovery rates: 35-75%

 

    Prepayment rate: 25.0%

 

    Reinvestment rate / price: L+375bps / $99.75

Note 4. Investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”)

On January 22, 2008, we invested $30 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by us that invests primarily in senior secured loans. Additionally, we entered into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was refinanced in October 2013 and its reinvestment period ends in October 2016. The Saratoga CLO remains 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.25% and a subordinated management fee of 0.25% of the Fee Basis Amount at the beginning of the Collection Period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of the remaining interest proceeds and principal proceeds, if any, after the subordinated notes have realized the incentive management fee target return of 12.0%, in accordance with the Priority of Payments after making the prior distributions on the relevant payment date. For the three months ended November 30, 2015 and November 30, 2014, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.8 million and $0.7 million in interest income, respectively, from Saratoga CLO. For the nine months ended November 30, 2015 and November 30, 2014, we accrued $1.1 million and $1.2 million in management fee income, respectively, and $2.0 million and $2.0 million in interest income, respectively, from Saratoga CLO. We did not accrue any amounts related to the incentive management fee as the 12.0% hurdle rate has not yet been achieved.

At November 30, 2015, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $15.8 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. At November 30, 2015, Saratoga CLO had investments with a principal balance of $297.4 million and a weighted average spread over LIBOR of 4.4%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 1.8%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At November 30, 2015, the total “spread”, or projected future cash flows of the subordinated notes, over the life of Saratoga CLO was $16.1 million, which had a present value of approximately $15.8 million, using an 13.0% discount rate.

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2015 (unaudited) and February 28, 2015 and for the three and nine months ended November 30, 2015 and November 30, 2014 (unaudited).

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

     As of  
     November 30, 2015     February 28, 2015  
     (unaudited)        

ASSETS

    

Investments

    

Fair Value Loans (amortized cost of $295,600,896 and $295,193,588, respectively)

   $ 285,300,231      $ 294,621,817   

Fair Value Other/Structured finance securities (amortized cost of $2,566,752 and $2,566,752, respectively)

     26,803        617,451   
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $298,167,648 and $297,760,340, respectively)

     285,327,034        295,239,268   

Cash and cash equivalents

     6,521,096        5,831,797   

Receivable from open trades

     1,993,750        2,119,687   

Interest receivable

     1,619,994        1,290,637   
  

 

 

   

 

 

 

Total assets

   $ 295,461,874      $ 304,481,389   
  

 

 

   

 

 

 

LIABILITIES

    

Interest payable

   $ 644,005      $ 631,886   

Payable from open trades

     5,382,500        5,214,331   

Accrued base management fee

     85,128        85,957   

Accrued subordinated management fee

     85,128        85,957   

Class A-1 Notes - SIC CLO 2013-1, Ltd.

     170,000,000        170,000,000   

Discount on Class A-1 Notes - SIC CLO 2013-1, Ltd.

     (1,363,153     (1,495,802

Class A-2 Notes - SIC CLO 2013-1, Ltd.

     20,000,000        20,000,000   

Discount on Class A-2 Notes - SIC CLO 2013-1, Ltd.

     (141,300     (155,050

Class B Notes - SIC CLO 2013-1, Ltd.

     44,800,000        44,800,000   

Discount on Class B Notes - SIC CLO 2013-1, Ltd.

     (917,885     (1,007,205

Class C Notes - SIC CLO 2013-1, Ltd.

     16,000,000        16,000,000   

Discount on Class C Notes - SIC CLO 2013-1, Ltd.

     (571,480     (627,091

Class D Notes - SIC CLO 2013-1, Ltd.

     14,000,000        14,000,000   

Discount on Class D Notes - SIC CLO 2013-1, Ltd.

     (741,825     (814,013

Class E Notes - SIC CLO 2013-1, Ltd.

     13,100,000        13,100,000   

Discount on Class E Notes - SIC CLO 2013-1, Ltd.

     (1,398,556     (1,534,650

Class F Notes - SIC CLO 2013-1, Ltd.

     4,500,000        4,500,000   

Discount on Class F Notes - SIC CLO 2013-1, Ltd.

     (508,680     (558,180

Deferred debt financing costs, SIC CLO 2013-1, Ltd. Notes

     (1,772,813     (1,941,595

Subordinated Notes

     30,000,000        30,000,000   
  

 

 

   

 

 

 

Total liabilities

   $ 311,181,069      $ 310,284,545   
  

 

 

   

 

 

 

Commitments and contingencies

    

NET ASSETS

    

Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 issued and outstanding, respectively

   $ 250      $ 250   

Accumulated loss

     (5,803,411     (3,343,488

Net loss

     (9,916,034     (2,459,918
  

 

 

   

 

 

 

Total net assets

     (15,719,195     (5,803,156
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 295,461,874      $ 304,481,389   
  

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

     For the three months ended
November 30
    For the nine months ended
November 30
 
     2015     2014     2015     2014  

INVESTMENT INCOME

        

Interest from investments

   $ 3,559,889      $ 3,353,937      $ 10,711,063      $ 9,834,775   

Interest from cash and cash equivalents

     158        344        663        1,182   

Other income

     14,064        55,362        248,057        196,292   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     3,574,111        3,409,643        10,959,783        10,032,249   
  

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

        

Interest expense

     2,912,974        2,831,770        8,772,617        6,955,909   

Professional fees

     66,203        43,547        178,602        137,907   

Miscellaneous fee expense

     9,758        6,734        20,446        33,130   

Base management fee

     184,694        191,505        560,643        575,252   

Subordinated management fee

     184,694        191,505        560,643        575,252   

Trustee expenses

     26,528        36,314        94,549        90,242   

Amortization expense

     237,966        237,966        717,892        717,892   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     3,622,817        3,539,341        10,905,392        9,085,584   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME (LOSS)

     (48,706     (129,698     54,391        946,665   
  

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain on investments

     217,472        104,158        349,117        632,728   

Net unrealized depreciation on investments

     (6,609,496     (2,167,924     (10,319,542     (5,046,535
  

 

 

   

 

 

   

 

 

   

 

 

 

Net loss on investments

     (6,392,024     (2,063,766     (9,970,425     (4,413,807
  

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (6,440,730   $ (2,193,464   $ (9,916,034   $ (3,467,142
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

November 30, 2015

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

  Asset
Type
  Current
Rate
    Maturity
Date
    Principal/
Number
of Shares
    Cost     Fair Value  

Education Management II LLC

  Leisure Goods/Activities/Movies   A-1 Preferred Shares   Equity     0.00       4,938      $ 669,214      $ 25,095   

Education Management II LLC

  Leisure Goods/Activities/Movies   A-2 Preferred Shares   Equity     0.00       19,801        1,897,538        1,708   

24 Hour Holdings III LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.75     5/28/2021      $ 493,750        489,681        456,309   

Acosta Holdco Inc.

  Media   Term Loan B1   Loan     4.25     9/27/2021      $ 1,980,050        1,966,424        1,898,017   

Aspen Dental Management, Inc.

  Healthcare & Pharmaceuticals   Term Loan Initial   Loan     5.50     4/27/2022      $ 498,750        496,410        499,373   

Advantage Sales & Marketing Inc.

  Services: Business   Delayed Draw Term Loan   Loan     4.25     7/25/2021      $ 2,477,487        2,474,204        2,399,372   

AECOM Technology Corporation

  Services: Business   Term Loan B   Loan     3.75     10/15/2021      $ 233,293        232,291        233,149   

ArgoFresh

  Food Services   Term Loan   Loan     5.75     7/30/2021      $ 1,995,000        1,985,302        1,962,581   

Aegis Toxicology Science Corporation

  Healthcare & Pharmaceuticals   Term B Loan   Loan     5.50     2/24/2021      $ 987,500        987,500        809,750   

Akorn, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     6.00     4/16/2021      $ 495,000        493,207        472,725   

Albertson’s LLC

  Retailers (Except Food and Drugs)   Term Loan B-4   Loan     5.50     8/25/2021      $ 3,385,028        3,367,440        3,376,160   

Alere Inc. (fka IM US Holdings, LLC)

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     6/8/2022      $ 929,595        927,359        917,445   

Alion Science T/L B (1st Lien)

  High Tech Industries   Term Loan B (First Lien)   Loan     5.50     8/13/2021      $ 2,992,500        2,977,915        2,958,834   

Alliance HealthCare T/L B

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     6/3/2019      $ 997,428        992,619        986,207   

Alliant Holdings T/L B (1st Lien)

  Banking, Finance, Insurance & Real Estate   Term Loan B (First Lien)   Loan     4.50     8/12/2022      $ 997,500        995,120        975,365   

Alvogen Pharma US, Inc

  Healthcare & Pharmaceuticals   Term Loan   Loan     6.00     4/2/2022      $ 486,692        484,403        474,525   

American Beacon Advisors, Inc.

  Financial Intermediaries   Term Loan (First Lien)   Loan     5.50     4/30/2022      $ 249,375        248,204        248,335   

American Tire Distributors Inc

  Automotive   Term Loan B   Loan     5.25     9/1/2021      $ 494,004        491,534        494,212   

Aramark Corporation

  Food Products   LC-2 Facility   Loan     3.29     7/26/2016      $ 34,803        34,797        34,455   

Aramark Corporation

  Food Products   LC-3 Facility   Loan     3.29     7/26/2016      $ 19,321        19,321        19,128   

Aramark Corporation

  Food Products   U.S. Term F Loan   Loan     3.25     2/24/2021      $ 3,158,439        3,158,439        3,124,897   

Asurion, LLC (fka Asurion Corporation)

  Insurance   Incremental Tranche B-1 Term Loan   Loan     5.00     5/24/2019      $ 2,596,480        2,571,667        2,445,235   

Asurion, LLC (fka Asurion Corporation)

  Insurance   Term Loan B4 (First Lein)   Loan     5.00     7/29/2022      $ 2,493,750        2,481,719        2,299,861   

Auction.com

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     6.00     5/13/2019      $ 1,994,987        2,001,912        1,975,038   

Avantor Performance Materials Holdings, Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     6/24/2017      $ 2,832,629        2,827,999        2,804,303   

AZ Chem US Inc.

  Chemicals/Plastics   Term Loan   Loan     4.50     6/12/2021      $ 436,301        434,420        434,910   

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   Term Loan   Loan     4.00     11/20/2019      $ 1,492,500        1,489,570        1,394,562   

Belmond Interfin Ltd.

  Lodging & Casinos   Term Loan   Loan     4.00     3/19/2021      $ 492,500        490,518        485,935   

Berry Plastics Corporation

  Chemicals/Plastics   Term E Loan   Loan     3.75     1/6/2021      $ 1,314,499        1,304,646        1,298,370   

BJ’s Wholesale Club, Inc.

  Food/Drug Retailers   New 2013 (November) Replacement Loan (First Lien)   Loan     4.50     9/26/2019      $ 1,479,961        1,479,073        1,445,552   

Blue Coat Systems

  Technology   Term Loan B   Loan     4.50     5/19/2022      $ 1,000,000        997,615        971,880   

BMC Software

  Technology   Term Loan   Loan     5.00     9/10/2020      $ 1,984,848        1,928,369        1,726,818   

Brickman Group Holdings, Inc.

  Brokers/Dealers/Investment Houses   Initial Term Loan (First Lien)   Loan     4.00     12/18/2020      $ 1,479,968        1,469,034        1,438,352   

Brock Holdings III, Inc.

  Industrial Equipment   Term Loan (First Lien)   Loan     6.00     3/16/2017      $ 1,922,502        1,931,098        1,754,283   

Burlington Coat Factory Warehouse Corporation

  Retailers (Except Food and Drugs)   Term B-2 Loan   Loan     4.25     8/13/2021      $ 1,861,667        1,853,135        1,823,856   

BWAY Holding Company

  Leisure Goods/Activities/Movies   Term Loan B   Loan     5.50     8/14/2020      $ 987,500        978,428        958,497   

Caesars Entertainment Corp.

  Lodging & Casinos   Term B-7 Loan   Loan     9.75     1/28/2018      $ 995,000        990,604        845,750   

Camp International Holding Company

  Aerospace and Defense   2013 Replacement Term Loan (First Lien)   Loan     4.75     5/31/2019      $ 1,945,095        1,946,507        1,905,589   

Capital Automotive L.P.

  Conglomerate   Tranche B-1 Term Loan Facility   Loan     4.00     4/10/2019      $ 2,062,615        2,066,156        2,059,170   

Catalent Pharma Solutions, Inc

  Drugs   Initial Term B Loan   Loan     4.25     5/20/2021      $ 493,751        491,723        488,196   

Cengage Learning Acquisitions, Inc.

  Publishing   Term Loan   Loan     7.00     3/31/2020      $ 2,647,871        2,672,176        2,604,022   

Charter Communications Operating, LLC

  Cable and Satellite Television   Term F Loan   Loan     3.00     12/31/2020      $ 2,635,524        2,627,722        2,591,590   

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term G Loan   Loan     3.75     12/31/2019      $ 1,025,139        995,752        1,001,519   

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term H Loan   Loan     4.00     1/27/2021      $ 1,886,228        1,830,797        1,852,690   

Cinedigm Digital Funding I, LLC

  Services: Business   Term Loan   Loan     3.75     2/28/2018      $ 363,911        361,914        362,091   

CITGO Petroleum Corporation

  Oil & Gas   Term Loan B   Loan     4.50     7/29/2021      $ 990,000        986,914        964,428   

ClubCorp Club Operations, Inc.

  Lodging & Casinos   Term Loan B   Loan     4.25     7/24/2020      $ 500,000        496,250        497,710   

Communications Sales & Leasing, Inc.

  Telecommunications   Term Loan B (First Lien)   Loan     5.00     10/24/2022      $ 1,995,000        1,983,253        1,841,644   

CommScope, Inc.

  Telecommunications   Term Loan B   Loan     3.75     5/27/2022      $ 500,000        498,786        494,065   

Consolidated Aerospace Manufacturing, LLC

  Aerospace and Defense   Term Loan (First Lien)   Loan     4.75     8/11/2022      $ 1,437,500        1,430,427        1,380,000   

Concordia Healthcare Corp

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.25     10/21/2021      $ 2,000,000        1,890,586        1,904,160   

CPI Acquisition Inc.

  Technology   Term Loan B (First Lien)   Loan     5.50     8/17/2022      $ 1,482,759        1,460,694        1,474,426   

CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)

  Electronics/Electric   Term B Loan   Loan     4.25     11/17/2017      $ 1,568,163        1,568,163        1,540,720   

Crosby US Acquisition Corp.

  Industrial Equipment   Initial Term Loan (First Lien)   Loan     4.00     11/23/2020      $ 736,875        736,192        589,500   

Crown Castle Operating Company

  Telecommunications/Cellular   Extended Incremental Tranche B-2 Term Loan   Loan     3.00     1/31/2021      $ 1,422,206        1,422,206        1,407,984   

CT Technologies Intermediate Hldgs, Inc

  Healthcare & Pharmaceuticals   Term Loan   Loan     5.25     12/1/2021      $ 1,488,769        1,474,906        1,456,209   

Culligan International Company

  Conglomerate   Dollar Loan (First Lien)   Loan     6.25     12/19/2017      $ 773,629        741,158        745,962   

Culligan International Company

  Conglomerate   Dollar Loan (Second Lien)   Loan     9.50     6/19/2018      $ 783,162        751,324        754,288   

Cumulus Media Holdings Inc.

  Broadcast Radio and Television   Term Loan   Loan     4.25     12/23/2020      $ 470,093        466,523        349,631   

Custom Sensors & Technologies, Inc.

  Industrial Equipment   Term Loan   Loan     4.50     9/30/2021      $ 495,000        493,983        492,837   

DAE Aviation (StandardAero)

  Aerospace and Defense   Term Loan   Loan     5.25     7/7/2022      $ 2,000,000        1,990,263        1,987,500   

DaVita HealthCare Partners Inc. (fka DaVita Inc.)

  Healthcare & Pharmaceuticals   Tranche B Term Loan   Loan     3.50     6/24/2021      $ 493,750        491,719        490,575   

DCS Business Services, Inc.

  Financial Intermediaries   Term B Loan   Loan     7.25     3/19/2018      $ 3,173,538        3,156,263        3,217,174   

Dell International LLC

  Technology   Term Loan B2   Loan     4.00     4/29/2020      $ 2,912,306        2,898,985        2,894,104   

Delta 2 (Lux) S.a.r.l.

  Lodging & Casinos   Term Loan B-3   Loan     4.75     7/30/2021      $ 1,000,000        995,646        972,810   

Deluxe Entertainment Service Group, Inc.

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     6.50     2/28/2020      $ 1,882,983        1,884,392        1,796,685   

Diamond Resorts International

  Lodging & Casinos   Term Loan   Loan     5.50     5/9/2021      $ 926,971        923,036        915,384   

Diamond Resorts International

  Lodging & Casinos   Term Loan (Add-On)   Loan     5.50     5/9/2021      $ 1,000,000        980,000        985,000   

DJO Finance LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.25     6/8/2020      $ 498,750        496,578        486,695   

DPX Holdings B.V.

  Healthcare & Pharmaceuticals   Term Loan 2015 Incr Dollar   Loan     4.25     3/11/2021      $ 2,962,500        2,955,557        2,868,085   

Drew Marine Group Inc.

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.25     11/19/2020      $ 1,472,161        1,477,200        1,435,357   

DTZ U.S. Borrower LLC

  Construction & Building   Term Loan B Add-on   Loan     4.25     11/4/2021      $ 2,992,500        2,977,838        2,945,129   

Education Management LLC

  Leisure Goods/Activities/Movies   Term Loan A   Loan     5.50     7/2/2020      $ 501,970        484,491        130,156   

Education Management LLC

  Leisure Goods/Activities/Movies   Term Loan B (2.00% Cash/6.50% PIK)   Loan     8.50     7/2/2020      $ 878,848        851,661        79,826   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     8/1/2021      $ 495,000        492,919        490,298   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     7.75     8/1/2022      $ 500,000        497,798        476,250   

Emerald 2 Limited

  Chemicals/Plastics   Term Loan B1A   Loan     5.00     5/14/2021      $ 1,000,000        991,190        970,000   

Endo International plc

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.75     6/24/2022      $ 1,000,000        997,553        983,750   

EnergySolutions, LLC

  Environmental Industries   Term Loan B   Loan     6.75     5/29/2020      $ 937,857        923,002        886,275   

Evergreen Acqco 1 LP

  Retailers (Except Food and Drugs)   New Term Loan   Loan     5.00     7/9/2019      $ 967,575        965,746        787,364   

EWT Holdings III Corp. (fka WTG Holdings III Corp.)

  Industrial Equipment   Term Loan (First Lien)   Loan     4.75     1/15/2021      $ 1,972,424        1,967,787        1,950,235   

Federal-Mogul Corporation

  Automotive   Tranche C Term Loan   Loan     4.75     4/15/2021      $ 2,962,500        2,950,621        2,631,678   

First Data Corporation

  Financial Intermediaries   First Data Corp T/L (2018 New Dollar)   Loan     3.70     3/23/2018      $ 2,790,451        2,743,456        2,764,639   

First Data Corporation

  Financial Intermediaries   First Data T/L Ext (2021)   Loan     4.20     3/24/2021      $ 2,111,028        2,031,031        2,104,441   

First Eagle Investment Management

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.75     10/31/2022      $ 1,500,000        1,470,000        1,470,000   

Fitness International, LLC

  Leisure Goods/Activities/Movies   Term Loan B   Loan     5.50     7/1/2020      $ 1,481,250        1,472,294        1,403,484   

FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)

  Nonferrous Metals/Minerals   Loan   Loan     4.25     6/28/2019      $ 1,967,406        1,967,426        1,600,307   

Garda World Security Corporation

  Services: Business   Term B Delayed Draw Loan   Loan     4.00     11/6/2020      $ 199,630        198,865        193,391   

Garda World Security Corporation

  Services: Business   Term B Loan   Loan     4.00     11/6/2020      $ 780,370        777,436        755,984   

Gardner Denver, Inc.

  High Tech Industries   Initial Dollar Term Loan   Loan     4.25     7/30/2020      $ 2,457,406        2,449,912        2,252,532   

Gates Global LLC

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     4.25     7/3/2021      $ 495,000        490,050        462,295   

Generac Power Systems, Inc.

  Industrial Equipment   Term Loan B   Loan     3.50     5/29/2020      $ 693,858        684,047        677,671   

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     3.25     3/4/2019      $ 4,135,265        4,124,509        4,011,207   

Global Tel*Link Corporation

  Services: Business   Term Loan (First Lien)   Loan     5.00     5/26/2020      $ 2,732,867        2,725,029        2,138,469   

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     3.75     4/30/2019      $ 3,333,333        3,302,675        3,330,567   

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.75     1/4/2021      $ 1,307,462        1,302,474        1,264,969   

GTCR Valor Companies, Inc.

  Services: Business   Term Loan (First Lien)   Loan     6.00     6/1/2021      $ 1,979,986        1,945,046        1,930,487   

Harland Clarke Holdings Corp. (fka Clarke American Corp.)

  Publishing   Tranche B-4 Term Loan   Loan     6.00     8/2/2019      $ 478,125        476,402        466,970   

HCA Inc.

  Healthcare & Pharmaceuticals   Tranche B-4 Term Loan   Loan     3.03     5/1/2018      $ 3,625,085        3,499,013        3,619,213   

Headwaters Incorporated

  Building & Development   Term Loan   Loan     4.50     3/24/2022      $ 249,375        248,209        249,063   

Hertz Corporation, The

  Automotive   Tranche B-1 Term Loan   Loan     3.75     3/12/2018      $ 2,917,500        2,943,662        2,910,819   

Hoffmaster Group, Inc.

  Containers/Glass Products   Term Loan   Loan     5.25     5/8/2020      $ 1,975,000        1,959,329        1,950,313   

Hostess Brand, LLC

  Beverage, Food & Tobacco   Term Loan B (First Lien)   Loan     4.50     8/3/2022      $ 1,000,000        997,620        995,420   

Huntsman International LLC

  Chemicals/Plastics   Term Loan B (First Lien)   Loan     3.24     4/19/2019      $ 3,840,541        3,818,148        3,787,733   

Husky Injection Molding Systems Ltd.

  Services: Business   Term Loan B   Loan     4.25     6/30/2021      $ 491,797        489,804        477,353   

Infor (US), Inc. (fka Lawson Software Inc.)

  Services: Business   Tranche B-5 Term Loan   Loan     3.75     6/3/2020      $ 2,193,981        2,179,213        2,085,928   

Insight Global

  Services: Business   Term Loan   Loan     6.00     10/29/2021      $ 1,984,694        1,976,851        1,974,155   

Informatica Corporation

  High Tech Industries   Term Loan B   Loan     4.50     8/5/2022      $ 500,000        498,785        485,705   

J. Crew Group, Inc.

  Retailers (Except Food and Drugs)   Term B-1 Loan Retired 03/05/2014   Loan     4.00     3/5/2021      $ 957,913        957,913        598,695   

Jazz Acquisition, Inc

  Aerospace and Defense   First Lien 6/14   Loan     4.50     6/19/2021      $ 493,939        492,908        464,614   

J.Jill Group, Inc.

  Retailers (Except Food and Drugs)   Term Loan (First Lien)   Loan     6.00     5/9/2022      $ 997,500        992,723        977,550   

Kinetic Concepts, Inc.

  Healthcare & Pharmaceuticals   Dollar Term D-1 Loan   Loan     4.50     5/4/2018      $ 2,458,843        2,440,368        2,392,774   

Koosharem, LLC

  Services: Business   Term Loan   Loan     7.50     5/15/2020      $ 2,972,538        2,949,120        2,903,812   

LPL Holdings

  Banking, Finance, Insurance & Real Estate   Term Loan B (2022)   Loan     4.75     11/21/2022      $ 2,000,000        1,980,032        1,990,000   

Mauser Holdings, Inc.

  Containers/Glass Products   Term Loan   Loan     4.50     7/31/2021      $ 495,000        492,925        483,452   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term B Loan   Loan     3.75     1/28/2020      $ 487,500        487,500        482,279   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term Loan B-2   Loan     4.00     1/28/2020      $ 1,481,250        1,475,374        1,470,141   

Micro Holding Corp.

  High Tech Industries   Term Loan   Loan     4.75     7/8/2021      $ 994,964        990,193        979,214   

Microsemi Corporation

  Electronics/Electric   Incremental Term Loan   Loan     3.25     2/19/2020      $ 2,122,318        2,118,346        2,104,639   

Midas Intermediate Holdco II, LLC

  Automotive   Term Loan (Initial)   Loan     4.50     8/18/2021      $ 247,500        246,335        244,872   

Millenium Laboratories, LLC

  Drugs   Term Loan   Loan     5.25     4/16/2021      $ 1,481,250        1,469,254        595,463   

MPH Acquisition Holdings LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     3.75     3/31/2021      $ 393,182        392,372        381,976   

MSC Software Corp.

  Services: Business   Term Loan   Loan     5.00     5/29/2020      $ 987,500        979,731        968,984   

National Veterinary Associates, Inc

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     8/14/2021      $ 990,022        986,662        987,547   

National Vision, Inc.

  Retailers (Except Food and Drugs)   Term Loan (Second Lien)   Loan     6.75     3/11/2022      $ 250,000        249,728        240,000   

Neptune Finco (CSC Holdings)

  Cable and Satellite Television   Term Loan   Loan     5.00     10/7/2022      $ 1,000,000        985,240        996,610   

Newsday, LLC

  Publishing   Term Loan   Loan     3.70     10/12/2016      $ 2,215,385        2,214,802        2,209,846   

Nortek, Inc.

  Electronics/Electric   Term Loan B   Loan     3.50     10/30/2020      $ 987,511        976,646        967,761   

Novelis, Inc.

  Conglomerate   Term Loan B   Loan     4.00     3/10/2017      $ 4,783,045        4,760,569        4,635,823   

Novetta Solutions

  Aerospace and Defense   Term Loan (200MM)   Loan     6.00     10/16/2022      $ 2,000,000        1,980,163        1,980,000   

Novetta Solutions

  Aerospace and Defense   Term Loan (2nd Lien)   Loan     9.50     9/29/2023      $ 1,000,000        990,087        990,000   

NPC International, Inc.

  Food Services   Term Loan (2013)   Loan     4.00     12/28/2018      $ 482,500        482,500        474,862   

NRG Energy, Inc.

  Utilities   Term Loan (2013)   Loan     2.75     7/2/2018      $ 3,831,750        3,816,735        3,734,232   

Numericable

  Broadcast Radio and Television   Term Loan B-5   Loan     4.00     7/27/2022      $ 1,000,000        997,592        975,160   

NuSil Technology LLC.

  Chemicals/Plastics   Term Loan   Loan     5.25     4/7/2017      $ 791,281        791,281        782,181   

Ollie’s Bargain Outlet, Inc

  Retailers (Except Food and Drugs)   Term Loan   Loan     4.75     9/30/2019      $ 645,138        642,652        638,686   

Onex Carestream Finance LP

  Healthcare & Pharmaceuticals   Term Loan (First Lien 2013)   Loan     5.00     6/7/2019      $ 3,887,309        3,875,009        3,580,212   

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     10/1/2021      $ 495,000        491,772        472,725   

OpenLink International LLC

  Services: Business   Term B Loan   Loan     6.25     10/28/2017      $ 2,952,164        2,950,848        2,942,953   

P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)

  Food/Drug Retailers   Term Borrowing   Loan     4.25     6/24/2019      $ 1,436,538        1,430,514        1,364,711   

P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)

  Services: Business   Term Loan (First Lien)   Loan     5.00     10/30/2020      $ 982,500        978,471        935,831   

Penn Products Terminal, LLC

  Chemicals/Plastics   Term Loan B   Loan     4.75     4/13/2022      $ 248,750        247,572        230,094   

PetCo Animal Supplies Stores, Inc.

  Retailers (Except Food and Drugs)   New Loans   Loan     4.00     11/24/2017      $ 1,457,908        1,457,267        1,453,811   

Petsmart, Inc. (Argos Merger Sub, Inc.)

  Retailers (Except Food and Drugs)   Term Loan B1   Loan     4.25     3/11/2022      $ 995,000        990,308        976,423   

PGX Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     5.75     9/29/2020      $ 957,143        949,280        948,768   

Pharmaceutical Product Development, Inc. (Jaguar Holdings, LLC)

  Conglomerate   Term Loan   Loan     4.25     8/18/2022      $ 1,925,674        1,916,334        1,872,718   

Phillips-Medisize Corporation

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.75     6/16/2021      $ 493,750        491,716        482,335   

Physio-Control International, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.50     5/19/2022      $ 500,000        497,538        491,250   

Pinnacle Foods Finance LLC

  Food Products   New Term Loan G   Loan     3.00     4/29/2020      $ 2,581,332        2,577,136        2,549,065   

Planet Fitness Holdings LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.75     3/31/2021      $ 2,423,378        2,416,078        2,393,086   

PrePaid Legal Services, Inc.

  Services: Business   Term Loan B   Loan     6.50     7/1/2019      $ 737,083        733,666        730,177   

Presidio, Inc.

  Services: Business   Term Loan   Loan     5.25     2/2/2022      $ 1,907,083        1,849,950        1,884,446   

Prime Security Services (Protection One)

  Services: Business   Term Loan   Loan     5.00     7/1/2021      $ 2,000,000        1,990,000        1,975,000   

Ranpak Holdings, Inc.

  Services: Business   Term Loan   Loan     4.25     10/1/2021      $ 966,488        964,072        955,209   

Ranpak Holdings, Inc.

  Services: Business   Term Loan (Second Lien)   Loan     8.25     9/30/2022      $ 500,000        497,820        493,750   

Redtop Acquisitions Limited

  Electronics/Electric   Initial Dollar Term Loan (First Lien)   Loan     4.50     12/3/2020      $ 491,250        488,593        487,158   

Regal Cinemas Corporation

  Services: Consumer   Term Loan   Loan     3.75     4/1/2022      $ 498,750        497,545        497,583   

Research Now Group, Inc

  Media   Term Loan B   Loan     5.50     3/18/2021      $ 497,500        495,214        490,038   

Rexnord LLC/RBS Global, Inc.

  Industrial Equipment   Term B Loan   Loan     4.00     8/21/2020      $ 1,634,292        1,635,630        1,596,294   

Reynolds Group Holdings Inc.

  Industrial Equipment   Incremental U.S. Term Loan   Loan     4.50     12/1/2018      $ 1,910,551        1,910,551        1,902,851   

Riverbed Technology, Inc.

  Technology   Term Loan B   Loan     6.00     2/25/2022      $ 995,000        990,510        992,513   

Rocket Software, Inc.

  Services: Business   Term Loan (First Lien)   Loan     5.75     2/8/2018      $ 1,906,781        1,893,186        1,901,213   

Rovi Solutions Corporation / Rovi Guides, Inc.

  Electronics/Electric   Tranche B-3 Term Loan   Loan     3.75     7/2/2021      $ 1,481,250        1,475,158        1,385,502   

Royal Adhesives and Sealants

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     6/20/2022      $ 498,750        496,347        494,137   

Royal Adhesives and Sealants

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     8.50     6/19/2023      $ 500,000        496,296        495,415   

RPI Finance Trust

  Financial Intermediaries   Term B-4 Term Loan   Loan     3.50     11/9/2020      $ 5,168,211        5,168,211        5,119,785   

SBP Holdings LP

  Industrial Equipment   Term Loan (First Lien)   Loan     5.00     3/27/2021      $ 985,000        980,996        810,163   

Scientific Games International, Inc.

  Electronics/Electric   Term Loan B2   Loan     6.00     10/1/2021      $ 992,500        984,017        919,482   

SCS Holdings (Sirius Computer)

  High Tech Industries   Term Loan (First Lien)   Loan     6.00     10/30/2022      $ 1,977,528        1,938,192        1,950,337   

Seadrill Operating LP

  Oil & Gas   Term Loan B   Loan     4.00     2/21/2021      $ 989,924        919,233        491,389   

Sensus USA Inc. (fka Sensus Metering Systems)

  Utilities   Term Loan (First Lien)   Loan     4.50     5/9/2017      $ 1,907,486        1,904,349        1,874,105   

ServiceMaster Company, The

  Conglomerate   Tranche B Term Loan   Loan     4.25     7/1/2021      $ 1,980,000        1,963,607        1,967,011   

Shearers Foods LLC

  Food Services   Term Loan (First Lien)   Loan     4.50     6/30/2021      $ 990,000        987,847        970,200   

Sitel Worldwide

  Telecommunications   Term Loan   Loan     6.50     8/20/2021      $ 2,000,000        1,980,658        1,965,620   

Sonneborn, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.75     12/10/2020      $ 223,313        222,829        222,475   

Sonneborn, LLC

  Chemicals/Plastics   Initial US Term Loan   Loan     4.75     12/10/2020      $ 1,265,438        1,262,699        1,260,692   

Sophia, L.P.

  High Tech Industries   Term Loan (Closing Date)   Loan     4.75     9/30/2022      $ 2,000,000        1,990,212        1,980,320   

SourceHOV LLC

  Services: Business   Term Loan B (First Lien)   Loan     7.75     10/31/2019      $ 1,962,500        1,913,505        1,766,250   

SRAM, LLC

  Industrial Equipment   Term Loan (First Lien)   Loan     4.00     4/10/2020      $ 2,917,953        2,909,603        2,378,132   

Staples, Inc.

  Retailers (Except Food and Drugs)   Term Loan B   Loan     3.50     4/23/2021      $ 1,000,000        995,000        986,670   

Steak ‘n Shake Operations, Inc.

  Food Services   Term Loan   Loan     4.75     3/19/2021      $ 967,841        960,137        958,163   

SuperMedia Inc. (fka Idearc Inc.)

  Publishing   Loan   Loan     11.60     12/30/2016      $ 222,900        219,333        106,323   

Survey Sampling International

  Services: Business   Term Loan B   Loan     6.00     12/16/2020      $ 995,000        992,992        983,806   

Sybil Finance BV

  High Tech Industries   Term Loan   Loan     4.25     3/20/2020      $ 1,288,452        1,286,944        1,280,400   

Syniverse Holdings, Inc.

  Telecommunications   Initial Term Loan   Loan     4.00     4/23/2019      $ 479,913        476,719        367,134   

TGI Friday’s Inc

  Food Services   Term Loan B   Loan     5.25     7/15/2020      $ 1,651,816        1,647,738        1,648,727   

Townsquare Media, Inc.

  Media   Term Loan B   Loan     4.25     4/1/2022      $ 932,522        928,204        928,633   

TPF II Power LLC and TPF II Covert Midco LLC

  Utilities   Term Loan B   Loan     5.50     10/2/2021      $ 493,067        490,077        485,824   

TransUnion LLC

  Financial Intermediaries   Term Loan B-2   Loan     3.75     4/9/2021      $ 492,500        491,309        479,203   

TransDigm, Inc.

  Aerospace and Defense   Tranche C Term Loan   Loan     3.75     2/28/2020      $ 4,288,318        4,295,268        4,179,309   

Travel Leaders Group, LLC

  Hotel, Gaming and Leisure   Term Loan B   Loan     7.00     12/7/2020      $ 973,333        968,778        959,950   

Tricorbraun, Inc. (fka Kranson Industries, Inc.)

  Containers/Glass Products   Term Loan   Loan     4.00     5/3/2018      $ 1,836,625        1,831,140        1,818,259   

Truven Health Analytics Inc. (fka Thomson Reuters (Healthcare) Inc.)

  Healthcare & Pharmaceuticals   New Tranche B Term Loan   Loan     4.50     6/6/2019      $ 483,844        477,401        472,957   

Twin River Management Group, Inc.

  Lodging & Casinos   Term Loan B   Loan     5.25     7/10/2020      $ 951,192        953,084        951,192   

U.S. Security Associates Holdings, Inc.

  Services: Business   Delayed Draw Loan   Loan     6.25     7/28/2017      $ 157,295        156,652        157,098   

U.S. Security Associates Holdings, Inc.

  Services: Business   Term B Loan   Loan     6.25     7/28/2017      $ 923,831        920,350        922,677   

Univar Inc.

  Chemicals/Plastics   Term B Loan   Loan     4.25     6/30/2017      $ 3,000,000        2,985,653        2,908,140   

Univision Communications Inc.

  Telecommunications   Replacement First-Lien Term Loan   Loan     4.00     3/1/2020      $ 2,924,279        2,910,874        2,874,566   

Valeant Pharmaceuticals International, Inc.

  Drugs   Series D2 Term Loan B   Loan     3.50     2/13/2019      $ 2,545,589        2,538,841        2,399,217   

Verint Systems Inc.

  Services: Business   Term Loan   Loan     3.50     9/6/2019      $ 1,014,058        1,011,033        1,009,241   

Vertafore, Inc.

  Services: Business   Term Loan (2013)   Loan     4.25     10/3/2019      $ 2,484,603        2,484,603        2,476,329   

Vouvray US Finance

  Industrial Equipment   Term Loan   Loan     4.75     6/28/2021      $ 493,750        491,699        487,168   

Washington Inventory Service

  Services: Business   U.S. Term Loan (First Lien)   Loan     5.75     12/20/2018      $ 1,778,498        1,792,843        1,707,357   

West Corporation

  Telecommunications   Term B-10 Loan   Loan     3.25     6/30/2018      $ 2,571,560        2,598,332        2,529,772   

ZEP Inc.

  Chemicals/Plastics   Term Loan B   Loan     5.75     6/27/2022      $ 2,992,500        2,978,182        2,973,797   
             

 

 

   

 

 

 
              $ 298,167,648      $ 285,327,034   
             

 

 

   

 

 

 
                            Principal/
Number
of Shares
    Cost     Fair Value  

Cash and cash equivalents

               

U.S. Bank Money Market (a)

            $ 6,521,096      $ 6,521,096      $ 6,521,096   
           

 

 

   

 

 

   

 

 

 

Total cash and cash equivalents

          $ 6,521,096      $ 6,521,096      $ 6,521,096   
           

 

 

   

 

 

   

 

 

 

 

(a) Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of November 30, 2015.

 

25


Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

February 28, 2015

 

Issuer Name

  

Industry

  

Asset Name

   Asset
Type
   Current
Rate
   

Maturity
Date

   Principal/
Number
of Shares
     Cost      Fair Value  

Education Management II LLC

   Leisure Goods/Activities/Movies    A-1 Preferred Shares    Equity      0.00        6,692       $ 669,214       $ 437,188   

Education Management II LLC

   Leisure Goods/Activities/Movies    A-2 Preferred Shares    Equity      0.00        18,975         1,897,538         180,263   

24 Hour Holdings III LLC

   Leisure Goods/Activities/Movies    Term Loan    Loan      4.75   5/28/2021    $ 497,500         493,004         492,276   

Acosta Holdco Inc.

   Media    Term Loan B    Loan      5.00   9/27/2021    $ 1,995,000         1,981,328         2,004,416   

Aderant North America, Inc.

   Services: Business    Term Loan (First Lien)    Loan      5.25   12/20/2018    $ 3,260,898         3,260,898         3,240,517   

Advantage Sales & Marketing Inc.

   Services: Business    Delayed Draw Term Loan    Loan      4.25   7/25/2021    $ 1,995,000         1,993,940         1,984,287   

AECOM Technology Corporation

   Services: Business    Term Loan B    Loan      3.75   10/15/2021    $ 319,903         318,380         321,304   

Aegis Toxicology Science Corporation

   Healthcare & Pharmaceuticals    Term B Loan    Loan      5.50   2/24/2021    $ 995,000         995,000         997,488   

Akorn, Inc.

   Healthcare & Pharmaceuticals    Term Loan B    Loan      4.50   4/16/2021    $ 498,750         496,691         500,411   

Albertson’s LLC

   Retailers (Except Food and Drugs)    Term Loan B-4    Loan      5.50   8/25/2021    $ 3,410,000         3,389,632         3,437,723   

Alere Inc. (fka IM US Holdings, LLC)

   Healthcare & Pharmaceuticals    Incremental B-1 Term Loan    Loan      4.25   6/30/2017    $ 1,529,610         1,529,610         1,529,610   

American Tire Distributors Inc

   Automotive    Term Loan    Loan      5.75   6/1/2018    $ 496,487         496,486         497,108   

Aramark Corporation

   Food Products    LC-2 Facility    Loan      3.74   7/26/2016    $ 79,187         79,178         78,395   

Aramark Corporation

   Food Products    LC-3 Facility    Loan      3.74   7/26/2016    $ 43,961         43,961         43,521   

Aramark Corporation

   Food Products    U.S. Term F Loan    Loan      3.25   2/24/2021    $ 3,182,489         3,182,489         3,168,581   

ARG IH Corp

   Food Services    Term Loan    Loan      4.75   11/15/2020    $ 495,000         494,038         495,312   

Asurion, LLC (fka Asurion Corporation)

   Insurance    Incremental Tranche B-1 Term Loan    Loan      5.00   5/24/2019    $ 5,412,086         5,370,590         5,424,642   

Auction.Com, LLC

   Services: Business    Term Loan A-4    Loan      4.40   2/28/2017    $ 914,567         914,567         905,422   

Avantor Performance Materials Holdings, Inc.

   Chemicals/Plastics    Term Loan    Loan      5.25   6/24/2017    $ 4,319,115         4,309,242         4,297,520   

Avast Software

   Electronics/Electric    Term Loan    Loan      4.75   3/20/2020    $ 1,925,000         1,923,275         1,937,031   

AZ Chem US Inc.

   Chemicals/Plastics    Term Loan    Loan      5.25   6/12/2021    $ 467,123         464,958         466,614   

Bass Pro Group, LLC

   Retailers (Except Food and Drugs)    New Term Loan    Loan      3.75   11/20/2019    $ 493,623         493,111         492,236   

Bayonne Energy Center

   Oil & Gas    Term Loan B    Loan      5.00   8/19/2021    $ 969,671         965,093         964,416   

Belmond Hotels

   Lodging & Casinos    Term Loan    Loan      4.00   3/19/2021    $ 496,250         494,055         495,009   

Berry Plastics Corporation

   Chemicals/Plastics    Term E Loan    Loan      3.75   1/6/2021    $ 1,814,499         1,802,403         1,812,648   

Big Heart Pet Brands (fka Del Monte Corporation)

   Food/Drug Retailers    Initial Term Loan    Loan      3.50   3/9/2020    $ 2,977,500         2,996,769         2,971,307   

Biomet, Inc.

   Healthcare & Pharmaceuticals    Dollar Term B-2 Loan    Loan      3.65   7/25/2017    $ 1,840,718         1,840,718         1,838,601   

BJ’s Wholesale Club, Inc.

   Food/Drug Retailers    New 2013 (November) Replacement Loan (First Lien)    Loan      4.50   9/26/2019    $ 1,489,975         1,488,922         1,483,374   

Bombardier Recreational Products Inc.

   Leisure Goods/Activities/Movies    Term B Loan    Loan      4.00   1/30/2019    $ 754,286         750,287         747,120   

Brickman Group Holdings, Inc.

   Brokers/Dealers/Investment Houses    Initial Term Loan (First Lien)    Loan      4.00   12/18/2020    $ 1,491,237         1,478,800         1,478,935   

Brock Holdings III, Inc.

   Industrial Equipment    Term Loan (First Lien)    Loan      6.00   3/16/2017    $ 1,938,503         1,952,391         1,904,580   

Burlington Coat Factory Warehouse Corporation

   Retailers (Except Food and Drugs)    Term B-2 Loan    Loan      4.25   8/13/2021    $ 1,945,000         1,935,814         1,942,219   

BWAY

   Leisure Goods/Activities/Movies    Term Loan B    Loan      5.50   8/14/2020    $ 995,000         985,881         998,423   

Caesars Entertainment Corp.

   Lodging & Casinos    Term B-7 Loan    Loan      9.75   1/28/2018    $ 995,000         989,028         917,141   

Camp International Holding Company

   Aerospace and Defense    2013 Replacement Term Loan (First Lien)    Loan      4.75   5/31/2019    $ 1,960,046         1,965,495         1,969,846   

Capital Automotive L.P.

   Conglomerate    Tranche B-1 Term Loan Facility    Loan      4.00   4/10/2019    $ 2,079,313         2,083,783         2,084,511   

Catalent Pharma Solutions, Inc

   Drugs    Initial Term B Loan    Loan      4.25   5/20/2021    $ 497,500         495,170         498,401   

Celanese US Holdings LLC

   Chemicals/Plastics    Dollar Term C-2 Commitment    Loan      2.49   10/31/2018    $ 2,154,560         2,180,598         2,157,533   

Cengage Learning

   Publishing    Term Loan    Loan      7.00   3/31/2020    $ 2,731,869         2,761,735         2,733,235   

Charter Communications Operating, LLC

   Cable and Satellite Television    Term F Loan    Loan      3.00   12/31/2020    $ 2,655,745         2,646,932         2,646,344   

CHS/Community Health Systems, Inc.

   Healthcare & Pharmaceuticals    2017 Term E Loan    Loan      3.49   1/25/2017    $ 1,097,818         1,074,945         1,097,193   

CHS/Community Health Systems, Inc.

   Healthcare & Pharmaceuticals    2021 Term D Loan    Loan      4.25   1/27/2021    $ 2,926,052         2,844,886         2,935,210   

Cinedigm Digital Funding I, LLC

   Services: Business    Term Loan    Loan      3.75   2/28/2018    $ 562,001         557,872         561,298   

CITGO Petroleum

   Oil & Gas    Term Loan B    Loan      4.50   7/29/2021    $ 997,500         994,095         979,106   

ClubCorp Club Operations, Inc.

   Lodging & Casinos    Term Loan B    Loan      4.50   7/24/2020    $ 500,000         496,250         500,315   

CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)

   Electronics/Electric    Term B Loan    Loan      4.25   11/17/2017    $ 3,595,331         3,595,331         3,570,631   

Crosby US Acquisition Corp.

   Industrial Equipment    Initial Term Loan (First Lien)    Loan      3.75   11/23/2020    $ 742,500         741,718         681,244   

Crown Castle Operating Company

   Telecommunications/Cellular    Extended Incremental Tranche B-2 Term Loan    Loan      3.00   1/31/2021    $ 2,435,594         2,433,546         2,430,723   

CT Technologies Intermediate Hldgs, Inc

   Healthcare & Pharmaceuticals    Term Loan (First Lien)    Loan      6.00   12/1/2021    $ 1,500,000         1,485,423         1,505,625   

Culligan International Company

   Conglomerate    Dollar Loan (First Lien)    Loan      6.25   12/19/2017    $ 779,642         736,275         765,998   

Culligan International Company

   Conglomerate    Dollar Loan (Second Lien)    Loan      9.50   6/19/2018    $ 783,162         739,367         727,033   

Cumulus Media Holdings Inc.

   Broadcast Radio and Television    Term Loan    Loan      4.25   12/23/2020    $ 470,093         466,100         466,863   

Custom Sensors

   Industrial Equipment    Term Loan    Loan      4.50   9/30/2021    $ 498,750         497,651         498,750   

DaVita HealthCare Partners Inc. (fka DaVita Inc.)

   Healthcare & Pharmaceuticals    Tranche B Term Loan    Loan      3.50   6/24/2021    $ 497,500         495,228         498,062   

DCS Business Services, Inc.

   Financial Intermediaries    Term B Loan    Loan      7.25   3/19/2018    $ 3,460,027         3,436,485         3,413,835   

Dealertrack Technologies, Inc.

   Leisure Goods/Activities/Movies    Term B Loan    Loan      3.25   2/26/2021    $ 477,011         475,991         474,230   

Dell International LLC

   Retailers (Except Food and Drugs)    Term B Loan    Loan      4.50   4/29/2020    $ 2,969,962         2,957,576         2,980,684   

Delos Finance SARL

   Financial Intermediaries    Term Loan    Loan      3.50   3/6/2021    $ 500,000         497,835         499,790   

Delta 2 (Lux) S.a.r.l.

   Lodging & Casinos    Term Loan B-3    Loan      4.75   7/30/2021    $ 1,000,000         995,314         995,630   

Deluxe Entertainment Service Group, Inc.

   Leisure Goods/Activities/Movies    Term Loan (First Lien)    Loan      6.50   2/28/2020    $ 1,882,983         1,884,624         1,835,908   

Devix US, Inc.

   Chemicals/Plastics    Term Loan    Loan      4.25   5/2/2021    $ 250,000         247,710         250,938   

Devix US, Inc.

   Chemicals/Plastics    Term Loan (Second Lien)    Loan      8.00   5/2/2022    $ 497,500         495,324         497,500   

Diamond Resorts International

   Lodging & Casinos    Term Loan    Loan      5.50   5/9/2021    $ 995,000         990,370         999,975   

Dollar Tree

   Retail    Term Loan B (3950MM)    Loan      4.25   3/9/2022    $ 1,000,000         995,000         1,007,500   

DPX Holdings B.V.

   Healthcare & Pharmaceuticals    Term Loan    Loan      4.25   3/11/2021    $ 2,985,000         2,978,605         2,962,075   

Drew Marine Group Inc.

   Chemicals/Plastics    Term Loan (First Lien)    Loan      4.50   11/19/2020    $ 1,489,975         1,495,721         1,473,213   

Education Management LLC

   Leisure Goods/Activities/Movies    Term Loan A    Loan      5.50   7/2/2020    $ 501,970         482,120         457,295   

Education Management LLC

   Leisure Goods/Activities/Movies    Term Loan B    Loan     
 
 
 
 
8.50%
(2.00%
Cash/
6.50%
PIK)
  
  
 
  
  
  7/2/2020    $ 836,617         805,283         672,882   

EIG Investors Corp.

   Services: Business    Term Loan    Loan      5.00   11/8/2019    $ 987,500         983,552         989,969   

Emerald Performance Materials, LLC

   Chemicals/Plastics    Term Loan (First Lien)    Loan      4.50   8/1/2021    $ 498,750         496,403         496,102   

Emerald Performance Materials, LLC

   Chemicals/Plastics    Term Loan (Second Lien)    Loan      7.75   8/1/2022    $ 500,000         497,553         484,845   

EnergySolutions, LLC

   Oil & Gas    Term Loan B    Loan      6.75   5/29/2020    $ 937,857         921,126         942,546   

Enviromental Resources Management

   Services: Business    Term Loan    Loan      5.00   5/14/2021    $ 1,000,000         990,000         985,000   

Evergreen Acqco 1 LP

   Retailers (Except Food and Drugs)    New Term Loan    Loan      5.00   7/9/2019    $ 975,056         972,887         955,555   

EWT Holdings III Corp. (fka WTG Holdings III Corp.)

   Industrial Equipment    Term Loan (First Lien)    Loan      4.75   1/15/2021    $ 1,987,481         1,982,274         1,972,575   

Federal-Mogul Corporation

   Automotive    Tranche C Term Loan    Loan      4.75   4/15/2021    $ 2,985,000         2,971,883         2,975,687   

First Data Corporation

   Financial Intermediaries    2017 Second New Dollar Term Loan    Loan      3.74   3/23/2018    $ 2,790,451         2,729,399         2,785,568   

First Data Corporation

   Financial Intermediaries    2018 Dollar Term Loan    Loan      4.24   3/24/2021    $ 2,111,028         2,021,476         2,115,777   

Fitness International, LLC

   Leisure Goods/Activities/Movies    Term Loan B    Loan      5.50   7/1/2020    $ 1,492,500         1,482,322         1,421,606   

FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)

   Nonferrous Metals/Minerals    Loan    Loan      3.75   6/28/2019    $ 1,982,462         1,982,212         1,835,423   

Four Seasons Holdings Inc.

   Lodging & Casinos    Term Loan (First Lien)    Loan      3.50   6/27/2020    $ 493,750         493,750         491,281   

Garda World Security Corporation

   Services: Business    Term B Delayed Draw Loan    Loan      4.00   11/6/2020    $ 201,157         200,308         199,146   

Garda World Security Corporation

   Services: Business    Term B Loan    Loan      4.00   11/6/2020    $ 786,343         783,060         778,479   

Gardner Denver, Inc.

   Oil & Gas    Initial Dollar Term Loan    Loan      4.25   7/30/2020    $ 2,476,212         2,467,608         2,377,164   

Gates Global LLC

   Leisure Goods/Activities/Movies    Term Loan (First Lien)    Loan      4.25   7/3/2021    $ 498,750         493,763         494,885