Saratoga Investment Corp.
SARATOGA INVESTMENT CORP. (Form: 10-Q, Received: 07/12/2017 16:02:11)
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

For the Quarterly Period Ended May 31, 2017

 

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  ☒    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, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (check one):

 

Large Accelerated Filer      Accelerated Filer  
Non-Accelerated Filer      Smaller Reporting Company  
     Emerging Growth Company  

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

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

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of July 12, 2017 was 5,967,273.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

 

 

         Page  

PART I.

  FINANCIAL INFORMATION      3  
Item 1.   Consolidated Financial Statements      3  
  Consolidated Statements of Assets and Liabilities as of May 31, 2017 (unaudited) and February 28, 2017      3  
  Consolidated Statements of Operations for the three months ended May 31, 2017 and May 31, 2016 (unaudited)      4  
  Consolidated Schedules of Investments as of May 31, 2017 (unaudited) and February 28, 2017      5  
  Consolidated Statements of Changes in Net Assets for the three months ended May 31, 2017 and May 31, 2016 (unaudited)      7  
  Consolidated Statements of Cash Flows for the three months ended May 31, 2017 and May 31, 2016 (unaudited)      8  
  Notes to Consolidated Financial Statements as of May 31, 2017 (unaudited)      9  
Item 2.   Management’s Discussion and Analysis of Financial Condition and Results of Operations      35  
Item 3.   Quantitative and Qualitative Disclosures About Market Risk      59  
Item 4.   Controls and Procedures      60  
PART II.   OTHER INFORMATION      61  
Item 1.   Legal Proceedings      61  
Item 1A.   Risk Factors      61  
Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds      61  
Item 3.   Defaults Upon Senior Securities      61  
Item 4.   Mine Safety Disclosures      61  
Item 5.   Other Information      61  
Item 6.   Exhibits      62  
Signatures      64  

 

2


Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

     As of  
     May 31, 2017     February 28, 2017  
     (unaudited)        

ASSETS

    

Investments at fair value

    

Non-control/Non-affiliate investments (amortized cost of $291,471,679 and $251,198,896, respectively)

   $   278,767,064     $   242,531,514  

Control investments (cost of $48,625,339 and $49,283,536, respectively)

     50,922,884       50,129,799  
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $340,097,018 and $300,482,432, respectively)

     329,689,948       292,661,313  

Cash and cash equivalents

     1,246,815       9,306,543  

Cash and cash equivalents, reserve accounts

     26,526,889       12,781,425  

Interest receivable (net of reserve of $817,374 and $157,560, respectively)

     3,652,935       3,294,450  

Management and incentive fee receivable

     276,484       171,106  

Other assets

     278,376       183,346  

Receivable from unsettled trades

     253,041       253,041  
  

 

 

   

 

 

 

Total assets

   $ 361,924,488     $ 318,651,224  
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facility

   $ 24,500,000     $ —    

Deferred debt financing costs, revolving credit facility

     (760,150     (437,183

SBA debentures payable

     134,660,000       112,660,000  

Deferred debt financing costs, SBA debentures payable

     (2,924,288     (2,508,280

Notes payable

     74,450,500       74,450,500  

Deferred debt financing costs, notes payable

     (2,578,509     (2,689,511

Base management and incentive fees payable

     3,992,960       5,814,692  

Accounts payable and accrued expenses

     773,025       852,987  

Interest and debt fees payable

     1,805,492       2,764,237  

Directors fees payable

     51,500       51,500  

Due to manager

     345,305       397,505  
  

 

 

   

 

 

 

Total liabilities

   $ 234,315,835     $ 191,356,447  
  

 

 

   

 

 

 

Commitments and contingencies (See Note 7)

    

NET ASSETS

    

Common stock, par value $.001, 100,000,000 common shares authorized, 5,884,475 and 5,794,600 common shares issued and outstanding, respectively

   $ 5,884     $ 5,795  

Capital in excess of par value

     192,449,147       190,483,931  

Distribution in excess of net investment income

     (26,898,415     (27,737,348

Accumulated net realized loss from investments and derivatives

     (27,540,893     (27,636,482

Accumulated net unrealized depreciation on investments and derivatives

     (10,407,070     (7,821,119
  

 

 

   

 

 

 

Total net assets

     127,608,653       127,294,777  
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 361,924,488     $ 318,651,224  
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 21.69     $ 21.97  
  

 

 

   

 

 

 

See accompanying notes to consolidated financial statements.

 

3


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

     For the three months ended
May 31, 2017
    For the three months ended
May 31, 2016
 

INVESTMENT INCOME

    

Interest from investments

    

Non-control/Non-affiliate investments

   $ 5,920,433     $ 6,620,113  

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

     223,273       129,090  

Control investments

     1,335,386       532,126  

Payment-in-kind interest income from Control investments

     262,109       —    
  

 

 

   

 

 

 

Total interest income

     7,741,201       7,281,329  

Interest from cash and cash equivalents

     7,081       3,786  

Management fee income

     375,681       373,684  

Incentive fee income

     105,295       —    

Other income

     478,190       249,596  
  

 

 

   

 

 

 

Total investment income

     8,707,448       7,908,395  
  

 

 

   

 

 

 

OPERATING EXPENSES

    

Interest and debt financing expenses

     2,523,606       2,368,056  

Base management fees

     1,391,027       1,227,157  

Professional fees

     384,331       359,299  

Administrator expenses

     375,000       325,000  

Incentive management fees

     176,096       728,280  

Insurance

     66,165       70,658  

Directors fees and expenses

     51,000       66,000  

General & administrative

     197,243       212,209  

Other expense

     38,531       13,187  
  

 

 

   

 

 

 

Total operating expenses

     5,202,999       5,369,846  
  

 

 

   

 

 

 

NET INVESTMENT INCOME

     3,504,449       2,538,549  
  

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

    

Net realized gain from investments

     95,589       6,102,905  

Net unrealized depreciation on investments

     (2,585,951     (5,353,867
  

 

 

   

 

 

 

Net gain (loss) on investments

     (2,490,362     749,038  
  

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 1,014,087     $ 3,287,587  
  

 

 

   

 

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

   $ 0.17     $ 0.57  

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED

     5,861,654       5,737,496  

See accompanying notes to consolidated financial statements.

 

4


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

May 31, 2017

(unaudited)

 

Company

 

Industry

 

Investment Interest Rate/
Maturity

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

Non-control/Non-affiliated investments - 218.5% (b)

 

     

Apex Holdings Software Technologies, LLC

  Business Services   First Lien Term Loan
(L+8.00%), 9.21% Cash, 9/21/2021
  $ 18,000,000     $ 17,864,592     $ 18,000,000       14.1

Avionte Holdings, LLC (g)

  Business Services   Common Stock     100,000       100,000       257,000       0.2

BMC Software, Inc. (d)

  Business Services   Syndicated Loan (L+4.00%), 5.21% Cash, 9/10/2022   $ 4,883,493       4,835,787       4,905,468       3.8

CLEO Communications Holding, LLC

  Business Services   First Lien Term Loan (L+7.00%), 8.21% Cash/2.00% PIK, 3/31/2022   $ 13,000,000       12,872,436       12,870,000       10.1

CLEO Communications Holding, LLC (j)

  Business Services   Delayed Draw Term Loan (L+7.00%), 8.21% Cash/2.00% PIK, 3/31/2022   $ —         —         —         0.0

Courion Corporation

  Business Services   Second Lien Term Loan (L+10.00%), 11.21% Cash, 6/1/2021   $ 15,000,000       14,885,014       14,229,000       11.1

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020   $ 3,300,000       3,287,284       3,321,450       2.6

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

  Business Services   Warrant Membership Interests Expires 12/28/2022     49,318       400,000       426,600       0.3

Erwin, Inc.

  Business Services   Second Lien Term Loan (L+11.50%), 12.71% Cash/1.00% PIK, 8/28/2021   $ 13,143,616       13,036,964       13,143,616       10.3

FranConnect LLC (d)

  Business Services   First Lien Term Loan (L+7.00%), 8.50% Cash, 5/26/2022   $ 14,500,000       14,427,500       14,427,500       11.3

GreyHeller LLC

  Business Services   First Lien Term Loan (L+11.00%), 12.21% Cash, 11/16/2021   $ 7,000,000       6,935,808       7,000,000       5.5

GreyHeller LLC (j)

  Business Services   Delayed Draw Term Loan B (L+11.00%), 12.21% Cash, 11/16/2021   $ —         —         —         0.0

GreyHeller LLC (g)

  Business Services   Common Stock     850,000       850,000       850,000       0.7

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

  Business Services   First Lien Term Loan (L+5.25%), 6.46% Cash, 10/8/2021   $ 5,932,462       5,847,487       5,937,208       4.7

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

  Business Services   Second Lien Term Loan (L+9.50%), 10.71% Cash, 10/8/2022   $ 3,000,000       2,925,229       2,928,900       2.3

Identity Automation Systems

  Business Services   Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018   $ 621,695       621,695       621,695       0.5

Identity Automation Systems (g)

  Business Services   Common Stock Class A Units     232,616       232,616       514,298       0.4

Identity Automation Systems

  Business Services   First Lien Term Loan (L+9.25%), 10.46% Cash/1.75% PIK, 12/18/2020   $ 10,324,839       10,261,369       10,324,839       8.1

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan (L+8.75%), 9.96% Cash, 7/20/2021   $ 16,888,730       16,833,572       16,888,731       13.2

Microsystems Company

  Business Services   Second Lien Term Loan (L+10.00%), 11.21% Cash, 7/1/2022   $ 8,000,000       7,929,936       8,000,000       6.3

National Waste Partners (d)

  Business Services   First Lien Term Loan 10.00% Cash, 2/13/2022   $ 9,000,000       8,910,000       8,910,000       7.0

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 8,711,174       8,679,449       8,711,174       6.8

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

  Business Services   Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025     343       —         328,008       0.3
       

 

 

   

 

 

   

 

 

 
    Total Business Services       151,736,738       152,595,487       119.6
       

 

 

   

 

 

   

 

 

 

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

  Consumer Products   Common Stock     210,456       1,791,242       24,957       0.0

Targus Holdings, Inc. (d)

  Consumer Products   Second Lien Term Loan A-2 15.00% PIK, 12/31/2019   $ 243,206       243,206       243,206       0.2

Targus Holdings, Inc. (d)

  Consumer Products   Second Lien Term Loan B 15.00% PIK, 12/31/2019   $ 729,230       729,230       729,230       0.6
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       2,763,678       997,393       0.8
       

 

 

   

 

 

   

 

 

 

My Alarm Center, LLC (g)

  Consumer Services   Second Lien Term Loan (L+11.00%), 12.21% Cash, 7/9/2019   $ 10,343,750       10,329,743       2,695,581       2.1

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan (L+5.25%), 6.50% Cash, 7/1/2019   $ 2,558,573       2,546,279       2,564,458       2.0

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan (L+9.00%), 10.25% Cash, 7/1/2020   $ 11,000,000       10,968,443       10,957,100       8.6
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       23,844,465       16,217,139       12.7
       

 

 

   

 

 

   

 

 

 

C2 Educational Systems

  Education   First Lien Term Loan (L+8.50%), 10.00% Cash, 5/31/2020   $ 16,000,000       15,840,181       15,840,000       12.4

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), (g)

  Education   First Lien Term Loan 1.00% Cash, 3/31/2018   $ 2,321,073       1,193,790       6,320       0.0

Texas Teachers of Tomorrow, LLC (g), (h)

  Education   Common Stock     750,000       750,000       878,603       0.7

Texas Teachers of Tomorrow, LLC

  Education   Second Lien Term Loan (L+8.00%), 9.21% Cash, 6/2/2021   $ 10,000,000       9,922,434       10,000,000       7.8
       

 

 

   

 

 

   

 

 

 
    Total Education       27,736,646       26,724,923       20.9
       

 

 

   

 

 

   

 

 

 

TM Restaurant Group L.L.C. (g)

  Food and Beverage   First Lien Term Loan 14.50% PIK, 7/17/2017   $ 9,358,694       9,349,470       8,279,637       6.5

TM Restaurant Group L.L.C. (g), (i)

  Food and Beverage   Revolver 14.50% PIK, 7/17/2017   $ 413,954       413,954       366,225       0.3
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       9,763,424       8,645,862       6.8
       

 

 

   

 

 

   

 

 

 

Censis Technologies, Inc.

  Healthcare Services   First Lien Term Loan B (L+10.00%), 11.21% Cash, 7/24/2019   $ 10,950,000       10,840,545       10,879,920       8.5

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

  Healthcare Services   Limited Partner Interests     999       999,000       907,701       0.7

ComForCare Health Care

  Healthcare Services   First Lien Term Loan (L+8.50%), 9.71% Cash, 1/31/2022   $ 10,500,000       10,400,434       10,500,000       8.2

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

  Healthcare Services   Common Stock     5,081       508,077       585,152       0.5

Roscoe Medical, Inc.

  Healthcare Services   Second Lien Term Loan 11.25% Cash, 9/26/2019   $ 4,200,000       4,159,694       4,186,560       3.3

Ohio Medical, LLC (g)

  Healthcare Services   Common Stock     5,000       500,000       218,050       0.2

Ohio Medical, LLC

  Healthcare Services   Senior Subordinated Note 12.00% Cash, 7/15/2021   $ 7,300,000       7,241,526       6,395,530       5.0

Zest Holdings, LLC (d)

  Healthcare Services   Syndicated Loan (L+4.25%), 5.46% Cash, 8/16/2023   $ 4,136,911       4,056,579       4,162,973       3.3
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       38,705,855       37,835,886       29.7
       

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

  Media   First Lien Term Loan 12.00% Cash/2.00% PIK, 7/8/2021   $ 8,343,607       8,267,744       8,593,916       6.7

HMN Holdco, LLC

  Media   Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021   $ 4,800,000       4,754,553       4,824,000       3.8

HMN Holdco, LLC (g)

  Media   Class A Series, Expires 1/16/2025     4,264       61,647       263,131       0.2

HMN Holdco, LLC (g)

  Media   Class A Warrant, Expires 1/16/2025     30,320       438,353       1,481,132       1.2

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024     57,872       —         2,530,743       2.0

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024     8,139       —         413,217       0.3
       

 

 

   

 

 

   

 

 

 
    Total Media       13,522,297       18,106,139       14.2
       

 

 

   

 

 

   

 

 

 

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

  Metals   Common Stock     35,000       9,217,564       1,458,100       1.1

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

  Metals   Second Lien Term Loan 15.00% PIK, 8/10/2022   $ 437,500       437,500       437,500       0.4
       

 

 

   

 

 

   

 

 

 
    Total Metals       9,655,064       1,895,600       1.5
       

 

 

   

 

 

   

 

 

 

Mercury Network, LLC

  Real Estate   Second Lien Term Loan (L+10.50%), 11.71% Cash, 3/17/2022   $ 12,988,202       12,885,683       13,118,084       10.2

Mercury Network, LLC (g)

  Real Estate   Common Stock     580,559       857,829       2,630,551       2.1
       

 

 

   

 

 

   

 

 

 
    Total Real Estate       13,743,512       15,748,635       12.3
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      291,471,679       278,767,064       218.5
       

 

 

   

 

 

   

 

 

 

Control investments - 39.9% (b)

         

Easy Ice, LLC (f)

  Business Services   Preferred Equity 10.00% PIK     5,080,000       8,124,444       8,131,921       6.4

Easy Ice, LLC (d), (f)

  Business Services   First Lien Term Loan (L+10.25%), 11.31% Cash, 1/15/2020   $ 26,680,000       26,480,450       26,680,000       20.9
       

 

 

   

 

 

   

 

 

 
    Total Business Services       34,604,894       34,811,921       27.3
       

 

 

   

 

 

   

 

 

 

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

  Structured Finance Securities   Other/Structured Finance Securities 22.56%, 10/20/2025   $ 30,000,000       9,520,445       11,563,263       9.0

Saratoga Investment Corp. Class F Note (a), (d), (f)

  Structured Finance Securities   Other/Structured Finance Securities (L+8.50%), 9.71%, 10/20/2025   $ 4,500,000       4,500,000       4,547,700       3.6
       

 

 

   

 

 

   

 

 

 
    Total Structured Finance Securities       14,020,445       16,110,963       12.6
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          48,625,339       50,922,884       39.9
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 258.4% (b)

    $ 340,097,018     $ 329,689,948       258.4
       

 

 

   

 

 

   

 

 

 
            Principal     Cost     Fair Value     % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 21.8% (b)

       

U.S. Bank Money Market (k)

      $ 27,773,704     $ 27,773,704     $ 27,773,704       21.8
     

 

 

   

 

 

   

 

 

   

 

 

 

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

  $ 27,773,704     $ 27,773,704     $ 27,773,704       21.8
     

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 4.9% 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 $127,608,653 as of May 31, 2017.
(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 either fully or partially 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 22.56% 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
and Incentive
Fee Income
     Net Realized
Gains
(Losses)
     Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

   $ —        $ —        $ —        $ 1,037,917      $ —        $ —        $ (8,811

Saratoga Investment Corp. CLO 2013-1, Ltd.

   $ —        $ —        $ —        $ 453,586      $ 480,976      $ —        $ 1,411,943  

Saratoga Investment Corp. Class F Note

   $ —        $ —        $ —        $ 105,992      $ —        $ —        $ 48,150  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(g) Non-income producing at May 31, 2017.
(h) Includes securities issued by an affiliate of the company.
(i) The investment has an unfunded commitment as of May 31, 2017 (see Note 7 to the consolidated financial statements).
(j) The entire commitment was unfunded at May 31, 2017. As such, no interest is being earned on this investment.
(k) 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 May 31, 2017.

 

5


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2017

 

Company

 

Industry

 

Investment Interest Rate/
Maturity

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

Non-control/Non-affiliated investments - 190.5% (b)

       

Apex Holdings Software Technologies, LLC

  Business Services   First Lien Term Loan (L+8.00%), 9.05% Cash, 9/21/2021   $ 18,000,000     $ 17,857,818     $ 17,843,400       14.0

Avionte Holdings, LLC (g)

  Business Services   Common Stock     100,000       100,000       251,000       0.2

BMC Software, Inc. (d)

  Business Services   Syndicated Loan (L+4.00%), 5.05% Cash, 9/10/2020   $ 5,611,666       5,582,551       5,639,163       4.4

Courion Corporation

  Business Services   Second Lien Term Loan (L+10.00%), 11.05% Cash, 6/1/2021   $ 15,000,000       14,879,353       14,230,500       11.2

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020   $ 3,300,000       3,282,213       3,316,500       2.6

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

  Business Services   Warrant Membership Interests Expires 12/28/2022     49,318       400,000       394,544       0.3

Erwin, Inc.

  Business Services   Second Lien Term Loan (L+11.50%), 12.55% (11.50% Cash/1.00% PIK), 8/28/2021   $ 13,111,929       13,000,581       13,111,929       10.2

GreyHeller LLC

  Business Services   First Lien Term Loan (L+11.00%), 12.05% Cash, 11/16/2021   $ 7,000,000       6,933,141       6,930,000       5.4

GreyHeller LLC (i), (j)

  Business Services   Delayed Draw Term Loan B (L+11.00%), 12.05% Cash, 11/16/2021   $ —         —         —         0.0

GreyHeller LLC (g)

  Business Services   Common Stock     850,000       850,000       850,000       0.7

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

  Business Services   First Lien Term Loan (L+5.25%), 6.30% Cash, 10/8/2021   $ 5,947,481       5,857,960       5,947,481       4.7

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

  Business Services   Second Lien Term Loan (L+9.50%), 10.55% Cash, 10/8/2022   $ 3,000,000       2,922,606       2,926,800       2.3

Identity Automation Systems

  Business Services   Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018     611,517       611,517       611,517       0.5

Identity Automation Systems (g)

  Business Services   Common Stock Class A Units     232,616       232,616       386,143       0.3

Identity Automation Systems

  Business Services   First Lien Term Loan (L+9.25%), 10.30% (9.25% Cash/1.75% PIK) 12/18/2020   $ 10,293,791       10,223,741       10,293,791       8.1

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan (L+8.75%), 9.80% Cash, 7/20/2021   $ 17,777,730       17,692,307       17,777,730       14.0

Microsystems Company

  Business Services   Second Lien Term Loan (L+10.00%), 11.05% Cash, 7/1/2022   $ 8,000,000       7,927,489       7,964,800       6.3

National Waste Partners

  Business Services   First Lien Term Loan 10.00% Cash, 2/13/2022   $ 9,000,000       8,910,000       8,910,000       7.0

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 8,819,270       8,778,186       8,819,270       6.9

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

  Business Services   Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025     343       —         327,200       0.3
       

 

 

   

 

 

   

 

 

 
    Total Business Services       126,042,079       126,531,768       99.4
       

 

 

   

 

 

   

 

 

 

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

  Consumer Products   Common Stock     210,456       1,791,242       29,241       0.0

Targus Holdings, Inc. (d)

  Consumer Products   Second Lien Term Loan A-2 15.00% PIK, 12/31/2019   $ 234,630       234,630       234,630       0.2

Targus Holdings, Inc. (d)

  Consumer Products   Second Lien Term Loan B 15.00% PIK, 12/31/2019   $ 703,889       703,889       703,889       0.6
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       2,729,761       967,760       0.8
       

 

 

   

 

 

   

 

 

 

My Alarm Center, LLC

  Consumer Services   Second Lien Term Loan (L+11.00%), 12.05% Cash, 7/9/2019   $ 9,375,000       9,359,492       7,061,250       5.6

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan (L+5.25%), 6.50% Cash, 7/1/2019   $ 2,687,143       2,672,435       2,687,143       2.1

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan (L+9.00%), 10.25% Cash, 7/1/2020   $ 11,000,000       10,966,188       11,000,000       8.6
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       22,998,115       20,748,393       16.3
       

 

 

   

 

 

   

 

 

 

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 1.0% Cash, 3/31/2018   $ 2,321,073       1,193,790       8,087       0.0

Texas Teachers of Tomorrow, LLC (g), (h)

  Education   Common Stock     750       750,000       919,680       0.7

Texas Teachers of Tomorrow, LLC

  Education   Second Lien Term Loan (L+9.75%), 10.80% Cash, 6/2/2021   $ 10,000,000       9,918,572       10,000,000       7.9
       

 

 

   

 

 

   

 

 

 
    Total Education       11,892,603       10,927,767       8.6
       

 

 

   

 

 

   

 

 

 

TM Restaurant Group L.L.C. (g)

  Food and Beverage   First Lien Term Loan (L+8.50%), 9.75% Cash, 7/17/2017   $ 9,358,694       9,331,446       8,422,825       6.6
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       9,331,446       8,422,825       6.6
       

 

 

   

 

 

   

 

 

 

Censis Technologies, Inc.

  Healthcare Services   First Lien Term Loan B (L+10.00%), 11.05% Cash, 7/24/2019   $ 11,100,000       10,977,689       10,940,160       8.6

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

  Healthcare Services   Limited Partner Interests     999       999,000       886,772       0.7

ComForCare Health Care

  Healthcare Services   First Lien Term Loan (L+8.50%), 9.55% Cash, 1/31/2022   $ 10,500,000       10,398,957       10,395,000       8.2

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

  Healthcare Services   Common Stock     5,081       508,077       680,823       0.5

Roscoe Medical, Inc.

  Healthcare Services   Second Lien Term Loan 11.25% Cash, 9/26/2019   $ 4,200,000       4,155,827       4,179,000       3.3

Ohio Medical, LLC (g)

  Healthcare Services   Common Stock     5,000       500,000       288,800       0.2

Ohio Medical, LLC

  Healthcare Services   Senior Subordinated Note 12.00%, 7/15/2021   $ 7,300,000       7,238,831       6,989,750       5.5

Zest Holdings, LLC (d)

  Healthcare Services   Syndicated Loan (L+4.75%), 5.80% Cash, 8/17/2020   $ 4,136,911       4,085,888       4,183,658       3.3
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       38,864,269       38,543,963       30.3
       

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

  Media   First Lien Term Loan 12.00% Cash, 7/8/2021   $ 8,462,482       8,376,876       8,462,482       6.6

HMN Holdco, LLC

  Media   Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021   $ 4,800,000       4,751,258       4,800,000       3.8

HMN Holdco, LLC (g)

  Media   Class A Series, Expires 1/16/2025     4,264       61,647       294,770       0.2

HMN Holdco, LLC (g)

  Media   Class A Warrant, Expires 1/16/2025     30,320       438,353       1,706,410       1.3

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024     57,872       —         2,961,310       2.3

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024     8,139       —         473,690       0.4
       

 

 

   

 

 

   

 

 

 
    Total Media       13,628,134       18,698,662       14.6
       

 

 

   

 

 

   

 

 

 

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

  Metals   Common Stock     35,000       9,217,564       413,350       0.3

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

  Metals   Second Lien Term Loan 15.00% PIK, 8/10/2022   $ 437,500       437,500       437,500       0.4
       

 

 

   

 

 

   

 

 

 
    Total Metals       9,655,064       850,850       0.7
       

 

 

   

 

 

   

 

 

 

Mercury Network, LLC

  Real Estate   First Lien Term Loan (L+9.50%), 10.55% Cash, 8/24/2021   $ 15,773,875       15,644,382       15,773,875       12.4

Mercury Network, LLC (g)

  Real Estate   Common Stock     413,043       413,043       1,065,651       0.8
       

 

 

   

 

 

   

 

 

 
    Total Real Estate       16,057,425       16,839,526       13.2
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      251,198,896       242,531,514       190.5
       

 

 

   

 

 

   

 

 

 

Control investments - 39.4% (b)

           

Easy Ice, LLC (g)

  Business Services   Preferred Equity     5,080,000       8,000,000       8,000,000       6.3

Easy Ice, LLC (d), (f)

  Business Services   First Lien Term Loan (L+10.25%), 11.02% Cash, 1/15/2020   $ 26,680,000       26,464,162       26,680,000       20.9
       

 

 

   

 

 

   

 

 

 
    Total Business Services       34,464,162       34,680,000       27.2
       

 

 

   

 

 

   

 

 

 

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

  Structured Finance Securities   Other/Structured Finance Securities 14.87%, 10/20/2025   $ 30,000,000       10,319,374       10,950,249       8.7

Saratoga Investment Corp. Class F Note (a), (d), (f)

  Structured Finance Securities   Other/Structured Finance Securities (L+8.50%), 9.55%, 10/20/2025   $ 4,500,000       4,500,000       4,499,550       3.5
       

 

 

   

 

 

   

 

 

 
    Total Structured Finance Securities       14,819,374       15,449,799       12.2
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          49,283,536       50,129,799       39.4
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 229.9% (b)

        $ 300,482,432     $ 292,661,313       229.9
       

 

 

   

 

 

   

 

 

 
            Principal     Cost     Fair Value     % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 17.4% (b)

       

U.S. Bank Money Market (k)

      $ 22,087,968     $ 22,087,968     $ 22,087,968       17.4
     

 

 

   

 

 

   

 

 

   

 

 

 

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

  $ 22,087,968     $ 22,087,968     $ 22,087,968       17.4
     

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 5.3% 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 $127,294,777 as of February 28, 2017.
(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 14.87% 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:

 

                   Sales
(Cost)
     Interest
Income
     Management
Fee Income
     Net
Realized

Gains
(Losses)
     Net Unrealized
Appreciation
(Depreciation)
 

Company

   Purchases      Redemptions                 

Easy Ice, LLC

   $ 20,553,200      $ —        $ —        $ 217,362      $ —        $ —        $ 283,226  

Saratoga Investment Corp. CLO 2013-1, Ltd.

   $ —        $ —        $ —        $ 1,941,914      $ 1,499,001      $ —        $ 833,646  

Saratoga Investment Corp. Class F Note

   $ 4,500,000      $ —        $ —        $ 122,121      $ —        $ —        $ (450
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(g) Non-income producing at February 28, 2017.
(h) Includes securities issued by an affiliate of the company.
(i) The investment has an unfunded commitment as of February 28, 2017 (see Note 7 to the consolidated financial statements).
(j) The entire commitment was unfunded at February 28, 2017. As such, no interest is being earned on this investment.
(k) 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, 2017.

 

6


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

     For the three months ended
May 31, 2017
    For the three months ended
May 31, 2016
 

INCREASE FROM OPERATIONS:

    

Net investment income

   $ 3,504,449     $ 2,538,549  

Net realized gain from investments

     95,589       6,102,905  

Net unrealized depreciation on investments

     (2,585,951     (5,353,867
  

 

 

   

 

 

 

Net increase in net assets from operations

     1,014,087       3,287,587  
  

 

 

   

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

    

Distributions declared

     (2,665,516     (2,346,311
  

 

 

   

 

 

 

Net decrease in net assets from shareholder distributions

     (2,665,516     (2,346,311
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

    

Proceeds from issuance of common stock

     1,367,168       —    

Stock dividend distribution

     622,088       1,750,901  

Repurchases of common stock

     —         (713,184

Offering costs

     (23,951     —    
  

 

 

   

 

 

 

Net increase in net assets from capital share transactions

     1,965,305       1,037,717  
  

 

 

   

 

 

 

Total increase in net assets

     313,876       1,978,993  

Net assets at beginning of period

     127,294,777       125,149,875  
  

 

 

   

 

 

 

Net assets at end of period

   $ 127,608,653     $ 127,128,868  
  

 

 

   

 

 

 

Net asset value per common share

   $ 21.69     $ 22.11  

Common shares outstanding at end of period

     5,884,475       5,750,222  

Distribution in excess of net investment income

   $ (26,898,415   $ (26,025,665

See accompanying notes to consolidated financial statements.

 

7


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

     For the three months ended
May 31, 2017
    For the three months ended
May 31, 2016
 

Operating activities

    

NET INCREASE IN NET ASSETS FROM OPERATIONS

   $ 1,014,087     $ 3,287,587  

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

    

Payment-in-kind interest income

     (261,677     (134,256

Net accretion of discount on investments

     (168,970     (136,568

Amortization of deferred debt financing costs

     236,124       262,663  

Net realized gain from investments

     (95,589     (6,102,905

Net unrealized depreciation on investments

     2,585,951       5,353,867  

Proceeds from sales and repayments of investments

     5,876,640       20,588,570  

Purchase of investments

     (44,964,990     —    

(Increase) decrease in operating assets:

    

Interest receivable

     (358,485     (246,128

Management and incentive fee receivable

     (105,378     (478

Other assets

     1,938       (9,834

Receivable from unsettled trades

     —         300,000  

Increase (decrease) in operating liabilities:

    

Base management and incentive fees payable

     (1,821,732     159,089  

Accounts payable and accrued expenses

     64,171       82,384  

Interest and debt fees payable

     (958,745     (513,146

Payable for repurchases of common stock

     —         15,930  

Directors fees payable

     —         22,500  

Due to manager

     (52,200     6,977  
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

     (39,008,855     22,936,252  
  

 

 

   

 

 

 

Financing activities

    

Borrowings on debt

     46,500,000       —    

Payments of deferred debt financing costs

     (1,108,645     (313,400

Proceeds from issuance of common stock

     1,367,168       —    

Payments of offering costs

     (20,504     —    

Repurchases of common stock

     —         (713,184

Payments of cash dividends

     (2,043,428     (1,471,009
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

     44,694,591       (2,497,593
  

 

 

   

 

 

 

NET INCREASE IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS

     5,685,736       20,438,659  

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD

     22,087,968       7,034,783  
  

 

 

   

 

 

 

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD

   $ 27,773,704     $ 27,473,442  
  

 

 

   

 

 

 

Supplemental information:

    

Interest paid during the period

   $ 3,246,228     $ 2,618,539  

Cash paid for taxes

   $ 54,084     $ 140,029  

Supplemental non-cash information:

    

Payment-in-kind interest income

   $ 261,677     $ 134,256  

Net accretion of discount on investments

   $ 168,970     $ 136,568  

Amortization of deferred debt financing costs

   $ 236,124     $ 262,663  

Stock dividend distribution

   $ 622,088     $ 1,750,901  

See accompanying notes to consolidated financial statements.

 

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SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

May 31, 2017

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

GSC Investment, LLC (the “LLC”) was organized in May 2006 as a Maryland limited liability company. 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.” in connection with the consummation of a recapitalization transaction.

The Company is externally managed and advised by the investment adviser, Saratoga Investment Advisors, LLC (the “Manager”), pursuant to a management agreement (the “Management Agreement”). Prior to July 30, 2010, the Company was managed and advised by GSCP (NJ), L.P.

The Company has established wholly-owned subsidiaries, SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH, Inc., SIA Mercury, Inc., SIA TT Inc., and SIA Vector Inc., which are structured as Delaware entities, or tax blockers, to hold equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). Tax blockers are consolidated for accounting purposes, but are not consolidated for income tax purposes and may incur income tax expense as a result of their ownership of portfolio companies.

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

On April 2, 2015, the SBA issued a “green light” letter inviting the Company to continue the application process to obtain a license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued review of our application for a second license, and in order to ensure that they were reviewing the most current information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this request, with which we are in the process of complying, the existing “green light” letter that the SBA issued to us has expired. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue up to $150.0 million of additional SBA-guaranteed debentures in addition to the $150.0 million already approved under the first license.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company

 

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and its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH, Inc., SIA Mercury, Inc., SIA TT Inc., and SIA Vector Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.

The Company and SBIC LP are both considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies (“ASC 946”). There have been no changes to the Company or SBIC LP’s status as investment companies during the three months ended May 31, 2017.

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, except as allowed pursuant to Rule 12d1-1 of Section 12(d)(1) of the 1940 Act which is designed to permit “cash sweep” arrangements rather than investments directly in short-term instruments; or

 

    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 May 31, 2017, the Company did not exceed any of these limitations.

Cash and Cash Equivalents, Reserve Accounts

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

In addition, cash and cash equivalents, reserve accounts also include amounts held in designated bank accounts, in the form of cash and short-term liquid investments in money market funds, within our wholly-owned subsidiary, SBIC LP.

In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (“ASU 2016-18”). ASU 2016-18 requires that the statements of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statements of cash flows. The new guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, and early adoption is permitted and is to be applied on a retrospective basis. The Company has adopted the provisions of ASU 2016-18 as of November 30, 2016. The adoption of the provisions of ASU 2016-18 did not materially impact the Company’s consolidated financial position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.

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

 

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     May 31,
2017
     May 31,
2016
 

Cash and cash equivalents

   $ 1,246,815      $ 1,309,111  

Cash and cash equivalents, reserve accounts

     26,526,889        26,164,331  
  

 

 

    

 

 

 

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

   $ 27,773,704      $ 27,473,442  
  

 

 

    

 

 

 

Investment Classification

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

Investment Valuation

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

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third party independent valuation firm. Determinations of fair value may involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio 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.

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

 

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

 

    An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year.

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

 

    The audit committee of our board of directors reviews and approves each preliminary valuation and 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.

The Company’s 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

 

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equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. The Company’s 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

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

Investment Transactions and Income Recognition

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

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

Other Income

Other income includes dividends received, origination fees, structuring fees and advisory fees, and is recorded in the consolidated statements of operations when earned.

Payment-in-Kind Interest

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

Deferred Debt Financing Costs

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

 

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ASU 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”) requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. 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. Prior period amounts were reclassified to conform to the current period presentation.

Contingencies

In the ordinary course of business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management feels that the likelihood of such an event is remote. Therefore, the Company has not accrued any liabilities in connection with such indemnifications.

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 the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes.

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

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

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

ASC 740, Income Taxes , (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2017, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2014, 2015 and 2016 federal tax years for the Company remain subject to examination by the IRS. As of May 31, 2017 and February 28, 2017, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.

 

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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 October 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X will have on the Company’s consolidated financial statements and related disclosures.

In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”), which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The guidance is effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management is currently evaluating the impact ASU 2016-15 will have on the Company’s consolidated financial statements and disclosures.

In February 2016, the FASB issued ASU 2016-02, Amendments to the Leases (“ASU Topic 842”), which will require for all operating leases the recognition of a right-of-use asset and a lease liability, in the statement of financial position. The lease cost will be allocated over the lease term on a straight-line basis. This guidance is effective for annual and interim periods beginning after December 15, 2018. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

In January 2016, the FASB issued ASU 2016-01, Financial Instruments — Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). ASU 2016-01 retains many current requirements for the classification and measurement of financial instruments; however, it significantly revises an entity’s accounting related to (1) the classification and measurement of investments in equity securities and (2) the presentation of certain fair value changes for financial liabilities measured at fair value. ASU 2016-01 also amends certain disclosure requirements associated with the fair value of financial instruments. This guidance is effective for annual and interim periods beginning after December 15, 2017, and early adoption is not permitted for public business entities. Management is currently evaluating the impact the adoption of this standard has on the Company’s consolidated financial statements and disclosures.

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In May 2016, ASU 2016-12 amended ASU 2014-09 and deferred the effective period to December 15, 2017. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

 

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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 a disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence.

In addition to using the above inputs in investment valuations, the Company continues to employ the valuation policy approved by the board of directors that is consistent with ASC 820 and the 1940 Act (see Note 2). Consistent with our valuation policy, we evaluate the source of inputs, including any markets in which our investments are trading, in determining fair value.

The following table presents fair value measurements of investments, by major class, as of May 31, 2017 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —        $ 9,068      $ 9,068  

First lien term loans

     —          —          186,015        186,015  

Second lien term loans

     —          —          95,975        95,975  

Structured finance securities

     —          —          16,111        16,111  

Equity interests

     —          —          22,521        22,521  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ 329,690      $ 329,690  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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The following table presents fair value measurements of investments, by major class, as of February 28, 2017 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —        $ 9,823      $ 9,823  

First lien term loans

     —          —          159,097        159,097  

Second lien term loans

     —          —          87,750        87,750  

Structured finance securities

     —          —          15,450        15,450  

Equity interests

     —          —          20,541        20,541  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ 292,661      $ 292,661  
  

 

 

    

 

 

    

 

 

    

 

 

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2017 (dollars in thousands):

 

     Syndicated
loans
    First lien
term loans
    Second
lien
term loans
    Structured
finance
securities
    Equity
interests
    Total  

Balance as of February 28, 2017

   $ 9,823     $ 159,097     $ 87,750     $ 15,450     $ 20,541     $ 292,661  

Net unrealized appreciation (depreciation) on investments

     21       387       (5,855     1,460       1,401       (2,586

Purchases and other adjustments to cost

     6       43,738       1,073       —         579       45,396  

Sales and repayments

     (728     (1,440     (2,786     (799     (124     (5,877

Net realized gain (loss) from investments

     (54     7       19       —         124       96  

Restructures in

     —         —         15,774       —         —         15,774  

Restructures out

     —         (15,774     —         —         —         (15,774
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of May 31, 2017

   $ 9,068     $ 186,015     $ 95,975     $ 16,111     $ 22,521     $ 329,690  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period:

   $ 21     $ 387     $ (5,855   $ 1,460     $ 1,401     $ (2,586

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

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur.

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2016 (dollars in thousands):

 

 

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Table of Contents
     Syndicated
loans
    First lien
term loans
    Second
lien
term loans
     Structured
finance
securities
    Equity
interests
    Total  

Balance as of February 29, 2016

   $ 11,868     $ 144,643     $ 88,178      $ 12,828     $ 26,479     $ 283,996  

Net unrealized appreciation (depreciation) on investments

     1,242       (363     1,268        583       (8,084     (5,354

Purchases and other adjustments to cost

     26       164       73        —         8       271  

Sales and redemptions

     (95     (13,078     —          (959     (6,457     (20,589

Net realized gain from investments

     1       126       —          —         5,976       6,103  
  

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Balance as of May 31, 2016

   $ 13,042     $ 131,492     $ 89,519      $ 12,452     $ 17,922     $ 264,427  
  

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period:

   $ 1,242     $ (297   $ 1,268      $ 583     $ (2,329   $ 467  
  

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

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

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of May 31, 2017 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input    Range

Syndicated loans

   $ 9,068      Market Comparables    Third-Party Bid (%)    100.5%  - 101.1%

First lien term loans

     186,015      Market Comparables    Market Yield (%)    6.4%  - 13.9%
         EBITDA Multiples (x)    3.0x  - 5.5x
         Third-Party Bid (%)    100%  - 100.5%

Second lien term loans

     95,975      Market Comparables    Market Yield (%)    9.2%  - 90.3%
         Third-Party Bid (%)    97.6%  - 99.8%

Structured finance securities

     16,111      Discounted Cash Flow    Discount Rate (%)    8.0%  - 13.0%

Equity interests

     22,521      Market Comparables    EBITDA Multiples (x)    3.7x  - 16.3x

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2017 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input    Range

Syndicated loans

   $ 9,823      Market Comparables    Third-Party Bid (%)    100.5% - 101.1%

First lien term loans

     159,097      Market Comparables    Market Yield (%)    6.3% - 39.0%
         EBITDA Multiples (x)    3.0x - 10.3x
         Third-Party Bid (%)    100.0% - 100.2%

Second lien term loans

     87,750      Market Comparables    Market Yield (%)    10.1% - 26.4%
         Third-Party Bid (%)    97.6% - 99.9%

Structured finance securities

     15,450      Discounted Cash Flow    Discount Rate (%)    8.5% - 13.0%

Equity interests

     20,541      Market Comparables    EBITDA Multiples (x)    3.7x - 12.0x

 

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

The composition of our investments as of May 31, 2017, at amortized cost and fair value was as follows (dollars in thousands):

 

     Investments at
Amortized Cost
     Amortized Cost
Percentage of

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

Syndicated loans

   $ 8,892        2.6   $ 9,068        2.8

First lien term loans

     187,097        55.0       186,015        56.4  

Second lien term loans

     104,605        30.8       95,975        29.1  

Structured finance securities

     14,020        4.1       16,111        4.9  

Equity interests

     25,483        7.5       22,521        6.8  
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 340,097        100.0   $ 329,690        100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

The composition of our investments as of February 28, 2017, at amortized cost and fair value was as follows (dollars in thousands):

 

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

Syndicated loans

   $ 9,669        3.2   $ 9,823        3.4

First lien term loans

     160,436        53.4       159,097        54.3  

Second lien term loans

     90,655        30.2       87,750        30.0  

Structured finance securities

     14,819        4.9       15,450        5.3  

Equity interests

     24,903        8.3       20,541        7.0  
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 300,482        100.0   $ 292,661        100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

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

For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then waterfall the enterprise value over the portfolio 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 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. 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 flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at May 31, 2017. The significant inputs at May 31, 2017 for the valuation model include:

 

    Default rates: 2.0%

 

    Recovery rates: 35-70%

 

    Discount rate: 13.0%

 

    Prepayment rate: 20.0%

 

    Reinvestment rate / price: L+350bps / $99.75.

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

On January 22, 2008, the Company invested $30.0 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by the Company that invests primarily in senior secured loans. Additionally, the Company entered into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was initially refinanced in October 2013 and its reinvestment period ended in October 2016. On November 15, 2016, the Company completed the second refinancing of the Saratoga CLO. The Saratoga CLO refinancing, among other things, extended its reinvestment period to October 2018, and extended its legal maturity date to October 2025. Following the refinancing, the Saratoga CLO portfolio remained at the same size and with a similar capital structure of approximately $300.0 million in aggregate principal amount of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we also purchased $4.5 million in aggregate principal amount of the Class F notes tranche of the Saratoga CLO at par, with a coupon of LIBOR plus 8.5%.

The Saratoga CLO remains 100.0% owned and managed by Saratoga Investment Corp. Following the refinancing, the Company receives a base management fee of 0.10% and a subordinated management fee of 0.40% of the fee basis amount at the beginning of the collection period, paid quarterly to the extent of available proceeds. The Company is also entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%. For the three months ended May 31, 2017 and May 31, 2016, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.5 million and $0.5 million in interest income, respectively, from Saratoga CLO. For the three months ended May 31, 2017, we accrued $0.1 million related to the incentive management fee from Saratoga CLO. For the three months ended May 31, 2016, we did not accrue any amounts related to the incentive management fee from Saratoga CLO as the 12.0% hurdle rate has not yet been achieved.

As of May 31, 2017, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $11.6 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. As of May 31, 2017, Saratoga CLO had investments with a principal balance of $299.3 million and a weighted average spread over LIBOR of 4.0%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 2.4%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At May 31, 2017, the present value of the projected future cash flows of the subordinated notes was approximately $11.8 million, using a 13.0% discount rate. Saratoga Investment Corp. invested $32.8 million into the CLO since January 2008, and to date has since received distributions of $50.6 million and management fees of $16.9 million.

Below is certain financial information from the separate financial statements of Saratoga CLO as of May 31, 2017 (unaudited) and February 28, 2017 and for the three months ended May 31, 2017 (unaudited) and May 31, 2016 (unaudited).

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

     As of  
     May 31, 2017     February 28, 2017  
     (unaudited)        

ASSETS

    

Investments

    

Fair Value Loans (amortized cost of $296,570,507 and $294,270,284, respectively)

   $ 294,679,202     $ 292,437,930  

Fair Value Other/Structured finance securities (amortized cost of $3,531,218 and
$3,531,218, respectively)

     33,902       22,718  
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $300,101,725 and $297,801,502, respectively)

     294,713,104       292,460,648  

Cash and cash equivalents

     7,039,670       13,046,555  

Receivable from open trades

     7,927,175       1,505,000  

Interest receivable

     1,337,584       1,443,865  

Other assets

     —         6,049  
  

 

 

   

 

 

 

Total assets

   $ 311,017,533     $ 308,462,117  
  

 

 

   

 

 

 

LIABILITIES

    

Interest payable

   $ 1,084,119     $ 1,031,457  

Payable from open trades

     11,603,306       9,431,552  

Accrued base management fee

     34,238       34,221  

Accrued subordinated management fee

     136,951       136,885  

Accrued incentive fee

     105,295       —    

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

     170,000,000       170,000,000  

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

     20,000,000       20,000,000  

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

     44,800,000       44,800,000  

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

     16,000,000       16,000,000  

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

     (75,111     (77,383

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

     14,000,000       14,000,000  

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

     (348,703     (359,249

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

     13,100,000       13,100,000  

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

     4,500,000       4,500,000  

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

     (1,108,709     (1,161,590

Subordinated Notes

     30,000,000       30,000,000  
  

 

 

   

 

 

 

Total liabilities

   $ 323,831,386     $ 321,435,893  
  

 

 

   

 

 

 

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

     (12,974,026     (21,557,618

Net gain

     159,923       8,583,592  
  

 

 

   

 

 

 

Total net assets

     (12,813,853     (12,973,776
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 311,017,533     $ 308,462,117  
  

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

     For the three months ended
May 31
 
     2017     2016  

INVESTMENT INCOME

    

Interest from investments

   $ 3,977,871     $ 3,788,336  

Interest from cash and cash equivalents

     5,083       771  

Other income

     160,614       243,301  
  

 

 

   

 

 

 

Total investment income

     4,143,568       4,032,408  
  

 

 

   

 

 

 

EXPENSES

    

Interest expense

     3,623,558       3,281,015  

Professional fees

     34,551       18,482  

Miscellaneous fee expense

     10,126       8,244  

Base management fee

     75,136       186,842  

Subordinated management fee

     300,545       186,842  

Incentive fees

     105,295       —    

Trustee expenses

     36,168       26,688  

Amortization expense

     44,357       239,963  
  

 

 

   

 

 

 

Total expenses

     4,229,736       3,948,076  
  

 

 

   

 

 

 

NET INVESTMENT INCOME (LOSS)

     (86,168     84,332  
  

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

    

Net realized gain on investments

     293,858       55,562  

Net unrealized appreciation (depreciation) on investments

     (47,767     9,320,673  
  

 

 

   

 

 

 

Net gain on investments

     246,091       9,376,235  
  

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 159,923     $ 9,460,567  
  

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

May 31, 2017

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

  Asset
Type
  Spread     LIBOR
Floor
    PIK     Current
Rate
(All In)
    Maturity
Date
    Principal/
Number
of Shares
    Cost     Fair Value  

Education Management II, LLC

  Leisure Goods/Activities/Movies   A-1 Preferred Shares   Equity     0.00     0.00     0.00     0.00       6,692     $ 669,214     $ 13,384  

Education Management II, LLC

  Leisure Goods/Activities/Movies   A-2 Preferred Shares   Equity     0.00     0.00     0.00     0.00       18,975       1,897,538       76  

New Millennium Holdco, Inc.

  Healthcare & Pharmaceuticals   Common Stock   Equity     0.00     0.00     0.00     0.00       14,813       964,466       20,442  

24 Hour Holdings III, LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.75     1.00     0.00     4.90     5/28/2021     $ 486,250       483,268       483,211  

ABB Con-Cise Optical Group, LLC

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.00     1.00     0.00     6.10     6/15/2023     $ 1,990,000       1,970,291       2,007,413  

Acosta Holdco, Inc.

  Media   Term Loan B1   Loan     3.25     1.00     0.00     4.29     9/26/2021     $ 1,940,025       1,929,835       1,806,997  

Advantage Sales & Marketing, Inc.

  Services: Business   Delayed Draw Term Loan   Loan     3.25     1.00     0.00     4.29     7/25/2021     $ 2,439,950       2,437,594       2,412,061  

Aegis Toxicology Science Corporation

  Healthcare & Pharmaceuticals   Term B Loan   Loan     4.50     1.00     0.00     5.66     2/24/2021     $ 2,457,233       2,337,953       2,440,843  

Agrofresh, Inc.

  Food Services   Term Loan   Loan     4.75     1.00     0.00     5.90     7/30/2021     $ 1,965,000       1,957,975       1,953,957  

AI MISTRAL T/L (V. GROUP)

  Utilities   Term Loan   Loan     3.00     1.00     0.00     4.18     3/11/2024     $ 500,000       500,000       499,375  

Akorn, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     1.00     0.00     5.31     4/16/2021     $ 398,056       397,016       402,534  

Albertson’s LLC

  Retailers (Except Food and Drugs)   Term Loan B-4   Loan     3.00     0.75     0.00     4.04     8/25/2021     $ 2,888,953       2,873,134       2,904,120  

Alere Inc. (fka IM US Holdings, LLC)

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.25     1.00     0.00     4.30     6/20/2022     $ 915,616       913,895       919,050  

Alion Science and Technology Corporation

  High Tech Industries   Term Loan B (First Lien)   Loan     4.50     1.00     0.00     5.54     8/19/2021     $ 2,947,500       2,936,726       2,945,054  

Alliance Healthcare Services, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.25     1.00     0.00     4.36     6/3/2019     $ 981,997       978,851       979,542  

ALPHA 3 T/L B1 (ATOTECH)

  Chemicals/Plastics   Term Loan B 1   Loan     3.00     1.00     0.00     4.15     1/31/2024     $ 250,000       249,380       251,173  

Almonde, Inc. (Misys)

  High Tech Industries   Term Loan B   Loan     3.50     1.00     0.00     4.50     4/26/2024     $ 1,000,000       995,000       1,001,920  

Anchor Glass T/L (11/16)

  Containers/Glass Products   Term Loan   Loan     3.25     1.00     0.00     4.25     12/7/2023     $ 498,750       496,452       502,047  

APCO Holdings, Inc.

  Automotive   Term Loan   Loan     6.00     1.00     0.00     7.00     1/31/2022     $ 1,896,081       1,851,847       1,848,679  

Aramark Corporation

  Food Products   U.S. Term F Loan   Loan     2.00     0.00     0.00     3.05     3/28/2024     $ 2,000,000       2,000,000       2,013,120  

Arctic Glacier U.S.A., Inc.

  Beverage, Food & Tobacco   Term Loan B   Loan     4.25     1.00     0.00     5.30     3/20/2024     $ 500,000       497,543       505,940  

Aspen Dental Management, Inc.

  Healthcare & Pharmaceuticals   Term Loan Initial   Loan     3.75     1.00     0.00     4.92     4/29/2022     $ 1,979,905       1,975,830       1,998,477  

Astoria Energy T/L B

  Utilities   Term Loan   Loan     4.00     1.00     0.00     5.15     12/24/2021     $ 1,495,307       1,480,752       1,491,569  

Asurion, LLC (fka Asurion Corporation)

  Insurance   Replacement Term Loan B-2   Loan     3.25     0.75     0.00     4.29     7/8/2020     $ 522,122       518,066       525,495  

Asurion, LLC (fka Asurion Corporation)

  Insurance   Term Loan B4 (First Lien)   Loan     3.25     1.00     0.00     4.29     8/4/2022     $ 2,391,773       2,380,910       2,405,430  

Auction.com, LLC

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     5.00     1.00     0.00     6.05     5/13/2019     $ 2,711,717       2,711,519       2,728,665  

Avantor Performance Materials Holdings, Inc.

  Chemicals/Plastics   Term Loan   Loan     4.00     1.00     0.00     5.05     3/8/2024     $ 3,000,000       2,992,568       3,006,000  

AVOLON TLB BORROWER 1 LUXEMBOURG S.A.R.L.

  Capital Equipment   Term Loan B-2   Loan     2.75     0.75     0.00     3.76     3/20/2022     $ 1,000,000       995,342       1,012,430  

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   Term Loan   Loan     3.25     0.75     0.00     4.24     6/5/2020     $ 1,470,000       1,468,053       1,468,163  

Belmond Interfin Ltd.

  Lodging & Casinos   Term Loan   Loan     3.00     1.00     0.00     4.15     3/19/2021     $ 2,473,003       2,476,208       2,476,094  

Blackboard T/L B4

  High Tech Industries   Term Loan B4   Loan     5.00     1.00     0.00     6.16     6/30/2021     $ 2,985,000       2,963,237       2,990,612  

Blucora, Inc.

  High Tech Industries   Term Loan B   Loan     3.75     1.00     0.00     4.76     5/22/2024     $ 1,000,000       995,075       1,007,500  

BMC Software

  Technology   Term Loan   Loan     4.00     1.00     0.00     5.16     9/12/2022     $ 1,946,210       1,888,314       1,947,436  

BMC Software T/L US

  Technology   Term Loan   Loan     4.00     1.00     0.00     5.16     9/12/2022     $ 588,449       578,390       591,056  

Brickman Group Holdings, Inc.

  Brokers/Dealers/Investment Houses   Initial Term Loan (First Lien)   Loan     3.00     1.00     0.00     4.04     12/18/2020     $ 1,431,702       1,421,385       1,432,246  

BWAY Holding Company

  Leisure Goods/Activities/Movies   Term Loan B   Loan     3.25     0.00     0.00     4.25     4/3/2024     $ 1,000,000       995,071       998,540  

Cable One, Inc.

  Telecommunications   Term Loan B   Loan     2.25     1.00     0.00     3.43     5/1/2024     $ 500,000       499,375       503,125  

Candy Intermediate Holdings, Inc.

  Beverage, Food & Tobacco   Term Loan   Loan     4.50     1.00     0.00     5.65     6/15/2023     $ 496,250       494,152       470,197  

Capital Automotive L.P.

  Conglomerate   Tranche B-1 Term Loan Facility   Loan     3.00     1.00     0.00     4.03     3/25/2024     $ 500,000       497,547       503,905  

Caraustar Industries Inc.

  Forest Products & Paper   Term Loan B   Loan     5.50     1.00     0.00     6.65     3/14/2022     $ 500,000       498,761       501,625  

CASA SYSTEMS T/L

  Telecommunications   Term Loan   Loan     4.00     1.00     0.00     5.04     12/20/2023     $ 1,496,250       1,482,060       1,499,991  

Catalent Pharma Solutions, Inc

  Drugs   Initial Term B Loan   Loan     2.75     1.00     0.00     3.79     5/20/2021     $ 423,560       422,273       427,854  

Cengage Learning Acquisitions, Inc.

  Publishing   Term Loan   Loan     4.25     1.00     0.00     5.25     6/7/2023     $ 1,488,750       1,473,865       1,401,107  

CH HOLD (CALIBER COLLISION) T/L

  Automotive   Term Loan   Loan     3.00     0.00     0.00     4.04     2/1/2024     $ 227,273       226,761       228,789  

Charter Communications Operating, LLC

  Cable and Satellite Television   Term F Loan   Loan     2.00     0.00     0.00     3.05     1/3/2021     $ 1,605,364       1,599,826       1,614,193  

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term G Loan   Loan     2.75     1.00     0.00     3.95     12/31/2019     $ 922,719       901,552       923,181  

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term H Loan   Loan     3.00     1.00     0.00     4.20     1/27/2021     $ 1,697,791       1,644,603       1,697,859  

CITGO Petroleum Corporation

  Oil & Gas   Term Loan B   Loan     3.50     1.00     0.00     4.65     7/29/2021     $ 1,959,849       1,942,358       1,960,338  

Communications Sales & Leasing, Inc.

  Telecommunications   Term Loan B (First Lien)   Loan     3.00     1.00     0.00     4.04     10/24/2022     $ 1,965,137       1,954,120       1,974,609  

Concordia Healthcare Corporation

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     1.00     0.00     5.28     10/21/2021     $ 1,967,500       1,883,686       1,421,519  

Consolidated Aerospace Manufacturing, LLC

  Aerospace and Defense   Term Loan (First Lien)   Loan     3.75     1.00     0.00     4.80     8/11/2022     $ 1,418,750       1,413,095       1,369,094  

Consolidated Communications, Inc.

  Telecommunications   Term Loan B-2   Loan     3.00     1.00     0.00     4.00     10/5/2023     $ 500,000       497,500       502,395  

CPI Acquisition Inc.

  Technology   Term Loan B (First Lien)   Loan     4.50     1.00     0.00     5.83     8/17/2022     $ 1,436,782       1,419,495       1,250,000  

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

  Electronics/Electric   Term B Loan   Loan     3.25     1.00     0.00     4.30     4/7/2021     $ 2,462,342       2,461,788       2,462,342  

Crosby US Acquisition Corporation

  Industrial Equipment   Initial Term Loan (First Lien)   Loan     3.00     1.00     0.00     4.17     11/23/2020     $ 725,625       725,152       661,044  

CT Technologies Intermediate Hldgs, Inc

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.25     1.00     0.00     5.29     12/1/2021     $ 1,466,381       1,455,744       1,449,884  

Cypress Intermediate Holdings III, Inc.

  Services: Business   Term Loan B   Loan     3.00     1.00     0.00     4.04     4/29/2024     $ 500,000       498,776       498,500  

Culligan International Company-T/L

  Conglomerate   Term Loan   Loan     4.00     1.00     0.00     5.00     12/13/2023     $ 2,044,875       2,045,149       2,056,388  

Cumulus Media Holdings Inc.

  Broadcast Radio and Television   Term Loan   Loan     3.25     1.00     0.00     4.30     12/23/2020     $ 470,093       467,518       372,548  

DAE Aviation (StandardAero)

  Aerospace and Defense   Term Loan   Loan     3.75     1.00     0.00     4.79     7/7/2022     $ 2,470,000       2,460,059       2,488,525  

DASEKE T/L (HENNESSY CAPITAL)

  Transportation   Term Loan   Loan     5.50     1.00     0.00     6.54     2/27/2024     $ 827,143       820,224       832,313  

DCS Business Services, Inc.

  Financial Intermediaries   Term B Loan   Loan     7.25     1.50     0.00     8.75     3/19/2018     $ 1,782,727       1,778,648       1,782,727  

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

  Lodging & Casinos   Term Loan B-3   Loan     3.25     1.00     0.00     4.57     2/1/2024     $ 1,000,000       996,775       1,000,680  

DELL INTERNATIONAL 1ST LIEN T/L

  High Tech Industries   Term Loan (01/17)   Loan     2.50     0.75     0.00     3.55     9/7/2023     $ 997,500       996,476       1,003,146  

Deluxe Entertainment Service Group, Inc.

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     5.50     1.00     0.00     6.62     2/28/2020     $ 2,849,297       2,821,745       2,845,735  

DEX MEDIA, INC.

  Media   Term Loan (07/16)   Loan     10.00     1.00     0.00     11.04     7/29/2021     $ 35,702       35,702       36,505  

DIGITALGLOBE T/L B (12/16)

  Aerospace and Defense   Term Loan B   Loan     2.75     0.75     0.00     3.79     1/15/2024     $ 498,750       497,631       499,373  

DJO Finance, LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     3.25     1.00     0.00     4.25     6/8/2020     $ 491,250       489,802       485,601  

Dole Food Company, Inc.

  Beverage, Food & Tobacco   Term Loan B   Loan     3.00     1.00     0.00     4.18     4/8/2024     $ 500,000       497,548       501,965  

DPX Holdings B.V.

  Healthcare & Pharmaceuticals   Term Loan 2015 Incr Dollar   Loan     3.25     1.00     0.00     4.41     4/22/2024     $ 2,917,500       2,912,750       2,929,170  

Drew Marine Group, Inc.

  Chemicals/Plastics   Term Loan (First Lien)   Loan     3.25     1.00     0.00     4.40     11/19/2020     $ 2,863,470       2,839,806       2,852,731  

DTZ U.S. Borrower, LLC

  Construction & Building   Term Loan B Add-on   Loan     3.25     1.00     0.00     4.40     11/4/2021     $ 1,957,576       1,948,917       1,962,019  

DUKE FINANCE (OM GROUP/VECTRA) T/L

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     5.00     1.00     0.00     6.15     2/21/2024     $ 1,500,000       1,399,164       1,514,370  

Edelman Financial Group, Inc.

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     5.50     1.00     0.00     6.66     12/19/2022     $ 1,474,728       1,450,390       1,475,952  

Education Management II, LLC

  Leisure Goods/Activities/Movies   Term Loan A   Loan     4.50     1.00     0.00     5.66     7/2/2020     $ 501,970       489,732       221,494  

Education Management II, LLC

  Leisure Goods/Activities/Movies   Term Loan B (2.00% Cash/6.50% PIK)   Loan     1.00     1.00     6.50     8.66     7/2/2020     $ 954,307       935,402       11,929  

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     3.50     1.00     0.00     4.54     8/1/2021     $ 480,602       479,081       485,009  

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     7.75     1.00     0.00     8.79     8/1/2022     $ 500,000       498,224       498,595  

Emerald 2 Limited

  Chemicals/Plastics   Term Loan B1A   Loan     4.00     1.00     0.00     5.15     5/14/2021     $ 1,000,000       993,241       948,330  

Endo International plc

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     0.75     0.00     5.31     4/29/2024     $ 1,000,000       995,089       1,016,880  

Engility Corporation

  Aerospace and Defense   Term Loan B-1   Loan     3.25     0.00     0.00     4.29     8/12/2020     $ 237,500       236,554       239,222  

Equian, LLC

  Services: Business   Term Loan B   Loan     3.75     1.00     0.00     4.93     5/20/2024     $ 1,529,412       1,519,428       1,533,235  

Evergreen Acqco 1 LP

  Retailers (Except Food and Drugs)   New Term Loan   Loan     3.75     1.25     0.00     5.00     7/9/2019     $ 952,613       951,841       869,259  

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

  Industrial Equipment   Term Loan (First Lien)   Loan     3.75     1.00     0.00     4.90     1/15/2021     $ 1,942,311       1,939,288       1,949,595  

EWT Holdings III Corp.

  Capital Equipment   Term Loan   Loan     4.50     1.00     0.00     5.65     1/15/2021     $ 990,000       982,363       996,188  

Extreme Reach, Inc.

  Media   Term Loan B   Loan     6.25     1.00     0.00     7.30     2/7/2020     $ 2,831,250       2,806,680       2,873,719  

Federal-Mogul Corporation

  Automotive   Tranche C Term Loan   Loan     3.75     1.00     0.00     4.75     4/15/2021     $ 2,917,500       2,906,685       2,926,369  

First Data Corporation

  Financial Intermediaries   First Data T/L Ext (2021)   Loan     2.50     0.00     0.00     3.53     4/26/2024     $ 1,886,914       1,809,171       1,896,651  

First Eagle Investment Management

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     3.50     0.75     0.00     4.66     12/1/2022     $ 2,481,250       2,452,109       2,512,266  

Fitness International, LLC

  Leisure Goods/Activities/Movies   Term Loan B   Loan     4.25     1.00     0.00     5.40     7/1/2020     $ 1,624,755       1,604,627       1,643,716  

Gardner Denver, Inc.

  High Tech Industries   Initial Dollar Term Loan   Loan     3.25     1.00     0.00     4.57     7/30/2020     $ 2,054,505       2,051,123       2,058,614  

Gates Global LLC

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     3.25     1.00     0.00     4.41     4/1/2024     $ 349,886       346,468       351,233  

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     2.50     0.75     0.00     3.55     3/4/2019     $ 2,047,169       2,044,152       1,841,715  

GLOBALLOGIC HOLDINGS INC TERM LOAN B

  Services: Business   Term Loan B   Loan     4.50     1.00     0.00     5.65     6/20/2022     $ 500,000       495,340       503,125  

Global Tel*Link Corporation

  Services: Business   Term Loan (First Lien)   Loan     3.75     1.25     0.00     5.00     5/26/2020     $ 2,641,595       2,635,582       2,640,486  

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     2.00     0.00     0.00     3.00     4/30/2019     $ 1,833,333       1,822,047       1,844,792  

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.00     1.00     0.00     4.04     8/18/2023     $ 1,000,000       995,091       1,002,500  

GTCR Valor Companies, Inc.

  Services: Business   Term Loan B   Loan     6.00     1.00     0.00     7.15     6/16/2023     $ 1,488,751       1,434,934       1,498,800  

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

  Publishing   Tranche B-4 Term Loan   Loan     5.50     1.00     0.00     6.65     2/9/2022     $ 2,162,357       2,105,279       2,160,195  

Hargray Communications Group, Inc.

  Media   Term Loan B   Loan     3.00     1.00     0.00     4.03     2/9/2022     $ 1,000,000       997,509       1,001,500  

Helix Gen Funding, LLC

  Utilities   Term Loan B   Loan     3.75     1.00     0.00     4.96     5/3/2024     $ 479,104       476,709       479,104  

Highline Aftermarket Acquisition, LLC

  Automotive   Term Loan B   Loan     4.25     1.00     0.00     5.31     3/15/2024     $ 1,000,000       995,000       1,005,000  

Help/Systems Holdings, Inc.

  High Tech Industries   Term Loan   Loan     5.25     1.00     0.00     6.40     10/8/2021     $ 1,481,250       1,432,668       1,482,479  

Hemisphere Media Holdings, LLC

  Media   Term Loan B   Loan     3.50     0.00     0.00     4.54     2/14/2024     $ 2,493,750       2,506,145       2,496,867  

Herbalife T/L B (HLF Financing)

  Drugs   Term Loan B   Loan     5.50     0.75     0.00     6.54     2/15/2023     $ 2,000,000       1,985,640       2,010,840  

Hercules Achievement Holdings, Inc.

  Retailers (Except Food and Drugs)   Term Loan B   Loan     4.00     1.00     0.00     5.00     12/10/2021     $ 246,222       244,291       247,497  

Hoffmaster Group, Inc.

  Containers/Glass Products   Term Loan   Loan     4.50     1.00     0.00     5.54     11/21/2023     $ 997,500       1,001,241       1,008,722  

Hostess Brand, LLC

  Beverage, Food & Tobacco   Term Loan B (First Lien)   Loan     2.50     0.75     0.00     3.54     8/3/2022     $ 1,486,275       1,482,559       1,496,619  

HUB International Limited

  Banking, Finance, Insurance & Real Estate   Term Loan B   Loan     3.25     1.00     0.00     4.42     10/2/2022     $ 748,072       748,072       751,932  

Huntsman International LLC

  Chemicals/Plastics   Term Loan B (First Lien)   Loan     3.00     0.70     0.00     4.04     4/19/2019     $ 1,021,487       1,017,292       1,027,023  

Husky Injection Molding Systems Ltd.

  Services: Business   Term Loan B   Loan     3.25     1.00     0.00     4.29     6/30/2021     $ 449,208       447,231       452,690  

Hyland Software, Inc.

  High Tech Industries   Term Loan B   Loan     3.25     0.75     0.00     4.00     7/1/2022     $ 1,000,000       997,500       1,000,000  

Hyperion Refinance T/L

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.00     1.00     0.00     5.06     4/29/2022     $ 1,881,998       1,859,264       1,881,998  

ICSH Parent, Inc.

  Containers/Glass Products   Term Loan   Loan     4.00     1.00     0.00     5.18     4/29/2024     $ 847,059       842,847       844,941  

IG Investments Holdings, LLC

  Services: Business   Term Loan   Loan     4.00     1.00     0.00     5.08     10/29/2021     $ 3,441,142       3,425,616       3,466,950  

Imagine! Print Solutions, Inc.

  Media   Term Loan B   Loan     6.00     1.00     0.00     7.15     3/30/2022     $ 495,000       488,876       495,619  

Infor US (Lawson) T/L B-6

  Services: Business   Term Loan B-6   Loan     2.75     1.00     0.00     3.90     2/1/2022     $ 1,609,802       1,596,120       1,605,986  

Informatica Corporation

  High Tech Industries   Term Loan B   Loan     3.50     1.00     0.00     4.65     8/5/2022     $ 485,671       484,711       485,215  

Inmar, Inc.

  Services: Business   Term Loan B   Loan     3.50     1.00     0.00     4.67     5/1/2024     $ 500,000       495,040       500,625  

ION Media T/L B

  Media   Term Loan B   Loan     3.50     1.00     0.00     4.50     12/18/2020     $ 500,000       497,761       505,000  

J. Crew Group, Inc.

  Retailers (Except Food and Drugs)   Term B-1 Loan Retired 03/05/2014   Loan     3.00     1.00     0.00     4.00     3/5/2021     $ 943,325       943,325       642,131  

Jazz Acquisition, Inc

  Aerospace and Defense   First Lien 6/14   Loan     3.50     1.00     0.00     4.65     6/19/2021     $ 486,667       485,937       472,067  

J.Jill Group, Inc.

  Retailers (Except Food and Drugs)   Term Loan (First Lien)   Loan     5.00     1.00     0.00     6.18     5/9/2022     $ 948,238       944,632       923,745  

Kinetic Concepts, Inc.

  Healthcare & Pharmaceuticals   Term Loan F-1   Loan     3.25     1.00     0.00     4.40     2/2/2024     $ 2,400,000       2,389,073       2,366,256  

Koosharem, LLC

  Services: Business   Term Loan   Loan     6.50     1.00     0.00     7.54     5/15/2020     $ 2,927,613       2,911,567       2,710,969  

Kraton Polymers, LLC

  Chemicals/Plastics   Term Loan (Initial)   Loan     4.00     1.00     0.00     5.05     1/6/2022     $ 1,733,177       1,592,433       1,754,703  

Lannett Company T/L A

  Healthcare & Pharmaceuticals   Term Loan A   Loan     4.75     1.00     0.00     5.79     11/25/2020     $ 986,842       959,754       976,974  

Lannett Company, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.38     1.00     0.00     6.42     11/25/2022     $ 1,875,000       1,820,609       1,860,938  

LEARFIELD COMMUNICATIONS INITIAL T/L (A-L PARENT)

  Healthcare & Pharmaceuticals   Initial Term Loan (A-L Parent)   Loan     3.25     1.00     0.00     4.30     12/1/2023     $ 498,750       496,523       504,361  

Lightstone Generation T/L B

  Utilities   Term Loan B   Loan     4.50     1.00     0.00     5.54     1/30/2024     $ 57,971       56,838       56,667  

Lightstone Generation T/L C

  Utilities   Term Loan C   Loan     4.50     1.00     0.00     5.54     1/30/2024     $ 939,674       921,338       918,531  

Limetree Bay Terminals T/L (01/17)

  Oil & Gas   Term Loan   Loan     5.00     1.00     0.00     6.00     2/15/2024     $ 500,000       495,258       504,375  

LPL Holdings

  Banking, Finance, Insurance & Real Estate   Term Loan B (2022)   Loan     2.50     0.00     0.00     3.61     3/11/2024     $ 1,750,000       1,745,678       1,757,665  

McGraw-Hill Global Education Holdings, LLC

  Publishing   Term Loan   Loan     4.00     1.00     0.00     5.04     5/4/2022     $ 992,500       988,527       980,878  

MHVC Acquisition Corp.

  Aerospace and Defense   Term Loan   Loan     5.25     1.00     0.00     6.30     4/29/2024     $ 2,000,000       1,990,154       2,013,760  

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term Loan B1   Loan     2.75     1.00     0.00     3.79     1/30/2023     $ 1,675,147       1,669,900       1,673,053  

Micro Holding Corporation

  High Tech Industries   Term Loan   Loan     3.75     1.00     0.00     4.79     7/8/2021     $ 322,700       321,911       325,524  

Micro Holding Corporation

  High Tech Industries   Term Loan   Loan     3.75     1.00     0.00     4.79     7/8/2021     $ 979,860       976,399       988,130  

Microsemi Corporation

  Electronics/Electric   Term Loan B   Loan     2.25     0.00     0.00     3.33     1/17/2023     $ 829,180       808,580       832,173  

Midas Intermediate Holdco II, LLC

  Automotive   Term Loan (Initial)   Loan     2.75     1.00     0.00     3.90     8/18/2021     $ 243,764       242,937       244,373  

Milacron T/L B

  Capital Equipment   Term Loan B   Loan     3.00     0.00     0.00     4.04     9/28/2023     $ 997,500       994,134       999,994  

Milk Specialties Company

  Beverage, Food & Tobacco   Term Loan   Loan     4.00     1.00     0.00     5.15     8/16/2023     $ 995,000       985,645       1,002,463  

Mister Car Wash T/L

  Automotive   Term Loan   Loan     4.25     1.00     0.00     5.30     8/20/2021     $ 1,495,312       1,489,711       1,497,182  

MWI Holdings, Inc.

  Capital Equipment   Term Loan (First Lien)   Loan     5.50     1.00     0.00     6.65     6/29/2020     $ 2,977,500       2,951,521       2,999,831  

National Vision, Inc.

  Retailers (Except Food and Drugs)   Term Loan (Second Lien)   Loan     5.75     1.00     0.00     6.79     3/11/2022     $ 250,000       249,802       242,813  

New Media Holdings II T/L (NEW)

  Retailers (Except Food and Drugs)   Term Loan   Loan     6.25     1.00     0.00     7.29     6/4/2020     $ 3,160,034       3,147,716       3,136,334  

New Millennium Holdco, Inc.

  Healthcare & Pharmaceuticals   Term Loan   Loan     6.50     1.00     0.00     7.54     12/21/2020     $ 1,925,088       1,784,595       1,138,208  

Novetta Solutions

  Aerospace and Defense   Term Loan (200MM)   Loan     5.00     1.00     0.00     6.15     10/16/2022     $ 1,975,000       1,959,035       1,881,188  

Novetta Solutions

  Aerospace and Defense   Term Loan (2nd Lien)   Loan     8.50     1.00     0.00     9.50     10/16/2023     $ 1,000,000       991,479       941,250  

NPC International, Inc.

  Food Services   Term Loan (2013)   Loan     3.50     1.00     0.00     4.51     4/19/2024     $ 500,000       499,408       503,335  

NVA Holdings (National Veterinary) T/L B2

  Services: Consumer   Term Loan B2   Loan     3.50     1.00     0.00     4.65     8/14/2021     $ 1,261,425       1,256,849       1,275,616  

NXT Capital T/L (11/16)

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.50     1.00     0.00     5.65     11/23/2022     $ 1,247,500       1,242,663       1,264,653  

Onex Carestream Finance LP

  Healthcare & Pharmaceuticals   Term Loan (First Lien 2013)   Loan     4.00     1.00     0.00     5.15     6/7/2019     $ 3,558,804       3,552,314       3,475,777  

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.75     1.00     0.00     4.90     10/1/2021     $ 487,500       485,121       476,044  

OpenLink International, LLC

  Services: Business   Term B Loan   Loan     6.50     1.25     0.00     7.75     7/29/2019     $ 2,906,156       2,905,864       2,915,834  

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

  Food/Drug Retailers   Term Borrowing   Loan     3.25     1.00     0.00     4.54     6/24/2019     $ 1,413,810       1,410,322       1,403,207  

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

  Services: Business   Term Loan (First Lien)   Loan     4.00     1.00     0.00     5.18     10/30/2020     $ 967,500       964,621       945,731  

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

  Retailers (Except Food and Drugs)   Term Loan B1   Loan     3.00     1.00     0.00     4.01     3/11/2022     $ 980,000       975,713       940,898  

PGX Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     5.25     1.00     0.00     6.30     9/29/2020     $ 2,871,499       2,857,322       2,873,308  

Planet Fitness Holdings LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.00     0.75     0.00     4.15     3/31/2021     $ 2,386,345       2,379,828       2,390,831  

Polycom Term Loan (9/16)

  Telecommunications   Term Loan   Loan     5.25     1.00     0.00     6.25     9/27/2023     $ 1,804,333       1,780,636       1,821,023  

Pike Corporation

  Construction & Building   Term Loan B   Loan     3.75     1.00     0.00     4.80     3/8/2024     $ 500,000       497,661       504,375  

PrePaid Legal Services, Inc.

  Services: Business   Term Loan B   Loan     5.25     1.25     0.00     6.50     7/1/2019     $ 3,169,278       3,172,153       3,184,142  

Presidio, Inc.

  Services: Business   Term Loan   Loan     3.25     1.00     0.00     4.40     2/2/2022     $ 2,101,767       2,040,643       2,119,505  

Prestige Brands T/L B4

  Drugs   Term Loan B4   Loan     2.75     0.75     0.00     3.79     1/26/2024     $ 477,225       476,160       481,005  

Prime Security Services (Protection One)

  Services: Business   Term Loan   Loan     3.25     1.00     0.00     4.29     5/2/2022     $ 1,980,062       1,970,177       1,995,982  

Radio Systems Corporation

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.50     1.00     0.00     4.54     5/2/2024     $ 1,500,000       1,500,000       1,505,625  

Ranpak Holdings, Inc.

  Services: Business   Term Loan   Loan     3.25     1.00     0.00     4.29     10/1/2021     $ 913,716       911,432       914,858  

Ranpak Holdings, Inc.

  Services: Business   Term Loan (Second Lien)   Loan     7.25     1.00     0.00     8.25     10/3/2022     $ 311,111       310,001       309,556  

Redtop Acquisitions Limited

  Electronics/Electric   Initial Dollar Term Loan (First Lien)   Loan     3.50     1.00     0.00     4.67     12/3/2020     $ 483,778       481,891       485,592  

RGIS Services, LLC

  Services: Business   Term Loan   Loan     7.50     1.00     0.00     8.65     3/31/2023     $ 500,000       492,623       497,815  

Research Now Group, Inc

  Media   Term Loan B   Loan     4.50     1.00     0.00     5.65     3/18/2021     $ 2,004,470       1,996,990       1,979,414  

Resolute Investment Managers, Inc.

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.25     1.00     0.00     5.40     4/30/2022     $ 728,517       727,070       729,733  

Rexnord LLC/RBS Global, Inc.

  Industrial Equipment   Term B Loan   Loan     2.75     1.00     0.00     3.90     8/21/2023     $ 1,370,341       1,370,341       1,375,480  

Reynolds Group Holdings Inc.

  Industrial Equipment   Incremental U.S. Term Loan   Loan     3.00     0.00     0.00     4.04     2/3/2023     $ 1,756,731       1,756,731       1,765,111  

Rovi Solutions Corporation / Rovi Guides, Inc.

  Electronics/Electric   Tranche B-3 Term Loan   Loan     2.50     0.75     0.00     3.55     7/2/2021     $ 1,458,750       1,454,281       1,460,880  

Royal Adhesives and Sealants

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     7.50     1.00     0.00     8.65     6/19/2023     $ 275,862       274,177       275,172  

Royal Holdings T/L (02/17)

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     3.25     1.00     0.00     4.40     6/17/2022     $ 541,607       539,264       547,364  

Russell Investment Management T/L B

  Banking, Finance, Insurance & Real Estate   Term Loan B   Loan     5.75     1.00     0.00     6.79     6/1/2023     $ 2,234,372       2,123,883       2,267,887  

Sable International Finance Ltd

  Telecommunications   Term Loan B2   Loan     3.50     0.00     0.00     4.54     1/31/2025     $ 1,500,000       1,492,500       1,505,250  

SBP Holdings LP

  Industrial Equipment   Term Loan (First Lien)   Loan     4.00     1.00     0.00     5.04     3/27/2021     $ 970,000       967,121       887,550  

Scientific Games International, Inc.

  Electronics/Electric   Term Loan B2   Loan     4.00     0.75     0.00     5.01     10/1/2021     $ 769,549       762,015       781,092  

SCS Holdings (Sirius Computer)

  High Tech Industries   Term Loan (First Lien)   Loan     4.25     1.00     0.00     5.29     10/31/2022     $ 1,871,532       1,837,243       1,887,327  

Seadrill Operating LP

  Oil & Gas   Term Loan B   Loan     3.00     1.00     0.00     4.15     2/21/2021     $ 974,811       923,318       667,746  

Shearers Foods LLC

  Food Services   Term Loan (First Lien)   Loan     3.94     1.00     0.00     5.09     6/30/2021     $ 975,000       973,500       971,344  

SG Acquisition, Inc. (Safe Guard)

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     5.00     1.00     0.00     6.15     3/29/2024     $ 2,000,000       1,980,387       1,985,000  

Sitel Worldwide

  Telecommunications   Term Loan   Loan     5.50     1.00     0.00     6.69     9/18/2021     $ 1,970,000       1,955,355       1,962,120  

SMB Shipping Logistics T/L B (REP WWEX Acquisition)

  Transportation   Term Loan B   Loan     4.50     1.00     0.00     5.67     2/2/2024     $ 1,000,000       995,503       1,002,080  

Sonneborn, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     3.75     1.00     0.00     4.79     12/10/2020     $ 207,451       207,127       209,007  

Sonneborn, LLC

  Chemicals/Plastics   Initial US Term Loan   Loan     3.75     1.00     0.00     4.79     12/10/2020     $ 1,175,553       1,173,719       1,184,370  

Sophia, L.P.

  Electronics/Electric   Term Loan (Closing Date)   Loan     3.25     1.00     0.00     4.40     9/30/2022     $ 1,935,931       1,927,068       1,929,155  

SourceHOV LLC

  Services: Business   Term Loan B (First Lien)   Loan     6.75     1.00     0.00     7.90     10/31/2019     $ 1,812,500       1,782,852       1,703,750  

SRAM, LLC

  Industrial Equipment   Term Loan (First Lien)   Loan     3.50     1.00     0.00     4.58     3/15/2024     $ 2,677,652       2,655,727       2,684,346  

Steak ’n Shake Operations, Inc.

  Food Services   Term Loan   Loan     3.75     1.00     0.00     4.80     3/19/2021     $ 852,491       847,501       843,966  

Survey Sampling International

  Services: Business   Term Loan B   Loan     5.00     1.00     0.00     6.15     12/16/2020     $ 2,714,821       2,701,862       2,711,427  

Sybil Finance BV

  High Tech Industries   Term Loan B   Loan     3.25     1.00     0.00     4.40     9/29/2023     $ 987,500       983,249       1,000,091  

Syniverse Holdings, Inc.

  Telecommunications   Initial Term Loan   Loan     3.00     1.00     0.00     4.17     4/23/2019     $ 468,409       466,632       445,377  

Tennessee Merger T/L (Team Health)

  Healthcare & Pharmaceuticals   Term Loan   Loan     2.75     1.00     0.00     3.79     2/6/2024     $ 1,000,000       997,601       994,060  

Townsquare Media, Inc.

  Media   Term Loan B   Loan     3.00     1.00     0.00     4.04     4/1/2022     $ 911,712       907,481       914,374  

TPF II Power LLC and TPF II Covert Midco LLC

  Utilities   Term Loan B   Loan     4.00     1.00     0.00     5.04     10/2/2023     $ 1,413,873       1,367,114       1,403,566  

TransDigm, Inc.

  Aerospace and Defense   Tranche C Term Loan   Loan     3.00     0.75     0.00     4.15     2/28/2020     $ 4,222,175       4,227,281       4,238,219  

Travel Leaders Group, LLC

  Hotel, Gaming and Leisure   Term Loan B   Loan     5.25     0.00     0.00     6.29     1/25/2024     $ 2,000,000       1,990,390       2,018,760  

Truck Hero, Inc. (Tectum Holdings)

  Transportation   Term Loan B   Loan     4.00     1.00     0.00     5.16     4/22/2024     $ 2,000,000       1,980,000       2,000,000  

Trugreen Limited Partnership

  Services: Business   Term Loan B   Loan     5.50     1.00     0.00     6.50     4/13/2023     $ 496,250       489,897       500,592  

Twin River Management Group, Inc.

  Lodging & Casinos   Term Loan B   Loan     3.50     1.00     0.00     4.65     7/10/2020     $ 792,846       794,051       796,810  

Univar Inc.

  Chemicals/Plastics   Term B Loan   Loan     2.75     0.00     0.00     3.79     7/1/2022     $ 2,955,094       2,941,679       2,966,175  

UOS, LLC (Utility One Source)

  Capital Equipment   Term Loan B   Loan     5.50