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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form
For the Quarterly Period Ended
Commission File No.
(Exact name of registrant as specified in its charter)
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(State or other jurisdiction of
incorporation or organization) |
(I.R.S. Employer
Identification Number) |
New York,
(Address of principal executive offices)
(Registrant’s telephone number, including area code)
Securities registered pursuant to Section 12(b) of the Act:
| Title of each class | Trading Symbol(s) |
Name of each exchange on which
registered |
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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:
Indicate by check mark whether the registrant
has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405
of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
| Large accelerated filer | ☐ | Accelerated filer | ☐ |
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☒ | Smaller reporting company |
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| Emerging growth company |
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If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act ☐
Indicate by check mark whether the registrant
is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No
The number of outstanding common shares of the registrant as of January
8, 2024 was
TABLE OF CONTENTS
i
PART I. FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements
Saratoga Investment Corp.
Consolidated Statements of Assets and Liabilities
|
November 30,
2023 |
February 28,
2023 |
|||||||
| (unaudited) | ||||||||
| ASSETS | ||||||||
| Investments at fair value | ||||||||
|
Non-control/Non-affiliate investments (amortized cost of $
|
$ |
|
$ |
|
||||
|
Affiliate investments (amortized cost of $
|
|
|
||||||
|
Control investments (amortized cost of $
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||||||
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Total investments at fair value (amortized cost of $
|
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||||||
| Cash and cash equivalents |
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||||||
| Cash and cash equivalents, reserve accounts |
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|
||||||
|
Interest receivable (net of reserve of $
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|
||||||
| Management fee receivable |
|
|
||||||
| Other assets |
|
|
||||||
| Current tax receivable |
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|
||||||
| Total assets | $ |
|
$ |
|
||||
| LIABILITIES | ||||||||
| Revolving credit facility | $ |
|
$ |
|
||||
| Deferred debt financing costs, revolving credit facility |
(
|
) |
(
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) | ||||
| SBA debentures payable |
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|
||||||
| Deferred debt financing costs, SBA debentures payable |
(
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) |
(
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) | ||||
| 8.75% Notes Payable 2024 |
|
|||||||
| Discount on 8.75% notes payable 2024 |
(
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) | ||||||
| Deferred debt financing costs, 8.75% notes payable 2024 |
(
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) | ||||||
| 7.00% Notes Payable 2025 |
|
|
||||||
|
Discount on
|
(
|
) |
(
|
) | ||||
|
Deferred debt financing costs,
|
(
|
) |
(
|
) | ||||
| 7.75% Notes Payable 2025 |
|
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||||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
| 4.375% Notes Payable 2026 |
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||||||
|
Premium on
|
|
|
||||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
| 4.35% Notes Payable 2027 |
|
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||||||
|
Discount on
|
(
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) |
(
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) | ||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
| 6.25% Notes Payable 2027 |
|
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||||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
| 6.00% Notes Payable 2027 |
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||||||
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Discount on
|
(
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) |
(
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) | ||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
| 8.00% Notes Payable 2027 |
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||||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
| 8.125% Notes Payable 2027 |
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||||||
|
Deferred debt financing costs,
|
(
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) |
(
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) | ||||
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|||||||
| Deferred debt financing costs, 8.50% notes payable 2028 |
(
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) | ||||||
| Base management and incentive fees payable |
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||||||
| Deferred tax liability |
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||||||
| Accounts payable and accrued expenses |
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||||||
| Interest and debt fees payable |
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||||||
| Directors fees payable |
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|||||||
| Due to manager |
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||||||
| Total liabilities |
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||||||
| Commitments and contingencies (See Note 9) | ||||||||
| NET ASSETS | ||||||||
|
Common stock, par value $
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|
||||||
| Capital in excess of par value |
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||||||
| Total distributable earnings |
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||||||
| Total net assets |
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||||||
| Total liabilities and net assets | $ |
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$ |
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||||
| NET ASSET VALUE PER SHARE | $ |
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$ |
|
||||
See accompanying notes to consolidated financial statements.
1
Saratoga Investment Corp.
Consolidated Statements of Operations
(unaudited)
| For the three months ended | For the nine months ended | |||||||||||||||
|
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
|||||||||||||
| INVESTMENT INCOME | ||||||||||||||||
| Interest from investments | ||||||||||||||||
| Interest income: | ||||||||||||||||
| Non-control/Non-affiliate investments | $ |
|
$ |
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$ |
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$ |
|
||||||||
| Affiliate investments |
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||||||||||||
| Control investments |
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||||||||||||
| Payment-in-kind interest income: | ||||||||||||||||
| Non-control/Non-affiliate investments |
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| Affiliate investments |
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| Control investments |
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| Total interest from investments |
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||||||||||||
| Interest from cash and cash equivalents |
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||||||||||||
| Management fee income |
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| Dividend Income |
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| Structuring and advisory fee income |
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| Other income |
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| Total investment income |
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| OPERATING EXPENSES | ||||||||||||||||
| Interest and debt financing expenses |
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| Base management fees |
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| Incentive management fees expense |
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| Professional fees |
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| Administrator expenses |
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| Insurance |
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| Directors fees and expenses |
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||||||||||||
| General and administrative |
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| Income tax expense (benefit) |
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(
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) |
(
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) | ||||||||||
| Total operating expenses |
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||||||||||||
| NET INVESTMENT INCOME |
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||||||||||||
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
| Net realized gain (loss) from investments: | ||||||||||||||||
| Non-control/Non-affiliate investments |
|
(
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) |
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|||||||||||
| Net realized gain (loss) from investments |
|
(
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) |
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|||||||||||
| Income tax (provision) benefit from realized gain on investments |
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||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments: | ||||||||||||||||
| Non-control/Non-affiliate investments |
(
|
) |
|
(
|
) |
(
|
) | |||||||||
| Affiliate investments |
(
|
) |
|
(
|
) |
|
||||||||||
| Control investments |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||
| Net change in unrealized appreciation (depreciation) on investments |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||
| Net realized and unrealized gain (loss) on investments |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||
| Realized losses on extinguishment of debt |
(
|
) |
(
|
) | ||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ |
(
|
) | $ |
|
$ |
|
$ |
|
|||||||
| $ |
(
|
) | $ |
|
$ |
|
$ |
|
||||||||
|
|
|
|
|
|||||||||||||
See accompanying notes to consolidated financial statements.
2
Saratoga Investment Corp.
Consolidated Statements of Changes in Net Assets
(unaudited)
| For the nine months ended | ||||||||
|
November 30,
2023 |
November 30,
2022 |
|||||||
| INCREASE (DECREASE) FROM OPERATIONS: | ||||||||
| Net investment income | $ |
|
$ |
|
||||
| Net realized gain from investments |
|
|
||||||
| Realized losses on extinguishment of debt |
(
|
) |
(
|
) | ||||
| Income tax (provision) benefit from realized gain on investments |
|
|||||||
| Net change in unrealized appreciation (depreciation) on investments |
(
|
) |
(
|
) | ||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments |
(
|
) |
(
|
) | ||||
| Net increase in net assets resulting from operations |
|
|
||||||
| DECREASE FROM SHAREHOLDER DISTRIBUTIONS: | ||||||||
| Total distributions to shareholders |
(
|
) |
(
|
) | ||||
| Net decrease in net assets from shareholder distributions |
(
|
) |
(
|
) | ||||
| CAPITAL SHARE TRANSACTIONS: | ||||||||
| Proceeds from issuance of common stock (1) |
|
|||||||
| Capital contribution from manager |
|
|||||||
| Stock dividend distribution |
|
|
||||||
| Repurchases of common stock |
(
|
) |
(
|
) | ||||
| Repurchase fees |
(
|
) |
(
|
) | ||||
| Offering costs |
(
|
) | ||||||
| Net increase (decrease) in net assets from capital share transactions |
|
(
|
) | |||||
| Total increase (decrease) in net assets |
|
(
|
) | |||||
| Net assets at beginning of period |
|
|
||||||
| Net assets at end of period | $ |
|
$ |
|
||||
| (1) |
|
See accompanying notes to consolidated financial statements.
3
Saratoga Investment Corp.
Consolidated Statements of Cash Flows
(unaudited)
| For the nine months ended | ||||||||
|
November 30,
2023 |
November 30,
2022 |
|||||||
| Operating activities | ||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ |
|
$ |
|
||||
| ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE) IN NET ASSETS RESULTING | ||||||||
| FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES: | ||||||||
| Payment-in-kind and other adjustments to cost |
|
|
||||||
| Net accretion of discount on investments |
(
|
) |
(
|
) | ||||
| Amortization of deferred debt financing costs |
|
|
||||||
| Realized losses on extinguishment of debt |
|
|
||||||
| Income tax expense (benefit) |
(
|
) |
(
|
) | ||||
| Net realized (gain) loss from investments |
(
|
) |
(
|
) | ||||
| Net change in unrealized (appreciation) depreciation on investments |
|
|
||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments |
|
|
||||||
| Proceeds from sales and repayments of investments |
|
|
||||||
| Purchases of investments |
(
|
) |
(
|
) | ||||
| (Increase) decrease in operating assets: | ||||||||
| Interest receivable |
(
|
) |
(
|
) | ||||
| Due from affiliate |
|
|||||||
| Management fee receivable |
(
|
) |
(
|
) | ||||
| Other assets |
(
|
) |
|
|||||
| Current income tax receivable |
|
- | ||||||
| Increase (decrease) in operating liabilities: | ||||||||
| Base management and incentive fees payable |
(
|
) |
(
|
) | ||||
| Accounts payable and accrued expenses |
|
|
||||||
| Current tax payable |
(
|
) | ||||||
| Interest and debt fees payable |
|
|
||||||
| Directors fees payable |
(
|
) |
|
|||||
| Excise tax payable |
(
|
) | ||||||
| Due to manager |
|
(
|
) | |||||
| NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES |
(
|
) |
(
|
) | ||||
| Financing activities | ||||||||
| Borrowings on debt |
|
|
||||||
| Paydowns on debt |
(
|
) |
(
|
) | ||||
| Issuance of notes |
|
|
||||||
| Repayments of notes |
(
|
) | ||||||
| Payments of deferred debt financing costs |
(
|
) |
(
|
) | ||||
|
Discount on debt issuance,
|
(
|
) | ||||||
|
Discount on debt issuance,
|
(
|
) | ||||||
| Proceeds from issuance of common stock |
|
|||||||
| Capital contribution from manager |
|
|||||||
| Payments of cash dividends |
(
|
) |
(
|
) | ||||
| Repurchases of common stock |
(
|
) |
(
|
) | ||||
| Repurchases fees |
(
|
) |
(
|
) | ||||
| Payments of offering costs |
(
|
) | ||||||
| NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES |
|
|
||||||
| NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS |
(
|
) |
(
|
) | ||||
| CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD |
|
|
||||||
| CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD (See Note 2) | $ |
|
$ |
|
||||
| Supplemental information: | ||||||||
| Interest paid during the period | $ |
|
$ |
|
||||
| Cash paid for taxes |
|
|
||||||
| Supplemental non-cash information: | ||||||||
| Payment-in-kind interest income and other adjustments to cost |
(
|
) |
|
|||||
| Net accretion of discount on investments |
|
|
||||||
| Amortization of deferred debt financing costs |
|
|
||||||
| Stock dividend distribution |
|
|
||||||
See accompanying notes to consolidated financial statements.
4
Saratoga Investment Corp.
Consolidated Schedule of Investments
November 30, 2023
(unaudited)
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Non-control/Non-affiliate investments - 269.2% (b) | ||||||||||||||||||||||
| Altvia MidCo, LLC. | Alternative Investment Management Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
$ |
|
$ |
|
|
% | |||||||||||
| Altvia MidCo, LLC. (h) | Alternative Investment Management Software | Series A-1 Preferred Shares |
|
|
|
|
|
% | ||||||||||||||
| Total Alternative Investment Management Software |
|
|
|
% | ||||||||||||||||||
| BQE Software, Inc. | Architecture & Engineering Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| BQE Software, Inc. (j) | Architecture & Engineering Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Architecture & Engineering Software |
|
|
|
% | ||||||||||||||||||
| GrowthZone, LLC | Association Management Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Golden TopCo LP (h) | Association Management Software | Class A-2 Common Units |
|
|
|
|
|
% | ||||||||||||||
| Total Association Management Software |
|
|
|
% | ||||||||||||||||||
| Artemis Wax Corp. (d)(j) | Consumer Services |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Artemis Wax Corp. (h) | Consumer Services | Series B-1 Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Artemis Wax Corp. (h) | Consumer Services | Series D Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Consumer Services |
|
|
|
% | ||||||||||||||||||
| Schoox, Inc. (h), (i) | Corporate Education Software | Series 1 Membership Interest |
|
|
|
|
|
% | ||||||||||||||
| Total Corporate Education Software |
|
|
|
% | ||||||||||||||||||
| GreyHeller LLC (h) | Cyber Security | Common Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Cyber Security |
|
|
|
% | ||||||||||||||||||
| Gen4 Dental Partners Holdings, LLC (j) | Dental Practice Management |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
5
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Gen4 Dental Partners Holdings, LLC (h)(i) | Dental Practice Management | Series A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| New England Dental Partners | Dental Practice Management |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| New England Dental Partners | Dental Practice Management |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Dental Practice Management |
|
|
|
% | ||||||||||||||||||
| Exigo, LLC (d) | Direct Selling Software |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Exigo, LLC (j) | Direct Selling Software |
Revolving Credit Facility
(1M USD TERM SOFR+ |
|
$ |
(
|
) |
|
% | ||||||||||||||
| Exigo, LLC (h), (i) | Direct Selling Software | Common Units |
|
|
|
|
|
% | ||||||||||||||
| Total Direct Selling Software |
|
|
|
% | ||||||||||||||||||
| C2 Educational Systems, Inc. (d) | Education Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| C2 Educational Systems, Inc. (j) | Education Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| C2 Education Systems, Inc. (h) | Education Services | Series A-1 Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Zollege PBC (k) | Education Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Zollege PBC (j)(k) | Education Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Zollege PBC (h) | Education Services | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Education Services |
|
|
|
% | ||||||||||||||||||
6
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Destiny Solutions Inc. (h)(i) | Education Software | Limited Partner Interests |
|
|
|
|
|
% | ||||||||||||||
| GoReact | Education Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| GoReact (j) | Education Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Identity Automation Systems (h) | Education Software | Common Stock Class A-2 Units |
|
|
|
|
|
% | ||||||||||||||
| Identity Automation Systems (h) | Education Software | Common Stock Class A-1 Units |
|
|
|
|
|
% | ||||||||||||||
| Ready Education | Education Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Education Software |
|
|
|
% | ||||||||||||||||||
| TG Pressure Washing Holdings, LLC (h) | Facilities Maintenance | Preferred Equity |
|
|
|
|
|
% | ||||||||||||||
| Total Facilities Maintenance |
|
|
|
% | ||||||||||||||||||
| Davisware, LLC | Field Service Management |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Davisware, LLC (j) | Field Service Management |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Field Service Management |
|
|
|
% | ||||||||||||||||||
| GDS Software Holdings, LLC | Financial Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| GDS Software Holdings, LLC | Financial Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| GDS Software Holdings, LLC (h) | Financial Services | Common Stock Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Financial Services |
|
|
|
% | ||||||||||||||||||
| Ascend Software, LLC | Financial Services Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Ascend Software, LLC (j) | Financial Services Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Financial Services Software |
|
|
|
% | ||||||||||||||||||
| Inspect Point Holdings, LLC | Fire Inspection Business Software |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Inspect Point Holdings, LLC (j) | Fire Inspection Business Software |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Total Fire Inspection Business Software |
|
|
|
% | ||||||||||||||||||
7
| Company(1) | Industry |
Investment
Interest Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
%
of
Net Assets |
|||||||||||||||
| Stretch Zone Franchising, LLC | Health/Fitness Franchisor |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Stretch Zone Franchising, LLC (j) | Health/Fitness Franchisor |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Stretch Zone Franchising, LLC (h) | Health/Fitness Franchisor | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Health/Fitness Franchisor |
|
|
|
% | ||||||||||||||||||
| Axiom Medical Consulting, LLC | Healthcare Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Axiom Medical Consulting, LLC (j) | Healthcare Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Axiom Parent Holdings, LLC (h) | Healthcare Services | Class A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| ComForCare Health Care (d) | Healthcare Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Healthcare Services |
|
|
|
% | ||||||||||||||||||
| HemaTerra Holding Company, LLC (d) | Healthcare Software |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| HemaTerra Holding Company, LLC | Healthcare Software |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| TRC HemaTerra, LLC (h) | Healthcare Software | Class D Membership Interests |
|
|
|
|
|
% | ||||||||||||||
| Procurement Partners, LLC | Healthcare Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Procurement Partners, LLC (j) | Healthcare Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Procurement Partners Holdings LLC (h) | Healthcare Software | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Healthcare Software |
|
|
|
% | ||||||||||||||||||
| Roscoe Medical, Inc. (h) | Healthcare Supply | Common Stock |
|
|
|
|
% | |||||||||||||||
| Total Healthcare Supply |
|
|
% | |||||||||||||||||||
8
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Book4Time, Inc. (a)(d) | Hospitality/Hotel |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Book4Time, Inc. (a) | Hospitality/Hotel |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Book4Time, Inc. (a)(h)(i) | Hospitality/Hotel | Class A Preferred Shares |
|
|
|
|
|
% | ||||||||||||||
| Knowland Group, LLC (k) | Hospitality/Hotel |
Second Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Sceptre Hospitality Resources, LLC | Hospitality/Hotel |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Sceptre Hospitality Resources, LLC (j) | Hospitality/Hotel |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Total Hospitality/Hotel |
|
|
|
% | ||||||||||||||||||
| Granite Comfort, LP (d) | HVAC Services and Sales |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Granite Comfort, LP (j) | HVAC Services and Sales |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total HVAC Services and Sales |
|
|
|
% | ||||||||||||||||||
| Vector Controls Holding Co., LLC (d) | Industrial Products |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Vector Controls Holding Co., LLC (h) | Industrial Products |
Warrants to Purchase Limited Liability Company Interests, Expires
|
|
|
|
|
% | |||||||||||||||
| Total Industrial Products |
|
|
|
% | ||||||||||||||||||
| AgencyBloc, LLC | Insurance Software |
First Lien Term Loan
(1M USD BSBY+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Panther ParentCo LLC (h) | Insurance Software | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Insurance Software |
|
|
|
% | ||||||||||||||||||
| LogicMonitor, Inc. (d) | IT Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total IT Services |
|
|
|
% | ||||||||||||||||||
| Lead Management Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | ||||||||||||||
9
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| ActiveProspect, Inc. (j) | Lead Management Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Total Lead Management Software |
|
|
|
% | ||||||||||||||||||
| Centerbase, LLC | Legal Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Legal Software |
|
|
|
% | ||||||||||||||||||
| Madison Logic, Inc. (d) | Marketing Orchestration Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Marketing Orchestration Software |
|
|
|
% | ||||||||||||||||||
| ARC Health OpCo LLC (d) | Mental Healthcare Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ARC Health OpCo LLC (d)(j) | Mental Healthcare Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ARC Health OpCo LLC (h) | Mental Healthcare Services | Class A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Mental Healthcare Services |
|
|
|
% | ||||||||||||||||||
| Chronus LLC | Mentoring Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Chronus LLC | Mentoring Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Chronus LLC (h) | Mentoring Software | Series A Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Mentoring Software |
|
|
|
% | ||||||||||||||||||
| Omatic Software, LLC | Non-profit Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Non-profit Services |
|
|
|
% | ||||||||||||||||||
| Emily Street Enterprises, L.L.C. | Office Supplies |
Senior Secured Note
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Emily Street Enterprises, L.L.C. (h) | Office Supplies |
Warrant Membership Interests,
Expires |
|
|
|
|
|
% | ||||||||||||||
| Total Office Supplies |
|
|
|
% | ||||||||||||||||||
| Buildout, Inc. (d) | Real Estate Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Buildout, Inc. | Real Estate Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
10
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Buildout, Inc. (h)(i) | Real Estate Services | Limited Partner Interests |
|
|
|
|
|
% | ||||||||||||||
| Total Real Estate Services |
|
|
|
% | ||||||||||||||||||
| Wellspring Worldwide Inc. | Research Software |
First Lien Term Loan
(1M USD BSBY+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Archimedes Parent LLC (h) | Research Software | Class A Common Units |
|
|
|
|
|
% | ||||||||||||||
| Total Research Software |
|
|
|
% | ||||||||||||||||||
| LFR Chicken LLC | Restaurant |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| LFR Chicken LLC | Restaurant |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| LFR Chicken LLC (h) | Restaurant | Series B Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Restaurant |
|
|
|
% | ||||||||||||||||||
| JobNimbus LLC | Roofing Contractor Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Roofing Contractor Software |
|
|
|
% | ||||||||||||||||||
| Pepper Palace, Inc. (d)(k) | Specialty Food Retailer |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Pepper Palace, Inc. (j)(k) | Specialty Food Retailer |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Pepper Palace, Inc. (j)(k) | Specialty Food Retailer |
Revolving Credit Facility
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Pepper Palace, Inc. (h) | Specialty Food Retailer | Membership Interest (Series A) |
|
|
|
|
% | |||||||||||||||
| Pepper Palace, Inc. (h) | Specialty Food Retailer | Membership Interest (Series B) |
|
|
|
|
% | |||||||||||||||
| Total Specialty Food Retailer |
|
|
|
% | ||||||||||||||||||
| ArbiterSports, LLC (d) | Sports Management |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ArbiterSports, LLC | Sports Management |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Sports Management |
|
|
|
% | ||||||||||||||||||
| Avionte Holdings, LLC (h) | Staffing Services | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Staffing Services |
|
|
|
% | ||||||||||||||||||
11
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| JDXpert | Talent Acquisition Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| JDXpert (j) | Talent Acquisition Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Jobvite, Inc. (d) | Talent Acquisition Software |
First Lien Term Loan
(6M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Talent Acquisition Software |
|
|
|
% | ||||||||||||||||||
| VetnCare MSO, LLC (j) | Veterinary Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Veterinary Services |
|
|
|
% | ||||||||||||||||||
| Sub Total Non-control/Non-affiliate investments |
|
|
|
% | ||||||||||||||||||
| Affiliate investments - 16.2% (b) | ||||||||||||||||||||||
| ETU Holdings, Inc. (f) | Corporate Education Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ETU Holdings, Inc. (f) | Corporate Education Software |
Second Lien Term Loan
|
|
$ |
|
|
|
|
% | |||||||||||||
| ETU Holdings, Inc. (f)(h) | Corporate Education Software | Series A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Corporate Education Software |
|
|
|
% | ||||||||||||||||||
| Modis Dental Partners OpCo, LLC (f) | Dental Practice Management |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Modis Dental Partners OpCo, LLC (j)(f) | Dental Practice Management |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
$ |
|
% | |||||||||||||||||
| Modis Dental Partners OpCo, LLC (f)(h) | Dental Practice Management | Class A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Dental Practice Management |
|
|
|
% | ||||||||||||||||||
| Axero Holdings, LLC (f) | Employee Collaboration Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Axero Holdings, LLC (f) | Employee Collaboration Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Axero Holdings, LLC (f)(j) | Employee Collaboration Software |
Revolving Credit Facility
(3M USD TERM SOFR+ |
$ |
|
% | |||||||||||||||||
12
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original
Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Axero Holdings, LLC (f)(h) | Employee Collaboration Software | Series A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Axero Holdings, LLC (f)(h) | Employee Collaboration Software | Series B Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Employee Collaboration Software |
|
|
|
% | ||||||||||||||||||
| Alpha Aesthetics Partners OpCo, LLC (f) | Healthcare Services |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Alpha Aesthetics Partners OpCo, LLC (f)(j) | Healthcare Services |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Alpha Aesthetics Partners OpCo, LLC (f)(h) | Healthcare Services | Class A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Healthcare Services |
|
|
|
% | ||||||||||||||||||
| Sub Total Affiliate investments |
|
|
|
% | ||||||||||||||||||
| Control investments - 25.2% (b) | ||||||||||||||||||||||
| Netreo Holdings, LLC (g) | IT Services |
First Lien Term Loan
(3M USD TERM SOFR + |
|
$ |
|
|
|
|
% | |||||||||||||
| Netreo Holdings, LLC (d)(g) | IT Services |
Delayed Draw Term Loan
(3M USD TERM SOFR + |
|
$ |
|
|
|
|
% | |||||||||||||
| Netreo Holdings, LLC (g)(h) | IT Services | Common Stock Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total IT Services |
|
|
|
% | ||||||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. (a)(e)(g) | Structured Finance Securities |
Other/Structured Finance Securities
|
|
$ |
|
|
|
|
% | |||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a)(g) | Structured Finance Securities |
Other/Structured Finance Securities
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note (a)(g) | Structured Finance Securities |
Other/Structured Finance Securities
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Structured Finance Securities |
|
|
|
% | ||||||||||||||||||
| Saratoga Senior Loan Fund I JV, LLC (a)(g)(j) | Investment Fund |
Unsecured Loan
|
|
$ |
|
|
|
|
% | |||||||||||||
| Saratoga Senior Loan Fund I JV, LLC (a)(g) | Investment Fund | Membership Interest |
|
|
|
|
|
% | ||||||||||||||
| Total Investment Fund |
|
|
|
% | ||||||||||||||||||
| Sub Total Control investments |
|
|
|
% | ||||||||||||||||||
| TOTAL INVESTMENTS - 310.6% (b) | $ |
|
$ |
|
|
% | ||||||||||||||||
13
|
Number of
Shares |
Cost | Fair Value |
% of
Net Assets |
|||||||||||||
| Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.1% (b) | ||||||||||||||||
| U.S. Bank Money Market (l) |
|
$ |
|
$ |
|
|
% | |||||||||
| Total cash and cash equivalents and cash and cash equivalents, reserve accounts |
|
$ |
|
$ |
|
|
% | |||||||||
| (1) |
|
| (a) |
|
| (b) |
|
| (c) |
|
| (d) |
|
| (e) |
|
| (f) |
|
| Company | Purchases | Sales | Total Interest from Investments | Management Fee Income |
Net Realized
Gain (Loss) from Investments |
Net Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| Axero Holdings, LLC | $ | $ | $ |
|
$ | $ | $ |
|
||||||||||||||||
| ETU Holdings, Inc. |
|
(
|
) | |||||||||||||||||||||
| Modis Dental Partners OpCo, LLC |
|
|
|
|||||||||||||||||||||
| Alpha Aesthetics Partners OpCo, LLC |
|
|
|
|||||||||||||||||||||
| Total | $ |
|
$ | $ |
|
$ | $ | $ |
(
|
) | ||||||||||||||
14
| (g) |
|
| Company | Purchases | Sales |
Total Interest
from Investments |
Management
Fee Income |
Net Realized
Gain (Loss) from Investments |
Net Change
in Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Netreo Holdings, LLC | $ |
|
$ | $ |
|
$ | $ | $ |
(
|
) | ||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. |
|
(
|
) | |||||||||||||||||||||
| Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note |
|
|
||||||||||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note |
|
|
||||||||||||||||||||||
| Saratoga Senior Loan Fund I JV, LLC |
|
|||||||||||||||||||||||
| Saratoga Senior Loan Fund I JV, LLC |
(
|
) | ||||||||||||||||||||||
| Total | $ |
|
$ | $ |
|
$ |
|
$ | $ |
(
|
) | |||||||||||||
| (h) |
|
|
| (i) |
|
|
| (j) |
|
|
| (k) |
|
|
| (l) |
|
BSBY - Bloomberg Short-Term Bank Yield
SOFR - Secured Overnight Financing Rate
1M USD BSBY - The 1 month USD BSBY rate as of November 30, 2023 was 5.37%.
1M USD TERM SOFR - The 1 month USD TERM SOFR rate as of November 30, 2023 was 5.34%.
3M USD TERM SOFR - The 3 month USD TERM SOFR rate as of November 30, 2023 was 5.37%.
6M USD TERM SOFR - The 6 month USD TERM SOFR rate as of November 30, 2023 was 5.33%.
PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements).
See accompanying notes to consolidated financial statements.
15
Saratoga Investment Corp.
Consolidated Schedule of Investments
February 28, 2023
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Non-control/Non-affiliate investments - 238.6% (b) | ||||||||||||||||||||||
| Altvia MidCo, LLC. | Alternative Investment Management Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
$ |
|
$ |
|
|
% | |||||||||||
| Altvia MidCo, LLC. (h) | Alternative Investment Management Software | Series A-1 Preferred Shares |
|
|
|
|
|
% | ||||||||||||||
| Total Alternative Investment Management Software |
|
|
|
% | ||||||||||||||||||
| Artemis Wax Corp. (d)(j) | Consumer Services |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Artemis Wax Corp. (h) | Consumer Services | Series B-1 Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Artemis Wax Corp. (h) | Consumer Services | Series D Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Consumer Services |
|
|
|
% | ||||||||||||||||||
| Schoox, Inc. (h), (i) | Corporate Education Software | Series 1 Membership Interest |
|
|
|
|
|
% | ||||||||||||||
| Total Corporate Education Software |
|
|
|
% | ||||||||||||||||||
| GreyHeller LLC (h) | Cyber Security | Common Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Cyber Security |
|
|
|
% | ||||||||||||||||||
| New England Dental Partners | Dental Practice Management |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| New England Dental Partners | Dental Practice Management |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Gen4 Dental Partners Holdings, LLC (j) | Dental Practice Management |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
(
|
) |
|
% | ||||||||||||||
| Gen4 Dental Partners Holdings, LLC (i) | Dental Practice Management | Series A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Dental Practice Management |
|
|
|
% | ||||||||||||||||||
16
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Exigo, LLC (d) | Direct Selling Software |
First Lien Term Loan
(1M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Exigo, LLC (j) | Direct Selling Software |
Delayed Draw Term Loan
(1M USD LIBOR+ |
|
$ |
(
|
) |
|
% | ||||||||||||||
| Exigo, LLC (j) | Direct Selling Software |
Revolving Credit Facility
(1M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Exigo, LLC (h), (i) | Direct Selling Software | Common Units |
|
|
|
|
|
% | ||||||||||||||
| Total Direct Selling Software |
|
|
|
% | ||||||||||||||||||
| C2 Educational Systems (d) | Education Services |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| C2 Education Systems, Inc. (h) | Education Services | Series A-1 Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Zollege PBC | Education Services |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Zollege PBC (j) | Education Services |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Zollege PBC (h) | Education Services | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Education Services |
|
|
|
% | ||||||||||||||||||
| Destiny Solutions Inc. (h), (i) | Education Software | Limited Partner Interests |
|
|
|
|
|
% | ||||||||||||||
| GoReact | Education Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| GoReact (j) | Education Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Identity Automation Systems (h) | Education Software | Common Stock Class A-2 Units |
|
|
|
|
|
% | ||||||||||||||
| Identity Automation Systems (h) | Education Software | Common Stock Class A-1 Units |
|
|
|
|
|
% | ||||||||||||||
| Ready Education | Education Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Education Software |
|
|
|
% | ||||||||||||||||||
| TG Pressure Washing Holdings, LLC (h) | Facilities Maintenance | Preferred Equity |
|
|
|
|
|
% | ||||||||||||||
| Total Facilities Maintenance |
|
|
|
% | ||||||||||||||||||
17
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Davisware, LLC | Field Service Management |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Davisware, LLC | Field Service Management |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Field Service Management |
|
|
|
% | ||||||||||||||||||
| B. Riley Financial, Inc. (a) | Financial Services |
Senior Unsecured Loan
|
|
$ |
|
|
|
|
% | |||||||||||||
| GDS Software Holdings, LLC | Financial Services |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| GDS Software Holdings, LLC | Financial Services |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| GDS Software Holdings, LLC (h) | Financial Services | Common Stock Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Financial Services |
|
|
|
% | ||||||||||||||||||
| Ascend Software, LLC | Financial Services Software |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Ascend Software, LLC (j) | Financial Services Software |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Financial Services Software |
|
|
|
% | ||||||||||||||||||
| Axiom Parent Holdings, LLC (h) | Healthcare Services | Common Stock Class A Units |
|
$ |
|
|
|
|
% | |||||||||||||
| ComForCare Health Care (d) | Healthcare Services |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Healthcare Services |
|
|
|
% | ||||||||||||||||||
18
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| HemaTerra Holding Company, LLC (d) | Healthcare Software |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| HemaTerra Holding Company, LLC | Healthcare Software |
Delayed Draw Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| TRC HemaTerra, LLC (h) | Healthcare Software | Class D Membership Interests |
|
|
|
|
|
% | ||||||||||||||
| Procurement Partners, LLC | Healthcare Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Procurement Partners, LLC (j) | Healthcare Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Procurement Partners Holdings LLC (h) | Healthcare Software | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Healthcare Software |
|
|
|
% | ||||||||||||||||||
| Roscoe Medical, Inc. (h) | Healthcare Supply | Common Stock |
|
|
|
|
% | |||||||||||||||
| Total Healthcare Supply |
|
|
% | |||||||||||||||||||
| Book4Time, Inc. (a), (d) | Hospitality/Hotel |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Book4Time, Inc. (a) | Hospitality/Hotel |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Book4Time, Inc. (a), (h), (i) | Hospitality/Hotel | Class A Preferred Shares |
|
|
|
|
|
% | ||||||||||||||
| Knowland Group, LLC (h), (k) | Hospitality/Hotel |
Second Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Sceptre Hospitality Resources, LLC | Hospitality/Hotel |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Sceptre Hospitality Resources, LLC (j) | Hospitality/Hotel |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Total Hospitality/Hotel |
|
|
|
% | ||||||||||||||||||
19
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Granite Comfort, LP (d) | HVAC Services and Sales |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Granite Comfort, LP (j) | HVAC Services and Sales |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total HVAC Services and Sales |
|
|
|
% | ||||||||||||||||||
| Vector Controls Holding Co., LLC (d) | Industrial Products |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Vector Controls Holding Co., LLC (h) | Industrial Products |
Warrants to Purchase Limited Liability Company Interests, Expires
|
|
|
|
|
% | |||||||||||||||
| Total Industrial Products |
|
|
|
% | ||||||||||||||||||
| AgencyBloc, LLC | Insurance Software |
First Lien Term Loan
(1M USD BSBY+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Panther ParentCo LLC (h) | Insurance Software | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Insurance Software |
|
|
|
% | ||||||||||||||||||
| LogicMonitor, Inc. (d) | IT Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total IT Services |
|
|
|
% | ||||||||||||||||||
| ActiveProspect, Inc. (d) | Lead Management Software |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ActiveProspect, Inc. (j) | Lead Management Software |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
% | ||||||||||||||||
| Total Lead Management Software |
|
|
|
% | ||||||||||||||||||
| Centerbase, LLC | Legal Software |
First Lien Term Loan
(1M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Legal Software |
|
|
|
% | ||||||||||||||||||
| Madison Logic, Inc. (d) | Marketing Orchestration Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Marketing Orchestration Software |
|
|
|
% | ||||||||||||||||||
20
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| ARC Health OpCo LLC (d) | Mental Healthcare Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ARC Health OpCo LLC (d), (j) | Mental Healthcare Services |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ARC Health OpCo LLC (h) | Mental Healthcare Services | Class A Preferred Shares |
|
|
|
|
|
% | ||||||||||||||
| Total Mental Healthcare Services |
|
|
|
% | ||||||||||||||||||
| Chronus LLC | Mentoring Software |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Chronus LLC | Mentoring Software |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Chronus LLC (h) | Mentoring Software | Series A Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Mentoring Software |
|
|
|
% | ||||||||||||||||||
| Omatic Software, LLC | Non-profit Services |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Non-profit Services |
|
|
|
% | ||||||||||||||||||
| Emily Street Enterprises, L.L.C. | Office Supplies |
Senior Secured Note
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Emily Street Enterprises, L.L.C. (h) | Office Supplies |
Warrant Membership Interests,
Expires |
|
|
|
|
|
% | ||||||||||||||
| Total Office Supplies |
|
|
|
% | ||||||||||||||||||
21
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Buildout, Inc. | Real Estate Services |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Buildout, Inc. | Real Estate Services |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Buildout, Inc. (h), (i) | Real Estate Services | Limited Partner Interests |
|
|
|
|
|
% | ||||||||||||||
| Total Real Estate Services |
|
|
|
% | ||||||||||||||||||
| Archimedes Parent LLC (h) | Research Software | Class A Common Units |
|
|
|
|
|
% | ||||||||||||||
| Wellspring Worldwide Inc. | Research Software |
First Lien Term Loan
(1M USD BSBY+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Research Software |
|
|
|
% | ||||||||||||||||||
| LFR Chicken LLC | Restaurant |
First Lien Term Loan
(1M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| LFR Chicken LLC (j) | Restaurant |
Delayed Draw Term Loan
(1M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| LFR Chicken LLC (h) | Restaurant | Series B Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Restaurant |
Unsecured Term Loan
|
|
$ |
|
|
|
|
% | ||||||||||||||
| Total Restaurant |
|
|
|
% | ||||||||||||||||||
| Pepper Palace, Inc. (d) | Specialty Food Retailer |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Pepper Palace, Inc. (j) | Specialty Food Retailer |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
% | ||||||||||||||||
| Pepper Palace, Inc. (j) | Specialty Food Retailer |
Revolving Credit Facility
(3M USD LIBOR+ |
|
$ |
|
% | ||||||||||||||||
| Pepper Palace, Inc. (h) | Specialty Food Retailer | Membership Interest |
|
|
|
|
% | |||||||||||||||
| Total Specialty Food Retailer |
|
|
|
% | ||||||||||||||||||
22
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| ArbiterSports, LLC (d) | Sports Management |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| ArbiterSports, LLC | Sports Management |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Sports Management |
|
|
|
% | ||||||||||||||||||
| Avionte Holdings, LLC (h) | Staffing Services | Class A Units |
|
|
|
|
|
% | ||||||||||||||
| Total Staffing Services |
|
|
|
% | ||||||||||||||||||
| JDXpert | Talent Acquisition Software |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| JDXpert (j) | Talent Acquisition Software |
Delayed Draw Term Loan
(3M USD LIBOR+ |
|
$ |
|
% | ||||||||||||||||
| Jobvite, Inc. (d) | Talent Acquisition Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Talent Acquisition Software |
|
|
|
% | ||||||||||||||||||
| Sub Total Non-control/Non-affiliate investments |
|
|
|
% | ||||||||||||||||||
| Affiliate investments - 8.1% (b) | ||||||||||||||||||||||
| ETU Holdings, Inc. (f) | Corporate Education Software |
First Lien Term Loan
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Corporate Education Software |
Second Lien Term Loan
|
|
$ |
|
|
|
|
% | ||||||||||||||
| ETU Holdings, Inc. (f), (h) | Corporate Education Software | Series A-1 Preferred Stock |
|
|
|
|
|
% | ||||||||||||||
| Total Corporate Education Software |
|
|
|
% | ||||||||||||||||||
23
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Axero Holdings, LLC (f) | Employee Collaboration Software |
First Lien Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Axero Holdings, LLC (f) | Employee Collaboration Software |
Delayed Draw Term Loan
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Axero Holdings, LLC (f), (j) | Employee Collaboration Software |
Revolving Credit Facility
(3M USD TERM SOFR+ |
|
$ |
|
% | ||||||||||||||||
| Axero Holdings, LLC (f), (h) | Employee Collaboration Software | Series A Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Axero Holdings, LLC (f), (h) | Employee Collaboration Software | Series B Preferred Units |
|
|
|
|
|
% | ||||||||||||||
| Total Employee Collaboration Software |
|
|
|
% | ||||||||||||||||||
| Sub Total Affiliate investments |
|
|
|
% | ||||||||||||||||||
| Control investments - 33.6% (b) | ||||||||||||||||||||||
| Netreo Holdings, LLC (g) | IT Services |
First Lien Term Loan
(3M USD LIBOR + |
|
$ |
|
|
|
|
% | |||||||||||||
| Netreo Holdings, LLC (d), (g) | IT Services |
Delayed Draw Term Loan
(3M USD LIBOR + |
|
$ |
|
|
|
|
% | |||||||||||||
| Netreo Holdings, LLC (g), (h) | IT Services | Common Stock Class A Unit |
|
|
|
|
|
% | ||||||||||||||
| Total IT Services |
|
|
|
% | ||||||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) | Structured Finance Securities |
Other/Structured Finance Securities
|
|
$ |
|
|
|
|
% | |||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a), (g) | Structured Finance Securities |
Other/Structured Finance Securities
(3M USD LIBOR+ |
|
$ |
|
|
|
|
% | |||||||||||||
24
| Company(1) | Industry |
Investment Interest
Rate/
Maturity |
Original Acquisition Date |
Principal/
Number of Shares |
Cost | Fair Value (c) |
% of
Net Assets |
|||||||||||||||
| Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note (a), (g) | Structured Finance Securities |
Other/Structured Finance Securities
(3M USD TERM SOFR+ |
|
$ |
|
|
|
|
% | |||||||||||||
| Total Structured Finance Securities |
|
|
|
% | ||||||||||||||||||
| Saratoga Senior Loan Fund I JV, LLC (a), (g), (j) | Investment Fund |
Unsecured Loan
|
|
$ |
|
|
|
|
% | |||||||||||||
| Saratoga Senior Loan Fund I JV, LLC (a), (g), (h) | Investment Fund | Membership Interest |
|
|
|
|
|
% | ||||||||||||||
| Total Investment Fund |
|
|
|
% | ||||||||||||||||||
| Sub Total Control investments |
|
|
|
% | ||||||||||||||||||
| TOTAL INVESTMENTS - 280.3% (b) | $ |
|
$ |
|
|
% | ||||||||||||||||
|
Number of
Shares |
Cost | Fair Value |
% of
Net Assets |
|||||||||||||
| Cash and cash equivalents and cash and cash equivalents, reserve accounts - 27.7% (b) | ||||||||||||||||
| U.S. Bank Money Market (l) |
|
$ |
|
$ |
|
|
% | |||||||||
| Total cash and cash equivalents and cash and cash equivalents, reserve accounts |
|
$ |
|
$ |
|
|
% | |||||||||
| (1) | Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and are restricted securities. |
| (a) | Represents an investment that is not a “qualifying asset” under Section 55(a) of the Investment Company Act of 1940, as amended (the 1940 Act”). As of February 28, 2023, non-qualifying assets represent 8.6% of the Company’s portfolio at fair value. As a BDC, the Company generally has to invest at least 70% of its total assets in qualifying assets. |
| (b) |
|
| (c) | Because there is no “readily available market quotations” (as defined in the 1940 Act) for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements). |
| (d) | These securities are either fully or partially pledged as collateral under the Company’s senior secured revolving credit facility (see Note 8 to the consolidated financial statements). |
| (e) | This investment does not have a stated interest rate that is payable thereon. As a result, the 0.00% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment. |
| (f) | As defined in the 1940 Act, this portfolio company is an “affiliate” as we own between 5.0% and 25.0% of the outstanding voting securities. Artemis Wax Corp. is no longer an affiliate as of February 28, 2023. Transactions during the nine monthsyear ended February 28, 2023 in which the issuer was an affiliate are as follows: |
| Company | Purchases | Sales |
Total Interest
from Investments |
Management
Fee Income |
Net Realized
Gain (Loss) from Investments |
Net Change
in Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Artemis Wax Corp | $ |
|
$ |
|
$ |
|
$ | $ | $ |
(
|
) | |||||||||||||
| Axero Holdings, LLC |
|
|
|
|||||||||||||||||||||
| ETU Holdings, Inc. |
|
|
|
|||||||||||||||||||||
| Total | $ |
|
$ |
|
$ |
|
$ | $ | $ |
|
||||||||||||||
25
| (g) | As defined in the 1940 Act, we “control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 28, 2023 in which the issuer was both an affiliate and a portfolio company that we control are as follows: |
| Company | Purchases | Sales |
Total Interest
from Investments |
Management
Fee Income |
Net Realized
Gain (Loss) from Investments |
Net Change
in Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Netreo Holdings, LLC | $ |
|
$ | $ |
|
$ | $ | $ |
(
|
) | ||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. |
|
|
(
|
) | ||||||||||||||||||||
| Saratoga Investment Corp. Senior Loan Fund 2022-1, Ltd. Class E Note |
|
|
(
|
) | ||||||||||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note |
|
(
|
) | |||||||||||||||||||||
| Saratoga Senior Loan Fund I JV, LLC |
|
|
||||||||||||||||||||||
| Saratoga Senior Loan Fund I JV, LLC |
|
(
|
) | |||||||||||||||||||||
| Total | $ |
|
$ | $ |
|
$ |
|
$ | $ |
(
|
) | |||||||||||||
| (h) | Non-income producing at February 28, 2023. |
| (i) | Includes securities issued by an affiliate of the company. |
| (j) | All or a portion of this investment has an unfunded commitment as of February 28, 2023. (See Note 9 to the consolidated financial statements). |
| (k) | As of February 28, 2023, the investment was on non-accrual status. The fair value of these investments was approximately $9.8 million, which represented 2.8% of the Company’s portfolio (see Note 2 to the consolidated financial statements). |
| (l) | Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of February 28, 2023. |
BSBY - Bloomberg Short-Term Bank Yield
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
1M USD BSBY - The 1 month USD BSBY rate as of February 28, 2023 was 4.58%.
3M USD BSBY - The 3 month USD BSBY rate as of February 28, 2023 was 4.87%.
1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2023 was 4.67%.
3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2023 was 4.97%.
1M USD TERM SOFR - The 1 month USD TERM SOFR rate as of February 28, 2023 was 4.66%
3M USD TERM SOFR - The 3 month USD TERM SOFR rate as of February 28, 2023 was 4.89%
PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements).
See accompanying notes to consolidated financial statements.
26
SARATOGA INVESTMENT CORP.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
November 30, 2023
(unaudited)
Note 1. Organization
Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-diversified closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed the initial public offering (“IPO”) on March 28, 2007. The Company has elected, and intends to qualify annually, to be treated for U.S. federal income tax purposes as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s investment objective is to generate current income and, to a lesser extent, capital appreciation from its investments.
GSC Investment, LLC (the “LLC”) was organized in May 2006 as a Maryland limited liability company. On March 21, 2007, the Company was incorporated and concurrently therewith the LLC was merged with and into the Company, with the Company as the surviving entity, in accordance with the procedure for such merger in the LLC’s limited liability company agreement and Maryland law. In connection with such merger, each outstanding limited liability company interest of the LLC was converted into a share of common stock of the Company.
On July 30, 2010, the Company changed its name from “GSC Investment Corp.” to “Saratoga Investment Corp.” in connection with the consummation of a recapitalization transaction.
The Company is externally managed and advised by the investment adviser, Saratoga Investment Advisors, LLC (the “Manager” or “Saratoga Investment Advisors”), pursuant to an investment advisory and management agreement (the “Management Agreement”).
The Company has established wholly owned subsidiaries, SIA-AAP, Inc., SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-G4, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-MDP, Inc., SIA-PP Inc., SIA-SZ, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc., which are structured as Delaware entities that are treated as corporations for U.S. federal income tax purposes and are intended to facilitate its compliance with the requirements to be treated as a RIC under the Code by holding equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). These entities are consolidated for accounting purposes, but are not consolidated for U.S. federal income tax purposes and may incur U.S. federal income tax expenses as a result of their ownership of portfolio companies. In February 2022, SIA-GH, Inc., SIA-TT Inc. and SIA-VR, Inc. received an approved plan of liquidation following the sale of equity held by each of the portfolio companies.
Our wholly owned subsidiaries, Saratoga Investment Corp. SBIC LP (“SBIC
LP”), Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), and Saratoga Investment Corp. SBIC III LP (“SBIC III
LP”, and together with SBIC LP and SBIC II LP, the “SBIC Subsidiaries”), received SBIC licenses from the SBA on March
28, 2012, August 14, 2019, and September 29, 2022, respectively. SBIC LP’s license provided up to $
27
The Company has formed a wholly owned special purpose entity, Saratoga Investment Funding II LLC (“SIF II”), a Delaware limited liability company, for the purpose of entering into the senior secured revolving credit facility with Encina Lender Finance, LLC (the “Lender”), supported by loans held by SIF II and pledged to the Lender under the credit facility (the “Encina Credit Facility”).
On October 26, 2021, the Company and TJHA JV
I LLC (“TJHA”) entered into a Limited Liability Company Agreement to co-manage Saratoga Senior Loan Fund I JV LLC (“SLF
JV”). SLF JV is under joint control and is not consolidated. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1
Ltd. (“SLF 2022”), which is a wholly owned subsidiary of SLF JV. SLF 2022 was formed for the purpose of making investments
in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.
On October 28, 2022, SLF 2022 issued $
Note 2. Summary of Significant Accounting Policies
Basis of Presentation
The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its wholly owned special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SIF II, SBIC LP, SBIC II LP, SBIC III LP, SIA-AAP, Inc., SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-G4, Inc., SIA-GH, Inc., SIA-MDP, Inc., SIA-MAC, Inc., SIA-PP, Inc., SIA-SZ, Inc., SIA-TG, Inc., SIA-TT Inc., SIA-Vector, Inc. and SIA-VR, Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.
The Company, SBIC LP, SBIC II LP, and SBIC III LP are all considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies (“ASC 946”). There have been no changes to the Company, SBIC LP, SBIC II LP, or SBIC III LP’s status as investment companies during the nine months ended November 30, 2023.
Principles of Consolidation
Under the investment company rules and regulations pursuant to ASC 946, the Company is precluded from consolidating any entity other than another investment company or controlled operating company whose business consists of providing services to the Company. As a result, the consolidated financial statements of the Company include only the accounts of the Company and its wholly owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation.
The Company has determined that SLF JV is an
investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment
in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the
Company and TJHA each have an equal
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.
28
Cash and Cash Equivalents
Cash and cash equivalents include short-term, liquid investments in a money market fund. The Company places its cash in financial institutions and, at times, such balances may be in excess of the Federal Deposit Insurance Corporation insurance limits. Cash and cash equivalents are carried at cost which approximates fair value. Pursuant to Section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another investment company, such as a money market fund, if such investment would cause the Company to:
| ● |
own more than
|
| ● |
hold securities in the investment company having an aggregate value in excess of
|
| ● |
hold securities in investment companies having an aggregate value in excess of
|
As of November 30, 2023, the Company did not exceed any of these limitations.
Cash and Cash Equivalents, Reserve Accounts
Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds, and, at times, such balances may be in excess of the Federal Deposit Insurance Corporation insurance limits, representing payments received on secured investments or other reserved amounts associated with the Encina Credit Facility held by the Company’s wholly owned subsidiary, SIF II. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the Encina Credit Facility.
In addition, cash and cash equivalents, reserve accounts also include amounts held in designated bank accounts, in the form of cash and short-term liquid investments in money market funds, within the Company’s wholly owned subsidiaries, SBIC LP, SBIC II LP and SBIC III LP.
The statements of cash flows explain the change during the period in the total of cash, cash equivalents and amounts generally described as restricted cash and restricted cash equivalents when reconciling the beginning-of-period and end-of-period total amounts.
|
November 30,
2023 |
February 28,
2023 |
|||||||
| Cash and cash equivalents | $ |
|
$ |
|
||||
| Cash and cash equivalents, reserve accounts |
|
|
||||||
| Total cash and cash equivalents and cash and cash equivalents, reserve accounts | $ |
|
$ |
|
||||
Investment Classification
The Company classifies its investments in accordance
with the requirements of the 1940 Act. Under the 1940 Act, “control investments” are defined as investments in companies
in which the Company owns more than
29
Investment Valuation
The Company accounts for its investments at fair value in accordance with the FASB ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Company to assume that its investments are to be sold or its liabilities are to be transferred at the measurement date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.
Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by the Company’s board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. The Company values investments for which market quotations are not readily available at fair value as approved, in good faith, by the Company’s board of directors based on input from the Manager, the audit committee of the board of directors and a third-party independent valuation firm.
The Company undertakes a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:
| ● | Each investment is initially valued by the responsible investment professionals of the Manager and preliminary valuation conclusions are documented, reviewed and discussed with our senior management; and |
| ● | An independent valuation firm engaged by the Company’s board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. The Company uses a third-party independent valuation firm to value its investment in the subordinated notes of Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”), the Class F-2-R-3 Notes of the Saratoga CLO, and the Class E Notes of the SLF 2022 every quarter. |
In addition, all investments are subject to the following valuation process:
| ● | The audit committee of the Company’s board of directors reviews and approves each preliminary valuation and the Manager and independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and |
| ● | The Company’s board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of the Manager, independent valuation firm (to the extent applicable) and the audit committee of the board of directors. |
The Company uses multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of the Company’s investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.
30
The Company’s investments in the subordinated notes of Saratoga CLO, Class F-2-R-3 Notes of the Saratoga CLO and the Class E Notes of SLF 2022 are carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds, when available, as determined by the Manager and recommended to the Company’s board of directors. Specifically, the Company uses Intex cash flows, or an appropriate substitute, to form the basis for the valuation of its investment in the subordinated notes of Saratoga CLO, Class F-2-R-3 Notes of the Saratoga CLO and the Class E Notes of SLF 2022. The inputs are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine the valuation for our investment in Saratoga CLO.
The Company’s equity investment in SLF JV is measured using the proportionate share of the net asset value (“NAV”), or equivalent, of SLF JV as a practical expedient for fair value, provided by ASC 820.
Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. The Company’s NAV could be materially affected if the determinations regarding the fair value of its investments were materially higher or lower than the values that the Company ultimately realizes upon the disposal of such investments.
Rule 2a-5 under the 1940 Act (“Rule 2a-5”) establishes a regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits boards of directors, subject to board oversight and certain other conditions, to designate the investment adviser to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must determine the fair value of a security. Rule 31a-4 under the 1940 Act (“Rule 31a-4”) provides for certain recordkeeping requirements associated with fair value determinations. Finally, the Securities and Exchange Commission (the “SEC”) rescinded previously issued guidance on related issues, including the role of the board in determining fair value and the accounting and auditing of fund investments. While the Company’s board of directors has not elected to designate Saratoga Investment Advisors as the valuation designee, the Company has established policies and procedures in compliance with the applicable requirements of Rule 2a-5 and Rule 31a-4.
Derivative Financial Instruments
The Company accounts for derivative financial instruments in accordance with FASB ASC Topic 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires recognizing all derivative instruments as either assets or liabilities on the consolidated statements of assets and liabilities at fair value. The Company values derivative contracts at the closing fair value provided by the counterparty. Changes in the values of derivative contracts are included in the consolidated statements of operations.
Investment Transactions and Income Recognition
Purchases and sales of investments and the related realized gains or losses are recorded on a trade-date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis to the extent that such amounts are expected to be collected. The Company stops accruing interest on its investments when it is determined that interest is no longer collectible. Discounts and premiums on investments purchased are accreted/amortized using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts over the life of the investment and amortization of premiums on investments up to the earliest call date.
Loans are generally placed on non-accrual status when there is reasonable
doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status.
Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment
regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s
judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value
and is in the process of collection. At November 30, 2023, our investment in three portfolio companies were on non-accrual status
with a fair value of approximately $
31
Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325-40, Investments-Other, Beneficial Interests in Securitized Financial Assets , based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/or re-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.
Payment-in-Kind Interest
The Company holds debt and preferred equity investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on an accrual basis to the extent such amounts are expected to be collected. The Company stops accruing PIK interest if it is expected that the issuer will not be able to pay all principal and interest when due. The Company restores to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection.
Dividend Income
Dividend income is recorded in the consolidated statements of operations when earned.
Structuring and Advisory Fee Income
Structuring and advisory fee income represents various fee income earned and received for performing certain investment structuring and advisory activities during the closing of new investments.
Other Income
Other income includes prepayment income fees, and monitoring, administration, redemption and amendment fees and is recorded in the consolidated statements of operations when earned.
Deferred Debt Financing Costs
Financing costs incurred in connection with our credit facility and notes are deferred and amortized using the straight-line method over the life of the respective facility and debt securities. Financing costs incurred in connection with the SBA debentures of SBIC LP, SBIC II LP, and SBIC III LP are deferred and amortized using the straight-line method over the life of the debentures. Any discount or premium on the issuance of any debt is accreted and amortized using the effective interest method over the life of the respective debt security.
The Company presents deferred debt financing costs on the balance sheet as a contra-liability, which is a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.
Realized Loss on Extinguishment of Debt
Upon the repayment of debt obligations that are deemed to be extinguishments, the difference between the principal amount due at maturity adjusted for any unamortized debt issuance costs is recognized as a loss (i.e., the unamortized debt issuance costs are recognized as a loss upon extinguishment of the underlying debt obligation).
32
Contingencies
In the ordinary course of business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management reasonably believes that the likelihood of such an event is remote. Therefore, the Company has not accrued any liabilities in connection with such indemnifications.
In the ordinary course of business, the Company may directly or indirectly be a defendant or plaintiff in legal actions with respect to bankruptcy, insolvency or other types of proceedings. Such lawsuits may involve claims that could adversely affect the value of certain financial instruments owned by the Company.
Income Taxes
The Company has elected, and intends to qualify annually, to be treated for U.S. federal income tax purposes as a RIC under Subchapter M of the Code. By meeting these requirements, the Company will not be subject to U.S. federal income tax on ordinary income or capital gains timely distributed to stockholders. Therefore, no provision has been recorded for federal income taxes, except as related to the Taxable Blockers (as defined below) and long-term capital gains, when applicable.
In order to qualify as a RIC, among other requirements,
the Company generally is required to timely distribute to its stockholders at least
Depending on the level of investment company
taxable income earned in a tax year and the amount of net capital gains recognized in such tax year, the Company may choose to carry
forward investment company taxable income and net capital gains in excess of current year dividend distributions into the next tax year
and pay U.S. federal income tax, and possibly the
In accordance with U.S. Treasury regulations
and published guidance issued by the Internal Revenue Service (“IRS”), a publicly offered RIC may treat a distribution of
its own stock as counting toward its RIC distribution requirements if each stockholder may elect to receive his, her, or its entire distribution
in either cash or stock of the RIC. This published guidance indicates that the rule will apply where the aggregate amount of cash to
be distributed to all stockholders is not at least
The Company may utilize wholly owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet its source-of-income requirements as a RIC (“Taxable Blockers”). Taxable Blockers are consolidated in the Company’s U.S. GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likely than-not that some portion or all of the deferred tax assets will not be realized.
33
FASB ASC Topic 740, Income Taxes , (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2023, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2020, 2021, 2022 and 2023 federal tax years for the Company remain subject to examination by the IRS. At November 30, 2023, and February 28, 2023, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.
Dividends
Dividends to common stockholders are recorded on the ex-dividend date. The amount to be paid out as a dividend is determined by the board of directors. Net realized capital gains, if any, are generally distributed at least annually, although we may decide to retain some or all of our net capital gains for reinvestment.
We have adopted a dividend reinvestment plan (“DRIP”) that provides for reinvestment of our dividend distributions on behalf of our stockholders unless a stockholder elects to receive cash. As a result, if our board of directors authorizes, and we declare, a cash dividend, then our stockholders who have not “opted out” of the DRIP by the dividend record date will have their cash dividends automatically reinvested into additional shares of our common stock, rather than receiving the cash dividends. We have the option to satisfy the share requirements of the DRIP through the issuance of new shares of common stock or through open market purchases of common stock by the DRIP plan administrator.
Capital Gains Incentive Fee
The Company records an expense accrual on the consolidated statements of operations relating to the capital gains incentive fee payable to the Manager, as recorded on the consolidated statements of assets and liabilities when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments, as a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time.
The actual incentive fee payable to the Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and only reflect those realized capital gains net of realized and unrealized losses for the period.
Recent Accounting Pronouncements
In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (Topic 820) (“ASU 2022-03”) , which clarifies that a contractual sale restriction prohibiting the sale of an equity security is a characteristic of the reporting entity holding the equity security and is not included in the equity security’s unit of account. Accordingly, an entity should not consider the contractual sale restriction when measuring the equity security’s fair value. In addition, ASU 2022-03 prohibits an entity from recognizing a contractual sale restriction as a separate unit of account. ASU 2022-03 amendments are effective for fiscal years beginning after December 15, 2023, with early adoption permitted. The Company is currently evaluating the impact of the adoption of ASU 2022-03 on its consolidated financial statements .
34
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) to provide optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 established Topic 848 to provide relief during the temporary transition period and includes a sunset provision based on expectations of when the London Interbank Offered Rate (“LIBOR”) would cease being published. With the adoption of ASU 2020-04, there was no significant impact to the Company’s financial position.
Risk Management
In the ordinary course of its business, the Company manages a variety of risks, including market and credit risk. Market risk is the risk of potential adverse changes to the value of investments because of changes in market conditions such as interest rate movements and volatility in investment prices.
Credit risk is the risk of default or non-performance by portfolio companies, equivalent to the investment’s carrying amount. The Company is also exposed to credit risk related to maintaining all of its cash and cash equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.
The Company has investments in lower rated and comparable quality unrated high yield bonds and bank loans. Investments in high yield investments are accompanied by a greater degree of credit risk. The risk of loss due to default by the issuer is significantly greater for holders of high yield securities, because such investments are generally unsecured and are often subordinated to other creditors of the issuer.
Note 3. Investments
As noted above, the Company values all investments in accordance with ASC 820. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between independent market participants at the measurement date.
ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability of inputs used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Based on the observability of the inputs used in the valuation techniques, the Company is required to provide disclosures on fair value measurements according to the fair value hierarchy. The fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three categories:
| ● | Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. |
| ● | Level 2— Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments that are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed. |
| ● | Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation technique. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors. |
35
In addition to using the above inputs in investment valuations, the Company continues to employ the valuation policy approved by the board of directors that is consistent with ASC 820 and the 1940 Act (see Note 2). Consistent with our valuation policy, the Company evaluates the source of inputs, including any markets in which its investments are trading, in determining fair value.
| Fair Value Measurements |
Valued Using
Net Asset |
|||||||||||||||||||
| Level 1 | Level 2 | Level 3 | Value* | Total | ||||||||||||||||
| First lien term loans | $ | $ | $ |
|
$ | $ |
|
|||||||||||||
| Second lien term loans |
|
|
||||||||||||||||||
| Unsecured term loans |
|
|
||||||||||||||||||
| Structured finance securities |
|
|
||||||||||||||||||
| Equity interests |
|
|
|
|||||||||||||||||
| Total | $ | $ | $ |
|
$ |
|
$ |
|
||||||||||||
| * |
|
| Fair Value Measurements |
Valued Using
Net Asset |
|||||||||||||||||||
| Level 1 | Level 2 | Level 3 | Value* | Total | ||||||||||||||||
| First lien term loans | $ | $ | $ |
|
$ | $ |
|
|||||||||||||
| Second lien term loans |
|
|
||||||||||||||||||
| Unsecured term loans |
|
|
||||||||||||||||||
| Structured finance securities |
|
|
||||||||||||||||||
| Equity interests |
|
|
|
|||||||||||||||||
| Total | $ | $ | $ |
|
$ |
|
$ |
|
||||||||||||
| * | The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy. |
|
First lien
term loans |
Second lien
term loans |
Unsecured
term loans |
Structured
finance securities |
Equity
interests |
Total | |||||||||||||||||||
| Balance as of February 28, 2023 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Payment-in-kind and other adjustments to cost |
|
|
(
|
) |
(
|
) |
(
|
) | ||||||||||||||||
| Net accretion of discount on investments |
|
|
|
|||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments |
(
|
) |
(
|
) |
|
(
|
) |
(
|
) |
(
|
) | |||||||||||||
| Purchases |
|
|
|
|||||||||||||||||||||
| Sales and repayments |
(
|
) |
(
|
) |
(
|
) | ||||||||||||||||||
| Net realized gain (loss) from investments |
|
|
||||||||||||||||||||||
| Balance as of November 30, 2023 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| 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 | $ |
(
|
) | $ |
(
|
) | $ |
(
|
) | $ |
(
|
) | $ |
(
|
) | $ |
(
|
) | ||||||
36
Purchases, PIK and other adjustments to cost include purchases of new investments at cost, effects of refinancing/restructuring, accretion/amortization of income from discount/premium on debt securities, and PIK interests.
Sales and repayments represent net proceeds received from investments sold and principal paydowns received during the period.
Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2023.
The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2022 (dollars in thousands):
|
First lien
term loans |
Second lien
term loans |
Unsecured
term loans |
Structured
finance securities |
Equity
interests |
Total | |||||||||||||||||||
| Balance as of February 28, 2022 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Payment-in-kind and other adjustments to cost |
|
|
(
|
) |
|
(
|
) | |||||||||||||||||
| Net accretion of discount on investments |
|
(
|
) |
|
||||||||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments |
(
|
) |
(
|
) |
|
(
|
) |
|
(
|
) | ||||||||||||||
| Purchases |
|
|
|
|
|
|
||||||||||||||||||
| Sales and repayments |
(
|
) |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||||||||
| Net realized gain (loss) from investments |
|
|
|
|||||||||||||||||||||
| Balance as of November 30, 2022 | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||||
| Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the period | $ |
(
|
) | $ |
(
|
) | $ |
|
$ |
(
|
) | $ |
|
$ |
(
|
) | ||||||||
Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2022.
| Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average* | ||||||||||
| First lien term loans | $ |
|
|
|
|
|
|
|||||||
|
|
|
|
x | |||||||||||
|
|
|
|
x | |||||||||||
| Second lien term loans |
|
|
|
|
|
|
||||||||
|
|
|
|
x | |||||||||||
| Unsecured term loans |
|
|
|
|
|
|
||||||||
| Structured finance securities |
|
|
|
|
|
|
||||||||
|
|
|
|
|
|||||||||||
|
|
|
|
|
|||||||||||
| Equity interests |
|
|
|
|
|
x | ||||||||
|
|
|
|
x | |||||||||||
| Total | $ |
|
||||||||||||
| * | The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input. |
37
| Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average* | ||||||||||
| First lien term loans | $ |
|
|
|
|
% | ||||||||
|
|
|
|
x | |||||||||||
|
|
|
|
x | |||||||||||
| Second lien term loans |
|
|
|
|
|
% | ||||||||
| Unsecured term loans |
|
|
|
|
|
% | ||||||||
|
|
|
|
|
% | ||||||||||
|
|
|
|
|
% | ||||||||||
| Structured finance securities |
|
|
|
|
|
% | ||||||||
|
|
|
|
% | |||||||||||
|
|
|
|
% | |||||||||||
| Equity interests |
|
|
|
|
|
x | ||||||||
|
|
|
|
x | |||||||||||
| Total | $ | |||||||||||||
| * | The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input. |
For investments utilizing a market comparables valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the earnings before interest, tax, depreciation and amortization (“EBITDA”) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate, and prepayment rate, in isolation, would result in a significantly lower (higher) fair value measurement while a significant increase (decrease) in recovery rate, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a market quote, third party bid or net asset value in deriving a value, a significant increase (decrease) in the market quote, bid or net asset value in isolation, would result in a significantly higher (lower) fair value measurement.
|
Investments at
Amortized Cost |
Amortized Cost
Percentage of Total Portfolio |
Investments at
Fair Value |
Fair Value
Percentage of Total Portfolio |
|||||||||||||
| First lien term loans | $ |
|
|
% | $ |
|
|
% | ||||||||
| Second lien term loans |
|
|
|
|
||||||||||||
| Unsecured term loans |
|
|
|
|
||||||||||||
| Structured finance securities |
|
|
|
|
||||||||||||
| Equity interests |
|
|
|
|
||||||||||||
| Total | $ |
|
|
% | $ |
|
|
% | ||||||||
|
Investments at
Amortized Cost |
Amortized Cost
Percentage of Total Portfolio |
Investments at
Fair Value |
Fair Value
Percentage of Total Portfolio |
|||||||||||||
| First lien term loans | $ |
|
|
% | $ |
|
|
% | ||||||||
| Second lien term loans |
|
|
|
|
||||||||||||
| Unsecured term loans |
|
|
|
|
||||||||||||
| Structured finance securities |
|
|
|
|
||||||||||||
| Equity interests |
|
|
|
|
||||||||||||
| Total | $ |
|
|
% | $ |
|
|
% | ||||||||
38
For loans and debt securities for which market quotations are not readily available, the Company determines their fair value based on third party indicative broker quotes, where available, or the inputs that a hypothetical market participant would use to value the security in a current hypothetical sale using a market comparables valuation technique. In applying the market comparables valuation technique, the Company determines the fair value based on such factors as market participant inputs including synthetic credit ratings, estimated remaining life, current market yield and interest rate spreads of similar securities as of the measurement date. If, in the Company’s judgment, the market comparables technique is not sufficient or appropriate, the Company may use additional techniques such as an asset liquidation or expected recovery model.
For equity securities of portfolio companies and partnership interests, the Company determines the fair value using an enterprise value waterfall valuation technique. Under the enterprise value waterfall valuation technique, the Company determines the enterprise fair value of the portfolio company and then waterfalls the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, the Company weighs some or all of the traditional market valuation techniques and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The techniques for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, the Company may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. The Company also takes into account historical and anticipated financial results.
The Company’s investments in Saratoga CLO and SLF 2022 are carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO and SLF 2022, when available, as determined by the Manager and recommended to the Company’s board of directors. Specifically, the Company uses Intex cash flows, or an appropriate substitute, to form the basis for the valuation of the investment in Saratoga CLO and SLF 2022. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs are based on available market data and projections provided by third parties as well as management estimates. The Company ran Intex models based on inputs about the refinanced Saratoga CLO’s structure and the SLF 2022 structure, including capital structure, cost of liabilities and reinvestment period. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investments in Saratoga CLO and SLF 2022 at November 30, 2023. The inputs at November 30, 2023 for the valuation model include:
|
|
|
| ● | Recovery rate: 35%-70% |
| ● | Discount rate: 12.0%-22.0% |
| ● | Prepayment rate: 20.0% |
| ● | Reinvestment rate / price: $98.00 for six months; then L+365bps / $99.00 |
39
The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV of SLF JV, or equivalent, as practical expedient.
Investment Concentration
Set forth is a brief description of each portfolio
company in which the fair value of the Company’s investment represents greater than
HemaTerra Holdings Company, LLC
HemaTerra Holding Company, LLC (“HemaTerra”) provides SaaS-based software solutions addressing complex supply chain issues across a variety of medical environments, including blood, plasma, tissue, implants and DNA sample management, to customers in blood centers, hospitals, pharmaceuticals, and law enforcement settings.
Artemis Wax Corp.
Artemis Wax Corporation is a U.S. based retail aggregator of European Wax Center (“EWC”) franchise locations with a concentration in the northeast. Founded in 2004, EWC is the largest U.S. body waxing national chain with more than 800 locations across the country.
Granite Comfort, LP
Granite Comfort, LP is a U.S. based heating, ventilation and air conditioning (“HVAC”) company. The company provides traditional service and replacement of HVAC / plumbing systems, as well as a rental model that is in the early stages of implementation.
Note 4. Investment in Saratoga CLO
On January 22, 2008, the Company entered into a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, the Company completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.
On December 14, 2018, the Company completed a
third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among
other things, extended its reinvestment period to January 2021, and extended its legal maturity date to
On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary of Saratoga CLO. During the fourth quarter ended February 28, 2021, the CLO 2013-1 Warehouse 2 Ltd. was repaid in full.
On February 26, 2021, the Company completed the
fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April
2024, extended its legal maturity to April 2033, and added a non-call period of February 2022. In addition, and as part of the refinancing,
the Saratoga CLO was upsized from $
40
On August 9, 2021, the Company exchanged its
existing $
The Saratoga CLO remains effectively
For the three months ended November 30, 2023
and November 30, 2022, the Company accrued management fee income of $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company accrued management fee income of $
As of November 30, 2023, the aggregate principal amounts of the Company’s
investments in the subordinated notes and Class F-2-R-3 Notes of the Saratoga CLO was $
As of February 28, 2023, the Company determined
that the fair value of its investment in the subordinated notes of Saratoga CLO was $
41
Saratoga Investment Corp. CLO 2013-1, Ltd.
Statements of Assets and Liabilities
|
November 30,
2023 |
February 28,
2023 |
|||||||
| (unaudited) | ||||||||
| ASSETS | ||||||||
| Investments at fair value | ||||||||
|
Loans at fair value (amortized cost of $
|
$ |
|
$ |
|
||||
|
Equities at fair value (amortized cost of $
|
|
|||||||
|
Total investments at fair value (amortized cost of $
|
|
|
||||||
| Cash and cash equivalents |
|
|
||||||
| Receivable from open trades |
|
|
||||||
|
Interest receivable (net of reserve of $
|
|
|
||||||
| Due from affiliate (See Note 7) |
|
|
||||||
| Prepaid expenses and other assets |
|
|
||||||
| Total assets | $ |
|
$ |
|
||||
| LIABILITIES | ||||||||
| Interest payable | $ |
|
$ |
|
||||
| Payable from open trades |
|
|
||||||
| Accrued base management fee |
|
|
||||||
| Accrued subordinated management fee |
|
|
||||||
| Accounts payable and accrued expenses |
|
|
||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. Notes: | ||||||||
| Class A-1-R-3 Senior Secured Floating Rate Notes |
|
|
||||||
| Class A-2-R-3 Senior Secured Floating Rate Notes |
|
|
||||||
| Class B-FL-R-3 Senior Secured Floating Rate Notes |
|
|
||||||
| Class B-FXD-R-3 Senior Secured Fixed Rate Notes |
|
|
||||||
| Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes |
|
|
||||||
| Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes |
|
|
||||||
| Class D-R-3 Deferrable Mezzanine Floating Rate Notes |
|
|
||||||
| Discount on Class D-R-3 Notes |
(
|
) |
(
|
) | ||||
| Class E-R-3 Deferrable Mezzanine Floating Rate Notes |
|
|
||||||
| Discount on Class E-R-3 Notes |
(
|
) |
(
|
) | ||||
| Class F-1-R-3 Notes Deferrable Junior Floating Rate Notes |
|
|
||||||
| Class F-2-R-3 Notes Deferrable Junior Floating Rate Notes |
|
|
||||||
| Deferred debt financing costs |
(
|
) |
(
|
) | ||||
| Subordinated Notes |
|
|
||||||
| Discount on Subordinated Notes |
(
|
) |
(
|
) | ||||
| Total liabilities |
|
|
||||||
| NET ASSETS | ||||||||
|
Ordinary equity, par value $
|
|
|
||||||
| Total distributable earnings (loss) |
(
|
) |
(
|
) | ||||
| Total net deficit |
(
|
) |
(
|
) | ||||
| Total liabilities and net assets | $ |
|
$ |
|
||||
See accompanying notes to financial statements.
42
Saratoga Investment Corp. CLO 2013-1, Ltd.
Statements of Operations
(unaudited)
| For the three months ended | For the nine months ended | |||||||||||||||
|
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
|||||||||||||
| INVESTMENT INCOME | ||||||||||||||||
| Total interest from investments | $ |
|
$ |
|
$ |
|
$ |
|
||||||||
| Interest from cash and cash equivalents |
|
|
|
|
||||||||||||
| Other income |
|
|
|
|
||||||||||||
| Total investment income |
|
|
|
|
||||||||||||
| EXPENSES | ||||||||||||||||
| Interest and debt financing expenses |
|
|
|
|
||||||||||||
| Base management fee |
|
|
|
|
||||||||||||
| Subordinated management fee |
|
|
|
|
||||||||||||
| Professional fees |
|
|
|
|
||||||||||||
| Trustee expenses |
|
|
|
|
||||||||||||
| Other expense |
|
|
|
|
||||||||||||
| Total expenses |
|
|
|
|
||||||||||||
| NET INVESTMENT INCOME (LOSS) |
|
|
|
(
|
) | |||||||||||
| REALIZED AND UNREALIZED LOSS ON INVESTMENTS | ||||||||||||||||
| Net realized loss from investments |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||
| Net change in unrealized depreciation on investments |
(
|
) |
(
|
) |
|
(
|
) | |||||||||
| Net realized and unrealized gain (loss) on investments |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ |
(
|
) | $ |
(
|
) | $ |
(
|
) | $ |
(
|
) | ||||
See accompanying notes to financial statements.
43
Saratoga Investment Corp. CLO 2013-1, Ltd.
Schedule of Investments
November 30, 2023
(unaudited)
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Altisource Solutions S.a r.l. |
|
|
|
|
$ | $ |
|
|||||||||||||||||||||||||||||||
| Envision Parent Inc |
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
| Envision Parent Inc |
|
|
|
|
||||||||||||||||||||||||||||||||||
| Isagenix International, LLC |
|
|
|
|
||||||||||||||||||||||||||||||||||
| URS TOPCO LLC |
|
|
|
|
|
|
||||||||||||||||||||||||||||||||
| 19TH HOLDINGS GOLF, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
$ |
|
|
|
|||||||||||||||||||||||
| 888 Acquisitions Limited |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Adtalem Global Education Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Aegis Sciences Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Agiliti Health Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AHEAD DB Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Air Canada |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AIS HoldCo, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AIT Worldwide Logistics Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Alchemy US Holdco 1, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AlixPartners, LLP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Alkermes, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Allen Media, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Alliant Holdings Intermediate, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Allied Universal Holdco LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
44
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Altisource Solutions S.a r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Altium Packaging LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| American Axle & Manufacturing Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| American Greetings Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| American Trailer World Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AmWINS Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Anastasia Parent LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Anchor Glass Container Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Anchor Packaging, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ANI Pharmaceuticals, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AP Core Holdings II LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AP Core Holdings II LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| APEX GROUP TREASURY LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| APLP Holdings Limited Partnership |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Apollo Commercial Real Estate Finance, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Apollo Commercial Real Estate Finance, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AppLovin Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AppLovin Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Aramark Services, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Aramark Services, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
45
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| ARC FALCON I INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Arches Buyer Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ARCIS GOLF LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Aretec Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Asplundh Tree Expert, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AssuredPartners Capital, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Assuredpartners Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Assuredpartners Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ASTRO ONE ACQUISITION CORPORATION |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Asurion, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Asurion, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ATHENAHEALTH GROUP INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Avolon TLB Borrower 1 (US) LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Avolon TLB Borrower 1 (US) LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Axalta Coating Systems US Holdings |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| AZURITY PHARMACEUTICALS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| B&G Foods, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| B.C. Unlimited Liability Co (Burger King) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| BAKELITE UK INTERMEDIATE LTD. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Baldwin Risk Partners, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
46
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Barnes Group Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Bausch Health Companies Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Belfor Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Belron Finance US LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Belron Finance US LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Bengal Debt Merger Sub LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Blackstone Mortgage Trust, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Blackstone Mortgage Trust, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Blue Tree Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Bombardier Recreational Products, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Bombardier Recreational Products, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Boost Newco Borrower, LLC (Worldpay) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Boxer Parent Company, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| BrightSpring Health Services (Phoenix Guarantor) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| BroadStreet Partners, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Brookfield WEC Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| BROWN GROUP HOLDING, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Buckeye Partners, L.P. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Buckeye Partners, L.P. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| BW Gas & Convenience Holdings LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
47
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Callaway Golf Company |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Camping World, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CAPSTONE BORROWER INC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CareerBuilder, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Castle US Holding Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CASTLELAKE AVIATION LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CBI BUYER, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CBL & Associates Limited Partnership |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CCC Intelligent Solutions Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CCI Buyer, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CCRR Parent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CCRR Parent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CCS-CMGC Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CDK GLOBAL, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Cengage Learning, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CENTURI GROUP, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CenturyLink, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Charlotte Buyer, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Chemours Company, (The) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Churchill Downs Incorporated |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
48
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| CIMPRESS PUBLIC LIMITED COMPANY |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CITADEL SECURITIES LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Citco Funding LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Clarios Global LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Claros Mortgage Trust, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CLYDESDALE ACQUISITION HOLDINGS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Columbus McKinnon Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Conduent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Connect Finco SARL |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Consolidated Communications, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CORAL-US CO-BORROWER LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Corelogic, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Cortes NP Acquisition Corp (Vertiv) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Creative Artists Agency, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CROCS INC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Cross Financial Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Crown Subsea Communications Holding, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CSC Holdings LLC (Neptune Finco Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CSC Holdings LLC (Neptune Finco Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| CTC Holdings, LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
49
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| CTS Midco, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Daseke Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Dave & Buster’s Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DCert Buyer, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Delek US Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Delos Aircraft DAC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Delta 2 Lux Sarl |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Derby Buyer LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DexKo Global, Inc. (Dragon Merger) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DG Investment Intermediate Holdings 2, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Diamond Sports Group, LLC (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Diamond Sports Group, LLC (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DIRECTV FINANCING, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DISCOVERY PURCHASER CORPORATION |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Dispatch Acquisition Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DOMTAR CORPORATION |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DOTDASH MEREDITH, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DRI HOLDING INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DRW Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DTZ U.S. Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
50
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| DTZ U.S. Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| DTZ U.S. Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| EAB Global, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Echo Global Logistics, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Edelman Financial Group Inc., The |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Electrical Components Inter., Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ELECTRON BIDCO INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ELO Touch Solutions, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Embecta Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Emerson Climate Technologies Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Endo Luxembourg Finance Company I S.a.r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Endure Digital, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Entain Holdings (Gibraltar) Limited |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| EOS U.S. FINCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Equiniti Group PLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Evertec Group LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| EyeCare Partners, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Finco I LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| First Brands Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| First Eagle Investment Management |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
51
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| First Student Bidco Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| First Student Bidco Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Fitness International, LLC (LA Fitness) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Flutter Financing B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Flutter Financing B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| FOCUS FINANCIAL PARTNERS, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Franchise Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Franchise Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Franklin Square Holdings, L.P. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Froneri International (R&R Ice Cream) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Garrett LX III S.a r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Gemini HDPE LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Genesee & Wyoming, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| GGP Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| GIP Pilot Acquisition Partners, L.P. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Global Tel*Link Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Go Daddy Operating Company, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| GOLDEN WEST PACKAGING GROUP LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Graham Packaging Co Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Great Outdoors Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
52
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Griffon Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Grosvenor Capital Management Holdings, LLLP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Groupe Solmax Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| GYP HOLDINGS III CORP. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Harbor Freight Tools USA, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Helix Gen Funding, LLc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hertz Corporation (The) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hillman Group Inc. (The) (New) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hilton Domestic Operating Company Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hilton Grand Vacations Borrower LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hilton Grand Vacations Borrower LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| HLF Financing SARL (Herbalife) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Holley Purchaser, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Howden Group Holdings |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hudson River Trading LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Hunter Douglas Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Idera, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| IMA Financial Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| IMA Financial Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| INDY US BIDCO, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
53
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| INEOS 226 Ltd. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Ineos US Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| INEOS US PETROCHEM LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Informatica Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Ingram Micro Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Inmar, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Innophos, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| INSTANT BRANDS HOLDINGS INC. (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| INSTANT BRANDS HOLDINGS INC. (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| IRB Holding Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Isagenix International, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Isolved Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Jane Street Group |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Journey Personal Care Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| JP Intermediate B, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Kleopatra Finco S.a r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Kodiak BP, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Koppers Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| KREF Holdings X LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Lakeland Tours, LLC |
|
|
|
- |
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
54
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Lealand Finance Company B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LHS BORROWER, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Lifetime Brands, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Liquid Tech Solutions Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LogMeIn, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LOYALTY VENTURES INC. (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LPL Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LSF11 A5 HOLDCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LSF11 A5 HOLDCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LSF11 TRINITY BIDCO INC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| LSF9 Atlantis Holdings, LLC (A Wireless) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| MAGNITE, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Marriott Ownership Resorts, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Match Group, Inc, The |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Mayfield Agency Borrower Inc. (FeeCo) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| McGraw-Hill Education, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| MedAssets Software Inter Hldg, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Mermaid Bidco Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Michaels Companies Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| MKS Instruments, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
55
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Momentive Performance Materials Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Moneygram International, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Mosel Bidco SE |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| MPH Acquisition Holdings LLC (Multiplan) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| NAB Holdings, LLC (North American Bancard) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Napa Management Services Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Natgasoline LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| National Mentor Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| National Mentor Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Nexstar Broadcasting, Inc. (Mission Broadcasting) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Next Level Apparel, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| NortonLifeLock Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Nouryon Finance B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Nouryon Finance B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Novae LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Nuvei Technologies Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Olaplex, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Open Text Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Organon & Co. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Oxbow Carbon, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
56
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| PACIFIC DENTAL SERVICES, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Pacific Gas & Electric |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PACTIV EVERGREEN GROUP HOLDINGS INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Padagis LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PAR PETROLEUM LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PATAGONIA HOLDCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Pathway Partners Vet Management Company LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PCI Gaming Authority |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PEARLS (Netherlands) Bidco B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Penn National Gaming, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Peraton Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PHYSICIAN PARTNERS, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Pike Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Pitney Bowes Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Plastipak Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Playtika Holding Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PMHC II, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PointClickCare Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Polymer Process Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
57
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Pre-Paid Legal Services, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Presidio, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Prime Security Services Borrower, LLC (ADT) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PRIORITY HOLDINGS, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PriSo Acquisition Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Project Leopard Holdings, Inc. (NEW) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Propulsion (BC) Finco |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| PUG LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Quartz AcquireCo, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| QUEST BORROWER LIMITED |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Rackspace Technology Global, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| RAND PARENT LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| RealPage, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Recess Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Rent-A-Center, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Research Now Group, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Resideo Funding Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Resolute Investment Managers (American Beacon), Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Restoration Hardware, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Reynolds Consumer Products LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
58
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| Reynolds Group Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Russell Investments US Inst’l Holdco, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| RV Retailer LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Ryan Specialty Group LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| S&S HOLDINGS LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Sally Holdings LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Schweitzer-Mauduit International, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Scientific Games Holdings LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Sedgwick Claims Management Services, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| SETANTA AIRCRAFT LEASING DAC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Sitel Worldwide Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| SiteOne Landscape Supply, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| SMG US Midco 2, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Smyrna Ready Mix Concrete, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Sotheby’s |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Sparta U.S. HoldCo LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Specialty Pharma III Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Spin Holdco, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Spirit Aerosystems Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
- |
|
- | ||||||||||||||||||||||||
| SRAM, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
59
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost | Fair Value | ||||||||||||||||||||||||||||
| STANDARD INDUSTRIES INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Staples, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Star Parent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Storable, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Summit Materials, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Superannuation & Investments US LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Sweetwater Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Syncsort Incorporated |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Ta TT Buyer LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Tenable Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Teneo Holdings LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Ten-X, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| The Dun & Bradstreet Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| The Dun & Bradstreet Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Thor Industries, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Torrid LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| TORY BURCH LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Tosca Services, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Trans Union LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Transdigm, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
60
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate
(All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
||||||||||||||||||||||||||||
| TRITON WATER HOLDINGS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Tronox Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Tronox Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| TruGreen Limited Partnership |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Uber Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Ultra Clean Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Unimin Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| United Natural Foods, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Univision Communications Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Univision Communications Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| USI T/L (09/23) |
|
|
- |
|
- | |||||||||||||||||||||||||||||||||
| Utz Quality Foods, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Vaco Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Vericast Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Verifone Systems, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Vertex Aerospace Services Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| VFH Parent LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Viasat Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Virtus Investment Partners, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Vistra Energy Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Vizient, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| VM Consolidated, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Vouvray US Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Walker & Dunlop, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Warner Music Group Corp. (WMG Acquisition Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Watlow Electric Manufacturing Company |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| WeddingWire, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| WEX Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| WildBrain Ltd. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Wyndham Hotels & Resorts, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Xerox 10/23 T/L B |
|
|
|
|
|
% |
|
% |
|
% |
|
- |
|
- | ||||||||||||||||||||||||
| Xperi Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Zayo Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| ZEBRA BUYER (Allspring) LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Zekelman Industries, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Zest Acquisition Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| Zodiac Pool Solutions |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||||
| TOTAL INVESTMENTS | $ |
|
$ |
|
||||||||||||||||||||||||||||||||||
61
| Number of Shares | Cost | Fair Value | ||||||||||
| Cash and cash equivalents | ||||||||||||
| U.S. Bank Money Market (b) |
|
$ |
|
$ |
|
|||||||
| Total cash and cash equivalents |
|
$ |
|
$ |
|
|||||||
| (a) |
|
| (b) |
|
| (c) |
|
LIBOR—London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
1M USD LIBOR—The 1 month USD LIBOR rate as of November 30, 2023 was 5.46%.
3M USD LIBOR—The 3 month USD LIBOR rate as of November 30, 2023 was 5.63%.
6M USD LIBOR—The 6 month USD LIBOR rate as of November 30, 2023 was 5.76%.
1M SOFR - The 1 month SOFR rate as of November 30, 2023 was 5.34%.
3M SOFR - The 3 month SOFR rate as of November 30, 2023 was 5.37%.
6M SOFR - The 6 month SOFR rate as of November 30, 2023 was 5.33%.
See accompanying notes to financial statements.
62
Saratoga Investment Corp. CLO 2013-1, Ltd.
Schedule of Investments
February 28, 2023
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| 19TH HOLDINGS GOLF, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
$ |
|
$ |
|
$ |
|
||||||||||||||||||
| 888 Acquisitions Limited |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ADMI Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Adtalem Global Education Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Aegis Sciences Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Agiliti Health Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Agiliti Health Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AHEAD DB Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AI Convoy (Luxembourg) S.a.r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
||||||||||||||||||||||||
| Air Canada |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AIS HoldCo, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AIT Worldwide Logistics Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AL GCX Holdings (Arclight) T/L B |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Alchemy US Holdco 1, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AlixPartners, LLP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Alkermes, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Allen Media, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Alliant Holdings Intermediate, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Allied Universal Holdco LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Altisource Solutions S.a r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
63
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Altium Packaging LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| American Airlines T/L (2/23) |
|
|
|
|
|||||||||||||||||||||||||||||||
| American Axle & Manufacturing Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| American Greetings Corporation |
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
||||||||||||||||||||||
| American Trailer World Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AmWINS Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Anastasia Parent LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Anchor Glass Container Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Anchor Packaging, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ANI Pharmaceuticals, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AP Core Holdings II LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AP Core Holdings II LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| APEX GROUP TREASURY LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| APi Group DE, Inc. (J2 Acquisition) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| APLP Holdings Limited Partnership |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Apollo Commercial Real Estate Finance, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Apollo Commercial Real Estate Finance, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AppLovin Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AppLovin Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Aramark Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
64
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Aramark Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ARC FALCON I INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ARC FALCON I INC. (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
(
|
) |
(
|
) | ||||||||||||||||||||
| Arches Buyer Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Aretec Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ASP BLADE HOLDINGS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Asplundh Tree Expert, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AssuredPartners Capital, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AssuredPartners Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| AssuredPartners Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ASTRO ONE ACQUISITION CORPORATION |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Asurion, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Asurion, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ATHENAHEALTH GROUP INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ATHENAHEALTH GROUP INC. (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
(
|
) | ||||||||||||||||||||||
| Avison Young (Canada) Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Avison Young (Canada) Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Avolon TLB Borrower 1 (US) LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Avolon TLB Borrower 1 (US) LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Axalta Coating Systems Dutch Holding B B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
65
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| AZURITY PHARMACEUTICALS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| B&G Foods, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| B.C. Unlimited Liability Co (Burger King) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| BAKELITE UK INTERMEDIATE LTD. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Baldwin Risk Partners, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Bausch Health Companies Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Belfor Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Belfor Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Belron Finance US LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Bengal Debt Merger Sub LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Blackstone Mortgage Trust, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Blackstone Mortgage Trust, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Blue Tree Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Bombardier Recreational Products, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Bombardier Recreational Products, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Boxer Parent Company, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Bracket Intermediate Holding Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| BrightSpring Health Services (Phoenix Guarantor) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| BroadStreet Partners, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Brookfield WEC Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
66
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| BROWN GROUP HOLDING, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Buckeye Partners, L.P. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| BW Gas & Convenience Holdings LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Callaway Golf Company |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Camping World, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CareerBuilder, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Castle US Holding Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CASTLELAKE AVIATION LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CBI BUYER, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CCC Intelligent Solutions Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CCI Buyer, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CCRR Parent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CCRR Parent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CCS-CMGC Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CDK GLOBAL, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Cengage Learning, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CENTURI GROUP, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CenturyLink, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Charlotte Buyer, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Chemours Company, (The) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
67
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Churchill Downs Incorporated |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CIMPRESS PUBLIC LIMITED COMPANY |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CITADEL SECURITIES LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Clarios Global LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Claros Mortgage Trust, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CLYDESDALE ACQUISITION HOLDINGS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Cole Haan |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Columbus McKinnon Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Conduent, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Connect Finco SARL |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Consolidated Communications, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CORAL-US CO-BORROWER LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Corelogic, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Cortes NP Acquisition Corp (Vertiv) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| COWEN INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Creative Artists Agency, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CROCS INC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Cross Financial Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Crown Subsea Communications Holding, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CSC Holdings LLC (Neptune Finco Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
68
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| CSC Holdings LLC (Neptune Finco Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| CTS Midco, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Daseke Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Dave & Buster’s Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DCert Buyer, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Delek US Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Delta 2 Lux Sarl |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DexKo Global, Inc. (Dragon Merger) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DG Investment Intermediate Holdings 2, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Diamond Sports Group, LLC (b) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Diamond Sports Group, LLC (b) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DIRECTV FINANCING, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DISCOVERY PURCHASER CORPORATION |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Dispatch Acquisition Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DOMTAR CORPORATION |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DOTDASH MEREDITH, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DRI HOLDING INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DRW Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DTZ U.S. Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| DTZ U.S. Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
69
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| EAB Global, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Echo Global Logistics, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Edelman Financial Group Inc., The |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Electrical Components Inter., Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ELECTRON BIDCO INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ELO Touch Solutions, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Embecta Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Endo Luxembourg Finance Company I S.a.r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Endure Digital, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Entain Holdings (Gibraltar) Limited |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Envision Healthcare Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| EOS U.S. FINCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Equiniti Group PLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| EyeCare Partners, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Finco I LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| First Brands Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| First Eagle Investment Management |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| First Student Bidco Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| First Student Bidco Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Fitness International, LLC (LA Fitness) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
70
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Flutter Financing B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Flutter Financing B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| FOCUS FINANCIAL PARTNERS, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Franchise Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Franchise Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Franklin Square Holdings, L.P. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Froneri International (R&R Ice Cream) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Garrett LX III S.a r.l. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Gates Global LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Gemini HDPE LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Genesee & Wyoming, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| GGP Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Global Tel*Link Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Go Daddy Operating Company, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| GOLDEN WEST PACKAGING GROUP LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Graham Packaging Co Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Great Outdoors Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Greenhill & Co., Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Griffon Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Grosvenor Capital Management Holdings, LLLP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
71
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Groupe Solmax Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Harbor Freight Tools USA, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Helix Gen Funding, LLc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Hillman Group Inc. (The) (New) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Hillman Group Inc. (The) (New) (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| HLF Financing SARL (Herbalife) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Holley Purchaser, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Howden Group Holdings |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Hudson River Trading LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Idera, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| IMA Financial Group, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| INDY US BIDCO, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Ineos US Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| INEOS US PETROCHEM LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Informatica Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Ingram Micro Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Inmar Acquisition Sub, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Innophos, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| INSTANT BRANDS HOLDINGS INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| IRB Holding Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
72
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| IRB Holding T/L B (1/22) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Isagenix International, LLC (b) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| J Jill Group, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Jane Street Group |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Journey Personal Care Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| JP Intermediate B, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Klockner-Pentaplast of America, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Kodiak BP, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| KREF Holdings X LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Lakeland Tours, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Lealand Finance Company B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LHS BORROWER, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Lifetime Brands, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Liquid Tech Solutions Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LogMeIn, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LOYALTY VENTURES INC. (b) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LPL Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LSF11 A5 HOLDCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LSF11 A5 HOLDCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| LSF9 Atlantis Holdings, LLC (A Wireless) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
73
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| MAGNITE, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Marriott Ownership Resorts, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Match Group, Inc, The |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Maxar Technologies Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Mayfield Agency Borrower Inc. (FeeCo) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| McGraw-Hill Education, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| MedAssets Software Inter Hldg, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Mermaid Bidco Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Messer Industries, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Michaels Companies Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| MPH Acquisition Holdings LLC (Multiplan) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| MW Industries, Inc. (Helix Acquisition Holdings) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| NAB Holdings, LLC (North American Bancard) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Napa Management Services Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Natgasoline LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| National Mentor Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| National Mentor Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| NEW ERA CAP, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Nexstar Broadcasting, Inc. (Mission Broadcasting) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Next Level Apparel, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
74
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| NortonLifeLock Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Novae LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Nuvei Technologies Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Olaplex, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Open Text Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Organon & Co. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Pacific Gas & Electric |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PACTIV EVERGREEN GROUP HOLDINGS INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Padagis LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Panther Guarantor II, L.P. (Forcepoint) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PAR PETROLEUM LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PATAGONIA HOLDCO LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Pathway Partners Vet Management Company LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PCI Gaming Authority |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PEARLS (Netherlands) Bidco B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC (a) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Penn National Gaming, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Peraton Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PHYSICIAN PARTNERS, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
75
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Pike Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Pitney Bowes Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Plastipak Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Playtika Holding Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PMHC II, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PointClickCare Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Polymer Process Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Pre-Paid Legal Services, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Presidio, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Prime Security Services Borrower, LLC (ADT) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PRIORITY HOLDINGS, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PriSo Acquisition Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Project Leopard Holdings, Inc. (NEW) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Prometric Inc. (Sarbacane Bidco) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| PUG LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| QUEST BORROWER LIMITED |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Rackspace Technology Global, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| RAND PARENT LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| RealPage, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Renaissance Learning, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
76
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Rent-A-Center, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Research Now Group, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Resideo Funding Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Resolute Investment Managers (American Beacon), Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Restoration Hardware, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Reynolds Consumer Products LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Reynolds Group Holdings Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Rocket Software, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Russell Investments US Inst’l Holdco, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| RV Retailer LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Ryan Specialty Group LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| S&S HOLDINGS LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Sally Holdings LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Samsonite International S.A. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Schweitzer-Mauduit International, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Scientific Games Holdings LP |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Sedgwick Claims Management Services, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| SETANTA AIRCRAFT LEASING DAC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Signify Health, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Sitel Worldwide Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
77
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| SiteOne Landscape Supply, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| SMG US Midco 2, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Smyrna Ready Mix Concrete, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Solis IV B.V. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Sotheby’s |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Sparta U.S. HoldCo LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Specialty Pharma III Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Spectrum Brands, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Spin Holdco, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Spirit Aerosystems Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| SRAM, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| SS&C Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| SS&C Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| SS&C Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| STANDARD INDUSTRIES INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Staples, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Storable, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Summit Materials, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Superannuation & Investments US LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Sweetwater Borrower, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
78
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| Syncsort Incorporated |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Ta TT Buyer LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Tenable Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Teneo Holdings LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Ten-X, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| The Dun & Bradstreet Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| The Dun & Bradstreet Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| THE KNOT WORLDWIDE INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Thor Industries, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Torrid LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| TORY BURCH LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Tosca Services, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Trans Union LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Transdigm, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| TRITON WATER HOLDINGS, INC. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Tronox Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| TruGreen Limited Partnership |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Uber Technologies, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Ultra Clean Holdings, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Unimin Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
79
| Issuer Name | Industry | Asset Name |
Asset
Type |
Reference
Rate/Spread |
SOFR/LIBOR Floor |
Current
Rate (All In) |
Maturity Date |
Principal/
Number of Shares |
Cost |
Fair
Value |
|||||||||||||||||||||||||
| United Natural Foods, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| United Road Services Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Univision Communications Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Univision Communications Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Utz Quality Foods, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Vaco Holdings, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Vericast Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Verifone Systems, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Vertex Aerospace Services Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| VFH Parent LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Viasat Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Virtus Investment Partners, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Vistra Energy Corp |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Vizient, Inc |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| VM Consolidated, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Vouvray US Finance LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Walker & Dunlop, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Warner Music Group Corp. (WMG Acquisition Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Warner Music Group Corp. (WMG Acquisition Corp.) |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Watlow Electric Manufacturing Company |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| West Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| WEX Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| WildBrain Ltd. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Xperi Corporation |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Zayo Group, LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| ZEBRA BUYER (Allspring) LLC |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Zekelman Industries, Inc. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Zest Acquisition Corp. |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| Zodiac Pool Solutions |
|
|
|
|
|
% |
|
% |
|
% |
|
|
|
|
|||||||||||||||||||||
| TOTAL INVESTMENTS | $ |
|
$ |
|
|||||||||||||||||||||||||||||||
80
| Number of Shares | Cost | Fair Value | ||||||||||
| Cash and cash equivalents | ||||||||||||
| U.S. Bank Money Market (c) |
|
$ |
|
$ |
|
|||||||
| Total cash and cash equivalents |
|
$ |
|
$ |
|
|||||||
| (a) | All or a portion of this investment has an unfunded commitment as of February 28, 2023. |
| (b) | As of February 28, 2023, the investment was in default and on non-accrual status. |
| (c) | Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of February 28, 2023. |
| (d) | Investments include Payment-in-Kind Interest. |
LIBOR—London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
1M USD LIBOR—The 1 month USD LIBOR rate as of February 28, 2023 was 4.67%.
3M USD LIBOR—The 3 month USD LIBOR rate as of February 28, 2023 was 4.97%.
6M USD LIBOR—The 6 month USD LIBOR rate as of February 28, 2023 was 5.26%.
1M SOFR - The 1 month SOFR rate as of February 28, 2023 was 4.66%.
3M SOFR - The 3 month SOFR rate as of February 28, 2023 was 4.89%.
6M SOFR - The 6 month SOFR rate as of February 28, 2023 was 5.15%.
See accompanying notes to financial statements.
81
Note 5. Investment in SLF JV
On October 26, 2021, the Company and TJHA entered into the LLC Agreement to co-manage SLF JV. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd (“SLF 2021”), which is a wholly owned subsidiary of SLF JV. SLF 2021 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.
On September 30, 2022, SLF 2021 was renamed to Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. (“SLF 2022”).
The Company and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.
The Company and TJHA have committed to provide
up to a combined $
The Company has determined that SLF JV is an investment
company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company
other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and
TJHA each have an equal
For the three months ended November 30, 2023 and
November 30, 2022, the Company earned $
For the three months ended November 30, 2023 and
November 30, 2022, the Company earned $
SLF JV’s initial investment in SLF 2022
was in the form of an unsecured loan. The unsecured loan paid a floating rate of LIBOR plus
On October 28, 2022, SLF 2022 issued $
82
Note 6. Income Taxes
SIA-AAP, Inc., SIA-ARC, Inc., SIA-Avionte, Inc.,
SIA-AX, Inc., SIA-G4, Inc., SIA-GH, Inc., SIA-MDP, Inc., SIA-MAC, Inc., SIA-PP Inc., SIA-SZ, Inc., SIA-TG, Inc., SIA-TT Inc., SIA-Vector,
Inc., and SIA-VR, Inc., each
The Company may distribute a portion of its realized
net long term capital gains in excess of realized net short term capital losses to its stockholders, but may also decide to retain a portion,
or all, of its net capital gains and elect to pay the
|
November 30,
2023 |
February 28,
2023 |
|||||||
| Total deferred tax assets | $ |
|
$ |
|
||||
| Total deferred tax liabilities |
(
|
) |
(
|
) | ||||
| Valuation allowance on net deferred tax assets |
(
|
) |
(
|
) | ||||
| Net deferred tax liability | $ |
(
|
) | $ |
(
|
) | ||
As of November 30, 2023, the valuation allowance
on deferred tax assets was $
83
Net income tax expense for the three months ended
November 30, 2023 includes $
Net income tax expense for the nine months ended
November 30, 2023 includes $
Deferred tax temporary differences may include differences for state taxes and joint venture interests.
| For the three months ended | For the nine months ended | |||||||||||||||
|
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
|||||||||||||
| Current | ||||||||||||||||
| Federal | $ | $ |
(
|
) | $ | $ |
(
|
) | ||||||||
| State |
(
|
) |
(
|
) | ||||||||||||
| Net current expense |
(
|
) |
(
|
) | ||||||||||||
| Deferred | ||||||||||||||||
| Federal |
|
|
|
|
||||||||||||
| State |
(
|
) |
(
|
) |
(
|
) |
|
|||||||||
| Net deferred expense |
|
|
|
|
||||||||||||
| Net tax provision | $ |
|
$ |
|
$ |
|
$ |
|
||||||||
Note 7. Agreements and Related Party Transactions
Investment Advisory and Management Agreement
On July 30, 2010, the Company entered into the
Management Agreement with the Manager. The initial term of the Management Agreement was
Base Management Fee and Incentive Management Fee
84
The incentive management fee consists of the following two parts:
The first, payable quarterly in arrears, equals
The second part of the incentive fee is determined
and payable in arrears as of the end of each fiscal year (or upon termination of the Management Agreement) and equals
For the three months ended November 30, 2023 and
November 30, 2022, the Company incurred $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company incurred $
85
The accrual is calculated using both realized
and unrealized capital gains for the period. The actual incentive fee related to capital gains will be determined and payable in arrears
at the end of the fiscal year and will include only realized capital gains for the period. As of November 30, 2023, the base management
fees accrual was $
Administration Agreement
On July 30, 2010, the Company entered into a separate
administration agreement (the “Administration Agreement”) with the Manager, pursuant to which the Manager, as the Company’s
administrator, has agreed to furnish the Company with the facilities and administrative services necessary to conduct day-to-day operations
and provide managerial assistance on the Company’s behalf to those portfolio companies to which the Company is required to provide
such assistance. The initial term of the Administration Agreement was two years from its effective date, with one-year renewals thereafter
subject to certain approvals by the Company’s board of directors and/or the Company’s stockholders. The amount of expenses
payable or reimbursable thereunder by the Company was capped at $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recognized $
Saratoga CLO
On December 14, 2018, the Company completed the
third refinancing and issuance of the 2013-1 Reset CLO Notes. This refinancing, among other things, extended the Saratoga CLO reinvestment
period to January 2021, and extended its legal maturity to January 2030. In addition, and as part of the refinancing, the Saratoga CLO
has also been upsized from $
In conjunction with the third refinancing and issuance of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. See Note 4 for additional information.
86
On February 26, 2021, the Company completed the
fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024,
extended its legal maturity to April 2033, and extended the non-call period to February 2022. In addition, and as part of the refinancing,
the Saratoga CLO was upsized from $
On August 9, 2021, the Company exchanged its existing
$
For the three months ended November 30, 2023 and
November 30, 2022, the Company recognized management fee income of $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recognized management fee income of $
For the nine months ended November 30, 2023 and November 30, 2022, the Company neither bought nor sold any investments from the Saratoga CLO.
SLF JV
On October 26, 2021, the Company and TJHA entered into an LLC Agreement to co-manage the SLF JV. SLF JV is a joint venture that invests in the debt or equity interests of collateralized loan obligations, loan, notes and other debt instruments.
On October 28, 2022, SLF 2022 issued $
As of November 30, 2023, the Company’s investment in the SLF JV had
a fair value of $
As part of the JV CLO trust transaction, the Company
purchased
87
Note 8. Borrowings
Credit Facility
On April 11, 2007, we entered into a $
On July 30, 2010, we used the net proceeds from
(i) the stock purchase transaction and (ii) a portion of the funds available to us under the $
88
Encina Credit Facility
On October 4, 2021, the Company entered into the
Credit and Security Agreement (the “Credit Agreement”) relating to a $
On January 27, 2023,
| ● | increase the borrowings available under the Encina Credit Facility from up to $50.0 million to up to $65.0 million; |
| ● | change the underlying benchmark used to compute interest under the Credit Agreement from LIBOR to Term SOFR for a one-month tenor plus a 0.10% credit spread adjustment; |
| ● | increase the applicable effective margin rate on borrowings from 4.00% to 4.25%; |
| ● | extend the revolving period from October 4, 2024 to January 27, 2026; |
| ● | extend the period during which the borrower may request one or more increases in the borrowings available under the Encina Credit Facility (each such increase, a “Facility Increase”) from October 4, 2023 to January 27, 2025, and increased the maximum borrowings available pursuant to the Encina Facility Increase from $75.0 million to $150.0 million; |
| ● | revise the eligibility criteria for eligible collateral loans to exclude certain industries in which an obligor or related guarantor may be involved; and |
| ● | amend the provisions permitting the borrower to request an extension in the Commitment Termination Date (as defined in the Credit Agreement) to allow requests to extend any applicable Commitment Termination Date, rather than a one-time request to extend the original Commitment Termination Date, subject to a notice requirement. |
In addition to any fees or other amounts payable
under the terms of the Encina Credit Facility, an administrative agent fee per annum equal to $
As of November 30, 2023 and February 28, 2023,
there were $
For the three months ended November 30, 2023 and
November 30, 2022, we recorded $
89
For the nine months ended November 30, 2023 and
November 30, 2022, we recorded $
The Encina Credit Facility contains limitations
as to how borrowed funds may be used, such as restrictions on industry concentrations, asset size, weighted average life, currency denomination
and collateral interests. The Encina Credit Facility also includes certain requirements relating to portfolio performance, the violation
of which could result in the limit of further advances and, in some cases, result in an event of default, allowing the lenders to accelerate
repayment of amounts owed thereunder.
Our borrowing base under the Encina Credit Facility
is $
SBA Debentures
The Company’s wholly owned subsidiaries,
SBIC LP, SBIC II LP, and SBIC III LP, received SBIC licenses from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022,
respectively. SBIC LP’s license provides up to $
SBICs are designed to stimulate the flow of private
equity capital to eligible small businesses. Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the
equity securities of small businesses. Under present SBA regulations, eligible small businesses include businesses that have a tangible
net worth not exceeding $
90
The Company received exemptive relief from the
SEC to permit it to exclude the debt of the SBIC subsidiaries guaranteed by the SBA from the definition of senior securities in the asset
coverage test under the 1940 Act. This allows the Company increased flexibility under the asset coverage requirement by permitting it
to borrow up to $
As of November 30, 2023, SBIC LP, SBIC II LP
and SBIC III LP had an aggregate total of equity capital of $
As noted above, as of November 30, 2023, there
was $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
Notes
6.25% 2025 Notes
On August 28, 2018,
91
On February 5, 2019, the Company issued an additional
$
On August 31, 2021, the Company redeemed $
7.25% 2025 Notes
On June 24, 2020, the Company issued $
On July 14, 2022, the Company redeemed $
For the three months ended November 30,
2023 and November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
7.75% 2025 Notes
On July 9, 2020, the Company issued $
92
As of November 30, 2023, the total 7.75% 2025
Notes outstanding was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
6.25% 2027 Notes
On December 29, 2020, the Company issued $
On January 28, 2021, the Company issued an additional
$
As of November 30, 2023, the total 6.25% 2027
Notes outstanding was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
93
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
4.375% 2026 Notes
On March 10, 2021, the Company issued $
On July 15, 2021, the Company issued an additional
$
As of November 30, 2023, the total 4.375% 2026
Notes outstanding was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
94
4.35% 2027 Notes
On January 19, 2022, the Company issued $
As of November 30, 2023, the total 4.35% 2027
Notes outstanding was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
6.00% 2027 Notes
On April 27, 2022, the Company issued $
On August 15, 2022, the Company issued an additional
$
95
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, we recorded $
7.00% 2025 Notes
On September 8, 2022, the Company issued $
As of November 30, 2023, the carrying amount of
the 7.00% 2025 Notes was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
96
8.00% 2027 Notes
On October 27, 2022, the Company issued $
As of November 30, 2023, the carrying amount and
fair value of the 8.00% 2027 Notes was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
8.125% 2027 Notes
On December 13, 2022, the Company issued $
As of November 30, 2023, the carrying amount and
fair value of the 8.125% 2027 Notes was $
97
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
8.75% 2024 Notes
On March 31, 2023, the Company issued $
As of November 30, 2023, the total 8.75% 2024
Notes outstanding was $20.0 million. The 8.75% 2024 Notes are not listed. The carrying amount of the amount outstanding of 8.75% 2024
Notes had a fair value of $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
98
8.50% 2028 Notes
On April 14, 2023, the Company issued $
As of November 30, 2023, the carrying amount and
fair value of the 8.50% 2028 Notes was $
For the three months ended November 30, 2023 and
November 30, 2022, the Company recorded $
For the nine months ended November 30, 2023 and
November 30, 2022, the Company recorded $
99
SENIOR SECURITIES
(dollar amounts in thousands, except per share data)
| Class and Year (1)(2) |
Total
Amount
Outstanding Exclusive of Treasury Securities (3) |
Asset
Coverage per Unit (4 ) |
Involuntary
Liquidating Preference per Share (5 ) |
Average
Market Value per Share (6) |
|||||||||||||
| (in thousands) | |||||||||||||||||
| Credit Facility with Encina Lender Finance, LLC | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
|||||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
|||||||||||||
| Fiscal yaer 2022 (as of February 28, 2022) | $ |
|
$ |
|
|||||||||||||
| Credit Facility with Madison Capital Funding (14) | |||||||||||||||||
| Fiscal year 2021 (as of February 28, 2021) | $ | $ |
|
||||||||||||||
| Fiscal year 2020 (as of February 29, 2020) | $ | $ |
|
||||||||||||||
| Fiscal year 2019 (as of February 28, 2019) | $ | $ |
|
||||||||||||||
| Fiscal year 2018 (as of February 28, 2018) | $ | $ |
|
||||||||||||||
| Fiscal year 2017 (as of February 28, 2017) | $ | $ |
|
||||||||||||||
| Fiscal year 2016 (as of February 29, 2016) | $ | $ |
|
||||||||||||||
| Fiscal year 2015 (as of February 28, 2015) | $ |
|
$ |
|
|||||||||||||
| Fiscal year 2014 (as of February 28, 2014) | $ | $ |
|
||||||||||||||
| Fiscal year 2013 (as of February 28, 2013) | $ |
|
$ |
|
|||||||||||||
| Fiscal year 2012 (as of February 29, 2012) | $ |
|
$ |
|
|||||||||||||
| Fiscal year 2011 (as of February 28, 2011) | $ |
|
$ |
|
|||||||||||||
| Fiscal year 2010 (as of February 28, 2010) | $ | $ | |||||||||||||||
| Fiscal year 2009 (as of February 28, 2009) | $ | $ | |||||||||||||||
| Fiscal year 2008 (as of February 29, 2008) | $ | $ | |||||||||||||||
| Fiscal year 2007 (as of February 28, 2007) | $ | $ | |||||||||||||||
| 7.50% Notes due 2020 (7) | |||||||||||||||||
| Fiscal year 2017 (as of February 28, 2017) | $ | $ | |||||||||||||||
| Fiscal year 2016 (as of February 29, 2016) | $ |
|
$ |
|
$ |
|
(8) | ||||||||||
| Fiscal year 2015 (as of February 28, 2015) | $ |
|
$ |
|
$ |
|
(8) | ||||||||||
| Fiscal year 2014 (as of February 28, 2014) | $ |
|
$ |
|
$ |
|
(8) | ||||||||||
| Fiscal year 2013 (as of February 28, 2013) | $ | $ | |||||||||||||||
| Fiscal year 2012 (as of February 29, 2012) | $ | $ | |||||||||||||||
| Fiscal year 2011 (as of February 28, 2011) | $ | $ | |||||||||||||||
| Fiscal year 2010 (as of February 28, 2010) | $ | $ | |||||||||||||||
| Fiscal year 2009 (as of February 28, 2009) | $ | $ | |||||||||||||||
| Fiscal year 2008 (as of February 29, 2008) | $ | $ | |||||||||||||||
| Fiscal year 2007 (as of February 28, 2007) | $ | $ | |||||||||||||||
| 6.75% Notes due 2023 (9) | |||||||||||||||||
| Fiscal year 2020 (as of February 29, 2020) | $ | $ | |||||||||||||||
| Fiscal year 2019 (as of February 28, 2019) | $ |
|
$ |
|
$ |
|
(10) | ||||||||||
| Fiscal year 2018 (as of February 28, 2018) | $ |
|
$ |
|
$ |
|
(10) | ||||||||||
| Fiscal year 2017 (as of February 28, 2017) | $ |
|
$ |
|
$ |
|
(10) | ||||||||||
| 8.75% Notes due 2024 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| 6.25% Notes due 2025 (13) | |||||||||||||||||
| Fiscal year 2022 (as of February 28, 2022) | |||||||||||||||||
| Fiscal year 2021 (as of February 28, 2021) | $ |
|
$ |
|
$ |
|
(11) | ||||||||||
| Fiscal year 2020 (as of February 29, 2020) | $ |
|
$ |
|
$ |
|
(11) | ||||||||||
| Fiscal year 2019 (as of February 28, 2019) | $ |
|
$ |
|
$ |
|
(11) | ||||||||||
| 7.00% Notes due 2025 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| 7.25% Notes due 2025 (17) | |||||||||||||||||
| Fiscal year 2023 (as of February 28, 2023) | |||||||||||||||||
| Fiscal year 2022 (as of February 28, 2022) | $ |
|
$ |
|
$ |
|
(11) | ||||||||||
| Fiscal year 2021 (as of February 28, 2021) | $ |
|
$ |
|
$ |
|
(11) | ||||||||||
| 7.75% Notes due 2025 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2022 (as of February 28, 2022) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2021 (as of February 28, 2021) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| 4.375% Notes due 2026 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2022 (as of February 28, 2022) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| 4.35% Notes due 2027 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2022 (as of February 28, 2022) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| 6.00% Notes due 2027 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(15) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(15) | ||||||||||
| 6.25% Notes due 2027 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2022 (as of February 28, 2022) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| Fiscal year 2021 (as of February 28, 2021) | $ |
|
$ |
|
$ |
|
(12) | ||||||||||
| 8.00% Notes due 2027 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(15) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(15) | ||||||||||
| 8.125% Notes due 2027 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(15) | ||||||||||
| Fiscal year 2023 (as of February 28, 2023) | $ |
|
$ |
|
$ |
|
(15) | ||||||||||
| 8.50% Notes due 2028 | |||||||||||||||||
| Fiscal year 2024 (as of November 30, 2023) | $ |
|
$ |
|
$ |
|
(16) | ||||||||||
100
| (1) |
|
| (2) |
|
| (3) |
|
| (4) |
|
| (5) |
|
| (6) |
|
| (7) |
|
| (8) |
|
| (9) |
|
| (10) |
|
| (11) |
|
| (12) |
|
| (13) |
|
| (14) |
|
| (15) |
|
| (16) |
|
| (17) |
|
101
Note 9. Commitments and Contingencies
Contractual Obligations
| Payment Due by Period | ||||||||||||||||||||
| Long-Term Debt Obligations | Total |
Less Than
1 Year |
1 - 3
Years |
3 - 5
Years |
More Than
5 Years |
|||||||||||||||
| ($ in thousands) | ||||||||||||||||||||
| Encina credit facility | $ |
|
$ | $ |
|
$ | $ | |||||||||||||
| SBA debentures |
|
|
||||||||||||||||||
| 8.75% 2024 Notes |
|
|
||||||||||||||||||
| 7.00% 2025 Notes |
|
|
||||||||||||||||||
| 7.75% 2025 Notes |
|
|
||||||||||||||||||
| 4.375% 2026 Notes |
|
|
||||||||||||||||||
| 4.35% 2027 Notes |
|
|
||||||||||||||||||
| 6.00% 2027 Notes |
|
|
||||||||||||||||||
| 6.25% 2027 Notes |
|
|
||||||||||||||||||
| 8.00% 2027 Notes |
|
|
||||||||||||||||||
| 8.125% 2027 Notes |
|
|
||||||||||||||||||
| 8.50% 2028 Notes |
|
|
||||||||||||||||||
| Total Long-Term Debt Obligations | $ |
|
$ |
|
$ |
|
$ |
|
$ |
|
||||||||||
Off-Balance Sheet Arrangements
As of November 30, 2023 and February 28, 2023,
the Company’s off-balance sheet arrangements consisted of $
102
|
November 30,
2023 |
February 28,
2023 |
|||||||
| At Company’s discretion | ||||||||
| ActiveProspect, Inc. | $ |
|
$ |
|
||||
| Artemis Wax Corp. |
|
|||||||
| Ascend Software, LLC |
|
|
||||||
| Granite Comfort, LP |
|
|
||||||
| JDXpert |
|
|
||||||
| LFR Chicken LLC | - |
|
||||||
| Pepper Palace, Inc. |
|
|
||||||
| Procurement Partners, LLC |
|
|
||||||
| Saratoga Senior Loan Fund I JV, LLC |
|
|
||||||
| Sceptre Hospitality Resources, LLC |
|
|
||||||
| Stretch Zone Franchising, LLC |
|
|||||||
| VetnCare MSO, LLC |
|
|||||||
| Total | $ |
|
$ |
|
||||
| At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required | ||||||||
| Alpha Aesthetics Partners OpCo, LLC | $ |
|
$ | |||||
| ARC Health OpCo LLC |
|
|
||||||
| Artemis Wax Corp. |
|
|||||||
| Ascend Software, LLC |
|
|
||||||
| Axero Holdings, LLC - Revolver |
|
|
||||||
| Axiom Medical Consulting, LLC |
|
- | ||||||
| BQE Software, Inc. |
|
|||||||
| C2 Educational Systems |
|
|||||||
| Davisware, LLC |
|
|||||||
| Exigo, LLC | - |
|
||||||
| Exigo, LLC - Revolver |
|
|
||||||
| Gen4 Dental Partners Holdings, LLC |
|
|
||||||
| GoReact |
|
|
||||||
| JDXpert |
|
|||||||
| Inspect Point Holding, LLC |
|
- | ||||||
| Modis Dental Partners OpCo, LLC |
|
|||||||
| Pepper Palace, Inc. - Delayed Draw Term Loan |
|
|||||||
| Pepper Palace, Inc. - Revolver |
|
|
||||||
| Procurement Partners, LLC |
|
|||||||
| Stretch Zone Franchising, LLC |
|
|||||||
| VetnCare MSO, LLC |
|
|||||||
| Zollege PBC |
|
|
||||||
|
|
|
|||||||
| Total | $ |
|
$ |
|
||||
The Company believes its assets will provide
adequate coverage to satisfy these unfunded commitments. As of November 30, 2023, the Company had cash and cash equivalents and cash
and cash equivalents, reserve accounts of $
103
Note 10. Directors Fees
The independent directors each receive an annual
fee of $
Note 11. Stockholders’ Equity
Share Repurchases
Public Equity Offering
On July 13, 2018, the Company issued
Equity ATM Program
On March 16, 2017, the Company entered into an
equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which the Company offered for sale, from time to time, up
to $
On July 30, 2021, the Company entered into an
equity distribution agreement (the “Equity Distribution Agreement”) with Ladenburg Thalmann & Co. Inc. and Compass Point
Research and Trading, LLC (collectively the “Agents”), through which the Company may offer for sale, from time to time, up
to $
104
On July 6, 2023, the Equity Distribution Agreement
was amended to increase the maximum amount of shares of our common stock to be sold through the ATM Program to $
As of November 30, 2023, the Company sold
| Total | ||||||||||||||||||||
| Common Stock |
Capital
in Excess |
Distributable Earnings |
||||||||||||||||||
| Shares | Amount | of Par Value | (Loss) | Net Assets | ||||||||||||||||
| Balance at February 28, 2022 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - |
|
|
|||||||||||||||||
| Net realized gain (loss) from investments | - |
|
|
|||||||||||||||||
| Income tax (provision) benefit from realized gain on investments | - |
|
|
|||||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - |
(
|
) |
(
|
) | |||||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Stock dividend distribution |
|
|
|
|
||||||||||||||||
| Repurchases of common stock |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||||||
| Repurchase fees | - |
(
|
) |
(
|
) | |||||||||||||||
| Balance at May 31, 2022 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - |
|
|
|||||||||||||||||
| Net realized gain (loss) from investments | - |
|
|
|||||||||||||||||
| Realized losses on extinguishment of debt | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - |
(
|
) |
(
|
) | |||||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Stock dividend distribution |
|
|
|
|
||||||||||||||||
| Repurchases of common stock |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||||||
| Repurchase fees | - |
(
|
) |
(
|
) | |||||||||||||||
| Balance at August 31, 2022 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - |
|
|
|||||||||||||||||
| Net realized gain (loss) from investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Income tax (provision) benefit from realized gain on investments | - |
|
|
|||||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - |
(
|
) |
(
|
) | |||||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Stock dividend distribution |
|
|
|
|
||||||||||||||||
| Repurchases of common stock |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||||||
| Repurchase fees | - |
(
|
) |
(
|
) | |||||||||||||||
| Balance at November 30, 2022 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - |
|
|
|||||||||||||||||
| Net realized gain (loss) from investments | - |
|
|
|||||||||||||||||
| Realized losses on extinguishment of debt | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - |
|
|
|||||||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - |
(
|
) |
(
|
) | |||||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Stock dividend distribution |
|
|
|
|
||||||||||||||||
| Repurchases of common stock |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||||||
| Repurchase fees | - |
(
|
) |
(
|
) | |||||||||||||||
| Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles | - |
|
(
|
) | ||||||||||||||||
| Balance at February 28, 2023 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - |
|
|
|||||||||||||||||
| Net realized gain (loss) from investments | - |
|
|
|||||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - |
|
|
|||||||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - |
(
|
) |
(
|
) | |||||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Stock dividend distribution |
|
|
|
|
||||||||||||||||
| Repurchases of common stock |
(
|
) |
(
|
) |
(
|
) |
(
|
) | ||||||||||||
| Repurchase fees | - |
(
|
) |
(
|
) | |||||||||||||||
| Balance at May 31, 2023 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - |
|
|
|||||||||||||||||
| Realized losses on extinguishment of debt | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - |
(
|
) |
(
|
) | |||||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - |
(
|
) |
(
|
) | |||||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Proceeds from issuance of common stock |
|
|
|
|
||||||||||||||||
| Capital contribution from manager | - | - |
|
- |
|
|||||||||||||||
| Stock dividend distribution |
|
|
|
|
||||||||||||||||
| Offering costs | - | - |
(
|
) | - |
(
|
) | |||||||||||||
| Balance at August 31, 2023 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
| Increase (Decrease) from Operations: | ||||||||||||||||||||
| Net investment income | - | - | - |
|
|
|||||||||||||||
| Net realized gain (loss) from investments | - | - | - |
|
|
|||||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | - | - | - |
(
|
) |
(
|
) | |||||||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | - | - | - |
(
|
) |
(
|
) | |||||||||||||
| Decrease from Shareholder Distributions: | ||||||||||||||||||||
| Distributions of investment income – net | - | - | - |
(
|
) |
(
|
) | |||||||||||||
| Capital Share Transactions: | ||||||||||||||||||||
| Proceeds from issuance of common stock |
|
|
|
- |
|
|||||||||||||||
| Capital contribution from manager | - | - |
|
- |
|
|||||||||||||||
| Stock dividend distribution |
|
|
|
- |
|
|||||||||||||||
| Offering costs | - | - |
(
|
) | - |
(
|
) | |||||||||||||
| Balance at November 30, 2023 |
|
$ |
|
$ |
|
$ |
|
$ |
|
|||||||||||
105
Note 12. Earnings Per Share
In accordance with the provisions of ASC Topic 260, Earnings per Share , basic earnings per share is computed by dividing earnings available to common shareholders by the weighted average number of shares outstanding during the period. Other potentially dilutive common shares, and the related impact to earnings, are considered when calculating earnings per share on a diluted basis.
| For the three months ended | For the nine months ended | |||||||||||||||
| Basic and Diluted |
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
||||||||||||
| Net increase (decrease) in net assets resulting from operations | $ |
(
|
) | $ |
|
$ |
|
$ |
|
|||||||
| Weighted average common shares outstanding |
|
|
|
|
||||||||||||
| Weighted average earnings (loss) per common share | $ |
(
|
) | $ |
|
$ |
|
$ |
|
|||||||
Note 13. Dividend
On November 15, 2023, the Company declared a dividend
of $
On August 14, 2023, the Company declared a dividend
of $
On May 22, 2023, the Company declared a dividend
of $
| Date Declared | Record Date | Payment Date |
Amount
Per Share |
Total Amount* | ||||||||
| November 15, 2023 |
|
|
$ |
|
|
|||||||
| August 14, 2023 |
|
|
|
$ |
|
|||||||
| May 22, 2023 |
|
|
|
$ |
|
|||||||
| Total dividends declared | $ |
|
$ |
|
||||||||
| * |
|
106
The following table summarizes dividends declared for the nine months ended November 30, 2022 (dollars in thousands except per share amounts):
| Date Declared | Record Date | Payment Date |
Amount
Per Share |
Total Amount* | ||||||||
| November 15, 2022 |
|
|
$ |
|
$ |
|
||||||
| August 29, 2022 |
|
|
|
|
||||||||
| May 26, 2022 |
|
|
|
|
||||||||
| Total dividends declared | $ |
|
$ |
|
||||||||
| * | Total amount is calculated based on the number of shares outstanding at the date of record. |
Note 14. Financial Highlights
| Per share data |
November 30,
2023 |
November 30,
2022 |
||||||
| Net asset value at beginning of period | $ |
|
$ |
|
||||
| Net investment income(1) |
|
|
||||||
| Net realized and unrealized gain and losses on investments(1) |
(
|
) |
(
|
) | ||||
| Realized losses on extinguishment of debt |
(
|
) |
(
|
) | ||||
| Net increase in net assets resulting from operations |
|
|
||||||
| Distributions declared from net investment income |
(
|
) |
(
|
) | ||||
| Total distributions to stockholders |
(
|
) |
(
|
) | ||||
| Issuance of common stock(2) |
(
|
) | ||||||
| Capital contribution from manager for the issuance of common stock(14) |
|
|||||||
| Repurchases of common stock(3) |
|
|
||||||
| Dilution(4) |
(
|
) |
(
|
) | ||||
| Net asset value at end of period | $ |
|
$ |
|
||||
| Net assets at end of period | $ |
|
$ |
|
||||
| Shares outstanding at end of period |
|
|
||||||
| Per share market value at end of period | $ |
|
$ |
|
||||
| Total return based on market value(5)(6) |
|
% |
|
% | ||||
| Total return based on net asset value(5)(7) |
|
% |
|
% | ||||
| Ratio/Supplemental data: | ||||||||
| Ratio of net investment income to average net assets(8) |
|
% |
|
% | ||||
| Expenses: | ||||||||
| Ratios of operating expenses and income taxes to average net assets*(9) |
|
% |
|
% | ||||
| Ratio of incentive management fees to average net assets(5) |
|
% |
|
% | ||||
| Ratio of interest and debt financing expenses to average net assets(9) |
|
% |
|
% | ||||
| Ratio of total expenses and income taxes to average net assets*(8) |
|
% |
|
% | ||||
| Portfolio turnover rate(5)(10) |
|
% |
|
% | ||||
| Asset coverage ratio per unit(11) |
|
|
||||||
| Average market value per unit | ||||||||
| Revolving Credit Facility(12) | ||||||||
| SBA Debentures Payable(12) | ||||||||
| 8.75% Notes Payable 2024(12) | ||||||||
| 7.00% Notes Payable 2025(12) | ||||||||
| 7.25% Notes Payable 2025(13) | ||||||||
| 7.75% Notes Payable 2025(12) | ||||||||
| 4.375% Notes Payable 2026(12) | ||||||||
| 4.35% Notes Payable 2027(12) | ||||||||
| 6.00% Notes Payable 2027 | $ |
|
$ |
|
||||
| 6.25% Notes Payable 2027(12) | ||||||||
| 8.00% Notes Payable 2027 | $ |
|
|
|||||
| 8.125% Notes Payable 2027 | $ |
|
||||||
| 8.50% Notes Payable 2028 | $ |
|
||||||
| * |
|
107
| (1) |
|
| (2) |
|
| (3) |
|
| (4) |
|
| (5) |
|
| (6) |
|
| (7) |
|
| (8) |
|
| (9) |
|
| (10) |
|
| (11) |
|
| (12) |
|
| (13) |
|
| (14) |
|
Note 15. Subsequent Events
The Company has evaluated subsequent events through the filing of this Form 10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s consolidated financial statements and disclosures in the consolidated financial statements as of and for the quarter ended November 30, 2023.
108
ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
The following discussion should be read in conjunction with our consolidated financial statements and related notes and other financial information appearing elsewhere in this Quarterly Report on Form 10-Q. In addition to historical information, the following discussion and other parts of this Quarterly Report contain forward-looking information that involves risks and uncertainties. Our actual results could differ materially from those anticipated by such forward-looking information due to the factors discussed under “Note about Forward-Looking Statements” and Part I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended February 28, 2023.
The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements.
The forward-looking statements contained in this Quarterly Report on Form 10-Q involve risks and uncertainties, including statements as to:
| ● | our future operating results; |
| ● | the introduction, withdrawal, success and timing of business initiatives and strategies; |
| ● | changes in political, economic or industry conditions, the interest rate environment or financial and capital markets, which could result in changes in the value of our assets; |
| ● | the relative and absolute investment performance and operations of our Manager; |
| ● | the impact of increased competition; |
| ● | our ability to turn potential investment opportunities into transactions and thereafter into completed and successful investments; |
| ● | the unfavorable resolution of any future legal proceedings; |
| ● | our business prospects and the operational and financial performance of our portfolio companies, including their ability to achieve our respective objectives as a result of the current economic conditions caused by, among other things, elevated levels of inflation, and a rising interest rate environment, and the effects of the disruptions caused thereby on our ability to continue to effectively manage our business; |
|
● |
interest rate volatility, including the replacement of LIBOR with alternate reference rates and the rising interest rate environment, could adversely affect our results, particularly if we elect to use leverage as part of our investment strategy; |
| ● | the impact of investments that we expect to make and future acquisitions and divestitures; |
| ● | our contractual arrangements and relationships with third parties; |
| ● | the dependence of our future success on the general economy and its impact on the industries in which we invest; |
| ● | the ability of our portfolio companies to achieve their objectives; |
| ● | our expected financings and investments; |
109
| ● | our regulatory structure and tax treatment, including our ability to operate as a business development company (“BDC”), or to operate our small business investment company (“SBIC”) subsidiaries, and to continue to qualify to be taxed as a regulated investment company (“RIC”); |
| ● | the adequacy of our cash resources and working capital; |
| ● | the timing of cash flows, if any, from the operations of our portfolio companies; |
| ● | the impact of supply chain constraints and labor difficulties on our portfolio companies and the global economy; |
| ● | the elevated level of inflation, and its impact on our portfolio companies and on the industries in which we invest; |
| ● | the impact of legislative and regulatory actions and reforms and regulatory, supervisory or enforcement actions of government agencies relating to us or our Manager; |
| ● | the impact of changes to tax legislation and, generally, our tax position; |
| ● | our ability to access capital and any future financings by us; |
| ● | the ability of our Manager to attract and retain highly talented professionals; and | |
| ● | the ability of our Manager to locate suitable investments for us and to monitor and effectively administer our investments. |
Such forward-looking statements may include statements preceded by, followed by or that otherwise include terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “project,” “should,” “will” and “would” or the negative of these terms or other comparable terminology.
110
We have based the forward-looking statements included in this Quarterly Report on Form 10-Q on information available to us on the date of this Quarterly Report on Form 10-Q, and we assume no obligation to update any such forward-looking statements. Actual results could differ materially from those anticipated in our forward-looking statements, and future results could differ materially from historical performance. We undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by law or SEC rule or regulation. You are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.
The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this Quarterly Report on Form 10-Q.
OVERVIEW
We are a Maryland corporation that has elected to be treated as a BDC under the Investment Company Act of 1940, as amended (the “1940 Act”). Our investment objective is to create attractive risk-adjusted returns by generating current income and long-term capital appreciation from our investments. We invest primarily in senior and unitranche leveraged loans and mezzanine debt issued by private U.S. middle-market companies, which we define as companies having earnings before interest, tax, depreciation and amortization (“EBITDA”) of between $2 million and $50 million, both through direct lending and through participation in loan syndicates. We may also invest up to 30.0% of the portfolio in opportunistic investments in order to seek to enhance returns to stockholders. Such investments may include investments in distressed debt, which may include securities of companies in bankruptcy, foreign debt, private equity, securities of public companies that are not thinly traded and structured finance vehicles such as collateralized loan obligation funds. Although we have no current intention to do so, to the extent we invest in private equity funds, we will limit our investments in entities that are excluded from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the 1940 Act, which includes private equity funds, to no more than 15.0% of its net assets. We have elected and qualified to be treated as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).
Corporate History
We commenced operations, at the time known as GSC Investment Corp., on March 23, 2007 and completed an initial public offering of shares of common stock on March 28, 2007. Prior to July 30, 2010, we were externally managed and advised by GSCP (NJ), L.P., an entity affiliated with GSC Group, Inc. In connection with the consummation of a recapitalization transaction on July 30, 2010, as described below we engaged Saratoga Investment Advisors to replace GSCP (NJ), L.P. as our investment adviser and changed our name to Saratoga Investment Corp.
As a result of the event of default under a revolving securitized credit facility with Deutsche Bank, in December 2008 we engaged the investment banking firm of Stifel, Nicolaus & Company to evaluate strategic transaction opportunities. On April 14, 2010, GSC Investment Corp. entered into a stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates, and an assignment, assumption and novation agreement with Saratoga Investment Advisors, pursuant to which GSC Investment Corp. assumed certain rights and obligations of Saratoga Investment Advisors under a debt commitment letter Saratoga Investment Advisors received from Madison Capital Funding LLC. The debt commitment letter indicated Madison Capital Funding’s willingness to provide GSC Investment Corp. with a $40.0 million senior secured revolving credit facility, subject to the satisfaction of certain terms and conditions. In addition, GSC Investment Corp. and GSCP (NJ), L.P. entered into a termination and release agreement, to be effective as of the closing of the transaction contemplated by the stock purchase agreement, pursuant to which GSCP (NJ), L.P., among other things, agreed to waive any and all accrued and unpaid deferred incentive management fees up to and as of the closing of the transaction contemplated by the stock purchase agreement but continued to be entitled to receive the base management fees earned through the date of the closing of the transaction contemplated by the stock purchase agreement.
On July 30, 2010, the transactions contemplated by the stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates were completed, the private sale of 986,842 shares of our common stock for $15.0 million in aggregate purchase price to Saratoga Investment Advisors and certain of its affiliates closed, the we entered into the Madison Credit Facility (as defined below), and we began doing business as Saratoga Investment Corp.
111
We used the net proceeds from the private sale transaction and a portion of the funds available to us under the Madison Credit Facility to pay the full amount of principal and accrued interest, including default interest, outstanding under our revolving securitized credit facility with Deutsche Bank. The revolving securitized credit facility with Deutsche Bank was terminated in connection with our payment of all amounts outstanding thereunder on July 30, 2010.
On August 12, 2010, we effected a one-for-ten reverse stock split of our outstanding common stock. As a result of the reverse stock split, every ten shares of our common stock were converted into one share of our common stock. Any fractional shares received as a result of the reverse stock split were redeemed for cash. The total cash payment in lieu of shares was $230. Immediately after the reverse stock split, we had 2,680,842 shares of our common stock outstanding.
In January 2011, we registered for public resale of the 986,842 shares of our common stock issued to Saratoga Investment Advisors and certain of its affiliates.
Our wholly owned subsidiaries, Saratoga Investment Corp. SBIC LP (“SBIC LP”), Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), and Saratoga Investment Corp. SBIC III LP (“SBIC III LP”, and together with SBIC LP and SBIC II LP, the “SBIC Subsidiaries”), received SBIC licenses from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022, respectively. SBIC LP’s license provided up to $150.0 million in additional long-term capital in the form of SBA debentures, while SBIC II LP’s and SBIC III LP’s SBIC licenses provide up to $175.0 million each. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital. With all debentures repaid to the SBA, SBIC LP’s license was surrendered on January 3, 2024, providing the Company access to all undistributed capital of SBIC LP.
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On February 26, 2021, we completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033, and added a non-call period ending February 2022. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO was upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, we invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. We also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was repaid.
We have formed a wholly owned special purpose entity, Saratoga Investment Funding II LLC, a Delaware limited liability company (“SIF II”), for the purpose of entering into a $50.0 million senior secured revolving credit facility with Encina Lender Finance, LLC (the “Lender”), supported by loans held by SIF II and pledged to the Lender under the credit facility (the “Encina Credit Facility”). The Encina Credit Facility closed on October 4, 2021. During the first two years following the closing date, SIF II may request an increase in the commitment amount under the Encina Credit Facility to up to $75.0 million. The terms of the Encina Credit Facility required a minimum drawn amount of $12.5 million at all times during the first six months following the closing date, which increased to the greater of $25.0 million or 50% of the commitment amount in effect at any time thereafter. The term of the Encina Credit Facility is three years. Advances under the Encina Credit Facility bear interest at a floating rate per annum equal to LIBOR plus 4.0%, with LIBOR having a floor of 0.75%, with customary provisions related to our and the Lender’s selection of a replacement benchmark rate. Concurrently with the closing of the Encina Credit Facility, all remaining amounts outstanding on our existing revolving credit facility with Madison Capital Funding, LLC were repaid and the facility was terminated. On January 27, 2023, among other things, the borrowings available under the Encina Credit Facility was increased from up to $50.0 million to up to $65.0 million, the underlying benchmark rate used to compute interest changed from LIBOR to Term SOFR for one-month tenor plus a 0.10% credit spread adjustment, the applicable effective margin rate on borrowings increased from 4.00% to 4.25% and the maturity date was extended from October 4, 2024 to January 27, 2026.
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On October 26, 2021, we entered into a limited liability company agreement with TJHA JV I LLC (“TJHA”) to co-manage Saratoga Senior Loan Fund I JV LLC (“SLF JV”). SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2021-1 Ltd (“SLF 2021”), which is a wholly owned subsidiary of SLF JV. SLF 2021 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.
On September 30, 2022, SLF 2021 was renamed to Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. (“SLF 2022”).
We and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.
We and TJHA have committed to provide up to a combined $50.0 million of financing to SLF JV through cash contributions, where we provide $43.75 million and TJHA proves $6.25 million, resulting in an 87.5% and 12.5% ownership between the two parties. The financing is issued in the form of an unsecured note and equity. The unsecured note will pay a fixed rate of 10.0% per annum and is due and payable in full on June 15, 2023. As of November 30, 2023 our and TJHA’s investment in SLF JV consisted of an unsecured note of $17.6 million and $2.5 million, respectively; and membership interest of $17.6 million and $2.5 million, respectively.
SLF JV’s initial investment in SLF 2022 was in the form of an unsecured loan. The unsecured note paid a fixed rate of 10.00% per annum and is due and payable in full on October 20, 2033. The unsecured loan was repaid in full on October 28, 2022, as part of the CLO closing.
We have determined that SLF JV is an investment company under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services—Investment Companies ; however, in accordance with such guidance we will generally not consolidate our investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as we and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, FASB ASC Topic 810, Consolidation , concludes that in a joint venture where both members have equal decision making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, we do not consolidate SLF JV.
On October 28, 2022, SLF 2022 issued $402.1 million of debt through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee. As part of the transaction, we purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million. As of November 30, 2023 and February 28, 2023, the fair value of these Class E Notes were $11.5 million and $11.4 million, respectively.
Critical Accounting Policies and Use of Estimates
Basis of Presentation
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make certain estimates and assumptions affecting amounts reported in our consolidated financial statements. We have identified investment valuation, revenue recognition and the recognition of capital gains incentive fee expense as our most critical accounting estimates. We continuously evaluate our estimates, including those related to the matters described below. These estimates are based on the information that is currently available to us and on various other assumptions that we believe to be reasonable under the circumstances. Actual results could differ materially from those estimates under different assumptions or conditions. A discussion of our critical accounting policies and estimates follows.
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Investment Valuation
We account for investments at fair value in accordance with FASB ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. Under ASC 820 we are required to assume that its investments are to be sold or its liabilities are to be transferred at the measurement date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.
Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from Saratoga Investment Advisors, the audit committee of our board of directors and a third party independent valuation firm. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which we determine a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.
We undertake a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:
| ● | Each investment is initially valued by the responsible investment professionals of Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and |
| ● | An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. We use a third-party independent valuation firm to value our investment in the subordinated notes of Saratoga CLO and the Class F-2-R-3 Notes tranche of the Saratoga CLO every quarter. |
In addition, all our investments are subject to the following valuation process:
| ● | The audit committee of our board of directors reviews and approves each preliminary valuation and Saratoga Investment Advisors and an independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and |
| ● | Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of Saratoga Investment Advisors, independent valuation firm (to the extent applicable) and the audit committee of our board of directors. |
Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flows that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and market comparables for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by Saratoga Investment Advisors and recommended to our board of directors. Specifically, we use Intex cash flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.
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Rule 2a-5 under the 1940 Act (“Rule 2a-5”) established a regulatory framework for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 permits boards, subject to board oversight and certain other conditions, to designate the investment adviser to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must determine the fair value of a security. Rule 31a-4 under the 1940 Act (“Rule 31a-4”) provides the recordkeeping requirements associated with fair value determinations. Finally, the SEC rescinded previously issued guidance on related issues, including the role of the board in determining fair value and the accounting and auditing of fund investments. While our board of directors has not elected to designate Saratoga Investment Advisors as the valuation designee, we have adopted certain revisions to its valuation policies and procedures in order comply with the applicable requirements of Rule 2a-5 and Rule 31a-4.
Revenue Recognition
Income Recognition
Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis to the extent that such amounts are expected to be collected. We stop accruing interest on its investments when it is determined that interest is no longer collectible. Discounts and premiums on investments purchased are accreted/amortized over the life of the respective investment using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts and amortization of premiums on investments.
Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection.
Payment-in-Kind Interest
We hold debt and preferred equity investments in our portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due.
Revenues
We generate revenue in the form of interest income and capital gains on the debt investments that we hold and capital gains, if any, on equity interests that we may acquire. We expect our debt investments, whether in the form of leveraged loans or mezzanine debt, to have terms of up to ten years, and to bear interest at either a fixed or floating rate. Interest on debt will be payable generally either quarterly or semi-annually. In some cases, our debt or preferred equity investments may provide for a portion or all of the interest to be PIK. To the extent interest is PIK, it will be payable through the increase of the principal amount of the obligation by the amount of interest due on the then-outstanding aggregate principal amount of such obligation. The principal amount of the debt and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of commitment, origination, structuring, amendment, redemption or diligence fees, fees for providing managerial assistance or investment management services and possibly consulting fees. Any such fees will be generated in connection with our investments and recognized as earned. We may also invest in preferred equity or common equity securities that pay dividends on a current basis.
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On January 22, 2008, we entered into a collateral management agreement with Saratoga CLO, pursuant to which we act as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, we completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.
On December 14, 2018, we completed a third refinancing and upsize of the Saratoga CLO. The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, extended its legal maturity date to January 2030, and added a non-call period of January 2020. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million in aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, we also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par and the $20.0 million CLO 2013-1 Warehouse Loan was repaid.
On February 11, 2020, we entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary of Saratoga CLO. During the fourth quarter ended February 28, 2021, the CLO 2013-1 Warehouse 2 Ltd. was repaid in full.
On February 26, 2021, we completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, extended its legal maturity to April 2033, and added a non-call period of February 2022. In addition, and as part of the refinancing, the Saratoga CLO was upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, we invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. We also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was repaid in full.
On August 9, 2021, we exchanged our existing $17.9 million Class F-R-3 Notes for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, we sold our Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.
The Saratoga CLO remains effectively 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Prior to the second refinancing and the issuance of the 2013-1 Amended CLO Notes, we received a base management fee of 0.25% per annum and a subordinated management fee of 0.25% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds.
Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.
Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of FASB ASC Topic 325-40, Investments-Other, Beneficial Interests in Securitized Financial Assets , based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/or re-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.
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Expenses
Our primary operating expenses include the payment of investment advisory and management fees, professional fees, directors and officers insurance, fees paid to directors who are not “interested persons” (as defined in Section 2(a)(19) of the 1940 Act) of the Company (“independent directors”) and administrator expenses, including our allocable portion of our administrator’s overhead. Our investment advisory and management fees compensate our Manager for its work in identifying, evaluating, negotiating, closing and monitoring our investments. We bear all other costs and expenses of our operations and transactions, including those relating to:
| ● | organization; |
| ● | calculating our net asset value (“NAV”) (including the cost and expenses of any independent valuation firm); |
| ● | expenses incurred by our Manager payable to third parties, including agents, consultants or other advisers, in monitoring our financial and legal affairs and in monitoring our investments and performing due diligence on our prospective portfolio companies; |
| ● | expenses incurred by our Manager payable for travel and due diligence on our prospective portfolio companies; |
| ● | interest payable on debt, if any, incurred to finance our investments; |
| ● | offerings of our common stock and other securities; |
| ● | investment advisory and management fees; |
| ● | fees payable to third parties, including agents, consultants or other advisers, relating to, or associated with, evaluating and making investments; |
| ● | transfer agent and custodial fees; |
| ● | federal and state registration fees; |
| ● | all costs of registration and listing our common stock on any securities exchange; |
| ● | U.S. federal, state and local taxes; |
| ● | independent directors’ fees and expenses; |
| ● | costs of preparing and filing reports or other documents required by governmental bodies (including the SEC and the SBA); |
| ● | costs of any reports, proxy statements or other notices to common stockholders including printing costs; |
| ● | our fidelity bond, directors and officers errors and omissions liability insurance, and any other insurance premiums; |
| ● | direct costs and expenses of administration, including printing, mailing, long distance telephone, copying, secretarial and other staff, independent auditors and outside legal costs; and |
| ● | administration fees and all other expenses incurred by us or, if applicable, the administrator in connection with administering our business (including payments under the Administration Agreement based upon our allocable portion of the administrator’s overhead in performing its obligations under an Administration Agreement, including rent and the allocable portion of the cost of our officers and their respective staffs (including travel expenses)). |
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Pursuant to the investment advisory and management agreement that we had with GSCP (NJ), L.P., our former investment adviser and administrator, we had agreed to pay GSCP (NJ), L.P. as investment adviser a quarterly base management fee of 1.75% of the average value of our total assets (other than cash or cash equivalents but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters and an incentive fee.
The incentive fee had two parts:
| ● | A fee, payable quarterly in arrears, equal to 20.0% of our pre-incentive fee net investment income, expressed as a rate of return on the value of the net assets at the end of the immediately preceding quarter, that exceeded a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter. Under this provision, in any fiscal quarter, our investment adviser received no incentive fee unless our pre-incentive fee net investment income exceeded the hurdle rate of 1.875%. Amounts received as a return of capital were not included in calculating this portion of the incentive fee. Since the hurdle rate was based on net assets, a return of less than the hurdle rate on total assets could still have resulted in an incentive fee. |
| ● | A fee, payable at the end of each fiscal year, equal to 20.0% of our net realized capital gains, if any, computed net of all realized capital losses and unrealized capital depreciation, in each case on a cumulative basis on each investment in our portfolio, less the aggregate amount of capital gains incentive fees paid to the investment adviser through such date. |
We deferred cash payment of any incentive fee otherwise earned by our former investment adviser if, during the then most recent four full fiscal quarters ending on or prior to the date such payment was to be made, the sum of (a) our aggregate distributions to our stockholders and (b) our change in net assets (defined as total assets less liabilities) (before taking into account any incentive fees payable during that period) was less than 7.5% of our net assets at the beginning of such period. These calculations were appropriately pro-rated for the first three fiscal quarters of operation and adjusted for any share issuances or repurchases during the applicable period. Such incentive fee would become payable on the next date on which such test had been satisfied for the most recent four full fiscal quarters or upon certain terminations of the investment advisory and management agreement. We commenced deferring cash payment of incentive fees during the quarterly period ended August 31, 2007 and continued to defer such payments through the quarterly period ended May 31, 2010. As of July 30, 2010, the date on which GSCP (NJ), L.P. ceased to be our investment adviser and administrator, we owed GSCP (NJ), L.P. $2.9 million in fees for services previously provided to us; of which $0.3 million has been paid by us. GSCP (NJ), L.P. agreed to waive payment by us of the remaining $2.6 million in connection with the consummation of the stock purchase transaction with Saratoga Investment Advisors and certain of its affiliates described elsewhere in this Quarterly Report.
The terms of the investment advisory and management agreement with Saratoga Investment Advisors, our current investment adviser, are substantially similar to the terms of the investment advisory and management agreement we had entered into with GSCP (NJ), L.P., our former investment adviser, except for the following material distinctions in the fee terms:
| ● | The capital gains portion of the incentive fee was reset with respect to gains and losses from May 31, 2010, and therefore losses and gains incurred prior to such time will not be taken into account when calculating the capital gains fee payable to Saratoga Investment Advisors and, as a result, Saratoga Investment Advisors will be entitled to 20.0% of net gains that arise after May 31, 2010. In addition, the cost basis for computing realized gains and losses on investments held by us as of May 31, 2010 equal the fair value of such investment as of such date. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P., the capital gains fee was calculated from March 21, 2007, and the gains were substantially outweighed by losses. |
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| ● | Under the “catch up” provision, 100.0% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income that exceeds 1.875% but is less than or equal to 2.344% in any fiscal quarter is payable to Saratoga Investment Advisors. This will enable Saratoga Investment Advisors to receive 20.0% of all net investment income as such amount approaches 2.344% in any quarter, and Saratoga Investment Advisors will receive 20.0% of any additional net investment income. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P. only received 20.0% of the excess net investment income over 1.875%. |
| ● | We will no longer have deferral rights regarding incentive fees in the event that the distributions to stockholders and change in net assets is less than 7.5% for the preceding four fiscal quarters. |
Capital Gains Incentive Fee
We record an expense accrual relating to the capital gains incentive fee payable by us to the Manager when the unrealized gains on its investments exceed all realized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if we were to liquidate our investment portfolio at such time. The actual incentive fee payable to the Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains for the period.
Recent Accounting Pronouncements
In June 2022, the FASB issued ASU 2022-03, Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (Topic 820) (“ASU 2022-03”), which clarifies that a contractual sale restriction prohibiting the sale of an equity security is a characteristic of the reporting entity holding the equity security and is not included in the equity security’s unit of account. Accordingly, an entity should not consider the contractual sale restriction when measuring the equity security’s fair value. In addition, ASU 2022-03 prohibits an entity from recognizing a contractual sale restriction as a separate unit of account. ASU 2022-03’s amendments are effective for fiscal years beginning after December 15, 2023, with early adoption permitted. We are currently evaluating the impact of the adoption of ASU 2022-03 on our consolidated financial statements .
In March 2020, the FASB issued Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”) to provide optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 established Topic 848 to provide relief during the temporary transition period and includes a sunset provision based on expectations of when the London Interbank Offered Rate (“LIBOR”) would cease being published. In December 2022, the FASB issued ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848 , which deferred the sunset day of this guidance to December 31, 2024. With the adoption of ASU 2022-06, there was no significant impact to our financial position.
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Portfolio and Investment Activity
Investment Portfolio Overview
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November
30,
2023 |
February 28,
2023 |
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| ($ in millions) | ||||||||
| Number of investments(1) | 137 | 115 | ||||||
| Number of portfolio companies(2) | 55 | 49 | ||||||
| Average investment per portfolio company(2) | $ | 19.7 | $ | 19.0 | ||||
| Average investment size(1) | $ | 8.1 | $ | 8.3 | ||||
| Weighted average maturity(3) | 2.6 yrs | 2.9 yrs | ||||||
| Number of industries (5) | 43 | 40 | ||||||
| Non-performing or delinquent investments (fair value) | $ | 29.2 | $ | 9.8 | ||||
| Fixed rate debt (% of interest earning portfolio)(3) | $ | 5.2(0.5 | )% | $ | 8.2(1.0 | )% | ||
| Fixed rate debt (weighted average current coupon)(3) | 15.0 | % | 12.2 | % | ||||
| Floating rate debt (% of interest earning portfolio)(3) | $ | 978.5(99.5 | )% | $ | 817.1(99.0 | )% | ||
| Floating rate debt (weighted average current spread over LIBOR)(3)(4) | 7.5 | % | 7.0 | % | ||||
| (1) | Excludes our investment in the subordinated notes of Saratoga CLO. |
| (2) | Excludes our investment in the subordinated notes of Saratoga CLO and Class F-2-R-3 Notes tranche, as well as the unsecured notes and equity interests in the SLF JV and the Class E Note tranche of the SLF 2022. |
| (3) | Excludes our investment in the subordinated notes of Saratoga CLO and equity interests, as well as the unsecured notes and equity interests in SLF JV and the Class E Note tranche of the SLF 2022. |
| (4) | Calculation uses either 1-month or 3-month LIBOR, depending on the contractual terms, and after factoring in any existing LIBOR floors. |
| (5) | Our investment in the subordinated notes of Saratoga CLO and Class F-R-3 Note tranche, as well as the unsecured notes and equity interests in the SLF JV and the Class E Note tranche of the SLF 2022 are included in Structured Finance Securities industry. |
During the three months ended November 30, 2023, we invested $35.6 million in new and existing portfolio companies and had $2.1 million in aggregate amount of exits and repayments resulting in net investments of $33.5 million for the period. During the three months ended November 30, 2022, we invested $87.5 million in new and existing portfolio companies and had $56.9 million in aggregate amount of exits and repayments resulting in net repayments of $30.6 million for the period.
During the nine months ended November 30, 2023, we invested $202.9 million in new and existing portfolio companies and had $19.2 million in aggregate amount of exits and repayments resulting in net investments of $183.7 million for the period. During the nine months ended November 30, 2022, we invested $345.0 million in new and existing portfolio companies and had $162.1 million in aggregate amount of exits and repayments resulting in net repayments of $183.0 million for the period.
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Portfolio Composition
Our portfolio composition at November 30, 2023: and February 28, 2023: at fair value was as follows:
|
November 30,
2023 |
February 28,
2023 |
|||||||||||||||
|
Percentage
of Total Portfolio |
Weighted
Average Current Yield |
Percentage
of Total Portfolio |
Weighted
Average Current Yield |
|||||||||||||
| First lien term loans | 86.2 | % | 12.5 | % | 82.1 | % | 12.3 | % | ||||||||
| Second lien term loans | 1.3 | 6.0 | 1.5 | 5.3 | ||||||||||||
| Unsecured term loans | 1.6 | 10.0 | 2.1 | 9.8 | ||||||||||||
| Structured finance securities | 2.6 | 10.7 | 4.3 | 7.4 | ||||||||||||
| Equity interests | 8.3 | - | 10.0 | - | ||||||||||||
| Total | 100.0 | % | 11.4 | % | 100.0 | % | 10.7 | % | ||||||||
At November 30, 2023, our investment in the subordinated notes of Saratoga CLO, a collateralized loan obligation fund, had a fair value of $8.9 million and constituted 0.8% of our portfolio. This investment constitutes a first loss position in a portfolio that, as of November 30, 2023 and February 28, 2023, was composed of $643.5 million and $658.0 million, respectively, in aggregate principal amount of primarily senior secured first lien term loans. In addition, as of November 30, 2023, we also own $9.0 million in aggregate principal of the F-2-R-3 Notes in the Saratoga CLO, which only rank senior to the subordinated notes.
This investment is subject to unique risks. (See Part 1. Item 1A. Risk Factors—“Our investment in Saratoga CLO constitutes a leveraged investment in a portfolio of predominantly senior secured first lien term loans and is subject to additional risks and volatility” in our Annual Report on Form 10-K for the fiscal year ended February 28, 2023).
We do not consolidate the Saratoga CLO portfolio in our consolidated financial statements. Accordingly, the metrics below do not include the underlying Saratoga CLO portfolio investments. However, at November 30, 2023, $584.9 million or 98.2% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and four Saratoga CLO portfolio investments were in default with a fair value of $9.8 million. At February 28, 2023, $544.4 million or 89.8% of the Saratoga CLO portfolio investments in terms of market value had a CMR color rating of green or yellow and two Saratoga CLO portfolio investments were in default with a fair value of $2.8 million. For more information relating to the Saratoga CLO, see the audited financial statements for Saratoga in our Annual Report on Form 10-K for the fiscal year ended February 28, 2023.
Saratoga Investment Advisors normally grades all of our investments using a credit and monitoring rating system (“CMR”). The CMR consists of a single component: a color rating. The color rating is based on several criteria, including financial and operating strength, probability of default, and restructuring risk. The color ratings are characterized as follows: (Green)—performing credit; (Yellow)—underperforming credit; (Red)—in principal payment default and/or expected loss of principal.
121
Portfolio CMR distribution
The CMR distribution for our investments at November 30, 2023 and February 28, 2023 was as follows:
Saratoga Investment Corp.
|
November 30,
2023 |
February 28,
2023 |
|||||||||||||||
| Color Score |
Investments
at Fair Value |
Percentage
of Total Portfolio |
Investments
at Fair Value |
Percentage
of Total Portfolio |
||||||||||||
| ($ in thousands) | ||||||||||||||||
| Green | $ | 972,181 | 87.3 | % | $ | 808,791 | 83.2 | % | ||||||||
| Yellow | 24,203 | 2.2 | 34,172 | 3.5 | ||||||||||||
| Red | 4,981 | 0.4 | - | 0.0 | ||||||||||||
| N/A(1) | 112,674 | 10.1 | 129,627 | 13.3 | ||||||||||||
| Total | $ | 1,114,039 | 100.0 | % | $ | 972,590 | 100.0 | % | ||||||||
| (1) | Comprised of our investment in the subordinated notes of Saratoga CLO and equity interests. |
The CMR distribution of Saratoga CLO investments at November 30, 2023 and February 28, 2023 was as follows:
Saratoga CLO
|
November 30,
2023 |
February 28,
2023 |
|||||||||||||||
| Color Score |
Investments
at Fair Value |
Percentage
of Total Portfolio |
Investments
at Fair Value |
Percentage
of Total Portfolio |
||||||||||||
| ($ in thousands) | ||||||||||||||||
| Green | $ | 543,304 | 91.3 | % | $ | 544,424 | 89.9 | % | ||||||||
| Yellow | 41,612 | 7.0 | 40,812 | 6.7 | ||||||||||||
| Red | 9,788 | 1.6 | 20,718 | 3.4 | ||||||||||||
| N/A(1) | 743 | 0.1 | - | 0.0 | ||||||||||||
| Total | $ | 595,447 | 100.0 | % | $ | 605,954 | 100.0 | % | ||||||||
| (1) | Comprised of Saratoga CLO’s equity interests. |
122
Portfolio composition by industry grouping at fair value
The following table shows our portfolio composition by industry grouping at fair value at November 30, 2023 and February 28, 2023:
Saratoga Investment Corp.
|
November 30,
2023 |
February 28,
2023 |
|||||||||||||||
|
Investments
at Fair Value |
Percentage
of Total Portfolio |
Investments
at Fair Value |
Percentage
of Total Portfolio |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Healthcare Software | $ | 120,489 | 11.0 | % | $ | 119,124 | 12.2 | % | ||||||||
| IT Services | 78,672 | 7.1 | 87,167 | 9.0 | ||||||||||||
| HVAC Services and Sales | 69,278 | 6.2 | 54,450 | 5.6 | ||||||||||||
| Consumer Services | 63,972 | 5.7 | 63,642 | 6.6 | ||||||||||||
| Real Estate Services | 53,128 | 4.8 | 53,406 | 5.5 | ||||||||||||
| Healthcare Services | 46,423 | 4.2 | 26,286 | 2.7 | ||||||||||||
| Education Software | 44,945 | 4.0 | 44,955 | 4.6 | ||||||||||||
| Hospitality/Hotel | 38,178 | 3.4 | 37,972 | 3.9 | ||||||||||||
| Mental Healthcare Services | 38,080 | 3.4 | 16,922 | 1.7 | ||||||||||||
| Education Services | 36,679 | 3.3 | 34,489 | 3.5 | ||||||||||||
| Health/Fitness Franchisor | 32,002 | 2.9 | - | - | ||||||||||||
| Dental Practice Management | 31,657 | 2.8 | 12,151 | 1.2 | ||||||||||||
| Structured Finance Securities(1) | 29,387 | 2.6 | 41,363 | 4.4 | ||||||||||||
| Talent Acquisition Software | 27,100 | 2.4 | 25,999 | 2.7 | ||||||||||||
| Sports Management | 26,995 | 2.4 | 26,711 | 2.7 | ||||||||||||
| Financial Services | 26,109 | 2.3 | 26,218 | 2.7 | ||||||||||||
| Investment Fund | 25,411 | 2.3 | 30,726 | 3.2 | ||||||||||||
| Direct Selling Software | 25,124 | 2.3 | 25,771 | 2.7 | ||||||||||||
| Architecture & Engineering Software | 25,035 | 2.2 | - | - | ||||||||||||
| Association Management Software | 23,696 | 2.1 | - | - | ||||||||||||
| Restaurant | 22,405 | 2.0 | 24,826 | 2.6 | ||||||||||||
| Mentoring Software | 21,963 | 2.0 | 21,359 | 2.2 | ||||||||||||
| Legal Software | 20,777 | 1.9 | 20,699 | 2.1 | ||||||||||||
| Marketing Orchestration Software | 18,631 | 1.7 | 18,715 | 1.9 | ||||||||||||
| Corporate Education Software | 17,919 | 1.6 | 19,063 | 2.0 | ||||||||||||
| Insurance Software | 17,398 | 1.6 | 16,761 | 1.7 | ||||||||||||
| Non-profit Services | 14,190 | 1.3 | 13,095 | 1.3 | ||||||||||||
| Employee Collaboration Software | 13,894 | 1.2 | 13,052 | 1.3 | ||||||||||||
| Lead Management Software | 12,120 | 1.1 | 12,090 | 1.2 | ||||||||||||
| Alternative Investment Management Software | 10,810 | 1.0 | 10,459 | 1.1 | ||||||||||||
| Research Software | 10,632 | 1.0 | 10,677 | 1.1 | ||||||||||||
| Roofing Contractor Software | 10,002 | 0.9 | - | - | ||||||||||||
| Field Service Management | 9,939 | 0.9 | 9,958 | 1.0 | ||||||||||||
| Fire Inspection Business Software | 9,900 | 0.9 | - | 0.0 | ||||||||||||
| Financial Services Software | 9,866 | 0.9 | 9,096 | 0.9 | ||||||||||||
| Industrial Products | 9,461 | 0.8 | 9,608 | 1.0 | ||||||||||||
| Office Supplies | 7,023 | 0.6 | 6,373 | 0.7 | ||||||||||||
| Specialty Food Retailer | 4,981 | 0.4 | - | 0.0 | ||||||||||||
| Veterinary Services | 4,690 | 0.4 | - | - | ||||||||||||
| Cyber Security | 2,716 | 0.2 | 2,509 | 0.3 | ||||||||||||
| Staffing Services | 2,089 | 0.2 | 2,079 | 0.2 | ||||||||||||
| Facilities Maintenance | 273 | 0.0 | 408 | 0.0 | ||||||||||||
| Healthcare Supply | - | 0.0 | - | - | ||||||||||||
| Specialty Food Retailer | - | 0.0 | 24,411 | 2.5 | ||||||||||||
| Total | $ | 1,114,039 | 100.0 | % | $ | 972,590 | 100.0 | % | ||||||||
| (1) | As of November 30, 2023 and February 28, 2023, the foregoing comprised of our investment in the subordinated notes and F-2-R-3 Notes of Saratoga CLO, as well as the unsecured notes and equity interests in the SLF JV and E-Notes of SLF 2022. |
123
The following table shows Saratoga CLO’s portfolio composition by industry grouping at fair value at November 30, 2023 and February 28, 2023:
Saratoga CLO
|
November 30,
2023 |
February 28,
2023 |
|||||||||||||||
|
Investments
at Fair Value |
Percentage
of Total Portfolio |
Investments
at Fair Value |
Percentage
of Total Portfolio |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Banking, Finance, Insurance & Real Estate | $ | 114,841 | 19.3 | % | $ | 114,570 | 18.9 | % | ||||||||
| Services: Business | 64,096 | 10.8 | 65,947 | 10.9 | ||||||||||||
| High Tech Industries | 52,504 | 8.8 | 52,636 | 8.7 | ||||||||||||
| Healthcare & Pharmaceuticals | 38,097 | 6.4 | 38,952 | 6.4 | ||||||||||||
| Services: Consumer | 29,948 | 5.0 | 34,544 | 5.7 | ||||||||||||
| Chemicals, Plastics, & Rubber | 29,228 | 4.9 | 23,857 | 3.9 | ||||||||||||
| Retail | 25,509 | 4.3 | 24,049 | 4.0 | ||||||||||||
| Telecommunications | 21,961 | 3.7 | 22,514 | 3.7 | ||||||||||||
| Media: Advertising, Printing & Publishing | 20,977 | 3.5 | 20,309 | 3.4 | ||||||||||||
| Hotel, Gaming & Leisure | 19,825 | 3.3 | 14,315 | 2.4 | ||||||||||||
| Automotive | 19,610 | 3.3 | 20,410 | 3.4 | ||||||||||||
| Consumer goods: Durable | 18,966 | 3.2 | 24,887 | 4.1 | ||||||||||||
| Containers, Packaging & Glass | 17,901 | 3.0 | 18,239 | 3.0 | ||||||||||||
| Construction & Building | 14,397 | 2.4 | 13,875 | 2.3 | ||||||||||||
| Beverage, Food & Tobacco | 14,246 | 2.4 | 14,501 | 2.4 | ||||||||||||
| Aerospace & Defense | 13,149 | 2.2 | 13,688 | 2.3 | ||||||||||||
| Media: Broadcasting & Subscription | 10,597 | 1.8 | 11,143 | 1.8 | ||||||||||||
| Consumer goods: Non-durable | 9,476 | 1.6 | 13,734 | 2.3 | ||||||||||||
| Media: Diversified & Production | 9,201 | 1.5 | 9,279 | 1.5 | ||||||||||||
| Transportation: Cargo | 8,885 | 1.5 | 8,236 | 1.4 | ||||||||||||
| Utilities: Oil & Gas | 7,283 | 1.2 | 7,246 | 1.2 | ||||||||||||
| Wholesale | 7,257 | 1.2 | 8,011 | 1.3 | ||||||||||||
| Capital Equipment | 5,695 | 1.0 | 8,450 | 1.4 | ||||||||||||
| Transportation: Consumer | 4,083 | 0.7 | 6,844 | 1.1 | ||||||||||||
| Metals & Mining | 3,829 | 0.6 | 3,239 | 0.5 | ||||||||||||
| Energy: Oil & Gas | 3,138 | 0.5 | 2,676 | 0.4 | ||||||||||||
| Forest Products & Paper | 2,933 | 0.5 | 3,190 | 0.5 | ||||||||||||
| Environmental Industries | 2,748 | 0.5 | 2,155 | 0.4 | ||||||||||||
| Energy: Electricity | 2,724 | 0.5 | 2,105 | 0.3 | ||||||||||||
| Utilities: Electric | 2,343 | 0.4 | 2,353 | 0.4 | ||||||||||||
| Total | $ | 595,447 | 100.0 | % | $ | 605,954 | 100.0 | % | ||||||||
124
Portfolio composition by geographic location at fair value
The following table shows our portfolio composition by geographic location at fair value at November 30, 2023 and February 28, 2023. The geographic composition is determined by the location of the corporate headquarters of the portfolio company.
|
November 30,
2023 |
February 28,
2023 |
|||||||||||||||
|
Investments
at Fair Value |
Percentage
of Total Portfolio |
Investments
at Fair Value |
Percentage
of Total Portfolio |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Southeast | $ | 308,305 | 27.7 | % | $ | 247,192 | 25.4 | % | ||||||||
| Midwest | 246,172 | 22.1 | 199,944 | 20.6 | ||||||||||||
| West | 219,581 | 19.7 | 173,283 | 17.8 | ||||||||||||
| Northeast | 143,585 | 12.9 | 133,158 | 13.7 | ||||||||||||
| Southwest | 122,577 | 11.0 | 123,744 | 12.7 | ||||||||||||
| Northwest | - | - | 2,509 | 0.3 | ||||||||||||
| Other(1) | 73,819 | 6.6 | 92,760 | 9.5 | ||||||||||||
| Total | $ | 1,114,039 | 100.0 | % | $ | 972,590 | 100.0 | % | ||||||||
| (1) | Comprised of our investments in the subordinated notes, F-2-R-3 Notes of Saratoga CLO, as well as the unsecured notes and equity interests in the SLF JV and foreign investments. |
Results of operations
Operating results for the three and nine months ended November 30, 2023 and November 30, 2022 was as follows:
| For the three months ended | For the nine months ended | |||||||||||||||
|
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Total investment income | $ | 36,340 | $ | 26,257 | $ | 106,487 | $ | 66,789 | ||||||||
| Total operating expenses | 22,174 | 16,380 | 62,397 | 41,238 | ||||||||||||
| Net investment income | 14,166 | 9,877 | 44,090 | 25,551 | ||||||||||||
| Net realized gain (loss) from investments | 61 | (740 | ) | 151 | 7,366 | |||||||||||
| Income tax (provision) benefit from realized gain on investments | - | 479 | - | 549 | ||||||||||||
| Net change in unrealized appreciation (depreciation) on investments | (17,867 | ) | (3,176 | ) | (39,926 | ) | (25,768 | ) | ||||||||
| Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments | (416 | ) | (426 | ) | (578 | ) | (1,018 | ) | ||||||||
| Realized losses on extinguishment of debt | - | - | (110 | ) | (1,205 | ) | ||||||||||
| Net increase (decrease) in net assets resulting from operations | $ | (4,056 | ) | $ | 6,014 | $ | 3,627 | $ | 5,475 | |||||||
125
Investment income
The composition of our investment income for three and nine months ended November 30, 2023 and November 30, 2022 was as follows:
| For the three months ended | For the nine months ended | |||||||||||||||
|
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Interest from investments | $ | 32,659 | $ | 23,517 | $ | 94,550 | $ | 59,356 | ||||||||
| Interest from cash and cash equivalents | 522 | 201 | 1,865 | 235 | ||||||||||||
| Management fee income | 820 | 818 | 2,454 | 2,451 | ||||||||||||
| Dividend Income | 1,811 | 437 | 5,284 | 950 | ||||||||||||
| Structuring and advisory fee income | 312 | 553 | 1,786 | 2,814 | ||||||||||||
| Other income | 216 | 731 | 548 | 983 | ||||||||||||
| Total investment income | $ | 36,340 | $ | 26,257 | $ | 106,487 | $ | 66,789 | ||||||||
For the three months ended November 30, 2023, total investment income increased $10.1 million, or 38.4%, to $36.3 million from $26.3 million for the three months ended November 30, 2022. Interest income from investments increased $9.1 million, or 38.9%, to $32.7 million for the three months ended November 30, 2023 from $23.5 million for the three months ended November 30, 2022. Interest income from investments increased due to the increase of $132.0 million, or 13.4%, in total investments at November 30, 2023 from $982.0 million at November 30, 2022 to $1,114.0 million as of November 30, 2023, combined with the increase in the weighted average current yield on investments to 11.4%, up from 10.4% at November 30, 2022.
For the nine months ended November 30, 2023, total investment income increased $39.7 million, or 59.4%, to $106.5 million from $66.8 million for the nine months ended November 30, 2022. Interest income from investments increased $35.2 million, or 59.3%, to $94.5 million for the nine months ended November 30, 2023 from $59.4 million for the nine months ended November 30, 2022. Interest income from investments increased due to the increase of $132.0 million, or 13.4%, in total investments at November 30, 2023 from $982.0 million at November 30, 2022 to $1,114.0 million as of November 30, 2023, combined with the increase in the weighted average current yield on investments to 11.3%, up from 10.4% at November 30, 2022.
For the three and nine months ended November 30, 2023 and November 30, 2022, total PIK income was $0.6 million and $0.4 million, respectively and $1.9 million and $0.7 million, respectively.
For the three months ended November 30, 2023 and November 30, 2022, interest from cash and cash equivalents was $0.5 million and $0.2 million, respectively. The increase of $0.3 million was due to the fact that cash and cash equivalents were earning close to zero interest during the three months ended November 30, 2022.
For the nine months ended November 30, 2023 and November 30, 2022, interest from cash and cash equivalents was $1.9 million and $0.2 million, respectively. The increase of $1.7 million was due to the fact that cash and cash equivalents were earning close to zero interest during the three months ended November 30, 2022.
Management fee income reflects the fee income received for managing the Saratoga CLO. For the three months ended November 30, 2023 and November 30, 2022, total management fee income was $0.8 million and $0.8 million, respectively. For the nine months ended November 30, 2023 and November 30, 2022, total management fee income was $2.5 million and $2.5 million, respectively.
For the three and nine months ended November 30, 2023 and November 30, 2022, total dividend income was $1.8 million and $0.4 million, respectively and $5.3 million and $0.9 million, respectively. Dividends received is recorded in the consolidated statements of operations when earned, and the increase primarily reflects dividend income of $1.3 million received on our membership interest in SLF JV during the three months ended November 30, 2023, and $4.7 million received during the nine months ended November 30, 2023.
For the three and nine months ended November 30, 2023 and November 30, 2022, total structuring and advisory fee income was $0.3 million and $0.6 million, respectively and $1.8 million and $2.8 million, respectively. Structuring and advisory fee income represents fee income earned and received performing certain investment and advisory activities during the closing of new investments.
126
For the three and nine months ended November 30, 2023 and November 30, 2022, other income was $0.2 million and $0.7 million, respectively and $0.5 million and $1.0 million, respectively. Other income includes origination fees, monitoring and amendment fees and prepayment fees and is recorded in the consolidated statements of operations when earned.
Operating expenses
The composition of our operating expenses for the three and nine months ended November 30, 2023 and November 30, 2022 was as follows:
| For the three months ended | For the nine months ended | |||||||||||||||
|
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Interest and debt financing expenses | $ | 12,522 | $ | 8,450 | $ | 36,629 | $ | 23,243 | ||||||||
| Base management fees | 4,857 | 4,259 | 14,262 | 12,165 | ||||||||||||
| Incentive management fees expense (benefit) | 2,244 | 1,531 | 4,828 | 217 | ||||||||||||
| Professional fees | 434 | 559 | 1,407 | 1,344 | ||||||||||||
| Administrator expenses | 1,075 | 819 | 2,798 | 2,342 | ||||||||||||
| Insurance | 81 | 89 | 245 | 266 | ||||||||||||
| Directors fees and expenses | 81 | 80 | 281 | 300 | ||||||||||||
| General & administrative and other expenses | 660 | 525 | 1,958 | 1,492 | ||||||||||||
| Income tax expense (benefit) | 220 | 68 | (11 | ) | (132 | ) | ||||||||||
| Total operating expenses | $ | 22,174 | $ | 16,380 | $ | 62,397 | $ | 41,237 | ||||||||
For the three months ended November 30, 2023, total operating expenses increased $5.8 million, or 35.4%, compared to the three months ended November 30, 2022. For the nine months ended November 30, 2023, total operating expenses increased $21.2 million, or 51.3%, compared to the nine months ended November 30, 2022.
For the three months ended November 30, 2023, interest and debt financing expenses increased $4.1 million, or 48.2%, compared to the three months ended November 30, 2022. The increase is primarily attributable to an increase of 18.8% in average outstanding debt from $679.0 million for the three months ended November 30, 2022 to $806.8 million for the three months ended November 30, 2023, primarily reflecting (i) the issuance of the 6.00% 2027 Notes, 8.00% 2027 Notes, 7.00% 2025 Notes, and 8.125% 2027 Notes during the year ended February 28, 2023, and (ii) the issuance of the 8.75% 2024 Notes and the 8.50% 2028 Notes during the three months ended May 31, 2023, all of which are now outstanding for the full period this year.
For the nine months ended November 30, 2023, interest and debt financing expenses increased $13.4 million, or 57.6%, compared to the nine months ended November 30, 2022. The increase is primarily attributable to an increase of 67.7% in average outstanding debt from $476.3 million for the nine months ended November 30, 2022 to $798.9 million for the nine months ended November 30, 2023, primarily reflecting (i) the issuance of the 6.00% 2027 Notes, 8.00% 2027 Notes, 7.00% 2025 Notes, and 8.125% 2027 Notes during the year ended February 28, 2023, all of which are now outstanding for the full period this year, and (ii) the issuance of the 8.75% 2024 Notes and the 8.50% 2028 Notes during the nine months ended November 30, 2023.
127
For the three and nine months ended November 30, 2023 and November 30, 2022, the weighted average interest rate on our outstanding indebtedness was 5.52% and 4.43%, respectively and 5.43% and 5.74%, respectively. The increase in weighted average interest rate was primarily driven by the issuance of higher rate borrowings over the past year, reflecting the increase in base rates in the market.
As of November 30, 2023 and February 28, 2023, the SBA debentures represented 25.3% and 27.7% of overall debt, respectively.
For the three months ended November 30, 2023, base management fees increased $0.6 million, or 14.0%, from $4.3 million to $4.9 million compared to the three months ended November 30, 2022. The increase in base management fees results from the 14.4% increase in the average value of our total assets, less cash and cash equivalents, from $976.1 million for the three months ended November 30, 2022 to $1,108.5 million for the three months ended November 30, 2023. For the nine months ended November 30, 2023, base management fees increased $2.1 million, or 17.2%, from $12.2 million to $14.3 million compared to the nine months ended November 30, 2022. The increase in base management fees results from the 17.6% increase in the average value of our total assets, less cash and cash equivalents, from $922.6 million for the nine months ended November 30, 2022 to $1,082.1 million for the nine months ended November 30, 2023.
For the three months ended November 30, 2023, incentive management fees increased $0.7 million, or 46.5%, compared to the three months ended November 30, 2022. The incentive fee on income increased from $2.3 million to $3.3 million for the three months ended November 30, 2022 and 2023, respectively, reflecting the increase in net investment income during the three months ended November 30, 2023 as compared to the three months ended November 30, 2022. The incentive fee on capital gains decreased from a $(0.8) million benefit for the three months ended November 30, 2022 to a $(1.0) million benefit for the three months ended November 30, 2023, both reflecting the incentive fee on net realized and unrealized depreciation recognized during both these periods.
For the nine months ended November 30, 2023, incentive management fees increased $4.6 million, or 2,126.0%, compared to the nine months ended November 30, 2022. The incentive fee on income increased from $4.0 million for the nine months ended November 30, 2022 to $9.8 million for the nine months ended November 30, 2023, reflecting the fact that net investment income increased during this current period, and was above the hurdle during the full nine months ended November 30, 2023. The incentive fee on capital gains decreased from a $(3.7) million benefit for the nine months ended November 30, 2022 to a $(5.0) million benefit for the nine months ended November 30, 2023, both reflecting the incentive fee income on net realized and unrealized depreciation recognized during both these periods.
For the three and nine months ended November 30, 2023, professional fees decreased $0.1 million, or 22.2% and increased $0.1 million, or 4.7%, respectively, compared to the three and nine months ended November 30, 2022.
For the three and nine months ended November 30, 2023, administrator expenses increased $0.3 million, or 31.3% and increased $0.5 million, or 19.5%, respectively, compared to the three and nine months ended November 30, 2022, reflecting the contractual changes to the administrator agreement cap.
For the three and nine months ended November 30, 2023, general and other expenses increased $0.1 million, or 25.7% and increased $0.5 million, or 31.2%, respectively, compared to the three and nine months ended November 30, 2022.
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As discussed above, the increase in interest and debt financing expenses for the three months ended November 30, 2023 compared to the three months ended November 30, 2022 is attributable both to an increase in the average dollar amount of outstanding debt, as well as the higher cost of that debt. During the three months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding under the Encina Credit Facility was $35.0 million and $32.8 million, respectively, and the average weighted average interest rate on the outstanding borrowing under the Encina Credit Facility was 9.79% and 7.19%, respectively. For the three months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding of SBA debentures was $200.4 million and $242.7 million, respectively. For the three months ended November 30, 2023 and November 30, 2022, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.25% and 2.86%, respectively.
As discussed above, the increase in interest and
debt financing expenses for the nine months ended November 30, 2023 compared to the nine months ended November 30, 2022 is attributable
both to an increase in the average dollar amount of outstanding debt, as well as the higher cost of that debt. During the nine months
ended November 30, 2023 and November 30, 2022, the average borrowings outstanding under the Encina Credit Facility was $38.9 million and
$25.9 million, respectively, and the average weighted average interest rate on the outstanding borrowing under the Encina Credit Facility
was 9.62% and 6.16%, respectively. For the nine months ended November 30, 2023 and November 30, 2022, the average borrowings outstanding
of SBA debentures was $201.7 million and $226.5 million, respectively. For the nine months ended November 30, 2023 and November 30, 2022,
the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.01% and 2.74%, respectively.
The weighted average dollar amount of our unsecured notes for the three and nine months ended November 30, 2023 and November 30, 2022 were as follows:
| Three Months Ended | Nine Months Ended | |||||||||||||||
| (in millions) |
November 30,
2023 |
November 30,
2022 |
November 30,
2023 |
November 30,
2022 |
||||||||||||
| 7.25% 2025 Notes | $ | — | $ | — | $ | — | $ | 18.0 | ||||||||
| 7.75% 2025 Notes | 5.0 | 5.0 | 5.0 | 5.0 | ||||||||||||
| 6.25% 2027 Notes | 15.0 | 15.0 | 15.0 | 15.0 | ||||||||||||
| 4.375% 2026 Notes | 175.0 | 175.0 | 175.0 | 175.0 | ||||||||||||
| 4.35% 2027 Notes | 75.0 | 75.0 | 75.0 | 75.0 | ||||||||||||
| 6.00% 2027 Notes | 105.5 | 105.5 | 105.5 | 82.5 | ||||||||||||
| 7.00% 2025 Notes | 12.0 | 11.0 | 12.0 | 3.7 | ||||||||||||
| 8.00% 2027 Notes | 46.0 | 16.9 | 46.0 | 5.6 | ||||||||||||
| 8.125% 2027 Notes | 60.4 | — | 60.4 | — | ||||||||||||
| 8.75% 2024 Notes | 20.0 | — | 16.7 | — | ||||||||||||
| 8.50% 2028 Notes | 57.5 | — | 47.8 | — | ||||||||||||
For the three months ended November 30, 2023 and November 30, 2022, there were income tax expense (benefits) of $0.2 million and $0.07 million, respectively. For the nine months ended November 30, 2023 and November 30, 2022, there were income tax expense (benefits) of ($0.01) million and ($0.1) million, respectively. This relates to net deferred federal and state income tax expense (benefit) with respect to operating gains and losses and income derived from equity investments held in entities that are treated as corporations for U.S. federal income tax purposes, as well as current U.S. federal and state income taxes on those operating gains and losses when realized.
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Net realized gains (losses) on sales of investments
For the three months ended November 30, 2023, we had $2.1 million of sales, repayments, exits or restructurings. For the nine months ended November 30, 2023, we had $19.2 million of sales, repayments, exits or restructurings resulting in $0.2 million of net realized gains.
| Nine Months ended November 30, 2023 | ||||||||||||||
| Issuer | Asset Type | Gross Proceeds | Cost |
Net
Realized Gain (Loss) |
||||||||||
| PDDS Buyer, LLC | Equity Interests | $ | - | $ | - | $ | 41,350 | |||||||
| Censis Technologies, Inc. | Equity Interests | - | - | 6,773 | ||||||||||
| GreyHeller LLC | Equity Interests | - | - | 42,568 | ||||||||||
| Ohio Medical, LLC | Equity Interests | - | - | 60,565 | ||||||||||
We received escrow payments from the prior sales of our investments in PPDS Buyer, LLC, Censis Technologies, Inc., Ohio Medical, LLC and GreyHeller LLC.
For the three months ended November 30, 2022, the Company had $56.9 million of sales, repayments, exits or restructurings resulting in $0.7 million of net realized losses. For the nine months ended November 30, 2022, the Company had $162.1 million of sales, repayments, exits or restructurings resulting in $7.4 million of net realized gains.
| Nine Months ended November 30, 2022 | ||||||||||||||
| Issuer | Asset Type | Gross Proceeds | Cost |
Net
Realized Gain |
||||||||||
| PDDS Buyer, LLC | Equity Interests | $ | 9,943,838 | $ | 2,000,000 | $ | 7,943,838 | |||||||
| Ohio Medical, LLC | Equity Interests | 770,161 | 380,353 | 389,808 | ||||||||||
| Targus Holdings, Inc. | Equity Interests | 294,087 | 1,424,329 | (1,130,242 | ) | |||||||||
| Censis Technologies, Inc. | Equity Interests | - | - | 68,731 | ||||||||||
| Texas Teachers of Tomorrow, LLC | Equity Interests | - | - | 24,977 | ||||||||||
| V Rental Holdings LLC | Equity Interests | - | - | 68,800 | ||||||||||
The $7.9 million of net realized gains was from the sale of the equity position in the Company’s PPDS Buyer, LLC investment.
The $0.4 million of net realized gain was from the sale of the equity position in the Company’s Ohio Medical, LLC investment.
The $1.1 million of net realized loss was from the sale of the equity position in the Company’s Targus Holdings, Inc investment.
The Company received escrow payments from the prior sales of its investments in Censis Technologies, Inc., Texas Teachers of Tomorrow, LLC and V Rental Holdings LLC.
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Net change in unrealized appreciation (depreciation) on investments
For the nine months ended November 30, 2023, our investments had a net change in unrealized depreciation of $39.9 million versus a net change in unrealized depreciation of $25.7 million for the nine months ended November 30, 2022.
The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2023 were the following (dollars in thousands):
Nine Months ended November 30, 2023
| Issuer | Asset Type | Cost | Fair Value | Total Unrealized Appreciation (Depreciation) | YTD Change in Unrealized Appreciation (Depreciation) | |||||||||||||
| Pepper Palace, Inc. | First Lien Term Loan & Equity Interests | $ | 35,418 | $ | 4,981 | $ | (30,437 | ) | $ | (20,592 | ) | |||||||
| Saratoga Senior Loan Fund I JV, LLC | Equity Interests | 35,202 | 25,411 | (9,791 | ) | (5,315 | ) | |||||||||||
| Netreo Holdings, LLC | First Lien Term Loan & Equity Interests | 38,935 | 35,672 | (3,263 | ) | (11,544 | ) | |||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. | Structured Finance Securities | 23,412 | 8,939 | (14,473 | ) | (6,707 | ) | |||||||||||
| ETU Holdings, Inc. | First Lien Term Loan, Second Lien Term Loan & Equity Interests | 15,806 | 13,521 | (2,285 | ) | (2,368 | ) | |||||||||||
| Zollege PBC | First Lien Term Loan & Equity Interests | 17,516 | 14,604 | (2,912 | ) | (1,592 | ) | |||||||||||
| Vector Controls Holding Co., LLC | First Lien Term Loan & Equity Interests | 1,465 | 9,461 | 7,996 | 1,478 | |||||||||||||
| Chronus LLC | First Lien Term Loan & Equity Interests | 22,865 | 21,963 | (902 | ) | (1,399 | ) | |||||||||||
The $20.6 million of unrealized depreciation in our investment Pepper Palace, Inc. was driven by further declines in company performance.
The $5.3 million of unrealized depreciation in our investment Saratoga Senior Loan Fund I, JV, LLC was driven by the reduction in the carrying value of a defaulted loan in the portfolio, as well as overall market conditions.
The $11.5 million of unrealized depreciation in our investment Netreo Holdings, LLC was driven by increased company leverage and decreased company performance.
The $6.7 million of unrealized depreciation in our investment Saratoga Investment Corp. CLO 2013-1, Ltd. was driven by the reduction in the carrying value of certain defaulted loans in the portfolio, as well as overall market conditions.
The $2.4 million of unrealized depreciation in our investment ETU Holdings, Inc. was driven by overall company performance.
The $1.6 million of unrealized depreciation in our investment Zollege PBC was driven by overall company performance.
The $1.5 million of unrealized appreciation in our investment Vector Controls Holding Co., LLC was driven by decreased company leverage and overall company performance.
The $1.4 million of unrealized depreciation in our investment Chronus LLC was driven by overall company performance.
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The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2022 were the following (dollars in thousands):
Nine Months ended November 30, 2022
| Issuer | Asset Type | Cost | Fair Value |
Total
Unrealized Appreciation |
YTD
Change in Unrealized Appreciation |
|||||||||||||
| Pepper Palace, Inc. | First Lien Term Loan & Equity Interests | $ | 34,314 | $ | 24,325 | $ | (9,989 | ) | $ | (9,470 | ) | |||||||
| Artemis Wax Corp. | First Lien Term Loan & Equity Interests | 64,663 | 68,576 | 3,913 | 2,453 | |||||||||||||
| Vector Controls Holding Co., LLC | First Lien Term Loan & Equity Interests | 3,478 | 9,091 | 5,613 | 2,194 | |||||||||||||
| Axero Holdings, LLC | First Lien Term Loan & Equity Interests | 10,546 | 12,506 | 1,961 | 1,412 | |||||||||||||
| Destiny Solutions Inc. | Equity Interests | 3,969 | 8,743 | 4,774 | 1,111 | |||||||||||||
| Zollege PBC | First Lien Term Loan & Equity Interests | 16,641 | 15,377 | (1,264 | ) | (1,130 | ) | |||||||||||
| Netreo Holdings, LLC | First Lien Term Loan & Equity Interests | 33,419 | 42,394 | 8,975 | (1,668 | ) | ||||||||||||
| PDDS Buyer, LLC | First Lien Term Loan & Equity Interests | - | - | - | (5,094 | ) | ||||||||||||
| Saratoga Investment Corp. CLO 2013-1, Ltd. | Structured Finance Securities | 29,969 | 19,427 | (10,542 | ) | (6,923 | ) | |||||||||||
| Saratoga Senior Loan Fund I JV, LLC | Equity Interests | 35,202 | 26,781 | (8,421 | ) | (7,312 | ) | |||||||||||
The $9.5 million of unrealized depreciation in our investment Pepper Palace, Inc. was driven by overall company performance.
The $2.5 million of unrealized appreciation in our investment in Artemis Wax Corp. was driven by growth and improved financial performance.
The $2.2 million of unrealized appreciation in our investment in Vector Controls Holdings Co., LLC was driven by overall company performance.
The $1.4 million of unrealized appreciation in our investment in Axero Holdings, LLC was driven by growth and improved financial performance.
The $1.1 million of unrealized appreciation in our investment in Destiny Solutions Inc. was driven by growth and improved financial performance.
The $1.1 million of unrealized depreciation in our investment in Zollege PBC was driven by overall company performance.
The $1.7 million of unrealized depreciation in our investment Netreo Holdings, LLC was driven by increased company leverage.
The $5.1 million of unrealized depreciation in our investment PDDS Buyer, LLC was driven by the sale of that investment, resulting in a reversal of previously recognized unrealized appreciation reclassified to realized gains.
The $6.9 million of unrealized depreciation in our investment Saratoga Investment Corp. CLO 2013-1, Ltd. was driven by the increase in discount rates, the impact of changes in LIBOR rates and overall market conditions.
The $7.3 million of unrealized depreciation in our investment Saratoga Senior Loan Fund I, JV, LLC was driven by the increase in discount rates and overall market conditions
Changes in net assets resulting from operations
For the three months ended November 30, 2023, we recorded a net decrease in net assets resulting from operations of $4.1 million. Based on 13,052,896 weighted average common shares outstanding as of November 30, 2023, our per share net decrease in net assets resulting from operations was $0.31 for the three months ended November 30, 2023. For the three months ended November 30, 2022, we recorded a net increase in net assets resulting from operations of $6.0 million. Based on 11,893,173 weighted average common shares outstanding as of November 30, 2022, our per share net increase in net assets resulting from operations was $0.51 for the three months ended November 30, 2022.
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For the nine months ended November 30, 2023, we recorded a net decrease in net assets resulting from operations of $3.6 million. Based on 12,355,815 weighted average common shares outstanding as of November 30, 2023, our per share net increase in net assets resulting from operations was $0.29 for the nine months ended November 30, 2023. For the nine months ended November 30, 2022, we recorded a net increase in net assets resulting from operations of $5.5 million. Based on 11,989,811 weighted average common shares outstanding as of November 30, 2022, our per share net decrease in net assets resulting from operations was $0.46 for the nine months ended November 30, 2022
FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES
We intend to continue to generate cash primarily from cash flows from operations, including interest earned from our investments in debt in middle-market companies, interest earned from the temporary investment of cash in U.S. government securities and other high-quality debt investments that mature in one year or less, the Encina Credit Facility, our continued access to the SBA debentures future borrowings and future offerings of debt and equity securities.
Although we expect to fund the growth of our investment portfolio through the net proceeds from future equity offerings, including our dividend reinvestment plan (“DRIP”), the ATM Program, and issuances of senior securities or future borrowings, to the extent permitted by the 1940 Act, we cannot assure you that our plans to raise capital will be successful. In this regard, because our common stock has historically traded at a price below our current NAV per share and we are limited in our ability to sell our common stock at a price below NAV per share, we have been and may continue to be limited in our ability to raise equity capital. Consistent with the terms of the ATM Program, the Manager may, from time to time and in its sole discretion, contribute proceeds necessary to ensure that no sales are made at a price below the then-current NAV per share.
In addition, we intend to distribute to our stockholders substantially all of our operating taxable income in order to satisfy the distribution requirement applicable to RICs under the Code. In satisfying this distribution requirement, in accordance with certain applicable provisions of the Code and the Treasury regulations and a revenue procedure issued by the Internal Revenue Service (“IRS”), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation that the aggregate amount of cash to be distributed to all stockholders must be at least 20% of the aggregate declared distribution. We may rely on the revenue procedure in future periods to satisfy our RIC distribution requirement.
Also, as a BDC, we generally are required to meet a coverage ratio of total assets, less liabilities and indebtedness not represented by senior securities, to total senior securities, which include all of our borrowings and any outstanding preferred stock, of at least 200%, reduced to 150% effective April 16, 2019 following the approval received from our board of directors, including a majority of our independent directors, on April 16, 2018. This requirement limits the amount that we may borrow. Our asset coverage ratio, as defined in the 1940 Act, was 159.3% as of November 30, 2023 and 165.9% as of February 28, 2023. To fund growth in our investment portfolio in the future, we anticipate needing to raise additional capital from various sources, including the equity markets and other debt-related markets, which may or may not be available on favorable terms, if at all.
Consequently, we may not have the funds or the ability to fund new investments, to make additional investments in our portfolio companies, to fund our unfunded commitments to portfolio companies, to pay dividends or to repay borrowings. Also, the illiquidity of our portfolio investments may make it difficult for us to sell these investments when desired and, if we are required to sell these investments, we may realize significantly less than their recorded value.
Due to the diverse capital sources available to us at this time, we believe we have adequate liquidity to support our near term capital requirements.
Encina Credit Facility
Below is a summary of the terms of the senior secured revolving credit facility we entered into with Encina Lender Finance, LLC on October 4, 2021.
Commitment . We entered into the Credit and Security Agreement (the “Credit Agreement”) relating to the Encina Credit Facility in the initial facility amount of $50.0 million (the “Facility Amount”).
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Availability . We can draw up to the lesser of (i) the Facility Amount and (ii) the Borrowing Base. The Borrowing Base is an amount equal to (i) the difference of (A) the product of the applicable advance rate which varies from 50.0% to 75.0% depending on the type of loan asset (Defaulted Loans being excluded in that they carry an advance rate of 0%) and the value, determined in accordance with the Encina Credit Facility (the “Adjusted Borrowing Value”), of certain “eligible” loan assets pledged as security for the loan (the “Borrowing Base Value”) and (B) the Excess Concentration Amount, as calculated in accordance with the Encina Credit Facility, plus (ii) any amounts held in the Prefunding Account and, without duplication, Excess Cash held in the Collection Account, less (iii) the product of (a) the amount of any undrawn funding commitments we have under any loan asset and (b) the Unfunded Exposure Haircut Percentage, and less (iv) $100,000. Each loan asset we held as of the date on which the Encina Credit Facility was closed was valued as of that date and each loan asset that we acquire after such date will be valued at the lowest of its fair value, its face value (excluding accrued interest) and the purchase price paid for such loan asset. Adjustments to the value of a loan asset will be made to reflect, among other things and under certain circumstances, changes in its fair value, a default by the obligor on the loan asset, insolvency of the obligor, acceleration of the loan asset, and certain modifications to the terms of the loan asset.
The Encina Credit Facility contains limitations on the type of loan assets that are “eligible” to be included in the Borrowing Base and as to the concentration level of certain categories of loan assets in the Borrowing Base such as restrictions on geographic and industry concentrations, asset size and quality, payment frequency, status and terms, average life, and collateral interests. In addition, if an asset is to remain an “eligible” loan asset, we may not make changes to the payment, amortization, collateral and certain other terms of the loan assets without the consent of the administrative agent that will either result in subordination of the loan asset or be materially adverse to the lenders.
The Encina Credit Facility requires certain minimum drawn amounts. For the period beginning on the closing date and ended April 4, 2022, the minimum funding amount was $12.5 million. For the period beginning on April 5, 2022 through maturity, the minimum funding amount is the greater of $25.0 million and 50% of the Facility Amount in effect from time to time.
Collateral . The Encina Credit Facility is secured by assets of SIF II and pledged to the lender under the credit facility. SIF II is a wholly owned special purpose entity formed for the purpose of entering into the Encina Credit Facility.
Interest Rate and Fees. Under the Encina Credit Facility, funds were borrowed from or through certain lenders at the greater of the prevailing LIBOR rate and 0.75%, plus an applicable margin of 4.00%. The Credit Agreement includes benchmark replacement provisions which permit the Administrative Agent and the borrower to select a replacement rate upon the unavailability of LIBOR. In addition, we pay the lenders a commitment fee of 0.75% per year (or 0.50% if the ratio of advances outstanding to aggregate commitments is greater than or equal to 50%) on the unused amount of the Encina Credit Facility for the duration of the term of the Encina Credit Facility. Accrued interest and commitment fees are payable monthly in arrears. We were also obligated to pay certain other fees to the lenders in connection with the closing of the Encina Credit Facility.
Collateral Tests . It is a condition precedent to any borrowing under the Encina Credit Facility that the principal amount outstanding under the Encina Credit Facility, after giving effect to the proposed borrowings, not exceed the Borrowing Base (the “Borrowing Base Test”). In addition to satisfying the Borrowing Base Test, the following tests must also be satisfied (together with Borrowing Base Test, the “Collateral Tests”):
| o | Interest Coverage Ratio. The ratio (expressed as a percentage) of interest collections with respect to pledged loan assets, less certain fees and expenses relating to the Encina Credit Facility, to accrued interest and commitment fees payable to the lenders under the Encina Credit Facility for the last 6 payment periods must equal at least 175.0%. |
| o | Overcollateralization Ratio. The ratio (expressed as a percentage) of the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets plus the fair value of certain ineligible pledged loan assets (in each case, subject to certain adjustments) to outstanding borrowings under the Encina Credit Facility plus the Unfunded Exposure Amount must equal at least 200.0%. |
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The Encina Credit Facility also may require payment of outstanding borrowings or replacement of pledged loan assets upon our breach of our representation and warranty that pledged loan assets included in the Borrowing Base are “eligible” loan assets. Such ineligible collateral loans will be excluded from the calculation of the Borrowing Base and may lead to a Borrowing Base Deficiency, which may be cured by effecting one or more (or any combination thereof) of the following actions: (A) deposit into or credit to the collection account cash and eligible investments, (B) repay outstanding borrowings (together with certain costs and expenses), (C) sell or substitute loan assets in accordance with the Encina Credit Facility, or (D) pledge additional loan assets as collateral. Compliance with the Collateral Tests is also a condition to the discretionary sale of pledged loan assets by us.
Priority of Payments . The priority of payments provisions of the Encina Credit Facility require, after payment of specified fees and expenses, that collections of interest from the loan assets and, to the extent that these are insufficient, collections of principal from the loan assets, be applied on each payment date to payment of outstanding borrowings if the Borrowing Base Test, the Overcollateralization Ratio and the Interest Coverage Ratio would not otherwise be met.
Operating Expenses . The priority of payments provision of the Encina Credit Facility provides for the payment of certain of our operating expenses out of collections on interest and principal in accordance with the priority established in such provision. The operating expenses payable pursuant to the priority of payment provisions is limited to $200,000 per annum.
Covenants; Representations and Warranties; Events of Default . The Credit Agreement contains customary representations and warranties, affirmative covenants, negative covenants and events of default. The Credit Agreement does not contain grace periods for breach by us of any negative covenants or of certain of the affirmative covenants, including, without limitation, those related to preservation of the existence and separateness of the Company. Other events of default under the Credit Agreement include, among other things, the following:
| o | Our failure to maintain an Interest Coverage Ratio of less than 175%; |
| o | Our failure of the Company to maintain an Overcollateralization Ratio of less than 200%; |
| o | the filing of certain ERISA or tax liens on our assets or the Equityholder; |
| o | failure by Specified Holders to collectively, directly or indirectly, own and control at least 51% of the outstanding equity interests of Saratoga Investment Advisor, or (y) possess the right to elect (through contract, ownership of voting securities or otherwise) at all times a majority of the board of directors (or similar governing body) of Saratoga Investment Advisor and to direct the management policies and decisions of Saratoga Investment Advisor, or (ii) the dissolution, termination or liquidation in whole or in part, transfer or other disposition, in each case, of all or substantially all of the assets of, Saratoga Investment Advisor; |
| o | indictment or conviction of Saratoga Investment Advisors or any “key person” for a felony offense, or any fraud, embezzlement or misappropriation of funds by Saratoga Investment Advisors or any “key person” and, in the case of “key persons,” without a reputable, experienced individual reasonably satisfactory to Encina Lender Finance appointed to replace such key person within 30 days; |
| o | resignation, termination, disability or death of a “key person” or failure of any “key person” to provide active participation in Saratoga Investment Advisors’ daily activities, all without a reputable, experienced individual reasonably satisfactory to Encina Lender Finance appointed within 30 days. |
Fees and Expenses . We paid certain fees and reimbursed Encina Lender Finance, LLC for the aggregate amount of all documented, out-of-pocket costs and expenses, including the reasonable fees and expenses of lawyers, incurred by Encina Lender Finance, LLC in connection with the Encina Credit Facility and the carrying out of any and all acts contemplated thereunder up to and as of the date of closing. These amounts totaled $1.4 million.
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On January 27, 2023, we entered into the first amendment to the Credit Agreement to, among other things:
| ● | increase the borrowings available under the Encina Credit Facility from up to $50.0 million to up to $65.0 million; |
| ● | change the underlying benchmark used to compute interest under the Credit Agreement from LIBOR to Term SOFR for a one-month tenor plus a 0.10% credit spread adjustment; |
| ● | increase the applicable effective margin rate on borrowings from 4.00% to 4.25%; |
| ● | extend the revolving period from October 4, 2024 to January 27, 2026; |
| ● | extend the period during which the borrower may request one or more increases in the borrowings available under the Encina Credit Facility (each such increase, a “Facility Increase”) from October 4, 2023 to January 27, 2025, and increased the maximum borrowings available pursuant to such Facility Increase from $75.0 million to $150.0 million; |
| ● | revise the eligibility criteria for eligible collateral loans to exclude certain industries in which an obligor or related guarantor may be involved; and |
| ● | amend the provisions permitting the borrower to request an extension in the Commitment Termination Date (as defined in the Credit Agreement) to allow requests to extend any applicable Commitment Termination Date, rather than a one-time request to extend the original Commitment Termination Date, subject to a notice requirement. |
As of November 30, 2023, we had $35.0 million outstanding borrowings under the Credit Facility and $205.0 million of SBA-guaranteed debentures outstanding (which are discussed below).
SBA-guaranteed debentures
In addition, we, through three wholly owned subsidiaries, sought and obtained licenses from the SBA to operate an SBIC. In this regard, our wholly owned subsidiaries, SBIC LP, SBIC II LP, and SBIC III LP, received an SBIC license from the SBA on March 28, 2012, August 14, 2019, and September 29, 2022, respectively. With all its debentures repaid to the SBA, SBIC LP’s license was surrendered on January 3, 2023. SBICs are designated to stimulate the flow of private equity capital to eligible small businesses. Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the equity securities of small businesses.
The SBIC license allows our SBIC Subsidiaries to obtain leverage by issuing SBA-guaranteed debentures. SBA-guaranteed debentures are non-recourse, interest only debentures with interest payable semi-annually and have a ten-year maturity. The principal amount of SBA-guaranteed debentures is not required to be paid prior to maturity but may be prepaid at any time without penalty. The interest rate of SBA-guaranteed debentures is fixed on a semi-annual basis at a market-driven spread over U.S. Treasury Notes with 10-year maturities.
The SBIC Subsidiaries are regulated by the SBA. SBA regulations currently limit the amount that our SBIC Subsidiaries may borrow to a maximum of $175.0 million of SBA debentures when it has at least $87.5 million in regulatory capital, subject to the SBA’s approval. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million. Our wholly owned SBIC Subsidiaries are able to borrow funds from the SBA against regulatory capital (which generally approximates equity capital in the respective SBIC) and is subject to customary regulatory requirements, including, but not limited to, periodic examination by the SBA.
We received exemptive relief from the SEC to permit us to exclude the debt of our SBIC Subsidiaries guaranteed by the SBA from the definition of senior securities in the asset coverage test under the 1940 Act. This allows us increased flexibility under the asset coverage test by permitting us to borrow up to $350.0 million more than we would otherwise be able to absent the receipt of this exemptive relief. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, our board of directors, including a majority of our independent directors, approved of our becoming subject to a minimum asset coverage ratio of 150% from 200% under Sections 18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The 150% asset coverage ratio became effective on April 16, 2019.
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As of November 30, 2023 SBIC LP had $75.0 million in regulatory capital and $0.0 million in SBA-guaranteed debentures outstanding, SBIC II LP had $87.5 million in regulatory capital and $175.0 million in SBA-guaranteed debentures outstanding and SBIC III LP had $66.7 million in regulatory capital and $30.0 million in SBA-guaranteed debentures outstanding.
Unsecured notes
7.25% 2025 Notes
On June 24, 2020, we issued $37.5 million in aggregate principal amount of 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds were $5.4 million after deducting underwriting commissions of approximately $0.2 million. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and were amortized over the term of the 7.25% 2025 Notes.
On July 14, 2022, we redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes. The 7.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAK” and have been delisted following the full redemption on July 14, 2022.
7.75% 2025 Notes
On July 9, 2020, we issued $5.0 million in aggregate principal amount of our 7.75% fixed-rate notes due in 2025 (the “7.75% 2025 Notes”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year. The 7.75% 2025 Notes mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option, subject to a fee depending on the date of repayment. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% 2025 Notes have been capitalized and are being amortized over the term of the Notes. The 7.75% 2025 Notes are not listed and have a par value of $25.00 per note.
At November 30, 2023, the total 7.75% 2025 Notes outstanding was $5.0 million.
6.25% 2027 Notes
On December 29, 2020, we issued $5.0 million in aggregate principal amount of our 6.25% fixed-rate notes due in 2027 (the “6.25% 2027 Notes”). Offering costs incurred were approximately $0.1 million. Interest on the 6.25% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning February 28, 2021. The 6.25% 2027 Notes mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% 2027 Notes have been capitalized and are being amortized over the term of the Notes.
On January 28, 2021, we issued an additional $10.0 million in aggregate principal amount of the Second 6.25% 2027 Notes for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million (the “Additional 6.25% 2027 Notes”). The Additional 6.25% 2027 Notes are treated as a single series with the existing 6.25% 2027 Notes under the indenture and have the same terms as the existing 6.25% 2027 Notes. Offering costs incurred were approximately $0.1 million. Interest on the 6.25% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% 2027 Notes mature on January 28, 2027 and commencing January 28, 2023, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.4 million related to the 6.25% 2027 Notes have been capitalized and are being amortized over the term of the 6.25% 2027 Notes. The 6.25% 2027 Notes are not listed and have a par value of $25.00 per note.
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At November 30, 2023, the total 6.25% 2027 Notes outstanding was $15.0 million.
4.375% 2026 Notes
On March 10, 2021, we issued $50.0 million in aggregate principal amount of the 4.375% fixed-rate notes due in 2026 (the “4.375% 2026 Notes”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.3 million. Interest on the 4.375% 2026 Notes is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year. The 4.375% 2026 Notes mature on February 28, 2026 and may be redeemed in whole or in part at any time on or after November 28, 2025 at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% 2026 Notes have been capitalized and are being amortized over the term of the 4.375% 2026Notes.
On July 15, 2021, we issued an additional $125.0 million in aggregate principal amount of the 4.375% 2026 Notes (the “Additional 4.375% 2026 Notes”) for net proceeds for approximately $123.8 million, based on the public offering price of 101.00% of the aggregate principal amount of the Additional 4.375% 2026 Notes, after deducting the underwriting commissions of $2.5 million. Offering costs incurred were approximately $0.2 million. The net proceeds from the offering were used to redeem all of the outstanding 6.25% fixed rate notes due 2025, and for general corporate purposes in accordance with our investment objective and strategies. The Additional 4.375% 2026 Notes are treated as a single series with the existing 4.375% 2026 Notes under the indenture and have the same terms as the existing 4.375% 2026 Notes.
At November 30, 2023, the total 4.375% 2026 Notes outstanding was $175.0 million.
4.35% 2027 Notes
On January 19, 2022, we issued $75.0 million in aggregate principal amount of our 4.35% fixed-rate Notes due in 2027 (the “4.35% 2027 Notes”) for net proceeds of $73.0 million, based on the public offering price of 99.317% of the aggregate principal amount of the 4.35% 2027 Notes, after deducting the underwriting commissions of approximately $1.5 million. Offering costs incurred were approximately $0.3 million. Interest on the 4.35% 2027 Notes is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.35% per year, beginning August 28, 2022. The 4.35% 2027 Notes mature on February 28, 2027 and may be redeemed in whole or in part at our option at any time prior to November 28, 2026, at par plus a “make-whole” premium, and thereafter at par . The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.8 million related to the 4.35% 2027 Notes have been capitalized and are being amortized over the term of the 4.35% 2027 Notes.
At November 30, 2023 the total 4.35% 2027 Notes outstanding was $75.0 million.
6.00% 2027 Notes
On April 27, 2022, we issued $87.5 million in aggregate principal amount of 6.00% fixed-rate notes due 2027 (the “6.00% 2027 Notes”) for net proceeds of $84.8 million after deducting underwriting commissions of approximately $2.7 million. Offering costs incurred were approximately $0.1 million. On May 10, 2022, the underwriters partially exercised their option to purchase an additional $10.0 million in aggregate principal amount of the 6.00% 2027 Notes. Net proceeds were $9.7 million after deducting underwriting commissions of approximately $0.3 million. Interest on the 6.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.00% per year. The 6.00% 2027 Notes mature on April 30, 2027 and commencing April 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $3.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes. The 6.00% 2027 Notes are listed on the NYSE under the trading symbol “SAT” with a par value of $25.00 per note.
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On August 15, 2022, we issued an additional $8.0 million in aggregate principal amount of the 6.00% 2027 Notes (the “Additional 6.00% 2027 Notes”) for net proceeds of $7.8 million, based on the public offering price of 97.80% of the aggregate principal amount of the 6.00% 2027 Notes. Additional offering costs incurred were approximately $0.2 million. The Additional 6.00% 2027 Notes are treated as a single series with the existing 6.00% 2027 Notes under the indenture and have the same terms as the existing 6.00% 2027 Notes. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Additional financing costs of $0.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes.
At November 30, 2023 the total 6.00% 2027 Notes outstanding was $105.5 million.
7.00% 2025 Notes
On September 8, 2022, we issued $12.0 million in aggregate principal amount of 7.00% fixed-rate notes due 2025 (the “7.00% 2025 Notes”) for net proceeds of $11.6 million after deducting underwriting discounts of approximately $0.4 million. Additional offering costs incurred were approximately $0.05 million. Interest on the 7.00% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.00% per year. The 7.00% 2025 Notes mature on September 8, 2025 and commencing September 8, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.04 million related to the 7.00% 2025 Notes have been capitalized and are being amortized over the term of the 7.00% 2025 Notes.
At November 30, 2023 the total 7.00% 2025 Notes outstanding was $12.0 million.
8.00% 2027 Notes
On October 27, 2022, we issued $40.0 million in aggregate principal amount of our 8.00% fixed-rate notes due 2027 (the “8.00% 2027 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.1 million. On November 10, 2022, the underwriters partially exercised their option to purchase an additional $6.0 million in aggregate principal amount of the 8.00% 2027 Notes. Net proceeds were $5.8 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.00% per year. The 8.00% 2027 Notes mature on October 31, 2027 and commencing October 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.7 million related to the 8.00% 2027 Notes have been capitalized and are being amortized over the term of the 8.00% 2027 Notes. The 8.00% 2027 Notes are listed on the NYSE under the trading symbol “SAJ” with a par value of $25.00 per note.
At November 30, 2023 the total 8.00% 2027 Notes outstanding was $46.0 million.
8.125% 2027 Notes
On December 13, 2022, we issued $52.5 million in aggregate principal amount of 8.125% fixed-rate notes due 2027 (the “8.125% 2027 Notes”) for net proceeds of $50.8 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.1 million. On December 21, 2022, the underwriters fully exercised their option to purchase an additional $7.875 million in aggregate principal amount of the 8.125% 2027 Notes. Net proceeds were $7.6 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.125% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.125% per year, beginning February 28, 2023. The 8.125% 2027 Notes mature on December 31, 2027 and commencing December 13, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from this offering were used to make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $2.0 million related to the 8.125% 2027 Notes have been capitalized and are being amortized over the term of the 8.125% 2027 Notes. The 8.125% 2027 Notes are listed on the NYSE under the trading symbol “SAY” with a par value of $25.00 per note.
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At November 30, 2023, the total 8.125% 2027 Notes outstanding was $60.4 million.
8.75% 2024 Notes
On March 31, 2023, we issued $10.0 million in aggregate principal amount of 8.75% fixed-rate notes due 2024 (the “8.75% 2024 Notes”) for net proceeds of $9.7 million after deducting underwriting discounts of approximately $0.4 million. On May 1, 2023, we issued an additional $10.0 million in aggregate principal amount of the 8.75% 2024 Notes for net proceeds of $9.7 million after deducting underwriting discounts of approximately $0.4 million. Offering costs incurred were approximately $0.03 million. Interest on the 8.75% 2024 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.75% per year. The 8.75% 2024 Notes mature on March 31, 2024. Net proceeds from this offering were used to make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with our investment objective and strategies and general corporate purposes. Financing costs and discounts of $0.7 million related to the 8.75% 2024 Notes have been capitalized and are being amortized over the term of the 8.75% 2024 Notes.
At November 30, 2023, the total 8.75% 2024 Notes outstanding was $20.0 million.
8.50% 2028 Notes
On April 14, 2023, we issued $50.0 million in aggregate principal amount of 8.50% fixed-rate notes due 2028 (the “8.50% 2028 Notes”) for net proceeds of $48.4 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.03 million. On April 26, 2023, the underwriters fully exercised their option to purchase an additional $7.5 million in aggregate principal amount of the 8.50% 2028 Notes. Net proceeds were $7.3 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.50% 2028 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.50% per year. The 8.50% 2028 Notes mature on April 15, 2028, and commencing April 14, 2025, may be redeemed in whole or in part at any time or from time to time at our option. Net proceeds from this offering were used to repay a portion of the outstanding indebtedness under the Encina Credit Facility, make investments in middle-market companies (including investments made through our SBIC Subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $2.0 million related to the 8.50% 2028 Notes have been capitalized and are being amortized over the term of the 8.50% 2028 Notes. The 8.50% 2028 Notes are listed on the NYSE under the trading symbol “SAZ” with a par value of $25.00 per note.
At November 30, 2023, the total 8.50% 2028 Notes outstanding was $57.5 million.
At November 30, 2023 and February 28, 2023, the fair value of investments, cash and cash equivalents and cash and cash equivalents, reserve accounts were as follows:
|
November
30,
2023 |
February
28,
2023 |
|||||||||||||||
| Fair Value |
Percentage
of Total |
Fair Value |
Percentage
of Total |
|||||||||||||
| ($ in thousands) | ||||||||||||||||
| Cash and cash equivalents | $ | 21,387 | 1.9 | % | $ | 65,746 | 6.2 | % | ||||||||
| Cash and cash equivalents, reserve accounts | 25,640 | 2.2 | 30,330 | 2.8 | ||||||||||||
| First lien term loans | 959,892 | 82.7 | 798,534 | 74.7 | ||||||||||||
| Second lien term loans | 14,873 | 1.3 | 14,936 | 1.4 | ||||||||||||
| Unsecured term loans | 17,619 | 1.5 | 41,362 | 3.9 | ||||||||||||
| Structured finance securities | 29,387 | 2.5 | 20,661 | 1.9 | ||||||||||||
| Equity interests | 92,268 | 7.9 | 97,097 | 9.1 | ||||||||||||
| Total | $ | 1,161,066 | 100.0 | % | $ | 1,068,666 | 100.0 | % | ||||||||
Equity Capital Activities
Share Repurchases
On September 24, 2014, we announced the approval of the Share Repurchase Plan. Since September 24, 2014, the Share Repurchase Plan has been extended annually, and we have periodically increased the amount of shares of common stock that may be purchased under the Share Repurchase Plan. Most recently, on January 9, 2023, our board of directors extended the Share Repurchase Plan for another year to January 15, 2024, increasing the number of shares that may be repurchased under the Share Repurchase Plan to 1.7 million shares of common stock. As of November 30, 2023, we had purchased 1,035,203 shares of common stock, at the average price of $22.05 for approximately $22.8 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2023, we did not purchase any shares pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2023, we purchased 88,576 shares of common stock, at the average price $24.36 for approximately $2.2 million pursuant to the Share Repurchase Plan.
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Public Equity Offering
On July 13, 2018, we issued 1,150,000 shares of common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. We also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of common stock, which was not exercised.
Equity ATM Program
On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. Subsequent to this, we amended our equity distribution agreement to add BB&T Capital Markets and B. Riley FBR, Inc. as sales agents in our ATM offering. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. This agreement was terminated as of July 29, 2021, and as of that date, we had sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs).
On July 30, 2021, we entered into an equity distribution agreement (the “Equity Distribution Agreement”) with Ladenburg Thalmann & Co. Inc. and Compass Point Research and Trading, LLC, each as agents (the “Agents”), through which we may offer for sale, from time to time, up to $150.0 million of our common stock through the Agents, or to them, as principal for their account (the “ATM Program”).
On July 6, 2023, we amended the Equity Distribution Agreement to increase the maximum amount of shares of our common stock to be sold through the ATM Program to $300.0 million from $150.0 million, and on July 19, 2023, we amended the Equity Distribution Agreement to add an additional distribution agent, Raymond James & Associates. The sales price per share of our common stock offered under the ATM Program, less the Agents’ commission, will not be less than the NAV per share of our common stock at the time of such sale. Consistent with the terms of the ATM Program, the Manager may, from time to time and in its sole discretion, contribute proceeds necessary to ensure that no sales are made at a price below the then-current NAV per share.
As of November 30, 2023, we sold 6,042,773 shares for gross proceeds of $158.3 million at an average price of $26.20 for aggregate net proceeds of $156.8 million (net of transaction costs). During the three months ended November 30, 2023, we sold 350,000 shares for gross proceeds of $10.0 million at an average price of $28.48 for aggregate net proceeds of $10.0 million (net of transaction costs). During the nine months ended November 30, 2023, we sold 1,202,412 shares for gross proceeds of $34.3 million at an average price of $28.54 for aggregate net proceeds of $34.3 million (net of transaction costs). The Manager agreed to reimburse the Company to the extent the per share price of the shares to the public, less underwriting fees, was less than net asset value per share. For the three months ended November 30, 2023, the Manager reimbursed the Company $1.0 million. For the nine months ended November 30, 2023, the Manager reimbursed the Company $3.1 million.
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Dividend Distributions
We have distributed or intend to distribute sufficient dividends to eliminate taxable income for our completed tax years. If we fail to satisfy the 90% distribution requirement or otherwise fail to qualify as a RIC in any tax year, we would be subject to tax in that year on all of our taxable income, regardless of whether we made any distributions to our shareholders. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Our distributions from November 30, 2023 back to inception were as follows:
| Payment date |
Cash
Dividend |
|||
| Tax Year Ended February 28, 2024 | ||||
| November 15, 2023 | $ | 0.72 | (44) | |
| September 28, 2023 | 0.71 | (43) | ||
| June 29, 2023 | 0.70 | (42) | ||
| March 30, 2023 | 0.69 | (1) | ||
| $ | 2.92 | |||
| Tax Year Ended February 28, 2023 | ||||
| January 4, 2023 | $ | 0.68 | (2) | |
| September 29, 2022 | 0.54 | (3) | ||
| June 29, 2022 | 0.53 | (4) | ||
| March 28, 2022 | 0.53 | (5) | ||
| $ | 2.28 | |||
| Tax Year Ended February 28, 2022 | ||||
| January 19, 2022 | $ | 0.53 | (6) | |
| September 28, 2021 | 0.52 | (7) | ||
| June 29, 2021 | 0.44 | (8) | ||
| April 22, 2021 | 0.43 | (9) | ||
| $ | 1.92 | |||
| Tax Year Ended February 28, 2021 | ||||
| February 10, 2021 | $ | 0.42 | (10) | |
| November 10, 2020 | 0.41 | (11) | ||
| August 12, 2020 | 0.40 | (12) | ||
| $ | 1.03 | |||
| Tax Year Ended February 29, 2020 | ||||
| February 6, 2020 | $ | 0.56 | (13) | |
| September 26, 2019 | 0.56 | (14) | ||
| June 27, 2019 | 0.55 | (15) | ||
| March 28, 2019 | 0.54 | (16) | ||
| $ | 2.21 | |||
| Tax Year Ended February 28, 2019 | ||||
| January 2, 2019 | $ | 0.53 | (17) | |
| September 27, 2018 | 0.52 | (18) | ||
| June 27, 2018 | 0.51 | (19) | ||
| March 26, 2018 | 0.50 | (20) | ||
| $ | 2.06 | |||
| Tax Year Ended February 28, 2018 | ||||
| December 27, 2017 | $ | 0.49 | (21) | |
| September 26, 2017 | 0.48 | (22) | ||
| June 27, 2017 | 0.47 | (23) | ||
| March 28, 2017 | 0.46 | (24) | ||
| $ | 1.90 | |||
| Tax Year Ended February 28, 2017 | ||||
| February 9, 2017 | $ | 0.45 | (25) | |
| November 9, 2016 | 0.44 | (26) | ||
| September 5, 2016 | 0.20 | (27) | ||
| August 9, 2016 | 0.43 | (28) | ||
| April 27, 2016 | 0.41 | (29) | ||
| $ | 1.93 | |||
| Tax Year Ended February 29, 2016 | ||||
| February 29, 2016 | $ | 0.40 | (30) | |
| November 30, 2015 | 0.36 | (31) | ||
| August 31, 2015 | 0.33 | (32) | ||
| June 5, 2015 | 1.00 | (33) | ||
| May 29. 2015 | 0.27 | (34) | ||
| $ | 2.36 | |||
| Tax Year Ended February 28, 2015 | ||||
| February 27, 2015 | $ | 0.22 | (35) | |
| November 28, 2014 | 0.18 | (36) | ||
| $ | 0.40 | |||
142
| Payment date |
Cash
Dividend |
|||
| Tax Year Ended February 28. 2014 | ||||
| December 27, 2013 | $ | 2.65 | (37) | |
| $ | 2.65 | |||
| Tax Year Ended February 28, 2013 | ||||
| December 31, 2012 | $ | 4.25 | (38) | |
| $ | 4.25 | |||
| Tax Year Ended February 29, 2012 | ||||
| December 30, 2011 | $ | 3.00 | (39) | |
| $ | 3.00 | |||
| Tax Year Ended February 28, 2011 | ||||
| December 29, 2010 | $ | 4.40 | (40) | |
| $ | 4.40 | |||
| Tax Year Ended February 28, 2010 | ||||
| December 31, 2009 | $ | 18.25 | (41) | |
| $ | 18.25 | |||
| (1) | Based on shareholder elections, the dividend consisted of approximately $7.1 million in cash and 46,818 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.11 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 17, 20, 21, 22, 23, 24, 27, 28, 29, and 30, 2023. |
| (2) | Based on shareholder elections, the dividend consisted of approximately $6.8 million in cash and 53,615 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $24.26 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21, 22, 23, 27, 28, 29 and 30 2022 and January 3 and 4, 2023. |
| (3) | Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 52,313 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.00 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 16, 19, 20, 21, 22, 23, 26, 27, 28 and 29, 2022. |
| (4) | Based on shareholder elections, the dividend consisted of approximately $5.1 million in cash and 48,590 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.40 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 15, 16, 17, 21, 22, 23, 24, 27, 28 and 29, 2022. |
| (5) | Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 42,825 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.89 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 16, 17, 18, 21, 22, 23, 24, 25 and 28, 2022. |
143
| (6) | Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 41,520 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $26.85 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 5, 6, 7, 10, 11, 12, 13, 14, 18 and 19, 2022. |
| (7) | Based on shareholder elections, the dividend consisted of approximately $4.9 million in cash and 38,016 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $26.77 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2021. |
| (8) | Based on shareholder elections, the dividend consisted of approximately $4.1 million in cash and 33,100 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.03 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 16, 17, 18, 21, 22, 23, 24, 25, 28 and 29, 2021. |
| (9) | Based on shareholder elections, the dividend consisted of approximately $3.9 million in cash and 38,580 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.69 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on April 9,12, 13, 14, 15, 16, 19, 20, 21 and 22, 2021. |
| (10) | Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 41,388 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.75 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 28, 29 and February 1, 2, 3, 4, 5, 8, 9 and 10, 2021. |
| (11) | Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 45,706 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.63 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 28, 29, 30 and November 2, 3, 4, 5, 6, 9 and 10, 2020. |
| (12) | Based on shareholder elections, the dividend consisted of approximately $3.7 million in cash and 47,098 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.45 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on July 30, 31 and August 3, 4, 5, 6, 7, 10, 11 and 12, 2020. |
| (13) | Based on shareholder elections, the dividend consisted of approximately $5.4 million in cash and 35,682 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.44 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on January 24, 27, 28, 29, 30, 31 and February 3, 4, 5 and 6, 2020. |
| (14) | Based on shareholder elections, the dividend consisted of approximately $4.5 million in cash and 34,575 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.34 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 13, 16, 17, 18, 19, 20, 23, 24, 25 and 26, 2019. |
| (15) | Based on shareholder elections, the dividend consisted of approximately $3.6 million in cash and 31,545 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.65 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2019. |
144
| (16) | Based on shareholder elections, the dividend consisted of approximately $3.5 million in cash and 31,240 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.36 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on March 15, 18, 19, 20, 21, 22, 25, 26, 27 and 28, 2019. |
| (17) | Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 30,796 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $18.88 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on December 18, 19, 20, 21, 24, 26, 27, 28, 31, 2018 and January 2, 2019. |
| (18) | Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash and 25,862 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.35 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2018. |
| (19) | Based on shareholder elections, the dividend consisted of approximately $2.7 million in cash and 21,562 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.72 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2018. |
| (20) | Based on shareholder elections, the dividend consisted of approximately $2.6 million in cash and 25,354 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $19.91 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on March 13, 14, 15, 16, 19, 20, 21, 22, 23 and 26, 2018. |
| (21) | Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 25,435 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.14 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on December 13, 14, 15, 18, 19, 20, 21, 22, 26 and 27, 2017. |
| (22) | Based on shareholder elections, the dividend consisted of approximately $2.2 million in cash and 33,551 newly issued shares of common stock, or 0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.19 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 13, 14, 15, 18, 19, 20, 21, 22, 25 and 26, 2017. |
| (23) | Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash and 26,222 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.04 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 15, 16, 19, 20, 21, 22, 23, 26 and 27, 2017. |
| (24) | Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 29,096 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.38 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on March 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2017. |
| (25) | Based on shareholder elections, the dividend consisted of approximately $1.6 million in cash and 50,453 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.25 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on January 27, 30, 31 and February 1, 2, 3, 6, 7, 8 and 9, 2017. |
145
| (26) | Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,548 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.12 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on October 27, 28, 31 and November 1, 2, 3, 4, 7, 8 and 9, 2016. |
| (27) | Based on shareholder elections, the dividend consisted of approximately $0.7 million in cash and 24,786 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.06 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on August 22, 23, 24, 25, 26, 29, 30, 31 and September 1 and 2, 2016. |
| (28) | Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,167 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.32 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on July 27, 28, 29 and August 1, 2, 3, 4, 5, 8 and 9, 2016. |
| (29) | Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 56,728 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.43 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on April 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2016. |
| (30) | Based on shareholder elections, the dividend consisted of approximately $1.4 million in cash and 66,765 newly issued shares of common stock, or 1.2% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $13.11 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on February 16, 17, 18, 19, 22, 23, 24, 25, 26 and 29, 2016. |
| (31) | Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 61,029 newly issued shares of common stock, or 1.1% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.53 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on November 16, 17, 18, 19, 20, 23, 24, 25, 27 and 30, 2015. |
| (32) | Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.28 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on August 18, 19, 20, 21, 24, 25, 26, 27, 28 and 31, 2015. |
| (33) | Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 126,230 newly issued shares of common stock, or 2.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.47 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on May 22, 26, 27, 28, 29 and June 1, 2, 3, 4, and 5, 2015. |
| (34) | Based on shareholder elections, the dividend consisted of approximately $0.9 million in cash and 33,766 newly issued shares of common stock, or 0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.78 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on May 15, 18, 19, 20, 21, 22, 26, 27, 28 and 29, 2015. |
146
| (35) | Based on shareholder elections, the dividend consisted of approximately $0.8 million in cash and 26,858 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.97 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on February 13, 17, 18, 19, 20, 23, 24, 25, 26 and 27, 2015. |
| (36) | Based on shareholder elections, the dividend consisted of approximately $0.6 million in cash and 22,283 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.37 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on November 14, 17, 18, 19, 20, 21, 24, 25, 26 and 28, 2014. |
| (37) | Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock, or 13.7% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.439 per share, which equaled the volume weighted average trading price per share of the common stock on December 11, 13 and 16, 2013. |
| (38) | Based on shareholder elections, the dividend consisted of $3.3 million in cash and 853,455 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.444 per share, which equaled the volume weighted average trading price per share of the common stock on December 14, 17 and 19, 2012. |
| (39) | Based on shareholder elections, the dividend consisted of $2.0 million in cash and 599,584 shares of common stock, or 18.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $13.117067 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011. |
| (40) | Based on shareholder elections, the dividend consisted of $1.2 million in cash and 596,235 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 10.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.8049 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2010. |
| (41) | Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 shares of common stock, or 104.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 13.7% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $1.5099 per share, which equaled the volume weighted average trading price per share of the common stock on December 24 and 28, 2009. |
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| (42) | Based on shareholder elections, the dividend consisted of approximately $7.6 million in cash and 29,628 newly issued shares of common stock, or 0.2% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.29 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 15, 16, 20, 21, 22, 23, 26, 27, 28, and 29, 2023. |
| (43) | Based on shareholder elections, the dividend consisted of approximately $8.4 million in cash and 35,197 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $24.41 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 15, 18, 19, 20, 21, 22, 25, 26, 27, and 28, 2023. |
| (44) | Based on shareholder elections, the dividend consisted of approximately $8.9 million in cash and 37,395 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $24.47 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 14, 15, 18, 19, 20, 21, 22, 26, 27, and 28, 2023. |
We cannot provide any assurance that these measures will provide sufficient sources of liquidity to support our operations and growth.
Our asset coverage ratio, as defined in the 1940 Act, was 159.3% as of November 30, 2023 and 165.9% as of February 28, 2023.
Subsequent Events
The Company has evaluated subsequent events through the filing of this Form 10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s consolidated financial statements and disclosures in the consolidated financial statements as of and for the quarter ended November 30, 2023.
Contractual obligations
The following table shows our payment obligations for repayment of debt and other contractual obligations at November 30, 2023:
| Payment Due by Period | ||||||||||||||||||||
| Long-Term Debt Obligations | Total |
Less Than
1 Year |
1
- 3
Years |
3
- 5
Years |
More Than
5 Years |
|||||||||||||||
| ($ in thousands) | ||||||||||||||||||||
| Encina credit facility | $ | 35,000 | $ | - | $ | 35,000 | $ | - | $ | - | ||||||||||
| SBA debentures | 205,000 | - | - | - | 205,000 | |||||||||||||||
| 8.75% 2024 Notes | 20,000 | 20,000 | - | - | - | |||||||||||||||
| 7.00% 2025 Notes | 12,000 | - | 12,000 | - | - | |||||||||||||||
| 7.75% 2025 Notes | 5,000 | - | 5,000 | - | - | |||||||||||||||
| 4.375% 2026 Notes | 175,000 | - | 175,000 | - | - | |||||||||||||||
| 4.35% 2027 Notes | 75,000 | - | - | 75,000 | - | |||||||||||||||
| 6.00% 2027 Notes | 105,500 | - | - | 105,500 | - | |||||||||||||||
| 6.25% 2027 Notes | 15,000 | - | - | 15,000 | - | |||||||||||||||
| 8.00% 2027 Notes | 46,000 | - | - | 46,000 | - | |||||||||||||||
| 8.125% 2027 Notes | 60,375 | - | - | 60,375 | - | |||||||||||||||
| 8.50% 2028 Notes | 57,500 | - | - | 57,500 | - | |||||||||||||||
| Total Long-Term Debt Obligations | $ | 811,375 | $ | 20,000 | $ | 227,000 | $ | 359,375 | $ | 205,000 | ||||||||||
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Off-balance sheet arrangements
As of November 30, 2023 and February 28, 2023, our off-balance sheet arrangements consisted of $128.4 million and $108.8 million, respectively, of unfunded commitments outstanding to provide debt financing to its portfolio companies or to fund limited partnership interests. Such commitments are generally up to our discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in our consolidated statements of assets and liabilities and are not reflected in our consolidated statements of assets and liabilities.
A summary of the unfunded commitments outstanding as of November 30, 2023 and February 28, 2023 is shown in the table below (dollars in thousands):
|
November 30,
2023 |
February 28,
2023 |
|||||||
| At Company’s discretion | ||||||||
| ActiveProspect, Inc. | $ | 10,000 | $ | 10,000 | ||||
| Artemis Wax Corp. | 23,500 | - | ||||||
| Ascend Software, LLC | 5,000 | 5,000 | ||||||
| Granite Comfort, LP | 750 | 15,000 | ||||||
| JDXpert | 5,000 | 5,000 | ||||||
| LFR Chicken LLC | - | 4,000 | ||||||
| Pepper Palace, Inc. | 1,898 | 3,000 | ||||||
| Procurement Partners, LLC | 4,250 | 4,250 | ||||||
| Saratoga Senior Loan Fund I JV, LLC | 8,548 | 8,548 | ||||||
| Sceptre Hospitality Resources, LLC | 5,000 | 5,000 | ||||||
| Stretch Zone Franchising, LLC | 3,750 | - | ||||||
| VetnCare MSO, LLC | 10,000 | - | ||||||
| Total | $ | 77,696 | $ | 59,798 | ||||
| At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required | ||||||||
| Alpha Aesthetics Partners OpCo, LLC | $ | 3,720 | $ | - | ||||
| ARC Health OpCo LLC | 2,585 | 10,773 | ||||||
| Artemis Wax Corp. | - | 8,500 | ||||||
| Ascend Software, LLC | 1,500 | 3,200 | ||||||
| Axero Holdings, LLC - Revolver | 500 | 500 | ||||||
| Axiom Medical Consulting, LLC | 2,000 | - | ||||||
| BQE Software, Inc. | 3,250 | - | ||||||
| C2 Educational Systems | 3,000 | - | ||||||
| Davisware, LLC | 1,500 | - | ||||||
| Exigo, LLC | - | 4,167 | ||||||
| Exigo, LLC - Revolver | 1,042 | 833 | ||||||
| Gen4 Dental Partners Holdings, LLC | 244 | 11,000 | ||||||
| GoReact | 2,500 | 2,500 | ||||||
| JDXpert | - | 1,000 | ||||||
| Inspect Point Holding, LLC | 1,500 | - | ||||||
| Modis Dental Partners OpCo, LLC | 7,500 | - | ||||||
| Pepper Palace, Inc. - Delayed Draw Term Loan | - | 2,000 | ||||||
| Pepper Palace, Inc. - Revolver | 2,500 | 2,500 | ||||||
| Procurement Partners, LLC | - | 1,000 | ||||||
| Stretch Zone Franchising, LLC | 1,500 | - | ||||||
| VetnCare MSO, LLC | 15,319 | - | ||||||
| Zollege PBC | 575 | 1,000 | ||||||
| 50,735 | 48,973 | |||||||
| Total | $ | 128,431 | $ | 108,771 | ||||
We believe our assets will provide adequate coverage to satisfy these unfunded commitments. As of November 30, 2023, we had cash and cash equivalents and cash and cash equivalents, reserve accounts of $47.0 million and $30.0 million in available borrowings under the Encina Credit Facility.
149
ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Our business activities contain elements of market risk. We consider our principal market risk to be the fluctuation in interest rates. Managing this risk is essential to our business. Accordingly, we have systems and procedures designed to identify and analyze our risks, to establish appropriate policies and thresholds and to continually monitor this risk and thresholds by means of administrative and information technology systems and other policies and processes.
Interest rate risk is defined as the sensitivity of our current and future earnings to interest rate volatility, including relative changes in different interest rates, variability of spread relationships, the difference in re-pricing intervals between our assets and liabilities and the effect that interest rates may have on our cash flows. Changes in the general level of interest rates can affect our net interest income, which is the difference between the interest income earned on interest earning assets and our interest expense incurred in connection with our interest-bearing debt and liabilities. Changes in interest rates can also affect, among other things, our ability to acquire leveraged loans, high yield bonds and other debt investments and the value of our investment portfolio.
Our investment income is affected by fluctuations in various interest rates, including SOFR and the prime rate. Substantially all of our portfolio is, and we expect will continue to be, comprised of floating rate investments that utilize SOFR or an alternate rate. Since March 2022, the Federal Reserve has been rapidly raising interest rates and has indicated that it may consider an additional rate hike in response to ongoing inflation concerns. In a rising interest rate environment, our cost of funds would increase, which could reduce our net investment income if there is not a corresponding increase in interest income generated by our investment portfolio. It is possible that the Federal Reserve’s tightening cycle could result in a recession in the United States, which would likely decrease interest rates. A prolonged reduction in interest rates will reduce our gross investment income and could result in a decrease in our net investment income if such decreases in base rates, such as SOFR, are not offset by corresponding increases in the spread over such base rates that we earn on any portfolio investments, a decrease in our operating expenses, including with respect to our income incentive fee, or a decrease in the interest rate of our floating interest rate liabilities. Our interest expense is affected by fluctuations in SOFR on our Encina Credit Facility. In addition, all of our assets have been transitioned from LIBOR to an acceptable replacement rate, such as SOFR. At November 30, 2023, we had $760.4 million of borrowings outstanding. In addition, there were $35.0 million borrowings outstanding under the Encina Credit Facility as of November 30, 2023.
We have analyzed the potential impact of changes in interest rates on interest income from investments. Assuming that our investments as of November 30, 2023 were to remain constant for a full fiscal year and no actions were taken to alter the existing interest rate terms, a hypothetical change of a 1.0% increase in interest rates would cause a corresponding increase of approximately $10.0 million to our interest income. Conversely, a hypothetical change of a 1.0% decrease in interest rates would cause a corresponding decrease of approximately $10.0 million to our interest income.
Changes in interest rates would have no impact to our current interest and debt financing expense, as all our borrowings except for our credit facility are fixed rate, and our credit facility is currently undrawn.
Although management believes that this measure is indicative of our sensitivity to interest rate changes, it does not adjust for potential changes in credit quality, size and composition of the assets on the statements of assets and liabilities and other business developments that could magnify or diminish our sensitivity to interest rate changes, nor does it account for divergences in SOFR and the commercial paper rate, which have historically moved in tandem but, in times of unusual credit dislocations, could have periods of divergence. Accordingly, no assurances can be given that actual results would not materially differ from the potential outcome simulated by this estimate.
150
For further information, the following table shows the approximate annualized increase or decrease in the components of net investment income due to hypothetical base rate changes in interest rates, assuming no changes in our investments and borrowings as of November 30, 2023.
| Increase | (Increase) | Increase | Increase | Increase | ||||||||||||||||||
| Basis | (Decrease) | Decrease | (Decrease) in Net | (Decrease) in Net | (Decrease) in Net | |||||||||||||||||
| Point | in Interest | in Interest | Interest | Interest | Investment | |||||||||||||||||
| Change | Income | Expense | Income | Income* | Income per Share | |||||||||||||||||
| ($ in thousands) | ||||||||||||||||||||||
| -100 | $ | (10,134 | ) | $ | 350 | $ | (9,784 | ) | $ | (7,827 | ) | $ | (0.60 | ) | ||||||||
| -50 | (5,067 | ) | 175 | (4,892 | ) | (3,914 | ) | (0.30 | ) | |||||||||||||
| -25 | (2,534 | ) | 88 | (2,446 | ) | (1,957 | ) | (0.16 | ) | |||||||||||||
| 25 | 2,534 | (88 | ) | 2,446 | 1,957 | 0.16 | ||||||||||||||||
| 50 | 5,067 | (175 | ) | 4,892 | 3,914 | 0.30 | ||||||||||||||||
| 100 | 10,134 | (350 | ) | 9,784 | 7,827 | 0.60 | ||||||||||||||||
| 200 | 20,269 | (700 | ) | 19,569 | 15,655 | 1.19 | ||||||||||||||||
| 300 | 30,570 | (1,050 | ) | 29,520 | 23,616 | 1.80 | ||||||||||||||||
| 400 | 40,904 | (1,400 | ) | 39,504 | 31,603 | 2.41 | ||||||||||||||||
| * | Adjusts Net Interest Income for the impact of the first incentive fee on Net Investment Income |
ITEM 4. CONTROLS AND PROCEDURES
| (a) | As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our management, including our chief executive officer and our chief financial officer, of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934). Based on that evaluation, our chief executive officer and our chief financial officer have concluded that our current disclosure controls and procedures are effective in facilitating timely decisions regarding required disclosure of any material information relating to us that is required to be disclosed by us in the reports we file or submit under the Securities Exchange Act of 1934. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures. |
| (b) | There have been no changes in the Company’s internal control over financial reporting (as defined in Rule 13a-15(f) of Exchange Act) that occurred during the quarter ended November 30, 2023 that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting. |
151
PART II. OTHER INFORMATION
Item 1. Legal Proceedings
Neither we nor our wholly owned subsidiaries, Saratoga Investment Funding LLC, Saratoga Investment Funding II, LLC, Saratoga Investment Corp. SBIC LP, Saratoga Investment Corp. SBIC II LP, or Saratoga Investment Corp. SBIC III LP, are currently subject to any material legal proceedings.
Item 1A. Risk Factors
In addition to information set forth in this report, you should carefully consider the “Risk Factors” discussed in our most recent Annual Report on Form 10-K filed with the SEC, which could materially affect our business, financial condition and/or operating results. Except for the risk factor set forth below, there have been no material changes during the nine months ended November 30, 2023 to the risk factors discussed in “Item 1A. Risk Factors” of our Annual Report on Form 10-K for the fiscal year ended February 28, 2023. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial condition and/or operating results.
The alternative reference rates that have replaced LIBOR in our credit arrangements and other financial instruments may not yield the same or similar economic results as LIBOR over the life of such transactions.
LIBOR, the London Interbank Offered Rate, is an index rate that historically was widely used in lending transactions and was a common reference rate for setting the floating interest rate on private loans. Prior to June 30, 2023, LIBOR was typically the reference rate used in floating-rate loans identified by the Manager.
The ICE Benchmark Administration (“IBA”) (the entity that is responsible for calculating LIBOR) ceased providing overnight, one, three, six and twelve months USD LIBOR tenors on June 30, 2023. In addition, the United Kingdom’s Financial Conduct Authority (“FCA”), which oversees the IBA, now prohibits entities supervised by the FCA from using LIBORs, including USD LIBOR, except in very limited circumstances.
In the United States, the Secured Overnight Financing Rate (“SOFR”) is the preferred alternative rate for LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions. SOFR is published by the Federal Reserve Bank of New York each U.S. Government Securities Business Day, for transactions made on the immediately preceding US. Government Securities Business Day. Alternative reference rates that may replace LIBOR, including SOFR for USD transactions, may not yield the same or similar economic results as LIBOR over the lives of such transactions.
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Substantially all of our loans that referenced LIBOR have been amended to reference the forward-looking term rate published by CME Group Benchmark Administration Limited based on the secured overnight financing rate (“CME Term SOFR”). CME Term SOFR rates are forward-looking rates that are derived by compounding projected overnight SOFR rates over one, three, and six months taking into account the values of multiple consecutive, executed, one-month and three-month CME Group traded SOFR futures contracts and, in some cases, over-the-counter SOFR Overnight Indexed Swaps as an indicator of CME Term SOFR reference rate values. CME Term SOFR and the inputs on which it is based are derived from SOFR. Since CME Term SOFR is a relatively new market rate, there will likely be no established trading market for credit agreements or other financial instruments when they are issued, and an established market may never develop or may not be liquid. Market terms for instruments referencing CME Term SOFR rates may be lower than those of later-issued CME Term SOFR indexed instruments. Similarly, if CME Term SOFR does not prove to be widely used, the trading price of instruments referencing CME Term SOFR may be lower than those of instruments indexed to indices that are more widely used.
Item 2. Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities
Not applicable.
Item 3. Defaults Upon Senior Securities
Not applicable.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
| (a) | None. |
| (b) | None. |
| (c) | For the period covered by this Quarterly Report on Form 10-Q, no director or officer of the Company has entered into (i) any contract, instruction or written plan for the purchase or sale of securities of the Company intended to satisfy the affirmative defense conditions of Rule 10b5-1(c) under the Exchange Act or (ii) any non-Rule 10b5-1 trading arrangement. |
The Company has adopted insider trading policies and procedures governing the purchase, sale, and disposition of the Company’s securities by officers and directors of the Company that are reasonably designed to promote compliance with insider trading laws, rules and regulations.
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ITEM 6. EXHIBITS
The following exhibits are filed as part of this report or hereby incorporated by reference to exhibits previously filed with the SEC:
EXHIBIT INDEX
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155
156
157
| * | Filed herewith |
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SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| SARATOGA INVESTMENT CORP. | ||
| Date: January 9, 2024 | By: | /s/ CHRISTIAN L. OBERBECK |
| Christian L. Oberbeck | ||
| Chief Executive Officer | ||
| By: | /s/ HENRI J. STEENKAMP | |
| Henri J. Steenkamp | ||
|
Chief Financial
Officer and
Chief Compliance Officer |
||
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