Saratoga Investment Corp.
SARATOGA INVESTMENT CORP. (Form: 497, Received: 10/12/2017 17:08:56)
Table of Contents

Filed Pursuant to Rule 497
Securities Act File No. 333-216344

 

LOGO

Saratoga Investment Corp.

Supplement No. 3, dated October 12, 2017

to

Prospectus Supplement, dated March 16, 2017

This supplement contains information which amends, supplements or modifies certain information contained in the Prospectus of Saratoga Investment Corp. (the “Company”), dated March 13, 2017, as supplemented by the Prospectus Supplement dated March 16, 2017. Capitalized terms used but not defined herein shall have the same meaning given them in the Prospectus Supplement or Prospectus, as applicable.

You should carefully consider the “Risk Factors” beginning on page S-8 of the Prospectus Supplement and page 22 of the Prospectus before you decide to invest.

STATUS OF OUR OFFERING

On March 16, 2017, we established an at-the-market program to which this Supplement No. 3 dated October 12, 2017 and the Prospectus Supplement, dated March 16, 2017, relate and through which we may sell, from time to time and at our sole discretion, up to $30.0 million shares of our common stock. The gross proceeds raised, the related sales agent commission, the offering expenses and the average price at which these shares were issued from the period of March 16, 2017 through October 11, 2017 are as follows:

 

Fiscal Year Ending February 28, 2018 Issuance of Common Stock

   Number
of Shares
     Gross
Proceeds
     Sales Agent
Commission
     Average
Offering
Price
 

First Quarter

     60,779      $ 1,367,167      $ 20,474      $ 22.49  

Second Quarter

     56,575      $ 1,272,246      $ 19,084      $ 22.49  

Third Quarter (through October 11, 2017)

     3,010      $ 65,406      $ 105.35      $ 21.73  

FILING OF FORM 10-Q

On October 11, 2017, we filed our Quarterly Report on Form 10-Q (“Form 10-Q”) for the period ended August 31, 2017 with the Securities and Exchange Commission. We have attached the Form 10-Q to this supplement as Annex A.

RECENT DEVELOPMENTS

On October 12, 2017, we entered into Amendment No. 1 (the “Amendment”) to the equity distribution agreement, dated March 13, 2017, relating to the shares of common stock offered by the Prospectus Supplement dated March 13, 2017 and the accompanying Prospectus. Pursuant to the Amendment, FBR Capital Markets & Co. will be added as a distribution agent with respect to our at-the market program. Accordingly, all references to “Agents” in the prospectus supplement dated March 13, 2017 and all amendments to such prospectus supplement should be deemed to include Ladenburg Thalmann & Co. Inc., BB&T Capital Markets, a division of BB&T Securities, LLC, and FBR Capital Markets & Co. (each, an “Agent” and together, the “Agents” ). The principal business address of FBR Capital Markets & Co. is 299 Park Ave., 7th floor, New York, NY 10171.


Table of Contents

ANNEX A


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 August 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 October 11, 2017 was 6,003,834.

 

 

 


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 August 31, 2017 (unaudited) and February 28, 2017      3  
  Consolidated Statements of Operations for the three and six months ended August 31, 2017 and August 31, 2016 (unaudited)      4  
  Consolidated Schedules of Investments as of August 31, 2017 (unaudited) and February 28, 2017      5  
  Consolidated Statements of Changes in Net Assets for the six months ended August 31, 2017 and August 31, 2016 (unaudited)      7  
  Consolidated Statements of Cash Flows for the six months ended August 31, 2017 and August 31, 2016 (unaudited)      8  
  Notes to Consolidated Financial Statements as of August 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      61  
Item 4.   Controls and Procedures      61  
PART II.   OTHER INFORMATION      62  
Item 1.   Legal Proceedings      62  
Item 1A.   Risk Factors      62  
Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds      62  
Item 3.   Defaults Upon Senior Securities      62  
Item 4.   Mine Safety Disclosures      62  
Item 5.   Other Information      62  
Item 6.   Exhibits      63  
Signatures      65  

 

2


Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

S aratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

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

ASSETS

    

Investments at fair value

    

Non-control/Non-affiliate investments (amortized cost of $295,295,973 and $251,198,896, respectively)

   $   289,721,139     $   242,531,514  

Control investments (amortized cost of $38,327,248 and $49,283,536, respectively)

     43,248,674       50,129,799  
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $333,623,221 and $300,482,432, respectively)

     332,969,813       292,661,313  

Cash and cash equivalents

     1,595,438       9,306,543  

Cash and cash equivalents, reserve accounts

     16,816,101       12,781,425  

Interest receivable (net of reserve of $895,998 and $157,560, respectively)

     3,773,660       3,294,450  

Management and incentive fee receivable

     255,134       171,106  

Other assets

     464,291       183,346  

Receivable from unsettled trades

     253,041       253,041  
  

 

 

   

 

 

 

Total assets

   $ 356,127,478     $ 318,651,224  
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facility

   $ 10,000,000     $ —    

Deferred debt financing costs, revolving credit facility

     (743,272     (437,183

SBA debentures payable

     134,660,000       112,660,000  

Deferred debt financing costs, SBA debentures payable

     (2,794,750     (2,508,280

Notes payable

     74,450,500       74,450,500  

Deferred debt financing costs, notes payable

     (2,513,115     (2,689,511

Base management and incentive fees payable

     5,056,994       5,814,692  

Accounts payable and accrued expenses

     1,099,099       852,987  

Interest and debt fees payable

     3,038,528       2,764,237  

Directors fees payable

     60,500       51,500  

Due to manager

     353,386       397,505  
  

 

 

   

 

 

 

Total liabilities

   $ 222,667,870     $ 191,356,447  
  

 

 

   

 

 

 

Commitments and contingencies (See Note 7)

    

NET ASSETS

    

Common stock, par value $.001, 100,000,000 common shares authorized, 5,967,272 and 5,794,600 common shares issued and outstanding, respectively

   $ 5,967     $ 5,795  

Capital in excess of par value

     194,222,453       190,483,931  

Distribution in excess of net investment income

     (26,799,657     (27,737,348

Accumulated net realized loss from investments and derivatives

     (33,315,747     (27,636,482

Accumulated net unrealized depreciation on investments and derivatives

     (653,408     (7,821,119
  

 

 

   

 

 

 

Total net assets

     133,459,608       127,294,777  
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 356,127,478     $ 318,651,224  
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 22.37     $ 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
August 31, 2017
    For the three months
ended
August 31, 2016
    For the six months
ended
August 31, 2017
    For the six months
ended
August 31, 2016
 

INVESTMENT INCOME

       

Interest from investments

       

Non-control/Non-affiliate investments

  $ 7,183,757     $ 6,561,838     $ 13,104,190     $ 13,181,951  

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

    298,957       184,265       522,230       313,355  

Control investments

    1,496,080       557,200       2,831,466       1,089,326  

Payment-in-kind interest income from Control investments

    207,624       —         469,733       —    
 

 

 

   

 

 

   

 

 

   

 

 

 

Total interest income

    9,186,418       7,303,303       16,927,619       14,584,632  

Interest from cash and cash equivalents

    6,493       6,401       13,574       10,187  

Management fee income

    375,957       374,657       751,638       748,341  

Incentive fee income

    162,358       —         267,653       —    

Other income

    522,440       763,633       1,000,630       1,013,229  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    10,253,666       8,447,994       18,961,114       16,356,389  
 

 

 

   

 

 

   

 

 

   

 

 

 

OPERATING EXPENSES

       

Interest and debt financing expenses

    2,962,844       2,369,705       5,486,450       4,737,761  

Base management fees

    1,481,788       1,202,794       2,872,815       2,429,951  

Professional fees

    407,372       302,227       791,703       661,526  

Administrator expenses

    395,833       325,000       770,833       650,000  

Incentive management fees

    1,709,636       1,208,452       1,885,732       1,936,732  

Insurance

    66,165       70,658       132,330       141,316  

Directors fees and expenses

    60,000       60,422       111,000       126,422  

General & administrative

    287,201       304,955       484,444       517,164  

Excise tax expense (credit)

    (14,738     —         (14,738     —    

Other expense

    6,514       —         45,045       13,187  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total operating expenses

    7,362,615       5,844,213       12,565,614       11,214,059  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME

    2,891,051       2,603,781       6,395,500       5,142,330  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

       

Net realized gain (loss) from investments

       

Non-control/Non-affiliate investments

    (5,838,408     5,936,750       (5,742,819     12,039,655  

Control investments

    63,554       —         63,554       —    
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss) from investments

    (5,774,854     5,936,750       (5,679,265     12,039,655  

Net change in unrealized appreciation (depreciation) on investments

       

Non-control/Non-affiliate investments

    7,129,782       (3,857,810     3,092,549       (9,794,258

Control investments

    2,623,880       588,897       4,075,162       1,171,478  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments

    9,753,662       (3,268,913     7,167,711       (8,622,780
 

 

 

   

 

 

   

 

 

   

 

 

 

Net gain on investments

    3,978,808       2,667,837       1,488,446       3,416,875  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 6,869,859     $ 5,271,618     $ 7,883,946     $ 8,559,205  
 

 

 

   

 

 

   

 

 

   

 

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

  $ 1.15     $ 0.92     $ 1.33     $ 1.49  

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED

    5,955,251       5,740,816       5,908,453       5,739,157  

See accompanying notes to consolidated financial statements.

 

4


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

August 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 - 217.1% (b)

       

Tile Redi Holdings, LLC (d)

  Building Products   First Lien Term Loan (L+10.00%), 11.32% Cash, 6/16/2022   $ 15,000,000     $ 14,850,000     $ 14,850,000       11.1
       

 

 

   

 

 

   

 

 

 
    Total Building Products       14,850,000       14,850,000       11.1
       

 

 

   

 

 

   

 

 

 

Apex Holdings Software Technologies, LLC

  Business Services   First Lien Term Loan (L+8.00%), 9.32% Cash, 9/21/2021   $ 18,000,000       17,871,194       18,000,000       13.5

Avionte Holdings, LLC (g)

  Business Services   Common Stock     100,000       100,000       363,000       0.3

BMC Software, Inc. (d)

  Business Services   Syndicated Loan (L+4.00%), 5.32% Cash, 9/10/2022   $ 4,871,232       4,825,630       4,829,339       3.6

CLEO Communications Holding, LLC

  Business Services   First Lien Term Loan (L+7.00%), 8.32% Cash/2.00% PIK, 3/31/2022   $ 13,088,335       12,964,508       12,957,452       9.7

CLEO Communications Holding, LLC (i)

  Business Services   Delayed Draw Term Loan (L+7.00%), 8.32% Cash/2.00% PIK, 3/31/2022   $ 2,000,000       1,980,000       1,980,000       1.5

Courion Corporation

  Business Services   Second Lien Term Loan (L+10.00%), 11.32% Cash, 6/1/2021   $ 15,000,000       14,890,921       14,313,000       10.7

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020   $ 3,300,000       3,292,667       3,321,450       2.5

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

  Business Services   Warrant Membership Interests Expires 12/28/2022     49,318       400,000       523,757       0.4

Erwin, Inc.

  Business Services   Second Lien Term Loan (L+11.50%), 12.82% Cash/1.00% PIK, 8/28/2021   $ 13,176,840       13,075,070       13,176,840       9.9

FranConnect LLC (d)

  Business Services   First Lien Term Loan (L+7.00%), 8.50% Cash, 5/26/2022   $ 14,500,000       14,427,500       14,433,300       10.8

GreyHeller LLC

  Business Services   First Lien Term Loan
(L+11.00%), 12.32% Cash, 11/16/2021
  $ 7,000,000       6,938,608       7,000,000       5.2

GreyHeller LLC (j)

  Business Services   Delayed Draw Term Loan B (L+11.00%), 12.32% Cash, 11/16/2021   $ —         —         —         0.0

GreyHeller LLC (g)

  Business Services   Common Stock     850,000       850,000       784,426       0.6

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

  Business Services   First Lien Term Loan (L+4.50%), 5.82% Cash, 10/8/2021   $ 5,404,367       5,310,648       5,417,878       4.1

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

  Business Services   Second Lien Term Loan (L+9.50%), 10.82% Cash, 10/8/2022   $ 3,000,000       2,927,863       2,937,600       2.2

Identity Automation Systems (g)

  Business Services   Common Stock Class A Units     232,616       232,616       578,283       0.4

Identity Automation Systems

  Business Services   First Lien Term Loan (L+9.50%), 10.82% Cash, 3/31/2021   $ 18,000,000       17,868,107       17,923,540       13.4

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan (L+8.75%), 10.07% Cash, 7/20/2021   $ 16,888,730       16,861,820       16,888,730       12.6

Microsystems Company

  Business Services   Second Lien Term Loan (L+10.00%), 11.32% Cash, 7/1/2022   $ 8,000,000       7,932,584       8,040,000       6.0

National Waste Partners (d)

  Business Services   Second Lien Term Loan 10.00% Cash, 2/13/2022   $ 9,000,000       8,910,000       8,959,500       6.7

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 8,499,741       8,478,591       8,499,741       6.4

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

  Business Services   Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025     343       —         481,356       0.4
       

 

 

   

 

 

   

 

 

 
    Total Business Services       160,138,327       161,409,192       120.9
       

 

 

   

 

 

   

 

 

 

Targus Holdings, Inc. (g)

  Consumer Products   Common Stock     210,456       1,791,242       279,920       0.2

Targus Holdings, Inc. (d)

  Consumer Products   Second Lien Term Loan A-2 15.00% PIK, 12/31/2019   $ 252,517       252,517       252,517       0.2

Targus Holdings, Inc. (d)

  Consumer Products   Second Lien Term Loan B 15.00% PIK, 12/31/2019   $ 757,149       757,150       757,149       0.6
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       2,800,909       1,289,586       1.0
       

 

 

   

 

 

   

 

 

 

My Alarm Center, LLC

  Consumer Services   Preferred Equity Class A Units 8.00% PIK     2,227       2,226,560       2,250,310       1.7

My Alarm Center, LLC (g)

  Consumer Services   Preferred Equity Class B Units     1,797       1,796,880       1,773,130       1.3

My Alarm Center, LLC (g)

  Consumer Services   Common Stock     96,224       —         —         0.0

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan (L+5.25%), 6.57% Cash, 7/1/2019   $ 2,505,496       2,494,954       2,517,021       1.9

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan (L+9.00%), 10.32% Cash, 7/1/2020   $ 11,000,000       10,970,916       11,028,600       8.3
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       17,489,310       17,569,061       13.2
       

 

 

   

 

 

   

 

 

 

C2 Educational Systems (d)

  Education   First Lien Term Loan (L+8.50%), 10.00% Cash, 5/31/2020   $ 16,000,000       15,844,735       15,851,200       11.9

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

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

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

  Education   First Lien Term Loan 1.00% Cash, 3/31/2018   $ 2,318,121       1,190,838       6,320       0.0

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

  Education   Common Stock     750,000       750,000       910,433       0.7

Texas Teachers of Tomorrow, LLC

  Education   Second Lien Term Loan (L+9.75%), 11.07% Cash, 6/2/2021   $ 10,000,000       9,926,400       10,000,000       7.5
       

 

 

   

 

 

   

 

 

 
    Total Education       27,742,214       26,767,953       20.1
       

 

 

   

 

 

   

 

 

 

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

  Food and Beverage   First Lien Term Loan 14.50% PIK, 10/24/2017   $ 9,358,694       9,355,564       7,996,068       6.0

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

  Food and Beverage   Revolver 14.50% PIK, 10/24/2017   $ 413,954       413,954       353,682       0.3
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       9,769,518       8,349,750       6.3
       

 

 

   

 

 

   

 

 

 

Censis Technologies, Inc.

  Healthcare Services   First Lien Term Loan B (L+10.00%), 11.32% Cash, 7/24/2019   $ 10,800,000       10,703,416       10,800,000       8.1

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

  Healthcare Services   Limited Partner Interests     999       999,000       1,092,307       0.8

ComForCare Health Care

  Healthcare Services   First Lien Term Loan (L+8.50%), 9.82% Cash, 1/31/2022   $ 10,500,000       10,404,703       10,542,000       7.9

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

  Healthcare Services   Common Stock     5,081       508,077       583,679       0.4

Roscoe Medical, Inc.

  Healthcare Services   Second Lien Term Loan 11.25% Cash, 9/26/2019   $ 4,200,000       4,163,582       4,190,340       3.1

Ohio Medical, LLC (g)

  Healthcare Services   Common Stock     5,000       500,000       246,350       0.2

Ohio Medical, LLC

  Healthcare Services   Senior Subordinated Note 12.00% Cash, 7/15/2021   $ 7,300,000       7,244,377       6,515,980       4.9

Zest Holdings, LLC (d)

  Healthcare Services   Syndicated Loan (L+4.25%), 5.57% Cash, 8/16/2023   $ 4,126,569       4,048,135       4,150,503       3.1
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       38,571,290       38,121,159       28.5
       

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

  Media   First Lien Term Loan 12.00% Cash, 7/8/2021   $ 8,266,574       8,200,476       8,504,652       6.4

HMN Holdco, LLC

  Media   Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021   $ 4,800,000       4,757,943       4,938,240       3.7

HMN Holdco, LLC (g)

  Media   Class A Series, Expires 1/16/2025     4,264       61,647       251,789       0.2

HMN Holdco, LLC (g)

  Media   Class A Warrant, Expires 1/16/2025     30,320       438,353       1,412,306       1.0

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024     57,872       —         2,399,952       1.8

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024     8,139       —         394,742       0.3
       

 

 

   

 

 

   

 

 

 
    Total Media       13,458,419       17,901,681       13.4
       

 

 

   

 

 

   

 

 

 

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

  Metals   Common Stock     60,000       9,685,029       2,671,800       2.0

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

  Metals   Second Lien Term Loan 15.00% PIK, 8/10/2022   $ 790,957       790,957       790,957       0.6
       

 

 

   

 

 

   

 

 

 
    Total Metals       10,475,986       3,462,757       2.6
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      295,295,973       289,721,139       217.1
       

 

 

   

 

 

   

 

 

 

Control investments - 32.4% (b)

           

Easy Ice, LLC (f)

  Business Services   Preferred Equity 10.00% PIK     5,080,000       8,124,444       10,212,022       7.6

Easy Ice, LLC (d), (f)

  Business Services   Second Lien Term Loan (L+11.00%), 5.44% Cash/7.56% PIK, 2/28/2023   $ 16,500,000       16,380,840       16,500,003       12.4
       

 

 

   

 

 

   

 

 

 
    Total Business Services       24,505,284       26,712,025       20.0
       

 

 

   

 

 

   

 

 

 

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

  Structured Finance Securities   Other/Structured Finance Securities 28.54%, 10/20/2025   $ 30,000,000       9,321,964       12,037,549       9.0

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

  Structured Finance Securities   Other/Structured Finance Securities (L+8.50%), 9.82%, 10/20/2025   $ 4,500,000       4,500,000       4,499,100       3.4
       

 

 

   

 

 

   

 

 

 
    Total Structured Finance Securities       13,821,964       16,536,649       12.4
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          38,327,248       43,248,674       32.4
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 249.5% (b)

        $   333,623,221     $ 332,969,813       249.5
       

 

 

   

 

 

   

 

 

 
           
            Principal     Cost     Fair Value     % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.8% (b)

       

U.S. Bank Money Market (k)

      $ 18,411,539     $ 18,411,539     $ 18,411,539       13.8
     

 

 

   

 

 

   

 

 

   

 

 

 

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

  $ 18,411,539     $ 18,411,539     $ 18,411,539       13.8
     

 

 

   

 

 

   

 

 

   

 

 

 

 

(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 5.0% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.
(b) Percentages are based on net assets of $133,459,608 as of August 31, 2017.
(c) Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors (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 28.54% 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 six months ended August 31, 2017 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

  Purchases     Redemptions     Sales     Interest
Income
    Management
and
Incentive
Fee Income
    Net Realized
Gains
(Losses)
    Net Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

  $ —       $ —       $ (10,180,000   $ 2,040,242     $ —       $ 63,554     $ 1,990,902  

Saratoga Investment Corp. CLO 2013-1, Ltd.

  $ —       $ —       $ —       $ 1,048,973     $ 1,019,291     $ —       $ 2,084,710  

Saratoga Investment Corp. Class F Note

  $ —       $ —       $ —       $ 211,984     $ —       $ —       $ (450

 

(g) Non-income producing at August 31, 2017.
(h) Includes securities issued by an affiliate of the company.
(i) The investment has an unfunded commitment as of August 31, 2017 (see Note 7 to the consolidated financial statements).
(j) The entire commitment was unfunded at August 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 August 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   Second 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 1.00% 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 values of these investments were determined using significant unobservable inputs and 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 year ended February 28, 2017 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

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

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 six months ended
August 31, 2017
    For the six months ended
August 31, 2016
 

INCREASE FROM OPERATIONS:

    

Net investment income

   $ 6,395,500     $ 5,142,330  

Net realized gain (loss) from investments

     (5,679,265     12,039,655  

Net change in unrealized appreciation (depreciation) on investments

     7,167,711       (8,622,780
  

 

 

   

 

 

 

Net increase in net assets from operations

     7,883,946       8,559,205  
  

 

 

   

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

    

Distributions declared

     (5,457,810     (5,963,242
  

 

 

   

 

 

 

Net decrease in net assets from shareholder distributions

     (5,457,810     (5,963,242
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

    

Proceeds from issuance of common stock

     2,639,413       —    

Stock dividend distribution

     1,147,536       2,700,351  

Repurchases of common stock

     —         (1,882,567

Offering costs

     (48,254     —    
  

 

 

   

 

 

 

Net increase in net assets from capital share transactions

     3,738,695       817,784  
  

 

 

   

 

 

 

Total increase in net assets

     6,164,831       3,413,747  

Net assets at beginning of period

     127,294,777       125,149,875  
  

 

 

   

 

 

 

Net assets at end of period

   $ 133,459,608     $ 128,563,622  
  

 

 

   

 

 

 

Net asset value per common share

   $ 22.37     $ 22.39  

Common shares outstanding at end of period

     5,967,272       5,740,810  

Distribution in excess of net investment income

   $ (26,799,657   $ (27,038,814

See accompanying notes to consolidated financial statements.

 

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Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

     For the six months ended
August 31, 2017
    For the six months ended
August 31, 2016
 

Operating activities

    

NET INCREASE IN NET ASSETS FROM OPERATIONS

   $ 7,883,946     $ 8,559,205  

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

    

Payment-in-kind interest income

     (606,978     (276,597

Net accretion of discount on investments

     (335,240     (254,323

Amortization of deferred debt financing costs

     491,135       528,850  

Net realized (gain) loss from investments

     5,679,265       (12,039,655

Net change in unrealized (appreciation) depreciation on investments

     (7,167,711     8,622,780  

Proceeds from sales and repayments of investments

     43,784,914       70,867,907  

Purchase of investments

     (81,662,750     (55,728,395

(Increase) decrease in operating assets:

    

Interest receivable

     (479,210     (198,008

Management and incentive fee receivable

     (84,028     (881

Other assets

     (136,499     38,184  

Receivable from unsettled trades

     —         15,097  

Increase (decrease) in operating liabilities:

    

Base management and incentive fees payable

     (757,698     689,563  

Accounts payable and accrued expenses

     390,245       (224,033

Interest and debt fees payable

     274,291       321,439  

Payable for repurchases of common stock

     —         (20,957

Directors fees payable

     9,000       13,500  

Due to manager

     (44,119     115,759  
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

     (32,761,437     21,029,435  
  

 

 

   

 

 

 

Financing activities

    

Borrowings on debt

     46,500,000       —    

Paydowns on debt

     (14,500,000     —    

Payments of deferred debt financing costs

     (1,204,517     (313,400

Proceeds from issuance of common stock

     2,639,413       —    

Payments of offering costs

     (39,614     —    

Repurchases of common stock

     —         (1,882,567

Payments of cash dividends

     (4,310,274     (2,987,429
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

     29,085,008       (5,183,396
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS

     (3,676,429     15,846,039  

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

   $ 18,411,539     $ 22,880,822  
  

 

 

   

 

 

 

Supplemental information:

    

Interest paid during the period

   $ 4,721,025     $ 3,887,472  

Cash paid for taxes

   $ 69,345     $ 140,029  

Supplemental non-cash information:

    

Payment-in-kind interest income

   $ 606,978     $ 276,597  

Net accretion of discount on investments

   $ 335,240     $ 254,323  

Amortization of deferred debt financing costs

   $ 491,135     $ 528,850  

Stock dividend distribution

   $ 1,147,536     $ 2,700,351  

See accompanying notes to consolidated financial statements.

 

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SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

August 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 MAC, 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 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 MAC, 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.

 

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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 six months ended August 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 August 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.

 

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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:

 

     August 31,
2017
     August 31,
2016
 

Cash and cash equivalents

   $ 1,595,438      $ 12,707,273  

Cash and cash equivalents, reserve accounts

     16,816,101        10,173,549  
  

 

 

    

 

 

 

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

   $ 18,411,539      $ 22,880,822  
  

 

 

    

 

 

 

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 equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and

 

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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. At August 31, 2017, certain investments in two portfolio companies were on non-accrual status with a combined fair value of approximately $8.4 million, or 2.5% of the fair value of our portfolio.

 

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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.

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

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

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

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

ASC 740, Income Taxes , (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the 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 August 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 March 2017, the FASB issued ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20) , Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

In August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230) , Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”), which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The guidance is effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management 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 has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606. Management is evaluating the impact of the standard on certain other income earned by the Company.

 

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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.

 

15


Table of Contents

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

 

     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —        $ 8,980      $ 8,980  

First lien term loans

     —          —          182,781        182,781  

Second lien term loans

     —          —          97,462        97,462  

Structured finance securities

     —          —          16,537        16,537  

Equity interests

     —          —          27,210        27,210  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ 332,970      $ 332,970  
  

 

 

    

 

 

    

 

 

    

 

 

 

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:

 

     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 six months ended August 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

     (48     255       1,799       2,084       3,078       7,168  

Purchases and other adjustments to cost

     10       78,571       1,560       —         2,464       82,605  

Sales and repayments

     (751     (12,680     (25,954     (997     (3,403     (43,785

Net realized gain (loss) from investments

     (54     (8     (7,530     —         1,913       (5,679

Restructures in

     —         —         39,837       —         2,617       42,454  

Restructures out

     —         (42,454     —         —         —         (42,454
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of August 31, 2017

   $ 8,980     $ 182,781     $ 97,462     $ 16,537     $ 27,210     $ 332,970  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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:

   $ (48   $ 255     $ 1,928     $ 2,084     $ 3,731     $ 7,950  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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.

 

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

 

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

Balance as of February 29, 2016

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

Net unrealized appreciation (depreciation) on investments

     2,100       217       1,076       1,171       (13,187     (8,623

Purchases and other adjustments to cost

     51       44,689       10,899       —         620       56,259  

Sales and redemptions

     (4,556     (36,518     (13,269     (2,082     (14,443     (70,868

Net realized gain from investments

     53       245       140       —         11,602       12,040  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of August 31, 2016

   $ 9,516     $ 153,276     $ 87,024     $ 11,917     $ 11,071     $ 272,804  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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:

   $ 955     $ 594     $ 1,135     $ 1,171     $ (2,083   $ 1,772  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

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 August 31, 2017 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input    Range

Syndicated loans

   $ 8,980      Market Comparables    Third-Party Bid (%)    99.1%  - 100.6%

First lien term loans

     182,781      Market Comparables    Market Yield (%)    5.8%  - 14.0%
         EBITDA Multiples (x)    3.0x  - 5.5x
         Third-Party Bid (%)    100.3%  - 100.5%

Second lien term loans

     97,462      Market Comparables    Market Yield (%)    9.2%  - 16.0%
         Third-Party Bid (%)    97.9%  - 100.4%

Structured finance securities

     16,537      Discounted Cash Flow    Discount Rate (%)    8.5%  - 14.0%

Equity interests

     27,210      Market Comparables    EBITDA Multiples (x)    3.7x  - 14.0x

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

 

     Fair Value      Valuation Technique    Unobservable Input    Range

Syndicated loans

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

First lien term loans

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

Second lien term loans

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

Structured finance securities

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

Equity interests

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

 

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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 August 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

   $ 8,874        2.7   $ 8,980        2.7

First lien term loans

     184,210        55.2       182,781        54.9

Second lien term loans

     98,223        29.4       97,462        29.2  

Structured finance securities

     13,822        4.1       16,537        5.0  

Equity interests

     28,494        8.6       27,210        8.2  
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 333,623        100.0   $ 332,970        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.

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

 

18


Table of Contents

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 August 31, 2017. The significant inputs at August 31, 2017 for the valuation model include:

 

    Default rates: 2.0%

 

    Recovery rates: 35-70%

 

    Discount rate: 14.0%

 

    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 August 31, 2017 and August 31, 2016, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.6 million and $0.6 million in interest income, respectively, from Saratoga CLO. For the six months ended August 31, 2017 and August 31, 2016, we accrued $0.8 million and $0.7 million in management fee income, respectively, and $1.0 million and $1.1 million in interest income, respectively, from Saratoga CLO. For the three and six months ended August 31, 2017, we accrued $0.2 million and $0.3 million, respectively, related to the incentive management fee from Saratoga CLO. For the three and six months ended August 31, 2016, we did not accrue any amounts related to the incentive management fee from Saratoga CLO as the 12.0% hurdle rate had not yet been achieved.

As of August 31, 2017, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $12.0 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of August 31, 2017, Saratoga CLO had investments with a principal balance of $300.1 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 August 31, 2017, the present value of the projected future cash flows of the subordinated notes was approximately $12.3 million, using a 14.0% discount rate. Saratoga Investment Corp. invested $32.8 million into the CLO since January 2008, and to date has since received distributions of $51.4 million, management fees of $17.2 million, and incentive fees of $0.2 million.

 

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Table of Contents

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

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

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

ASSETS

    

Investments

    

Fair Value Loans (amortized cost of $297,693,136 and $294,270,284, respectively)

   $ 294,524,360     $ 292,437,930  

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

     292       22,718  
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $301,224,354 and $297,801,502 respectively)

     294,524,652       292,460,648  

Cash and cash equivalents

     7,475,599       13,046,555  

Receivable from open trades

     11,671,407       1,505,000  

Interest receivable

     1,287,219       1,443,865  

Other assets

     —         6,049  
  

 

 

   

 

 

 

Total assets

   $ 314,958,877     $ 308,462,117  
  

 

 

   

 

 

 

LIABILITIES

    

Interest payable

   $ 1,155,865     $ 1,031,457  

Payable from open trades

     16,017,662       9,431,552  

Accrued base management fee

     34,273       34,221  

Accrued subordinated management fee

     137,092       136,885  

Accrued incentive fee

     83,769       —    

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.

     (72,840     (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.

     (338,157     (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

     (1,077,170     (1,161,590

Subordinated Notes

     30,000,000       30,000,000  
  

 

 

   

 

 

 

Total liabilities

   $ 328,340,494     $ 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 (loss)

     (407,841     8,583,592  
  

 

 

   

 

 

 

Total net assets

     (13,381,617     (12,973,776
  

 

 

   

 

 

 

Total liabilities and net assets

   $   314,958,877     $   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
August 31
    For the six months ended
August 31
 
     2017     2016     2017     2016  

INVESTMENT INCOME

        

Interest from investments

   $ 4,150,598     $ 4,028,665     $ 8,128,469     $ 7,817,001  

Interest from cash and cash equivalents

     4,343       1,938       9,426       2,709  

Other income

     84,556       189,836       245,170       433,137  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     4,239,497       4,220,439       8,383,065       8,252,847  
  

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

        

Interest expense

     3,312,058       3,608,788       6,935,616       6,889,803  

Professional fees

     18,556       20,944       53,107       39,426  

Miscellaneous fee expense

     19,833       14,147       29,959       22,391  

Base management fee

     75,192       187,329       150,328       374,171  

Subordinated management fee

     300,765       187,329       601,310       374,171  

Incentive fees

     162,358       —         267,653       —    

Trustee expenses

     38,547       37,839       74,715       64,527  

Amortization expense

     44,357       239,963       88,714       479,926  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     3,971,666       4,296,339       8,201,402       8,244,415  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME (LOSS)

     267,831       (75,900     181,663       8,432  
  

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain on investments

     475,486       165,854       769,344       221,416  

Net unrealized appreciation (depreciation) on investments

     (1,311,081     467,724       (1,358,848     9,788,397  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

     (835,595     633,578       (589,504     10,009,813  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (567,764   $ 557,678     $ (407,841   $ 10,018,245  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

August 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     $ 134  

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       1  

New Millennium Holdco, Inc.

  Healthcare & Pharmaceuticals   Common Stock   Equity     0.00     0.00     0.00     0.00       14,813       964,466       157  

24 Hour Holdings III, LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.75     1.00     0.00     5.05     5/28/2021     $ 485,000       482,182       483,487  

ABB Con-Cise Optical Group, LLC

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.00     1.00     0.00     6.25     6/15/2023       1,985,000       1,965,383       1,987,481  

Acosta Holdco, Inc.

  Media   Term Loan B1   Loan     3.25     1.00     0.00     4.49     9/26/2021       1,940,025       1,930,380       1,732,171  

Advantage Sales & Marketing, Inc.

  Services: Business   Delayed Draw Term Loan   Loan     3.25     1.00     0.00     4.55     7/25/2021       2,433,693       2,431,479       2,339,388  

Aegis Toxicology Science Corporation

  Healthcare & Pharmaceuticals   Term B Loan   Loan     4.50     1.00     0.00     5.79     2/24/2021       2,450,916       2,338,540       2,431,015  

Agrofresh, Inc.

  Food Services   Term Loan   Loan     4.75     1.00     0.00     6.05     7/30/2021       1,960,000       1,953,244       1,942,850  

AI MISTRAL T/L (V. GROUP)

  Utilities   Term Loan   Loan     3.00     1.00     0.00     4.24     3/11/2024       498,750       498,750       493,763  

Akorn, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     1.00     0.00     5.50     4/16/2021       398,056       397,084       402,534  

Albertson’s LLC

  Retailers (Except Food and Drugs)   Term Loan B-4   Loan     2.75     0.75     0.00     3.99     8/25/2021       2,667,653       2,651,990       2,582,848  

Alere Inc. (fka IM US Holdings, LLC)

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.25     1.00     0.00     4.49     6/20/2022       913,287       911,647       911,286  

Alion Science and Technology Corporation

  High Tech Industries   Term Loan B (First Lien)   Loan     4.50     1.00     0.00     5.74     8/19/2021       2,940,000       2,929,838       2,935,090  

Alliance Healthcare Services, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.25     1.00     0.00     4.55     6/3/2019       979,425       976,609       974,528  

Almonde, Inc. (Misys)

  High Tech Industries   Term Loan B   Loan     3.50     1.00     0.00     4.82     4/26/2024       1,000,000       995,131       1,004,120  

ALPHA 3 T/L B1 (ATOTECH)

  Chemicals/Plastics   Term Loan B 1   Loan     3.00     1.00     0.00     4.30     1/31/2024       250,000       249,381       250,000  

Anchor Glass T/L (11/16)

  Containers/Glass Products   Term Loan   Loan     2.75     1.00     0.00     4.01     12/7/2023       497,500       495,075       498,351  

APCO Holdings, Inc.

  Automotive   Term Loan   Loan     6.00     1.00     0.00     7.24     1/31/2022       1,883,581       1,841,381       1,836,492  

Aramark Corporation

  Food Products   U.S. Term F Loan   Loan     2.00     0.00     0.00     3.24     3/28/2024       1,995,000       1,995,000       1,999,988  

Arctic Glacier U.S.A., Inc.

  Beverage, Food & Tobacco   Term Loan B   Loan     4.25     1.00     0.00     5.49     3/20/2024       498,750       496,338       500,620  

ASG Technologies Group, Inc.

  High Tech Industries   Term Loan   Loan     4.75     1.00     0.00     6.06     7/31/2024       500,000       497,515       502,500  

Aspen Dental Management, Inc.

  Healthcare & Pharmaceuticals   Term Loan Initial   Loan     3.75     1.00     0.00     5.07     4/29/2022       1,974,867       1,970,938       1,994,616  

Astoria Energy T/L B

  Utilities   Term Loan   Loan     4.00     1.00     0.00     5.24     12/24/2021       1,458,457       1,445,001       1,461,199  

Asurion, LLC (fka Asurion Corporation)

  Insurance   Term Loan B4 (First Lien)   Loan     2.75     0.00     0.00     3.99     8/4/2022       2,385,687       2,373,815       2,390,912  

Asurion, LLC (fka Asurion Corporation)

  Insurance   Term Loan B5   Loan     3.00     1.00     0.00     4.24     11/3/2023       520,817       516,172       522,770  

Auction.com, LLC

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     5.00     1.00     0.00     6.24     5/13/2019       2,704,799       2,704,613       2,698,037  

Avantor Performance Materials Holdings, Inc.

  Chemicals/Plastics   Term Loan   Loan     4.00     1.00     0.00     5.24     3/8/2024       2,992,500       2,985,020       2,991,243  

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

  Capital Equipment   Term Loan B-2   Loan     2.75     0.75     0.00     3.98     3/20/2022       1,000,000       995,395       1,002,720  

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   Term Loan   Loan     3.25     0.75     0.00     4.48     6/5/2020       1,466,250       1,464,471       1,457,702  

Blackboard T/L B4

  High Tech Industries   Term Loan B4   Loan     5.00     1.00     0.00     6.30     6/30/2021       2,977,500       2,956,964       2,929,116  

Blucora, Inc.

  High Tech Industries   Term Loan B   Loan     3.75     1.00     0.00     5.04     5/22/2024       960,000       955,376       969,600  

BMC Software

  Technology   Term Loan   Loan     4.00     1.00     0.00     5.30     9/12/2022       1,941,323       1,885,799       1,934,043  

BMC Software T/L US

  Technology   Term Loan   Loan     4.00     1.00     0.00     5.24     9/12/2022       586,972       577,295       588,686  

Brickman Group Holdings, Inc.

  Brokers/Dealers/Investment Houses   Initial Term Loan (First Lien)   Loan     3.00     1.00     0.00     4.24     12/18/2020       1,427,946       1,418,213       1,432,230  

Cable One, Inc.

  Telecommunications   Term Loan B   Loan     2.25     0.00     0.00     3.57     5/1/2024       500,000       499,375       501,250  

Candy Intermediate Holdings, Inc.

  Beverage, Food & Tobacco   Term Loan   Loan     4.50     1.00     0.00     5.80     6/15/2023       495,000       492,981       479,224  

Canyon Valor Companies, Inc.

  High Tech Industries   Term Loan B   Loan     4.25     0.00     0.00     5.50     6/16/2023       1,000,000       997,500       1,007,140  

Capital Automotive L.P.

  Conglomerate   Tranche B-1 Term Loan Facility   Loan     3.00     1.00     0.00     4.24     3/25/2024       490,301       487,934       492,404  

Caraustar Industries Inc.

  Forest Products & Paper   Term Loan B   Loan     5.50     1.00     0.00     6.80     3/14/2022       498,750       497,514       493,264  

CareerBuilder, LLC

  Services: Business   Term Loan   Loan     6.75     1.00     0.00     8.01     7/31/2023       2,500,000       2,427,878       2,443,750  

CASA SYSTEMS T/L

  Telecommunications   Term Loan   Loan     4.00     1.00     0.00     5.30     12/20/2023       1,492,500       1,478,808       1,499,963  

Catalent Pharma Solutions, Inc

  Drugs   Initial Term B Loan   Loan     2.75     1.00     0.00     3.99     5/20/2021       422,298       421,090       424,232  

Cengage Learning Acquisitions, Inc.

  Publishing   Term Loan   Loan     4.25     1.00     0.00     5.48     6/7/2023       1,464,371       1,449,727       1,359,419  

CenturyLink, Inc.

  Telecommunications   Term Loan B   Loan     2.75     0.00     0.00     2.75     1/31/2025       3,000,000       2,992,505       2,932,500  

CH HOLD (CALIBER COLLISION) T/L

  Automotive   Term Loan   Loan     3.00     0.00     0.00     4.24     2/1/2024       247,917       247,406       248,742  

Charter Communications Operating, LLC

  Cable and Satellite Television   Term F Loan   Loan     2.00     0.00     0.00     3.24     1/3/2021       1,601,194       1,595,956       1,604,749  

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term G Loan   Loan     2.75     1.00     0.00     4.07     12/31/2019       719,623       707,383       717,198  

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term H Loan   Loan     3.00     1.00     0.00     4.32     1/27/2021       1,328,771       1,289,676       1,321,410  

CITGO Petroleum Corporation

  Oil & Gas   Term Loan B   Loan     3.50     1.00     0.00     4.80     7/29/2021       1,954,823       1,938,276       1,952,380  

Communications Sales & Leasing, Inc.

  Telecommunications   Term Loan B (First Lien)   Loan     3.00     1.00     0.00     4.24     10/24/2022       1,960,212       1,949,526       1,897,113  

Concordia Healthcare Corporation

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     1.00     0.00     5.48     10/21/2021       1,955,000       1,875,901       1,385,880  

Consolidated Aerospace Manufacturing, LLC

  Aerospace and Defense   Term Loan (First Lien)   Loan     3.75     1.00     0.00     4.99     8/11/2022       1,418,750       1,413,340       1,390,375  

Consolidated Communications, Inc.

  Telecommunications   Term Loan B-2   Loan     3.00     1.00     0.00     4.24     10/5/2023       500,000       497,515       490,355  

CPI Acquisition Inc.

  Technology   Term Loan B (First Lien)   Loan     4.50     1.00     0.00     5.96     8/17/2022       1,436,782       1,420,218       933,908  

Crosby US Acquisition Corporation

  Industrial Equipment   Initial Term Loan (First Lien)   Loan     3.00     1.00     0.00     4.32     11/23/2020       723,750       723,313       659,517  

CT Technologies Intermediate Hldgs, Inc

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.25     1.00     0.00     5.49     12/1/2021       1,462,650       1,452,569       1,463,571  

Culligan International Company-T/L

  Conglomerate   Term Loan   Loan     4.00     1.00     0.00     5.00     12/13/2023       2,039,750       2,039,843       2,053,784  

Culligan International Company-T/L

  Utilities   Incremental Term Loan B   Loan     3.25     1.00     0.00     4.49     12/13/2023       500,000       499,375       500,940  

Cumulus Media Holdings Inc.

  Broadcast Radio and Television   Term Loan   Loan     3.25     1.00     0.00     4.49     12/23/2020       448,889       446,593       366,742  

Cypress Intermediate Holdings III, Inc.

  Services: Business   Term Loan B   Loan     3.00     1.00     0.00     4.24     4/29/2024       500,000       498,811       498,875  

DAE Aviation (StandardAero)

  Aerospace and Defense   Term Loan   Loan     3.75     1.00     0.00     4.99     7/7/2022       2,463,731       2,454,251       2,482,825  

DAE Aviation (StandardAero)

  Aerospace and Defense   Term Loan   Loan     3.75     1.00     0.00     4.99     7/7/2022       1,000,000       998,750       1,002,500  

Daseke Companies, Inc.

  Transportation   Term Loan   Loan     7.44     1.00     0.00     8.75     2/27/2024       105,143       105,143       105,800  

DASEKE T/L (HENNESSY CAPITAL)

  Transportation   Term Loan   Loan     5.50     1.00     0.00     6.74     2/27/2024       825,075       818,348       830,232  

DELL INTERNATIONAL 1ST LIEN T/L

  High Tech Industries   Term Loan (01/17)   Loan     2.50     0.75     0.00     3.74     9/7/2023       995,000       993,947       998,691  

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

  Lodging & Casinos   Term Loan B-3   Loan     3.25     1.00     0.00     4.49     2/1/2024       1,500,000       1,496,964       1,508,745  

DEX MEDIA, INC.

  Media   Term Loan (07/16)   Loan     10.00     1.00     0.00     11.24     7/29/2021       35,702       35,702       36,684  

DHX Media Ltd.

  Media   Term Loan   Loan     3.25     1.00     0.00     4.49     12/29/2023       500,000       497,556       501,875  

Diamond (BC) B.V.

  Consumer Goods: Non-Durable   Term Loan   Loan     3.00     0.00     0.00     4.32     7/25/2024       500,000       498,750       496,565  

DIGITALGLOBE T/L B (12/16)

  Aerospace and Defense   Term Loan B   Loan     2.75     0.75     0.00     3.99     1/15/2024       497,500       496,388       496,878  

DJO Finance, LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     3.25     1.00     0.00     4.49     6/8/2020       490,000       488,672       487,447  

Dole Food Company, Inc.

  Beverage, Food & Tobacco   Term Loan B   Loan     2.75     1.00     0.00     4.01     4/8/2024       500,000       497,596       501,015  

Drew Marine Group, Inc.

  Chemicals/Plastics   Term Loan (First Lien)   Loan     3.50     1.00     0.00     4.74     11/19/2020       2,863,470       2,841,317       2,856,311  

DTZ U.S. Borrower, LLC

  Construction & Building   Term Loan B Add-on   Loan     3.25     1.00     0.00     4.57     11/4/2021       1,952,594       1,944,254       1,955,738  

DUKE FINANCE (OM GROUP/VECTRA) T/L

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.25     1.00     0.00     5.51     2/21/2024       1,481,288       1,378,582       1,484,991  

Edelman Financial Group, Inc.

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     5.50     1.00     0.00     6.81     12/19/2022       1,474,728       1,451,180       1,474,728  

Education Management II, LLC

  Leisure Goods/Activities/Movies   Term Loan A   Loan     4.50     1.00     0.00     5.80     7/2/2020       501,970       490,615       220,867  

Education Management II, LLC

  Leisure Goods/Activities/Movies   Term Loan B (2.00% Cash/6.50% PIK)   Loan     1.00     1.00     6.50     8.80     7/2/2020       954,307       936,841       10,736  

EIG Investors Corp.

  High Tech Industries   Term Loan   Loan     4.00     1.00     0.00     5.32     2/9/2023       496,027       494,787       500,883  

Emerald 2 Limited

  Chemicals/Plastics   Term Loan B1A   Loan     4.00     1.00     0.00     5.30     5/14/2021       1,000,000       993,668       977,500  

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     3.50     1.00     0.00     4.74     8/1/2021       480,448       479,012       482,452  

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     7.75     1.00     0.00     8.99     8/1/2022       500,000       498,295       498,750  

Endo International plc

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.25     0.75     0.00     5.50     4/29/2024       1,000,000       995,135       1,006,560  

Engility Corporation

  Aerospace and Defense   Term Loan B-1   Loan     2.75     0.00     0.00     3.99     8/12/2020       231,250       230,388       231,974  

Engineered Machinery Holdings, Inc.

  Capital Equipment   Delayed Draw Term Loan   Loan     5.19     1.00     0.00     6.50     7/19/2024       44,248       44,248       44,192  

Engineered Machinery Holdings, Inc.

  Capital Equipment   Term Loan B   Loan     3.25     1.00     0.00     4.56     7/19/2024       442,478       441,372       441,925  

Equian, LLC

  Services: Business   Term Loan B   Loan     3.75     1.00     0.00     5.07     5/20/2024       1,529,412       1,519,629       1,542,794  

Equian, LLC

  Services: Business   Delayed Draw Term Loan   Loan     3.75     1.00     0.00     5.05     5/20/2024       235,294       235,294       237,353  

Evergreen Acqco 1 LP

  Retailers (Except Food and Drugs)   New Term Loan   Loan     3.75     1.25     0.00     5.06     7/9/2019       950,119       946,962       883,135  

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

  Industrial Equipment   Term Loan (First Lien)   Loan     3.75     1.00     0.00     5.05     1/15/2021       3,210,537       3,197,956       3,242,642  

Extreme Reach, Inc.

  Media   Term Loan B   Loan     6.25     1.00     0.00     7.55     2/7/2020       2,775,000       2,753,177       2,768,063  

Federal-Mogul Corporation

  Automotive   Tranche C Term Loan   Loan     3.75     1.00     0.00     4.98     4/15/2021       2,296,974       2,289,914       2,304,163  

FinCo I LLC

  Banking, Finance, Insurance & Real Estate   Term Loan B   Loan     1.38     0.00     0.00     1.38     6/14/2022       500,000       498,793       504,000  

First Data Corporation

  Financial Intermediaries   First Data T/L Ext (2021)   Loan     2.50     0.00     0.00     3.74     4/26/2024       1,864,542       1,792,211       1,864,933  

First Eagle Investment Management

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     3.50     0.75     0.00     4.80     12/1/2022       2,481,250       2,453,237       2,505,293  

Fitness International, LLC

  Leisure Goods/Activities/Movies   Term Loan B   Loan     4.25     1.00     0.00     5.49     7/1/2020       1,624,755       1,606,031       1,638,566  

Gates Global LLC

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     3.25     1.00     0.00     4.55     4/1/2024       349,011       345,699       349,964  

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     2.50     0.75     0.00     3.74     3/4/2019       2,047,169       2,044,530       1,930,317  

Global Tel*Link Corporation

  Services: Business   Term Loan (First Lien)   Loan     4.00     1.25     0.00     5.30     5/26/2020       3,134,046       3,128,201       3,154,417  

GLOBALLOGIC HOLDINGS INC TERM LOAN B

  Services: Business   Term Loan B   Loan     4.50     1.00     0.00     5.80     6/20/2022       498,750       494,304       499,997  

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     2.00     0.00     0.00     3.23     4/30/2019       1,833,333       1,823,483       1,835,625  

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.00     1.00     0.00     4.24     8/18/2023       997,481       992,679       999,975  

Hargray Communications Group, Inc.

  Media   Term Loan B   Loan     3.00     1.00     0.00     4.24     2/9/2022       1,000,000       997,535       1,000,000  

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

  Publishing   Tranche B-4 Term Loan   Loan     5.50     1.00     0.00     6.80     2/9/2022       2,148,828       2,094,599       2,155,554  

HD Supply Waterworks, Ltd.

  Construction & Building   Term Loan   Loan     3.00     1.00     0.00     4.46     8/1/2024       500,000       498,758       500,625  

Heartland Dental, LLC

  Services: Consumer   Term Loan   Loan     4.75     1.00     0.00     6.06     7/31/2023       3,000,000       2,985,015       3,000,000  

Helix Gen Funding, LLC

  Utilities   Term Loan B   Loan     3.75     1.00     0.00     4.96     5/3/2024       479,104       476,900       483,349  

Help/Systems Holdings, Inc.

  High Tech Industries   Term Loan   Loan     4.50     1.00     0.00     5.80     10/8/2021       1,349,392       1,298,024       1,352,766  

Hemisphere Media Holdings, LLC

  Media   Term Loan B   Loan     3.50     0.00     0.00     4.74     2/14/2024       2,487,500       2,499,377       2,490,609  

Herbalife T/L B (HLF Financing)

  Drugs   Term Loan B   Loan     5.50     0.75     0.00     6.74     2/15/2023       1,962,500       1,949,117       1,971,096  

Hercules Achievement Holdings, Inc.

  Retailers (Except Food and Drugs)   Term Loan B   Loan     3.50     1.00     0.00     4.74     12/10/2021       245,592       243,758       246,820  

Highline Aftermarket Acquisition, LLC

  Automotive   Term Loan B   Loan     4.25     1.00     0.00     5.56     3/15/2024       997,500       992,512       1,002,488  

Hoffmaster Group, Inc.

  Containers/Glass Products   Term Loan   Loan     4.50     1.00     0.00     5.80     11/21/2023       995,000       998,513       1,002,463  

Hostess Brand, LLC

  Beverage, Food & Tobacco   Term Loan B (First Lien)   Loan     2.50     0.75     0.00     3.74     8/3/2022       1,486,275       1,482,613       1,489,619  

HUB International Limited

  Banking, Finance, Insurance & Real Estate   Term Loan B   Loan     3.00     1.00     0.00     4.31     10/2/2022       746,144       746,144       748,367  

Husky Injection Molding Systems Ltd.

  Services: Business   Term Loan B   Loan     3.25     1.00     0.00     4.49     6/30/2021       445,844       443,968       447,516  

Hyland Software, Inc.

  High Tech Industries   Term Loan B   Loan     3.25     0.75     0.00     4.49     7/1/2022       1,000,000       997,506       1,007,500  

Hyperion Refinance T/L

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.00     1.00     0.00     5.25     4/29/2022       1,877,293       1,856,318       1,899,820  

ICSH Parent, Inc.

  Containers/Glass Products   Term Loan   Loan     4.00     1.00     0.00     5.32     4/29/2024       847,059       842,999       847,059  

ICSH Parent, Inc.

  Containers/Glass Products   Delayed Draw Term Loan   Loan     4.00     1.00     0.00     5.32     4/29/2024       46,353       46,353       46,353  

Idera, Inc.

  High Tech Industries   Term Loan B   Loan     5.00     1.00     0.00     6.00     6/28/2024       1,690,909       1,674,000       1,690,909  

IG Investments Holdings, LLC

  Services: Business   Term Loan   Loan     4.00     1.00     0.00     5.30     10/29/2021       3,432,539       3,419,826       3,452,551  

Infor US (Lawson) T/L B-6

  Services: Business   Term Loan B-6   Loan     2.75     1.00     0.00     4.05     2/1/2022       1,605,777       1,592,693       1,601,265  

Informatica Corporation

  High Tech Industries   Term Loan B   Loan     3.50     1.00     0.00     4.80     8/5/2022       484,433       483,517       484,738  

Inmar, Inc.

  Services: Business   Term Loan B   Loan     3.50     1.00     0.00     4.76     5/1/2024       500,000       495,138       500,315  

J. Crew Group, Inc.

  Retailers (Except Food and Drugs)   Term B-1 Loan Retired 03/05/2014   Loan     3.22     1.00     0.00     4.52     3/5/2021       834,971       834,971       486,629  

J.Jill Group, Inc.

  Retailers (Except Food and Drugs)   Term Loan (First Lien)   Loan     5.00     1.00     0.00     6.32     5/9/2022       876,934       873,747       857,203  

Jazz Acquisition, Inc

  Aerospace and Defense   First Lien 6/14   Loan     3.50     1.00     0.00     4.80     6/19/2021       485,455       484,729       471,294  

Kinetic Concepts, Inc.

  Healthcare & Pharmaceuticals   Term Loan F-1   Loan     3.25     1.00     0.00     4.55     2/2/2024       2,400,000       2,389,238       2,373,000  

Koosharem, LLC

  Services: Business   Term Loan   Loan     6.50     1.00     0.00     7.80     5/15/2020       2,920,125       2,905,387       2,737,617  

Lannett Company, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.38     1.00     0.00     6.62     11/25/2022       2,850,000       2,798,349       2,821,500  

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

  Healthcare & Pharmaceuticals   Initial Term Loan (A-L Parent)   Loan     3.25     1.00     0.00     4.49     12/1/2023       497,500       495,311       499,679  

Lightstone Generation T/L B

  Utilities   Term Loan C   Loan     4.50     1.00     0.00     5.74     1/30/2024       57,971       56,866       57,699  

Lightstone Generation T/L C

  Utilities   Term Loan B Refinancing   Loan     4.50     1.00     0.00     5.74     1/30/2024       930,362       912,678       925,999  

Limetree Bay Terminals T/L (01/17)

  Oil & Gas   Term Loan   Loan     4.00     1.00     0.00     5.23     2/15/2024       498,750       494,192       505,608  

Liquidnet Holdings, Inc.

  Banking, Finance, Insurance & Real Estate   Term Loan B   Loan     4.25     1.00     0.00     5.48     7/15/2024       500,000       495,020       500,000  

LPL Holdings

  Banking, Finance, Insurance & Real Estate   Term Loan B (2022)   Loan     2.50     0.00     0.00     3.73     3/11/2024       1,745,625       1,741,382       1,748,540  

McGraw-Hill Global Education Holdings, LLC

  Publishing   Term Loan   Loan     4.00     1.00     0.00     5.24     5/4/2022       990,000       986,218       970,448  

MHVC Acquisition Corp.

  Aerospace and Defense   Term Loan   Loan     5.25     1.00     0.00     6.49     4/29/2024       2,000,000       1,990,197       2,025,000  

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term Loan B1   Loan     2.75     1.00     0.00     3.99     1/30/2023       1,670,514       1,665,413       1,666,856  

Micro Holding Corporation

  High Tech Industries   Term Loan   Loan     3.75     1.00     0.00     4.99     7/8/2021       1,475,684       1,471,584       1,471,626  

Midas Intermediate Holdco II, LLC

  Automotive   Term Loan (Initial)   Loan     2.75     1.00     0.00     4.05     8/18/2021       243,153       242,374       242,647  

Midwest Physician Administrative Services LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     3.00     0.75     0.00     4.32     8/15/2024       1,000,000       995,097       997,500  

Milacron T/L B

  Capital Equipment   Term Loan B   Loan     3.00     0.00     0.00     4.24     9/28/2023       995,000       991,655       997,905  

Milk Specialties Company

  Beverage, Food & Tobacco   Term Loan   Loan     4.00     1.00     0.00     5.30     8/16/2023       992,500       983,390       999,944  

Mister Car Wash T/L

  Automotive   Term Loan   Loan     3.75     1.00     0.00     5.03     8/20/2021       1,491,470       1,486,113       1,493,961  

MWI Holdings, Inc.

  Capital Equipment   Term Loan (First Lien)   Loan     5.50     1.00     0.00     6.80     6/29/2020       2,970,000       2,946,207       2,970,000  

New Media Holdings II T/L (NEW)

  Retailers (Except Food and Drugs)   Term Loan   Loan     6.25     1.00     0.00     7.49     6/4/2020       4,151,952       4,130,494       4,138,998  

New Millennium Holdco, Inc.

  Healthcare & Pharmaceuticals   Term Loan   Loan     6.50     1.00     0.00     7.74     12/21/2020       1,920,070       1,791,552       1,056,039  

Novetta Solutions

  Aerospace and Defense   Term Loan (200MM)   Loan     5.00     1.00     0.00     6.30     10/16/2022       1,970,000       1,954,718       1,896,125  

Novetta Solutions

  Aerospace and Defense   Term Loan (2nd Lien)   Loan     8.50     1.00     0.00     9.80     10/16/2023       1,000,000       991,731       940,000  

NPC International, Inc.

  Food Services   Term Loan (2013)   Loan     3.50     1.00     0.00     4.74     4/19/2024       500,000       499,388       502,500  

NVA Holdings (National Veterinary) T/L B2

  Services: Consumer   Term Loan B2   Loan     3.50     1.00     0.00     4.80     8/14/2021       1,507,950       1,503,536       1,513,605  

NXT Capital T/L (11/16)

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.50     1.00     0.00     5.74     11/23/2022       1,244,373       1,239,598       1,263,039  

Onex Carestream Finance LP

  Healthcare & Pharmaceuticals   Term Loan (First Lien 2013)   Loan     4.00     1.00     0.00     5.30     6/7/2019       3,504,053       3,494,910       3,496,940  

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Term Loan B   Loan     3.75     1.00     0.00     4.99     10/1/2021       486,250       483,977       478,499  

OpenLink International, LLC

  Services: Business   Term B Loan   Loan     6.50     1.25     0.00     7.81     7/29/2019       2,898,488       2,898,374       2,893,068  

P.F. Chang’s China Bistro, Inc.

  Food/Drug Retailers   Term B Loan   Loan     3.25     1.00     0.00     4.48     6/24/2019       589,978       572,278       572,278  

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

  Food/Drug Retailers   Term B Loan   Loan     3.25     1.00     0.00     4.48     6/24/2019       1,410,022       1,406,954       1,404,735  

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

  Services: Business   Term Loan (First Lien)   Loan     4.00     1.00     0.00     5.32     10/30/2020       965,000       962,318       942,487  

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

  Retailers (Except Food and Drugs)   Term Loan B1   Loan     3.00     1.00     0.00     4.24     3/11/2022       977,500       973,373       857,404  

PGX Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     5.25     1.00     0.00     6.49     9/29/2020       2,851,534       2,838,455       2,853,331  

Pike Corporation

  Construction & Building   Term Loan B   Loan     3.75     1.00     0.00     4.99     3/8/2024       498,750       496,459       503,428  

Planet Fitness Holdings LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.00     0.75     0.00     4.24     3/31/2021       2,380,349       2,374,116       2,395,226  

Polycom Term Loan (9/16)

  Telecommunications   Term Loan   Loan     5.25     1.00     0.00     6.49     9/27/2023       1,733,167       1,711,253       1,754,398  

PrePaid Legal Services, Inc.

  Services: Business   Term Loan B   Loan     5.25     1.25     0.00     6.50     7/1/2019       3,103,532       3,106,156       3,120,012  

Presidio, Inc.

  Services: Business   Term Loan   Loan     3.25     1.00     0.00     4.55     2/2/2022       1,997,270       1,941,849       2,003,921  

Prestige Brands T/L B4

  Drugs   Term Loan B4   Loan     2.75     0.75     0.00     3.99     1/26/2024       456,202       455,187       456,699  

Prime Security Services (Protection One)

  Services: Business   Term Loan   Loan     2.75     1.00     0.00     3.99     5/2/2022       1,980,062       1,970,444       1,988,735  

Project Leopard Holdings, Inc.

  High Tech Industries   Term Loan   Loan     5.50     1.00     0.00     6.76     7/7/2023       500,000       498,765       502,500  

Project Silverback Holdings Corp.

  High Tech Industries   Term Loan B   Loan     4.00     1.00     0.00     5.32     8/21/2024       1,000,000       997,500       1,000,000  

Radio Systems Corporation

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.50     1.00     0.00     4.74     5/2/2024       1,500,000       1,500,000       1,511,250  

Ranpak Holdings, Inc.

  Services: Business   Term Loan   Loan     3.25     1.00     0.00     4.49     10/1/2021       911,385       909,107       911,385  

Redtop Acquisitions Limited

  Electronics/Electric   Initial Dollar Term Loan (First Lien)   Loan     3.50     1.00     0.00     4.81     12/3/2020       482,537       480,782       482,841  

Research Now Group, Inc

  Media   Term Loan B   Loan     4.50     1.00     0.00     5.80     3/18/2021       2,004,470       1,997,380       1,994,448  

Resolute Investment Managers, Inc.

  Banking, Finance, Insurance & Real Estate   Term Loan   Loan     4.25     1.00     0.00     5.55     4/30/2022       726,591       725,217       733,856  

Reynolds Group Holdings Inc.

  Industrial Equipment   Incremental U.S. Term Loan   Loan     3.00     0.00     0.00     4.24     2/3/2023       1,752,329       1,752,329       1,753,485  

RGIS Services, LLC

  Services: Business   Term Loan   Loan     7.50     1.00     0.00     8.80     3/31/2023       498,750       491,591       455,109  

Robertshaw US Holding Corp.

  Consumer Goods: Durable   Term Loan   Loan     4.50     1.00