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Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

For the Quarterly Period Ended May 31, 2015

 

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

Commission File Number: 001-33376

 

 

SARATOGA INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

 

 

 

Maryland   20-8700615
(State or other jurisdiction of
incorporation or organization)
  (I.R.S. Employer
Identification No.)

 

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

(212) 906-7800

(Registrant’s telephone number, including area code)

Not applicable

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

 

 

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

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

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

 

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

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

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of July 14, 2015 was 5,588,754.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

 

 

         Page  

PART I

  FINANCIAL INFORMATION      3   

Item 1.

  Financial Statements      3   
  Consolidated Statements of Assets and Liabilities as of May 31, 2015 (unaudited) and February 28, 2015      3   
  Consolidated Statements of Operations for the three months ended May 31, 2015 and May 31, 2014 (unaudited)      4   
  Consolidated Schedules of Investments as of May 31, 2015 (unaudited) and February 28, 2015      5   
  Consolidated Statements of Changes in Net Assets for the three months ended May 31, 2015 and May 31, 2014 (unaudited)      11   
  Consolidated Statements of Cash Flows for the three months ended May 31, 2015 and May 31, 2014 (unaudited)      12   
  Notes to Consolidated Financial Statements as of May 31, 2015 (unaudited)      13   

Item 2.

  Management’s Discussion and Analysis of Financial Condition and Results of Operations      35   

Item 3.

  Quantitative and Qualitative Disclosures About Market Risk      55   

Item 4.

  Controls and Procedures      55   

PART II

  OTHER INFORMATION      56   

Item 1.

  Legal Proceedings      56   

Item 1A.

  Risk Factors      56   

Item 2.

  Unregistered Sales of Equity Securities and Use of Proceeds      56   

Item 3.

  Defaults upon Senior Securities      56   

Item 4.

  Mine Safety Disclosures      56   

Item 5.

  Other Information      56   

Item 6.

  Exhibits      57   

Signatures

       58   

 

2


Table of Contents

PART I FINANCIAL INFORMATION

Item 1. Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

     As of  
     May 31, 2015     February 28, 2015  
     (unaudited)        

ASSETS

    

Investments at fair value

    

Non-control/non-affiliate investments (amortized cost of $239,950,830 and $222,505,383, respectively)

   $ 245,883,731      $ 223,506,589   

Control investments (cost of $15,172,837 and $15,953,001, respectively)

     16,860,256        17,031,146   
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $255,123,667 and $238,458,384, respectively)

     262,743,987        240,537,735   

Cash and cash equivalents

     699,127        1,888,158   

Cash and cash equivalents, reserve accounts

     5,863,893        18,175,214   

Interest receivable, (net of reserve of $354,144 and $309,498, respectively)

     2,793,526        2,469,398   

Management fee receivable

     174,527        171,913   

Other assets

     475,257        317,637   
  

 

 

   

 

 

 

Total assets

   $ 272,750,317      $ 263,560,055   
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facility

   $ 11,800,000      $ 9,600,000   

Deferred debt financing costs, revolving credit facility

     (575,002     (594,845

SBA debentures payable

     79,000,000        79,000,000   

Deferred debt financing costs, SBA debentures payable

     (2,231,653     (2,340,894

Notes payable

     48,300,000        48,300,000   

Deferred debt financing costs, notes payable

     (1,758,989     (1,847,564

Dividend payable

     5,995,489        402,200   

Base management and incentive fees payable

     6,765,317        5,835,941   

Accounts payable and accrued expenses

     675,383        835,189   

Interest and debt fees payable

     912,628        1,405,466   

Due to manager

     375,820        365,820   
  

 

 

   

 

 

 

Total liabilities

   $ 149,258,993      $ 140,961,313   
  

 

 

   

 

 

 

Commitments and contingencies (See Note 7)

    

NET ASSETS

    

Common stock, par value $.001, 100,000,000 common shares authorized, 5,428,758 and 5,401,899 common shares issued and outstanding, respectively

   $ 5,429      $ 5,402   

Capital in excess of par value

     185,279,853        184,877,680   

Distribution in excess of net investment income

     (29,029,436     (23,905,603

Accumulated net realized loss from investments and derivatives

     (40,384,842     (40,458,088

Accumulated net unrealized appreciation on investments and derivatives

     7,620,320        2,079,351   
  

 

 

   

 

 

 

Total net assets

     123,491,324        122,598,742   
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 272,750,317      $ 263,560,055   
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 22.75      $ 22.70   
  

 

 

   

 

 

 

See accompanying notes to consolidated financial statements.

 

3


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

     For the three months ended
May 31, 2015
    For the three months ended
May 31, 2014
 

INVESTMENT INCOME

    

Interest from investments

    

Non-control/Non-affiliate investments

   $ 5,648,979      $ 4,707,894   

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

     691,152        252,928   

Control investments

     590,990        641,338   
  

 

 

   

 

 

 

Total interest income

     6,931,121        5,602,160   

Interest from cash and cash equivalents

     736        594   

Management fee income

     378,746        392,034   

Other income

     250,564        149,335   
  

 

 

   

 

 

 

Total investment income

     7,561,167        6,144,123   
  

 

 

   

 

 

 

EXPENSES

    

Interest and debt financing expenses

     1,963,865        1,787,587   

Base management fees

     1,124,098        968,479   

Professional fees

     333,444        435,374   

Administrator expenses

     250,000        250,000   

Incentive management fees

     1,797,833        378,489   

Insurance

     87,317        84,487   

Directors fees and expenses

     51,000        53,175   

General & administrative

     182,920        123,626   
  

 

 

   

 

 

 

Total expenses

     5,790,477        4,081,217   
  

 

 

   

 

 

 

NET INVESTMENT INCOME

     1,770,690        2,062,906   
  

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

    

Net realized gain from investments

     73,246        81,680   

Net unrealized appreciation/(depreciation) on investments

     5,540,969        (384,697
  

 

 

   

 

 

 

Net gain/(loss) on investments

     5,614,215        (303,017
  

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 7,384,905      $ 1,759,889   
  

 

 

   

 

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

   $ 1.36      $ 0.33   

WEIGHTED AVERAGE COMMON STOCK OUTSTANDING - BASIC AND DILUTED

     5,422,491        5,379,616   

See accompanying notes to consolidated financial statements.

 

4


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

May 31, 2015

(unaudited)

 

Company

 

Industry

 

Investment Interest Rate /

Maturity

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

Non-control/Non-affiliated investments—199.1% (b)

       

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

  Automotive Aftermarket     Common Stock     1,116      $ 1,000,000      $ 1,430,192        1.2

National Truck Protection Co., Inc. (d)

  Automotive Aftermarket   First Lien Term Loan 15.50% Cash, 9/13/2018   $ 7,326,770        7,326,770        7,326,770        5.9

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

  Automotive Aftermarket   Common Stock     7,128        480,535        1,782,855        1.4
       

 

 

   

 

 

   

 

 

 
    Total Automotive Aftermarket       8,807,305        10,539,817        8.5
       

 

 

   

 

 

   

 

 

 

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting A-1     2,535        220,900        1,701,441        1.4

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting B-1     1,600        139,424        1,073,888        0.9

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

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

 

 

   

 

 

   

 

 

 
    Total Building Products       1,360,324        3,775,329        3.1
       

 

 

   

 

 

   

 

 

 

BMC Software, Inc. (d)

  Business Services   First Lien Term Loan 5.00% Cash, 9/10/2020   $ 5,716,667        5,673,479        5,610,337        4.5

Dispensing Dynamics International (d)

  Business Services   Senior Secured Note 12.50% Cash, 1/1/2018   $ 7,000,000        6,916,888        7,350,000        6.0

Easy Ice, LLC (d)

  Business Services   First Lien Term Loan 9.50% Cash, 1/15/2020   $ 12,000,000        11,876,875        12,000,000        9.6

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note 10.00% Cash, 1/23/2020   $ 8,400,000        8,271,383        8,400,000        6.8

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

  Business Services   Warrant Membership Interests     49,318        400,000        452,056        0.4

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

  Business Services   First Lien Term Loan 5.50% Cash, 6/28/2019   $ 1,950,101        1,937,220        1,940,351        1.6

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

  Business Services   Second Lien Term Loan 9.50% Cash, 6/28/2020   $ 2,000,000        1,976,757        1,965,000        1.6

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan 11.00% Cash, 11/29/2017   $ 5,259,171        5,209,053        5,259,171        4.3

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

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

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 9,482,677        9,366,186        9,482,677        7.7

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

  Business Services   Warrants to Purchase Limited Liability Company Interests     101        —          34,939        0.0
       

 

 

   

 

 

   

 

 

 
    Total Business Services       51,627,841        52,494,531        42.5
       

 

 

   

 

 

   

 

 

 

Targus Group International, Inc. (d)

  Consumer Products   First Lien Term Loan, 14.75% (13.75% Cash/1.00% PIK), 5/24/2016   $ 3,577,302        3,551,526        3,035,341        2.5

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

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

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

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

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

  Consumer Products   Unsecured Note 16.00% PIK, 10/26/2018   $ 429,797        425,459        —          0.0
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       6,597,908        3,035,341        2.5
       

 

 

   

 

 

   

 

 

 

Avionte Holdings, LLC (g)

  Consumer Services   Common Stock     100,000        100,000        164,000        0.1

Avionte Holdings, LLC

  Consumer Services   First Lien Term Loan 9.75% Cash, 1/8/2019   $ 2,406,342        2,370,166        2,406,342        1.9

Avionte Holdings, LLC (j), (l)

  Consumer Services   Delayed Draw Term Loan A 9.75% Cash, 1/8/2019   $ —          —          —          0.0

CFF Acquisition L.L.C. (d)

  Consumer Services   First Lien Term Loan 7.50% Cash, 7/31/2015   $ 582,304        581,685        582,304        0.5

Expedited Travel L.L.C. (g)

  Consumer Services   Common Stock     1,000,000        1,000,000        1,180,000        1.0

Expedited Travel L.L.C.

  Consumer Services   First Lien Term Loan 10.00% Cash, 10/10/2019   $ 13,018,475        12,898,361        13,018,475        10.6

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan 6.50% Cash, 7/1/2019   $ 1,629,032        1,617,017        1,625,448        1.3

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan 9.75% Cash, 7/1/2020   $ 10,000,000        9,958,335        10,000,000        8.1
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       28,525,564        28,976,569        23.5
       

 

 

   

 

 

   

 

 

 

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

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

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

  Education   First Lien Term Loan 1.00% Cash, 3/31/2016   $ 2,362,978        1,235,695        102,983        0.1
       

 

 

   

 

 

   

 

 

 
    Total Education       1,265,936        102,983        0.1
       

 

 

   

 

 

   

 

 

 

 

5


Table of Contents

Group Dekko, Inc. (d)

  Electronics   Second Lien Term Loan 11.00% (10.00% Cash/1.00% PIK), 5/1/2016   $ 6,880,696        6,880,696        6,575,881        5.3
       

 

 

   

 

 

   

 

 

 
    Total Electronics       6,880,696        6,575,881        5.3
       

 

 

   

 

 

   

 

 

 

TB Corp. (d)

  Food and Beverage   First Lien Term Loan 5.50% Cash, 6/19/2018   $ 4,992,403        4,981,077        4,973,931        4.0

TB Corp. (d)

  Food and Beverage   Unsecured Note 13.50% (12.00% Cash/1.50% PIK), 12/20/2018   $ 2,546,121        2,513,305        2,546,121        2.1

TM Restaurant Group L.L.C.

  Food and Beverage   First Lien Term Loan 9.75% Cash, 7/16/2017   $ 9,783,298        9,649,729        9,764,709        7.9
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       17,144,111        17,284,761        14.0
       

 

 

   

 

 

   

 

 

 

Bristol Hospice, LLC

  Healthcare Services   Senior Secured Note 11.00% (10.00% Cash/1.00% PIK), 11/29/2018   $ 5,445,486        5,365,513        5,445,486        4.5

Bristol Hospice, LLC (j), (l)

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

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

  Healthcare Services   Common Stock     5,000        500,000        328,400        0.3

Roscoe Medical, Inc.

  Healthcare Services   Second Lien Term Loan 11.25% Cash, 9/26/2019   $ 4,200,000        4,132,667        4,009,740        3.2

Smile Brands Group Inc. (d)

  Healthcare Services   First Lien Term Loan 7.50% Cash, 8/16/2019   $ 4,432,500        4,365,682        3,745,463        3.0

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

  Healthcare Services   First Lien Term Loan 7.25% Cash, 8/22/2018   $ 2,263,197        2,247,736        2,240,565        1.8

Zest Holdings, LLC (d)

  Healthcare Services   First Lien Term Loan 5.25% Cash, 8/16/2020   $ 4,241,318        4,166,205        4,257,435        3.4
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       20,777,803        20,027,089        16.2
       

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

  Media   First Lien Term Loan 12.00% Cash, 5/16/2019   $ 9,294,607        9,141,763        9,410,790        7.7

HMN Holdco, LLC (j), (k)

  Media   Deferred Draw Term Loan 12.00% Cash, 5/16/2020   $ 1,600,000        1,569,588        1,620,000        1.3

HMN Holdco, LLC (g)

  Media   Class A Series     4,264        61,647        247,525        0.2

HMN Holdco, LLC (g)

  Media   Class A Warrant     30,320        438,353        1,415,034        1.1

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests (Common)     57,872        —          2,404,582        1.9

HMN Holdco, LLC (g)

  Media   Warrants to Purchase Limited Liability Company Interests     8,139        —          395,637        0.3
       

 

 

   

 

 

   

 

 

 
    Total Media       11,211,351        15,493,568        12.5
       

 

 

   

 

 

   

 

 

 

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

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

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

  Metals   Revolver 9.50% Cash, 12/31/2020   $ 8,500,000        8,500,000        8,500,000        6.9
       

 

 

   

 

 

   

 

 

 
    Total Metals       17,717,563        15,262,000        12.4
       

 

 

   

 

 

   

 

 

 

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

  Publishing   Common Stock     380,572        —          3,206,314        2.6

Network Communications, Inc. (d)

  Publishing   Unsecured Notes 8.60% PIK, 1/14/2020   $ 3,214,368        2,867,573        3,214,368        2.6
       

 

 

   

 

 

   

 

 

 
    Total Publishing       2,867,573        6,420,682        5.2
       

 

 

   

 

 

   

 

 

 

Censis Technologies, Inc.

  Software as a Service   First Lien Term Loan B 11.00% Cash, 7/24/2019   $ 11,775,000        11,570,813        11,775,000        9.5

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

  Software as a Service   Limited Partner Interests     999        999,000        988,011        0.8

Community Investors, Inc. (g)

  Software as a Service   Common Stock     1,282        1,282        2,546        0.0

Community Investors, Inc.

  Software as a Service   First Lien, Last Out Term Loan 11.73% Cash, 9/30/2019   $ 12,000,000        12,000,000        12,000,000        9.7

Community Investors, Inc.

  Software as a Service   First Lien Term Loan B 12.20% Cash, 12/31/2020   $ 2,500,000        2,500,000        2,500,000        2.0

Community Investors, Inc. (g)

  Software as a Service   Preferred Stock     63,463        149,138        126,056        0.1

Community Investors, Inc. (g)

  Software as a Service   Preferred Stock - A Shares     135,584        135,584        269,309        0.2

Community Investors, Inc.

  Software as a Service   Unsecured Note 10.00% PIK, 3/20/2020   $ 100,853        100,853        100,853        0.1

Finalsite Holdings, Inc.

  Software as a Service   Second Lien Term Loan 10.25% Cash, 11/21/2019   $ 7,500,000        7,435,282        7,500,000        6.1

Identity Automation Systems (g)

  Software as a Service   Common Stock Class A Units     232,616        232,616        227,964        0.2

Identity Automation Systems

  Software as a Service   First Lien Term Loan 10.25% Cash, 8/25/2019   $ 4,450,000        4,410,898        4,450,000        3.6

Mercury Network, LLC

  Software as a Service   First Lien Term Loan        
    10.25% Cash, 4/20/2020   $ 9,086,957        8,998,663        9,086,957        7.4

Mercury Network, LLC (g)

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

Pen-Link, Ltd. (d)

  Software as a Service   Second Lien Term Loan 12.50% Cash, 5/26/2019   $ 10,500,000        10,334,109        10,500,000        8.5
       

 

 

   

 

 

   

 

 

 
    Total Software as a Service       59,281,281        59,939,739        48.5
       

 

 

   

 

 

   

 

 

 

 

6


Table of Contents

Advanced Air & Heat of Florida, LLC

  Utilities   First Lien Term Loan 10.00% Cash, 1/31/2019   $ 5,955,441        5,885,574        5,955,441        4.8
       

 

 

   

 

 

   

 

 

 
    Total Utilities       5,885,574        5,955,441        4.8
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      239,950,830        245,883,731        199.1
       

 

 

   

 

 

   

 

 

 

Control investments - 13.7% (b)

           

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

  Structured Finance Securities   Other/Structured Finance Securities 16.21%, 10/17/2023   $ 30,000,000        15,172,837        16,860,256        13.7
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          15,172,837        16,860,256        13.7
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 212.8% (b)

      $ 255,123,667      $ 262,743,987        212.8
       

 

 

   

 

 

   

 

 

 

 

(a) Represents a non-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 6.8% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.
(b) Percentages are based on net assets of $123,491,324 as of May 31, 2015.
(c) Because there is no readily available market value for these investments, the fair value of these investments is approved in good faith by our board of directors (see Note 3 to the consolidated financial statements).
(d) These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).
(e) This investment does not have a stated interest rate that is payable thereon. As a result, the 16.21% interest rate in the table above represents the interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f) As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the period in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

   Purchases      Redemptions      Sales
(cost)
     Interest
Income
     Management
fee income
     Net Realized
gains/(losses)
     Net Unrealized
gains
 

Saratoga Investment Corp. CLO
2013-1, Ltd.

   $ —         $ —         $ —         $ 590,990       $ 378,746       $ —         $ 1,687,419   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(g) Non-income producing at May 31, 2015.
(h) Includes securities issued by an affiliate of the company.
(i) Non-U.S. company. The principal place of business for Polar Holding Company, Ltd. is Canada.
(j) The investment has an unfunded commitment as of May 31, 2015 (See note 7).
(k) Includes an analysis of the fair value of any unfunded loan commitments.
(l) The entire commitment was unfunded at May 31, 2015. As such, no interest is being earned on this investment.
(m) The investment was on non-accrual status as of May 31, 2015.

 

7


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2015

 

Company

 

Industry

 

Investment Interest Rate /

Maturity

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

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

       

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

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

National Truck Protection Co., Inc. (d)

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

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

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

Legacy Cabinets Holdings (d), (g)

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

Legacy Cabinets Holdings (d), (g)

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

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

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

BMC Software, Inc. (d)

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

Dispensing Dynamics International (d)

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

Easy Ice, LLC (d)

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

Emily Street Enterprises, L.L.C.

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

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

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

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

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

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

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

Knowland Technology Holdings, L.L.C.

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

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

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

Vector Controls Holding Co., LLC (d)

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

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

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

Targus Group International, Inc. (d)

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

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

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

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

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

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

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

 

 

   

 

 

   

 

 

 
    Total Consumer Products       6,583,882        3,283,597        2.7
       

 

 

   

 

 

   

 

 

 

Avionte Holdings, LLC (g)

  Consumer Services   Common Stock     100,000        100,000        163,000        0.1

Avionte Holdings, LLC

  Consumer Services   First Lien Term Loan 9.75% Cash, 1/8/2019   $ 3,000,000        2,951,759        3,000,000        2.4

Avionte Holdings, LLC (j), (l)

  Consumer Services   Delayed Draw Term Loan A 9.75% Cash, 1/8/2019   $ —          —          —          0.0

CFF Acquisition L.L.C. (d)

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

Expedited Travel L.L.C. (g)

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

Expedited Travel L.L.C.

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

PrePaid Legal Services, Inc. (d)

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

PrePaid Legal Services, Inc. (d)

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

 

 

   

 

 

   

 

 

 
    Total Consumer Services       26,993,683        27,332,255        22.3
       

 

 

   

 

 

   

 

 

 

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

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

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

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

 

 

   

 

 

   

 

 

 
    Total Education       1,265,936        100,951        0.1
       

 

 

   

 

 

   

 

 

 

Group Dekko, Inc. (d)

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

 

8


Table of Contents

TB Corp. (d)

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

TB Corp. (d)

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

TM Restaurant Group L.L.C.

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

Bristol Hospice, LLC

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

Bristol Hospice, LLC (j), (l)

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

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

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

Roscoe Medical, Inc.

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

Smile Brands Group Inc. (d)

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

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

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

Zest Holdings, LLC (d)

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

HMN Holdco, LLC

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

HMN Holdco, LLC

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

HMN Holdco, LLC (j), (k)

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

HMN Holdco, LLC (g)

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

HMN Holdco, LLC (g)

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

HMN Holdco, LLC (g)

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

HMN Holdco, LLC (g)

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

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

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

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

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

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

  Publishing   Common Stock     380,572        —          300,652        0.2

Network Communications, Inc. (d)

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

 

 

   

 

 

   

 

 

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

 

 

   

 

 

   

 

 

 

Censis Technologies, Inc.

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

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

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

Community Investors, Inc. (g)

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

Community Investors, Inc.

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

Community Investors, Inc.

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

Community Investors, Inc. (g)

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

Community Investors, Inc.

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

Community Investors, Inc. (g)

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

Finalsite Holdings, Inc.

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

Identity Automation Systems (g)

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

Identity Automation Systems

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

Pen-Link, Ltd. (d)

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

 

 

   

 

 

   

 

 

 
    Total Software as a Service       49,942,990        50,362,044        41.1
       

 

 

   

 

 

   

 

 

 

Advanced Air & Heat of Florida, LLC

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

 

 

   

 

 

   

 

 

 
    Total Utilities       5,881,694        5,955,441        5.0
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      222,505,383        223,506,589        182.3
       

 

 

   

 

 

   

 

 

 

Control investments - 13.9% (b)

           

 

9


Table of Contents

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

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

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          15,953,001        17,031,146        13.9
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 196.2% (b)

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

 

 

   

 

 

   

 

 

 

 

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

 

Company

   Purchases      Redemptions      Sales
(cost)
     Interest
Income
     Management
fee income
     Net Realized
gains/(losses)
     Net Unrealized
gains
 

Saratoga Investment Corp. CLO 2013-1, Ltd.

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

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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

 

10


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

     For the three months ended
May 31, 2015
    For the three months ended
May 31, 2014
 

INCREASE FROM OPERATIONS:

    

Net investment income

   $ 1,770,690      $ 2,062,906   

Net realized gain from investments

     73,246        81,680   

Net unrealized appreciation (depreciation) on investments

     5,540,969        (384,697
  

 

 

   

 

 

 

Net increase in net assets from operations

  7,384,905      1,759,889   
  

 

 

   

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

Distributions declared

  (6,894,523   —     
  

 

 

   

 

 

 

Net decrease in net assets from shareholder distributions

  (6,894,523   —     
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

Stock dividend distribution

  402,200      —     
  

 

 

   

 

 

 

Net increase in net assets from capital share transactions

  402,200      —     
  

 

 

   

 

 

 

Total increase in net assets

  892,582      1,759,889   

Net assets at beginning of period

  122,598,742      113,427,929   
  

 

 

   

 

 

 

Net assets at end of period

$ 123,491,324    $ 115,187,818   
  

 

 

   

 

 

 

Net asset value per common share

$ 22.75    $ 21.41   

Common shares outstanding at end of period

  5,428,758      5,379,616   

Distribution in excess of net investment income

$ (29,029,436 $ (29,060,761

See accompanying notes to consolidated financial statements.

 

11


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

     For the three months ended
May 31, 2015
    For the three months ended
May 31, 2014
 

Operating activities

    

NET INCREASE IN NET ASSETS FROM OPERATIONS

   $ 7,384,905      $ 1,759,889   

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

    

Paid-in-kind interest income

     (597,336     (110,592

Net accretion of discount on investments

     (143,205     (177,191

Amortization of deferred debt financing costs

     217,658        252,299   

Net realized gain from investments

     (73,246     (81,680

Net unrealized (appreciation) depreciation on investments

     (5,540,969     384,697   

Proceeds from sale and redemption of investments

     7,323,338        8,689,899   

Purchase of investments

     (23,174,833     (21,574,435

(Increase) decrease in operating assets:

    

Cash and cash equivalents, reserve accounts

     12,311,321        (6,432,500

Interest receivable

     (324,128     (934,623

Management fee receivable

     (2,614     (16,770

Other assets

     (4,847     (6,875

Increase (decrease) in operating liabilities:

    

Management and incentive fees payable

     929,376        (209,637

Accounts payable and accrued expenses

     (159,806     71,538   

Interest and debt fees payable

     (492,838     (214,866

Due to manager

     10,000        (50,000
  

 

 

   

 

 

 

NET CASH USED BY OPERATING ACTIVITIES

     (2,337,224     (18,650,847
  

 

 

   

 

 

 

Financing activities

    

Borrowings on debt

     3,200,000        18,700,000   

Paydowns on debt

     (1,000,000     —     

Debt financing cost

     (152,773     (368,940

Payments of cash dividends

     (899,034     —     
  

 

 

   

 

 

 

NET CASH PROVIDED BY FINANCING ACTIVITIES

     1,148,193        18,331,060   
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS

     (1,189,031     (319,787

CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD

     1,888,158        3,293,898   
  

 

 

   

 

 

 

CASH AND CASH EQUIVALENTS, END OF PERIOD

   $ 699,127      $ 2,974,111   
  

 

 

   

 

 

 

Supplemental information:

    

Interest paid during the period

   $ 2,239,045      $ 1,750,155   

Supplemental non-cash information:

    

Paid-in-kind interest income

   $ 597,336      $ 110,592   

Net accretion of discount on investments

   $ 143,205      $ 177,191   

Amortization of deferred debt financing costs

   $ 217,658      $ 252,299   

Stock dividend distribution

   $ 402,200      $ —     

See accompanying notes to consolidated financial statements.

 

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SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

May 31, 2015

(unaudited)

Note 1. Organization

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-diversified closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (“BDC”) under the Investment Company Act of 1940 (the “1940 Act”). We commenced operations on March 23, 2007 as GSC Investment Corp. and completed our initial public offering (“IPO”) on March 28, 2007. We have elected to be treated as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code (the “Code”). We expect to continue to qualify and to elect to be treated for tax purposes as a RIC. Our investment objective is to generate current income and, to a lesser extent, capital appreciation from our investments.

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

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

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

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

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

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

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and include the accounts of the Company and its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC). All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiary, except as stated otherwise.

The Company and SBIC are both considered to be investment companies for financial reporting purposes and have applied the guidance in Topic 946, “Financial Services — Investment Companies”. There have been no changes to the Company or SBIC’s status as investment companies during the three months ended May 31, 2015.

Use of Estimates in the Preparation of Financial Statements

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

 

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Cash and Cash Equivalents

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

 

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

 

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

 

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

Cash and Cash Equivalents, Reserve Accounts

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

Investment Classification

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

Investment Valuation

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

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

 

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

 

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

 

    An independent valuation firm engaged by our board of directors reviews approximately one quarter of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least annually.

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

 

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

 

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

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

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

Derivative Financial Instruments

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

Investment Transactions and Income Recognition

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

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection.

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325-40, Investments-Other, Beneficial Interests in Securitized Financial Assets, (“ASC 325-40”), based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes

 

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

Other Income

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

Paid-in-Kind Interest

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

Deferred Debt Financing Costs

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

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

Contingencies

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

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

Income Taxes

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

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

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

 

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

ASC 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the consolidated statements of operations. During the fiscal year ended February 28, 2015, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2012, 2013 and 2014 federal tax years for the Company remain subject to examination by the IRS. As of May 31, 2015 and May 31, 2014, there were no uncertain tax positions.

Dividends

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

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

Capital Gains Incentive Fee

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

New Accounting Pronouncements

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

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

In May 2014, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition

 

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(Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. This guidance is effective for annual and interim reporting periods beginning after December 15, 2016, and early application is not permitted. The Company is currently evaluating the impact this ASU will have on its consolidated financial statements.

Risk Management

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

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

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

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

Note 3. Investments

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

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

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

 

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

 

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

 

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

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

 

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The following table presents fair value measurements of investments, by major class, as of May 31, 2015 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —        $ 17,794       $ 17,794   

First lien term loans

     —          —          157,072         157,072   

Second lien term loans

     —          —          40,551         40,551   

Unsecured notes

     —          —          5,861         5,861   

Structured finance securities

     —          —          16,860         16,860   

Equity interest

     —          —          24,606         24,606   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ —        $ 262,744       $ 262,744   
  

 

 

    

 

 

    

 

 

    

 

 

 

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

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

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

First lien term loans

     —          —          145,207         145,207   

Second lien term loans

     —          —          35,603         35,603   

Unsecured notes

     —          —          4,230         4,230   

Structured finance securities

     —          —          17,031         17,031   

Equity interest

     —          —          20,165         20,165   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

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

 

 

    

 

 

    

 

 

    

 

 

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2015 (dollars in thousands):

 

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

Balance as of February 28, 2015

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

Net unrealized gains (losses)

     (240     29        (22     1,036         609        4,129        5,541   

Purchases and other adjustments to cost

     11        17,941        5,056        494         —         413        23,915   

Sales and redemptions

     (283     (6,174     (86     —          (780     —          (7,323

Net realized gain from investments

     4        69        —          —          —         —          73   

Transfers in/out

     —         —          —         101        —         (101     —    
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Balance as of May 31, 2015

   $ 17,794      $ 157,072      $ 40,551      $ 5,861       $ 16,860      $ 24,606      $ 262,744   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

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

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

The net change in unrealized gain/(loss) for the three months ended May 31, 2015 on investments held as of May 31, 2015 is $5,493,439 and is included in net unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

 

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The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2014 (dollars in thousands):

 

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

Balance as of February 28, 2014

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

Net unrealized gains (losses)

     (181     (342     (210     8         549         (209     (385

Purchases and other adjustments to cost

     16        9,605        11,134        76         —          1,031        21,862   

Sales and redemptions

     (106     (2,584     (6,000     —          —           —          (8,690

Net realized gain (loss) from investments

     1        35        46        —          —          —         82   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

 

Balance as of May 31, 2014

   $ 32,120      $ 116,992      $ 32,774      $ 5,555       $ 20,119       $ 11,154      $ 218,714   
  

 

 

   

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

 

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

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

The net change in unrealized gain/(loss) for the three months ended May 31, 2014 on investments held as of May 31, 2014 is ($319,092) and is included in net unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of May 31, 2015 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input   Range

Syndicated loans

     17,794       Market Comparables    Third-Party Bid   84.5% -100.4%

First lien term loans

     157,072       Market Comparables    Market Yield (%)   6.2% – 15.5%
         EBITDA Multiples (x)   0.1x – 3.0x
         Third-Party Bid   81.5% - 105.0%

Second lien term loans

     40,551       Market Comparables    Market Yield (%)   8.5% - 16.9%
         Third-Party Bid   99.5% - 100.0%

Unsecured notes

     5,861       Market Comparables    Market Yield (%)   8.6% - 13.2%

Structured finance securities

     16,860       Discounted Cash Flow    Discount Rate (%)   11.0%

Equity interests

     24,606       Market Comparables    EBITDA Multiples (x)   5.0x – 11.0x

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

 

     Fair Value      Valuation Technique    Unobservable Input   Range

Syndicated loans

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

First lien term loans

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

Second lien term loans

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

Unsecured notes

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

Structured finance securities

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

Equity interests

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

 

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

The composition of our investments as of May 31, 2015, at amortized cost and fair value were as follows (dollars in thousands):

 

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

Syndicated loans

   $ 18,390         7.2   $ 17,794         6.8

First lien term loans

     156,795         61.4        157,072         59.8   

Second lien term loans

     40,718         16.0        40,551         15.4   

Unsecured notes

     7,962         3.1        5,861         2.2   

Structured finance securities

     15,173         6.0        16,860         6.4   

Equity interest

     16,086         6.3        24,606         9.4   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 255,124         100.0   $ 262,744         100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

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

 

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

Syndicated loans

   $ 18,658         7.8   $ 18,302         7.6

First lien term loans

     144,959         60.8        145,207         60.3   

Second lien term loans

     35,748         15.0        35,603         14.8   

Unsecured notes

     7,366         3.1        4,230         1.8   

Structured finance securities

     15,953         6.7        17,031         7.1   

Equity interest

     15,774         6.6        20,165         8.4   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 238,458         100.0   $ 240,538         100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

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

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

 

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Our investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. For the quarter ended November 30, 2013, in connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at May 31, 2015. The significant inputs for the valuation model include:

 

    Default rates: 2.0%

 

    Recovery rates: 35-75%

 

    Prepayment rate: 25.0%

 

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

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

On January 22, 2008, we invested $30 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by us that invests primarily in senior secured loans. Additionally, we entered into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was refinanced in October 2013 and its reinvestment period ends in October 2016. The Saratoga CLO remains 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.25% and a subordinated management fee of 0.25% of the Fee Basis Amount at the beginning of the Collection Period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of the remaining interest proceeds and principal proceeds, if any, after the subordinated notes have realized the incentive management fee target return of 12.0%, in accordance with the Priority of Payments after making the prior distributions on the relevant payment date. For the three months ended May 31, 2015 and May 31, 2014, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.6 million and $0.6 million in interest income, respectively, from Saratoga CLO. We did not accrue any amounts related to the incentive management fee as the 12.0% hurdle rate has not yet been achieved.

At May 31, 2015, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $16.9 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. At May 31, 2015, Saratoga CLO had investments with a principal balance of $306.6 million and a weighted average spread over LIBOR of 4.2%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 1.8%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At May 31, 2015, the total “spread”, or projected future cash flows of the subordinated notes, over the life of Saratoga CLO was $17.1 million, which had a present value of approximately $16.9 million, using an 11.0% discount rate.

Below is certain financial information from the separate unaudited financial statements of Saratoga CLO as of May 31, 2015 and February 28, 2015 and for the three months ended May 31, 2015 and May 31, 2014.

 

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Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

     As of  
     May 31, 2015     February 28, 2015  
     (unaudited)        

ASSETS

    

Investments

    

Fair Value Loans (amortized cost of $304,723,108, and $295,193,588, respectively)

   $ 304,192,066      $ 294,621,817   

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

     490,890        617,451   
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $307,289,860 and $297,760,340, respectively)

  304,682,956      295,239,268   

Cash and cash equivalents

  2,565,671      5,831,797   

Receivable from open trades

  745,005      2,119,687   

Interest receivable

  1,361,040      1,290,637   
  

 

 

   

 

 

 

Total assets

$ 309,354,672    $ 304,481,389   
  

 

 

   

 

 

 

LIABILITIES

Interest payable

$ 644,098    $ 631,886   

Payable from open trades

  9,759,881      5,214,331   

Accrued base management fee

  87,263      85,957   

Accrued subordinated management fee

  87,263      85,957   

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

  170,000,000      170,000,000   

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

  (1,451,425   (1,495,802

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

  20,000,000      20,000,000   

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

  (150,450   (155,050

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

  44,800,000      44,800,000   

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

  (977,323   (1,007,205

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

  16,000,000      16,000,000   

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

  (608,487   (627,091

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

  14,000,000      14,000,000   

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

  (789,863   (814,013

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

  13,100,000      13,100,000   

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

  (1,489,121   (1,534,650

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

  4,500,000      4,500,000   

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

  (541,620   (558,180

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

  (1,885,333   (1,941,595

Subordinated Notes

  30,000,000      30,000,000   
  

 

 

   

 

 

 

Total liabilities

$ 315,084,883    $ 310,284,545   
  

 

 

   

 

 

 

Commitments and contingencies

NET ASSETS

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

$ 250    $ 250   

Accumulated loss

  (5,803,406   (3,343,488

Net gain/(loss)

  72,945      (2,459,918
  

 

 

   

 

 

 

Total net assets

  (5,730,211   (5,803,156
  

 

 

   

 

 

 

Total liabilities and net assets

$ 309,354,672    $ 304,481,389   
  

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

     For the three months ended
May 31, 2015
    For the three months ended
May 31, 2014
 

INVESTMENT INCOME

    

Interest from investments

   $ 3,512,587      $ 3,157,518   

Interest from cash and cash equivalents

     290        276   

Other income

     164,115        98,923   
  

 

 

   

 

 

 

Total investment income

  3,676,992      3,256,717   
  

 

 

   

 

 

 

EXPENSES

Interest expense

  2,846,636      2,126,984   

Professional fees

  59,222      70,218   

Miscellaneous fee expense

  4,925      23,133   

Base management fee

  189,373      196,017   

Subordinated management fee

  189,373      196,017   

Trustee expenses

  31,284      26,615   

Amortization expense

  239,963      239,963   
  

 

 

   

 

 

 

Total expenses

  3,560,776      2,878,947   
  

 

 

   

 

 

 

NET INVESTMENT INCOME

  116,216      377,770   
  

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

Net realized gain on investments

  42,561      380,619   

Net unrealized depreciation on investments

  (85,832   (1,453,349
  

 

 

   

 

 

 

Net loss on investments

  (43,271   (1,072,730
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$ 72,945    $ (694,960
  

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

May 31, 2015

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

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

Education Management II LLC

  Leisure Goods/Activities/Movies   A-1 Preferred Shares   Equity     0.00       6,692      $ 669,214      $ 301,140   

Education Management II LLC

  Leisure Goods/Activities/Movies   A-2 Preferred Shares   Equity     0.00       18,975        1,897,538        189,750   

24 Hour Holdings III LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.75     5/28/2021      $ 496,250        491,913        476,400   

Acosta Holdco Inc.

  Media   Term Loan B1   Loan     4.25     9/27/2021      $ 1,990,000        1,975,220        1,992,806   

Aderant North America, Inc.

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

Aspen Dental Management, Inc.

  Healthcare & Pharmaceuticals   Term Loan Initial   Loan     5.50     4/27/2022      $ 500,000        497,525        504,375   

Advantage Sales & Marketing Inc.

  Services: Business   Delayed Draw Term Loan   Loan     4.25     7/25/2021      $ 2,490,000        2,486,539        2,485,344   

AECOM Technology Corporation

  Services: Business   Term Loan B   Loan     3.75     10/15/2021      $ 319,103        317,635        320,900   

Aegis Toxicology Science Corporation

  Healthcare & Pharmaceuticals   Term B Loan   Loan     5.50     2/24/2021      $ 992,500        992,500        967,687   

Akorn, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.50     4/16/2021      $ 497,500        495,530        498,276   

Albertson’s LLC

  Retailers (Except Food and Drugs)   Term Loan B-4   Loan     5.50     8/25/2021      $ 3,410,000        3,390,923        3,427,971   

Alere Inc. (fka IM US Holdings, LLC)

  Healthcare & Pharmaceuticals   Incremental B-1 Term Loan   Loan     4.25     6/30/2017      $ 1,524,604        1,524,604        1,526,830   

Alvogen Pharma US, Inc

  Healthcare & Pharmaceuticals   Term Loan   Loan     5.00     4/2/2022      $ 500,000        497,572        502,915   

American Tire Distributors Inc

  Automotive   Term Loan B   Loan     4.25     9/1/2021      $ 496,487        495,668        501,040   

Aramark Corporation

  Food Products   LC-2 Facility   Loan     3.74     7/26/2016      $ 79,187        79,177        78,593   

Aramark Corporation

  Food Products   LC-3 Facility   Loan     3.74     7/26/2016      $ 43,961        43,961        43,631   

Aramark Corporation

  Food Products   U.S. Term F Loan   Loan     3.25     2/24/2021      $ 3,174,472        3,174,472        3,170,504   

ARG IH Corp

  Food Services   Term Loan   Loan     4.75     11/15/2020      $ 483,163        482,308        484,975   

American Beacon Advisors, Inc.

  Financial Intermediaries   Term Loan (First Lien)   Loan     5.50     4/30/2022      $ 250,000        248,759        252,812   

Asurion, LLC (fka Asurion Corporation)

  Insurance   Incremental Tranche B-1 Term Loan   Loan     5.00     5/24/2019      $ 5,397,939        5,358,755        5,414,834   

Avantor Performance Materials Holdings, Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     6/24/2017      $ 3,913,710        3,905,683        3,913,710   

Avast Software

  Electronics/Electric   Term Loan   Loan     4.75     3/20/2020      $ 1,900,000        1,898,425        1,911,077   

AZ Chem US Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     6/12/2021      $ 460,274        458,212        460,274   

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   New Term Loan   Loan     3.75     11/20/2019      $ 492,348        491,947        492,348   

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   Term Loan   Loan     3.75     11/20/2019      $ 1,007,652        1,005,133        1,007,652   

Bayonne Energy Center

  Oil & Gas   Term Loan B   Loan     5.00     8/19/2021      $ 533,481        531,096        536,148   

Belmond Interfin Ltd.

  Lodging & Casinos   Term Loan   Loan     4.00     3/19/2021      $ 495,000        492,889        494,381   

Berry Plastics Corporation

  Chemicals/Plastics   Term E Loan   Loan     3.75     1/6/2021      $ 1,814,499        1,802,988        1,814,499   

Biomet, Inc.

  Healthcare & Pharmaceuticals   Dollar Term B-2 Loan   Loan     3.65     7/25/2017      $ 1,840,718        1,840,718        1,838,325   

BJ’s Wholesale Club, Inc.

  Food/Drug Retailers   New 2013 (November) Replacement Loan (First Lien)   Loan     4.50     9/26/2019      $ 1,486,212        1,485,225        1,489,304   

Blue Coat Systems

  Technology   Term Loan B   Loan     4.50     5/19/2022      $ 1,000,000        997,500        1,001,250   

BMC Software

  Technology   Term Loan   Loan     5.00     9/10/2020      $ 1,994,950        1,933,227        1,948,407   

Bombardier Recreational Products Inc.

  Leisure Goods/Activities/Movies   Term B Loan   Loan     4.00     1/30/2019      $ 754,286        750,526        753,516   

Brickman Group Holdings, Inc.

  Brokers/Dealers/Investment Houses   Initial Term Loan (First Lien)   Loan     4.00     12/18/2020      $ 1,487,481        1,475,540        1,484,699   

Brock Holdings III, Inc.

  Industrial Equipment   Term Loan (First Lien)   Loan     6.00     3/16/2017      $ 1,933,169        1,945,346        1,921,087   

Burlington Coat Factory Warehouse Corporation

  Retailers (Except Food and Drugs)   Term B-2 Loan   Loan     4.25     8/13/2021      $ 1,861,667        1,853,261        1,865,800   

BWAY Holding Company

  Leisure Goods/Activities/Movies   Term Loan B   Loan     5.50     8/14/2020      $ 992,500        983,770        995,805   

Caesars Entertainment Corp.

  Lodging & Casinos   Term B-7 Loan   Loan     9.75     1/28/2018      $ 995,000        989,683        900,167   

Camp International Holding Company

  Aerospace and Defense   2013 Replacement Term Loan (First Lien)   Loan     4.75     5/31/2019      $ 1,955,057        1,960,381        1,958,107   

Capital Automotive L.P.

  Conglomerate   Tranche B-1 Term Loan Facility   Loan     4.00     4/10/2019      $ 2,073,747        2,077,935        2,081,523   

Catalent Pharma Solutions, Inc

  Drugs   Initial Term B Loan   Loan     4.25     5/20/2021      $ 496,250        494,094        497,804   

Celanese US Holdings LLC

  Chemicals/Plastics   Dollar Term C-2 Commitment   Loan     2.49     10/31/2018      $ 2,149,147        2,173,337        2,156,905   

Cengage Learning Acquisitions, Inc.

  Publishing   Term Loan   Loan     7.00     3/31/2020      $ 2,724,987        2,753,442        2,730,328   

Charter Communications Operating, LLC

  Cable and Satellite Television   Term F Loan   Loan     3.00     12/31/2020      $ 2,649,005        2,640,702        2,632,078   

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term F Loan   Loan     3.25     12/31/2018      $ 1,097,819        1,077,865        1,099,653   

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term G Loan   Loan     3.75     12/31/2019      $ 1,027,707        1,000,275        1,029,568   

CHS/Community Health Systems, Inc.

  Healthcare & Pharmaceuticals   Term H Loan   Loan     4.00     1/27/2021      $ 1,890,955        1,840,450        1,894,377   

Cinedigm Digital Funding I, LLC

  Services: Business   Term Loan   Loan     3.75     2/28/2018      $ 490,397        487,081        490,397   

CITGO Petroleum Corporation

  Oil & Gas   Term Loan B   Loan     4.50     7/29/2021      $ 995,000        991,770        997,070   

ClubCorp Club Operations, Inc.

  Lodging & Casinos   Term Loan B   Loan     4.50     7/24/2020      $ 500,000        496,250        501,125   

Communications Sales & Leasing, Inc.

  Telecommunications   Term Loan B (First Lien)   Loan     5.00     10/24/2022      $ 2,000,000        1,987,560        1,990,500   

CommScope, Inc.

  Telecommunications   Term Loan B   Loan     4.00     5/27/2022      $ 500,000        498,750        500,625   

Concordia Healthcare Corp

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     4/21/2022      $ 250,000        248,764        251,875   

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

  Electronics/Electric   Term B Loan   Loan     4.25     11/17/2017      $ 3,586,275        3,586,275        3,568,344   

Crosby US Acquisition Corp.

  Industrial Equipment   Initial Term Loan (First Lien)   Loan     3.75     11/23/2020      $ 740,625        739,888        700,816   

Crown Castle Operating Company

  Telecommunications/Cellular   Extended Incremental Tranche B-2 Term Loan   Loan     3.00     1/31/2021      $ 2,429,443        2,427,500        2,424,536   

CT Technologies Intermediate Hldgs, Inc

  Healthcare & Pharmaceuticals   Term Loan (First Lien)   Loan     6.00     12/1/2021      $ 1,496,250        1,482,153        1,499,362   

Culligan International Company

  Conglomerate   Dollar Loan (First Lien)   Loan     6.25     12/19/2017      $ 777,637        738,020        764,029   

Culligan International Company

  Conglomerate   Dollar Loan (Second Lien)   Loan     9.50     6/19/2018      $ 783,162        742,154        744,333   

Cumulus Media Holdings Inc.

  Broadcast Radio and Television   Term Loan   Loan     4.25     12/23/2020      $ 470,093        466,256        445,413   

Custom Sensors & Technologies, Inc.

  Industrial Equipment   Term Loan   Loan     4.50     9/30/2021      $ 497,500        496,476        497,500   

DaVita HealthCare Partners Inc. (fka DaVita Inc.)

  Healthcare & Pharmaceuticals   Tranche B Term Loan   Loan     3.50     6/24/2021      $ 496,250        494,065        496,994   

DCS Business Services, Inc.

  Financial Intermediaries   Term B Loan   Loan     7.25     3/19/2018      $ 3,231,044        3,210,653        3,191,432   

Dealertrack Technologies, Inc.

  Leisure Goods/Activities/Movies   Term B Loan   Loan     3.25     2/26/2021      $ 477,011        476,070        476,214   

Dell International LLC

  Retailers (Except Food and Drugs)   Term B Loan   Loan     4.50     4/29/2020      $ 2,926,941        2,915,287        2,928,170   

Delos Finance SARL

  Financial Intermediaries   Term Loan   Loan     3.50     3/6/2021      $ 500,000        497,909        500,000   

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

  Lodging & Casinos   Term Loan B-3   Loan     4.75     7/30/2021      $ 1,000,000        995,563        999,310   

Deluxe Entertainment Service Group, Inc.

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     6.50     2/28/2020      $ 1,882,982        1,884,624        1,835,908   

Devix US, Inc.

  Chemicals/Plastics   Term Loan   Loan     4.25     5/2/2021      $ 250,000        247,779        249,688   

Devix US, Inc.

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     8.00     5/2/2022      $ 496,250        494,151        497,024   

Diamond Resorts International

  Lodging & Casinos   Term Loan   Loan     5.50     5/9/2021      $ 926,971        922,892        926,971   

DJO Finance LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.25     6/8/2020      $ 500,000        497,921        500,750   

Dollar Tree Stores Inc.

  Retail   Term Loan B (3950MM)   Loan     4.25     3/9/2022      $ 1,000,000        995,086        1,009,030   

DPX Holdings B.V.

  Healthcare & Pharmaceuticals   Term Loan 2015 Incr Dollar   Loan     4.25     3/11/2021      $ 2,977,500        2,971,293        2,959,814   

Drew Marine Group Inc.

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     11/19/2020      $ 1,472,161        1,477,822        1,469,408   

Education Management LLC

  Leisure Goods/Activities/Movies   Term Loan A   Loan     5.50     7/2/2020      $ 501,970        482,966        422,910   

Education Management LLC

  Leisure Goods/Activities/Movies   Term Loan B   Loan    

 
 
 
 

8.50

(2.00%
Cash/
6.50%
PIK)


  
 
  
  

    7/2/2020      $ 850,514        820,457        634,696   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     8/1/2021      $ 497,500        495,276        498,122   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     7.75     8/1/2022      $ 500,000        497,728        498,440   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan B1A   Loan     4.50     7/30/2021      $ 1,000,000        990,354        988,330   

EnergySolutions, LLC

  Oil & Gas   Term Loan B   Loan     6.75     5/29/2020      $ 937,857        921,782        941,374   

Evergreen Acqco 1 LP

  Retailers (Except Food and Drugs)   New Term Loan   Loan     5.00     7/9/2019      $ 972,562        970,551        948,248   

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

  Industrial Equipment   Term Loan (First Lien)   Loan     4.75     1/15/2021      $ 1,982,462        1,977,634        1,979,984   

Federal-Mogul Corporation

  Automotive   Tranche C Term Loan   Loan     4.75     4/15/2021      $ 2,977,500        2,964,818        2,966,811   

First Data Corporation

  Financial Intermediaries   2017 Second New Dollar Term Loan   Loan     3.74     3/23/2018      $ 2,790,451        2,734,063        2,788,944   

First Data Corporation

  Financial Intermediaries   2018 Dollar Term Loan   Loan     4.24     3/24/2021      $ 2,111,028        2,024,645        2,116,833   

Fitness International, LLC

  Leisure Goods/Activities/Movies   Term Loan B   Loan     5.50     7/1/2020      $ 1,488,750        1,479,155        1,455,253   

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

  Nonferrous Metals/Minerals   Loan   Loan     3.75     6/28/2019      $ 1,977,443        1,977,366        1,790,199   

Four Seasons Holdings Inc.

  Lodging & Casinos   Term Loan (First Lien)   Loan     3.50     6/27/2020      $ 489,865        489,865        490,271   

Garda World Security Corporation

  Services: Business   Term B Delayed Draw Loan   Loan     4.00     11/6/2020      $ 200,648        199,825        199,896   

Garda World Security Corporation

  Services: Business   Term B Loan   Loan     4.00     11/6/2020      $ 784,352        781,392        781,411   

Gardner Denver, Inc.

  Oil & Gas   Initial Dollar Term Loan   Loan     4.25     7/30/2020      $ 2,469,943        2,461,740        2,412,690   

Gates Global LLC

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     4.25     7/3/2021      $ 497,500        492,525        494,888   

Generac Power Systems, Inc.

  Industrial Equipment   Term Loan B   Loan     3.25     5/29/2020      $ 693,858        683,135        690,680   

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     3.25     3/4/2019      $ 4,720,142        4,706,492        4,667,041   

Global Tel*Link Corporation

  Services: Business   Term Loan (First Lien)   Loan     5.00     5/26/2020      $ 2,747,966        2,740,001        2,706,746   

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     4.75     4/30/2019      $ 3,333,333        3,298,766        3,355,000   

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.75     1/4/2021      $ 3,395,892        3,381,806        3,381,052   

GTCR Valor Companies, Inc.

  Services: Business   Term Loan (First Lien)   Loan     6.00     6/1/2021      $ 1,989,995        1,950,196        1,987,508   

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

  Publishing   Tranche B-4 Term Loan   Loan     6.00     8/2/2019      $ 484,375        482,452        485,184   

HCA Inc.

  Healthcare & Pharmaceuticals   Tranche B-4 Term Loan   Loan     2.99     5/1/2018      $ 5,648,670        5,415,004        5,648,105   

Headwaters Incorporated

  Building & Development   Term Loan   Loan     4.50     3/24/2022      $ 250,000        248,764        250,625   

Hertz Corporation, The

  Automotive   Tranche B-1 Term Loan   Loan     4.00     3/12/2018      $ 2,932,500        2,964,832        2,933,556   

Hoffmaster Group, Inc.

  Containers/Glass Products   Term Loan   Loan     5.25     5/8/2020      $ 1,985,000        1,968,036        1,994,925   

Huntsman International LLC

  Chemicals/Plastics   Extended Term B Loan   Loan     2.69     4/19/2017      $ 3,840,541        3,813,492        3,840,541   

Husky Injection Molding Systems Ltd.

  Services: Business   Term Loan B   Loan     4.25     6/30/2021      $ 491,797        489,720        492,761   

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

  Services: Business   Tranche B-5 Term Loan   Loan     3.75     6/3/2020      $ 2,205,351        2,189,132        2,195,361   

Insight Global

  Services: Business   Term Loan   Loan     6.00     10/29/2021      $ 1,994,898        1,986,758        1,998,229   

J. Crew Group, Inc.

  Retailers (Except Food and Drugs)   Term B-1 Loan Retired 03/05/2014   Loan     4.00     3/5/2021      $ 962,775        962,775        872,188   

Jazz Acquisition, Inc

  Aerospace and Defense   First Lien 6/14   Loan     4.50     6/19/2021      $ 496,364        495,123        492,641   

J.Jill Group, Inc.

  Retail   Term Loan (First Lien)   Loan     6.00     5/9/2022      $ 1,000,000        995,018        1,001,250   

Kinetic Concepts, Inc.

  Healthcare & Pharmaceuticals   Dollar Term D-1 Loan   Loan     4.00     5/4/2018      $ 2,471,356        2,449,511        2,486,802   

Koosharem, LLC

  Services: Business   Term Loan   Loan     7.50     5/15/2020      $ 2,987,513        2,962,552        2,970,095   

La Quinta Holdings, Inc.

  Lodging & Casinos   Term Loan (First Lien)   Loan     4.00     4/14/2021      $ 434,717        433,214        435,586   

Level 3 Financing, Inc.

  Telecommunications   Term Loan B2   Loan     4.50     1/31/2022      $ 500,000        496,648        499,688   

Mauser Holdings, Inc.

  Containers/Glass Products   Term Loan   Loan     4.50     7/31/2021      $ 497,500        495,281        497,813   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term B Loan   Loan     3.75     1/28/2020      $ 490,000        490,000        490,186   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term Loan B-2   Loan     4.00     1/28/2020      $ 1,488,750        1,482,222        1,493,469   

Microsemi Corporation

  Electronics/Electric   Incremental Term Loan   Loan     3.50     2/19/2020      $ 2,122,318        2,118,346        2,124,313   

Midas Intermediate Holdco II, LLC

  Automotive   Delayed Draw Term Loan   Loan     4.75     8/18/2021      $ 25,190        25,190        25,324   

Midas Intermediate Holdco II, LLC

  Automotive   Term Loan B   Loan     4.75     8/18/2021      $ 223,560        222,539        224,747   

Millenium Laboratories, LLC

  Drugs   Term Loan   Loan     5.25     4/16/2021      $ 1,488,750        1,475,773        1,001,929   

MPH Acquisition Holdings LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     3.75     3/31/2021      $ 431,818        430,910        430,739   

MSC Software Corp.

  Services: Business   Term Loan   Loan     5.00     5/29/2020      $ 992,500        984,127        985,056   

National CineMedia, LLC

  Leisure Goods/Activities/Movies   Term Loan (2013)   Loan     2.95     11/26/2019      $ 1,086,207        1,060,272        1,072,238   

National Veterinary Associates, Inc

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     8/14/2021      $ 995,006        991,489        995,832   

National Vision, Inc.

  Retailers (Except Food and Drugs)   Term Loan (Second Lien)   Loan     6.75     3/11/2022      $ 250,000        249,731        243,125   

Newsday, LLC

  Publishing   Term Loan   Loan     3.69     10/12/2016      $ 2,215,385        2,214,480        2,209,846   

Nortek, Inc.

  Electronics/Electric   Term B Loan   Loan     3.75     10/30/2020      $ 992,500        980,651        988,778   

Novelis, Inc.

  Conglomerate   Initial Term Loan   Loan     3.75     3/10/2017      $ 4,795,033        4,803,880        4,790,142   

Novelis, Inc.

  Conglomerate   Term Loan B   Loan     3.75     3/10/2017      $ 4,795,033        4,771,058        4,790,142   

NPC International, Inc.

  Food Services   Term Loan (2013)   Loan     4.00     12/28/2018      $ 485,000        485,000        480,756   

NRG Energy, Inc.

  Utilities   Term Loan (2013)   Loan     2.75     7/2/2018      $ 3,851,400        3,833,925        3,825,095   

NuSil Technology LLC.

  Chemicals/Plastics   Term Loan   Loan     5.25     4/7/2017      $ 795,751        795,751        790,284   

Ollie’s Bargain Outlet, Inc

  Retailers (Except Food and Drugs)   Term Loan   Loan     4.75     9/30/2019      $ 974,527        970,576        969,654   

On Assignment, Inc.

  Services: Business   Initial Term B Loan   Loan     3.50     5/15/2020      $ 1,311,364        1,303,800        1,310,957   

Onex Carestream Finance LP

  Healthcare & Pharmaceuticals   Term Loan (First Lien 2013)   Loan     5.00     6/7/2019      $ 3,996,811        3,982,808        3,993,054   

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Delayed Draw Term Loan   Loan     4.75     10/1/2021      $ 48,537        48,182        48,294   

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     10/1/2021      $ 448,963        445,914        446,719   

OpenLink International LLC

  Services: Business   Term B Loan   Loan     6.25     10/28/2017      $ 2,967,500        2,965,974        2,952,663   

Orbitz Worldwide, Inc.

  Services: Business   Term Loan (First Lien)   Loan     4.50     4/15/2021      $ 1,408,613        1,406,579        1,409,500   

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

  Food/Drug Retailers   Term Borrowing   Loan     4.25     6/24/2019      $ 1,444,113        1,437,299        1,427,867   

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

  Services: Business   Term Loan (First Lien)   Loan     5.00     10/30/2020      $ 987,500        983,132        966,516   

Par Pharmaceutical Companies, Inc.

  Healthcare & Pharmaceuticals   Term Loan B3   Loan     4.25     9/28/2019      $ 498,750        496,360        499,583   

Penn Products Terminal, LLC

  Chemicals/Plastics   Term Loan B   Loan     4.75     4/13/2022      $ 250,000        248,773        251,875   

PetCo Animal Supplies Stores, Inc.

  Retailers (Except Food and Drugs)   New Loans   Loan     4.00     11/24/2017      $ 1,465,561        1,464,910        1,467,584   

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

  Retail   Term Loan B1   Loan     4.25     3/11/2022      $ 1,000,000        995,088        1,002,140   

PGX Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     6.25     9/29/2020      $ 987,500        978,766        990,788   

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

  Conglomerate   2013 Term Loan   Loan     4.00     12/5/2018      $ 1,935,450        1,914,850        1,937,521   

Phillips-Medisize Corporation

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.75     6/16/2021      $ 496,250        494,073        495,942   

Physio-Control International, Inc.

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.50     5/19/2022      $ 500,000        497,500        501,875   

Pinnacle Foods Finance LLC

  Food Products   New Term Loan G   Loan     3.00     4/29/2020      $ 2,581,332        2,576,895        2,572,813   

Planet Fitness Holdings LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.75     3/31/2021      $ 2,485,000        2,477,540        2,478,788   

Polymer Group, Inc.

  Chemicals/Plastics   Initial Loan   Loan     5.25     12/19/2019      $ 493,750        491,694        495,394   

Post Holdings, Inc.

  Consumer Goods: Non-Durable   Term Loan Series A   Loan     3.75     6/2/2021      $ 1,000,000        994,500        995,180   

PrePaid Legal Services, Inc.

  Services: Business   Term Loan B   Loan     6.50     7/1/2019      $ 750,000        746,250        750,623   

Presidio, Inc.

  Services: Business   Term Loan   Loan     5.25     2/2/2022      $ 1,916,667        1,861,770        1,920,270   

Prestige Brands, Inc.

  Consumer Goods: Durable   Term B-3 Loan   Loan     3.50     9/3/2021      $ 2,112,374        2,104,893        2,114,127   

Quintiles Transnational Corp.

  Services: Business   Term Loan B   Loan     3.25     5/6/2022      $ 1,000,000        997,510        1,002,190   

Ranpak Holdings, Inc.

  Services: Business   Term Loan   Loan     4.25     10/1/2021      $ 995,000        992,728        995,000   

Ranpak Holdings, Inc.

  Services: Business   Term Loan (Second Lien)   Loan     8.25     9/30/2022      $ 500,000        497,726        499,585   

Redtop Acquisitions Limited

  Electronics/Electric   Initial Dollar Term Loan (First Lien)   Loan     4.50     12/3/2020      $ 493,750        490,848        493,133   

Regal Cinemas Corporation

  Services: Consumer   Term Loan   Loan     3.75     4/1/2022      $ 500,000        498,780        501,640   

Research Now Group, Inc

  Media   Term Loan B   Loan     5.50     3/18/2021      $ 500,000        497,544        501,875   

Rexnord LLC/RBS Global, Inc.

  Industrial Equipment   Term B Loan   Loan     4.00     8/21/2020      $ 1,642,630        1,644,003        1,639,690   

Reynolds Group Holdings Inc.

  Industrial Equipment   Incremental U.S. Term Loan   Loan     4.00     12/1/2018      $ 1,910,551        1,910,551        1,916,531   

Riverbed Technology, Inc.

  Technology   Term Loan B   Loan     6.00     2/25/2022      $ 1,000,000        995,138        1,009,380   

Rocket Software, Inc.

  Services: Business   Term Loan (First Lien)   Loan     5.75     2/8/2018      $ 1,916,674        1,900,419        1,916,674   

Rovi Solutions Corporation / Rovi Guides, Inc.

  Electronics/Electric   Tranche B-3 Term Loan   Loan     3.75     7/2/2021      $ 1,488,750        1,482,202        1,481,306   

RPI Finance Trust

  Financial Intermediaries   Term B-4 Term Loan   Loan     3.50     11/9/2020      $ 5,194,247        5,194,247        5,194,247   

SBP Holdings LP

  Industrial Equipment   Term Loan (First Lien)   Loan     5.00     3/27/2021      $ 990,000        985,714        891,000   

Scientific Games International, Inc.

  Electronics/Electric   Term Loan B2   Loan     6.00     10/1/2021      $ 997,500        988,352        996,440   

Seadrill Operating LP

  Oil & Gas   Term Loan B   Loan     4.00     2/21/2021      $ 994,962        918,242        811,929   

Sensata Technologies B.V./Sensata Technology Finance Company, LLC

  Industrial Equipment   Term Loan   Loan     3.00     10/11/2021      $ 1,264,400        1,264,400        1,266,878   

Sensus USA Inc. (fka Sensus Metering Systems)

  Utilities   Term Loan (First Lien)   Loan     4.50     5/9/2017      $ 1,920,081        1,916,275        1,912,880   

ServiceMaster Company, The

  Conglomerate   Tranche B Term Loan   Loan     4.25     7/1/2021      $ 1,990,000        1,972,330        1,994,657   

Shearers Foods LLC

  Food Services   Term Loan (First Lien)   Loan     4.50     6/30/2021      $ 995,000        992,823        994,383   

Sonneborn, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     5.50     12/10/2020      $ 224,437        223,922        224,999   

Sonneborn, LLC

  Chemicals/Plastics   Initial US Term Loan   Loan     5.50     12/10/2020      $ 1,271,813        1,268,891        1,274,992   

Sophia, L.P.

  Electronics/Electric   Term B Loan   Loan     4.00     7/19/2018      $ 883,715        875,972        884,599   

SourceHOV LLC

  Services: Business   Term Loan B (First Lien)   Loan     7.75     10/31/2019      $ 1,987,500        1,932,692        1,828,500   

SRAM, LLC

  Industrial Equipment   Term Loan (First Lien)   Loan     4.00     4/10/2020      $ 2,935,089        2,926,129        2,930,187   

Staples, Inc.

  Retail   Term Loan B   Loan     3.50     4/23/2021      $ 1,000,000        995,000        1,000,940   

Steak ‘n Shake Operations, Inc.

  Food Services   Term Loan   Loan     4.75     3/19/2021      $ 990,000        981,539        985,050   

SunGard Data Systems Inc. (Solar Capital Corp.)

  Conglomerate   Tranche C Term Loan   Loan     3.90     2/28/2017      $ 285,352        283,389        285,472   

SunGard Data Systems Inc. (Solar Capital Corp.)

  Conglomerate   Tranche E Term Loan   Loan     4.00     3/9/2020      $ 3,707,953        3,622,675        3,714,924   

SuperMedia Inc. (fka Idearc Inc.)

  Publishing   Loan   Loan     11.60     12/30/2016      $ 235,379        230,025        158,528   

Syniverse Holdings, Inc.

  Telecommunications   Initial Term Loan   Loan     4.00     4/23/2019      $ 479,913        476,313        458,917   

TGI Friday’s Inc

  Food Services   Term Loan B   Loan     5.25     7/15/2020      $ 1,761,386        1,756,571        1,761,386   

Townsquare Media, Inc.

  Media   Term Loan B   Loan     4.25     4/1/2022      $ 1,000,000        995,060        1,005,420   

TPF II Power LLC and TPF II Covert Midco LLC

  Utilities   Term Loan B   Loan     5.50     10/2/2021      $ 498,750        495,598        504,516   

TransDigm, Inc.

  Aerospace and Defense   Tranche C Term Loan   Loan     3.75     2/28/2020      $ 4,310,366        4,318,132        4,297,435   

TransDigm, Inc.

  Aerospace and Defense   Tranche E Term Loan   Loan     3.50     5/13/2022      $ 2,000,000        1,990,600        1,985,000   

TransFirst Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     5.50     11/12/2021      $ 498,750        494,148        498,022   

Trans Union LLC

  Financial Intermediaries   Term Loan   Loan     4.00     4/9/2021      $ 495,000        493,963        493,322   

Travel Leaders Group, LLC

  Hotel, Gaming and Leisure   Term Loan B   Loan     7.00     12/7/2020      $ 1,000,000        995,055        1,010,000   

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

  Containers/Glass Products   Term Loan   Loan     4.00     5/3/2018      $ 1,836,625        1,830,188        1,827,442   

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

  Healthcare & Pharmaceuticals   New Tranche B Term Loan   Loan     4.50     6/6/2019      $ 486,325        479,056        486,529   

Twin River Management Group, Inc.

  Lodging & Casinos   Term Loan B   Loan     5.25     7/10/2020      $ 956,192        958,419        953,801   

U.S. Security Associates Holdings, Inc.

  Services: Business   Delayed Draw Loan   Loan     6.25     7/28/2017      $ 158,110        157,308        157,814   

U.S. Security Associates Holdings, Inc.

  Services: Business   Term B Loan   Loan     6.25     7/28/2017      $ 928,641        924,314        926,905   

United Surgical Partners International, Inc.

  Healthcare & Pharmaceuticals   New Tranche B Term Loan   Loan     4.75     4/3/2019      $ 2,425,561        2,403,697        2,425,561   

Univar Inc.

  Chemicals/Plastics   Term B Loan   Loan     5.00     6/30/2017      $ 3,834,969        3,834,775        3,830,175   

Univision Communications Inc.

  Telecommunications   Replacement First-Lien Term Loan   Loan     4.00     3/1/2020      $ 2,939,724        2,924,949        2,934,667   

Valeant Pharmaceuticals International, Inc.

  Drugs   Series D2 Term Loan B   Loan     3.50     2/13/2019      $ 2,545,588        2,537,897        2,543,272   

Verint Systems Inc.

  Services: Business   Term Loan   Loan     3.50     9/6/2019      $ 1,014,058        1,010,683        1,015,325   

Vertafore, Inc.

  Services: Business   Term Loan (2013)   Loan     4.25     10/3/2019      $ 2,484,603        2,484,603        2,490,815   

Vouvray US Finance

  Industrial Equipment   Term Loan   Loan     5.00     6/28/2021      $ 496,250        494,080        498,319   

Washington Inventory Service

  Services: Business   U.S. Term Loan (First Lien)   Loan     5.75     12/20/2018      $ 1,832,875        1,850,149        1,800,800   

Waste Industries

  Environmental   Term Loan B   Loan     4.25     2/27/2020      $ 250,000        249,405        251,145   

Wendy’s International, Inc

  Food Services   Term B Loan   Loan     3.25     5/15/2019      $ 671,921        666,709        671,753   

West Corporation

  Telecommunications   Term B-10 Loan   Loan     3.25     6/30/2018      $ 2,571,560        2,603,429        2,565,490   
             

 

 

   

 

 

 
$ 307,289,860    $ 304,682,956   
             

 

 

   

 

 

 

 

25


Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

February 28, 2015

 

<

Issuer Name

 

Industry

 

Asset Name

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

Education Management II LLC

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

Education Management II LLC

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

24 Hour Holdings III LLC

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

Acosta Holdco Inc.

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

Aderant North America, Inc.

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

Advantage Sales & Marketing Inc.

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

AECOM Technology Corporation

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

Aegis Toxicology Science Corporation

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

Akorn, Inc.

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

Albertson’s LLC

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

Alere Inc. (fka IM US Holdings, LLC)

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

American Tire Distributors Inc

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

Aramark Corporation

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

Aramark Corporation

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

Aramark Corporation

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

ARG IH Corp

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

Asurion, LLC (fka Asurion Corporation)

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

Auction.Com, LLC

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

Avantor Performance Materials Holdings, Inc.

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

Avast Software

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

AZ Chem US Inc.

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

Bass Pro Group, LLC

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

Bayonne Energy Center

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

Belmond Hotels

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

Berry Plastics Corporation

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

Big Heart Pet Brands (fka Del Monte Corporation)

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

Biomet, Inc.

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

BJ’s Wholesale Club, Inc.

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

Bombardier Recreational Products Inc.

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

Brickman Group Holdings, Inc.

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

Brock Holdings III, Inc.

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

Burlington Coat Factory Warehouse Corporation

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

BWAY

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

Caesars Entertainment Corp.

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

Camp International Holding Company

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

Capital Automotive L.P.

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

Catalent Pharma Solutions, Inc

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

Celanese US Holdings LLC

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

Cengage Learning

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

Charter Communications Operating, LLC

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

CHS/Community Health Systems, Inc.

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

CHS/Community Health Systems, Inc.

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

Cinedigm Digital Funding I, LLC

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

CITGO Petroleum

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

ClubCorp Club Operations, Inc.

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

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

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

Crosby US Acquisition Corp.

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

Crown Castle Operating Company

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

CT Technologies Intermediate Hldgs, Inc

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

Culligan International Company

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

Culligan International Company

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

Cumulus Media Holdings Inc.

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

Custom Sensors

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

DaVita HealthCare Partners Inc. (fka DaVita Inc.)

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

DCS Business Services, Inc.

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

Dealertrack Technologies, Inc.

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

Dell International LLC

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

Delos Finance SARL

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

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

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

Deluxe Entertainment Service Group, Inc.

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

Devix US, Inc.

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

Devix US, Inc.

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

Diamond Resorts International

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

Dollar Tree

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

DPX Holdings B.V.

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

Drew Marine Group Inc.

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

Education Management LLC

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

Education Management LLC

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

EIG Investors Corp.

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

Emerald Performance Materials, LLC

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

Emerald Performance Materials, LLC

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

EnergySolutions, LLC

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

Enviromental Resources Management

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

Evergreen Acqco 1 LP

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

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

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

Federal-Mogul Corporation

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

First Data Corporation

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

First Data Corporation

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

Fitness International, LLC

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

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

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

Four Seasons Holdings Inc.

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

Garda World Security Corporation

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

Garda World Security Corporation

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

Gardner Denver, Inc.

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

Gates Global LLC

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

Generac Power Systems, Inc.

  Industrial Equipment   Term Loan B   Loan     3.25     5/29/2020      $ 802,956        789,932        797,182   

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     3.25     3/4/2019      $ 4,724,136        4,709,712        4,649,353   

Global Tel*Link Corporation

  Services: Business   Term Loan (First Lien)   Loan     5.00     5/26/2020      $ 2,755,515        2,747,025        2,719,914   

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     4.75     4/30/2019      $ 3,333,333        3,296,753        3,347,933   

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.75     1/4/2021      $ 3,395,892        3,381,240        3,353,443   

GTCR Valor Companies, Inc.

  Services: Business   Term Loan (First Lien)   Loan     6.00     6/1/2021      $ 1,995,000        1,981,582        1,965,075   

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

  Publishing   Tranche B-4 Term Loan   Loan     6.00     8/2/2019      $ 487,500        485,460        488,963   

HCA Inc.

  Healthcare & Pharmaceuticals   Tranche B-4 Term Loan   Loan     2.99     5/1/2018      $ 5,663,006        5,409,534        5,658,872   

Hertz Corporation, The

  Automotive   Tranche B-1 Term Loan   Loan     4.00     3/12/2018      $ 2,940,000        2,975,234        2,927,152   

Hoffmaster Group, Inc.

  Containers/Glass Products   Term Loan   Loan     5.25     5/8/2020      $ 1,990,000        1,972,040        1,999,950   

Huntsman International LLC

  Chemicals/Plastics   Extended Term B Loan   Loan     2.69     4/19/2017      $ 3,880,270        3,866,113        3,872,199   

Husky Injection

  Services: Business   Term Loan B   Loan     4.25     6/30/2021      $ 498,099        495,886        495,818   

Ikaria, Inc.

  Healthcare & Pharmaceuticals   Initial Term Loan (First Lien)   Loan     5.00     2/12/2021      $ 435,702        433,809        434,251   

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

  Services: Business   Tranche B-5 Term Loan   Loan     3.75     6/3/2020      $ 2,211,036        2,194,068        2,190,650   

Insight Global

  Services: Business   Term Loan   Loan     6.00     10/29/2021      $ 2,000,000        1,990,539        1,993,760   

J. Crew Group, Inc.

  Retailers (Except Food and Drugs)   Term B-1 Loan Retired 03/05/2014   Loan     4.00     3/5/2021      $ 965,206        965,206        906,493   

Jazz Acquisition, Inc

  Aerospace and Defense   First Lien 6/14   Loan     4.50     6/19/2021      $ 497,576        496,332        492,913   

Kinetic Concepts, Inc.

  Healthcare & Pharmaceuticals   Dollar Term D-1 Loan   Loan     4.00     5/4/2018      $ 2,477,613        2,453,687        2,477,167   

Koosharem, LLC

  Services: Business   Term Loan   Loan     7.50     5/15/2020      $ 2,995,000        2,968,450        2,961,306   

La Quinta Holdings, Inc.

  Lodging & Casinos   Term Loan (First Lien)   Loan     4.00     4/14/2021      $ 451,283        449,626        450,719   

Level 3 Financing, Inc.

  Telecommunications   Term Loan B   Loan     4.50     1/31/2022      $ 500,000        496,541        502,085   

Mauser Holdings, Inc.

  Containers/Glass Products   Term Loan   Loan     4.50     7/31/2021      $ 498,750        496,409        491,269   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term B Loan   Loan     3.75     1/28/2020      $ 491,250        491,250        488,258   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term Loan B-2   Loan     4.00     1/28/2020      $ 1,492,500        1,485,638        1,488,769   

Microsemi Corporation

  Electronics/Electric   Incremental Term Loan   Loan     3.50     2/19/2020      $ 2,393,981        2,389,500        2,381,509   

Microsemi Corporation

  Electronics/Electric   Term Loan   Loan     3.75     2/19/2020      $ 172,170        172,170        171,309   

Midas Intermediate Holdco II, LLC

  Automotive   Delayed Draw Term Loan   Loan     4.75     8/18/2021      $ 25,253        25,253        25,364   

Midas Intermediate Holdco II, LLC

  Automotive   Term Loan B   Loan     4.75     8/18/2021      $ 224,122        223,063        225,103   

Millenium Laboratories, LLC

  Drugs   Term Loan   Loan     5.25     4/16/2021      $ 1,492,500        1,479,041        1,489,396   

Mitel US Holdings, Inc.

  Telecommunications   Term Loan   Loan     5.25     1/31/2020      $ 196,558        195,710        196,411   

MPH Acquisition Holdings LLC

  Healthcare & Pharmaceuticals   Term Loan   Loan     3.75     3/31/2021      $ 445,455        444,453        442,033   

MSC Software Corp.

  Services: Business   Term Loan   Loan     5.00     5/29/2020      $ 995,000        986,186        996,244   

National CineMedia, LLC

  Leisure Goods/Activities/Movies   Term Loan (2013)   Loan     2.95     11/26/2019      $ 1,086,207        1,058,933        1,067,198   

National Veterinary Associates, Inc

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     8/14/2021      $ 997,500        992,907        996,253   

National Vision, Inc.

  Retailers (Except Food and Drugs)   Term Loan (Second Lien)   Loan     6.75     3/11/2022      $ 250,000        249,730        240,418   

Newsday, LLC

  Publishing   Term Loan   Loan     3.69     10/12/2016      $ 2,215,385        2,214,305        2,201,538   

Nortek, Inc.

  Electronics/Electric   Term B Loan   Loan     3.75     10/30/2020      $ 995,000        992,803        986,921   

Novelis, Inc.

  Conglomerate   Initial Term Loan   Loan     3.75     3/10/2017      $ 4,807,530        4,817,740        4,799,502   

NPC International, Inc.

  Food Services   Term Loan (2013)   Loan     4.00     12/28/2018      $ 486,250        486,250        480,780   

NRG Energy, Inc.

  Utilities   Term Loan (2013)   Loan     2.75     7/2/2018      $ 3,861,225        3,842,164        3,850,761   

NuSil Technology LLC.

  Chemicals/Plastics   Term Loan   Loan     5.25     4/7/2017      $ 797,986        797,986        791,004   

Ollie’s Bargain Outlet, Inc

  Retailers (Except Food and Drugs)   Term Loan   Loan     4.75     9/30/2019      $ 977,052        972,882        962,396   

On Assignment, Inc.

  Services: Business   Initial Term B Loan   Loan     3.50     5/15/2020      $ 1,311,364        1,303,451        1,301,528   

Onex Carestream Finance LP

  Healthcare & Pharmaceuticals   Term Loan (First Lien 2013)   Loan     5.00     6/7/2019      $ 4,074,401        4,059,378        4,078,842   

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Delayed Draw Term Loan   Loan     4.75     10/1/2021      $ —          —          —     

OnexYork Acquisition Co

  Healthcare & Pharmaceuticals   Term Loan B   Loan     4.75     10/1/2021      $ 498,750        495,208        496,466   

OpenLink International LLC

  Services: Business   Term B Loan   Loan     6.25     10/28/2017      $ 970,000        970,000        957,875   

Orbitz Worldwide, Inc.

  Services: Business   Term Loan (First Lien)   Loan     4.50     4/15/2021      $ 1,494,994        1,492,711        1,494,755   

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

  Food/Drug Retailers   Term Borrowing   Loan     4.25     6/24/2019      $ 1,447,901        1,440,712        1,406,274   

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

  Services: Business   Term Loan (First Lien)   Loan     5.00     10/30/2020      $ 990,000        985,444        947,925   

Par Pharmaceutical

  Healthcare & Pharmaceuticals   Term Loan B3   Loan     4.25     9/28/2019      $ 500,000        497,502        499,065   

PetCo Animal Supplies Stores, Inc.

  Retailers (Except Food and Drugs)   New Loans   Loan     4.00     11/24/2017      $ 1,469,388        1,468,520        1,467,066   

PetSmart

  Retail   Term Loan B   Loan     5.00     3/11/2022      $ 1,000,000        995,000        1,007,050   

PGX Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     6.25     9/29/2020      $ 993,750        984,482        993,750   

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

  Conglomerate   2013 Term Loan   Loan     4.00     12/5/2018      $ 1,940,400        1,918,409        1,935,898   

Phillips-Medisize Corporation

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.75     6/16/2021      $ 497,500        495,245        495,948   

Pinnacle Foods Finance LLC

  Food Products   New Term Loan G   Loan     3.00     4/29/2020      $ 2,581,332        2,576,466        2,565,560   

Planet Fitness Holdings LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.75     3/31/2021      $ 1,488,750        1,482,052        1,488,750   

Polymer Group, Inc.

  Chemicals/Plastics   Initial Loan   Loan     5.25     12/19/2019      $ 495,000        492,860        495,619   

Presidio

  Services: Business   Term Loan B   Loan     6.25     2/2/2022      $ 2,000,000        1,940,655        1,973,760   

Prestige Brands, Inc.

  Drugs   Term B-1 Loan   Loan     4.13     1/31/2019      $ 344,697        341,112        344,697   

Prestige Brands, Inc.

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.50     9/3/2021      $ 1,861,111        1,858,280        1,860,534   

QoL Meds, LLC

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.50     7/15/2020      $ 1,995,000        1,985,909        1,990,013   

Quintiles Transnational Corp.

  Conglomerate   Term B-3 Loan   Loan     3.75     6/8/2018      $ 3,627,678        3,600,425        3,628,802   

Ranpak Holdings, Inc.

  Services: Business   Term Loan   Loan     4.75     10/1/2021      $ 997,500        995,145        996,882   

Ranpak Holdings, Inc.

  Services: Business   Term Loan (Second Lien)   Loan     8.25     9/30/2022      $ 500,000        497,672        496,250   

Redtop Acquisitions Limited

  Electronics/Electric   Initial Dollar Term Loan (First Lien)   Loan     4.50     12/3/2020      $ 495,000        491,974        494,381   

Rexnord LLC/RBS Global, Inc.

  Industrial Equipment   Term B Loan   Loan     4.00     8/21/2020      $ 1,646,799        1,648,172        1,642,172   

Reynolds Group Holdings Inc.

  Industrial Equipment   Incremental U.S. Term Loan   Loan     4.00     12/1/2018      $ 1,960,200        1,960,200        1,965,767   

Riverbed Technology

  Technology   Term Loan B   Loan     6.00     2/25/2022      $ 1,000,000        995,000        1,007,500   

Rocket Software, Inc.

  Services: Business   Term Loan (First Lien)   Loan     5.75     2/8/2018      $ 1,916,674        1,898,764        1,906,285   

Rovi Solutions Corporation / Rovi Guides, Inc.

  Electronics/Electric   Tranche B-3 Term Loan   Loan     3.75     7/2/2021      $ 1,492,500        1,485,607        1,479,441   

RPI Finance Trust

  Drugs   Term B-2 Term Loan   Loan     3.25     5/9/2018      $ 5,207,431        5,188,396        5,219,147   

SBP Holdings LP

  Industrial Equipment   Term Loan (First Lien)   Loan     5.00     3/27/2021      $ 992,500        988,065        863,475   

Scientific Games International, Inc.

  Electronics/Electric   Term Loan B2   Loan     6.00     10/1/2021      $ 1,000,000        990,433        998,040   

Scitor Corporation

  Services: Business   Term Loan   Loan     5.00     2/15/2017      $ 463,977        462,387        461,077   

Seadrill

  Oil & Gas   Term Loan B   Loan     4.00     2/21/2021      $ 997,481        917,590        806,294   

Sensata Technologies B.V./Sensata Technology Finance Company, LLC

  Industrial Equipment   Term Loan   Loan     3.25     5/13/2019      $ 1,509,445        1,509,445        1,511,603   

Sensus USA Inc. (fka Sensus Metering Systems)

  Utilities   Term Loan (First Lien)   Loan     4.50     5/9/2017      $ 1,925,067        1,920,548        1,925,067   

ServiceMaster Company, The

  Conglomerate   Tranche B Term Loan   Loan     4.25     7/1/2021      $ 1,995,000        1,976,650        1,994,641   

Shearers Foods LLC

  Food Services   Term Loan (First Lien)   Loan     4.50     6/30/2021      $ 997,500        995,166        996,253   

Sonneborn, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     5.50     12/10/2020      $ 225,000        224,471        225,000   

Sonneborn, LLC

  Chemicals/Plastics   Initial US Term Loan   Loan     5.50     12/10/2020      $ 1,275,000        1,272,004        1,275,000   

Sophia, L.P.

  Electronics/Electric   Term B Loan   Loan     4.00     7/19/2018      $ 886,138        877,732        884,756   

SourceHOV LLC

  Services: Business   Term Loan B (First Lien)   Loan     7.75     10/31/2019      $ 2,000,000        1,942,284        1,915,000   

Southwire Company, LLC (f.k.a Southwire Company)

  Building and Development   Initial Term Loan   Loan     3.25     2/10/2021      $ 496,250        495,181        485,084   

SRAM, LLC

  Industrial Equipment   Term Loan (First Lien)   Loan     4.00     4/10/2020      $ 2,967,681        2,957,888        2,952,842   

Steak ‘n Shake Operations, Inc.

  Food Services   Term Loan   Loan     4.75     3/19/2021      $ 992,500        983,723        975,131   

STHI Holding

  Healthcare & Pharmaceuticals   Term Loan   Loan     4.50     8/6/2021      $ 997,500        997,500        994,388   

SunGard Data Systems Inc. (Solar Capital Corp.)

  Conglomerate   Tranche C Term Loan   Loan     3.90     2/28/2017      $ 285,352        283,117        285,084   

SunGard Data Systems Inc. (Solar Capital Corp.)

  Conglomerate   Tranche E Term Loan   Loan     4.00     3/9/2020      $ 3,707,953        3,618,899        3,706,804   

SuperMedia Inc. (fka Idearc Inc.)

  Publishing   Loan   Loan     11.60     12/30/2016      $ 238,660        232,462        203,756   

Syniverse Holdings, Inc.

  Telecommunications   Initial Term Loan   Loan     4.00     4/23/2019      $ 479,913        476,105        473,314   

TGI Friday’s

  Food Services   Term Loan B   Loan     5.25     7/15/2020      $ 267,977        266,768        267,642   

TGI Friday’s

  Food Services   Term Loan (Second Lien)   Loan     9.25     7/15/2021      $ 2,000,000        2,016,250        2,000,000   

TPF II Power LLC and TPF II Covert Midco LLC

  Utilities   Term Loan B   Loan     5.50     10/2/2021      $ 500,000        496,689        504,790   

TransDigm, Inc.

  Aerospace and Defense   Tranche C Term Loan   Loan     3.75     2/28/2020      $ 4,847,054        4,856,484        4,824,661   

TransFirst

  Financial Intermediaries   Term Loan   Loan     5.50     11/12/2021      $ 500,000        495,182        502,815   

TransUnion

  Financial Intermediaries   Term Loan   Loan     4.00     4/9/2021      $ 496,250        495,138        493,977   

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

  Containers/Glass Products   Term Loan   Loan     4.00     5/3/2018      $ 1,850,000        1,843,008        1,822,250   

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

  Healthcare & Pharmaceuticals   New Tranche B Term Loan   Loan     4.50     6/6/2019      $ 487,566        479,874        481,471   

Twin River Management Group, Inc.

  Lodging & Casinos   Term Loan B   Loan     5.25     7/10/2020      $ 974,167        976,455        975,998   

U.S. Security Associates Holdings, Inc.

  Services: Business