UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

 

Form 10-Q

 

 

 

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

 

For the Quarterly Period Ended November 30, 2022

 

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

 

Commission File No. 814-00732

 

 

 

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 Number)
 

 

535 Madison Avenue

New York, New York 10022

(Address of principal executive offices)

 

(212) 906-7800

(Registrant’s telephone number, including area code)

 

 

 

Securities registered pursuant to Section 12(b) of the Act:

 

Title of each class   Trading Symbol(s)   Name of each exchange on which
registered
Common Stock, par value $0.001 per share   SAR   The New York Stock Exchange
6.00% Notes due 2027   SAT   The New York Stock Exchange
8.00% Notes due 2027   SAJ   The New York Stock Exchange

8.125% Notes due 2027

 

SAY

 

The New York Stock Exchange

 

 

 

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

 

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒   No

 

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

 

Large accelerated filer Accelerated filer
Non-accelerated filer Smaller reporting company
    Emerging growth company

 

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

 

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

 

The number of outstanding common shares of the registrant as of January 9, 2023 was 11,890,500.

 

 

 

 

 

 

TABLE OF CONTENTS

 

    Page
PART I. FINANCIAL INFORMATION 1
     
Item 1. Consolidated Financial Statements 1
     
  Consolidated Statements of Assets and Liabilities as of November 30, 2022 (unaudited) and February 28, 2022 1
     
  Consolidated Statements of Operations for the three and nine months ended November 30, 2022 (unaudited) and November 30, 2021 (unaudited) 2
     
  Consolidated Statements of Changes in Net Assets for three and nine months ended November 30, 2022 (unaudited) and November 30, 2021 (unaudited) 3
     
 

Consolidated Statements of Cash Flows for the nine months ended November 30, 2022 (unaudited) and November 30, 2021 (unaudited)

4
     
  Consolidated Schedules of Investments as of November 30, 2022 (unaudited) and February 28, 2022 5
     
  Notes to Consolidated Financial Statements as of November 30, 2022 (unaudited) 26
     
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 103
     
Item 3. Quantitative and Qualitative Disclosures About Market Risk 145
     
Item 4. Controls and Procedures 146
     
PART II. OTHER INFORMATION 147
     
Item 1. Legal Proceedings 147
     
Item 1A. Risk Factors 147
     
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 147
     
Item 3. Defaults Upon Senior Securities 147
     
Item 4. Mine Safety Disclosures 147
     
Item 5. Other Information 147
     
Item 6. Exhibits 148
     
Signatures 150

 

i

 

 

PART I. FINANCIAL INFORMATION

 

Item 1. Consolidated Financial Statements

 

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

   November 30, 2022   February 28, 2022 
   (unaudited)     
ASSETS        
Investments at fair value        
Non-control/Non-affiliate investments (amortized cost of $776,943,715 and $654,965,044, respectively)  $777,907,062   $668,358,516 
Affiliate investments (amortized cost of $90,180,944 and $46,224,927, respectively)   96,051,664    48,234,124 
Control investments (amortized cost of $119,358,478 and $95,058,356, respectively)   108,075,326    100,974,715 
Total investments at fair value (amortized cost of $986,483,137 and $796,248,327, respectively)   982,034,052    817,567,355 
Cash and cash equivalents   5,672,012    47,257,801 
Cash and cash equivalents, reserve accounts   41,375,630    5,612,541 
Interest receivable (net of reserve of $1,626,140 and $0, respectively)   8,815,596    5,093,561 
Due from affiliate (See Note 7)   
-
    90,968 
Management fee receivable   363,815    362,549 
Other assets   236,861    254,980 
Current tax receivable   467,632    
-
 
Total assets  $1,038,965,598   $876,239,755 
           
LIABILITIES          
Revolving credit facility  $25,000,000   $12,500,000 
Deferred debt financing costs, revolving credit facility   (846,319)   (1,191,115)
SBA debentures payable   242,660,000    185,000,000 
Deferred debt financing costs, SBA debentures payable   (5,560,015)   (4,344,983)
7.00% Notes Payable 2025   12,000,000    
-
 
Discount on 7.00% notes payable 2025   (334,890)   
-
 
Deferred debt financing costs, 7.00% notes payable 2025   (44,030)   
-
 
7.25% Notes Payable 2025   
-
    43,125,000 
Deferred debt financing costs, 7.25% notes payable 2025   
-
    (1,078,201)
7.75% Notes Payable 2025   5,000,000    5,000,000 
Deferred debt financing costs, 7.75% notes payable 2025   (143,052)   (184,375)
4.375% Notes Payable 2026   175,000,000    175,000,000 
Premium on 4.375% notes payable 2026   904,529    1,086,013 
Deferred debt financing costs, 4.375% notes payable 2026   (2,760,666)   (3,395,435)
4.35% Notes Payable 2027   75,000,000    75,000,000 
Discount on 4.35% notes payable 2027   (425,218)   (499,263)
Deferred debt financing costs, 4.35% notes payable 2027   (1,463,434)   (1,722,908)
6.25% Notes Payable 2027   15,000,000    15,000,000 
Deferred debt financing costs, 6.25% notes payable 2027   (362,531)   (416,253)
6.00% Notes Payable 2027   105,500,000    
-
 
Discount on 6.00% notes payable 2027   (167,325)   
-
 
Deferred debt financing costs, 6.00% notes payable 2027   (3,099,317)   
-
 
8.00% Notes Payable 2027   46,000,000    
-
 
Deferred debt financing costs, 8.00% notes payable 2027   (1,693,973)   
-
 
Base management and incentive fees payable   9,556,891    12,947,025 
Deferred tax liability   2,139,661    1,249,015 
Accounts payable and accrued expenses   1,266,008    799,058 
Current income tax payable   26,836    2,820,036 
Interest and debt fees payable   4,946,725    2,801,621 
Directors fees payable   95,932    70,000 
Due to manager   6,186    263,814 
Excise tax payable   
-
    630,183 
Total liabilities   703,201,998    520,459,232 
           
Commitments and contingencies (See Note 9)   
 
    
 
 
           
NET ASSETS          
Common stock, par value $0.001, 100,000,000 common shares authorized, 11,885,479 and 12,131,350 common shares issued and outstanding, respectively   11,885    12,131 
Capital in excess of par value   321,802,386    328,062,246 
Total distributable earnings   13,949,329    27,706,146 
Total net assets   335,763,600    355,780,523 
Total liabilities and net assets  $1,038,965,598   $876,239,755 
NET ASSET VALUE PER SHARE  $28.25   $29.33 

 

See accompanying notes to consolidated financial statements.

 

1

 

 

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

   For the three months ended   For the nine months ended 
   November 30, 2022   November 30, 2021   November 30, 2022   November 30, 2021 
INVESTMENT INCOME                
Interest from investments                
Interest income:                
Non-control/Non-affiliate investments  $19,549,044   $11,152,851   $49,597,660   $33,687,612 
Affiliate investments   1,914,800    1,055,947    4,287,449    2,332,967 
Control investments   1,671,354    1,702,096    4,731,150    5,616,182 
Payment-in-kind interest income:                    
Non-control/Non-affiliate investments   87,130    115,724    258,557    1,002,819 
Affiliate investments   191,860    
-
    221,027    
-
 
Control investments   102,720    110,737    260,161    298,383 
Total interest from investments   23,516,908    14,137,355    59,356,004    42,937,963 
Interest from cash and cash equivalents   200,258    968    235,410    2,561 
Management fee income   818,254    815,739    2,451,242    2,448,593 
Dividend Income   436,941    537,621    949,758    1,595,119 
Structuring and advisory fee income   553,497    582,500    2,813,311    2,922,625 
Other income   731,166    427,921    983,277    1,852,916 
Total investment income   26,257,024    16,502,104    66,789,002    51,759,777 
                     
OPERATING EXPENSES                    
Interest and debt financing expenses   8,449,900    4,842,900    23,243,438    14,367,996 
Base management fees   4,258,821    2,923,676    12,164,989    8,684,681 
Incentive management fees expense   1,531,060    2,417,628    216,915    9,698,327 
Professional fees   558,531    (104,438)   1,344,021    863,376 
Administrator expenses   818,750    750,000    2,341,667    2,156,250 
Insurance   89,187    85,399    266,723    258,035 
Directors fees and expenses   80,000    73,096    300,000    265,596 
General and administrative   525,202    357,727    1,492,063    1,301,603 
Income tax expense (benefit)   68,136    (40,519)   (132,487)   18,082 
Total operating expenses   16,379,587    11,305,469    41,237,329    37,613,946 
NET INVESTMENT INCOME   9,877,437    5,196,635    25,551,673    14,145,831 
                     
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS                    
Net realized gain (loss) from investments:                    
Non-control/Non-affiliate investments   (740,434)   2,588,468    7,365,913    6,140,073 
Affiliate investments   
-
    7,328,457    
-
    7,328,457 
Control investments   
-
    
-
    
-
    (139,867)
Net realized gain (loss) from investments   (740,434)   9,916,925    7,365,913    13,328,663 
Income tax (provision) benefit from realized gain on investments   479,318    (2,447,173)   548,568    (2,896,056)
Net change in unrealized appreciation (depreciation) on investments:                    
Non-control/Non-affiliate investments   2,082,634    3,887,216    (12,430,125)   11,593,037 
Affiliate investments   693,483    (7,412,673)   3,861,523    (1,668,686)
Control investments   (5,952,325)   (2,517,159)   (17,199,511)   4,222,150 
Net change in unrealized appreciation (depreciation) on investments   (3,176,208)   (6,042,616)   (25,768,113)   14,146,501 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   (425,848)   2,480,465    (1,017,953)   921,610 
Net realized and unrealized gain (loss) on investments   (3,863,172)   3,907,601    (18,871,585)   25,500,718 
Realized losses on extinguishment of debt   
-
    (764,123)   (1,204,809)   (2,316,263)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $6,014,265   $8,340,113   $5,475,279   $37,330,286 
                     
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE
  $0.51   $0.73   $0.46   $3.30 
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED
   11,893,173    11,450,861    11,989,811    11,312,991 

 

See accompanying notes to consolidated financial statements.

 

2

 

 

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

   For the nine months ended 
   November 30, 2022   November 30, 2021 
INCREASE (DECREASE) FROM OPERATIONS:        
Net investment income  $25,551,673   $14,145,831 
Net realized gain from investments   7,365,913    13,328,663 
Realized losses on extinguishment of debt   (1,204,809)   (2,316,263)
Income tax (provision) benefit from realized gain on investments   548,568    (2,896,056)
Net change in unrealized appreciation (depreciation) on investments   (25,768,113)   14,146,501 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   (1,017,953)   921,610 
Net increase (decrease) in net assets resulting from operations   5,475,279    37,330,286 
           
DECREASE FROM SHAREHOLDER DISTRIBUTIONS:          
Total distributions to shareholders   (19,232,096)   (15,599,129)
Net decrease in net assets from shareholder distributions   (19,232,096)   (15,599,129)
           
CAPITAL SHARE TRANSACTIONS:          
Proceeds from issuance of common stock   
-
    15,320,818 
Stock dividend distribution   3,347,802    2,760,278 
Repurchases of common stock   (9,600,116)   (1,252,143)
Repurchase fees   (7,792)   (992)
Offering costs   
-
    (143,143)
Net increase (decrease) in net assets from capital share transactions   (6,260,106)   16,684,818 
Total increase (decrease) in net assets   (20,016,923)   38,415,975 
Net assets at beginning of period   355,780,523    304,185,770 
Net assets at end of period  $335,763,600   $342,601,745 

 

See accompanying notes to consolidated financial statements.

  

3

 

 

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

    For the nine months ended  
    November 30, 2022     November 30, 2021  
Operating activities            
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS   $ 5,475,279     $ 37,330,286  
ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE) IN NET ASSETS RESULTING                
FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:                
Payment-in-kind and other adjustments to cost     1,374,899       (1,120,081 )
Net accretion of discount on investments     (1,245,358 )     (1,368,430 )
Amortization of deferred debt financing costs     2,567,903       1,544,478  
Realized losses on extinguishment of debt     1,204,809       2,316,263  
Income tax expense (benefit)     (681,055 )     18,082  
Net realized (gain) loss from investments     (7,365,913 )     (13,328,663 )
Net change in unrealized (appreciation) depreciation on investments     25,768,113       (14,146,501 )
Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments     1,017,953       (921,610 )
Proceeds from sales and repayments of investments     162,090,516       216,236,729  
Purchases of investments     (345,088,953 )     (293,753,351 )
(Increase) decrease in operating assets:                
Interest receivable     (3,722,035 )     (343,168 )
Due from affiliate     90,968       2,719,000  
Management and incentive fee receivable     (1,266 )     (330,071 )
Other assets     18,119       (54,299 )
Deferred tax asset     (467,632 )     -  
Increase (decrease) in operating liabilities:                
Base management and incentive fees payable     (3,390,134 )     5,524,592  
Accounts payable and accrued expenses     466,950       210,809  
Tax receivable     -       -  
Current tax payable     (2,793,200 )     2,833,988  
Interest and debt fees payable     2,145,104       450,550  
Directors fees payable     25,932       (70,500 )
Excise tax payable     (630,183 )     (691,672 )
Due to manager     (257,628 )     10,887  
NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES     (162,929,180 )     (56,932,682 )
                 
Financing activities                
Borrowings on debt     105,500,000       135,000,000  
Paydowns on debt     (35,340,000 )     (73,500,000 )
Issuance of notes     163,500,000       175,000,000  
Repayments of notes     (43,125,000 )     (60,000,000 )
Payments of deferred debt financing costs     (7,400,318 )     (7,768,038 )
Discount on debt issuance, 6.000% notes 2027     (176,000 )     -  
Discount on debt issuance, 7.000% notes 2025     (360,000 )     -  
Premium on debt issuance, 4.375% notes 2026     -       1,250,000  
Proceeds from issuance of common stock     -       15,320,818  
Payments of cash dividends     (15,884,294 )     (12,838,851 )
Repurchases of common stock     (9,600,116 )     (1,252,143 )
Repurchases fees     (7,792 )     (992 )
Payments of offering costs     -       (124,714 )
NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES     157,106,480       171,086,080  
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS     (5,822,700 )     114,153,398  
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD     52,870,342       29,915,074  
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD   $ 47,047,642     $ 144,068,472  
                 
Supplemental information:                
Interest paid during the period   $ 18,374,593     $ 12,372,967  
Cash paid for taxes     2,770,984       727,469  
Supplemental non-cash information:                
Payment-in-kind interest income and other adjustments to cost     1,374,899     1,120,081  
Net accretion of discount on investments     1,245,358       1,368,430  
Amortization of deferred debt financing costs     2,567,903       1,544,478  
Stock dividend distribution     3,347,802       2,760,278  

 

See accompanying notes to consolidated financial statements.

 

4

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2022

(unaudited)

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Non-control/Non-affiliate investments - 231.7% (b)                         
Altvia MidCo, LLC.  Alternative Investment Management Software  First Lien Term Loan (3M USD TERM SOFR+8.50%), 12.91% Cash, 7/18/2027  7/18/2022  $8,000,000    7,924,459   $7,920,000    2.4%
Altvia MidCo, LLC. (h)  Alternative Investment Management Software  Series A-1 Preferred Shares  7/18/2022  $2,000,000    2,000,000    2,000,000    0.6%
     Total Alternative Investment Management Software           9,924,459    9,920,000    3.0%
Schoox, Inc. (h), (i)  Corporate Education Software  Series 1 Membership Interest  12/8/2020   1,050    475,698    3,723,862    1.1%
     Total Corporate Education Software           475,698    3,723,862    1.1%
GreyHeller LLC (h)  Cyber Security  Common Stock  11/10/2021   7,857,689    1,906,275    2,484,154    0.7%
     Total Cyber Security           1,906,275    2,484,154    0.7%
New England Dental Partners  Dental Practice Management  First Lien Term Loan (3M USD LIBOR+8.00%), 12.78% Cash, 11/25/2025  11/25/2020  $6,555,000    6,511,617    6,547,134    1.9%
New England Dental Partners  Dental Practice Management  Delayed Draw Term Loan (3M USD LIBOR+8.00%), 12.78% Cash, 11/25/2025  11/25/2020  $4,650,000    4,625,008    4,644,420    1.4%
     Total Dental Practice Management           11,136,625    11,191,554    3.3%
Exigo, LLC (d)  Direct Selling Software  First Lien Term Loan (1M USD LIBOR+5.75%), 9.89% Cash, 3/16/2027  3/16/2022  $24,875,000    24,682,800    24,484,463    7.3%
Exigo, LLC (j)  Direct Selling Software  Delayed Draw Term Loan (1M USD LIBOR+5.75%), 9.89% Cash, 3/16/2027  3/16/2022  $-    -    (65,417)   0.0%
Exigo, LLC (j)  Direct Selling Software  Revolving Credit Facility (1M USD LIBOR+5.75%), 9.89% Cash, 3/16/2027  3/16/2022  $208,333    208,333    191,979    0.1%
Exigo, LLC (h), (i)  Direct Selling Software  Common Units  3/16/2022   1,041,667    1,041,667    1,101,027    0.3%
     Total Direct Selling Software           25,932,800    25,712,052    7.7%

 

5

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
C2 Educational Systems (d)  Education Services  First Lien Term Loan (3M USD LIBOR+8.50%), 13.28% Cash, 5/31/2023  5/31/2017  $18,500,000    18,492,604    18,524,050    5.5%
C2 Education Systems, Inc. (h)  Education Services  Series A-1 Preferred Stock  5/18/2021   3,127    499,904    603,868    0.2%
Zollege PBC  Education Services  First Lien Term Loan (3M USD LIBOR+5.50%), 10.28% Cash, 5/11/2026  5/11/2021  $16,000,000    15,894,425    14,827,200    4.4%
Zollege PBC (j)  Education Services  Delayed Draw Term Loan (3M USD LIBOR+5.50%), 10.28% Cash, 5/11/2026  5/11/2021  $500,000    496,563    390,050    0.1%
Zollege PBC (h)  Education Services  Class A Units  5/11/2021   250,000    250,000    159,497    0.0%
     Total Education Services           35,633,496    34,504,665    10.2%
Destiny Solutions Inc. (h), (i)  Education Software  Limited Partner Interests  5/16/2018   3,068    3,969,291    8,742,860    2.6%
GoReact  Education Software  First Lien Term Loan (3M USD LIBOR+7.50%), 12.28% Cash, 1/17/2025  1/17/2020  $8,000,000    7,938,400    7,795,200    2.3%
GoReact (j)  Education Software  Delayed Draw Term Loan (3M USD LIBOR+7.50%), 12.28% Cash, 1/17/2025  1/18/2022  $1,000,000    1,000,000    961,600    0.3%
Identity Automation Systems (h)  Education Software  Common Stock Class A-2 Units  8/25/2014   232,616    232,616    146,008    0.0%
Identity Automation Systems (h)  Education Software  Common Stock Class A-1 Units  3/6/2020   43,715    171,571    213,157    0.1%
Ready Education  Education Software  First Lien Term Loan (3M USD TERM SOFR+6.00%), 10.41% Cash, 8/5/2027  8/5/2022  $27,000,000    26,737,018    26,730,000    8.0%
     Total Education Software           40,048,896    44,588,825    13.3%
TG Pressure Washing Holdings, LLC (h)  Facilities Maintenance  Preferred Equity  8/12/2019   488,148    488,148    405,613    0.1%
     Total Facilities Maintenance           488,148    405,613    0.1%
Davisware, LLC  Field Service Management  First Lien Term Loan (3M USD LIBOR+7.00%), 11.78% Cash, 7/31/2024  9/6/2019  $6,000,000    5,967,251    5,934,600    1.8%
Davisware, LLC (j)  Field Service Management  Delayed Draw Term Loan (3M USD LIBOR+7.00%), 11.78% Cash, 7/31/2024  9/6/2019  $1,977,790    1,966,562    1,956,232    0.6%
     Total Field Service Management           7,933,813    7,890,832    2.4%

 

6

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
B. Riley Financial, Inc. (a), (m)  Financial Services  Senior Unsecured Loan 6.75% Cash, 5/31/2024  10/18/2022  $165,301    165,301    164,508    0.0%
GDS Software Holdings, LLC  Financial Services  First Lien Term Loan (3M USD LIBOR+7.00%), 11.78% Cash, 12/30/2026  12/30/2021  $22,713,926    22,592,997    22,277,819    6.6%
GDS Software Holdings, LLC  Financial Services  Delayed Draw Term Loan (3M USD LIBOR+7.00%), 11.78% Cash, 12/30/2026  12/30/2021  $3,286,074    3,256,113    3,222,981    1.0%
GDS Software Holdings, LLC (h)  Financial Services  Common Stock Class A Units  8/23/2018   250,000    250,000    510,438    0.2%
     Total Financial Services           26,264,411    26,175,746    7.8%
Ascend Software, LLC  Financial Services Software  First Lien Term Loan (3M USD LIBOR+7.50%), 12.28% Cash, 12/15/2026  12/15/2021  $6,000,000    5,949,123    5,889,600    1.8%
Ascend Software, LLC (j)  Financial Services Software  Delayed Draw Term Loan (3M USD LIBOR+7.50%), 12.28% Cash, 12/15/2026  12/15/2021  $2,300,000    2,278,586    2,180,400    0.6%
     Total Financial Services Software           8,227,709    8,070,000    2.4%
Axiom Parent Holdings, LLC (h)  Healthcare Services  Common Stock Class A Units  6/19/2018   400,000    400,000    1,251,380    0.4%
ComForCare Health Care (d)  Healthcare Services  First Lien Term Loan (3M USD LIBOR+6.25%), 11.03% Cash, 1/31/2025  1/31/2017  $25,000,000    24,923,185    25,000,000    7.4%
     Total Healthcare Services           25,323,185    26,251,380    7.8%

 

7

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
HemaTerra Holding Company, LLC (d)  Healthcare Software  First Lien Term Loan (3M USD TERM SOFR+8.25%), 12.66% Cash, 1/31/2026  4/15/2019  $55,623,000    55,201,050    55,578,502    16.6%
HemaTerra Holding Company, LLC  Healthcare Software  Delayed Draw Term Loan (3M USD TERM SOFR+8.25%), 12.66% Cash, 1/31/2026  4/15/2019  $13,930,000    13,856,418    13,918,856    4.1%
TRC HemaTerra, LLC (h)  Healthcare Software  Class D Membership Interests  4/15/2019   2,487    2,816,693    4,350,225    1.3%
Procurement Partners, LLC  Healthcare Software  First Lien Term Loan (3M USD LIBOR+5.50%), 10.28% Cash, 11/12/2025  11/12/2020  $35,125,000    34,878,261    34,355,763    10.2%
Procurement Partners, LLC  Healthcare Software  Delayed Draw Term Loan (3M USD LIBOR+5.50%), 10.28% Cash, 11/12/2025  11/12/2020  $4,300,000    4,262,142    4,205,830    1.3%
Procurement Partners Holdings LLC (h)  Healthcare Software  Class A Units  11/12/2020   550,986    550,986    751,911    0.2%
     Total Healthcare Software           111,565,550    113,161,087    33.7%
Roscoe Medical, Inc. (h)  Healthcare Supply  Common Stock  3/26/2014   5,081    508,077    -    0.0%
     Total Healthcare Supply           508,077    -    0.0%
Book4Time, Inc. (a), (d)  Hospitality/Hotel  First Lien Term Loan (3M USD LIBOR+7.50%), 12.28% Cash, 12/22/2025  12/22/2020  $3,136,517    3,115,448    3,136,517    0.9%
Book4Time, Inc. (a)  Hospitality/Hotel  Delayed Draw Term Loan (3M USD LIBOR+7.50%), 12.28% Cash, 12/22/2025  12/22/2020  $2,000,000    1,982,829    2,000,000    0.6%
Book4Time, Inc. (a), (h), (i)  Hospitality/Hotel  Class A Preferred Shares  12/22/2020   200,000    156,826    256,275    0.1%
Knowland Group, LLC (h), (k)  Hospitality/Hotel  Second Lien Term Loan (3M USD LIBOR+8.00%), 12.78% Cash/1.00% PIK, 5/9/2024  11/9/2018  $15,878,989    15,878,989    9,741,760    2.9%
Sceptre Hospitality Resources, LLC  Hospitality/Hotel  First Lien Term Loan (3M USD TERM SOFR+7.25%), 11.66% Cash, 9/2/2026  4/27/2020  $23,000,000    22,789,543    22,783,800    6.8%
Sceptre Hospitality Resources, LLC (j)  Hospitality/Hotel  Delayed Draw Term Loan (3M USD TERM SOFR+7.25%), 11.66% Cash, 9/2/2026  9/2/2021  $-    -    -    0.0%
     Total Hospitality/Hotel           43,923,635    37,918,352    11.3%

 

8

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Granite Comfort, LP (d)  HVAC Services and Sales  First Lien Term Loan (3M USD TERM SOFR+8.02%), 12.43% Cash, 11/16/2025  11/16/2020  $43,000,000    42,666,886    42,570,000    12.7%
Granite Comfort, LP (j)  HVAC Services and Sales  Delayed Draw Term Loan (3M USD TERM SOFR+8.02%), 12.43% Cash, 11/16/2025  11/16/2020  $6,500,000    6,439,613    6,435,000    1.9%
     Total HVAC Services and Sales           49,106,499    49,005,000    14.6%
Vector Controls Holding Co., LLC (d)  Industrial Products  First Lien Term Loan (3M USD LIBOR+6.50%), 11.28% Cash, 3/6/2025  3/6/2013  $3,477,686    3,477,686   3,477,687     1.0 % 
Vector Controls Holding Co., LLC (h)  Industrial Products  Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  5/31/2015   343    -    5,612,524    1.7%
     Total Industrial Products           3,477,686    9,090,211    2.7%
AgencyBloc, LLC  Insurance Software  First Lien Term Loan (1M USD BSBY+8.00%), 11.97% Cash, 10/1/2026  10/1/2021  $13,500,000    13,396,690    13,444,650    4.0%
Panther ParentCo LLC (h)  Insurance Software  Class A Units  10/1/2021   2,500,000    2,500,000    3,155,741    0.9%
     Total Insurance Software           15,896,690    16,600,391    4.9%
LogicMonitor, Inc. (d)  IT Services  First Lien Term Loan (3M USD LIBOR+5.00%), 9.78% Cash, 5/17/2023  3/20/2020  $43,000,000    42,913,067    43,000,000    12.8%
     Total IT Services           42,913,067    43,000,000    12.8%
ActiveProspect, Inc. (d)  Lead Management Software  First Lien Term Loan (3M USD LIBOR+6.00%), 10.78% Cash, 8/8/2027  8/8/2022  $12,000,000    11,899,180    11,895,600    3.5%
ActiveProspect, Inc. (j)  Lead Management Software  Delayed Draw Term Loan (3M USD LIBOR+6.00%), 10.78% Cash, 8/8/2027  8/8/2022  $-    -    -    0.0%
     Total Lead Management Software           11,899,180    11,895,600    3.5%

 

9

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Centerbase, LLC  Legal Software  First Lien Term Loan (1M USD TERM SOFR+7.75%), 11.88% Cash, 1/18/2027  1/18/2022  $21,300,960    21,097,037    20,691,753    6.2%
     Total Legal Software           21,097,037    20,691,753    6.2%
Madison Logic, Inc. (d)  Marketing Orchestration Software  First Lien Term Loan (1M USD LIBOR+5.50%), 9.64% Cash, 11/22/2026  12/10/2021  $28,698,795    28,586,044    28,675,836    8.5%
Madison Logic, Inc. (j)  Marketing Orchestration Software  Revolving Credit Facility (1M USD LIBOR+5.50%), 9.64% Cash, 11/22/2026  12/10/2021  $-    -    -    0.0%
     Total Marketing Orchestration Software           28,586,044    28,675,836    8.5%
ARC Health OpCo LLC (d)  Mental Healthcare Services  First Lien Term Loan (3M USD TERM SOFR+8.49%), 12.90% Cash, 8/5/2027  8/5/2022  $6,500,000    6,422,385    6,418,750    1.9%
ARC Health OpCo LLC (d), (j)  Mental Healthcare Services   Delayed Draw Term Loan (3M USD TERM SOFR+8.49%), 12.90% Cash, 8/5/2027   8/5/2022  $7,726,978    7,632,170    7,630,391    2.3%
ARC Health OpCo LLC (h)  Mental Healthcare Services  Class A Preferred Shares  8/5/2022   2,587,236    2,794,214    2,794,215    0.8%
     Total Mental Healthcare Services           16,848,769    16,843,356    5.0%
Chronus LLC  Mentoring Software  First Lien Term Loan (3M USD LIBOR+5.25%), 10.03% Cash, 8/26/2026  8/26/2021  $15,000,000    14,880,506    14,874,000    4.4%
Chronus LLC  Mentoring Software  First Lien Term Loan (3M USD LIBOR+6.00%), 10.78% Cash, 8/26/2026  8/26/2021  $3,000,000    2,971,230    2,974,800    0.9%
Chronus LLC (h)  Mentoring Software  Series A Preferred Stock  8/26/2021   3,000    3,000,000    3,564,437    1.1%
     Total Mentoring Software           20,851,736    21,413,237    6.4%
Omatic Software, LLC  Non-profit Services  First Lien Term Loan (3M USD TERM SOFR+8.00%), 12.41% Cash/1.00% PIK, 5/29/2023  5/29/2018  $13,089,665    13,036,832    13,035,998    3.9%
     Total Non-profit Services           13,036,832    13,035,998    3.9%

 

10

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Emily Street Enterprises, L.L.C.  Office Supplies  Senior Secured Note (3M USD LIBOR+8.50%), 13.28% Cash, 2/31/2023  12/28/2012  $3,300,000    3,300,000    3,249,510    1.0%
Emily Street Enterprises, L.L.C. (h)  Office Supplies  Warrant Membership Interests Expires 12/28/2022  12/28/2012   49,318    400,000    354,649    0.1%
     Total Office Supplies           3,700,000    3,604,159    1.1%
Apex Holdings Software Technologies, LLC  Payroll Services  First Lien Term Loan (3M USD LIBOR+8.00%), 12.78% Cash, 9/21/2024  9/21/2016  $15,500,000    15,493,229    15,489,150    4.6%
     Total Payroll Services           15,493,229    15,489,150    4.6%
Buildout, Inc.  Real Estate Services  First Lien Term Loan (3M USD LIBOR+7.00%), 11.78% Cash, 7/9/2025  7/9/2020  $14,000,000    13,915,108    13,843,200    4.1%
Buildout, Inc.  Real Estate Services  Delayed Draw Term Loan (3M USD LIBOR+7.00%), 11.78% Cash, 7/9/2025  2/12/2021  $38,500,000    38,229,236    38,068,800    11.4%
Buildout, Inc. (h), (i)  Real Estate Services  Limited Partner Interests  7/9/2020   1,160    1,205,308    1,307,141    0.4%
     Total Real Estate Services           53,349,652    53,219,141    15.9%
Wellspring Worldwide Inc.  Research Software  First Lien Term Loan (3M USD BSBY+7.25%), 11.84% Cash, 6/27/2027  6/27/2022  $9,600,000    9,499,135    9,493,440    2.8%
Archimedes Parent LLC (h)  Research Software  Class A Common Units  6/27/2022   1,000,000    1,000,000    1,000,000    0.3%
     Total Research Software           10,499,135    10,493,440    3.1%
LFR Chicken LLC  Restaurant  First Lien Term Loan (1M USD LIBOR+7.00%), 11.14% Cash, 11/19/2026  11/19/2021  $12,000,000    11,901,087    11,817,600    3.6%
LFR Chicken LLC (j)  Restaurant  Delayed Draw Term Loan (1M USD LIBOR+7.00%), 11.14% Cash, 11/19/2026  11/19/2021  $9,000,000    8,922,513    8,863,200    2.6%
LFR Chicken LLC (h)  Restaurant  Series B Preferred Units  11/19/2021   497,183    1,000,000    1,108,405    0.3%
TMAC Acquisition Co., LLC  Restaurant  Unsecured Term Loan 8.00% PIK, 9/1/2023  3/1/2018  $2,979,312    2,979,312    2,815,105    0.8%
     Total Restaurant           24,802,912    24,604,310    7.3%

 

11

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Pepper Palace, Inc. (d)  Specialty Food Retailer  First Lien Term Loan (3M USD LIBOR+6.25%), 11.03% Cash, 6/30/2026  6/30/2021  $33,575,000    33,313,811    24,325,088    7.2%
Pepper Palace, Inc. (j)  Specialty Food Retailer  Delayed Draw Term Loan (3M USD LIBOR+6.25%), 11.03% Cash, 6/30/2026  6/30/2021  $-    -    -    0.0%
Pepper Palace, Inc. (j)  Specialty Food Retailer  Revolving Credit Facility (3M USD LIBOR+6.25%), 11.03% Cash, 6/30/2026  6/30/2021  $-    -    -    0.0%
Pepper Palace, Inc. (h)  Specialty Food Retailer  Membership Interest  6/30/2021   1,000,000    1,000,000    -    0.0%
     Total Specialty Food Retailer           34,313,811    24,325,088    7.2%
ArbiterSports, LLC (d)  Sports Management  First Lien Term Loan (3M USD LIBOR+6.50%), 11.28% Cash, 2/21/2025  2/21/2020  $26,000,000    25,882,301    25,810,200    7.7%
ArbiterSports, LLC  Sports Management  Delayed Draw Term Loan (3M USD LIBOR+6.50%), 11.28% Cash, 2/21/2025  2/21/2020  $1,000,000    1,000,000    992,700    0.3%
     Total Sports Management           26,882,301    26,802,900    8.0%
Avionte Holdings, LLC (h)  Staffing Services  Class A Units  1/8/2014   100,000    100,000    2,080,370    0.6%
     Total Staffing Services           100,000    2,080,370    0.6%
JDXpert  Talent Acquisition Software  First Lien Term Loan (3M USD LIBOR+8.50%), 13.28% Cash, 5/2/2027  5/2/2022  $6,000,000    5,943,524    6,039,000    1.9%
JDXpert (j)  Talent Acquisition Software  Delayed Draw Term Loan (3M USD LIBOR+8.50%), 13.28% Cash, 5/2/2027  5/2/2022  $-    -    -    0.0%
Jobvite, Inc. (d)  Talent Acquisition Software  First Lien Term Loan (6M USD TERM SOFR+8.00%), 12.70% Cash, 8/5/2028  8/5/2022  $20,000,000    19,852,834    20,000,000    6.0%
     Total Talent Acquisition Software           25,796,358    26,039,000    7.9%
National Waste Partners (d)  Waste Services  Second Lien Term Loan 10.00% Cash, 11/13/2022  2/13/2017  $9,000,000    9,000,000    9,000,000    2.7%
     Total Waste Services           9,000,000    9,000,000    2.7%
Sub Total Non-control/Non-affiliate investments                 776,943,715    777,907,062    231.7%

 

12

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Affiliate investments - 28.6% (b)                             
Artemis Wax Corp. (d), (f)  Consumer Services  Delayed Draw Term Loan (1M USD LIBOR+9.00%), 13.14% Cash, 5/20/2026  5/20/2021  $30,000,000    29,760,680    29,967,000    8.9%
Artemis Wax Corp. (f)  Consumer Services  Delayed Draw Term Loan (1M USD LIBOR+6.50%), 10.64% Cash, 5/20/2026  5/19/2022  $18,000,000    17,832,599    17,980,200    5.5%
Artemis Wax Corp. (f), (j)  Consumer Services  Delayed Draw Term Loan (1M USD LIBOR+7.50%), 11.64% Cash, 5/20/2026  5/19/2022  $9,500,000    9,407,532    9,489,550    2.8%
Artemis Wax Corp. (f), (h)  Consumer Services  Series B-1 Preferred Stock  5/20/2021   934,463    1,500,000    4,977,250    1.5%
Artemis Wax Corp. (f), (h)  Consumer Services  Series C Preferred Stock  5/20/2021   6,163    6,162,526    6,162,526    1.8%
     Total Consumer Services           64,663,337    68,576,526    20.5%
ETU Holdings, Inc. (f)  Corporate Education Software  First Lien Term Loan (3M USD LIBOR+9.00%), 13.78% Cash, 8/18/2027  8/18/2022  $7,000,000    6,932,059    6,930,000    2.1%
ETU Holdings, Inc. (f)  Corporate Education Software  Second Lien Term Loan 15.00% PIK, 2/18/2028  8/18/2022  $5,089,583    5,039,831    5,038,688    1.5%
ETU Holdings, Inc. (f), (h)  Corporate Education Software  Series A-1 Preferred Stock  8/18/2022   3,000,000    3,000,000    3,000,000    0.9%
     Total Corporate Education Software           14,971,890    14,968,688    4.5%

 

13

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Axero Holdings, LLC (f)  Employee Collaboration Software  First Lien Term Loan (3M USD LIBOR+10.00%), 14.78% Cash, 6/30/2026  6/30/2021  $5,500,000    5,455,829    5,529,150    1.6%
Axero Holdings, LLC (f)  Employee Collaboration Software  Delayed Draw Term Loan (3M USD LIBOR+10.00%), 14.78% Cash, 6/30/2026  6/30/2021  $1,100,000    1,089,888    1,105,830    0.3%
Axero Holdings, LLC (f), (j)  Employee Collaboration Software  Revolving Credit Facility (3M USD LIBOR+10.00%), 14.78% Cash, 6/30/2026  2/3/2022  $-    -    -    0.0%
Axero Holdings, LLC (f), (h)  Employee Collaboration Software  Series A Preferred Units  6/30/2021   2,000,000    2,000,000    2,425,000    0.7%
Axero Holdings, LLC (f), (h)  Employee Collaboration Software  Series B Preferred Units  6/30/2021   2,000,000    2,000,000    3,446,470    1.0%
     Total Employee Collaboration Software           10,545,717    12,506,450    3.6%
Sub Total Affiliate investments                 90,180,944    96,051,664    28.6%
Control investments - 32.2% (b)                             
Netreo Holdings, LLC (g)  IT Services  First Lien Term Loan (3M USD LIBOR+6.50%), 11.28% Cash/2.00% PIK, 12/31/2025  7/3/2018  $5,511,426    5,491,258    5,414,976    1.6%
Netreo Holdings, LLC (d), (g), (j)  IT Services  Delayed Draw Term Loan (3M USD LIBOR+6.50%), 11.28% Cash/2.00% PIK, 12/31/2025  5/26/2020  $19,661,882    19,583,424    19,317,799    5.8%
Netreo Holdings, LLC (g), (h)  IT Services  Common Stock Class A Unit  7/3/2018   4,600,677    8,344,500    17,661,450    5.3%
     Total IT Services           33,419,182    42,394,225    12.7%

 

14

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   %  of
Net Assets
 
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)  Structured Finance Securities  Other/Structured Finance Securities 0.00%, 4/20/2023  1/22/2008  $111,000,000    29,969,356    19,427,844    5.8%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a), (g)  Structured Finance Securities  Other/Structured Finance Securities (3M USD LIBOR+10.00%), 14.78% Cash, 4/20/2023  8/9/2021  $9,375,000    9,375,000    8,501,620    2.5%
Saratoga Investment Corp Senior Loan Fund 2022-1 Ltd Class E Note (a), (g)  Structured Finance Securities  Other/Structured Finance Securities (3M USD TERM SOFR+8.55%), 12.96% Cash, 10/20/2033  10/28/2022  $12,250,000    11,392,500    10,969,982    3.3%
     Total Structured Finance Securities           50,736,856    38,899,446    11.6%
Saratoga Senior Loan Fund I JV, LLC (a), (g), (j)  Investment Fund  Unsecured Loan 10.00%, 6/15/2023  2/17/2022  $17,618,954    17,618,954    17,618,954    5.2%
Saratoga Senior Loan Fund I JV, LLC (a), (g), (h)  Investment Fund  Membership Interest  2/17/2022   17,583,486    17,583,486    9,162,701    2.7%
     Total Investment Fund           35,202,440    26,781,655    7.9%
Sub Total Control investments                 119,358,478    108,075,326    32.2%
Total Investments - 292.5%                $986,483,137   $982,034,052    292.5%

 

15

 

 

   Number of Shares   Cost   Fair Value   % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 14.0% (b)                
U.S. Bank Money Market (l)   47,047,642   $47,047,642   $47,047,642    14.0%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts   47,047,642   $47,047,642   $47,047,642    14.0%

 

(1) Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and are restricted securities.

 

(a) Represents an investment that is not a “qualifying asset” under Section 55(a) of the Investment Company Act of 1940, as amended (the 1940 Act”). As of November 30, 2022, non-qualifying assets represent 8.6% of the Company’s portfolio at fair value. As a BDC, the Company generally has to invest at least 70% of its total assets in qualifying assets.

 

(b) Percentages are based on net assets of $335,763,600 as of November 30, 2022.

 

(c) Because there is no “readily available market quotations” (as defined in the 1940 Act) for these investments, except for B. Riley Financial, Inc., the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements). B. Riley Financial, Inc.’s fair value is based on quoted prices in active markets, identical assets or liabilities that the Company has the ability to access. These investments have been included as Level 1 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).

 

(d) These securities are either fully or partially pledged as collateral under the Company’s senior secured revolving credit facility (see Note 8 to the consolidated financial statements).

 

(e) This investment does not have a stated interest rate that is payable thereon. As a result, the 0.00% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.

 

16

 

 

(f) As defined in the 1940 Act, this portfolio company is an “affiliate” as we own between 5.0% and 25.0% of the outstanding voting securities. Transactions during the nine months ended November 30, 2022 in which the issuer was an affiliate are as follows:

 

Company  Purchases   Sales   Total Interest from Investments   Management Fee Income   Net Realized
Gain (Loss) from Investments
   Net Change in Unrealized Appreciation (Depreciation) 
Artemis Wax Corp.  $27,440,000   $
    -
   $3,418,378   $
                -
   $
            -
   $2,452,903 
Axero Holdings, LLC   1,089,000    
-
    609,408    
-
    
-
    1,411,823 
ETU Holdins, Inc.   14,880,000    
-
    480,690    
-
    
-
    (3,202)
Total  $43,409,000   $
-
   $4,508,476   $
-
   $
-
   $3,861,524 

 

(g) As defined in the 1940 Act, we “control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. In addition, we “control” Saratoga Investment Corp Senior Loan Fund 2022-1 Ltd. (“SLF 2022”) because SLF 2022 is a wholly owned subsidiary of Saratoga Senior Loan Fund I JV, LLC, of which we own more than 25% of the outstanding voting shares. Transactions during the nine months ended November 30, 2022 in which the issuer was both an affiliate and a portfolio company that we control are as follows:

 

Company  Purchases   Sales   Total Interest from Investments   Management Fee Income   Net Realized
Gain (Loss) from Investments
   Net Change in Unrealized Appreciation (Depreciation) 
Netreo Holdings, LLC  $5,960,000   $
-
   $1,695,950   $
-
   $
          -
   $(1,668,472)
Saratoga Investment Corp. CLO 2013-1, Ltd.   
-
    
-
    1,228,486    2,451,242    
-
    (6,923,291)
Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd.   11,392,500    
-
    148,285    
-
    
-
    (422,518)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note   
-
    
-
    855,965    
-
    
-
    (873,380)
Saratoga Senior Loan Fund I JV, LLC   4,493,954    
-
    1,062,625    
-
    
-
    
-
 
Saratoga Senior Loan Fund I JV, LLC   4,458,486    
-
    
-
    
-
    
-
    (7,311,849)
Total  $26,304,940   $
-
   $4,991,311   $2,451,242   $
-
   $(17,199,510)

 

(h) Non-income producing at November 30, 2022.

 

(i) Includes securities issued by an affiliate of the company.

 

(j) All or a portion of this investment has an unfunded commitment as of November 30, 2022. (See Note 9 to the consolidated financial statements).

 

(k) As of November 30, 2022, the investment was on non-accrual status. The fair value of these investments was approximately $9.7 million, which represented 2.9% of the Company’s portfolio (see Note 2 to the consolidated financial statements).

 

(l) Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of November 30, 2022.

 

(m) The fair value of these investments are based on quoted prices in active markets, identical assets or liabilities that the Company has the ability to access. These investments have been included as Level 1 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).

 

BSBY - Bloomberg Short-Term Bank Yield

LIBOR - London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

 

1M USD BSBY - The 1 month USD BSBY rate as of November 30, 2022 was 3.97%.

3M USD BSBY - The 3 month USD BSBY rate as of November 30, 2022 was 4.59%.

1M USD LIBOR - The 1 month USD LIBOR rate as of November 30, 2022 was 4.14%.

3M USD LIBOR - The 3 month USD LIBOR rate as of November 30, 2022 was 4.78%.

1M USD TERM SOFR - The 1 month USD TERM SOFR rate as of November 30, 2022 was 4.13%

3M USD TERM SOFR - The 3 month USD TERM SOFR rate as of November 30, 2022 was 4.41%

6M USD TERM SOFR - The 6 month USD TERM SOFR rate as of November 30, 2022 was 4.70%

PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements).

 

17

 

 

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2022

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
Non-control/Non-affiliate investments - 187.4% (b)                         
Targus Holdings, Inc. (h)  Consumer Products  Common Stock      12/31/2009   210,456   $1,589,630   $692,535    0.2%
      Total Consumer Products           1,589,630    692,535    0.2%
Schoox, Inc. (h), (i)  Corporate Education Software  Series 1 Membership Interest  12/8/2020   1,050    475,698    3,305,839    0.9%
      Total Corporate Education Software           475,698    3,305,839    0.9%
GreyHeller LLC (h)  Cyber Security  Common Stock      11/10/2021   6,742,392    1,635,704    1,635,704    0.5%
        Total Cyber Security           1,635,704    1,635,704    0.5%
New England Dental Partners  Dental Practice Management  First Lien Term Loan
(3M USD LIBOR+8.00%), 8.50% Cash, 11/25/2025    
  11/25/2020  $6,555,000    6,502,672    6,404,891    1.8%
New England Dental Partners (j)  Dental Practice Management  Delayed Draw Term Loan
(3M USD LIBOR+8.00%), 8.50% Cash, 11/25/2025    
  11/25/2020  $2,150,000    2,132,639    1,997,715    0.6%
      Total Dental Practice Management           8,635,311    8,402,606    2.4%
PDDS Buyer, LLC (d)  Dental Practice Management Software  First Lien Term Loan
(3M USD LIBOR+5.50%), 6.00% Cash, 7/15/2024    
  7/15/2019  $28,000,000    27,943,852    27,938,400    7.9%
PDDS Buyer, LLC (h)  Dental Practice Management Software  Series A-1 Preferred Shares      8/10/2020   1,755,831    2,000,000    7,099,940    2.0%
        Total Dental Practice Management Software           29,943,852    35,038,340    9.9%
C2 Educational Systems  Education Services  First Lien Term Loan
(3M USD LIBOR+8.50%), 10.00% Cash, 5/31/2023    
  5/31/2017  $18,500,000    18,484,747    18,220,650    5.1%
C2 Education Systems, Inc. (h)  Education Services  Series A-1 Preferred Stock      5/18/2021   3,127    499,904    599,296    0.2%
Zollege PBC  Education Services  First Lien Term Loan
(3M USD LIBOR+5.50%), 6.50% Cash, 5/11/2026    
  5/11/2021  $16,000,000    15,877,908    15,794,300    4.4%
Zollege PBC (j)  Education Services  Delayed Draw Term Loan
(3M USD LIBOR+5.50%), 6.50% Cash, 5/11/2026    
  5/11/2021  $500,000    495,811    493,950    0.1%
Zollege PBC (h)  Education Services  Class A Units      5/11/2021   250,000    250,000    201,218    0.1%
        Total Education Services           35,608,370    35,309,414    9.9%
Destiny Solutions Inc. (h), (i)  Education Software  Limited Partner Interests      5/16/2018   3,065    3,969,291    7,632,061    2.1%
Identity Automation Systems (d)  Education Software  First Lien Term Loan
(3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024    
  8/25/2014  $16,941,250    16,941,250    16,941,250    4.8%
Identity Automation Systems (h)  Education Software  Common Stock Class A-2 Units      8/25/2014   232,616    232,616    801,923    0.2%
Identity Automation Systems (h)  Education Software  Common Stock Class A-1 Units      3/6/2020   43,715    171,571    200,820    0.1%

 

18

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
GoReact  Education Software  First Lien Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025    
  1/17/2020  $8,000,000    7,920,033    8,080,000    2.3%
GoReact (j)  Education Software  Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025    
  1/18/2022  $-    -    -    0.0%
      Total Education Software           29,234,761    33,656,054    9.5%
TG Pressure Washing Holdings, LLC (h)  Facilities Maintenance  Preferred Equity      8/12/2019   488,148    488,148    482,036    0.1%
      Total Facilities Maintenance           488,148    482,036    0.1%
Davisware, LLC  Field Service Management  First Lien Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024    
  9/6/2019  $6,000,000    5,954,705    6,003,000    1.7%
Davisware, LLC (j)  Field Service Management  Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024    
  9/6/2019  $977,790    975,504    978,279    0.3%
        Total Field Service Management           6,930,209    6,981,279    2.0%
GDS Software Holdings, LLC  Financial Services  First Lien Term Loan
(3M USD LIBOR+7.00%), 8.00% Cash, 12/30/2026    
  12/30/2021  $22,713,926    22,579,864    22,570,829    6.3%
GDS Software Holdings, LLC (j)  Financial Services  Delayed Draw Term loan
(3M USD LIBOR+7.00%), 8.00% Cash, 12/30/2026    
  12/18/2021  $500,000    495,031    496,850    0.1%
GDS Software Holdings, LLC  (h)  Financial Services  Common Stock Class A Units      8/23/2018   250,000    250,000    472,009    0.1%
        Total Financial Services           23,324,895    23,539,688    6.5%
Ascend Software, LLC  Financial Services Software  First Lien Term Loan
(3M USD LIBOR+7.50%), 8.50% Cash, 12/15/2026    
  12/15/2021  $6,000,000    5,942,482    5,940,000    1.7%
Ascend Software, LLC (j)  Financial Services Software  Delayed Draw Term Loan
(3M USD LIBOR+7.50%), 8.50% Cash, 12/15/2026    
  12/15/2021  $-    -    -    0.0%
      Total Financial Services Software           5,942,482    5,940,000    1.7%
Ohio Medical, LLC (h)  Healthcare Products Manufacturing  Common Stock      1/15/2016   5,000    380,353    714,271    0.2%
      Total Healthcare Products Manufacturing           380,353    714,271    0.2%

 

19

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
Axiom Parent Holdings, LLC (h)  Healthcare Services  Common Stock Class A Units      6/19/2018   400,000    400,000    1,032,934    0.3%
Axiom Purchaser, Inc. (d)  Healthcare Services  First Lien Term Loan
(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023    
  6/19/2018  $10,000,000    9,974,217    10,013,000    2.8%
Axiom Purchaser, Inc. (d)  Healthcare Services  Delayed Draw Term Loan
(3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023    
  6/19/2018  $6,000,000    5,977,846    6,007,800    1.7%
ComForCare Health Care (d)  Healthcare Services  First Lien Term Loan
(3M USD LIBOR+7.25%), 8.25% Cash, 1/31/2025    
  1/31/2017  $25,000,000    24,903,581    25,000,000    7.0%
      Total Healthcare Services           41,255,644    42,053,734    11.8%
TRC HemaTerra, LLC (h)  Healthcare Software  Class D Membership Interests      4/15/2019   2,487    2,816,693    3,788,769    1.1%
HemaTerra Holding Company, LLC (d)  Healthcare Software  First Lien Term Loan
(3M USD LIBOR+8.25%), 9.25% Cash, 1/31/2026    
  4/15/2019  $36,000,000    35,715,061    35,640,000    10.0%
HemaTerra Holding Company, LLC (d)  Healthcare Software  Delayed Draw Term Loan
(3M USD LIBOR+8.25%), 9.25% Cash, 1/31/2026    
  4/15/2019  $14,000,000    13,912,744    13,860,000    3.9%
Procurement Partners, LLC  Healthcare Software  First Lien Term Loan
(3M USD LIBOR+5.50%), 6.50% Cash, 11/12/2025    
  11/12/2020  $35,125,000    34,827,633    34,998,550    9.8%
Procurement Partners, LLC (j)  Healthcare Software  Delayed Draw Term Loan
(3M USD LIBOR+5.50%), 6.50% Cash, 11/12/2025    
  11/12/2020  $1,200,000    1,188,047    1,195,680    0.3%
Procurement Partners Holdings LLC (h)  Healthcare Software  Class A Units      11/12/2020   550,986    550,986    643,044    0.2%
      Total Healthcare Software           89,011,164    90,126,043    25.3%
Roscoe Medical, Inc. (h)  Healthcare Supply  Common Stock      3/26/2014   5,081    508,077    52,853    0.0%
Roscoe Medical, Inc.  Healthcare Supply  Second Lien Term Loan
11.25% Cash, 3/31/2022    
  3/26/2014  $5,141,413    5,141,413    5,141,413    1.4%
        Total Healthcare Supply           5,649,490    5,194,266    1.4%
Book4Time, Inc. (a), (d)  Hospitality/Hotel  First Lien Term Loan
(3M USD LIBOR+8.50%), 10.25%, 12/22/2025    
  12/22/2020  $3,136,517    3,111,278    3,112,052    0.9%
Book4Time, Inc. (a), (j)  Hospitality/Hotel  Delayed Draw Term Loan
(3M USD LIBOR+8.50%), 10.25%, 12/22/2025    
  12/22/2020  $-    -    -    0.0%
Book4Time, Inc. (a), (h), (i)  Hospitality/Hotel  Class A Preferred Shares      12/22/2020  $200,000    156,826    198,638    0.1%
Knowland Group, LLC  Hospitality/Hotel  Second Lien Term Loan
(3M USD LIBOR+8.00%), 10.00% Cash/1.00% PIK, 5/9/2024    
  11/9/2018  $15,878,989    15,878,989    10,592,873    3.0%
Sceptre Hospitality Resources, LLC  Hospitality/Hotel  First Lien Term Loan
(1M USD LIBOR+8.00%), 9.00% Cash, 9/2/2026    
  4/27/2020  $6,000,000    5,952,460    6,021,000    1.7%
Sceptre Hospitality Resources, LLC (j)  Hospitality/Hotel  Delayed Draw Term Loan
(1M USD LIBOR+8.00%), 9.00% Cash, 9/2/2026    
  9/2/2021  $-    -    -    0.0%
      Total Hospitality/Hotel           25,099,553    19,924,563    5.7%

 

20

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
Granite Comfort, LP  HVAC Services and Sales  First Lien Term Loan
(1M USD LIBOR+8.00%), 9.00% Cash, 11/16/2025    
  11/16/2020  $28,000,000    27,764,146    27,977,600    7.9%
Granite Comfort, LP(j)  HVAC Services and Sales  Delayed Draw Term Loan
(1M USD LIBOR+8.00%), 9.00% Cash, 11/16/2025    
  11/16/2020  $2,000,000    1,980,805    1,998,400    0.6%
      Total HVAC Services and Sales           29,744,951    29,976,000    8.5%
AgencyBloc, LLC  Insurance Software  First Lien Term Loan
(3M USD BSBY+8.00%), 9.00% Cash, 10/1/2026    
  10/1/2021  $9,000,000    8,925,938    8,920,800    2.5%
Panther ParentCo LLC (h)  Insurance Software  Class A Units      10/1/2021   2,000,000    2,000,000    2,000,000    0.6%
      Total Insurance Software           10,925,938    10,920,800    3.1%
Vector Controls Holding Co., LLC (d)  Industrial Products  First Lien Term Loan
(3M USD LIBOR+6.50%), 8.00% Cash, 3/6/2025    
  3/6/2013  $5,008,186    5,008,186    5,008,186    1.4%
Vector Controls Holding Co., LLC (h)  Industrial Products  Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027      5/31/2015   343    -    3,418,993    1.0%
      Total Industrial Products           5,008,186    8,427,179    2.4%
LogicMonitor, Inc. (d)  IT Services  First Lien Term Loan
(3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023    
  3/20/2020  $43,000,000    42,806,801    43,000,000    12.1%
      Total IT Services           42,806,801    43,000,000    12.1%
Centerbase, LLC  Legal Software  First Lien Term Loan
(Daialy USD SOFR+7.50%), 8.50% Cash, 1/18/2027    
  1/18/2022  $7,500,000    7,409,860    7,425,000    2.1%
      Total Legal Software           7,409,860    7,425,000    2.1%
Madison Logic, Inc.  Marketing Orchestration Software  First Lien Term Loan
(1M USD LIBOR+5.75%), 6.75% Cash, 11/22/2026    
  12/10/2021  $28,915,663    28,782,977    28,776,867    8.1%
Madison Logic, Inc. (j)  Marketing Orchestration Software  Revolving Credit Facility
(1M USD LIBOR+5.75%), 6.75% Cash, 11/22/2026    
  12/10/2021  $-    -    -    0.0%
      Total Marketing Orchestration Software           28,782,977    28,776,867    8.1%
inMotionNow, Inc.  Marketing Services  First Lien Term Loan
(3M USD LIBOR+7.50), 10.00% Cash, 5/15/2024    
  5/15/2019  $12,200,000    12,139,533    12,290,280    3.5%
inMotionNow, Inc. (d)  Marketing Services  Delayed Draw Term Loan
(3M USD LIBOR+7.50)  10.00% Cash, 5/15/2024    
  5/15/2019  $5,000,000    4,972,992    5,037,000    1.4%
      Total Marketing Services           17,112,525    17,327,280    4.9%
Chronus LLC  Mentoring Software  First Lien Term Loan
(3M USD LIBOR+5.25), 6.25% Cash, 8/26/2026    
  8/26/2021  $15,000,000    14,861,338    14,938,500    4.2%
Chronus LLC (h)  Mentoring Software  Series A Preferred Stock      8/26/2021   3,000    3,000,000    3,382,625    1.0%
      Total Mentoring Software           17,861,338    18,321,125    5.2%

 

21

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
Omatic Software, LLC  Non-profit Services  First Lien Term Loan
(3M USD LIBOR+8.00%), 9.75% Cash/1.00% PIK, 5/29/2023    
  5/29/2018  $10,010,685    9,955,082    10,038,714    2.8%
      Total Non-profit Services           9,955,082    10,038,714    2.8%
Emily Street Enterprises, L.L.C.  Office Supplies  Senior Secured Note
(3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2023    
  12/28/2012  $3,300,000    3,300,000    3,278,880    0.9%
Emily Street Enterprises, L.L.C. (h)  Office Supplies  Warrant Membership Interests                          
Expires 12/28/2022    
  12/28/2012   49,318    400,000    446,927    0.1%
      Total Office Supplies           3,700,000    3,725,807    1.0%
Apex Holdings Software Technologies, LLC  Payroll Services  First Lien Term Loan
(3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024    
  9/21/2016  $17,000,000    16,990,006    17,000,000    4.7%
        Total Payroll Services           16,990,006    17,000,000    4.7%
Buildout, Inc.  Real Estate Services  First Lien Term Loan
(3M USD LIBOR+7.00%), 8.00% Cash, 7/9/2025    
  7/9/2020  $14,000,000    13,897,546    13,904,800    3.9%
Buildout, Inc.  Real Estate Services  Delayed Draw Term Loan
(3M USD LIBOR+7.00%), 8.00% Cash, 7/9/2025    
  2/12/2021  $38,500,000    38,173,998    38,238,200    10.6%
Buildout, Inc. (h), (i)  Real Estate Services  Limited Partner Interests      7/9/2020   1,205    1,205,308    1,363,014    0.4%
      Total Real Estate Services           53,276,852    53,506,014    14.9%
LFR Chicken LLC  Restaurant  First Lien Term Loan
(1M USD LIBOR+7.00%), 8.00% Cash, 11/19/2026    
  11/19/2021  $12,000,000    11,886,588    11,880,000    3.3%
LFR Chicken LLC (j)  Restaurant  Delayed Draw Term Loan
(1M USD LIBOR+7.00%), 8.00% Cash, 11/19/2026    
  11/19/2021  $-    -    -    0.0%
LFR Chicken LLC (h)  Restaurant  Series B Preferred Units      11/19/2021   497,183    1,000,000    999,984    0.3%
TMAC Acquisition Co., LLC  Restaurant  Unsecured Term Loan
8.00% PIK, 9/01/2023    
  3/1/2018  $2,979,312    2,979,312    2,805,541    0.8%
      Total Restaurant           15,865,900    15,685,525    4.4%
Pepper Palace, Inc. (d)  Specialty Food Retailer  First Lien Term Loan
(3M USD LIBOR+6.25%), 7.25% Cash, 6/30/2026    
  6/30/2021  $33,830,000    33,531,592    33,261,656    9.2%
Pepper Palace, Inc. (j)  Specialty Food Retailer  Delayed Draw Term Loan
(3M USD LIBOR+6.25%), 7.25% Cash, 6/30/2026    
  6/30/2021  $-    -    (33,600)   0.0%
Pepper Palace, Inc. (j)  Specialty Food Retailer  Revolving Credit Facility
(3M USD LIBOR+6.25%), 7.25% Cash, 6/30/2026    
  6/30/2021  $-    -    (42,000)   0.0%
Pepper Palace, Inc. (h)  Specialty Food Retailer  Membership Interest      6/30/2021   1,000,000    1,000,000    827,050    0.1%
      Total Specialty Food Retailer           34,531,592    34,013,106    9.3%

 

22

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
ArbiterSports, LLC (d)  Sports Management  First Lien Term Loan
(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025    
  2/21/2020  $26,000,000    25,846,091    25,667,199    7.1%
ArbiterSports, LLC (d)  Sports Management  Delayed Draw Term Loan
(3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025    
  2/21/2020  $1,000,000    999,997    987,200    0.3%
      Total Sports Management           26,846,088    26,654,399    7.4%
Avionte Holdings, LLC (h)  Staffing Services  Class A Units      1/8/2014   100,000    100,000    1,912,328    0.5%
        Total Staffing Services           100,000    1,912,328    0.5%
Jobvite, Inc. (d)  Talent Acquisition Software  Second Lien Term Loan
(3M USD LIBOR+7.50%), 8.50% Cash, 1/6/2027    
  7/6/2021  $20,000,000    19,841,684    19,652,000    5.5%
      Total Talent Acquisition Software           19,841,684    19,652,000    5.5%
National Waste Partners (d)  Waste Services  Second Lien Term Loan
10.00% Cash, 11/13/2022    
  2/13/2017  $9,000,000    9,000,000.0    9,000,000.0    2.5%
      Total Waste Services           9,000,000    9,000,000    2.5%
Sub Total Non-control/Non-affiliate investments                 654,965,044    668,358,516    187.4%
Affiliate investments - 13.5% (b)                             
                             
Artemis Wax Corp. (f), (j)  Consumer Services  Delayed Draw Term Loan
(1M USD LIBOR+9.00%), 11.00% Cash, 5/20/2026    
  5/20/2021  $30,000,000    29,727,282    30,000,000    8.4%
Artemis Wax Corp. (f), (h)  Consumer Services  Series B-1 Preferred Stock      5/20/2021   934,463    1,500,000    2,687,573    0.8%
Artemis Wax Corp. (f), (h)  Consumer Services  Series C Preferred Stock      5/20/2021   5,547    5,546,609    5,546,605    1.6%
      Total Consumer Services           36,773,891    38,234,178    10.8%
Axero Holdings, LLC (f)  Employee Collaboration Software  First Lien Term Loan
(3M USD LIBOR+10.00%), 11.00% Cash, 6/30/2026    
  6/30/2021  $5,500,000    5,451,036    5,482,950    1.5%
Axero Holdings, LLC (f), (j)  Employee Collaboration Software  Delayed Draw Term Loan
(3M USD LIBOR+10.00%), 11.00% Cash, 6/30/2026    
  6/30/2021  $-    -    -    0.0%
Axero Holdigns, LLC (f), (j)  Employee Collaboration Software  Revolving Credit Facility
(3M USD LIBOR+10.00%), 11.00% Cash, 6/30/2026    
  2/3/2022  $-    -    -    0.0%
Axero Holdings, LLC (f), (h)  Employee Collaboration Software  Series A Preferred Units      6/30/2021   2,000,000    2,000,000    2,198,000    0.5%
Axero Holdings, LLC (f), (h)  Employee Collaboration Software  Series B Preferred Units      6/30/2021   2,000,000    2,000,000    2,318,996    0.7%
      Total Employee Collaboration Software           9,451,036    9,999,946    2.7%
Sub Total Affiliate investments                 46,224,927    48,234,124    13.5%
Control investments - 28.3% (b)                             
                             
Netreo Holdings, LLC (g)  IT Services  First Lien Term Loan
(3M USD LIBOR +8.00%), 9.00% Cash 12/31/2025
  7/3/2018  $5,432,440    5,409,201    5,421,575    1.4%
Netreo Holdings, LLC (d), (g), (j)  IT Services  Delayed Draw Term Loan
(3M USD LIBOR +8.00%), 9.00% Cash, 12/31/2025
  5/26/2020  $13,433,515    13,406,530    13,406,648    3.8%
Netreo Holdings, LLC (g), (h)  IT Services  Common Stock Class A Unit   7/3/2018   4,600,677    8,344,500    18,975,523    5.3%
        Total IT Services           27,160,231    37,803,746    10.5%

 

23

 

 

Company(1)  Industry  Investment Interest Rate/
Maturity
  Original
Acquisition
Date
  Principal/
Number of
Shares
   Cost   Fair
Value (c)
   % of
Net Assets
 
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)  Structured Finance Securities  Other/Structured Finance Securities
9.27%, 4/20/2033    
  1/22/2008  $111,000,000    32,273,125    28,654,905    8.1%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note (a), (g)  Structured Finance Securities  Other/Structured Finance Securities
(3M USD LIBOR+10.00%), 10.17%, 4/20/2033    
  8/9/2021  $9,375,000    9,375,000    9,375,000    2.6%
      Total Structured Finance Securities           41,648,125    38,029,905    10.7%
Saratoga Senior Loan Fund I JV, LLC (a), (g), (j)  Investment Fund  Unsecured Loan
10.00%, 6/15/2023    
  2/17/2022  $13,125,000    13,125,000    13,125,000    3.7%
Saratoga Senior Loan Fund I JV, LLC (a), (g), (j)  Investment Fund  Membership Interest      2/17/2022   13,125,000    13,125,000    12,016,064    3.4%
      Total Investment Fund           26,250,000    25,141,064    7.1%
Sub Total Control investments                 95,058,356    100,974,715    28.3%
TOTAL INVESTMENTS - 229.2% (b)                $796,248,327   $817,567,355    229.2%

 

   Number of
Shares
   Cost   Fair Value   % of
Net Assets
 
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 14.9% (b)                
U.S. Bank Money Market (k)   52,870,342   $52,870,342   $52,870,342    14.9%
Total cash and cash equivalents and cash and cash equivalents, reserve accounts   52,870,342   $52,870,342   $52,870,342    14.9%

 

(1) Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and are restricted securities.
(a) Represents an investment that is not a “qualifying asset” under Section 55(a) of the Investment Company Act of 1940, as amended (the 1940 Act”). As of February 28, 2022, non-qualifying assets represent 6.7% of the Company’s portfolio at fair value. As a BDC, the Company generally has to invest at least 70% of its total assets in qualifying assets.
(b) Percentages are based on net assets of $355,780,523 as of February 28, 2022.
(c) Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors.  These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).
(d) These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 8 to the consolidated financial statements).
(e) This investment does not have a stated interest rate that is payable thereon. As a result, the 9.27% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f) As defined in the 1940 Act, this portfolio company is an “affiliate” as we own between 5.0% and 25.0% of the outstanding voting securities. GreyHeller, LLC is no longer an affiliate as of February 28, 2022. Transactions during the year ended February 28, 2022 in which the issuer was an affiliate are as follows:

 

Company  Purchases   Sales   Total
Interest
from
Investments
   Management
Fee
Income
   Net Realized
Gain (Loss)
from
Investments
   Net Change in
Unrealized
Appreciation
(Depreciation)
 
Artemis Wax Corp.  $36,200,000   $
-
   $1,919,100   $
          -
   $
-
   $1,460,287 
Axero Holdings, LLC   9,445,000    
-
    416,092    
-
    
-
    548,910 
GreyHeller, LLC   8,910,000    (26,428,457)   973,278    
-
    7,328,457    (3,102,569)
Top Gun   
-
    
-
    
-
    
-
    
-
    1,066,536 
Total  $54,555,000   $(26,428,457)  $3,308,470   $
-
   $7,328,457   $(26,836)

 

24

 

 

(g)

As defined in the 1940 Act, we “control” this portfolio company because we own more than 25% of the portfolio company’s or holding company’s outstanding voting securities. Transactions during the year ended February 28, 2022 in which the issuer was both an affiliate and a portfolio company that we control are as follows:

 

Company  Purchases   Sales   Total
Interest
from
Investments
   Management
Fee
Income
   Net Realized
Gain (Loss)
from
Investments
   Net Change in
Unrealized
Appreciation
(Depreciation)
 
Netreo Holdings, LLC  $17,074,500   $
-
   $1,814,735   $
-
   $
-
   $5,055,909 
Saratoga Investment Corp. CLO 2013-1, Ltd.   
-
    
-
    4,372,958    3,262,591    
-
    (1,221,309)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note   
-
    (17,875,000)   814,431    
-
    
-
    (454,025)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-1-R-3 Note   8,500,000    (8,500,000)   4,786    
-
    (139,867)   
-
 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-2-R-3 Note   9,375,000    
-
    539,564    
-
    
-
    
-
 
Saratoga Senior Loan Fund I JV, LLC   13,125,000    
-
    126,389    
-
    
-
    
-
 
Saratoga Senior Loan Fund I JV, LLC   13,125,000    
-
    
-
    
-
    
-
    (1,108,936)
Total  $61,199,500   $(26,375,000)  $7,672,863   $3,262,591   $(139,867)  $2,271,639 

 

(h)Non-income producing at February 28, 2022.
(i)Includes securities issued by an affiliate of the company.
(j)All or a portion of this investment has an unfunded commitment as of February 28, 2022. (See Note 9 to the consolidated financial statements).
(k)Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of February 28, 2022.

 

BSBY - Bloomberg Short-Term Bank Yield
LIBOR - London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
 
3M USD BSBY - The 3 month USD BSBY rate as of February 28, 2022 was 0.50%.
1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2022 was 0.24%.
3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2022 was 0.50%.
Daily USD SOFR - The daily USD SOFR rate as of February 28, 2022 was 0.05%
PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements).

 

See accompanying notes to consolidated financial statements

 

25

 

 

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2022

(unaudited)

 

Note 1. Organization

 

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-diversified closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed the initial public offering (“IPO”) on March 28, 2007. The Company has elected, and intends to qualify annually, to be treated for U.S. federal income tax purposes as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s investment objective is to generate current income and, to a lesser extent, capital appreciation from its investments.

 

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

 

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

 

On July 30, 2010, the Company changed its name from “GSC Investment Corp.” to “Saratoga Investment Corp.” in connection with the consummation of a recapitalization transaction.

 

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

 

The Company has established wholly owned subsidiaries, SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PP Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc., which are structured as Delaware entities, or tax blockers (“Taxable Blockers”), to hold equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). In February 2022, SIA-GH, Inc., SIA-TT Inc. and SIA-VR, Inc. received an approved plan of liquidation following the sale of equity held by each of the portfolio companies. Tax Blockers are consolidated for accounting purposes, but are not consolidated for U.S. federal income tax purposes and may incur U.S. federal income tax expenses as a result of their ownership of portfolio companies.

 

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 August 14, 2019, our wholly owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. On September 29, 2022, our wholly owned subsidiary, Saratoga Investment Corp. SBIC III LP (“SBIC III LP”), also received an SBIC license from the SBA. SBIC LP’s license provided up to $150.0 million in additional long-term capital in the form of SBA debentures, while SBIC II LP’s and SBIC III LP’s SBIC licenses provide up to $175.0 million each. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital. 

 

26

 

 

The Company has formed a wholly owned special purpose entity, Saratoga Investment Funding II LLC, a Delaware limited liability company (“SIF II”), for the purpose of entering into a $50.0 million senior secured revolving credit facility with Encina Lender Finance, LLC (the “Lender”), supported by loans held by SIF II and pledged to the Lender under the credit facility (the “Encina Credit Facility”). The Encina Credit Facility closed on October 4, 2021. During the first two years following the closing date, SIF II may request an increase in the commitment amount under the Encina Credit Facility to up to $75.0 million. The terms of the Encina Credit Facility require a minimum drawn amount of $12.5 million at all times during the first six months following the closing date, which increases to the greater of $25.0 million or 50% of the commitment amount in effect at any time thereafter. The term of the Encina Credit Facility is three years. Advances under the Encina Credit Facility bear interest at a floating rate per annum equal to LIBOR plus 4.0%, with LIBOR having a floor of 0.75%, with customary provisions related to the selection by the Lender and the Company of a replacement benchmark rate. Concurrently with the closing of the Encina Credit Facility, all remaining amounts outstanding on the Company’s existing revolving credit facility with Madison Capital Funding, LLC were repaid and the revolving credit facility terminated.

 

On October 26, 2021, the Company and TJHA JV I LLC (“TJHA”) entered into a Limited Liability Company Agreement (the “LLC Agreement”) to co-manage Saratoga Senior Loan Fund I JV LLC (“SLF JV”). SLF JV is under joint control and is not consolidated. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1 Ltd. (“SLF 2022”), which is a wholly owned subsidiary of SLF JV. SLF 2022 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets. On October 28, 2022, SLF 2022 issued $402.1 million of debt (the “2022 JV CLO Notes”) through a collateralized loan obligation trust (the “JV CLO trust”). The 2022 JV CLO Notes were issued pursuant to an indenture, dated October 28, 2022 (the “JV Indenture”), with U.S. Bank Trust Company, National Association (as successor in interest to U.S. Bank National Association) (the “Trustee”) servicing as the trustee.

 

Note 2. Summary of Significant Accounting Policies

 

Basis of Presentation

 

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its wholly owned special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SIF II, SBIC LP, SBIC II LP, SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PP, Inc., SIA-TG, Inc., SIA-TT Inc., SIA-Vector, Inc. and SIA-VR, Inc.. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.

 

The Company, SBIC LP, SBIC II LP, and SBIC III LP are all considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services — Investment Companies” (“ASC 946”). There have been no changes to the Company, SBIC LP, SBIC II LP, or SBIC III LP’s status as investment companies during the nine months ended November 30, 2022.

 

Principles of Consolidation

 

Under the investment company rules and regulations pursuant to ASC Topic 946, the Company is precluded from consolidating any entity other than another investment company.

 

The Company has determined that SLF JV is an investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, ASC 810 concludes that in a joint venture where both members have equal decision-making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, the Company does not consolidate its investment in SLF JV.

 

27

 

 

Use of Estimates in the Preparation of Financial Statements

 

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

 

Cash and Cash Equivalents

 

Cash and cash equivalents include short-term, liquid investments in a money market fund. Cash and cash equivalents are carried at cost which approximates fair value. Per section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another 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 investment company’s total outstanding voting shares;

 

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

 

  we were to hold securities in investment companies having an aggregate value in excess of 10.0% of the value of our total assets.

 

As of November 30, 2022, the Company did not exceed any of these limitations.

 

Cash and Cash Equivalents, Reserve Accounts

 

Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds, representing payments received on secured investments or other reserved amounts associated with the Encina Credit Facility within SIF II, our wholly owned subsidiary. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the Encina Credit Facility.

 

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

 

The statements of cash flows explain the change during the period in the total of cash, cash equivalents and amounts generally described as restricted cash and restricted cash equivalents when reconciling the beginning-of-period and end-of-period total amounts.

 

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

 

   November 30,
2022
   November 30,
2021
 
Cash and cash equivalents  $5,672,012   $120,881,990 
Cash and cash equivalents, reserve accounts   41,375,630    23,186,481 
Total cash and cash equivalents and cash and cash equivalents, reserve accounts  $47,047,642   $144,068,471 

 

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.

 

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Investment Valuation

 

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

 

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third-party independent valuation firm.

  

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

 

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

 

 

An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. We use a third-party independent valuation firm to value our investment in the subordinated notes of Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”), the Class F-2-R-3 Notes tranche of the Saratoga CLO, and the Class E Notes tranche of the SLF 2022 every quarter.

 

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

 

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

 

We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

29

 

 

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

 

The Company’s equity investment in SLF JV is measured using the proportionate share of the net asset value (“NAV”), or equivalent, of SLF JV as a practical expedient for fair value, provided by ASC 820.

 

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

 

In December 2020, the U.S. Securities and Exchange Commission (the “SEC”) adopted a new rule providing a framework for fund valuation practices. New Rule 2a-5 under the 1940 Act (“Rule 2a-5”) establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards of directors, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must determine the fair value of a security. The SEC also adopted new Rule 31a-4 under the 1940 Act (“Rule 31a-4”), which provides the recordkeeping requirements associated with fair value determinations. Finally, the SEC is rescinding previously issued guidance on related issues, including the role of the board in determining fair value and the accounting and auditing of fund investments. Rule 2a-5 and Rule 31a-4 became effective on March 8, 2021, and had a compliance date of September 8, 2022. While our board of directors has not elected to designate Saratoga Investment Advisors as the valuation designee, the Company has adopted certain revisions to its valuation policies and procedures in order comply with the applicable requirements of Rule 2a-5 and Rule 31a-4.

 

Derivative Financial Instruments

 

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

 

Investment Transactions and Income Recognition

 

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

 

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. At November 30, 2022, our investment in one portfolio company was on non-accrual status with a fair value of approximately $9.7 million, or 1.0% of the fair value of our portfolio. At February 28, 2022, there were no investments on non-accrual status.

 

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

 

Payment-in-Kind Interest

 

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

 

Dividend Income

 

Dividend income is recorded in the consolidated statements of operations when earned.

  

Structuring and Advisory Fee Income

 

Structuring and advisory fee income represents various fee income earned and received for performing certain investment structuring and advisory activities during the closing of new investments.

 

Other Income

 

Other income includes prepayment income fees, and monitoring, administration and amendment fees and is recorded in the consolidated statements of operations when earned.

 

Deferred Debt Financing Costs

 

Financing costs incurred in connection with our credit facility and notes are deferred and amortized using the straight-line method over the life of the respective facility and debt securities. Financing costs incurred in connection with the SBA debentures of SBIC LP, SBIC II LP, and SBIC III LP are deferred and amortized using the straight-line method over the life of the debentures. Any discount or premium on the issuance of any debt is amortized using the effective interest method over the life of the respective debt security.

 

The Company presents deferred debt financing costs on the balance sheet as a contra-liability as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.

 

Realized Loss on Extinguishment of Debt 

 

Upon the repayment of debt obligations that are deemed to be extinguishments, the difference between the principal amount due at maturity adjusted for any unamortized debt issuance costs is recognized as a loss (i.e., the unamortized debt issuance costs are recognized as a loss upon extinguishment of the underlying debt obligation).

 

Contingencies

 

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

 

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

 

Income Taxes

 

The Company has elected, and intends to qualify annually, to be treated for U.S. federal income tax purposes as a RIC under Subchapter M of the Code. By meeting these requirements, the Company will not be subject to corporate federal income taxes on ordinary income or capital gains timely distributed to stockholders. Therefore, no provision has been recorded for federal income taxes, except as related to the Taxable Blockers and long-term capital gains, when applicable.

 

In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least 90% 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% on undistributed income if it does not distribute at least (1) 98% of its net ordinary income in any calendar year, (2) 98.2% of its capital gain net income for each one-year period ending on October 31 and (3) any net ordinary income and capital gain net income that it recognized for preceding years, but were not distributed during such year, and on which the Company paid no U.S federal income tax.

 

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

 

In accordance with U.S. Treasury regulations and published guidance issued by the Internal Revenue Service (“IRS”), a publicly offered RIC may treat a distribution of its own stock as counting toward its RIC distribution requirements if each stockholder elects to receive his, her, or its entire distribution in either cash or stock of the RIC. This published guidance indicates that the rule will apply where the aggregate amount of cash to be distributed to all stockholders is not at least 20.0% of the aggregate declared distribution. Under the published guidance, if too many stockholders elect to receive cash, the cash available for distribution must be allocated among the stockholders electing to receive 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.

 

The Company may utilize wholly owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet its source-of-income requirements as a RIC. Taxable Blockers are consolidated in the Company’s U.S. GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likely than-not that some portion or all of the deferred tax assets will not be realized.

 

FASB ASC Topic 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2022, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2019, 2020, 2021 and 2022 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 2022 and February 28, 2022, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.

 

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Dividends

 

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

 

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

 

Capital Gains Incentive Fee

 

The Company records an expense accrual on the consolidated statements of operations relating to the capital gains incentive fee payable by the Company to the Manager on the consolidated statements of assets and liabilities when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments because a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time.

 

The actual incentive fee payable to the Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and only reflected those net realized capital gains net of realized and unrealized losses for the period.

 

Recent Accounting Pronouncements

 

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The Company has agreements that have LIBOR as a reference rate with certain portfolio companies and under the Encina Credit Facility. Many of these agreements (including the credit agreements relating to the Encina Credit Facility) include an alternative successor rate or language for choosing an alternative successor rate when LIBOR reference is no longer considered to be appropriate. With respect to other agreements, the Company intends to work with its portfolio companies to modify agreements to choose an alternative successor rate. Contract modifications are required to be evaluated in determining whether the modifications result in the establishment of new contracts or the continuation of existing contracts. The standard is effective as of March 12, 2020 through December 31, 2022. Management does not believe this optional guidance has a material impact on the Company’s consolidated financial statements and disclosures.

 

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.

 

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Credit risk is the risk of default or non-performance by portfolio companies, equivalent to the investment’s carrying amount. The Company is also exposed to credit risk related to maintaining all of its cash and cash equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.

 

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

 

Note 3. Investments

 

As noted above, the Company values all investments in accordance with ASC 820. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between independent market participants at the measurement date.

 

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

 

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

 

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

 

  Level 2— Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments that are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed.

 

  Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation technique. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

34

 

 

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

 

The following table presents fair value measurements of investments, by major class, as of November 30, 2022 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements   Valued Using
Net Asset
     
   Level 1   Level 2   Level 3   Value*   Total 
First lien term loans  $
-
   $
-
   $804,242   $
-
   $804,242 
Second lien term loans   
-
    
-
    23,780    
-
    23,780 
Unsecured term loans   164    
-
    20,435    
-
    20,599 
Structured finance securities   
-
    
-
    38,900    
-
    38,900 
Equity interests   
-
    
-
    85,350    9,163    94,513 
Total  $164   $
-
   $972,707   $9,163   $982,034 

 

*The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy.

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2022 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements   Valued Using
Net Asset
     
   Level 1   Level 2   Level 3   Value*   Total 
First lien term loans  $
          -
   $          -   $631,572   $      -   $631,572 
Second lien term loans   -    -    44,386    -    44,386 
Unsecured loans   -    -    15,931    -    15,931 
Structured finance securities   -    -    38,030    -    38,030 
Equity interests   -    -    75,632    12,016    87,648 
Total  $-   $-   $805,551   $12,016   $817,567 

 

*The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2022 (dollars in thousands):

 

   First lien
term loans
   Second lien
term loans
   Unsecured
term loans
   Structured
finance
securities
   Equity
interests
   Total 
Balance as of February 28, 2022  $631,572   $44,386   $15,931   $38,030   $75,632   $805,551 
Payment-in-kind and other adjustments to cost   244    90    -    (2,159)   451    (1,374)
Net accretion of discount on investments   1,262    (17)   -    
-
    
-
    1,245 
Net change in unrealized appreciation (depreciation) on investments   (12,049)   (663)   10    (8,219)   2,467    (18,454)
Purchases   309,022    4,950    4,494    11,393    10,606    340,465 
Sales and repayments   (125,972)   (24,966)   
-
    (145)   (11,009)   (162,092)
Net realized gain (loss) from investments   163    
-
    
-
    
-
    7,203    7,366 
Balance as of November 30, 2022  $804,242   $23,780   $20,435   $38,900   $85,350   $972,707 
Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period  $(12,318)  $(705)  $10   $(8,219)  $15,042   $(6,190)

 

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

 

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

 

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2022.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2021 (dollars in thousands):

 

   First lien
term loans
   Second lien
term loans
   Unsecured
term loans
   Structured
finance
securities
   Equity
interests
   Total 
Balance as of February 28, 2021  $440,456   $24,930   $2,141   $49,779   $37,007   $554,313 
Payment-in-kind and other adjustments to cost   309    70    498    (546)   790    1,121 
Net accretion of discount on investments   1,346    22    -    -    -    1,368 
Net change in unrealized appreciation (depreciation) on investments   2,292    (431)   99    (68)   12,254    14,146 
Purchases   226,786    19,825    -    -    47,143    293,754 
Sales and repayments   (165,570)   -    -    (8,360)   (42,307)   (216,237)
Net realized gain (loss) from investments   -    -    -    (140)   13,468    13,328 
Balance as of November 30, 2021  $505,619   $44,416   $2,738   $40,665   $68,355   $661,793 
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the period  $3,597   $(431)  $99   $386   $11,837   $15,488 

 

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2021.

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2022 were as follows (dollars in thousands):

 

    Fair Value     Valuation Technique   Unobservable Input   Range   Weighted
Average*
First lien term loans   $ 804,242     Market Comparables   Market Yield (%)   9.7% - 22.4%     12.4%
                Revenue Multiples (x)   4.1x - 4.6x   4.4x
                EBITDA Multiples (x)   14.5x – 16.0x   15.6x
Second lien term loans     23,780     Market Comparables   Market Yield (%)   15.3% - 54.0%   

40.8%

                EBITDA Multiples (x)   5.7x  - 5.7x   5.7x
Unsecured term loans     20,435     Market Comparables   Market Yield (%)   10.0% - 25.6%     12.2%
            Collateral Value Coverage   Net Asset Value   100.0%   100.0%
Structured finance securities     38,900     Discounted Cash Flow   Discount Rate (%)   13.0% - 22.0%    17.8%
                Recovery Rate (%)   35% - 70%   70.0%
                Prepayment Rate (%)   20.0%   20.0%
Equity interests     85,350     Enterprise Value Waterfall   EBITDA Multiples (x)   5.0x - 26.6x   9.8x
                Revenue Multiples (x)   1.3x - 11.7x    6.4x
                         
Total   $ 972,707                  

 

*The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

 

36

 

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2022 were as follows (dollars in thousands):

 

   Fair Value   Valuation Technique  Unobservable Input  Range  Weighted
Average*
First lien term loans  $631,572   Market Comparables  Market Yield (%)  6.0% - 11.3%  8.4%
           Revenue Multiples (x)  3.5x  3.5x
Second lien term loans   44,386   Market Comparables  Market Yield (%)  8.9% - 32.9%  15.6%
           EBITDA Multiples (x)  7.5x  7.5x
Unsecured term loans   15,931   Market Comparables  Market Yield (%)  22.3%  22.3%
        Collateral Value Coverage  Net Asset Value  100.0%  100.0%
Structured finance securities   38,030   Discounted Cash Flow  Discount Rate (%)  10.0% - 15.0%  14.2%
           Recovery Rate (%)  35.0% - 70.0%  70.0%
           Prepayment Rate (%)  20.0%  20.0%
Equity interests   75,632   Enterprise Value Waterfall  EBITDA Multiples (x)  4.0x - 28.6x  9.3x
           Revenue Multiples (x)  1.0x - 11.7x  6.6x
           Third-party bid  100.0%  100.0%
Total  $805,551             

 

 

*The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

 

For investments utilizing a market comparables valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the earnings before interest, tax, depreciation and amortization (“EBITDA”) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate, and prepayment rate, in isolation, would result in a significantly lower (higher) fair value measurement while a significant increase (decrease) in recovery rate, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a third-party bid or market quote in deriving a value, a significant increase (decrease) in the third-party bid or market quote, in isolation, would result in a significantly higher (lower) fair value measurement.

 

The composition of our investments as of November 30, 2022 at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized Cost
   Amortized Cost
Percentage of
Total
Portfolio
   Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
 
First lien term loans  $815,756    82.8%  $804,242    81.9%
Second lien term loans   29,919    3.0    23,780    2.4 
Unsecured term loans   20,763    2.1    20,599    2.1 
Structured finance securities   50,737    5.1    38,900    4.0 
Equity interests   69,308    7.0    94,513    9.6 
Total  $986,483    100.0%  $982,034    100.0%

 

37

 

 

The composition of our investments as of February 28, 2022 at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized Cost
   Amortized Cost
Percentage of
Total
Portfolio
   Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
 
First lien term loans  $631,037    79.3%  $631,572    77.3%
Second lien term loans   49,862    6.3    44,386    5.4 
Unsecured term loans   16,104    2.0    15,931    1.9 
Structured finance securities   41,648    5.2    38,030    4.7 
Equity interests   57,597    7.2    87,648    10.7 
Total  $796,248    100.0%  $817,567    100.0%

 

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

 

For equity securities of portfolio companies and partnership interests, we determine the fair value using an enterprise value waterfall valuation technique. Under the enterprise value waterfall valuation technique, 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 techniques and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The techniques for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. We also take into account historical and anticipated financial results.

 

Our investments in Saratoga CLO and SLF 2022 are carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO and SLF 2022, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO and SLF 2022. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs are based on available market data and projections provided by third parties as well as management estimates. We ran Intex models based on inputs about the refinanced Saratoga CLO’s structure and the SLF 2022 structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO and SLF 2022 at November 30, 2022. The inputs at November 30, 2022 for the valuation model include:

 

  Default rate: 2%

 

  Recovery rate: 35% – 70%

 

  Discount rate: 15.5% – 22%

 

  Prepayment rate: 20%

 

  Reinvestment rate / price: $97.00 for eighteen months; then L+365bps / $99.00

 

Investment Concentration

 

Set forth is a brief description of each portfolio company in which the fair value of our investment represents greater than 5% of our total assets as of November 30, 2022, excluding Saratoga CLO and SLF 2022 (see Note 4 and Note 5 for more information on Saratoga CLO and SLF 2022, respectively).

 

Hema Terra Holding Company, LLC

 

HemaTerra Holding Company, LLC provides SaaS-based software solutions addressing complex supply chain issues across a variety of medical environments, including blood, plasma, tissue, implants and DNA sample management, to customers in blood centers, hospitals, pharmaceuticals, and law enforcement settings.

 

38

 

 

Buildout, Inc.

 

Buildout, Inc. provides SaaS-based real estate marketing and customer relationship management software to commercial real estate brokerages. Buildout provides a suite of software solutions brokers use to manage relationships, efficiently create and distribute marketing materials over a wide variety of channels, including direct mail, multiple listing websites, brokerage website, property specific websites and manage back office functions like commission calculations and broker productivity.

 

Artemis Wax Corp.

 

Artemis Wax Corporation is a U.S. based retail aggregator of European Wax Center (“EWC”) franchise locations with a concentration in the northeast. Founded in 2004, EWC is the largest U.S. body waxing national chain with more than 800 locations across the country.

  

Note 4. Investment in Saratoga CLO

 

On January 22, 2008, the Company entered into a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, the Company completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.

 

On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period ending January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased its aggregate principal amount from approximately $300.0 million to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million in aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, the Company also redeemed our existing $4.5 million in aggregate amount of the Class F notes tranche at par.

 

On February 11, 2020, the Company entered into an unsecured loan agreement with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary Saratoga CLO.

 

On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This fourth Saratoga CLO refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. The non-call period was extended to February 2022. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was repaid in full.

 

On August 9, 2021, the Company exchanged its existing $17.9 million Class F-R-3 Notes for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, the Company sold its Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.

 

39

 

 

The Saratoga CLO remains 100.0% owned and managed by the Company. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

 

For the three months ended November 30, 2022 and November 30, 2021, we accrued management fee income of $0.8 million and $0.8 million, respectively, and interest income of $0.2 million and $1.1 million, respectively, from the subordinated notes of Saratoga CLO.

 

For the nine months ended November 30, 2022 and November 30, 2021, we accrued management fee income of $2.5 million and $2.4 million, respectively, and interest income of $1.2 million and $3.5 million, respectively, from the subordinated notes of Saratoga CLO.

 

As of November 30, 2022, the aggregate principal amounts of the Company’s investments in the subordinated notes and Class F-2-R-3 Notes of the Saratoga CLO was $111.0 million and $9.4 million, respectively, which had a corresponding fair value of $19.4 million and $8.5 million, respectively. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of November 30, 2022, Saratoga CLO had investments with a principal balance of $653.3 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. 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. As of November 30, 2022, the present value of the projected future cash flows of the subordinated notes was approximately $19.4 million, using a 22.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 million, which consists of investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021; to date, the Company has since received distributions of $76.7 million, management fees of $31.0 million and incentive fees of $1.2 million.

 

As of February 28, 2022, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $28.7 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of February 28, 2022, the fair value of its investment in the Class F-R-3 Notes was $9.4 million. As of February 28, 2022, Saratoga CLO had investments with a principal balance of $660.2 million and a weighted average spread over LIBOR of 3.7% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. 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. As of February 28, 2022, the present value of the projected future cash flows of the subordinated notes was approximately $28.7 million, using a 15.0% discount rate.

 

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2022 (unaudited) and February 28, 2022 and for the three and nine months ended November 30, 2022 (unaudited) and November 30, 2021 (unaudited).

 

40

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

   November 30,
2022
   February 28,
2022
 
   (unaudited)     
ASSETS        
Investments at fair value        
Loans at fair value (amortized cost of $643,842,672 and $653,022,265, respectively)  $592,897,897   $638,929,660 
Equities at fair value  (amortized cost of $0 and $0, respectively)   
-
    33,690 
Total investments at fair value (amortized cost of $643,842,672 and $653,022,265, respectively)   592,897,897    638,963,350 
Cash and cash equivalents   16,640,269    6,171,793 
Receivable from open trades   6,414,343    9,152,660 
Interest receivable (net of reserve of $358,730 and $0, respectively)   3,017,057    2,062,856 
Due from affiliate (See Note 7)   58,215    
-
 
Prepaid expenses and other assets   41,162    100,067 
Total assets  $619,068,943   $656,450,726 
           
LIABILITIES          
Interest payable  $4,502,328   $1,659,776 
Payable from open trades   13,817,809    18,794,627 
Accrued base management fee   72,763    72,510 
Accrued subordinated management fee   291,052    290,040 
Accounts payable and accrued expenses   156,006    58,716 
Saratoga Investment Corp. CLO 2013-1, Ltd. Notes:          
Class A-1-R-3 Senior Secured Floating Rate Notes   357,500,000    357,500,000 
Class A-2-R-3 Senior Secured Floating Rate Notes   65,000,000    65,000,000 
Class B-FL-R-3 Senior Secured Floating Rate Notes   60,500,000    60,500,000 
Class B-FXD-R-3 Senior Secured Fixed Rate Notes   11,000,000    11,000,000 
Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes   26,000,000    26,000,000 
Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes   6,500,000    6,500,000 
Class D-R-3 Deferrable Mezzanine Floating Rate Notes   39,000,000    39,000,000 
Discount on Class D-R-3 Notes   (250,168)   (268,301)
Class E-R-3 Deferrable Mezzanine Floating Rate Notes   27,625,000    27,625,000 
Discount on Class E-R-3 Notes   (2,598,967)   (2,787,348)
Class F-1-R-3 Notes Deferrable Junior Floating Rate Notes   8,500,000    8,500,000 
Class F-2-R-3 Notes Deferrable Junior Floating Rate Notes   9,375,000    9,375,000 
Deferred debt financing costs   (1,944,539)   (2,086,928)
Subordinated Notes   111,000,000    111,000,000 
Discount on Subordinated Notes   (41,105,442)   (44,084,883)
Total liabilities  $694,940,842   $693,648,209 
           
Commitments and contingencies   
 
    
 
 
           
NET ASSETS          
Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 common shares issued and outstanding, respectively  $250   $250 
Total distributable earnings (loss)   (75,872,149)   (37,197,733)
Total net assets   (75,871,899)   (37,197,483)
Total liabilities and net assets  $619,068,943   $656,450,726 

 

See accompanying notes to financial statements.

 

41

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

   For the three months ended   For the nine months ended 
   November 30, 2022   November 30, 2021   November 30, 2022   November 30, 2021 
INVESTMENT INCOME                
Total interest from investments  $11,753,670   $7,866,198   $29,075,284   $15,613,938 
Interest from cash and cash equivalents   13,215    119    19,320    691 
Other income   26,224    200,320    141,828    517,377 
Total investment income   11,793,109    8,066,637    29,236,432    16,132,006 
                     
EXPENSES                    
Interest and debt financing expenses   10,177,731    5,569,557    26,287,544    10,405,734 
Base management fee   163,651    162,925    490,249    326,571 
Subordinated management fee   654,604    651,697    1,960,994    1,306,283 
Professional fees   53,254    109,691    263,647    145,357 
Trustee expenses   64,579    121,329    197,407    121,329 
Other expense   93,097    54,156    244,402    113,939 
Total expenses   11,206,916    6,669,355    29,444,243    12,419,213 
NET INVESTMENT INCOME (LOSS)   586,193    1,397,282    (207,811)   3,712,793 
                     
REALIZED AND UNREALIZED LOSS ON INVESTMENTS                    
Net realized gain (loss) from investments   (532,640)   175,669    (1,599,841)   (389,425)
Net change in unrealized appreciation (depreciation) on investments   (10,640,315)   (662,095)   (36,866,766)   (1,143,192)
Net realized and unrealized gain (loss) on investments   (11,172,955)   (486,426)   (38,466,607)   (1,532,617)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $(10,586,762)  $910,856   $(38,674,418)  $2,180,176 

 

See accompanying notes to financial statements

 

42

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

November 30, 2022

(unaudited)

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
19TH HOLDINGS GOLF, LLC  Consumer goods: Durable  Term Loan  Loan   1M USD SOFR+   3.00%   0.50%   6.89%  2/7/2029  $498,750   $496,534   $455,109 
888 Acquisitions Limited  Hotel, Gaming & Leisure  Term Loan B  Loan   6M USD SOFR+   5.25%   0.00%   8.28%  7/8/2028   2,000,000    1,711,631    1,716,260 
ADMI Corp.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+   2.75%   0.00%   6.82%  4/30/2025   1,915,276    1,911,485    1,786,473 
Adtalem Global Education Inc.  Services: Business  Term Loan B (02/21)  Loan   1M USD LIBOR+   4.00%   0.75%   8.02%  8/11/2028   691,846    686,098    682,334 
Aegis Sciences Corporation  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+   5.50%   1.00%   10.09%  5/9/2025   2,431,245    2,421,870    2,329,448 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan (09/20)  Loan   1M USD LIBOR+   2.75%   0.75%   6.56%  1/4/2026   214,286    212,959    208,929 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan (1/19)  Loan   1M USD LIBOR+   2.75%   0.00%   6.56%  1/4/2026   1,472,244    1,466,711    1,439,118 
AHEAD DB Holdings, LLC  Services: Business  Term Loan (04/21)  Loan   3M USD LIBOR+   3.75%   0.75%   7.43%  10/18/2027   2,962,500    2,874,642    2,887,193 
AI Convoy (Luxembourg) S.a.r.l.  Aerospace & Defense  Term Loan B (USD)  Loan   6M USD LIBOR+   3.50%   1.00%   8.17%  1/18/2027   1,458,273    1,454,100    1,432,447 
Air Canada  Transportation: Consumer  Term Loan B (07/21)  Loan   3M USD LIBOR+   3.50%   0.75%   8.13%  8/11/2028   1,995,000    1,851,503    1,970,063 
AIS HoldCo, LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+   5.00%   0.00%   9.41%  8/15/2025   4,789,642    4,692,827    4,622,004 
Alchemy Copyrights, LLC  Media: Diversified & Production  Term Loan B  Loan   1M USD LIBOR+   3.00%   0.50%   6.77%  3/10/2028   490,022    487,454    486,347 
Alchemy US Holdco 1, LLC  Metals & Mining  Term Loan  Loan   1M USD LIBOR+   5.50%   0.00%   5.60%  10/10/2025   1,654,803    1,643,179    1,544,146 
AlixPartners, LLP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.82%  2/4/2028   246,250    245,798    241,172 
Alkermes, Inc.  Healthcare & Pharmaceuticals  Term Loan B (3/21)  Loan   1M USD LIBOR+   2.50%   0.50%   6.44%  3/12/2026   2,131,628    2,117,213    2,035,705 
Allen Media, LLC  Media: Diversified & Production  Term Loan (7/21)  Loan   3M USD SOFR+   5.50%   0.00%   9.20%  2/10/2027   4,405,559    4,377,776    3,646,966 
Alliant Holdings Intermediate, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B4  Loan   1M USD LIBOR+   3.50%   0.50%   7.44%  11/5/2027   990,000    989,056    959,686 
Allied Universal Holdco LLC  Services: Business  Term Loan 4/21  Loan   1M USD LIBOR+   3.75%   0.50%   7.82%  5/12/2028   1,980,000    1,971,544    1,869,080 
Altisource Solutions S.a r.l.  Banking, Finance, Insurance & Real Estate  Term Loan B (03/18)  Loan   3M USD LIBOR+   4.00%   1.00%   7.67%  4/3/2024   1,223,297    1,221,048    995,458 
Altium Packaging LLC  Containers, Packaging & Glass  Term Loan (01/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.83%  1/29/2028   492,500    490,576    475,351 
American Greetings Corporation  Media: Advertising, Printing & Publishing  Term Loan  Loan   1M USD LIBOR+   4.50%   1.00%   8.55%  4/6/2024   3,012,861    3,011,417    2,966,162 
American Trailer World Corp  Automotive  Term Loan  Loan   1M USD SOFR+   3.75%   0.75%   7.94%  3/3/2028   1,357,439    1,354,289    1,212,369 
AmWINS Group, LLC  Banking, Finance, Insurance & Real Estate  Term Loan 2/21  Loan   1M USD LIBOR+   2.25%   0.75%   6.32%  2/17/2028   1,965,014    1,944,832    1,922,590 

 

43

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Anastasia Parent LLC  Consumer goods: Non-durable  Term Loan  Loan   3M USD LIBOR+   3.75%   0.00%   7.42%  8/11/2025   960,000    957,829    707,232 
Anchor Glass Container Corporation  Containers, Packaging & Glass  Term Loan (07/17)  Loan   3M USD LIBOR+   2.75%   1.00%   6.53%  12/7/2023   471,381    470,980    339,932 
Anchor Packaging, LLC  Containers, Packaging & Glass  Term Loan B  Loan   1M USD LIBOR+   4.00%   0.00%   8.07%  7/18/2026   979,747    973,021    942,193 
ANI Pharmaceuticals, Inc.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+   6.00%   0.75%   10.07%  11/19/2027   2,977,500    2,927,538    2,842,024 
AP Core Holdings II LLC  High Tech Industries  Term Loan B1  Loan   1M USD LIBOR+   5.50%   0.75%   9.57%  9/1/2027   1,900,000    1,876,393    1,681,500 
AP Core Holdings II LLC  High Tech Industries  Term Loan B2  Loan   1M USD LIBOR+   5.50%   0.75%   9.57%  9/1/2027   500,000    493,797    442,085 
APEX GROUP TREASURY LIMITED  Banking, Finance, Insurance & Real Estate  Term Loan Incremental  Loan   1M USD SOFR+   5.00%   0.50%   6.73%  7/27/2028   500,000    467,500    481,250 
APi Group DE, Inc. (J2 Acquisition)  Services: Business  Term Loan B  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  10/1/2026   1,928,237    1,921,493    1,907,026 
APLP Holdings Limited Partnership  Energy: Electricity  Term Loan B (3/21)  Loan   3M USD LIBOR+   3.75%   1.00%   7.32%  5/14/2027   512,994    508,986    510,003 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+   2.75%   0.00%   6.82%  5/15/2026   2,946,701    2,919,425    2,799,365 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1 (2/21)  Loan   1M USD LIBOR+   3.50%   0.50%   7.08%  3/6/2028   985,000    977,071    916,050 
AppLovin Corporation  High Tech Industries  Term Loan (10/21)  Loan   3M USD LIBOR+   3.00%   0.50%   6.67%  10/21/2028   1,492,500    1,489,192    1,397,353 
AppLovin Corporation  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  8/15/2025   982,143    982,143    951,451 
Aramark Corporation  Services: Consumer  Term Loan  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  1/15/2027   2,331,250    2,277,399    2,279,286 
Aramark Corporation  Services: Consumer  Term Loan B (4/21)  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  4/1/2028   1,753,715    1,746,737    1,723,464 
ARC FALCON I INC.  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+   3.75%   0.50%   7.82%  9/23/2028   866,067    862,383    772,809 
ARC FALCON I INC. (a)  Chemicals, Plastics, & Rubber  Delayed Draw Term Loan  Loan   N/A   N/A    N/A    N/A   9/29/2028   0    (534)   (13,717)
Arches Buyer Inc.  Services: Consumer  Term Loan B  Loan   1M USD LIBOR+   3.25%   0.50%   7.32%  12/6/2027   1,484,848    1,476,381    1,347,188 
Aretec Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/18)  Loan   1M USD SOFR+   4.25%   0.00%   8.44%  10/1/2025   1,921,193    1,917,473    1,864,038 
ASP BLADE HOLDINGS, INC.  Capital Equipment  Term Loan  Loan   3M USD LIBOR+   4.00%   0.50%   7.67%  10/7/2028   99,294    98,864    81,421 
Asplundh Tree Expert, LLC  Services: Business  Term Loan 2/21  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  9/7/2027   980,000    976,531    965,653 
AssuredPartners Capital, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (2/20)  Loan   1M USD LIBOR+   3.50%   0.00%   7.57%  2/12/2027   992,347    988,999    952,861 
Assuredpartners Inc.  Banking, Finance, Insurance & Real Estate  Incremental Term Loan (7/21)  Loan   1M USD LIBOR+   3.50%   0.50%   7.57%  2/12/2027   987,500    987,500    947,259 

 

44

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Assuredpartners Inc.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+   3.50%   0.50%   7.59%  2/12/2027   497,500    496,473    477,292 
ASTRO ONE ACQUISITION CORPORATION  Consumer goods: Durable  Term Loan  Loan   3M USD LIBOR+   5.50%   0.75%   9.17%  9/15/2028   2,977,500    2,952,162    2,270,344 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B10  Loan   3M USD SOFR+   4.00%   0.00%   7.65%  8/19/2028   2,000,000    1,903,321    1,749,160 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B8  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  12/18/2026   2,972,422    2,963,170    2,595,905 
ATHENAHEALTH GROUP INC.  Healthcare & Pharmaceuticals  Term Loan B (2/22)  Loan   1M USD SOFR+   3.50%   0.50%   7.41%  2/15/2029   1,279,402    1,273,783    1,165,535 
ATHENAHEALTH GROUP INC. (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan (02/22)  Loan   N/A   N/A    N/A    N/A   N/A   -    -    (19,348)
Avaya, Inc.  Telecommunications  Term Loan B1  Loan   1M USD LIBOR+   4.25%   0.00%   8.12%  12/15/2027   1,755,766    1,748,465    825,210 
Avaya, Inc.  Telecommunications  Term Loan B-2 (2/21)  Loan   1M USD LIBOR+   4.00%   0.00%   7.87%  12/15/2027   1,000,000    1,000,000    470,000 
Avison Young (Canada) Inc  Services: Business  Term Loan (08/22)  Loan   1M USD SOFR+   7.00%   0.00%   10.84%  1/31/2026   750,000    707,671    705,000 
Avison Young (Canada) Inc  Services: Business  Term Loan  Loan   1M USD LIBOR+   5.75%   0.00%   8.12%  1/31/2026   3,379,660    3,350,178    3,041,694 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B3  Loan   1M USD LIBOR+   1.75%   0.75%   5.69%  1/15/2025   1,000,000    924,152    983,280 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B5 (7/21)  Loan   1M USD LIBOR+   2.25%   0.50%   6.19%  12/1/2027   491,250    487,564    487,182 
AZURITY PHARMACEUTICALS, INC.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+   6.00%   0.75%   10.13%  9/20/2027   481,250    468,648    445,156 
B&G Foods, Inc.  Beverage, Food & Tobacco  Term Loan  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  10/10/2026   706,458    702,411    663,774 
B.C. Unlimited Liability Co (Burger King)  Beverage, Food & Tobacco  Term Loan B4  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  11/19/2026   1,458,750    1,432,378    1,429,575 
BAKELITE UK INTERMEDIATE LTD.  Chemicals, Plastics, & Rubber  Term Loan  Loan   3M USD SOFR+   4.00%   0.50%   7.67%  5/29/2029   997,500    992,785    927,675 
Baldwin Risk Partners, LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+   3.50%   0.50%   7.38%  10/14/2027   1,229,438    1,218,148    1,189,481 
Bausch Health Companies Inc.  Healthcare & Pharmaceuticals  Term Loan B (1/22)  Loan   1M USD SOFR+   5.25%   0.50%   9.15%  2/1/2027   1,975,000    1,778,325    1,465,608 
BCPE Empire Holdings, Inc.  Services: Business  Term Loan Amendment 3  Loan   1M USD SOFR+   4.63%   0.00%   8.81%  6/11/2026   497,500    481,689    482,222 
Belfor Holdings Inc.  Services: Consumer  Term Loan  Loan   1M USD LIBOR+   4.00%   0.00%   8.07%  4/6/2026   246,183    246,055    243,877 

 

45

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Belfor Holdings Inc.  Services: Consumer  Term Loan B-2 (3/22)  Loan   1M USD SOFR+   4.25%   0.50%   8.34%  4/6/2026   997,456    971,635    992,468 
Belron Finance US LLC  Automotive  Term Loan B (3/21)  Loan   3M USD LIBOR+   2.50%   0.50%   7.06%  4/13/2028   1,970,000    1,954,259    1,947,227 
Bengal Debt Merger Sub LLC  Beverage, Food & Tobacco  Term Loan  Loan   3M USD SOFR+   3.25%   0.50%   6.90%  1/24/2029   1,995,000    1,993,510    1,875,300 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+   2.25%   0.00%   6.32%  4/23/2026   982,278    977,214    956,494 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (6/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.82%  4/23/2026   1,468,869    1,461,127    1,435,819 
Blucora, Inc.  Services: Consumer  Term Loan (11/17)  Loan   3M USD LIBOR+   4.00%   1.00%   7.67%  5/22/2024   2,287,052    2,283,467    2,287,052 
Blue Tree Holdings, Inc.  Chemicals, Plastics, & Rubber  Term Loan (2/21)  Loan   3M USD LIBOR+   2.50%   0.00%   6.18%  3/4/2028   985,000    983,025    955,450 
Bombardier Recreational Products, Inc.  Consumer goods: Durable  Term Loan (1/20)  Loan   1M USD LIBOR+   2.00%   0.00%   6.07%  5/24/2027   1,458,799    1,451,939    1,413,212 
Boxer Parent Company, Inc.  High Tech Industries  Term Loan (2/21)  Loan   1M USD LIBOR+   3.75%   0.00%   7.82%  10/2/2025   518,307    518,307    496,476 
Bracket Intermediate Holding Corp  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+   4.25%   0.00%   7.99%  9/5/2025   960,000    957,834    928,800 
BrightSpring Health Services (Phoenix Guarantor)  Healthcare & Pharmaceuticals  Term Loan B-3  Loan   1M USD LIBOR+   3.50%   0.00%   7.57%  3/5/2026   985,000    985,000    936,213 
BroadStreet Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B3  Loan   1M USD LIBOR+   3.00%   0.00%   7.07%  1/22/2027   2,956,366    2,951,703    2,845,148 
Brookfield WEC Holdings Inc.  Energy: Electricity  Term Loan (1/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.82%  8/1/2025   1,466,344    1,467,980    1,437,780 
BROWN GROUP HOLDING, LLC  Aerospace & Defense  Term Loan B-2  Loan   3M USD SOFR+   3.75%   0.00%   7.84%  6/8/2029   500,000    488,005    496,250 
Buckeye Partners, L.P.  Utilities: Oil & Gas  Term Loan (1/21)  Loan   1M USD LIBOR+   2.25%   0.00%   6.02%  11/1/2026   1,955,163    1,945,010    1,929,843 
BW Gas & Convenience Holdings LLC  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD LIBOR+   3.50%   0.50%   7.57%  3/31/2028   2,468,750    2,448,956    2,400,859 
Callaway Golf Company  Retail  Term Loan B  Loan   1M USD LIBOR+   4.50%   0.00%   8.57%  1/4/2026   676,875    669,868    674,973 
Camping World, Inc.  Retail  Term Loan B (5/21)  Loan   1M USD LIBOR+   2.50%   0.75%   6.37%  6/5/2028   2,493,671    2,265,060    2,247,421 
CareerBuilder, LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+   6.75%   1.00%   10.42%  7/31/2023   5,393,388    5,320,672    3,573,119 
Casa Systems, Inc  Telecommunications  Term Loan  Loan   3M USD LIBOR+   4.00%   1.00%   6.25%  12/20/2023   -    11,270    - 
Castle US Holding Corporation  Media: Advertising, Printing & Publishing  Term Loan B (USD)  Loan   1M USD LIBOR+   3.75%   0.00%   7.82%  1/27/2027   1,967,571    1,957,645    1,368,701 
CBI BUYER, INC.  Consumer goods: Durable  Term Loan  Loan   1M USD LIBOR+   3.25%   0.50%   7.13%  1/6/2028   2,977,424    2,815,361    2,149,700 

 

46

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
CCC Intelligent Solutions Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+   2.25%   0.50%   6.32%  9/16/2028   248,125    247,590    243,907 
CCI Buyer, Inc  Telecommunications  Term Loan  Loan   3M USD SOFR+   4.00%   0.75%   7.55%  12/17/2027   246,250    244,380    237,693 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan B (11/22)  Loan   1M USD SOFR+   4.25%   0.50%   8.16%  3/5/2028   1,000,000    950,000    950,000 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+   3.75%   0.75%   7.83%  3/5/2028   985,000    980,935    935,750 
CCS-CMGC Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+   5.50%   0.00%   9.91%  9/25/2025   2,406,250    2,395,238    2,218,563 
CDK GLOBAL, INC.  High Tech Industries  Term Loan B  Loan   1M USD SOFR+   4.50%   0.50%   8.11%  7/6/2029   1,000,000    970,767    987,160 
Cengage Learning, Inc.  Media: Advertising, Printing & Publishing  Term Loan B (6/21)  Loan   6M USD LIBOR+   4.75%   1.00%   7.81%  7/14/2026   2,970,000    2,947,629    2,722,005 
CENTURI GROUP, INC.  Construction & Building  Term Loan B  Loan   1M USD LIBOR+   2.50%   0.50%   6.57%  8/27/2028   880,830    873,365    847,526 
CenturyLink, Inc.  Telecommunications  Term Loan B (1/20)  Loan   1M USD LIBOR+   2.25%   0.00%   6.32%  3/15/2027   3,899,823    3,895,031    3,691,846 
Charlotte Buyer, Inc.  Services: Business  Term Loan B  Loan   1M USD SOFR+   5.25%   0.00%   9.05%  2/11/2028   1,500,000    1,399,252    1,420,005 
Chemours Company, (The)  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+   1.75%   0.00%   5.83%  4/3/2025   907,689    880,613    889,535 
Churchill Downs Incorporated  Hotel, Gaming & Leisure  Term Loan B1 (3/21)  Loan   1M USD LIBOR+   2.00%   0.00%   6.08%  3/17/2028   492,500    491,517    483,881 
CIMPRESS PUBLIC LIMITED COMPANY  Media: Advertising, Printing & Publishing  USD Term Loan  Loan   1M USD LIBOR+   3.50%   0.50%   7.57%  5/17/2028   1,984,975    1,893,696    1,741,815 
CITADEL SECURITIES LP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)  Loan   1M USD SOFR+   2.50%   0.00%   6.70%  2/2/2028   4,925,000    4,921,355    4,844,969 
Clarios Global LP  Automotive  Term Loan B1  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  4/30/2026   1,267,812    1,260,725    1,245,891 
Claros Mortgage Trust, Inc  Banking, Finance, Insurance & Real Estate  Term Loan B-1 (11/21)  Loan   1M USD SOFR+   4.50%   0.50%   8.40%  8/9/2026   3,448,649    3,429,363    3,392,608 
CLYDESDALE ACQUISITION HOLDINGS, INC.  Containers, Packaging & Glass  Term Loan B  Loan   1M USD SOFR+   4.18%   0.50%   8.36%  4/13/2029   1,496,250    1,461,330    1,442,415 
Cole Haan  Consumer goods: Non-durable  Term Loan B  Loan   3M USD LIBOR+   5.50%   0.00%   9.17%  2/7/2025   887,500    883,329    813,545 
Columbus McKinnon Corporation  Capital Equipment  Term Loan (4/21)  Loan   3M USD LIBOR+   2.75%   0.50%   6.44%  5/14/2028   458,677    457,730    450,650 
Conduent, Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+   4.25%   0.50%   8.32%  10/16/2028   1,792,500    1,758,276    1,684,950 
Connect Finco SARL  Telecommunications  Term Loan (1/21)  Loan   1M USD LIBOR+   3.50%   1.00%   7.58%  12/11/2026   2,925,000    2,818,276    2,884,781 
Consolidated Communications, Inc.  Telecommunications  Term Loan B  Loan   1M USD LIBOR+   3.50%   0.75%   7.63%  10/2/2027   2,714,005    2,511,207    2,370,222 
CORAL-US CO-BORROWER LLC  Telecommunications  Term Loan B-5  Loan   1M USD LIBOR+   2.25%   0.00%   6.13%  1/31/2028   4,000,000    3,988,162    3,871,000 
Corelogic, Inc.  Services: Business  Term Loan (4/21)  Loan   1M USD LIBOR+   3.50%   0.50%   7.63%  6/2/2028   2,475,000    2,464,692    2,035,688 

 

47

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Cortes NP Acquisition Corp (Vertiv)  Capital Equipment  Term Loan 2/21  Loan   1M USD LIBOR+   2.75%   0.00%   6.55%  3/2/2027   1,965,000    1,965,000    1,913,419 
COWEN INC.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   6M USD LIBOR+   3.25%   0.00%   7.43%  3/24/2028   3,937,424    3,917,264    3,912,816 
Creative Artists Agency, LLC  Media: Diversified & Production  Term Loan B2 (6/22)  Loan   1M USD SOFR+   4.25%   1.00%   8.34%  11/27/2026   498,750    481,495    491,269 
CROCS INC  Consumer goods: Durable  Term Loan  Loan   6M USD SOFR+   3.50%   0.50%   7.73%  2/20/2029   2,962,500    2,851,533    2,855,109 
Cross Financial Corp  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)  Loan   1M USD LIBOR+   4.00%   0.75%   8.13%  9/15/2027   493,750    493,278    486,754 
Crown Subsea Communications Holding, Inc.  Construction & Building  Term Loan (4/21)  Loan   1M USD LIBOR+   4.75%   0.75%   8.52%  4/27/2027   3,404,110    3,376,446    3,316,896 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B  Loan   1M USD LIBOR+   2.25%   0.00%   6.12%  1/15/2026   481,250    480,747    457,938 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B (03/17)  Loan   1M USD LIBOR+   2.25%   0.00%   6.12%  7/15/2025   1,918,782    1,907,588    1,834,356 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B-5  Loan   1M USD LIBOR+   2.50%   0.00%   6.37%  4/15/2027   486,250    486,250    454,848 
CTS Midco, LLC  High Tech Industries  Term Loan B  Loan   3M USD LIBOR+   6.00%   1.00%   10.41%  11/2/2027   1,965,000    1,920,583    1,650,600 
Daseke Inc  Transportation: Cargo  Term Loan 2/21  Loan   1M USD LIBOR+   4.00%   0.75%   8.02%  3/5/2028   1,477,500    1,471,549    1,423,483 
Dave & Buster’s Inc.  Hotel, Gaming & Leisure  Term Loan B (04/22)  Loan   1M USD SOFR+   5.00%   0.50%   9.19%  6/29/2029   997,500    949,562    988,273 
DCert Buyer, Inc.  High Tech Industries  Term Loan  Loan   6M USD SOFR+   4.00%   0.00%   8.70%  10/16/2026   1,473,552    1,473,552    1,415,140 
Delek US Holdings, Inc.  Utilities: Oil & Gas  Term Loan B  Loan   1M USD LIBOR+   2.25%   0.00%   6.00%  3/31/2025   4,761,489    4,737,511    4,713,874 
Delek US Holdings, Inc.  Utilities: Oil & Gas  Term Loan B (11/22)  Loan   1M USD SOFR+   3.50%   0.50%   5.79%  11/16/2029   638,511    612,970    611,904 
Delta 2 Lux Sarl  Hotel, Gaming & Leisure  Term Loan B  Loan   1M USD SOFR+   3.25%   0.50%   7.20%  1/15/2030   1,000,000    990,000    994,690 
DexKo Global, Inc. (Dragon Merger)  Automotive  Term Loan (9/21)  Loan   3M USD LIBOR+   3.75%   0.50%   7.42%  10/4/2028   995,000    991,404    897,709 
DG Investment Intermediate Holdings 2, Inc.  Aerospace & Defense  Incremental Term Loan (3/22)  Loan   1M USD SOFR+   4.75%   0.75%   8.84%  3/31/2028   500,000    480,000    480,000 
Diamond Sports Group, LLC  Media: Broadcasting & Subscription  1st Priority Term Loan  Loan   1M USD SOFR+   8.00%   1.00%   11.89%  5/25/2026   343,206    334,272    323,128 
Diamond Sports Group, LLC  Media: Broadcasting & Subscription  Second Lien Term Loan  Loan   1M USD SOFR+   3.25%   0.00%   7.14%  8/24/2026   3,383,403    3,002,894    535,017 

 

48

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
DIRECTV FINANCING, LLC  Media: Broadcasting & Subscription  Term Loan  Loan   1M USD LIBOR+   5.00%   0.75%   9.07%  8/2/2027   3,640,000    3,610,628    3,481,150 
DISCOVERY PURCHASER CORPORATION  Chemicals, Plastics, & Rubber  Term Loan  Loan   3M USD SOFR+   4.38%   0.50%   7.97%  10/4/2029   1,500,000    1,381,965    1,366,125 
Dispatch Acquisition Holdings, LLC  Environmental Industries  Term Loan B (3/21)  Loan   3M USD LIBOR+   4.25%   0.75%   7.92%  3/25/2028   493,750    489,829    408,578 
DOMTAR CORPORATION  Forest Products & Paper  Term Loan 9/21  Loan   1M USD LIBOR+   5.50%   0.75%   8.81%  11/30/2028   1,313,445    1,274,186    1,278,415 
DOTDASH MEREDITH, INC.  Media: Advertising, Printing & Publishing  Term Loan B  Loan   1M USD SOFR+   4.00%   0.50%   7.84%  11/30/2028   2,000,000    1,801,481    1,730,000 
DRI HOLDING INC.  Media: Advertising, Printing & Publishing  Term Loan (12/21)  Loan   1M USD LIBOR+   5.25%   0.50%   9.32%  12/15/2028   3,982,494    3,835,244    3,537,769 
DRW Holdings, LLC  Banking, Finance, Insurance & Real Estate  Term Loan (2/21)  Loan   1M USD LIBOR+   3.75%   0.00%   7.82%  3/1/2028   6,435,000    6,394,793    6,264,086 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan  Loan   1M USD LIBOR+   2.75%   0.00%   6.82%  8/21/2025   3,846,424    3,837,843    3,747,532 
EAB Global, Inc.  Services: Business  Term Loan (08/21)  Loan   1M USD LIBOR+   3.50%   0.50%   7.57%  8/16/2028   992,500    988,234    955,103 
Echo Global Logistics, Inc.  Services: Business  Term Loan  Loan   1M USD LIBOR+   3.50%   0.50%   7.57%  11/23/2028   1,990,000    1,985,621    1,827,815 
Edelman Financial Group Inc., The  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)  Loan   1M USD LIBOR+   3.50%   0.75%   7.57%  4/7/2028   2,194,102    2,187,303    2,090,869 
Electrical Components Inter., Inc.  Capital Equipment  Term Loan (6/18)  Loan   1M USD LIBOR+   4.25%   0.00%   8.32%  6/26/2025   1,893,400    1,893,400    1,693,419 
ELECTRON BIDCO INC.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+   3.00%   0.50%   7.07%  11/1/2028   497,500    495,391    482,222 
ELO Touch Solutions, Inc.  Media: Diversified & Production  Term Loan (12/18)  Loan   3M USD LIBOR+   6.50%   0.00%   10.17%  12/14/2025   2,175,269    2,117,050    2,091,891 
Embecta Corp  Healthcare & Pharmaceuticals  Term Loan B  Loan   3M USD SOFR+   3.00%   0.50%   6.55%  3/30/2029   616,467    613,029    592,197 
Endo Luxembourg Finance Company I S.a.r.l.  Healthcare & Pharmaceuticals  Term Loan (3/21)  Loan   Prime   6.00%   0.75%   13.00%  3/27/2028   2,335,285    2,327,697    1,850,714 
Endure Digital, Inc.  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+   3.50%   0.75%   7.35%  2/10/2028   2,468,750    2,458,793    2,234,219 
Envision Healthcare Corporation  Healthcare & Pharmaceuticals  Term Loan B (06/18)  Loan   3M USD LIBOR+   3.75%   0.00%   8.16%  10/10/2025   4,802,089    4,798,602    1,333,780 
EOS U.S. FINCO LLC  Transportation: Cargo  Term Loan  Loan   3M USD SOFR+   6.00%   0.50%   9.61%  8/3/2029   1,000,000    921,781    962,500 
Equiniti Group PLC  Services: Business  Term Loan B  Loan   3M USD LIBOR+   4.50%   0.50%   8.17%  12/11/2028   992,500    983,752    976,372 
EyeCare Partners, LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+   3.75%   0.00%   7.42%  2/18/2027   1,953,051    1,952,938    1,683,530 
Finco I LLC  Banking, Finance, Insurance & Real Estate  Term Loan B (9/20)  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  6/27/2025   2,830,950    2,826,583    2,815,040 

 

49

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
First Brands Group, LLC  Automotive  1st Lien Term Loan (3/21)  Loan   6M USD SOFR+   5.00%   1.00%   8.37%  3/30/2027   4,925,000    4,863,003    4,744,400 
First Eagle Investment Management  Banking, Finance, Insurance & Real Estate  Refinancing Term Loan  Loan   3M USD LIBOR+   2.50%   0.00%   6.17%  2/1/2027   5,159,769    5,146,052    5,022,467 
First Student Bidco Inc.  Transportation: Consumer  Term Loan B  Loan   3M USD LIBOR+   3.00%   0.50%   6.64%  7/21/2028   724,914    720,485    680,289 
First Student Bidco Inc.  Transportation: Consumer  Term Loan C  Loan   3M USD LIBOR+   3.00%   0.50%   6.64%  7/21/2028   269,608    267,960    253,011 
Fitness International, LLC (LA Fitness)  Services: Consumer  Term Loan B (4/18)  Loan   3M USD SOFR+   3.25%   1.00%   7.49%  4/18/2025   1,330,058    1,326,498    1,218,666 
Flutter Financing B.V.  Hotel, Gaming & Leisure  Third Amendment 2028-B Term Loan  Loan   3M USD SOFR+   3.25%   0.50%   7.01%  7/21/2028   750,000    733,395    743,955 
FOCUS FINANCIAL PARTNERS, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD SOFR+   3.25%   0.50%   7.33%  6/29/2028   1,491,026    1,473,267    1,465,872 
Franchise Group, Inc.  Services: Consumer  First Out Term Loan  Loan   3M USD LIBOR+   4.75%   0.75%   8.69%  3/10/2026   799,104    793,510    768,139 
Franklin Square Holdings, L.P.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+   2.25%   0.00%   6.38%  8/1/2025   4,319,981    4,304,912    4,265,982 
Froneri International (R&R Ice Cream)  Beverage, Food & Tobacco  Term Loan B-2  Loan   1M USD LIBOR+   2.25%   0.00%   6.32%  1/29/2027   1,955,000    1,952,258    1,897,738 
Garrett LX III S.a r.l.  Automotive  Dollar Term Loan  Loan   3M USD LIBOR+   3.25%   0.50%   7.67%  4/30/2028   1,485,000    1,479,126    1,466,438 
Gates Global LLC  Automotive  Term Loan (11/22)  Loan   1M USD SOFR+   3.50%   0.50%   7.30%  11/9/2029   250,000    242,500    245,500 
Gemini HDPE LLC  Chemicals, Plastics, & Rubber  Term Loan B (12/20)  Loan   3M USD LIBOR+   3.00%   0.50%   7.42%  12/31/2027   2,315,912    2,301,741    2,253,961 
General Nutrition Centers, Inc.  Retail  Second Lien Term Loan  Loan   1M USD LIBOR+   6.00%   0.00%   9.94%  10/7/2026   361,259    361,259    331,156 
Genesee & Wyoming, Inc.  Transportation: Cargo  Term Loan (11/19)  Loan   3M USD LIBOR+   2.00%   0.00%   5.67%  12/30/2026   1,462,500    1,458,153    1,446,968 
GGP Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD SOFR+   2.50%   0.00%   6.69%  8/27/2025   3,083,145    2,709,702    3,040,752 
Global Tel*Link Corporation  Telecommunications  Term Loan B  Loan   3M USD SOFR+   4.25%   0.00%   8.49%  11/29/2025   4,910,390    4,754,383    4,221,413 
Go Daddy Operating Company, LLC  High Tech Industries  Term Loan 2/21  Loan   1M USD LIBOR+   2.00%   0.00%   6.07%  8/10/2027   1,964,824    1,964,824    1,945,176 
GOLDEN WEST PACKAGING GROUP LLC  Forest Products & Paper  Term Loan (11/21)  Loan   1M USD LIBOR+   5.25%   0.75%   9.00%  12/1/2027   1,975,000    1,957,934    1,910,813 
Graham Packaging Co Inc  Containers, Packaging & Glass  Term Loan (2/21)  Loan   1M USD LIBOR+   3.00%   0.75%   7.07%  8/7/2027   964,966    959,889    942,048 
Great Outdoors Group, LLC  Retail  Term Loan B2  Loan   1M USD LIBOR+   3.75%   0.75%   7.82%  3/6/2028   982,575    978,572    943,026 
Greenhill & Co., Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  4/12/2024   2,844,231    2,833,856    2,766,014 

 

50

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Griffon Corporation  Consumer goods: Durable  Term Loan B  Loan   1M USD SOFR+   2.50%   0.50%   6.62%  1/24/2029   155,000    154,653    151,998 
Grosvenor Capital Management Holdings, LLLP  Banking, Finance, Insurance & Real Estate  Amendment 5 Term Loan  Loan   1M USD LIBOR+   2.50%   0.50%   6.57%  2/24/2028   2,844,023    2,841,299    2,801,363 
Harbor Freight Tools USA, Inc.  Retail  Term Loan B (06/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.82%  10/19/2027   3,447,236    3,428,346    3,266,980 
Helix Gen Funding, LLc  Energy: Electricity  Term Loan B (02/17)  Loan   1M USD LIBOR+   3.75%   1.00%   7.82%  6/3/2024   209,702    209,657    202,798 
Hillman Group Inc. (The) (New)  Consumer goods: Durable  Term Loan B-1 (2/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.79%  7/14/2028   3,487,975    3,481,366    3,372,872 
Hillman Group Inc. (The) (New) (a)  Consumer goods: Durable  Delayed Draw Term Loan (2/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.79%  7/14/2028   66,836    66,835    39,010 
HLF Financing SARL (Herbalife)  Consumer goods: Non-durable  Term Loan B (08/18)  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  8/18/2025   3,520,000    3,513,070    3,358,960 
Holley Purchaser, Inc  Automotive  Term Loan (11/21)  Loan   3M USD LIBOR+   3.75%   0.75%   8.42%  11/17/2028   2,324,464    2,315,433    2,030,280 
Howden Group Holdings  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)  Loan   1M USD LIBOR+   3.25%   0.75%   7.38%  11/12/2027   2,157,681    2,148,953    2,100,653 
Hudson River Trading LLC  Banking, Finance, Insurance & Real Estate  Term Loan (3/21)  Loan   1M USD SOFR+   3.00%   0.00%   7.20%  3/17/2028   5,910,000    5,863,465    5,491,040 
Idera, Inc.  High Tech Industries  Term Loan (02/21)  Loan   3M USD LIBOR+   3.75%   0.75%   7.50%  3/2/2028   4,823,353    4,813,942    4,560,094 
IMA Financial Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/21)  Loan   1M USD LIBOR+   3.50%   0.50%   7.57%  11/1/2028   1,985,000    1,976,455    1,911,813 
INDY US BIDCO, LLC  Services: Business  Term Loan (11/21)  Loan   1M USD LIBOR+   3.75%   0.00%   7.82%  3/6/2028   2,221,313    2,220,912    1,940,872 
INEOS US PETROCHEM LLC  Chemicals, Plastics, & Rubber  Term Loan (1/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.82%  1/29/2026   1,984,975    1,930,186    1,950,238 
Informatica Inc.  High Tech Industries  Term Loan B (10/21)  Loan   1M USD LIBOR+   2.75%   0.00%   6.88%  10/27/2028   497,500    497,008    486,804 
Ingram Micro Inc.  Wholesale  Term Loan  Loan   3M USD LIBOR+   3.50%   0.50%   7.17%  6/30/2028   1,481,250    1,468,838    1,457,639 
Inmar Acquisition Sub, Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+   4.00%   1.00%   8.07%  5/1/2024   3,359,537    3,331,094    3,037,021 
Innophos, Inc.  Chemicals, Plastics, & Rubber  Term Loan B  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  2/4/2027   487,500    485,983    478,969 
INSTANT BRANDS HOLDINGS INC.  Consumer goods: Durable  Term Loan 4/21  Loan   6M USD LIBOR+   5.00%   0.75%   7.08%  4/7/2028   4,112,759    4,094,253    2,739,097 
Isagenix International, LLC (b)  Beverage, Food & Tobacco  Term Loan  Loan   3M USD LIBOR+   7.75%   1.00%   11.35%  6/14/2025   2,364,256    2,343,650    505,360 
Ivory Merger Sub, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+   3.50%   0.00%   7.39%  3/14/2025   2,934,827    2,920,577    2,773,412 
J Jill Group, Inc  Retail  Common Stock - Restricted  N/A   N/A   N/A    N/A    N/A   N/A   2,107    -    53,602 
J Jill Group, Inc  Retail  Priming Term Loan  Loan   3M USD LIBOR+   5.00%   1.00%   9.41%  5/8/2024   1,559,000    1,558,339    1,424,537 
Jane Street Group  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)  Loan   1M USD LIBOR+   2.75%   0.00%   6.82%  1/31/2028   3,930,000    3,925,864    3,813,947 

 

51

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Journey Personal Care Corp.  Consumer goods: Non-durable  Term Loan B  Loan   3M USD LIBOR+   4.25%   0.75%   7.92%  3/1/2028   987,500    983,491    706,063 
JP Intermediate B, LLC  Consumer goods: Non-durable  Term Loan  Loan   3M USD LIBOR+   5.50%   1.00%   9.91%  11/15/2025   3,951,625    3,929,324    2,850,109 
Klockner-Pentaplast of America, Inc.  Containers, Packaging & Glass  Term Loan (1/21) (USD)  Loan   6M USD SOFR+   4.75%   0.50%   8.26%  2/12/2026   1,477,500    1,472,741    1,311,902 
Kodiak BP, LLC  Construction & Building  Term Loan  Loan   3M USD LIBOR+   3.25%   0.75%   6.92%  3/13/2028   492,500    491,212    464,590 
KREF Holdings X LLC  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)  Loan   1M USD LIBOR+   3.50%   0.50%   7.44%  9/1/2027   492,528    483,597    486,372 
Lakeland Tours, LLC  Hotel, Gaming & Leisure  Holdco Fixed Term Loan  Loan   Fixed   0.00%   0.00%   13.25%  9/27/2027   990,775    374,526    610,981 
Lakeland Tours, LLC (d)  Hotel, Gaming & Leisure  Third Out PIK Term Loan  Loan   3M USD LIBOR+   1.50%   1.25%   4.31%  9/25/2025   -    101,437    - 
Lealand Finance Company B.V.  Energy: Oil & Gas  Exit Term Loan  Loan   1M USD LIBOR+   1.00%   0.00%   5.07%  6/30/2025   342,503    342,503    180,098 
LHS BORROWER, LLC  Construction & Building  Term Loan (02/22)  Loan   1M USD SOFR+   4.75%   0.50%   8.94%  2/25/2029   1,000,000    813,015    806,250 
Lifetime Brands, Inc  Consumer goods: Non-durable  Term Loan B  Loan   1M USD LIBOR+   3.50%   1.00%   7.57%  2/28/2025   2,616,496    2,600,308    2,481,301 
Liquid Tech Solutions Holdings, LLC  Services: Business  Term Loan  Loan   6M USD LIBOR+   4.75%   0.00%   8.92%  3/17/2028   987,500    984,471    933,188 
LogMeIn, Inc.  High Tech Industries  Term Loan (8/20)  Loan   1M USD LIBOR+   4.75%   0.00%   8.77%  8/31/2027   3,930,000    3,874,858    2,513,549 
LOYALTY VENTURES INC.  Services: Business  Term Loan B  Loan   1M USD LIBOR+   4.50%   0.50%   8.57%  11/3/2027   3,152,258    3,136,058    1,245,142 
LPL Holdings, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1  Loan   1M USD LIBOR+   1.75%   0.00%   5.52%  11/11/2026   1,210,969    1,209,252    1,202,892 
LSF11 A5 HOLDCO LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD SOFR+   3.50%   0.50%   7.70%  10/16/2028   248,750    247,702    240,302 
LSF9 Atlantis Holdings, LLC (A Wireless)  Retail  Term Loan B  Loan   3M USD SOFR+   7.25%   0.75%   10.80%  3/29/2029   3,000,000    2,905,986    2,894,370 
MA FinanceCo LLC  High Tech Industries  Term Loan B4  Loan   3M USD LIBOR+   4.25%   1.00%   7.42%  6/5/2025   2,857,188    2,810,388    2,835,759 
MAGNITE, INC.  Services: Business  Term Loan  Loan   3M USD LIBOR+   5.00%   0.75%   9.74%  4/28/2028   2,972,475    2,905,470    2,784,228 
Marriott Ownership Resorts, Inc.  Hotel, Gaming & Leisure  Term Loan (11/19)  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  8/29/2025   1,317,074    1,317,074    1,298,306 
Match Group, Inc, The  Services: Consumer  Term Loan (1/20)  Loan   1M USD LIBOR+   1.75%   0.00%   5.65%  2/15/2027   250,000    249,611    244,688 
Maxar Technologies Inc  Aerospace & Defense  Term Loan (6/22)  Loan   1M USD SOFR+   4.25%   0.50%   8.44%  6/14/2029   2,000,000    1,929,241    1,922,180 
Mayfield Agency Borrower Inc. (FeeCo)  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+   4.50%   0.00%   8.57%  2/28/2025   3,365,714    3,348,141    3,155,357 

 

52

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
McGraw-Hill Education, Inc.  Media: Advertising, Printing & Publishing  Term Loan (07/21)  Loan   1M USD LIBOR+   4.75%   0.50%   8.82%  7/28/2028   1,980,000    1,962,386    1,887,930 
MedAssets Software Inter Hldg, Inc.  High Tech Industries  Term Loan (11/21) (USD)  Loan   1M USD LIBOR+   4.00%   0.50%   8.07%  12/18/2028   497,500    494,466    446,506 
Mermaid Bidco Inc.  High Tech Industries  Term Loan B2  Loan   3M USD LIBOR+   3.50%   0.75%   7.96%  12/22/2027   986,266    983,493    922,158 
Messer Industries, LLC  Chemicals, Plastics, & Rubber  Term Loan B  Loan   3M USD LIBOR+   2.50%   0.00%   6.17%  3/1/2026   3,271,171    3,259,083    3,219,388 
Michaels Companies Inc  Retail  Term Loan B (Magic Mergeco)  Loan   3M USD LIBOR+   4.25%   0.75%   7.92%  4/8/2028   2,473,712    2,457,308    1,864,214 
Milk Specialties Company  Beverage, Food & Tobacco  Term Loan (6/21)  Loan   3M USD LIBOR+   4.00%   1.00%   7.67%  8/15/2025   3,772,905    3,750,698    3,725,744 
MJH Healthcare Holdings, LLC  Healthcare & Pharmaceuticals  Term Loan B (01/22)  Loan   1M USD SOFR+   3.50%   0.50%   7.69%  1/28/2029   248,750    247,659    240,200 
MPH Acquisition Holdings LLC (Multiplan)  Services: Business  Term Loan B (08/21)  Loan   3M USD LIBOR+   4.25%   0.50%   8.98%  9/1/2028   2,000,000    1,862,500    1,712,500 
MRC Global Inc.  Metals & Mining  Term Loan B2  Loan   1M USD LIBOR+   3.00%   0.00%   7.07%  9/20/2024   349,634    349,376    342,641 
MW Industries, Inc. (Helix Acquisition Holdings)  Capital Equipment  Term Loan (2019 Incremental)  Loan   3M USD LIBOR+   3.75%   0.00%   7.42%  9/30/2024   2,842,097    2,820,647    2,753,282 
NAB Holdings, LLC (North American Bancard)  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)  Loan   3M USD SOFR+   3.00%   0.50%   6.70%  11/23/2028   2,977,500    2,970,919    2,888,175 
Natgasoline LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+   3.50%   0.00%   7.63%  11/14/2025   3,445,430    3,426,270    3,393,748 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan C 2/21  Loan   3M USD LIBOR+   3.75%   0.75%   7.43%  3/2/2028   87,464    87,115    61,783 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan 2/21  Loan   3M USD LIBOR+   3.75%   0.75%   7.43%  3/2/2028   2,743,005    2,733,886    1,937,631 
NEW ERA CAP, LLC  Consumer goods: Durable  Term Loan (01/22)  Loan   3M USD LIBOR+   6.00%   0.75%   9.94%  7/13/2027   3,675,283    3,674,288    3,418,013 
Nexstar Broadcasting, Inc. (Mission Broadcasting)  Media: Broadcasting & Subscription  Term Loan  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  9/18/2026   724,176    718,378    717,687 
Next Level Apparel, Inc.  Retail  Term Loan  Loan   3M USD LIBOR+   5.50%   1.00%   9.32%  8/9/2024   1,687,840    1,681,956    1,384,029 
NorthPole Newco S.a.r.l (b)  Aerospace & Defense  Term Loan  Loan   Prime   7.00%   0.00%   14.00%  3/3/2025   5,348,887    5,097,117    414,539 
NortonLifeLock Inc.  High Tech Industries  Term Loan B  Loan   1M USD SOFR+   2.00%   0.50%   6.19%  9/12/2029   1,500,000    1,492,952    1,473,120 
Novae LLC  Automotive  Term Loan B  Loan   3M USD SOFR+   5.00%   0.75%   9.20%  12/22/2028   1,990,000    1,976,544    1,791,000 
Nuvei Technologies Corp.  High Tech Industries  US Term Loan  Loan   1M USD LIBOR+   2.50%   0.50%   6.57%  9/29/2025   2,221,875    2,218,228    2,182,992 
Olaplex, Inc.  Consumer goods: Non-durable  Term Loan (2/22)  Loan   1M USD SOFR+   3.50%   0.50%   7.62%  2/23/2029   995,000    992,800    945,250 

 

53

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Open Text Corporation  High Tech Industries  Term Loan B  Loan   1M USD SOFR+   3.50%   0.50%   7.29%  11/16/2029   1,500,000    1,455,000    1,455,630 
Organon & Co.  Healthcare & Pharmaceuticals  Term Loan USD  Loan   3M USD LIBOR+   3.00%   0.50%   6.19%  6/2/2028   2,327,083    2,317,608    2,301,485 
Pacific Gas & Electric  Utilities: Electric  Term Loan  Loan   1M USD LIBOR+   3.00%   0.50%   7.13%  6/18/2025   1,468,700    1,464,078    1,444,525 
PACTIV EVERGREEN GROUP HOLDINGS INC.  Containers, Packaging & Glass  Term Loan B  Loan   1M USD LIBOR+   3.25%   0.50%   7.32%  9/20/2028   990,000    985,784    974,378 
Padagis LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+   4.75%   0.50%   8.49%  7/6/2028   941,176    933,169    785,882 
Panther Guarantor II, L.P. (Forcepoint)  High Tech Industries  Term Loan 1/21  Loan   3M USD LIBOR+   4.25%   0.50%   8.66%  1/7/2028   493,750    490,951    443,550 
PATAGONIA HOLDCO LLC  Telecommunications  Term Loan B  Loan   3M USD SOFR+   5.75%   0.50%   9.96%  8/1/2029   2,000,000    1,649,490    1,595,000 
Pathway Partners Vet Management Company LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+   3.75%   0.00%   7.42%  3/30/2027   487,750    480,036    427,654 
PCI Gaming Authority  Hotel, Gaming & Leisure  Term Loan  Loan   1M USD LIBOR+   2.50%   0.00%   6.57%  5/29/2026   809,038    806,747    797,914 
PEARLS (Netherlands) Bidco B.V.  Chemicals, Plastics, & Rubber  USD Term Loan (02/22)  Loan   3M USD SOFR+   3.75%   0.50%   7.84%  2/28/2029   995,000    992,881    935,300 
PECF USS INTERMEDIATE HOLDING III CORPORATION  Environmental Industries  Term Loan B  Loan   1M USD LIBOR+   4.25%   0.50%   8.32%  12/15/2028   99,250    99,066    80,062 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC  Healthcare & Pharmaceuticals  Term Loan (12/22)  Loan   1M USD LIBOR+   3.25%   0.50%   7.32%  12/29/2028   1,296,118    1,290,361    1,236,173 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan (12/21)  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  12/29/2028   98,192    98,191    89,086 
Penn National Gaming, Inc  Hotel, Gaming & Leisure  Term Loan B  Loan   1M USD SOFR+   2.75%   0.50%   6.94%  5/3/2029   997,500    992,732    982,538 
Peraton Corp.  Aerospace & Defense  Term Loan B  Loan   1M USD LIBOR+   3.75%   0.75%   7.82%  2/1/2028   5,320,330    5,302,168    5,187,322 
PHYSICIAN PARTNERS, LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD SOFR+   4.00%   0.50%   7.83%  12/23/2028   1,990,000    1,972,070    1,906,679 
Pike Corporation  Construction & Building  Term Loan (8/22)  Loan   1M USD SOFR+   3.50%   0.00%   7.59%  1/21/2028   500,000    487,996    493,440 
Pitney Bowes Inc  Services: Business  Term Loan B  Loan   1M USD LIBOR+   4.00%   0.00%   8.08%  3/17/2028   3,949,950    3,923,336    3,485,830 

 

54

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Plastipak Holdings Inc.  Containers, Packaging & Glass  Term Loan B (11/21)  Loan   1M USD LIBOR+   2.50%   0.50%   6.63%  12/1/2028   1,926,176    1,917,700    1,894,876 
Playtika Holding Corp.  High Tech Industries  Term Loan B (3/21)  Loan   1M USD LIBOR+   2.75%   0.00%   6.82%  3/13/2028   4,432,500    4,424,551    4,314,773 
PMHC II, INC.  Chemicals, Plastics, & Rubber  Term Loan (02/22)  Loan   3M USD SOFR+   4.25%   0.50%   8.49%  4/21/2029   2,000,000    1,990,654    1,675,460 
PointClickCare Technologies, Inc.  High Tech Industries  Term Loan B  Loan   6M USD LIBOR+   3.00%   0.75%   5.94%  12/29/2027   492,500    490,628    483,881 
Polymer Process Holdings, Inc.  Containers, Packaging & Glass  Term Loan  Loan   1M USD LIBOR+   4.75%   0.75%   8.82%  2/12/2028   5,417,500    5,370,088    4,984,100 
Pre-Paid Legal Services, Inc.  Services: Consumer  Term Loan (12/21)  Loan   1M USD LIBOR+   3.75%   0.50%   7.82%  12/15/2028   2,985,000    2,963,044    2,875,540 
Presidio, Inc.  Services: Business  Term Loan B (1/20)  Loan   1M USD LIBOR+   3.50%   0.00%   7.58%  1/22/2027   488,750    488,069    482,030 
Prime Security Services Borrower, LLC (ADT)  Services: Consumer  Term Loan (1/21)  Loan   3M USD LIBOR+   2.75%   0.75%   6.50%  9/23/2026   3,529,426    3,529,238    3,476,061 
PRIORITY HOLDINGS, LLC  Services: Consumer  Term Loan  Loan   1M USD LIBOR+   5.75%   1.00%   9.82%  4/27/2027   2,962,500    2,938,467    2,932,875 
PriSo Acquisition Corporation  Construction & Building  Term Loan (01/21)  Loan   3M USD LIBOR+   3.25%   0.75%   6.99%  12/28/2027   492,496    490,547    426,625 
Project Leopard Holdings, Inc. (NEW)  High Tech Industries  Term Loan B (06/22)  Loan   6M USD SOFR+   5.25%   0.50%   9.80%  7/20/2029   1,000,000    932,616    898,130 
Prometric Inc. (Sarbacane Bidco)  Services: Consumer  Term Loan  Loan   1M USD LIBOR+   3.00%   1.00%   6.75%  1/29/2025   477,675    476,864    430,505 
PUG LLC  Services: Consumer  Term Loan B (02/20)  Loan   1M USD LIBOR+   3.50%   0.00%   7.57%  2/12/2027   481,363    479,824    411,565 
QUEST BORROWER LIMITED  High Tech Industries  Term Loan (1/22)  Loan   3M USD SOFR+   4.25%   0.50%   8.49%  2/1/2029   1,995,000    1,977,057    1,508,100 
Rackspace Technology Global, Inc.  High Tech Industries  Term Loan (1/21)  Loan   3M USD LIBOR+   2.75%   0.75%   7.38%  2/15/2028   2,982,393    2,886,345    1,996,145 
RealPage, Inc.  High Tech Industries  Term Loan (04/21)  Loan   1M USD LIBOR+   3.00%   0.50%   7.07%  4/24/2028   990,000    988,102    946,074 
Renaissance Learning, Inc.  Services: Consumer  Term Loan (5/18)  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  5/30/2025   2,946,065    2,927,716    2,817,174 
Rent-A-Center, Inc.  Retail  Term Loan B2 (9/21)  Loan   3M USD LIBOR+   3.25%   0.50%   7.69%  2/17/2028   1,981,184    1,937,632    1,899,460 
Research Now Group, Inc  Media: Advertising, Printing & Publishing  Term Loan  Loan   6M USD LIBOR+   5.50%   1.00%   8.84%  12/20/2024   4,309,446    4,253,234    3,724,094 
Resideo Funding Inc.  Services: Consumer  Term Loan (1/21)  Loan   3M USD LIBOR+   2.25%   0.50%   6.88%  2/11/2028   1,477,500    1,475,275    1,445,187 

 

55

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Resolute Investment Managers (American Beacon), Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)  Loan   3M USD LIBOR+   4.25%   1.00%   7.92%  4/30/2024   3,050,137    3,045,658    2,539,239 
Restoration Hardware, Inc.  Retail  Term Loan (9/21)  Loan   1M USD LIBOR+   2.50%   0.50%   6.57%  10/20/2028   3,471,203    3,464,339    3,262,931 
Reynolds Consumer Products LLC  Containers, Packaging & Glass  Term Loan  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  1/29/2027   1,280,682    1,279,978    1,265,032 
Reynolds Group Holdings Inc.  Containers, Packaging & Glass  Term Loan B2  Loan   1M USD LIBOR+   3.25%   0.00%   7.32%  2/5/2026   3,438,750    3,425,975    3,385,312 
Rocket Software, Inc.  High Tech Industries  Term Loan (11/18)  Loan   1M USD LIBOR+   4.25%   0.00%   8.32%  11/28/2025   2,882,785    2,876,646    2,774,680 
Russell Investments US Inst’l Holdco, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)  Loan   1M USD LIBOR+   3.50%   1.00%   7.57%  6/2/2025   5,590,662    5,561,436    5,241,245 
RV Retailer LLC  Automotive  Term Loan  Loan   1M USD SOFR+   3.75%   0.75%   7.76%  2/8/2028   2,965,100    2,917,914    2,683,415 
Ryan Specialty Group LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+   3.00%   0.75%   7.19%  9/1/2027   1,482,405    1,470,362    1,470,916 
S&S HOLDINGS LLC  Services: Business  Term Loan  Loan   1M USD LIBOR+   5.00%   0.50%   8.88%  3/10/2028   2,464,975    2,414,138    2,239,011 
Sally Holdings LLC  Retail  Term Loan B  Loan   1M USD LIBOR+   2.25%   0.00%   6.33%  7/5/2024   740,909    739,836    735,967 
Samsonite International S.A.  Consumer goods: Non-durable  Term Loan B2  Loan   1M USD LIBOR+   3.00%   0.75%   7.07%  4/25/2025   930,018    915,255    918,393 
Schweitzer-Mauduit International, Inc.  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+   3.75%   0.75%   7.88%  4/20/2028   2,962,500    2,948,735    2,762,531 
Scientific Games Holdings LP  Hotel, Gaming & Leisure  Term Loan B  Loan   3M USD SOFR+   3.50%   0.50%   7.10%  4/4/2029   500,000    498,841    476,875 
SETANTA AIRCRAFT LEASING DAC  Aerospace & Defense  Term Loan  Loan   3M USD LIBOR+   2.00%   0.00%   5.67%  11/2/2028   1,000,000    997,801    986,460 
Signify Health, LLC  Healthcare & Pharmaceuticals  Term Loan B (6/21)  Loan   6M USD LIBOR+   3.00%   0.50%   5.88%  6/16/2028   495,000    492,934    488,402 
Sitel Worldwide Corporation  Services: Business  USD Term Loan (7/21)  Loan   1M USD LIBOR+   3.75%   0.50%   7.83%  8/28/2028   1,980,000    1,971,561    1,959,368 
SiteOne Landscape Supply, LLC  Services: Business  Term Loan (3/21)  Loan   1M USD LIBOR+   2.00%   0.50%   6.08%  3/18/2028   779,831    778,270    771,386 
SMG US Midco 2, Inc.  Services: Business  Term Loan (01/20)  Loan   3M USD LIBOR+   2.50%   0.00%   6.91%  1/23/2025   486,250    486,250    468,930 
Solis IV B.V.  Consumer goods: Durable  Term Loan B-1  Loan   3M USD SOFR+   3.50%   0.50%   7.86%  2/26/2029   2,000,000    1,721,336    1,741,080 
Sotheby’s  Services: Business  Term Loan (7/21)  Loan   3M USD LIBOR+   4.50%   0.50%   8.58%  1/15/2027   3,231,926    3,189,216    3,146,409 
Sparta U.S. HoldCo LLC  Chemicals, Plastics, & Rubber  Term Loan (04/21)  Loan   1M USD LIBOR+   3.25%   0.75%   7.05%  8/2/2028   1,985,000    1,976,688    1,922,473 
Specialty Pharma III Inc.  Services: Business  Term Loan  Loan   1M USD LIBOR+   4.25%   0.75%   8.00%  3/31/2028   1,980,000    1,964,131    1,816,650 

 

56

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Spectrum Brands, Inc.  Consumer goods: Durable  Term Loan (2/21)  Loan   3M USD LIBOR+   2.00%   0.50%   6.42%  3/3/2028   492,500    491,539    479,572 
Spin Holdco, Inc.  Services: Consumer  Term Loan 3/21  Loan   3M USD LIBOR+   4.00%   0.75%   7.14%  3/4/2028   2,947,500    2,933,856    2,629,406 
Spirit Aerosystems Inc.  Aerospace & Defense  Term Loan (11/22)  Loan   1M USD SOFR+   4.50%   0.50%   6.80%  11/7/2027   500,000    485,000    493,335 
SRAM, LLC  Consumer goods: Durable  Term Loan (05/21)  Loan   1M USD LIBOR+   2.75%   0.50%   6.82%  5/12/2028   3,000,000    2,995,894    2,936,250 
SS&C Technologies, Inc.  Services: Business  Term Loan B4  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  4/16/2025   153,114    152,984    150,179 
SS&C Technologies, Inc.  Services: Business  Term Loan B-5  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  4/16/2025   473,700    473,211    464,491 
SS&C Technologies, Inc.  Services: Business  Term Loan B3  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  4/16/2025   183,262    183,104    179,749 
STANDARD INDUSTRIES INC.  Construction & Building  Term Loan B  Loan   6M USD LIBOR+   2.25%   0.50%   6.43%  9/22/2028   632,750    627,463    625,239 
Staples, Inc.  Wholesale  Term Loan (03/19)  Loan   3M USD LIBOR+   5.00%   0.00%   9.44%  4/16/2026   4,352,633    4,251,014    3,874,279 
Stars Group Inc. (The)  Hotel, Gaming & Leisure  Term Loan  Loan   3M USD LIBOR+   2.25%   0.00%   5.89%  7/21/2026   1,980,000    1,976,516    1,953,052 
Storable, Inc  High Tech Industries  Term Loan B  Loan   1M USD SOFR+   3.50%   0.50%   7.59%  4/17/2028   496,250    495,321    472,991 
Superannuation & Investments US LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+   3.75%   0.50%   7.82%  12/1/2028   992,500    983,754    967,688 
Syncsort Incorporated  High Tech Industries  Term Loan B (10/21)  Loan   3M USD LIBOR+   4.00%   0.75%   8.36%  4/24/2028   2,476,241    2,475,172    2,033,613 
Ta TT Buyer LLC  Media: Broadcasting & Subscription  Term Loan 3/22  Loan   6M USD SOFR+   5.00%   0.50%   8.98%  4/2/2029   1,000,000    990,510    972,500 
Tenable Holdings, Inc.  Services: Business  Term Loan B (6/21)  Loan   3M USD LIBOR+   2.75%   0.50%   7.16%  7/7/2028   992,500    990,345    962,725 
Teneo Holdings LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+   5.25%   1.00%   9.44%  7/15/2025   4,394,543    4,336,215    4,200,920 
Ten-X, LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+   4.00%   1.00%   8.07%  9/27/2024   1,905,000    1,903,733    1,727,606 
The Dun & Bradstreet Corporation  Services: Business  Term Loan B  Loan   1M USD SOFR+   3.25%   0.00%   7.31%  1/18/2029   248,750    247,080    244,708 
The Dun & Bradstreet Corporation  Services: Business  Term Loan  Loan   1M USD LIBOR+   3.25%   0.00%   7.29%  2/6/2026   965,474    964,449    951,475 
THE KNOT WORLDWIDE INC.  Services: Consumer  Term Loan (1/22)  Loan   1M USD SOFR+   4.50%   0.00%   8.69%  12/19/2025   4,857,621    4,852,397    4,748,325 

 

57

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Thor Industries, Inc.  Automotive  USD Term Loan (3/21)  Loan   1M USD LIBOR+   3.00%   0.00%   7.13%  2/1/2026   2,062,565    2,033,826    2,041,939 
TORY BURCH LLC  Retail  Term Loan  Loan   1M USD LIBOR+   3.25%   0.50%   7.32%  4/15/2028   1,332,585    1,231,826    1,236,532 
Tosca Services, LLC  Containers, Packaging & Glass  Term Loan (2/21)  Loan   1M USD SOFR+   3.50%   0.75%   7.70%  8/18/2027   491,250    486,049    397,913 
Trans Union LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+   2.25%   0.50%   6.32%  12/1/2028   863,468    861,596    848,141 
Transdigm, Inc.  Aerospace & Defense  Term Loan G (02/20)  Loan   3M USD LIBOR+   2.25%   0.00%   5.92%  8/22/2024   1,993,370    1,990,733    1,983,582 
TRITON WATER HOLDINGS, INC.  Beverage, Food & Tobacco  Term Loan (03/21)  Loan   3M USD LIBOR+   3.50%   0.50%   7.17%  3/31/2028   1,481,252    1,475,215    1,362,751 
Tronox Finance LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+   2.25%   0.00%   6.32%  3/10/2028   346,923    346,250    334,077 
TruGreen Limited Partnership  Services: Consumer  Term Loan  Loan   1M USD LIBOR+   4.00%   0.75%   8.07%  10/29/2027   956,936    951,201    850,237 
Uber Technologies, Inc.  Transportation: Consumer  Term Loan B (2/21)  Loan   3M USD LIBOR+   3.50%   0.00%   8.23%  2/25/2027   3,916,693    3,883,352    3,900,792 
Ultra Clean Holdings, Inc.  High Tech Industries  Incremental Term Loan 3/21  Loan   1M USD LIBOR+   3.75%   0.00%   7.82%  8/27/2025   826,588    823,809    818,669 
Unimin Corporation  Metals & Mining  Term Loan (12/20)  Loan   3M USD LIBOR+   4.00%   1.00%   7.75%  7/31/2026   496,815    475,129    478,805 
United Natural Foods, Inc  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD SOFR+   3.25%   0.00%   7.45%  10/22/2025   1,289,967    1,249,790    1,282,524 
United Road Services Inc.  Transportation: Cargo  Term Loan (10/17)  Loan   3M USD LIBOR+   5.75%   1.00%   10.48%  9/1/2024   897,096    893,251    540,222 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/21)  Loan   1M USD LIBOR+   3.25%   0.75%   7.32%  3/15/2026   2,452,858    2,447,168    2,406,867 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/22)  Loan   3M USD SOFR+   4.25%   0.50%   7.79%  6/25/2029   249,375    242,238    245,634 
Utz Quality Foods, LLC  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD SOFR+   3.00%   0.00%   7.20%  1/20/2028   1,833,129    1,831,067    1,816,759 
Vaco Holdings, LLC  Services: Business  Term Loan (01/22)  Loan   3M USD SOFR+   5.00%   0.75%   8.70%  1/19/2029   2,348,125    2,278,466    2,238,068 
Vericast Corp.  Media: Advertising, Printing & Publishing  Term Loan  Loan   1M USD SOFR+   7.75%   1.00%   12.20%  6/15/2026   1,201,006    1,198,561    865,481 
Verifone Systems, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (7/18)  Loan   3M USD LIBOR+   4.00%   0.00%   8.36%  8/20/2025   1,371,603    1,367,428    1,236,377 
Vertex Aerospace Services Corp  Aerospace & Defense  Term Loan (10/21)  Loan   1M USD LIBOR+   3.50%   0.75%   7.57%  12/6/2028   995,000    990,757    976,095 
VFH Parent LLC  Banking, Finance, Insurance & Real Estate  Term Loan (01/22)  Loan   1M USD SOFR+   3.00%   0.50%   7.01%  1/12/2029   3,100,888    3,093,458    3,007,861 
Viasat Inc  Telecommunications  Term Loan (2/22)  Loan   1M USD SOFR+   4.50%   0.50%   8.70%  3/2/2029   2,000,000    1,952,500    1,938,340 

 

58

 

 

Issuer Name  Industry  Asset Name  Asset
Type
  Reference Rate/Spread  LIBOR Floor   Current Rate (All In)   Maturity Date  Principal/
Number of Shares
   Cost   Fair Value 
Virtus Investment Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (9/21)  Loan   1M USD LIBOR+   2.25%   0.00%   6.13%  9/28/2028   2,860,909    2,852,781    2,832,300 
Vistra Energy Corp  Utilities: Electric  2018 Incremental Term Loan  Loan   1M USD LIBOR+   1.75%   0.00%   5.82%  12/31/2025   899,555    899,171    891,585 
Vizient, Inc  Healthcare & Pharmaceuticals  Term Loan 4/22  Loan   1M USD SOFR+   2.25%   0.50%   6.26%  5/16/2029   498,750    494,003    497,628 
VM Consolidated, Inc.  Construction & Building  Term Loan B (3/21)  Loan   6M USD LIBOR+   3.25%   0.00%   6.13%  3/19/2028   2,321,650    2,318,845    2,301,916 
Vouvray US Finance LLC  High Tech Industries  Term Loan  Loan   1M USD SOFR+   6.00%   1.00%   10.09%  9/9/2025   472,500    472,500    432,338 
Warner Music Group Corp. (WMG Acquisition Corp.)  Hotel, Gaming & Leisure  Term Loan Incremental (11/22)  Loan   1M USD SOFR+   3.00%   0.50%   6.74%  1/19/2028   500,000    490,140    495,000 
Warner Music Group Corp. (WMG Acquisition Corp.)  Hotel, Gaming & Leisure  Term Loan G  Loan   1M USD LIBOR+   2.13%   0.00%   6.20%  1/20/2028   1,250,000    1,249,790    1,229,163 
Wastequip, LLC (HPCC Merger/Patriot Container)  Environmental Industries  Term Loan (3/18)  Loan   1M USD LIBOR+   3.75%   1.00%   6.12%  3/15/2025   -    1,433    - 
Watlow Electric Manufacturing Company  High Tech Industries  Term Loan B  Loan   3M USD SOFR+   3.75%   0.50%   8.15%  3/2/2028   2,462,500    2,452,584    2,369,122 
West Corporation  Telecommunications  Term Loan B  Loan   3M USD LIBOR+   3.50%   1.00%   7.91%  10/10/2024   2,552,943    2,526,180    2,336,913 
West Corporation  Telecommunications  Term Loan B (Olympus Merger)  Loan   3M USD LIBOR+   4.00%   1.00%   8.41%  10/10/2024   1,066,719    1,038,809    976,933 
WEX Inc.  Services: Business  Term Loan B (3/21)  Loan   1M USD LIBOR+   2.25%   0.00%   6.32%  3/31/2028   2,962,443    2,952,632    2,922,954 
WildBrain Ltd.  Media: Diversified & Production  Term Loan  Loan   1M USD SOFR+   4.25%   0.75%   8.45%  3/27/2028   1,970,000    1,938,530    1,808,302 
WP CITYMD BIDCO LLC  Services: Consumer  Term Loan B  Loan   3M USD LIBOR+   3.25%   0.50%   6.92%  12/22/2028   2,386,892    2,384,404    2,374,218 
Xperi Corporation  High Tech Industries  Term Loan  Loan   1M USD LIBOR+   3.50%   0.00%   7.57%  6/8/2028   2,636,170    2,627,091    2,543,904 
Zayo Group, LLC  Telecommunications  Term Loan 4/22  Loan   1M USD SOFR+   4.25%   0.50%   8.34%  3/9/2027   995,000    972,188    773,055 
ZEBRA BUYER (Allspring) LLC  Banking, Finance, Insurance & Real Estate  Term Loan 4/21  Loan   3M USD LIBOR+   3.00%   0.50%   6.69%  11/1/2028   882,661    878,966    869,792 
Zekelman Industries, Inc.  Metals & Mining  Term Loan (01/20)  Loan   3M USD LIBOR+   2.00%   0.00%   5.60%  1/25/2027   963,332    963,332    938,449 
Zodiac Pool Solutions  Consumer goods: Durable  Term Loan (1/22)  Loan   1M USD SOFR+   2.00%   0.50%   6.19%  1/29/2029   496,250    495,152    477,431 
                                      $643,842,672   $592,897,897 

 

   Number of Shares   Cost   Fair Value 
Cash and cash equivalents            
U.S. Bank Money Market (c)   16,640,269   $16,640,269   $16,640,269 
Total cash and cash equivalents   16,640,269   $16,640,269   $16,640,269 

 

(a) All or a portion of this investment has an unfunded commitment as of November 30, 2022

(b)As of November 30, 2022, the investment was in default and on non-accrual status.

(c)Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of November 30, 2022.

(d)Investments include Payment-in-Kind Interest.

 

LIBOR—London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

 

1M USD LIBOR—The 1 month USD LIBOR rate as of November 30, 2022 was 4.14%.

3M USD LIBOR—The 3 month USD LIBOR rate as of November 30, 2022 was 4.78%.

6M USD LIBOR—The 6 month USD LIBOR rate as of November 30, 2022 was 5.20%.

1M SOFR - The 1 month SOFR rate as of November 30, 2022 was 4.13%.

3M SOFR - The 3 month SOFR rate as of November 30, 2022 was 4.41%.

6M SOFR - The 6 month SOFR rate as of November 30, 2022 was 4.70%.

 

Prime—The Prime Rate as of November 30, 2022 was 7.00%.

 

59

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

February 28, 2022

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Fusion Connect Warrant  Telecommunications  Warrants  Equity  -  -    -    -   -   32,832   -   - 
J Jill Common Stock  Retail  Common stock  Equity  -  -    -    -   -   2,107   -   33,691 
19TH HOLDINGS GOLF, LLC  Consumer goods: Durable  Term Loan  Loan   3M USD SOFR+  3.25%   0.50%   3.75%  2/7/2029   500,000   497,530   493,750 
ADMI Corp.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+  2.75%   0.00%   2.96%  4/30/2025   1,930,276   1,925,558   1,892,886 
Adtalem Global Education Inc.  Services: Business  Term Loan B (02/21)  Loan   1M USD LIBOR+  4.50%   0.75%   5.25%  8/11/2028   2,000,000   1,981,559   1,977,920 
Aegis Sciences Corporation  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  5.50%   1.00%   6.50%  5/9/2025   2,737,038   2,723,587   2,686,403 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan (1/19)  Loan   1M USD LIBOR+  2.75%   0.00%   2.88%  1/4/2026   1,483,686   1,476,852   1,470,704 
Agiliti Health Inc.  Healthcare & Pharmaceuticals  Term Loan (09/20)  Loan   1M USD LIBOR+  2.75%   0.75%   3.50%  1/4/2026   285,714   283,586   283,571 
AHEAD DB Holdings, LLC  Services: Business  Term Loan (04/21)  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  10/18/2027   2,985,000   2,885,411   2,962,135 
AI Convoy (Luxembourg) S.a.r.l.  Aerospace & Defense  Term Loan B (USD)  Loan   6M USD LIBOR+  3.50%   1.00%   4.50%  1/18/2027   1,469,671   1,464,591   1,460,485 
AIS HoldCo, LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+  5.00%   0.00%   5.30%  8/15/2025   4,789,642   4,670,148   4,705,823 
Alchemy Copyrights, LLC  Media: Diversified & Production  Term Loan B  Loan   1M USD LIBOR+  3.00%   0.50%   3.50%  3/10/2028   493,763   490,886   489,442 
Alchemy US Holdco 1, LLC  Metals & Mining  Term Loan  Loan   1M USD LIBOR+  5.50%   0.00%   5.60%  10/10/2025   1,654,803   1,640,863   1,644,874 
AlixPartners, LLP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  2/4/2028   248,125   247,608   245,217 
Alkermes, Inc.  Healthcare & Pharmaceuticals  Term Loan B (3/21)  Loan   3M USD LIBOR+  2.50%   0.50%   3.00%  3/12/2026   2,147,859   2,130,749   2,110,271 
Allen Media, LLC  Media: Diversified & Production  Term Loan (7/21)  Loan   3M USD LIBOR+  5.50%   0.00%   5.72%  2/10/2027   4,439,454   4,407,744   4,412,639 
Alliant Holdings I, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B4  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  11/5/2027   997,500   996,393   987,944 
Allied Universal Holdco LLC  Services: Business  Term Loan 4/21  Loan   3M USD LIBOR+  3.75%   0.50%   4.25%  5/12/2028   1,995,000   1,985,516   1,966,412 
Altisource Solutions S.a r.l.  Banking, Finance, Insurance & Real Estate  Term Loan B (03/18)  Loan   3M USD LIBOR+  4.00%   1.00%   5.00%  4/3/2024   1,223,297   1,220,031   1,102,497 
Altium Packaging LLC  Containers, Packaging & Glass  Term Loan (01/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  1/29/2028   496,250   494,097   485,084 
American Greetings Corporation  Media: Advertising, Printing & Publishing  Term Loan  Loan   1M USD LIBOR+  4.50%   1.00%   5.50%  4/6/2024   3,012,861   3,011,323   3,011,355 
American Trailer World Corp  Automotive  Term Loan  Loan   1M USD LIBOR+  3.75%   0.75%   4.50%  3/3/2028   1,990,000   1,984,442   1,954,558 
AmeriLife Holdings LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  4.00%   0.00%   4.11%  3/18/2027   1,976,415   1,967,087   1,956,651 
AmWINS Group, LLC  Banking, Finance, Insurance & Real Estate  Term Loan 2/21  Loan   1M USD LIBOR+  2.25%   0.75%   3.00%  2/17/2028   1,980,006   1,957,163   1,946,900 
Anastasia Parent LLC  Consumer goods: Non-durable  Term Loan  Loan   3M USD LIBOR+  3.75%   0.00%   3.97%  8/11/2025   967,500   964,919   832,253 
Anchor Glass Container Corporation  Containers, Packaging & Glass  Term Loan (07/17)  Loan   3M USD LIBOR+  2.75%   1.00%   3.75%  12/7/2023   475,113   474,420   406,882 

 

60

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Anchor Packaging, LLC  Containers, Packaging & Glass  Term Loan B  Loan   1M USD LIBOR+  4.00%   0.00%   4.21%  7/18/2026   987,342   979,469   972,532 
ANI Pharmaceuticals, Inc.  Healthcare & Pharmaceuticals  Term Loan B  Loan   1M USD LIBOR+  6.00%   0.75%   6.75%  11/19/2027   3,000,000   2,943,100   3,000,000 
AP Core Holdings II LLC  High Tech Industries  Term Loan B1  Loan   1M USD LIBOR+  5.50%   0.75%   6.25%  9/1/2027   1,975,000   1,947,406   1,965,125 
AP Core Holdings II LLC  High Tech Industries  Term Loan B2  Loan   1M USD LIBOR+  5.50%   0.75%   6.25%  9/1/2027   500,000   493,024   498,125 
APi Group DE, Inc. (J2 Acquisition)  Services: Business  Term Loan B  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  10/1/2026   1,950,000   1,942,029   1,927,575 
APLP Holdings Limited Partnership  Energy: Electricity  Term Loan B (3/21)  Loan   1M USD LIBOR+  3.75%   1.00%   4.75%  5/14/2027   828,378   821,051   826,655 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  2.75%   0.00%   2.86%  5/15/2026   2,969,543   2,937,176   2,887,881 
Apollo Commercial Real Estate Finance, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1 (2/21)  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  3/6/2028   992,500   983,643   982,575 
AppLovin Corporation  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  8/15/2025   989,796   989,796   982,066 
AppLovin Corporation  High Tech Industries  Term Loan (10/21)  Loan   1M USD LIBOR+  3.00%   0.50%   3.50%  10/21/2028   1,496,250   1,492,669   1,481,288 
Aramark Corporation  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  1/15/2027   2,331,250   2,268,549   2,279,776 
Aramark Corporation  Services: Consumer  Term Loan B (4/21)  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  4/1/2028   1,753,715   1,746,008   1,743,491 
ARC FALCON I INC.  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  3.75%   0.50%   4.25%  9/23/2028   872,611   868,610   855,526 
ARC FALCON I INC. (a)  Chemicals, Plastics, & Rubber  Delayed Draw Term Loan  Loan   N/A   N/A     N/A     N/A   9/22/2028   -   (601)  (2,494)
Arches Buyer Inc.  Services: Consumer  Term Loan B  Loan   1M USD LIBOR+  3.25%   0.50%   3.75%  12/6/2027   1,500,000   1,490,625   1,473,570 
Arctic Glacier U.S.A., Inc.  Beverage, Food & Tobacco  Term Loan (3/18)  Loan   3M USD LIBOR+  3.50%   1.00%   4.50%  3/20/2024   3,350,967   3,341,474   3,103,833 
Aretec Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/18)  Loan   1M USD LIBOR+  4.25%   0.00%   4.46%  10/1/2025   2,436,164   2,430,830   2,425,518 
ASP BLADE HOLDINGS, INC.  Capital Equipment  Term Loan  Loan   1M USD LIBOR+  4.00%   0.50%   4.50%  10/7/2028   100,000   99,530   99,542 
Asplundh Tree Expert, LLC  Services: Business  Term Loan 2/21  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  9/7/2027   987,500   983,579   973,458 
AssuredPartners Capital, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (2/20)  Loan   1M USD LIBOR+  3.50%   0.00%   3.71%  2/12/2027   1,000,000   996,250   984,580 
Assuredpartners Inc.  Banking, Finance, Insurance & Real Estate  Incremental Term Loan (7/21)  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  2/12/2027   995,006   995,006   978,837 
Assuredpartners Inc.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+  3.50%   0.50%   4.00%  2/12/2027   500,000   498,811   491,875 
ASTRO ONE ACQUISITION CORPORATION  Consumer goods: Durable  Term Loan  Loan   1M USD LIBOR+  5.50%   0.75%   6.25%  9/15/2028   3,000,000   2,971,643   2,968,140 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B6  Loan   1M USD LIBOR+  3.13%   0.00%   3.33%  11/3/2023   266,824   266,095   264,767 
Asurion, LLC  Banking, Finance, Insurance & Real Estate  Term Loan B8  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  12/18/2026   2,995,112   2,984,120   2,939,882 
ATHENAHEALTH GROUP INC.  Healthcare & Pharmaceuticals  Term Loan B (2/22)  Loan   1M USD SOFR+  3.50%   0.50%   4.00%  2/15/2029   1,282,609   1,276,322   1,269,462 
ATHENAHEALTH GROUP INC. (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan (02/22)  Loan   N/A   N/A     N/A     N/A   2/15/2029   -   -   (2,228)
Avast Software S.R.O. (Sybil Finance)  High Tech Industries  Term Loan (Sybil Software)  Loan   3M USD LIBOR+  2.00%   0.00%   2.22%  3/22/2028   1,925,000   1,920,766   1,916,819 

 

61

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Avaya, Inc.  Telecommunications  Term Loan B1  Loan   1M USD LIBOR+  4.25%   0.00%   4.44%  12/15/2027   1,755,766   1,747,367   1,739,859 
Avaya, Inc.  Telecommunications  Term Loan B-2 (2/21)  Loan   1M USD LIBOR+  4.00%   0.00%   4.19%  12/15/2027   1,000,000   1,000,000   988,590 
Avison Young (Canada) Inc  Services: Business  Term Loan  Loan   3M USD LIBOR+  5.75%   0.00%   5.97%  1/31/2026   3,405,995   3,370,219   3,371,935 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B3  Loan   1M USD LIBOR+  1.75%   0.75%   2.50%  1/15/2025   1,000,000   900,020   990,630 
Avolon TLB Borrower 1 (US) LLC  Capital Equipment  Term Loan B5 (7/21)  Loan   1M USD LIBOR+  2.25%   0.50%   2.75%  12/1/2027   495,000   490,860   491,466 
AZURITY PHARMACEUTICALS, INC.  Healthcare & Pharmaceuticals  Term Loan B  Loan   3M USD LIBOR+  6.00%   0.75%   6.75%  9/20/2027   500,000   485,751   495,000 
B&G Foods, Inc.  Beverage, Food & Tobacco  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  10/10/2026   706,458   701,732   701,605 
B.C. Unlimited Liability Co (Burger King)  Beverage, Food & Tobacco  Term Loan B4  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  11/19/2026   1,470,000   1,438,969   1,440,968 
BAKELITE UK INTERMEDIATE LTD.  Chemicals, Plastics, & Rubber  Term Loan  Loan   3M USD SOFR+  4.25%   0.00%   4.75%  2/1/2029   1,000,000   995,000   992,500 
Baldwin Risk Partners, LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  10/14/2027   1,238,775   1,225,981   1,222,522 
Belfor Holdings Inc.  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  4/6/2026   248,092   247,897   246,851 
Belron Finance US LLC  Automotive  Term Loan B (3/21)  Loan   3M USD LIBOR+  2.75%   0.50%   3.25%  4/13/2028   1,985,000   1,967,341   1,968,247 
Bengal Debt Merger Sub LLC  Beverage, Food & Tobacco  Term Loan  Loan   3M USD SOFR+  3.25%   0.50%   3.75%  1/24/2029   1,890,909   1,889,030   1,873,191 
Bengal Debt Merger Sub LLC  Beverage, Food & Tobacco  Delayed Draw Term Loan  Loan   3M USD SOFR+  3.25%   0.50%   3.75%  1/24/2029   109,091   109,048   108,069 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  4/23/2026   989,873   983,805   967,601 
Blackstone Mortgage Trust, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (6/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  4/23/2026   1,480,053   1,470,897   1,464,335 
Blucora, Inc.  Services: Consumer  Term Loan (11/17)  Loan   3M USD LIBOR+  4.00%   1.00%   5.00%  5/22/2024   2,443,339   2,437,898   2,437,230 
Blue Tree Holdings, Inc.  Chemicals, Plastics, & Rubber  Term Loan (2/21)  Loan   3M USD LIBOR+  2.50%   0.00%   2.72%  3/4/2028   992,500   990,307   983,200 
Bombardier Recreational Products, Inc.  Consumer goods: Durable  Term Loan (1/20)  Loan   1M USD LIBOR+  2.00%   0.00%   2.21%  5/24/2027   1,470,049   1,461,460   1,442,486 
Boxer Parent Company, Inc.  High Tech Industries  Term Loan (2/21)  Loan   3M USD LIBOR+  3.75%   0.00%   3.97%  10/2/2025   522,846   522,846   516,310 
Bracket Intermediate Holding Corp  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  4.25%   0.00%   4.47%  9/5/2025   967,500   964,897   959,034 
BrightSpring Health Services (Phoenix Guarantor)  Healthcare & Pharmaceuticals  Term Loan B-3  Loan   1M USD LIBOR+  3.50%   0.00%   3.66%  3/5/2026   992,500   992,500   980,342 
BroadStreet Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B3  Loan   1M USD LIBOR+  3.00%   0.00%   3.21%  1/22/2027   2,979,108   2,973,591   2,930,697 
Brookfield WEC Holdings Inc.  Energy: Electricity  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  8/1/2025   1,477,538   1,479,743   1,453,528 
Buckeye Partners, L.P.  Utilities: Oil & Gas  Term Loan (1/21)  Loan   1M USD LIBOR+  2.25%   0.00%   2.36%  11/1/2026   1,970,088   1,958,262   1,946,565 
BW Gas & Convenience Holdings LLC  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  3/31/2028   2,487,500   2,465,358   2,475,063 
Callaway Golf Company  Retail  Term Loan B  Loan   1M USD LIBOR+  4.50%   0.00%   4.71%  1/4/2026   682,500   673,958   681,005 
CareerBuilder, LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+  6.75%   1.00%   7.75%  7/31/2023   5,393,388   5,246,921   4,159,650 
CareStream Health, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   6M USD LIBOR+  6.75%   1.00%   7.75%  5/8/2023   2,184,163   2,181,757   2,184,163 
Casa Systems, Inc  Telecommunications  Term Loan  Loan   1M USD LIBOR+  4.00%   1.00%   5.00%  12/20/2023   1,391,125   1,387,217   1,349,391 

 

62

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Castle US Holding Corporation  Media: Advertising, Printing & Publishing  Term Loan B (USD)  Loan   3M USD LIBOR+  3.75%   0.00%   3.97%  1/27/2027   1,980,130   1,968,915   1,934,864 
CBI BUYER, INC.  Consumer goods: Durable  Term Loan  Loan   3M USD LIBOR+  3.25%   0.50%   3.75%  1/6/2028   995,000   992,948   963,906 
CCC Intelligent Solutions Inc.  Services: Business  Term Loan B  Loan   3M USD LIBOR+  2.50%   0.50%   3.00%  9/16/2028   250,000   249,432   246,875 
CCI Buyer, Inc  Telecommunications  Term Loan  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  12/17/2027   248,125   246,017   245,257 
CCRR Parent, Inc.  Healthcare & Pharmaceuticals  Term Loan B  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  3/5/2028   992,500   988,070   986,297 
CCS-CMGC Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+  5.50%   0.00%   5.71%  9/25/2025   2,425,000   2,412,003   2,371,456 
Cengage Learning, Inc.  Media: Advertising, Printing & Publishing  Term Loan B (6/21)  Loan   6M USD LIBOR+  4.75%   1.00%   5.75%  7/14/2026   2,992,500   2,966,179   2,985,019 
CENTURI GROUP, INC.  Construction & Building  Term Loan B  Loan   1M USD LIBOR+  2.50%   0.50%   3.00%  8/27/2028   931,998   923,210   923,647 
CenturyLink, Inc.  Telecommunications  Term Loan B (1/20)  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  3/15/2027   3,929,899   3,924,411   3,823,045 
Chemours Company, (The)  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  4/3/2025   915,661   880,331   896,780 
Churchill Downs Incorporated  Hotel, Gaming & Leisure  Term Loan B1 (3/21)  Loan   1M USD LIBOR+  2.00%   0.00%   2.21%  3/17/2028   496,250   495,147   489,427 
CIMPRESS PUBLIC LIMITED COMPANY  Media: Advertising, Printing & Publishing  USD Term Loan  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  5/17/2028   995,000   986,097   987,538 
CITADEL SECURITIES LP  Banking, Finance, Insurance & Real Estate  Term Loan B (01/21)  Loan   1M USD SOFR+  2.50%   0.00%   2.69%  2/2/2028   4,962,500   4,957,863   4,911,089 
Clarios Global LP  Automotive  Term Loan B1  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  4/30/2026   1,267,812   1,259,559   1,253,549 
Claros Mortgage Trust, Inc  Banking, Finance, Insurance & Real Estate  Term Loan B-1 (11/21)  Loan   1M USD SOFR+  4.50%   0.50%   5.00%  8/9/2026   3,474,709   3,452,852   3,457,336 
Cole Haan  Consumer goods: Non-durable  Term Loan B  Loan   3M USD LIBOR+  5.50%   0.00%   6.01%  2/7/2025   925,000   919,273   811,688 
Columbus McKinnon Corporation  Capital Equipment  Term Loan (4/21)  Loan   3M USD LIBOR+  2.75%   0.50%   3.25%  5/14/2028   487,192   486,099   482,929 
Compass Power Generation, LLC  Utilities: Electric  Term Loan B (08/18)  Loan   1M USD LIBOR+  3.50%   1.00%   4.50%  12/20/2024   1,707,152   1,704,898   1,686,120 
Conduent, Inc.  Services: Business  Term Loan B  Loan   1M USD LIBOR+  4.25%   0.50%   4.75%  10/16/2028   1,000,000   990,409   990,310 
Connect Finco SARL  Telecommunications  Term Loan (1/21)  Loan   1M USD LIBOR+  3.50%   1.00%   4.50%  12/11/2026   2,947,500   2,823,770   2,906,972 
Consolidated Communications, Inc.  Telecommunications  Term Loan B  Loan   1M USD LIBOR+  3.50%   0.75%   4.25%  10/2/2027   714,005   705,262   704,187 
CORAL-US CO-BORROWER LLC  Telecommunications  Term Loan B-5  Loan   1M USD LIBOR+  2.25%   0.00%   2.44%  1/31/2028   4,000,000   3,986,739   3,914,280 
CoreCivic, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (12/19)  Loan   1M USD LIBOR+  4.50%   1.00%   5.50%  12/18/2024   1,872,727   1,852,319   1,857,127 
Corelogic, Inc.  Services: Business  Term Loan (4/21)  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  6/2/2028   2,493,750   2,482,238   2,459,461 
Cortes NP Acquisition Corp (Vertiv)  Capital Equipment  Term Loan 2/21  Loan   1M USD LIBOR+  2.75%   0.00%   2.86%  3/2/2027   1,980,000   1,980,000   1,913,175 
COWEN INC.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   6M USD LIBOR+  3.25%   0.00%   4.00%  3/24/2028   3,967,481   3,944,804   3,898,050 
CROCS INC  Consumer goods: Durable  Term Loan  Loan   3M USD SOFR+  3.50%   0.50%   4.03%  1/26/2029   1,000,000   995,000   987,500 
Cross Financial Corp  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)  Loan   6M USD LIBOR+  4.00%   0.75%   4.81%  9/15/2027   497,500   497,013   495,634 

 

63

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Crown Subsea Communications Holding, Inc.  Construction & Building  Term Loan (4/21)  Loan   1M USD LIBOR+  4.75%   0.75%   5.50%  4/27/2027   2,404,110   2,382,506   2,402,114 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B (03/17)  Loan   1M USD LIBOR+  2.25%   0.00%   2.44%  7/15/2025   1,934,010   1,919,923   1,873,263 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B  Loan   1M USD LIBOR+  2.25%   0.00%   2.44%  1/15/2026   485,000   484,359   469,946 
CSC Holdings LLC (Neptune Finco Corp.)  Media: Broadcasting & Subscription  Term Loan B-5  Loan   1M USD LIBOR+  2.50%   0.00%   2.69%  4/15/2027   490,000   490,000   475,035 
CTS Midco, LLC  High Tech Industries  Term Loan B  Loan   3M USD LIBOR+  6.00%   1.00%   7.00%  11/2/2027   1,980,000   1,929,799   1,952,775 
Daseke Inc  Transportation: Cargo  Term Loan 2/21  Loan   1M USD LIBOR+  4.00%   0.75%   4.75%  3/5/2028   1,488,750   1,482,131   1,473,863 
DCert Buyer, Inc.  High Tech Industries  Term Loan  Loan   1M USD LIBOR+  4.00%   0.00%   4.21%  10/16/2026   1,484,887   1,484,887   1,477,046 
Dealer Tire, LLC  Automotive  Term Loan B-1  Loan   1M USD LIBOR+  4.25%   0.00%   4.46%  12/12/2025   2,940,000   2,935,370   2,926,211 
Delek US Holdings, Inc.  Utilities: Oil & Gas  Term Loan B  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  3/31/2025   6,315,361   6,274,862   6,148,699 
DexKo Global, Inc. (Dragon Merger)  Automotive  Term Loan (9/21)  Loan   3M USD LIBOR+  3.75%   0.50%   4.25%  10/4/2028   840,000   836,119   828,450 
DexKo Global, Inc. (Dragon Merger) (a)  Automotive  Delayed Draw Term Loan (9/21)  Loan   3M USD LIBOR+  3.75%   0.50%   4.25%  10/4/2028   130,905   134,906   132,706 
Diamond Sports Group, LLC (b)  Media: Broadcasting & Subscription  Term Loan  Loan   Prime+  2.25%   0.00%   5.50%  8/24/2026   3,408,970   2,964,398   1,264,728 
DIRECTV FINANCING, LLC  Media: Broadcasting & Subscription  Term Loan  Loan   3M USD LIBOR+  5.00%   0.75%   5.75%  8/2/2027   3,910,000   3,874,543   3,896,823 
Dispatch Acquisition Holdings, LLC  Environmental Industries  Term Loan B (3/21)  Loan   3M USD LIBOR+  4.25%   0.75%   5.00%  3/25/2028   497,500   493,121   493,769 
DOMTAR CORPORATION  Forest Products & Paper  Term Loan 9/21  Loan   1M USD LIBOR+  5.50%   0.75%   6.25%  11/30/2028   840,645   832,557   837,140 
DRI HOLDING INC.  Media: Advertising, Printing & Publishing  Term Loan (12/21)  Loan   1M USD LIBOR+  5.25%   0.50%   5.75%  12/15/2028   3,000,000   2,970,701   2,944,500 
DRW Holdings, LLC  Banking, Finance, Insurance & Real Estate  Term Loan (2/21)  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  3/1/2028   6,500,000   6,454,552   6,467,500 
DTZ U.S. Borrower, LLC  Construction & Building  Term Loan  Loan   1M USD LIBOR+  2.75%   0.00%   2.96%  8/21/2025   3,876,012   3,865,362   3,838,880 
EAB Global, Inc.  Services: Business  Term Loan (08/21)  Loan   6M USD LIBOR+  3.50%   0.50%   4.00%  8/16/2028   1,000,000   995,320   989,250 
Echo Global Logistics, Inc.  Services: Business  Term Loan  Loan   1M USD LIBOR+  3.75%   0.50%   4.25%  11/23/2028   2,000,000   1,995,444   1,978,500 
Edelman Financial Group Inc., The  Banking, Finance, Insurance & Real Estate  Term Loan B (3/21)  Loan   1M USD LIBOR+  3.50%   0.75%   4.25%  4/7/2028   2,210,766   2,203,181   2,190,603 
Electrical Components Inter., Inc.  Capital Equipment  Term Loan (6/18)  Loan   1M USD LIBOR+  4.25%   0.00%   4.46%  6/26/2025   1,903,934   1,903,934   1,874,575 
ELECTRON BIDCO INC.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+  3.25%   0.50%   3.75%  11/1/2028   500,000   497,610   494,455 
ELO Touch Solutions, Inc.  Media: Diversified & Production  Term Loan (12/18)  Loan   1M USD LIBOR+  6.50%   0.00%   6.71%  12/14/2025   2,341,935   2,266,272   2,334,137 
Embecta Corp  Healthcare & Pharmaceuticals  Term Loan B  Loan   3M USD SOFR+  3.00%   0.50%   3.50%  1/26/2029   750,000   746,250   742,688 
Endo Luxembourg Finance Company I S.a.r.l.  Healthcare & Pharmaceuticals  Term Loan (3/21)  Loan   3M USD LIBOR+  5.00%   0.75%   5.75%  3/27/2028   2,347,110   2,338,792   2,264,421 
Endure Digital, Inc.  High Tech Industries  Term Loan B  Loan   6M USD LIBOR+  3.50%   0.75%   4.25%  2/10/2028   2,487,500   2,476,721   2,394,219 
Enterprise Merger Sub Inc.  Healthcare & Pharmaceuticals  Term Loan B (06/18)  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  10/10/2025   4,850,000   4,844,205   3,516,638 
Equiniti Group PLC  Services: Business  Term Loan B  Loan   3M USD LIBOR+  4.50%   0.50%   5.00%  12/11/2028   500,000   495,392   497,085 
EyeCare Partners, LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  3.75%   0.00%   3.97%  2/18/2027   1,967,959   1,967,595   1,945,820 

 

64

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Finco I LLC  Banking, Finance, Insurance & Real Estate  Term Loan B (9/20)  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  6/27/2025   3,793,978   3,787,136   3,743,708 
First Brands Group, LLC  Automotive  1st Lien Term Loan (3/21)  Loan   3M USD LIBOR+  5.00%   1.00%   6.00%  3/30/2027   4,962,500   4,891,260   4,925,281 
First Eagle Investment Management  Banking, Finance, Insurance & Real Estate  Refinancing Term Loan  Loan   3M USD LIBOR+  2.50%   0.00%   2.72%  2/1/2027   5,200,639   5,184,839   5,109,628 
First Student Bidco Inc.  Transportation: Consumer  Term Loan B  Loan   3M USD LIBOR+  3.00%   0.50%   3.50%  7/21/2028   730,392   725,495   719,663 
First Student Bidco Inc.  Transportation: Consumer  Term Loan C  Loan   3M USD LIBOR+  3.00%   0.50%   3.50%  7/21/2028   269,608   267,800   265,647 
Fitness International, LLC (LA Fitness)  Services: Consumer  Term Loan B (4/18)  Loan   3M USD LIBOR+  3.25%   1.00%   4.25%  4/18/2025   1,330,058   1,325,610   1,235,292 
FOCUS FINANCIAL PARTNERS, LLC  Banking, Finance, Insurance & Real Estate  Term Loan (1/20)  Loan   1M USD LIBOR+  2.00%   0.00%   2.21%  7/3/2024   494,872   494,493   488,122 
Franchise Group, Inc.  Services: Consumer  First Out Term Loan  Loan   3M USD LIBOR+  4.75%   0.75%   5.50%  3/10/2026   815,445   808,696   813,406 
Franklin Square Holdings, L.P.  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  2.25%   0.00%   2.50%  8/1/2025   4,353,736   4,335,125   4,310,199 
Froneri International (R&R Ice Cream)  Beverage, Food & Tobacco  Term Loan B-2  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  1/29/2027   1,970,000   1,966,736   1,927,428 
Garrett LX III S.a r.l.  Automotive  Dollar Term Loan  Loan   3M USD LIBOR+  3.25%   0.50%   3.75%  4/28/2028   1,496,250   1,489,649   1,470,066 
Gemini HDPE LLC  Chemicals, Plastics, & Rubber  Term Loan B (12/20)  Loan   3M USD LIBOR+  3.00%   0.50%   3.50%  12/31/2027   2,392,656   2,376,261   2,370,715 
General Nutrition Centers, Inc. (d)  Retail  Second Lien Term Loan  Loan   1M USD LIBOR+  6.00%   0.00%   6.11%  10/7/2026   376,605   376,605   351,342 
Genesee & Wyoming, Inc.  Transportation: Cargo  Term Loan (11/19)  Loan   3M USD LIBOR+  2.00%   0.00%   2.22%  12/30/2026   1,473,750   1,468,685   1,451,305 
GEO Group, Inc., The  Banking, Finance, Insurance & Real Estate  Term Loan Refinance  Loan   1M USD LIBOR+  2.00%   0.75%   2.75%  3/22/2024   3,922,786   3,717,418   3,615,828 
GGP Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  8/27/2025   3,775,280   3,197,869   3,684,031 
Gigamon Inc.  Services: Business  Term Loan B  Loan   6M USD LIBOR+  3.50%   0.75%   4.25%  12/27/2024   2,900,607   2,887,935   2,889,730 
Global Business Travel (GBT) III Inc.  Hotel, Gaming & Leisure  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  8/13/2025   4,353,750   4,353,165   4,065,314 
Global Tel*Link Corporation  Telecommunications  Term Loan B  Loan   1M USD LIBOR+  4.25%   0.00%   4.46%  11/29/2025   4,938,649   4,748,435   4,788,959 
Go Daddy Operating Company, LLC  High Tech Industries  Term Loan 2/21  Loan   1M USD LIBOR+  2.00%   0.00%   2.21%  8/10/2027   1,979,899   1,979,899   1,948,657 
Go Wireless Holdings, Inc.  Telecommunications  Term Loan  Loan   1M USD LIBOR+  6.50%   1.00%   7.50%  12/22/2024   2,846,753   2,824,354   2,828,961 
GOLDEN WEST PACKAGING GROUP LLC  Forest Products & Paper  Term Loan (11/21)  Loan   1M USD LIBOR+  5.25%   0.75%   6.00%  11/23/2027   2,000,000   1,980,672   1,980,000 
Graham Packaging Co Inc  Containers, Packaging & Glass  Term Loan (2/21)  Loan   1M USD LIBOR+  3.00%   0.75%   3.75%  8/7/2027   972,314   966,607   961,647 
Great Outdoors Group, LLC  Retail  Term Loan B2  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  3/6/2028   990,019   985,574   984,079 
Greenhill & Co., Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  4/12/2024   2,844,231   2,829,223   2,826,454 
Griffon Corporation  Consumer goods: Durable  Term Loan B  Loan   3M USD SOFR+  2.75%   0.50%   3.27%  1/24/2029   250,000   249,378   248,063 
Grosvenor Capital Management Holdings, LLLP  Banking, Finance, Insurance & Real Estate  Amendment 5 Term Loan  Loan   1M USD LIBOR+  2.50%   0.50%   3.00%  2/24/2028   3,870,741   3,867,368   3,845,581 

 

65

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Harbor Freight Tools USA, Inc.  Retail  Term Loan B (06/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  10/19/2027   3,473,618   3,452,200   3,414,393 
Harland Clarke Holdings Corp.  Media: Advertising, Printing & Publishing  Term Loan (08/21)  Loan   3M USD LIBOR+  7.75%   1.00%   8.75%  6/16/2026   1,262,555   1,260,655   1,121,149 
Helix Gen Funding, LLc  Energy: Electricity  Term Loan B (02/17)  Loan   1M USD LIBOR+  3.75%   1.00%   4.75%  6/3/2024   226,716   226,626   218,895 
Hillman Group Inc. (The) (New)  Consumer goods: Durable  Term Loan B-1 (2/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  7/14/2028   3,514,399   3,506,291   3,471,101 
Hillman Group Inc. (The) (New) (a)  Consumer goods: Durable  Delayed Draw Term Loan (2/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  7/14/2028   67,342   67,342   56,947 
HLF Financing SARL (Herbalife)  Consumer goods: Non-durable  Term Loan B (08/18)  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  8/18/2025   3,550,000   3,541,488   3,505,625 
Holley Purchaser, Inc  Automotive  Term Loan (11/21)  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  11/17/2028   2,137,500   2,127,187   2,117,899 
Holley Purchaser, Inc (a)  Automotive  Delayed Draw Term Loan  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  11/17/2028   106,875   106,875   103,602 
Howden Group Holdings  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)  Loan   1M USD LIBOR+  3.25%   0.75%   4.00%  11/12/2027   2,174,152   2,164,312   2,148,192 
Hudson River Trading LLC  Banking, Finance, Insurance & Real Estate  Term Loan (3/21)  Loan   1M USD SOFR+  3.00%   0.00%   3.30%  3/17/2028   5,955,000   5,902,173   5,843,344 
Idera, Inc.  High Tech Industries  Term Loan (02/21)  Loan   6M USD LIBOR+  3.75%   0.75%   4.50%  3/2/2028   4,860,079   4,848,914   4,811,478 
IMA Financial Group, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/21)  Loan   1M USD LIBOR+  3.75%   0.50%   4.25%  11/1/2028   2,000,000   1,990,546   1,973,760 
INDY US BIDCO, LLC  Services: Business  Term Loan (11/21)  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  3/6/2028   2,238,141   2,237,925   2,221,355 
INEOS US PETROCHEM LLC  Chemicals, Plastics, & Rubber  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.25%  1/29/2026   995,000   991,113   983,189 
Informatica Inc.  High Tech Industries  Term Loan B (10/21)  Loan   1M USD LIBOR+  2.75%   0.00%   3.00%  10/27/2028   500,000   499,441   493,440 
Ingram Micro Inc.  High Tech Industries  Term Loan  Loan   3M USD LIBOR+  3.50%   0.50%   4.00%  6/30/2028   1,492,500   1,478,709   1,483,172 
Inmar Acquisition Sub, Inc.  Services: Business  Term Loan B  Loan   3M USD LIBOR+  4.00%   1.00%   5.00%  5/1/2024   3,386,129   3,343,519   3,356,501 
Innophos, Inc.  Chemicals, Plastics, & Rubber  Term Loan B  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  2/4/2027   491,250   489,509   487,973 
INSTANT BRANDS HOLDINGS INC.  Consumer goods: Durable  Term Loan 4/21  Loan   3M USD LIBOR+  5.00%   0.75%   5.75%  4/7/2028   4,368,033   4,346,269   4,018,591 
INSTRUCTURE HOLDINGS, INC.  High Tech Industries  Term Loan B  Loan   3M USD LIBOR+  2.75%   0.50%   3.27%  10/21/2028   500,000   498,797   492,500 
Isagenix International, LLC  Beverage, Food & Tobacco  Term Loan  Loan   3M USD LIBOR+  5.75%   1.00%   6.75%  6/14/2025   2,427,552   2,401,608   1,775,900 
Ivory Merger Sub, Inc.  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD LIBOR+  3.50%   0.00%   3.67%  3/14/2025   2,949,539   2,931,462   2,870,285 
J Jill Group, Inc  Retail  Priming Term Loan  Loan   3M USD LIBOR+  5.00%   1.00%   6.00%  5/8/2024   1,574,907   1,573,650   1,409,542 
Jane Street Group  Banking, Finance, Insurance & Real Estate  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.00%   2.96%  1/31/2028   3,960,000   3,954,873   3,906,778 
Journey Personal Care Corp.  Consumer goods: Non-durable  Term Loan B  Loan   3M USD LIBOR+  4.25%   0.75%   5.00%  3/1/2028   995,000   990,570   945,250 
JP Intermediate B, LLC  Consumer goods: Non-durable  Term Loan  Loan   3M USD LIBOR+  5.50%   1.00%   6.50%  11/15/2025   4,154,019   4,125,538   3,620,933 

 

66

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
KAR Auction Services, Inc.  Automotive  Term Loan B (09/19)  Loan   1M USD LIBOR+  2.25%   0.00%   2.50%  9/19/2026   244,375   243,989   241,931 
Klockner-Pentaplast of America, Inc.  Containers, Packaging & Glass  Term Loan (1/21) (USD)  Loan   6M USD LIBOR+  4.75%   0.50%   5.55%  2/12/2026   1,488,750   1,482,629   1,391,981 
Kodiak BP, LLC  Construction & Building  Term Loan  Loan   3M USD LIBOR+  3.25%   0.75%   4.00%  3/13/2028   496,250   494,732   489,054 
KREF Holdings X LLC  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)  Loan   3M USD LIBOR+  3.50%   0.50%   4.00%  9/1/2027   496,250   486,145   491,288 
Lakeland Tours, LLC (d)  Hotel, Gaming & Leisure  Priority Exit PIK Term Loan (9/20)  Loan   3M USD LIBOR+  6.00%   1.25%   7.25%  9/25/2023   299,904   288,132   300,054 
Lakeland Tours, LLC (d)  Hotel, Gaming & Leisure  2nd Out Take Back PIK Term Loan  Loan   3M USD LIBOR+  1.50%   1.25%   2.75%  9/25/2025   616,465   528,040   592,115 
Lakeland Tours, LLC (d)  Hotel, Gaming & Leisure  Third Out PIK Term Loan  Loan   3M USD LIBOR+  1.50%   1.25%   2.75%  9/25/2025   818,373   540,076   720,987 
Lakeland Tours, LLC (d)  Hotel, Gaming & Leisure  Holdco Fixed Term Loan  Loan   Fixed  0.00%   0.00%   13.25%  9/27/2027   869,977   228,303   594,847 
Lealand Finance Company B.V. (d)  Energy: Oil & Gas  Exit Term Loan  Loan   1M USD LIBOR+  1.00%   0.00%   1.21%  6/30/2025   334,753   334,753   155,422 
Learfield Communications, Inc  Media: Advertising, Printing & Publishing  Initial Term Loan (A-L Parent)  Loan   1M USD LIBOR+  3.25%   1.00%   4.25%  12/1/2023   475,000   474,352   449,616 
Lifetime Brands, Inc  Consumer goods: Non-durable  Term Loan B  Loan   1M USD LIBOR+  3.50%   1.00%   4.50%  2/28/2025   2,694,077   2,673,038   2,667,136 
Lightstone Generation LLC  Energy: Electricity  Term Loan B  Loan   3M USD LIBOR+  3.75%   1.00%   4.75%  1/30/2024   1,322,520   1,321,594   1,099,212 
Lightstone Generation LLC  Energy: Electricity  Term Loan C  Loan   3M USD LIBOR+  3.75%   1.00%   4.75%  1/30/2024   74,592   74,542   61,997 
Liquid Tech Solutions Holdings, LLC  Services: Business  Term Loan  Loan   12M USD LIBOR+  4.75%   0.00%   5.50%  3/17/2028   995,000   991,612   991,269 
LogMeIn, Inc.  High Tech Industries  Term Loan (8/20)  Loan   1M USD LIBOR+  4.75%   0.00%   4.89%  8/31/2027   3,960,000   3,897,792   3,888,482 
LOYALTY VENTURES INC.  Services: Business  Term Loan B  Loan   1M USD LIBOR+  4.50%   0.50%   5.00%  11/3/2027   3,340,141   3,320,925   3,294,214 
LPL Holdings, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B1  Loan   1M USD LIBOR+  1.75%   0.00%   1.86%  11/11/2026   1,220,308   1,218,289   1,200,857 
LSF11 A5 HOLDCO LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD SOFR+  3.75%   0.50%   4.25%  10/16/2028   250,000   248,837   246,875 
MA FinanceCo LLC  High Tech Industries  Term Loan B4  Loan   3M USD LIBOR+  4.25%   1.00%   5.25%  6/5/2025   2,234,660   2,228,836   2,208,582 
MAGNITE, INC.  Services: Business  Term Loan  Loan   6M USD LIBOR+  5.00%   0.75%   5.75%  4/28/2028   1,990,000   1,935,905   1,980,050 
Marriott Ownership Resorts, Inc.  Hotel, Gaming & Leisure  Term Loan (11/19)  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  8/29/2025   1,317,074   1,317,074   1,290,403 
Match Group, Inc, The  Services: Consumer  Term Loan (1/20)  Loan   3M USD LIBOR+  1.75%   0.00%   2.22%  2/15/2027   250,000   249,562   244,895 
Mayfield Agency Borrower Inc. (FeeCo)  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  4.50%   0.00%   4.71%  2/28/2025   3,392,071   3,369,794   3,375,823 
McAfee, LLC  Services: Business  Term Loan B  Loan   Prime+  2.75%   0.00%   6.00%  9/30/2024   1,642,423   1,638,322   1,638,054 
McGraw-Hill Education, Inc.  Media: Advertising, Printing & Publishing  Term Loan (07/21)  Loan   3M USD LIBOR+  4.75%   0.50%   5.26%  7/28/2028   1,995,000   1,976,108   1,975,050 
MedAssets Software Inter Hldg, Inc.  High Tech Industries  Term Loan (11/21) (USD)  Loan   3M USD LIBOR+  4.00%   0.50%   4.50%  11/17/2028   500,000   492,500   496,250 
Mermaid Bidco Inc.  High Tech Industries  Term Loan B2  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  12/22/2027   993,756   990,577   976,366 
Messer Industries, LLC  Chemicals, Plastics, & Rubber  Term Loan B  Loan   3M USD LIBOR+  2.50%   0.00%   2.72%  3/1/2026   3,381,477   3,366,633   3,341,677 
Michaels Companies Inc  Retail  Term Loan B (Magic Mergeco)  Loan   3M USD LIBOR+  4.25%   0.75%   5.00%  4/8/2028   2,492,500   2,474,302   2,312,492 
Milk Specialties Company  Beverage, Food & Tobacco  Term Loan (6/21)  Loan   3M USD LIBOR+  4.00%   1.00%   5.00%  8/15/2025   3,801,560   3,774,075   3,782,552 
MJH Healthcare Holdings, LLC  Healthcare & Pharmaceuticals  Term Loan B (01/22)  Loan   1M USD SOFR+  3.50%   0.50%   4.00%  1/28/2029   250,000   248,782   247,500 

 

67

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
MKS Instruments, Inc.  High Tech Industries  Term Loan B6  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  2/2/2026   868,529   863,296   862,562 
MRC Global Inc.  Metals & Mining  Term Loan B2  Loan   1M USD LIBOR+  3.00%   0.00%   3.21%  9/20/2024   351,484   351,116   348,848 
MW Industries, Inc. (Helix Acquisition Holdings)  Capital Equipment  Term Loan (2019 Incremental)  Loan   3M USD LIBOR+  3.75%   0.00%   3.97%  9/30/2024   2,842,097   2,812,930   2,765,730 
NAB Holdings, LLC (North American Bancard)  Banking, Finance, Insurance & Real Estate  Term Loan (11/21)  Loan   1M USD SOFR+  3.00%   0.50%   3.50%  11/17/2028   3,000,000   2,992,613   2,950,710 
Natgasoline LLC  Chemicals, Plastics, & Rubber  Term Loan  Loan   1M USD LIBOR+  3.50%   0.00%   3.75%  11/14/2025   3,472,277   3,448,686   3,411,513 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan 2/21  Loan   1M USD LIBOR+  3.75%   0.75%   4.50%  3/2/2028   2,763,891   2,753,599   2,704,771 
National Mentor Holdings, Inc.  Healthcare & Pharmaceuticals  Term Loan C 2/21  Loan   3M USD LIBOR+  3.75%   0.75%   4.50%  3/2/2028   87,464   87,078   85,593 
National Mentor Holdings, Inc. (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan 2/21  Loan   N/A   N/A     N/A     N/A   3/2/2028   -   -   (2,758)
Neenah, Inc.  Forest Products & Paper  Term Loan B (03/21)  Loan   3M USD LIBOR+  3.00%   0.50%   3.50%  4/6/2028   1,990,000   1,981,133   1,960,150 
NEW ERA CAP, LLC  Consumer goods: Durable  Term Loan (01/22)  Loan   6M USD LIBOR+  6.00%   0.75%   6.75%  7/13/2027   1,000,000   998,828   997,500 
Nexstar Broadcasting, Inc. (Mission Broadcasting)  Media: Broadcasting & Subscription  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   2.61%  9/18/2026   1,113,795   1,103,364   1,107,146 
Next Level Apparel, Inc.  Retail  Term Loan  Loan   3M USD WIBOR+  5.50%   1.00%   6.50%  8/9/2024   1,725,340   1,717,025   1,690,834 
NM Z Parent Inc (Zep Inc)  Chemicals, Plastics, & Rubber  Term Loan  Loan   12M USD LIBOR+  4.00%   1.00%   5.00%  8/9/2024   871,151   869,399   842,838 
NorthPole Newco S.a.r.l (b), (d)  Aerospace & Defense  Term Loan  Loan   3M USD LIBOR+  7.00%   0.00%   7.22%  3/3/2025   5,348,887   5,028,659   1,537,805 
NortonLifeLock Inc.  High Tech Industries  Term Loan B  Loan   3M USD SOFR+  2.00%   0.50%   2.50%  1/28/2029   1,500,000   1,492,500   1,480,620 
Novae LLC  Automotive  Term Loan B  Loan   1M USD SOFR+  5.00%   0.75%   5.75%  12/22/2028   1,555,556   1,540,210   1,540,000 
Novae LLC (a)  Automotive  Delayed Draw Term Loan  Loan   N/A   N/A     N/A     N/A   12/22/2028   -   -   (4,444)
Novolex Holdings, Inc (Flex Acquisition)  Containers, Packaging & Glass  Term Loan (02/21)  Loan   3M USD LIBOR+  3.50%   0.50%   4.00%  3/2/2028   987,555   983,296   983,437 
Nuvei Technologies Corp.  High Tech Industries  US Term Loan  Loan   1M USD LIBOR+  2.50%   0.50%   3.00%  9/29/2025   2,238,750   2,234,198   2,210,766 
Olaplex, Inc.  Consumer goods: Non-durable  Term Loan (2/22)  Loan   1M USD SOFR+  3.75%   0.50%   4.25%  2/23/2029   1,000,000   997,500   996,250 
Organon & Co.  Healthcare & Pharmaceuticals  Term Loan USD  Loan   6M USD LIBOR+  3.00%   0.50%   3.50%  6/2/2028   2,410,417   2,399,629   2,397,617 
Pacific Gas and Electric Company  Utilities: Electric  Term Loan  Loan   3M USD LIBOR+  3.00%   0.50%   3.50%  6/18/2025   1,479,969   1,474,197   1,449,999 
PACTIV EVERGREEN GROUP HOLDINGS INC.  Containers, Packaging & Glass  Term Loan B  Loan   1M USD LIBOR+  3.50%   0.50%   4.00%  9/20/2028   997,500   992,792   984,473 
Padagis LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   3M USD LIBOR+  4.75%   0.50%   5.25%  7/6/2028   941,176   932,470   934,118 
Panther Guarantor II, L.P. (Forcepoint)  High Tech Industries  Term Loan 1/21  Loan   3M USD LIBOR+  4.50%   0.50%   5.00%  1/7/2028   497,500   494,346   493,520 
Pathway Partners Vet Management Company LLC  Services: Business  Term Loan  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  3/30/2027   491,473   482,640   486,804 
PCI Gaming Authority  Hotel, Gaming & Leisure  Term Loan  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  5/29/2026   809,038   806,361   800,188 
PEARLS (Netherlands) Bidco B.V.  Chemicals, Plastics, & Rubber  USD Term Loan (02/22)  Loan   3M USD SOFR+  4.00%   0.50%   4.50%  2/4/2029   1,000,000   997,500   989,580 
PECF USS INTERMEDIATE HOLDING III CORPORATION  Environmental Industries  Term Loan B  Loan   1M USD LIBOR+  4.25%   0.50%   4.75%  12/15/2028   100,000   99,777   99,391 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC  Healthcare & Pharmaceuticals  Term Loan (12/22)  Loan   3M USD LIBOR+  3.50%   0.00%   3.84%  12/28/2028   1,302,632   1,296,159   1,291,234 
PEDIATRIC ASSOCIATES HOLDING COMPANY, LLC (a)  Healthcare & Pharmaceuticals  Delayed Draw Term Loan (12/21)  Loan   N/A   N/A     N/A     N/A   12/28/2028   -   -   (1,727)
Penn National Gaming  Hotel, Gaming & Leisure  Term Loan B-1  Loan   1M USD LIBOR+  2.25%   0.75%   3.00%  10/15/2025   1,762,675   1,715,292   1,746,370 

 

68

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Peraton Corp.  Aerospace & Defense  Term Loan B  Loan   1M USD LIBOR+  3.75%   0.75%   4.50%  2/1/2028   5,459,994   5,439,162   5,425,869 
PHYSICIAN PARTNERS, LLC  Healthcare & Pharmaceuticals  Term Loan  Loan   1M USD SOFR+  4.00%   0.50%   4.50%  12/23/2028   2,000,000   1,980,245   1,985,000 
Ping Identity Corporation  High Tech Industries  Term Loan B (11/21)  Loan   6M USD SOFR+  3.75%   0.50%   4.45%  11/22/2028   1,000,000   995,074   990,000 
Pitney Bowes Inc  Services: Business  Term Loan B  Loan   1M USD LIBOR+  4.00%   0.00%   4.21%  3/17/2028   2,977,500   2,960,793   2,944,003 
Pixelle Specialty Solutions LLC  Forest Products & Paper  Term Loan  Loan   1M USD LIBOR+  6.50%   1.00%   7.50%  10/31/2024   3,535,026   3,515,981   3,504,837 
Plastipak Holdings Inc.  Containers, Packaging & Glass  Term Loan B (11/21)  Loan   1M USD LIBOR+  2.50%   0.50%   3.00%  11/17/2028   2,000,000   1,990,299   1,974,380 
Playtika Holding Corp.  High Tech Industries  Term Loan B (3/21)  Loan   1M USD LIBOR+  2.75%   0.00%   2.96%  3/13/2028   4,466,250   4,457,371   4,415,513 
PMHC II, INC.  Chemicals, Plastics, & Rubber  Term Loan (02/22)  Loan   3M USD SOFR+  4.25%   0.50%   4.75%  2/2/2029   2,000,000   1,990,000   1,968,340 
PointClickCare Technologies, Inc.  High Tech Industries  Term Loan B  Loan   6M USD LIBOR+  3.00%   0.75%   3.75%  12/29/2027   496,250   494,183   486,945 
Polymer Process Holdings, Inc.  Containers, Packaging & Glass  Term Loan  Loan   1M USD LIBOR+  4.75%   0.75%   5.50%  2/12/2028   5,458,750   5,404,639   5,333,635 
Pre-Paid Legal Services, Inc.  Services: Consumer  Term Loan (12/21)  Loan   3M USD LIBOR+  3.75%   0.50%   4.25%  12/15/2028   3,000,000   2,975,633   2,973,000 
Presidio, Inc.  Services: Business  Term Loan B (1/20)  Loan   1M USD LIBOR+  3.50%   0.00%   3.71%  1/22/2027   492,500   491,700   488,038 
Prime Security Services Borrower, LLC (ADT)  Services: Consumer  Term Loan (1/21)  Loan   6M USD LIBOR+  2.75%   0.75%   3.50%  9/23/2026   3,556,300   3,553,818   3,513,837 
PRIORITY HOLDINGS, LLC  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  5.75%   1.00%   6.75%  4/27/2027   2,985,000   2,957,411   2,973,806 
PriSo Acquisition Corporation  Construction & Building  Term Loan (01/21)  Loan   3M USD LIBOR+  3.25%   0.75%   4.00%  12/28/2027   496,248   494,100   487,832 
Project Leopard Holdings Inc  High Tech Industries  Term Loan  Loan   6M USD LIBOR+  4.75%   1.00%   5.75%  7/5/2024   495,000   494,242   492,678 
Prometric Inc. (Sarbacane Bidco)  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  3.00%   1.00%   4.00%  1/29/2025   481,388   480,315   474,017 
PUG LLC  Services: Consumer  Term Loan B (02/20)  Loan   1M USD LIBOR+  3.50%   0.00%   3.71%  2/12/2027   485,075   483,298   475,374 
QUEST BORROWER LIMITED  High Tech Industries  Term Loan (1/22)  Loan   3M USD SOFR+  4.25%   0.50%   4.75%  1/19/2029   2,000,000   1,980,237   1,968,760 
Rackspace Technology Global, Inc.  High Tech Industries  Term Loan (1/21)  Loan   1M USD LIBOR+  2.75%   0.75%   3.50%  2/15/2028   496,250   494,141   480,519 
RealPage, Inc.  High Tech Industries  Term Loan (04/21)  Loan   1M USD LIBOR+  3.25%   0.50%   3.75%  4/24/2028   997,500   995,328   985,720 
Renaissance Learning, Inc.  Services: Consumer  Term Loan (5/18)  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  5/30/2025   2,969,141   2,946,381   2,922,496 
Rent-A-Center, Inc.  Retail  Term Loan B2 (9/21)  Loan   1M USD LIBOR+  3.25%   0.50%   3.81%  2/17/2028   993,744   991,647   973,869 
Research Now Group, Inc  Media: Advertising, Printing & Publishing  Term Loan  Loan   6M USD LIBOR+  5.50%   1.00%   6.50%  12/20/2024   4,343,378   4,268,021   4,251,082 
Resideo Funding Inc.  Services: Consumer  Term Loan (1/21)  Loan   1M USD LIBOR+  2.25%   0.50%   2.75%  2/11/2028   1,488,750   1,486,251   1,481,306 
Resolute Investment Managers (American Beacon), Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)  Loan   3M USD LIBOR+  4.25%   1.00%   5.25%  4/30/2024   3,084,702   3,078,180   3,067,366 
Restoration Hardware, Inc.  Retail  Term Loan (9/21)  Loan   3M USD LIBOR+  2.50%   0.50%   3.00%  10/20/2028   3,497,500   3,489,704   3,456,509 
Reynolds Consumer Products LLC  Containers, Packaging & Glass  Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  1/29/2027   1,291,932   1,290,988   1,271,829 
Reynolds Group Holdings Inc.  Metals & Mining  Term Loan B2  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  2/5/2026   3,465,000   3,449,546   3,406,545 
Robertshaw US Holding Corp.  Consumer goods: Durable  Term Loan B  Loan   6M USD LIBOR+  3.50%   1.00%   4.50%  2/28/2025   962,500   961,492   877,800 
Rocket Software, Inc.  High Tech Industries  Term Loan (11/18)  Loan   1M USD LIBOR+  4.25%   0.00%   4.46%  11/28/2025   2,905,190   2,897,593   2,876,138 
Russell Investments US Inst’l Holdco, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (10/20)  Loan   6M USD LIBOR+  3.50%   1.00%   4.50%  6/2/2025   5,637,965   5,601,072   5,592,185 
RV Retailer LLC  Automotive  Term Loan  Loan   3M USD SOFR+  3.75%   0.75%   4.50%  2/8/2028   1,985,000   1,967,852   1,951,513 
Ryan Specialty Group LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  3.00%   0.75%   3.75%  9/1/2027   493,750   487,862   489,583 

 

69

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
S&S HOLDINGS LLC  Services: Business  Term Loan  Loan   3M USD LIBOR+  5.00%   0.50%   5.50%  3/10/2028   2,483,744   2,427,454   2,458,906 
Sally Holdings LLC  Retail  Term Loan B  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  7/5/2024   748,409   746,932   740,925 
Samsonite International S.A.  Consumer goods: Non-durable  Term Loan B2  Loan   1M USD LIBOR+  3.00%   0.75%   3.75%  4/25/2025   987,538   967,436   979,519 
Schweitzer-Mauduit International, Inc.  High Tech Industries  Term Loan B  Loan   1M USD LIBOR+  3.75%   0.75%   4.50%  4/20/2028   2,985,000   2,969,212   2,895,450 
                                           
Scientific Games Holdings LP  Hotel, Gaming & Leisure  Term Loan B  Loan   3M USD SOFR+  3.50%   0.50%   4.00%  2/3/2029   500,000   498,750   496,460 
SETANTA AIRCRAFT LEASING DAC  Aerospace & Defense  Term Loan  Loan   3M USD LIBOR+  2.00%   0.00%   2.14%  11/2/2028   1,000,000   997,653   993,440 
Signify Health, LLC  Healthcare & Pharmaceuticals  Term Loan B (6/21)  Loan   3M USD LIBOR+  3.25%   0.50%   3.75%  6/16/2028   498,750   496,482   492,206 
Sitel Worldwide Corporation  Services: Business  USD Term Loan (7/21)  Loan   3M USD LIBOR+  3.75%   0.50%   4.25%  8/28/2028   1,995,000   1,985,688   1,981,294 
SiteOne Landscape Supply, LLC  Services: Business  Term Loan (3/21)  Loan   3M USD LIBOR+  2.00%   0.50%   2.50%  3/18/2028   785,769   784,048   780,528 
SMG US Midco 2, Inc.  Services: Business  Term Loan (01/20)  Loan   3M USD LIBOR+  2.50%   0.00%   2.80%  1/23/2025   490,000   490,000   472,238 
Sotheby’s  Services: Business  Term Loan (7/21)  Loan   3M USD LIBOR+  4.50%   0.50%   5.00%  1/15/2027   3,256,472   3,207,096   3,240,190 
Sparta U.S. HoldCo LLC  Chemicals, Plastics, & Rubber  Term Loan (04/21)  Loan   1M USD LIBOR+  3.50%   0.75%   4.25%  8/2/2028   2,000,000   1,990,687   1,985,000 
Specialty Pharma III Inc.  Services: Business  Term Loan  Loan   1M USD LIBOR+  4.50%   0.75%   5.25%  3/31/2028   1,995,000   1,977,135   1,975,050 
Spectrum Brands, Inc.  Consumer goods: Durable  Term Loan (2/21)  Loan   3M USD LIBOR+  2.00%   0.50%   2.50%  3/3/2028   496,250   495,145   494,389 
Spin Holdco, Inc.  Services: Consumer  Term Loan 3/21  Loan   3M USD LIBOR+  4.00%   0.75%   4.75%  3/4/2028   2,977,500   2,962,439   2,958,474 
SRAM, LLC  Consumer goods: Durable  Term Loan (05/21)  Loan   1M USD LIBOR+  2.75%   0.50%   3.26%  5/12/2028   3,600,000   3,594,517   3,571,488 
                                           
SS&C Technologies, Inc.  Services: Business  Term Loan B3  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  4/16/2025   190,170   189,956   186,819 
SS&C Technologies, Inc.  Services: Business  Term Loan B4  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  4/16/2025   154,375   154,203   151,655 
SS&C Technologies, Inc.  Services: Business  Term Loan B-5  Loan   1M USD LIBOR+  1.75%   0.00%   1.96%  4/16/2025   477,615   477,001   469,376 
STANDARD INDUSTRIES INC.  Construction & Building  Term Loan B  Loan   3M USD LIBOR+  2.50%   0.50%   3.00%  9/22/2028   640,250   634,225   637,503 
Staples, Inc.  Wholesale  Term Loan (03/19)  Loan   3M USD LIBOR+  5.00%   0.00%   5.13%  4/16/2026   4,386,462   4,265,782   4,154,813 
Stars Group Inc. (The)  Hotel, Gaming & Leisure  Term Loan  Loan   3M USD LIBOR+  2.25%   0.00%   2.47%  7/21/2026   1,995,000   1,990,864   1,972,776 
Storable, Inc  High Tech Industries  Term Loan B  Loan   6M USD LIBOR+  3.25%   0.50%   3.75%  4/17/2028   500,000   498,861   494,375 
Superannuation & Investments US LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  3.75%   0.50%   4.25%  12/1/2028   1,000,000   990,274   995,940 
Sylvamo Corporation  Forest Products & Paper  Term Loan  Loan   1M USD LIBOR+  4.50%   0.50%   5.00%  8/18/2028   1,093,333   1,082,992   1,085,133 
Syncsort Incorporated  High Tech Industries  Term Loan B (10/21)  Loan   3M USD LIBOR+  4.00%   0.75%   4.75%  4/24/2028   2,495,000   2,493,770   2,465,684 
Syniverse Holdings, Inc.  Telecommunications  Term Loan  Loan   3M USD SOFR+  4.25%   0.50%   4.75%  2/1/2029   500,000   495,000   499,375 
Tenable Holdings, Inc.  Services: Business  Term Loan B (6/21)  Loan   6M USD LIBOR+  2.75%   0.50%   3.27%  7/7/2028   1,000,000   997,633   986,250 
                                           
Teneo Holdings LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD SOFR+  5.25%   1.00%   6.25%  7/15/2025   4,428,522   4,355,261   4,383,129 
Tenneco Inc  Capital Equipment  Term Loan B  Loan   1M USD LIBOR+  3.00%   0.00%   3.21%  10/1/2025   1,455,000   1,447,215   1,444,088 
Ten-X, LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  4.00%   1.00%   5.00%  9/27/2024   1,920,000   1,918,652   1,881,600 

 

70

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
The Dun & Bradstreet Corporation  Services: Business  Term Loan  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  2/6/2026   1,000,000   998,750   988,330 
The Dun & Bradstreet Corporation  Services: Business  Term Loan B  Loan   1M USD SOFR+  3.25%   0.00%   3.44%  1/5/2029   250,000   248,180   246,668 
THE KNOT WORLDWIDE INC.  Services: Consumer  Term Loan (1/22)  Loan   1M USD SOFR+  4.50%   0.00%   4.67%  12/19/2025   4,869,796   4,863,346   4,829,231 
The Octave Music Group, Inc (Touchtunes)  Services: Business  Term Loan B  Loan   1M USD LIBOR+  6.00%   1.00%   7.00%  5/29/2025   2,893,526   2,872,208   2,871,824 
Thor Industries, Inc.  Automotive  USD Term Loan (3/21)  Loan   1M USD LIBOR+  3.00%   0.00%   3.25%  2/1/2026   2,810,435   2,763,310   2,797,563 
Tosca Services, LLC  Containers, Packaging & Glass  Term Loan (2/21)  Loan   1M USD LIBOR+  3.50%   0.75%   4.25%  8/18/2027   495,000   489,079   487,575 
Trans Union LLC  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   1M USD LIBOR+  2.00%   0.50%   2.50%  12/1/2028   870,968   868,877   860,804 
Transdigm, Inc.  Aerospace & Defense  Term Loan G (02/20)  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  8/22/2024   4,024,167   4,026,414   3,959,700 
Travel Leaders Group, LLC  Hotel, Gaming & Leisure  Term Loan B (08/18)  Loan   1M USD LIBOR+  4.00%   0.00%   4.21%  1/25/2024   2,412,500   2,411,191   2,268,353 
TRITON WATER HOLDINGS, INC.  Beverage, Food & Tobacco  Term Loan (03/21)  Loan   3M USD LIBOR+  3.50%   0.50%   4.00%  3/31/2028   1,492,500   1,485,884   1,454,352 
Tronox Pigments (Netherlands) B.V.  Chemicals, Plastics, & Rubber  Term Loan  Loan   3M USD LIBOR+  2.25%   0.00%   2.47%  3/10/2028   346,923   346,183   341,719 
TruGreen Limited Partnership  Services: Consumer  Term Loan  Loan   1M USD LIBOR+  4.00%   0.75%   4.75%  10/29/2027   964,241   957,748   961,830 
                                           
Uber Technologies, Inc.  Transportation: Consumer  Term Loan B (2/21)  Loan   1M USD LIBOR+  3.50%   0.00%   3.71%  2/25/2027   3,947,943   3,909,627   3,905,740 
Ultra Clean Holdings, Inc.  High Tech Industries  Incremental Term Loan 3/21  Loan   1M USD LIBOR+  3.75%   0.00%   3.96%  8/27/2025   884,205   880,505   882,366 
Unimin Corporation  Metals & Mining  Term Loan (12/20)  Loan   3M USD LIBOR+  4.00%   1.00%   5.00%  7/31/2026   496,815   471,432   490,853 
United Natural Foods, Inc  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD LIBOR+  3.25%   0.00%   3.46%  10/22/2025   1,624,974   1,562,482   1,616,166 
United Road Services Inc.  Transportation: Cargo  Term Loan (10/17)  Loan   6M USD LIBOR+  5.75%   1.00%   6.75%  9/1/2024   920,843   915,490   826,457 
Univar Inc.  Chemicals, Plastics, & Rubber  Term Loan B6  Loan   1M USD LIBOR+  2.00%   0.00%   2.21%  6/2/2028   1,990,000   1,980,782   1,974,458 
Univision Communications Inc.  Media: Broadcasting & Subscription  Term Loan B (6/21)  Loan   1M USD LIBOR+  3.25%   0.75%   4.00%  3/15/2026   2,471,487   2,464,765   2,451,913 
US Ecology, Inc.  Environmental Industries  Term Loan B  Loan   1M USD LIBOR+  2.50%   0.00%   2.71%  11/2/2026   490,000   489,302   488,040 
Utz Quality Foods, LLC  Beverage, Food & Tobacco  Term Loan B  Loan   1M USD LIBOR+  3.00%   0.00%   3.21%  1/20/2028   1,847,121   1,844,606   1,827,264 
Vaco Holdings, LLC  Services: Business  Term Loan (01/22)  Loan   1M USD SOFR+  5.00%   0.75%   5.75%  1/19/2029   250,000   248,777   248,124 
Verifone Systems, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan (7/18)  Loan   3M USD LIBOR+  4.00%   0.00%   4.50%  8/20/2025   1,382,319   1,377,042   1,354,672 
                                           
Vertex Aerospace Services Corp  Aerospace & Defense  Term Loan (10/21)  Loan   1M USD LIBOR+  4.00%   0.75%   4.75%  12/6/2028   1,000,000   995,345   992,080 
VFH Parent LLC  Banking, Finance, Insurance & Real Estate  Term Loan (01/22)  Loan   Daily SOFR+  3.00%   0.50%   3.50%  1/12/2029   3,100,888   3,092,414   3,071,833 
Virtus Investment Partners, Inc.  Banking, Finance, Insurance & Real Estate  Term Loan B (9/21)  Loan   1M USD LIBOR+  2.25%   0.00%   2.36%  9/28/2028   2,992,500   2,982,995   2,971,942 
Vistra Energy Corp  Utilities: Electric  2018 Incremental Term Loan  Loan   1M USD LIBOR+  1.75%   0.00%   1.87%  12/31/2025   907,176   906,677   890,075 
Vizient, Inc  Healthcare & Pharmaceuticals  Term Loan B-6  Loan   1M USD LIBOR+  2.00%   0.00%   2.21%  5/6/2026   486,250   485,567   480,779 
VM Consolidated, Inc.  Construction & Building  Term Loan B (3/21)  Loan   6M USD LIBOR+  3.25%   0.00%   3.60%  3/19/2028   2,339,327   2,336,223   2,322,951 
Vouvray US Finance LLC  High Tech Industries  Term Loan  Loan   1M USD LIBOR+  3.00%   1.00%   4.00%  3/11/2024   476,250   476,250   411,837 

 

71

 

 

Issuer Name  Industry  Asset Name  Asset Type  Reference Rate/Spread  LIBOR
Floor
   Current
Rate (All In)
   Maturity Date  Principal/
Number of
Shares
  Cost  Fair Value 
Warner Music Group Corp. (WMG Acquisition Corp.)  Hotel, Gaming & Leisure  Term Loan G  Loan   1M USD LIBOR+  2.13%   0.00%   2.33%  1/20/2028   1,250,000   1,249,760   1,234,763 
Wastequip, LLC (HPCC Merger/Patriot Container)  Environmental Industries  Term Loan (3/18)  Loan   1M USD LIBOR+  3.75%   1.00%   4.75%  3/15/2025   489,822   488,550   469,004 
Watlow Electric Manufacturing Company  High Tech Industries  Term Loan B  Loan   3M USD LIBOR+  3.75%   0.50%   4.25%  3/2/2028   2,481,250   2,470,270   2,452,294 
                                           
West Corporation  Telecommunications  Term Loan B (Olympus Merger)  Loan   3M USD LIBOR+  4.00%   1.00%   5.00%  10/10/2024   1,086,078   1,047,433   967,424 
West Corporation  Telecommunications  Term Loan B  Loan   3M USD LIBOR+  3.50%   1.00%   4.50%  10/10/2024   2,599,274   2,562,059   2,301,449 
WEX Inc.  Services: Business  Term Loan B (3/21)  Loan   1M USD LIBOR+  2.25%   0.00%   2.46%  3/31/2028   2,985,000   2,974,005   2,937,419 
WildBrain Ltd.  Media: Diversified & Production  Term Loan  Loan   1M USD LIBOR+  4.25%   0.75%   5.00%  3/27/2028   1,985,000   1,949,907   1,966,401 
WP CITYMD BIDCO LLC  Services: Consumer  Term Loan B  Loan   6M USD LIBOR+  3.25%   0.50%   3.75%  12/22/2028   7,424,013   7,399,065   7,355,340 
Xperi Corporation  High Tech Industries  Term Loan  Loan   1M USD LIBOR+  3.50%   0.00%   3.71%  6/8/2028   2,741,617   2,730,066   2,719,355 
ZEBRA BUYER LLC  Banking, Finance, Insurance & Real Estate  Term Loan 4/21  Loan   3M USD LIBOR+  3.25%   0.50%   3.75%  11/1/2028   887,097   883,013   882,661 
Zekelman Industries, Inc.  Metals & Mining  Term Loan (01/20)  Loan   1M USD LIBOR+  2.00%   0.00%   2.14%  1/25/2027   968,914   968,914   954,622 
Zodiac Pool Solutions  Consumer goods: Durable  Term Loan (1/22)  Loan   1M USD SOFR+  2.00%   0.50%   2.50%  1/19/2029   500,000   498,783   493,440 
                                    $653,022,265  $638,963,350 

 

   Number of Shares   Cost   Fair Value 
Cash and cash equivalents               
U.S. Bank Money Market (c)   6,171,793   $6,171,793   $6,171,793 
Total cash and cash equivalents   6,171,793   $6,171,793   $6,171,793 

 

(a) All or a portion of this investment has an unfunded commitment as of February 28, 2022
(b) As of February 28, 2022, the investment was in default and on non-accrual status.
(c) Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of February 28, 2022.
(d) Investments include Payment-in-Kind Interest.
 
LIBOR—London Interbank Offered Rate
SOFR - Secured Overnight Financing Rate
WIBOR - Warsaw Interbank Offered Rate
 
1M USD LIBOR—The 1 month USD LIBOR rate as of February 28, 2022 was 0.23%.
2M USD LIBOR—The 2 month USD LIBOR rate as of February 28, 2022 was 0.50%.
3M USD LIBOR—The 3 month USD LIBOR rate as of February 28, 2022 was 0.51%.
6M USD LIBOR—The 6 month USD LIBOR rate as of February 28, 2022 was 0.80%.
12M USD LIBOR - The 12 month USD LIBOR rate as of February 28, 2022 was 1.28%.
3 PL WIBOR - The 3 month PL WIBOR rate as of February 28, 2022 was 3.65%.
 
Daily SOFR- The daily SOFR rate as of February 28, 2022 was 0.05%.
1M SOFR - The 1 month SOFR rate as of February 28, 2022 was 0.05%.
3M SOFR - The 3 month SOFR rate as of February 28, 2022 was 0.04%.
 
Prime—The Prime Rate as of February 28, 2022 was 3.25%.

 

72

 

 

Note 5. Investment in SLF JV

 

On October 26, 2021, the Company and TJHA entered into the LLC Agreement to co-manage SLF JV. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd (“SLF 2021”), which is a wholly owned subsidiary of SLF JV. SLF 2021 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.

 

On September 30, 2022, SLF 2021 was renamed to Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. (“SLF 2022”).

 

The Company and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.

 

The Company and TJHA have committed to provide up to a combined $50.0 million of financing to SLF JV through cash contributions, with the Company providing $43.75 million and TJHA providing $6.25 million, resulting in an 87.5% and 12.5% ownership between the two parties. The financing is issued in the form of an unsecured note and equity. The unsecured note will pay a fixed rate of 10.0% per annum and is due and payable in full on June 15, 2023. As of November 30, 2022, the Company and TJHA’s investment in SLF JV consisted of an unsecured note of $17.6 million and $2.5 million, respectively; and membership interest of $17.6 million and $2.5 million, respectively. As of November 30, 2022 and February 28, 2022, the Company’s investment in the unsecured note of SLF JV had a fair value of $17.6 million and $13.1 million, respectively, and the Company’s investment in the membership interests of SLF JV had a fair value of $9.2 million and $12.0 million, respectively.

 

The Company has determined that SLF JV is an investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, ASC 810, Consolidation concludes that in a joint venture where both members have equal decision making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, the Company does not consolidate SLF JV.

 

As of November 30, 2022, the Company earned $1.1 million of interest income related to SLF JV, which is included in interest income. As of November 30, 2022 and February 28, 2022, $0.01 million and $0.1 million, respectively, of interest income related to SLF JV was included in interest receivable.

 

SLF JV’s initial investment in SLF 2022 was in the form of an unsecured loan. The unsecured loan paid a floating rate of LIBOR plus 7.00% per annum and was due and payable in full on June 9, 2023. The unsecured loan was repaid in full on October 28, 2022, as part of the CLO closing.

 

On October 28, 2022, SLF 2022 issued $402.1 million of the 2022 JV CLO Notes through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee. As part of the transaction, the Company purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million. As of November 30, 2022 and February 28, 2022, the fair value of these Class E Notes were $11.0 million and $0.0 million, respectively.

 

73

 

 

Note 6. Income Taxes

 

SIA-ARC, Inc., SIA-Avionte, Inc., SIA-AX, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PP Inc., SIA-TG, Inc., SIA-TT Inc., SIA-Vector, Inc., and SIA-VR, Inc. each 100% owned by the Company, are each filing standalone C Corporation tax returns for federal and state tax purposes. As separately regarded entities for tax purposes, these entities are taxed at normal corporate rates. For tax purposes, any distributions by the entities to the parent company would generally need to be distributed to the Company’s shareholders. Generally, such distributions of the entities’ income to the Company’s shareholders will be considered as qualified dividends for tax purposes. The entities’ taxable net income will differ from U.S. GAAP net income because of deferred tax temporary differences arising from net operating losses and unrealized appreciation and deprecation of securities held. Deferred tax assets and liabilities are measured using enacted corporate federal and state tax rates expected to apply to taxable income in the years in which those net operating losses are utilized and the unrealized gains and losses are realized. Deferred tax assets and deferred tax liabilities are netted off by entity, as allowed. The recoverability of deferred tax assets is assessed and a valuation allowance is recorded to the extent that it is more likely than not that any portion of the deferred tax asset will not be realized on the basis of a history of operating losses combined with insufficient projected taxable income or other taxable events in the taxable blockers. In February 2022, SIA-GH, Inc., SIA-TT Inc. and SIA-VR, Inc. received an approved plan of liquidation following the sale of equity held by each of the portfolio companies.

 

The Company may distribute a portion of its realized net long term capital gains in excess of realized net short term capital losses to its stockholders, but may also decide to retain a portion, or all, of its net capital gains and elect to pay the 21% U.S. federal tax on the net capital gain, potentially in the form of a “deemed distribution” to its stockholders. Income tax (provision) relating to an election to retain its net capital gains, including in the form of a deemed distribution, is included as a component of income tax (provision) benefit from realized gains on investments, depending on the character of the underlying taxable income (ordinary or capital gains), on the consolidated statements of operations.

 

Deferred tax assets and liabilities, and related valuation allowance as of November 30, 2022 and February 28, 2022 were as follows:

 

   November 30,
2022
   February 28,
2022
 
Total deferred tax assets  $2,350,087   $1,991,241 
Total deferred tax liabilities   (2,311,448)   (1,293,496)
Valuation allowance on net deferred tax assets   (2,178,299)   (1,946,761)
Net deferred tax liability  $(2,139,660)  $(1,249,016)

 

As of November 30, 2022, the valuation allowance on deferred tax liability was $2.2 million, which represents the federal and state tax effect of net operating losses and unrealized losses that we do not believe we will realize through future taxable income. Any adjustments to the Company’s valuation allowance will depend on estimates of future taxable income and will be made in the period such determination is made.

 

74

 

 

Net income tax expense for the three months ended November 30, 2022 includes $0.4 million deferred tax expense (benefit) on net change in unrealized appreciation (depreciation) on investments, $(0.5) million income tax provision/(benefit) from realized gain/(loss) on investments and $0.1 million net change in total operating expense, in the consolidated statement of operations, respectively. Net income tax expense for the three months ended November 30, 2021 includes $(2.5) million deferred tax expense (benefit) net change in unrealized appreciation (depreciation) on investments and $2.4 million income tax provision from realized gain on investments and $(0.04) million net change in total operating expense, in the consolidated statement of operations, respectively.

 

Net income tax expense for the nine months ended November 30, 2022 includes $1.0 million deferred tax expense (benefit) on net change in unrealized appreciation on investments, $(0.5) million income tax provision/(benefit) from realized gain/(loss) on investments and $(0.1) million net change in total operating expense, in the consolidated statement of operations, respectively. Net income tax expense for the nine months ended November 30, 2021 includes $(0.9) million deferred tax expense (benefit) net change in unrealized appreciation (depreciation) on investments $2.9 million income tax provision from realized gain on investments and $0.02 million net change in total operating expense, in the consolidated statement of operations, respectively.

 

Deferred tax temporary differences may include differences for state taxes and joint venture interests.

 

Federal and state income tax provisions (benefit) on investments for three and nine months ended November 30, 2022 and November 30, 2021:

 

   For the three months ended   For the nine months ended 
   November 30,
2022
   November 30,
2021
   November 30,
2022
   November 30,
2021
 
Current                
Federal  $(255,959)  $2,157,212   $(473,475)  $2,583,041 
State   (158,721)   289,961    (80,273)   340,655 
Net current expense   (414,680)   2,447,173    (553,748)   2,923,696 
Deferred                    
Federal   460,531    (1,916,842)   844,727    (677,986)
State   (29,901)   (604,143)   45,917    (253,182)
Net deferred expense   430,629    (2,520,985)   890,645    (931,168)
Net tax provision  $15,949   $(73,812)  $336,896   $1,992,528 

 

75

 

 

Note 7. Agreements and Related Party Transactions

 

Investment Advisory and Management Agreement

 

On July 30, 2010, the Company entered into the Management Agreement with our Manager. The initial term of the Management Agreement was two years from its effective date, with one-year renewals thereafter subject to certain approvals by our board of directors and/or the Company’s stockholders. Most recently, on July 5, 2022, our board of directors approved the renewal of the Management Agreement for an additional one-year term. Pursuant to the Management Agreement, our Manager implements our business strategy on a day-to-day basis and performs certain services for us, subject to oversight by our board of directors. Our Manager is responsible for, among other duties, determining investment criteria, sourcing, analyzing and executing investments transactions, asset sales, financings and performing asset management duties. Under the Management Agreement, we have agreed to pay our Manager a management fee for investment advisory and management services consisting of a base management fee and an incentive management fee.

 

Base Management Fee and Incentive Management Fee

 

The base management fee of 1.75% per year is calculated based on the average value of our gross assets (other than cash or cash equivalents, but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters. The base management fee is paid quarterly following the filing of the most recent quarterly report on Form 10-Q.

 

The incentive management fee consists of the following two parts:

 

The first, payable quarterly in arrears, equals 20.0% of our pre-incentive fee net investment income, expressed as a rate of return on the value of our net assets at the end of the immediately preceding quarter, that exceeds a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter, subject to a “catch-up” provision. Under this provision, in any fiscal quarter, our Manager receives no incentive fee unless our pre-incentive fee net investment income exceeds the hurdle rate of 1.875%. Our Manager will receive 100.0% of pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than or equal to 2.344% in any fiscal quarter; and 20.0% of the amount of our pre-incentive fee net investment income, if any, that exceeds 2.344% in any fiscal quarter. There is no accumulation of amounts on the hurdle rate from quarter to quarter, and accordingly there is no claw back of amounts previously paid if subsequent quarters are below the quarterly hurdle rate, and there is no delay of payment if prior quarters are below the quarterly hurdle rate.

 

The second part of the incentive fee is determined and payable in arrears as of the end of each fiscal year (or upon termination of the Management Agreement) and equals 20.0% of our “incentive fee capital gains,” which equals our realized capital gains on a cumulative basis from May 31, 2010 through the end of the fiscal year, if any, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis on each investment in the Company’s portfolio, less the aggregate amount of any previously paid capital gain incentive fee. Importantly, the capital gains portion of the incentive fee is based on realized gains and realized and unrealized losses from May 31, 2010. Therefore, realized and unrealized losses incurred prior to such time will not be taken into account when calculating the capital gains portion of the incentive fee, and our Manager will be entitled to 20.0% of incentive fee capital gains that arise after May 31, 2010. In addition, for the purpose of the “incentive fee capital gains” calculations, the cost basis for computing realized gains and losses on investments held by us as of May 31, 2010 will equal the fair value of such investments as of such date.

 

For the three months ended November 30, 2022 and November 30, 2021, the Company incurred $4.3 million and $2.9 million in base management fees, respectively. For the three months ended November 30, 2022 and 2021, the Company incurred $2.3 million and $1.5 million in incentive fees related to pre-incentive fee net investment income, respectively. For the three months ended November 30, 2022 and November 30, 2021, the Company accrued a (benefit) of $(0.8) million and an expense of $0.9 million in incentive fees related to capital gains.

 

For the nine months ended November 30, 2022 and November 30, 2021, the Company incurred $12.2 million and $8.7 million in base management fees, respectively. For the nine months ended November 30, 2022 and November 30, 2021, the Company incurred $3.9 million and $4.8 million in incentive fees related to pre-incentive fee net investment income, respectively. For the nine months ended November 30, 2022 and November 30, 2021, the Company accrued a (benefit) of ($3.7) million and an expense of $4.9 million in incentive fees related to capital gains.

 

The accrual is calculated using both realized and unrealized capital gains for the period. The actual incentive fee related to capital gains will be determined and payable in arrears at the end of the fiscal year and will include only realized capital gains for the period. As of November 30, 2022, the base management fees accrual was $4.3 million and the incentive fees accrual was $5.3 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 28, 2022, the base management fees accrual was $3.2 million and the incentive fees accrual was $9.8 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities.

 

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Administration Agreement

 

On July 30, 2010, the Company entered into a separate administration agreement (the “Administration Agreement”) with our Manager, pursuant to which our Manager, as our administrator, has agreed to furnish us with the facilities and administrative services necessary to conduct our day-to-day operations and provide managerial assistance on our behalf to those portfolio companies to which we are required to provide such assistance. The initial term of the Administration Agreement was two years from its effective date, with one-year renewals thereafter subject to certain approvals by our board of directors and/or our stockholders. The amount of expenses payable or reimbursable thereunder by the Company was capped at $1.0 million for the initial two-year term of the Administration Agreement and subsequent renewals. On July 8, 2015, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company thereunder, which had not been increased since the inception of the agreement, to $1.3 million. On July 7, 2016, our board of directors approved the renewal of the Administration Agreement for an additional one-year term. On October 5, 2016, our board of directors determined to increase the cap on the payment or reimbursement of expenses by the Company under the Administration Agreement, from $1.3 million to $1.5 million, effective November 1, 2016. On July 11, 2017, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $1.5 million to $1.75 million, effective August 1, 2017. On July 9, 2018, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $1.75 million to $2.0 million, effective August 1, 2018. On July 9, 2019, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $2.0 million to $2.225 million effective August 1, 2019. On July 7, 2020, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $2.225 million to $2.775 million effective August 1, 2020. On July 6, 2021, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $2.775 million to $3.0 million effective August 1, 2021. On July 5, 2022, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $3.0 million to $3.275 million effective August 1, 2022.

 

For the three months ended November 30, 2022 and November 30, 2021, we recognized $0.8 million and $0.8 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent and other overhead related expenses. For the nine months ended November 30, 2022 and November 30, 2021, we recognized $2.3 million and $2.2 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent and other overhead related expenses. As of November 30, 2022, $0.01 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. As of February 28, 2022, $0.3 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities.

 

Saratoga CLO

 

On December 14, 2018, the Company completed the third refinancing and issuance of the 2013-1 Reset CLO Notes. This refinancing, among other things, extended the Saratoga CLO reinvestment period to January 2021, and extended its legal maturity to January 2030. A non-call period ending January 2020 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $300 million in assets to approximately $500 million. As part of this refinancing and upsizing, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $2.5 million in aggregate principal amount of the Class F-R-2 Notes tranche and $7.5 million in aggregate principal amount of the Class G-R-2 Notes tranche at par. Concurrently, the existing $4.5 million of Class F notes and $20.0 million CLO 2013-1 Warehouse Loan were repaid. The Company also paid $2.0 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. During the year ended February 29, 2020, the Company received full payment of $1.7 million from the Saratoga CLO for such transaction costs.

 

In conjunction with the third refinancing and issuance of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. See Note 4 for additional information.

 

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On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. The non-call period was extended to February 2022. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of 2.6 million was repaid in full.

 

On August 9, 2021, the Company exchanged its existing $17.9 million Class F-R-3 Notes for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, the Company sold its Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.

 

For the three months ended November 30, 2022 and November 30, 2021, we recognized management fee income of $0.8 million and $0.8 million, respectively, related to the Saratoga CLO.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recognized management fee income of $2.5 million and $2.4 million, respectively, related to the Saratoga CLO.

 

For the nine months ended November 30, 2022 and November 30, 2021, the Company neither bought nor sold any investments from the Saratoga CLO.

 

SLF JV

 

On October 26, 2021, the Company and TJHA entered into an LLC Agreement to co-manage the SLF JV. SLF JV is a joint venture that is expected to invest in the debt or equity interests of collateralized loan obligations, loan, notes and other debt instruments.

 

On October 28, 2022, SLF 2022 issued $402.1 million of the 2022 JV CLO Notes through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee.

 

As of November 30, 2022, the Company’s investment in the SLF JV had a fair value of $26.8 million, consisting of an unsecured loan of $17.6 million and membership interest of $9.2 million. In addition, the Company has no outstanding receivable balance from the SLF JV as of November 30, 2022.

 

As part of the JV CLO trust transaction, the Company purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million.

 

Note 8. Borrowings

 

Credit Facility

 

As a BDC, we are only allowed to employ leverage to the extent that our asset coverage, as defined in the 1940 Act, equals at least 200% after giving effect to such leverage, or, 150% if certain requirements under the 1940 Act are met. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, our board of directors, including a majority of our directors who are not “interested persons” (as defined in Section 2(a)(19) of the 1940 Act”) of the Company (“independent directors”), approved a minimum asset coverage ratio of 150%. The 150% asset coverage ratio became effective on April 16, 2019. The amount of leverage that we employ at any time depends on our assessment of the market and other factors at the time of any proposed borrowing. Our asset coverage ratio, as defined in the 1940 Act, was 173.2% as of November 30, 2022 and 209.3% as of February 28, 2022.

 

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On April 11, 2007, we entered into a $100.0 million revolving securitized credit facility (the “Revolving Facility”). On May 1, 2007, we entered into a $25.7 million term securitized credit facility (the “Term Facility” and, together with the Revolving Facility, the “Facilities”), which was fully drawn at closing. In December 2007, we consolidated the Facilities by using a draw under the Revolving Facility to repay the Term Facility. In response to the market wide decline in financial asset prices, which negatively affected the value of our portfolio, we terminated the revolving period of the Revolving Facility effective January 14, 2009 and commenced a two-year amortization period during which all principal proceeds from the collateral were used to repay outstanding borrowings. A significant percentage of our total assets had been pledged under the Revolving Facility to secure our obligations thereunder. Under the Revolving Facility, funds were borrowed from or through certain lenders and interest was payable monthly at the greater of the commercial paper rate and our lender’s prime rate plus 4.00% plus a default rate of 2.00% or, if the commercial paper market was unavailable, the greater of the prevailing LIBOR rates and our lender’s prime rate plus 6.00% plus a default rate of 3.00%.

 

On July 30, 2010, we used the net proceeds from (i) the stock purchase transaction and (ii) a portion of the funds available to us under the $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC (the “Madison Credit Facility”), in each case, to pay the full amount of principal and accrued interest, including default interest, outstanding under the Revolving Facility. As a result, the Revolving Facility was terminated in connection therewith. Substantially all of our total assets, other than those held by SBIC LP and SBIC II LP was pledged under the Madison Credit Facility to secure our obligations thereunder.

 

On February 24, 2012, we amended the Madison Credit Facility to, among other things:

 

  expand the borrowing capacity under the Madison Credit Facility from $40.0 million to $45.0 million;

 

  extend the period during which we may make and repay borrowings under the Madison Credit Facility from July 30, 2013 to February 24, 2015 (the “Revolving Period”). The Revolving Period may, upon the occurrence of an event of default, by action of the lenders or automatically, be terminated. All borrowings and other amounts payable under the Madison Credit Facility are due and payable five years after the end of the Revolving Period; and

 

  remove the condition that we may not acquire additional loan assets without the prior written consent of Madison Capital Funding LLC.

 

On September 17, 2014, we entered into a second amendment to the Madison Credit Facility to, among other things:

 

  extend the commitment termination date from February 24, 2015 to September 17, 2017;

 

  extend the maturity date of the Madison Credit Facility from February 24, 2020 to September 17, 2022 (unless terminated sooner upon certain events);

 

  reduce the applicable margin rate on base rate borrowings from 4.50% to 3.75%, and on LIBOR borrowings from 5.50% to 4.75%; and

 

  reduce the floor on base rate borrowings from 3.00% to 2.25%, and on LIBOR borrowings from 2.00% to 1.25%.

 

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On May 18, 2017, we entered into a third amendment to the Madison Credit Facility to, among other things:

 

  extend the commitment termination date from September 17, 2017 to September 17, 2020;

 

  extend the final maturity date of the Madison Credit Facility from September 17, 2022 to September 17, 2025 (unless terminated sooner upon certain events);

 

  reduce the floor on base rate borrowings from 2.25% to 2.00%;

 

  reduce the floor on LIBOR borrowings from 1.25% to 1.00%; and

 

  reduce the commitment fee rate from 0.75% to 0.50% for any period during which the ratio of advances outstanding to aggregate commitments, expressed as a percentage, is greater than or equal to 50%.

 

On April 24, 2020, we entered into a fourth amendment to the Madison Credit Facility to, among other things:

 

  permit certain amendments related to the Paycheck Protection Program (“Permitted PPP Amendment”) to Loan Asset Documents;

 

  exclude certain debt and interest amounts allowed by the Permitted PPP Amendments from certain calculations related to Net Leverage Ratio, Interest Coverage Ratio and EBITDA; and

 

  exclude such Permitted PPP Amendments from constituting a Material Modification.

 

On September 14, 2020, we entered into a fifth amendment to the Madison Credit Facility to, among other things:

 

  extend the commitment termination date of the Madison Credit Facility from September 17, 2020 to September 17, 2021, with no change to the maturity date of September 17, 2025.

 

  provide for the transition away from the LIBOR Rate in the market, and

 

  expand the definition of “Eligible Loan Asset” to allow investments with certain recurring revenue features to qualify as collateral and be included in the borrowing base.

 

On September 13, 2021, we entered into a sixth amendment to the Madison Credit Facility to, among other things:

 

  Extend the commitment termination date of the Madison Credit Facility from September 17, 2021 to October 1, 2021, with no change to maturity date of September 17, 2025.

 

On October 4, 2021, all outstanding amounts on the Madison Credit Facility were repaid and the Madison Credit Facility was terminated. The repayment and termination of the Madison Credit Facility resulted in a realized loss on the extinguishment of debt of $0.8 million. 

 

On October 4, 2021, the Company entered into a $50.0 million senior secured revolving credit facility with the Lender, supported by loans held by SIF II and pledged to the Encina Credit Facility. During the first two years following the closing date, SIF II may request an increase in the commitment amount to up to $75.0 million. The terms of the Encina Credit Facility require a minimum drawn amount of $12.5 million at all times during the first six months following the closing date, which increases to the greater of $25.0 million or 50% of the commitment amount in effect at any time thereafter. The term of the Encina Credit Facility is three years. Advances under the Encina Credit Facility bear interest at a floating rate per annum equal to LIBOR plus 4.0%, with LIBOR having a floor of 0.75%, with customary provisions related to the selection by the Lender and the Company of a replacement benchmark rate. The commitment termination date is October 4, 2024.

 

In addition to any fees or other amounts payable under the terms of the Encina Credit Facility, an administrative agent fee per annum equal to $0.1 million is payable in equal monthly installments in arrears.

 

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As of November 30, 2022 and February 28, 2022, there were $25.0 million and $12.5 million outstanding under the Encina Credit Facility. During the applicable periods, the Company was in compliance with all of the limitations and requirements of the Encina Credit Facility. Financing costs of $1.4 million related to the Encina Credit Facility have been capitalized and are being amortized over the term of the Encina Credit Facility.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.6 million and $0.2 million of interest expense related to the Encina Credit Facility and the Madison Credit Facility, respectively, which includes commitment and administrative agent fees. For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.1 million and $0.08 million of amortization of deferred financing costs related to the Encina Credit Facility and the Madison Credit Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022, the weighted average interest rate on the outstanding borrowings under the Encina Credit Facility was 7.19%, and the average dollar amount of outstanding borrowings under the Encina Credit Facility was $32.8 million.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $1.2 million and $0.6 million of interest expense related to the Encina Credit Facility and the Madison Credit Facility, respectively, which includes commitment and administrative agent fees. For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.3 million and $0.2 million of amortization of deferred financing costs related to the Encina Credit Facility and the Madison Credit Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022, the weighted average interest rate on the outstanding borrowings under the Encina Credit Facility was 6.16%, and the average dollar amount of outstanding borrowings under the Encina Credit Facility was $25.9 million.

 

The Encina Credit Facility contains limitations as to how borrowed funds may be used, such as restrictions on industry concentrations, asset size, weighted average life, currency denomination and collateral interests. The Encina Credit Facility also includes certain requirements relating to portfolio performance, the violation of which could result in the limit of further advances and, in some cases, result in an event of default, allowing the lenders to accelerate repayment of amounts owed thereunder. Availability on the Encina Credit Facility will be subject to a borrowing base calculation, based on, among other things, applicable advance rates (which vary from 50.0% to 75.0% of par or fair value depending on the type of loan asset) and the value of certain “eligible” loan assets included as part of the borrowing base. The Company will pay the lender a commitment fee of 0.75% per year (or 0.50% if the ratio of advances outstanding to aggregate commitments is greater than or equal to 50%) on the unused amount of the Encina Credit Facility.

 

Our borrowing base under the Encina Credit Facility was $69.8 million subject to the Encina Credit Facility cap of $50.0 million at November 30, 2022. For purposes of determining the borrowing base, most assets are assigned the values set forth in our most recent Annual Report on Form 10-K or Quarterly Report on Form 10-Q filed with the SEC. Accordingly, the November 30, 2022 borrowing base relies upon the valuations set forth in the Quarterly Report on Form 10-Q for the period ended August 31, 2022. The valuations presented in this Quarterly Report on Form 10-Q will not be incorporated into the borrowing base until after this Quarterly Report on Form 10-Q is filed with the SEC.

 

SBA Debentures

 

Our wholly owned SBIC subsidiaries are able to borrow funds from the SBA against regulatory capital (which generally approximates equity capital in respective SBIC) and is subject to customary regulatory requirements, including, but not limited to, a periodic examination by the SBA.

 

On August 14, 2019, the Company’s wholly owned subsidiary, SBIC II LP, received an SBIC license from the SBA. On September 29, 2022, the Company’s wholly owned subsidiary, SBIC III LP, also received an SBIC license from the SBA. SBIC LP’s license provided up to $150.0 million in additional long-term capital in the form of SBA debentures, while SBIC II LP’s and SBIC III LP’s SBIC licenses provide up to $175.0 million each. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital.  With the third license approval, Saratoga can continue to grow its SBA relationship from $150.0 million to $350.0 million of committed capital.

 

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As of November 30, 2022, we have funded SBIC LP, SBIC II LP and SBIC III LP with an aggregate total of equity capital of $75.0 million, $87.5 million and $2.5 million, respectively, and have $242.7 million in SBA-guaranteed debentures outstanding, of which $67.7 million was held in SBIC LP, $175.0 million was held in SBIC II LP, and $0.0 million held in SBIC III LP. SBA debentures are non-recourse to us, have a 10-year maturity, and may be prepaid at any time without penalty. The interest rate of SBA debentures is fixed at the time of issuance, often referred to as pooling, at a market-driven spread over 10-year U.S. Treasury Notes. SBA current regulations limit the amount that SBIC LP, SBIC II LP and SBIC III LP may borrow to a maximum of $150.0 million, $175.0 million, and $175.0 million, respectively, which is up to twice its potential regulatory capital. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital.

 

SBICs are designed to stimulate the flow of private equity capital to eligible small businesses. Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the equity securities of small businesses. Under present SBA regulations, eligible small businesses include businesses that have a tangible net worth not exceeding $24.0 million and have average annual fully taxed net income not exceeding $8.0 million for the two most recent fiscal years. In addition, an SBIC must devote 25.0% of its investment activity to ‘‘smaller enterprises’’ as defined by the SBA. A smaller enterprise is one that has a tangible net worth not exceeding $6.0 million and has average annual fully taxed net income not exceeding $2.0 million for the two most recent fiscal years. SBA regulations also provide alternative size standard criteria to determine eligibility, which depend on the industry in which the business is engaged and are based on such factors as the number of employees and gross sales. According to SBA regulations, SBICs may make long-term loans to small businesses, invest in the equity securities of such businesses and provide them with consulting and advisory services.

 

SBIC LP, SBIC II LP, and SBIC III LP are subject to regulation and oversight by the SBA, including requirements with respect to maintaining certain minimum financial ratios and other covenants. Receipt of an SBIC license does not assure that SBIC II LP or SBIC III LP will receive SBA-guaranteed debenture funding, which is dependent upon SBIC II LP and SBIC III LP continuing to be in compliance with SBA regulations and policies. The SBA, as a creditor, will have a superior claim to SBIC LP, SBIC II LP, and SBIC III LP assets over our stockholders and debtholders in the event we liquidate SBIC LP, SBIC II LP, and SBIC III LP or the SBA exercises its remedies under the SBA-guaranteed debentures issued by SBIC LP, SBIC II LP, and SBIC III LP upon an event of default.

 

The Company received exemptive relief from the SEC to permit it to exclude the senior securities issued by SBIC subsidiaries from the definition of senior securities in the asset coverage requirement applicable to the Company under the 1940 Act. This allows the Company increased flexibility under the asset coverage requirement by permitting it to borrow up to $325.0 million more than it would otherwise be able to absent the receipt of this exemptive relief. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, the independent directors of the Company approved of the Company becoming subject to a minimum asset coverage ratio of 150.0% from 200% under Sections 18(a)(1) and 18(a)(2) of the 1940 Act. The 150.0% asset coverage ratio became effective on April 16, 2019.

 

As noted above, as of November 30, 2022, there was $242.7 million of SBA debentures outstanding and as of February 28, 2022, there was $185.0 million of SBA debentures outstanding. The carrying amount of the amount outstanding of SBA debentures approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy. Financing costs of $5.0 million, $6.0 million and $0.3 million related to the SBA debentures issued by SBIC LP, SBIC II LP, SBIC III LP, respectively, have been capitalized and are being amortized over the term of the commitment and drawdown. 

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $1.7 million and $1.1 million of interest expense related to the SBA debentures, respectively. For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.2 million and $0.2 million of amortization of deferred financing costs related to the SBA debentures, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. The weighted average interest rate during the three months ended November 30, 2022 and November 30, 2021 on the outstanding borrowings of the SBA debentures was 2.86% and 2.44%, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of SBA debentures outstanding was $242.7 million and $176.6 million, respectively.

 

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For the nine months ended November 30, 2022 and November 30, 2021, we recorded $4.6 million and $3.4 million of interest expense related to the SBA debentures, respectively. For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.7 million and $0.5 million of amortization of deferred financing costs related to the SBA debentures, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. The weighted average interest rate during the nine months ended November 30, 2022 and November 30, 2021 on the outstanding borrowings of the SBA debentures was 2.74% and 2.66%, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of SBA debentures outstanding was $226.5 million and $172.0 million, respectively.

 

Notes

 

In May 10, 2013, the Company issued $48.3 million in aggregate principal amount of 7.50% fixed-rate notes due 2020 (the “2020 Notes”). The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the New York Stock Exchange (the “NYSE”).

 

On May 29, 2015, the Company entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. Inc. through which the Company may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an At-the-Market (“ATM”) offering. Prior to the 2020 Notes being redeemed in full, the Company had sold 539,725 2022 Notes with a principal of $13.5 million at an average price of $25.31 for aggregate net proceeds of $13.4 million (net of transaction costs).

 

On December 21, 2016, the Company issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate notes due 2023 (the “2023 Notes”) for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The net proceeds from the offering were used to repay all of the outstanding indebtedness under the 2020 Notes (as described above), and for general corporate purposes in accordance with our investment objective and strategies.

 

On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.5 million, respectively, in aggregate principal amount of the $74.5 million in aggregate principal amount of the issued and outstanding 2023 Notes. The 2023 Notes were listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per note, and have been delisted following the full redemption on February 7, 2020.

 

At February 29, 2020, the debt was extinguished. As such, it was not fair valued with market quotes and is not fair value leveled. The repayment of the 2023 Notes resulted in a realized loss on the extinguishment of debt of $1.6 million.

 

On August 28, 2018, the Company issued $40.0 million in aggregate principal amount of our 6.25% fixed-rate notes due 2025 (the “6.25% 2025 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.3 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $5.0 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

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On February 5, 2019, the Company issued an additional $20.0 million in aggregate principal amount of the 6.25% 2025 Notes for net proceeds of $19.2 million after deducting underwriting commissions of approximately $0.6 million and discount of $0.2 million. Offering costs incurred were approximately $0.2 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $2.5 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The additional 6.25% 2025 Notes were treated as a single series with the existing 6.25% 2025 Notes under the indenture and had the same terms as the existing 6.25% 2025 Notes. The net proceeds from this offering were used for general corporate purposes in accordance with our investment objective and strategies. The financing costs and discount of $1.0 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

On August 31, 2021, the Company redeemed $60.0 million in aggregate principal amount of the issued and outstanding 6.25% 2025 Notes. The 6.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAF”, and have been delisted following the full redemption on August 31, 2021.

 

At August 31, 2021, the debt was extinguished. As such, it was not fair valued with market quotes and is not fair value leveled. The repayment of the 6.25% 2025 Notes resulted in a realized loss on the extinguishment of debt of $1.5 million.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.0 million and $1.9 million, respectively, of interest expense and $0.0 million and $0.2 million, respectively, of amortization of deferred financing costs related to the 6.25% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of 6.25% 2025 Notes outstanding was $0.00 million and $39.3 million, respectively.

 

On June 24, 2020, the Company issued $37.5 million in aggregate principal amount of our 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds to the Company were $5.4 million after deducting underwriting commissions of approximately $0.2 million. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and were amortized over the term of the 7.25% 2025 Notes.

 

On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes. The 7.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAK”, and have been delisted following the full redemption on July 14, 2022.

 

On July 14, 2022, the debt was extinguished. As such, it was not fair valued with market quotes and is not fair value leveled. The repayment of the 7.25% 2025 Notes resulted in a realized loss on the extinguishment of debt of $1.2 million.

 

As of February 28, 2022, the carrying amount and fair value of the 7.25% 2025 Notes was $43.1 million and $43.9 million, respectively.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.0 million and $0.8 million, respectively, of interest expense and $0.00 million and $0.08 million, respectively, of amortization of deferred financing costs related to the 7.25% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of the 7.25% 2025 Notes outstanding was $0.0 million and $43.1 million respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $1.2 million and $2.3 million, respectively, of interest expense and $0.1 million and $0.2 million, respectively, of amortization of deferred financing costs related to the 7.25% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of the 7.25% 2025 Notes outstanding was $18.0 million and $43.1 million respectively.

 

84

 

 

On July 9, 2020, the Company issued $5.0 million in aggregate principal amount of our 7.75% fixed-rate notes due in 2025 (the “7.75% Notes 2025”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% Notes 2025 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year. The 7.75% Notes 2025 mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option, subject to a fee depending on the date of repayment. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% Notes 2025 have been capitalized and are being amortized over the term of the 7.75% Notes 2025.

 

As of November 30, 2022, the total 7.75% Notes 2025 outstanding was $5.0 million. The 7.75% Notes 2025 are not listed and have a par value of $25.00 per note. As of February 28, 2022, there was $5.0 million outstanding of the 7.75% Notes 2025. The carrying amount of the amount outstanding of 7.75% Notes 2025 approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.1 million and $0.1 million, respectively, of interest expense and $0.01 million and $0.01 million, respectively, of amortization of deferred financing costs related to the 7.75% Notes 2025. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of 7.75% Notes 2025 outstanding was $5.0 million and $5.0 million respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.3 million and $0.3 million, respectively, of interest expense and $0.04 million and $0.04 million, respectively, of amortization of deferred financing costs related to the 7.75% Notes 2025. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021 the average dollar amount of 7.75% Notes 2025 outstanding was $5.0 million and $5.0 million respectively.

 

On December 29, 2020, the Company issued $5.0 million in aggregate principal amount of our 6.25% fixed-rate notes due in 2027 (the “6.25% Notes 2027”). Offering costs incurred were approximately $0.1 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% Notes 2027 mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the 6.25% Notes 2027. The 6.25% Notes 2027 are not listed and have a par value of $25.00 per note.

 

On January 28, 2021, the Company issued $10.0 million in aggregate principal amount of our 6.25% fixed rate notes due in 2027 (the “6.25% Notes 2027”) for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million. Offering costs incurred were approximately $0.0 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% Notes 2027 mature on January 28, 2027 and commencing January 28, 2023, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the 6.25% Notes 2027.

 

As of November 30, 2022, the total 6.25% Notes 2027 outstanding was $15.0 million. The 6.25% Notes 2027 are not listed and have a par value of $25.00 per note. As of February 28, 2022, there was $15.0 million outstanding of the 6.25% Notes 2027. The carrying amount of the amount outstanding of 6.25% Notes 2027 approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy.

 

85

 

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.2 million and $0.2 million, respectively, of interest expense and $0.02 million and $0.02 million, respectively, of amortization of deferred financing costs related to the 6.25% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021 the average dollar amount of 6.25% Notes 2027 outstanding was $15.0 million and $15.0 million respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.7 million and $0.7 million, respectively, of interest expense and $0.05 million and $0.05 million, respectively, of amortization of deferred financing costs related to the 6.25% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021 the average dollar amount of 6.25% Notes 2027 outstanding was $15.0 million and $15.0 million respectively.

 

On March 10, 2021, the Company issued $50.0 million in aggregate principal amount of our 4.375% fixed-rate Notes due in 2026 (the “4.375% Notes 2026”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.2 million. Interest on the 4.375% Notes 2026 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year. The 4.375% Notes 2026 mature on February 28, 2026 and may be redeemed in whole or in part at any time on or after November 28, 2025 at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% Notes 2026 have been capitalized and are being amortized over the term of the 4.375% Notes 2026.

 

On July 15, 2021, the Company issued an additional $125.0 million in aggregate principal amount of the Company’s 4.375% Notes 2026 (the “Additional 4.375% 2026 Notes”) for net proceeds for approximately $123.5 million, based on the public offering price of 101.00% of the aggregate principal amount of the Additional 4.375% 2026 Notes, after deducting the underwriting discount of $2.5 million and the offering expenses payable by the Company. The Additional 4.375% 2026 Notes are treated as a single series with the existing 4.375% 2026 Notes under the indenture and had the same terms as the existing 4.375% 2026 Notes. The net proceeds from the offering were used to redeem all of the outstanding 6.25% 2025 Notes (as described above), and for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $2.7 million have been capitalized and are being amortized over the term of the additional 4.375% 2026 Notes.

 

As of November 30, 2022, the total 4.375% Notes 2026 outstanding was $175.0 million. The 4.375% Notes 2026 are not listed and are issued in minimum denominations of $2,000 and integral multiples of $1,000 in excess thereof. As of February 28, 2022, there was $175.0 million outstanding of the 4.375% Notes 2026. The carrying amount of the amount outstanding of 4.375% Notes 2026 approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $1.9 million and $1.9 million, respectively, of interest expense, $0.2 million and $0.1 million, respectively, of amortization of deferred financing costs and $0.07 million and $0.07 million, respectively, of amortization of premium on issuance of 4.375% Notes due 2026 (inclusive of the issuance of the Additional 4.375% 2026 Notes). Interest expense, amortization of deferred financing costs and amortization of premium on issuance of notes are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of 4.375% Notes 2026 outstanding was $175.0 million and $175.0 million, respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $5.7 million and $3.6 million, respectively, of interest expense, $0.6 million and $0.3 million, respectively, of amortization of deferred financing costs and $0.2 million and $0.09 million, respectively, of amortization of premium on issuance of 4.375% Notes due 2026 (inclusive of the issuance of the Additional 4.375% 2026 Notes). Interest expense, amortization of deferred financing costs and amortization of premium on issuance of notes are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of 4.375% Notes 2026 outstanding was $175.0 million and $115.3 million, respectively.

 

86

 

 

On January 19, 2022, the Company issued $75.0 million in aggregate principal amount of our 4.35% fixed-rate Notes due in 2027 (the “4.35% Notes 2027”) for net proceeds of $73.0 million, based on the public offering price of 99.317% of the aggregate principal amount of the 4.35% Notes 2027, after deducting the underwriting commissions of approximately $1.5 million. Offering costs incurred were approximately $0.2 million. Interest on the 4.35% Notes 2027 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.35% per year. The 4.35% Notes 2027 mature on February 28, 2027 and may be redeemed in whole or in part at the Company’s option at any time prior to November 28, 2026, at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.7 million related to the 4.35% Notes 2027 have been capitalized and are being amortized over the term of the 4.35% Notes 2027.

 

As of November 30, 2022, the total 4.35% Notes 2027 outstanding was $75.0 million. The 4.35% Notes 2027 are not listed and are issued in minimum denominations of $2,000 and integral multiples of $1,000 in excess thereof. As of February 28, 2022, there was $75.0 million outstanding. The carrying amount of the amount outstanding of 4.35% Notes 2027 approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.8 million and $0.0 million, respectively, of interest expense and $0.1 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 4.35% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of 4.35% Notes 2027 outstanding was $75.0 million and $0.0 million, respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $2.4 million and $0.0 million, respectively, of interest expense and $0.3 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 4.35% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of 4.35% Notes 2027 outstanding was $75.0 million and $0.0 million, respectively.

 

On April 27, 2022, the Company issued $87.5 million in aggregate principal amount of our 6.00% fixed-rate notes due 2027 (the “6.00% 2027 Notes”) for net proceeds of $84.8 million after deducting underwriting commissions of approximately $2.7 million. Offering costs incurred were approximately $0.1 million. On May 10, 2022, the underwriters partially exercised their option to purchase an additional $10.0 million in aggregate principal amount of the 6.00% 2027 Notes. Net proceeds to the Company were $9.7 million after deducting underwriting commissions of approximately $0.3 million. Interest on the 6.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.00% per year. The 6.00% 2027 Notes mature on April 30, 2027 and commencing April 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $3.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes. The 6.00% 2027 Notes are listed on the NYSE under the trading symbol “SAT” with a par value of $25.00 per note.

 

On August 15, 2022, the Company issued an additional $8.0 million in aggregate principal amount of the 6.00% 2027 Notes (the “Additional 6.00% 2027 Notes”) for net proceeds of $7.8 million, based on the public offering price of 97.80% of the aggregate principal amount of the 6.00% 2027 Notes. The Additional 6.00% 2027 Notes are treated as a single series with the existing 6.00% 2027 Notes under the indenture and had the same terms as the existing 6.00% 2027 Notes. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Additional offering costs incurred were approximately $0.03 million. Additional financing costs of $0.03 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes.

 

As of November 30, 2022, the carrying amount and fair value of the 6.00% 2027 Notes was $105.5 million and $97.1 million, respectively. The fair value of the 6.00% 2027 Notes, which are publicly traded, is based upon closing market quotes as of the measurement date and would be classified as a Level 1 liability within the fair value hierarchy. As of February 28, 2022, the carrying amount and fair value of the 6.00% 2027 Notes was $0.0 million and $0.0 million, respectively.

 

87

 

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $1.6 million and $0.0 million, respectively, of interest expense and $0.2 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 6.00% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of 6.00% Notes 2027 outstanding was $105.5 million and $0.0 million, respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $3.7 million and $0.0 million, respectively, of interest expense and $0.4 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 6.00% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of 6.00% Notes 2027 outstanding was $82.5 million and $0.0 million, respectively.

 

On September 8, 2022, the Company issued $12.0 million in aggregate principal amount of our 7.00% fixed-rate notes due 2025 (the “7.00% 2025 Notes”) for net proceeds of $11.6 million after deducting customary fees and offering expenses of approximately $0.4 million. Interest on the 7.00% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.00% per year. The 7.00% 2025 Notes mature on September 8, 2025 and commencing September 8, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.05 million related to the 7.00% 2025 Notes have been capitalized and are being amortized over the term of the 7.00% 2025 Notes.

 

As of November 30, 2022, the carrying amount of the 7.00% 2025 Notes was $12.0 million. As of February 28, 2022, the carrying amount of the 7.00% 2025 Notes was $0.0 million.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.2 million and $0.0 million, respectively, of interest expense and $0.03 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 7.00% Notes 2025. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of 7.00% Notes 2025 outstanding was $11.1 million and $0.0 million, respectively.

 

88

 

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.2 million and $0.0 million, respectively, of interest expense and $0.03 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 7.00% Notes 2025. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of 7.00% Notes 2025 outstanding was $3.7 million and $0.0 million, respectively.

 

On October 27, 2022, the Company issued $40.0 million in aggregate principal amount of our 8.00% fixed-rate notes due 2027 (the “8.00% 2027 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.1 million. On November 10, 2022, the underwriters partially exercised their option to purchase an additional $6.0 million in aggregate principal amount of the 8.00% 2027 Notes. Net proceeds to the Company were $5.8 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.00% per year, beginning February 28, 2023. The 8.00% 2027 Notes mature on October 31, 2027 and commencing October 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.3 million related to the 8.00% 2027 Notes have been capitalized and are being amortized over the term of the 8.00% 2027 Notes. The 8.00% 2027 Notes are listed on the NYSE under the trading symbol “SAJ” with a par value of $25.00 per note.

 

As of November 30, 2022, the carrying amount and fair value of the 8.00% 2027 Notes was $46.0 million and $46.2 million, respectively. The fair value of the 8.00% 2027 Notes, which are publicly traded, is based upon closing market quotes as of the measurement date and would be classified as a Level 1 liability within the fair value hierarchy. As of February 28, 2022, the carrying amount and fair value of the 8.00% 2027 Notes was $0.0 million and $0.0 million, respectively.

 

For the three months ended November 30, 2022 and November 30, 2021, we recorded $0.3 million and $0.0 million, respectively, of interest expense and $0.03 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 8.00% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of 8.00% Notes 2027 outstanding was $16.9 million and $0.0 million, respectively.

 

For the nine months ended November 30, 2022 and November 30, 2021, we recorded $0.3 million and $0.0 million, respectively, of interest expense and $0.03 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 8.00% Notes 2027. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of 8.00% Notes 2027 outstanding was $5.6 million and $0.0 million, respectively.

 

89

 

 

SENIOR SECURITIES

(dollar amounts in thousands, except per share data)

 

Class and Year (1)(2)  Total Amount
Outstanding
Exclusive of
Treasury
Securities(3)
   Asset
Coverage per
Unit(4)
   Involuntary
Liquidating
Preference per
Share(5)
   Average
Market
Value per
Share(6)
 
   (in thousands)
Credit Facility with Encina Lender Finance, LLC                
Fiscal year 2023 (as of November 30, 2022)  $25,000   $1,732          -    N/A 
Fiscal year 2022 (as of February 28, 2022)  $12,500   $2,093    -    N/A 
Credit Facility with Madison Capital Funding(14)                    
Fiscal year 2021 (as of February 28, 2021)  $-   $3,471    -    N/A 
Fiscal year 2020 (as of February 29, 2020)  $-   $6,071    -    N/A 
Fiscal year 2019 (as of February 28, 2019)  $-   $2,345    -    N/A 
Fiscal year 2018 (as of February 28, 2018)  $-   $2,930    -    N/A 
Fiscal year 2017 (as of February 28, 2017)  $-   $2,710    -    N/A 
Fiscal year 2016 (as of February 29, 2016)  $-   $3,025    -    N/A 
Fiscal year 2015 (as of February 28, 2015)  $9,600   $3,117    -    N/A 
Fiscal year 2014 (as of February 28, 2014)  $-   $3,348    -    N/A 
Fiscal year 2013 (as of February 28, 2013)  $24,300   $5,421    -    N/A 
Fiscal year 2012 (as of February 29, 2012)  $20,000   $5,834    -    N/A 
Fiscal year 2011 (as of February 28, 2011)  $4,500   $20,077    -    N/A 
Fiscal year 2010 (as of February 28, 2010)  $-   $-    -    N/A 
Fiscal year 2009 (as of February 28, 2009)  $-   $-    -    N/A 
Fiscal year 2008 (as of February 29, 2008)  $-   $-    -    N/A 
Fiscal year 2007 (as of February 28, 2007)  $-   $-    -    N/A 
7.50% Notes due 2020(7)                    
Fiscal year 2017 (as of February 28, 2017)  $-   $-    -    N/A 
Fiscal year 2016 (as of February 29, 2016)  $61,793   $3,025    -   $25.24(8)
Fiscal year 2015 (as of February 28, 2015)  $48,300   $3,117    -   $ 25.46(8)
Fiscal year 2014 (as of February 28, 2014)  $48,300   $3,348    -   $25.18(8)
Fiscal year 2013 (as of February 28, 2013)  $-   $-    -    N/A 
Fiscal year 2012 (as of February 29, 2012)  $-   $-    -    N/A 
Fiscal year 2011 (as of February 28, 2011)  $-   $-    -    N/A 
Fiscal year 2010 (as of February 28, 2010)  $-   $-    -    N/A 
Fiscal year 2009 (as of February 28, 2009)  $-   $-    -    N/A 
Fiscal year 2008 (as of February 29, 2008)  $-   $-    -    N/A 
Fiscal year 2007 (as of February 28, 2007)  $-   $-    -    N/A 
6.75% Notes due 2023(9)                    
Fiscal year 2020 (as of February 29, 2020)  $-   $-    -    N/A 
Fiscal year 2019 (as of February 28, 2019)  $74,451   $2,345    -   $ 25.74(10)
Fiscal year 2018 (as of February 28, 2018)  $74,451   $2,930    -   $26.05(10)
Fiscal year 2017 (as of February 28, 2017)  $74,451   $2,710    -   $ 25.89(10)
6.25% Notes due 2025(13)                    
Fiscal year 2022 (as of February 28, 2022)   -    -    -    N/A 
Fiscal year 2021 (as of February 28, 2021)  $60,000   $3,471    -   $ 24.24(11)
Fiscal year 2020 (as of February 29, 2020)  $60,000   $6,071    -   $ 25.75(11)
Fiscal year 2019 (as of February 28, 2019)  $60,000   $2,345    -   $ 24.97(11)
7.00% Notes due 2025                    
Fiscal year 2023 (as of November 30, 2022)  $12,000   $1,732        $25.00(12)
7.25% Notes due 2025(16)                    
Fiscal year 2023 (as of November 30, 2022)  $-   $-    -    N/A 
Fiscal year 2022 (as of February 28, 2022)  $43,125   $2,093    -   $ 25.46(11)
Fiscal year 2021 (as of February 28, 2021)  $43,125   $3,471    -   $25.77(11)
7.75% Notes due 2025                    
Fiscal year 2023 (as of November 30, 2022)  $5,000   $1,732    -   $ 25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $5,000   $2,093    -   $ 25.00(12)
Fiscal year 2021 (as of February 28, 2021)  $5,000   $3,471    -   $ 25.00(12)
4.375% Notes due 2026                    
Fiscal year 2023 (as of November 30, 2022)  $175,000   $1,732    -   $ 25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $175,000   $2,093    -   $ 25.00(12)
4.35% Notes due 2027                    
Fiscal year 2023 (as of November 30, 2022)  $75,000   $1,732    -   $ 25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $75,000   $2,093    -   $ 25.00(12)
6.25% Notes due 2027                    
Fiscal year 2023 (as of November 30, 2022)  $15,000   $1,732    -   $ 25.00(12)
Fiscal year 2022 (as of February 28, 2022)  $15,000   $2,093    -   $ 25.00(12)
Fiscal year 2021 (as of February 28, 2021)  $15,000   $3,471    -   $ 25.00(12)
6.00% Notes due 2027(17)                    
Fiscal year 2023 (as of November 30, 2022)  $105,500   $1,732        $ 24.20(15)
8.00% Notes due 2027(17)                    
Fiscal year 2023 (as of November 30, 2022)  $46,000   $1,732        $24.94(17)

 

 

(1)We have excluded our SBA-guaranteed debentures from this table because the SEC has granted us exemptive relief that permits us to exclude such debentures from the definition of senior securities in the 150% asset coverage ratio we are required to maintain under the 1940 Act.

 

90

 

 

(2)This table does not include the senior securities of our predecessor entity, GSC Investment Corp., relating to a revolving securitized credit facility with Deutsche Bank, in light of the fact that the Company was under different management during the time that such credit facility was outstanding.

 

(3)Total amount of senior securities outstanding at the end of the period presented.

 

(4)Asset coverage per unit is the ratio of our total assets, less all liabilities and indebtedness not represented by senior securities, to the aggregate amount of senior securities representing indebtedness. Asset coverage per unit is expressed in terms of dollar amounts per $1,000 of indebtedness, calculated on a total basis.

 

(5)The amount to which such class of senior security would be entitled upon the involuntary liquidation of the issuer in preference to any security junior to it. The “—” indicates information which the Securities and Exchange Commission expressly does not require to be disclosed for certain types of senior securities.

 

(6)Not applicable for credit facility because not registered for public trading.

 

(7)On January 13, 2017, the Company redeemed in full its 2020 Notes. The Company used a portion of the net proceeds from the 2023 Notes offering, which was completed in December 2016, to redeem the 2020 Notes in full.

 

(8)Based on the average daily trading price of the 2020 Notes on the NYSE.

 

(9)On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.45 million, respectively, in aggregate principal amount of the $74.45 million in aggregate principal amount of issued and outstanding 2023 Notes.

 

(10)Based on the average daily trading price of the 2023 Notes on the NYSE.

 

(11)Based on the average daily trading price of the 2025 Notes on the NYSE.

 

(12)The carrying value of this unlisted security approximates its fair value, based on a waterfall analysis showing adequate collateral coverage.

 

(13)On August 31, 2021, the Company redeemed $60.0 million in aggregate principal amount of the issued and outstanding 6.25% 2025 Notes. The Company used a portion of the net proceeds from the 4.375% 2026 Notes offering, which was completed in July 2021, to redeem the 6.25% 2025 Notes in full.

 

(14)On October 4, 2021, the Company repaid all remaining amounts outstanding under the Madison Credit Facility and the credit agreement relating to the Madison Credit Facility was terminated.

 

(15)Based on the average daily trading price of the 2027 Notes on the NYSE.

 

(16)On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes.

 

(17)Based on the average daily trading price of the 2027 Notes on the NYSE.

 

Note 9. Commitments and Contingencies

 

Contractual Obligations

 

The following table shows our payment obligations for repayment of debt and other contractual obligations at November 30, 2022:

 

       Payment Due by Period 
Long-Term Debt Obligations  Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 
Revolving credit facility  $25,000   $
                -
   $25,000   $
-
   $
-
 
SBA debentures   242,660    
-
    15,000    52,660    175,000 
7.00% 2025 Notes   12,000    
-
    12,000    
-
    
-
 
7.75% 2025 Notes   5,000    
-
    5,000    
-
    
-
 
4.375% 2026 Notes   175,000    
-
    
-
    175,000    
-
 
4.35% 2027 Notes   75,000    
-
    
-
    75,000    
-
 
6.25% 2027 Notes   15,000    
-
    
-
    
-
    15,000 
6.00% 2027 Notes   105,500    
-
    
-
    105,500    
-
 
8.00% 2027 Notes   46,000    
-
    
-
    46,000    
-
 
Total Long-Term Debt Obligations  $701,160   $
-
   $57,000   $454,160   $190,000 

 

91

 

 

Off-Balance Sheet Arrangements

 

As of November 30, 2022 and February 28, 2022, the Company’s off-balance sheet arrangements consisted of $77.5 million and $88.4 million, respectively, of unfunded commitments outstanding to provide debt financing to its portfolio companies or to fund limited partnership interests. Such commitments are generally up to the Company’s discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Company’s consolidated statements of assets and liabilities and are not reflected in the Company’s consolidated statements of assets and liabilities.

 

A summary of the unfunded commitments outstanding as of November 30, 2022 and February 28, 2022 is shown in the table below (dollars in thousands):

 

    November 30,
2022
    February 28,
2022
 
At Company’s discretion            
ActiveProspect, Inc.   $ 10,000     $ -  
Artemis Wax Corp.     8,500       3,700  
Ascend Software, LLC     5,000       5,000  
Axero Holdings, LLC     -       3,000  
Davisware, LLC     2,000       2,000  
Granite Comfort, LP     5,000       -  
JDXpert     5,000       -  
LFR Chicken LLC     4,000       10,000  
Netreo Holdings, LLC     2,350       4,000  
Pepper Palace, Inc.     3,000       3,000  
Procurement Partners, LLC     -       2,800  
Saratoga Senior Loan Fund I JV, LLC     8,548       17,500  
Sceptre Hospitality Resources, LLC     5,000       1,000  
Book4Time, Inc.     -       2,000  
Total   $ 58,398     $ 54,000  
At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required          
Ascend Software, LLC   $ 4,200     $ 6,500  
ARC Health OpCo LLC     773       -  
Axero Holdings, LLC     -       2,000  
Axero Holdings, LLC - Revolver     500       500  
Davisware, LLC     -       1,000  
Exigo, LLC - Delayed Draw Term Loan     4,167       -  
Exigo, LLC - Revolver     833       -  
GDS Software Holdings, LLC     -       2,786  
Granite Comfort, LP     500       -  
GoReact     500       2,500  
JDXpert     1,000       -  
Madison Logic, Inc. - Revolver     1,084       1,084  
New England Dental Partners     -       4,500  
Pepper Palace, Inc.– Delayed Draw Term Loan     2,000       2,000  
Pepper Palace, Inc. - Revolver     2,500       2,500  
Zollege PBC     1,000       1,000  
LFR Chicken LLC     -       3,000  
      19,057       29,370  
Total   $ 77,455     $ 83,370  

 

The Company believes its assets will provide adequate coverage to satisfy these unfunded commitments. As of November 30, 2022, the Company had cash and cash equivalents of $47.0 million and $25.0 million in available borrowings under the Encina Credit Facility.

 

Note 10. Directors Fees

 

The independent directors each receive an annual fee of $70,000. They also receive $3,000 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each board meeting and receive $1,500 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each committee meeting. In addition, the chairman of the Audit Committee receives an annual fee of $12,500 and the chairman of each other committee receives an annual fee of $6,000 for their additional services in these capacities. In addition, we have purchased directors’ and officers’ liability insurance on behalf of our directors and officers. Independent directors have the option to receive their directors’ fees in the form of our common stock issued at a price per share equal to the greater of NAV or the market price at the time of payment. No compensation is paid to directors who are “interested persons” of the Company (as defined in Section 2(a)(19) of the 1940 Act). For the three months ended November 30, 2022 and November 30, 2021, we incurred $0.1 million and $0.07 million for directors’ fees and expenses, respectively. For the nine months ended November 30, 2022 and November 30, 2021, we incurred $0.3 million and $0.3 million for directors’ fees and expenses, respectively. As of November 30, 2022 and February 28, 2022, $0.1 million and $0.07 million in directors’ fees and expenses were accrued and unpaid, respectively. As of November 30, 2022, we had not issued any common stock to our directors as compensation for their services.

 

92

 

 

Note 11. Stockholders’ Equity

 

On May 16, 2006, GSC Group, Inc. capitalized the LLC, by contributing $1,000 in exchange for 67 shares, constituting all of the issued and outstanding shares of the LLC.

 

On March 20, 2007, the Company issued 95,995.5 and 8,136.2 shares of common stock, priced at $150.00 per share, to GSC Group and certain individual employees of GSC Group, respectively, in exchange for the general partnership interest and a limited partnership interest in GSC Partners CDO III GP, LP, collectively valued at $15.6 million. At this time, the 6.7 shares owned by GSC Group in the LLC were exchanged for 6.7 shares of the Company.

 

On March 28, 2007, the Company completed its IPO of 725,000 shares of common stock, priced at $150.00 per share, before underwriting discounts and commissions. Total proceeds received from the IPO, net of $7.1 million in underwriter’s discount and commissions, and $1.0 million in offering costs, were $100.7 million.

 

On July 30, 2010, our Manager and its affiliates purchased 986,842 shares of common stock at $15.20 per share. Total proceeds received from this sale were $15.0 million.

 

On August 12, 2010, we effected a one-for-ten reverse stock split of our outstanding common stock. As a result of the reverse stock split, every ten shares of our common stock were converted into one share of our common stock. Any fractional shares received as a result of the reverse stock split were redeemed for cash. The total cash payment in lieu of shares was $230. Immediately after the reverse stock split, we had 2,680,842 shares of our common stock outstanding.

 

On September 24, 2014, the Company announced the approval of an open market share repurchase plan that allowed it to repurchase up to 200,000 shares of its common stock at prices below its NAV as reported in its then most recently published consolidated financial statements (the “Share Repurchase Plan”). On October 7, 2015, our board of directors extended the Share Repurchase Plan for another year and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 400,000 shares of its common stock. On October 5, 2016, our board of directors extended the Share Repurchase Plan for another year to October 15, 2017 and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of its common stock. On October 10, 2017, January 8, 2019 and January 7, 2020, our board of directors extended the Share Repurchase Plan for another year to October 15, 2018, January 15, 2020 and January 15, 2021, respectively, each time leaving the number of shares unchanged at 600,000 shares of its common stock. On May 4, 2020, our board of directors increased the Share Repurchase Plan to 1.3 million shares of common stock. On January 5, 2021, our board of directors extended the Share Repurchase Plan for another year to January 15, 2022, leaving the number of shares unchanged at 1.3 million shares of common stock. On January 4, 2022, our board of directors extended the Shares Repurchase Plan for another year to January 15, 2023, leaving the number of shares unchanged at 1.3 million shares of common stock. As of November 30, 2022, the Company purchased 898,033 shares of common stock, at the average price of $21.65 for approximately $19.5 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2022 the Company purchased 94,071 shares of common stock, at the average price of $23.17 for approximately $2.1 million pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2022 the Company purchased 389,598 shares of common stock, at the average price of $24.64 for approximately $9.6 million pursuant to the Share Repurchase Plan.

 

On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. Subsequent to this, BB&T Capital Markets and B. Riley FBR, Inc. were also added to the agreement. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. This agreement was terminated as of July 29, 2021, and as of that date, the Company had sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs).

 

On July 13, 2018, the Company issued 1,150,000 shares of its common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. The Company also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of its common stock, which was not exercised. 

 

On July 30, 2021, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc. and Compass Point Research and Trading, LLC (collectively the “Agents”), through which we may offer for sale, from time to time, up to $150.0 million of our common stock through the Agents, or to them, as principal for their account. As of November 30, 2022, the Company sold 4,840,361 shares for gross proceeds of $124.0 million at an average price of $25.61 for aggregate net proceeds of $122.4 million (net of transaction costs). During the three and nine months ended November 30, 2022, there were no shares sold pursuant to the equity distribution agreement with the Agents.

 

93

 

 

The Company adopted Rule 3-04/Rule 8-03(a)(5) under Regulation S-X (Note 2). Pursuant to Regulation S-X, the Company has presented a reconciliation of the changes in each significant caption of stockholders’ equity as shown in the tables below:

 

   Common Stock   Capital
in Excess
   Total
Distributable
     
   Shares   Amount   of Par Value   Earnings (Loss)   Net Assets 
Balance at February 28, 2021   11,161,416   $11,161   $304,874,957   $(700,348)  $304,185,770 
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    2,555,935    2,555,935 
Net realized gain (loss) from investments   -    
-
    
-
    1,910,141    1,910,141 
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    16,812,577    16,812,577 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (230,144)   (230,144)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (4,799,405)   (4,799,405)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    
-
    
-
    
-
    
-
 
Stock dividend distribution   38,580    39    914,063    
-
    914,102 
Repurchases of common stock   (40,000)   (40)   (1,003,380)   
-
    (1,003,420)
Repurchase fees   -    
-
    (800)   
-
    (800)
Offering costs   -    
-
    
-
    
-
    
-
 
Balance at May 31, 2021   11,159,995   $11,160   $304,784,840   $15,548,756   $320,344,756 
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    6,393,261    6,393,261 
Net realized gain (loss) from investments   -    
-
    
-
    1,501,597    1,501,597 
Income tax (provision) benefit from realized gain on investments   -    
-
    
-
    (448,883)   (448,883)
Realized losses on extinguishment of debt                  (1,552,140)   (1,552,140)
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    3,376,540    3,376,540 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    (1,328,711)   (1,328,711)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (4,910,394)   (4,910,394)
Capital Share Transactions:                         
Proceeds from issuance of common stock   5,441    6    157,034    
-
    157,040 
Stock dividend distribution   33,099    33    828,479    
-
    828,512 
Repurchases of common stock   (9,623)   (10)   (248,713)   
-
    (248,723)
Repurchase fees   -    
-
    (192)   
-
    (192)
Offering costs   -    
-
    (817)   
-
    (817)
Balance at August 31, 2021   11,188,912   $11,189   $305,520,631   $18,580,025   $324,111,845 
Increase (Decrease) from Operations:                         
Net investment income   -    
-
    
-
    5,196,635    5,196,635 
Net realized gain (loss) from investments   -    
-
    
-
    9,916,925    9,916,925 
Income tax (provision) benefit from realized gain on investments   -    
-
    
-
    (2,447,173)   (2,447,173)
Realized losses on extinguishment of debt                  (764,123)   (764,123)
Net change in unrealized appreciation (depreciation) on investments   -    
-
    
-
    (6,042,616)   (6,042,616)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    
-
    
-
    2,480,465    2,480,465 
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    
-
    
-
    (5,889,329)   (5,889,329)
Capital Share Transactions:                         
Proceeds from issuance of common stock   520,076    520    15,163,259    
-
    15,163,779 
Stock dividend distribution   38,016    38    1,017,625    
-
    1,017,663 
Repurchases of common stock   -    
-
    
-
    
-
    
-
 
Repurchase fees   -    
-
    
-
    
-
    
-
 
Offering costs   -    
-
    (142,326)   
-
    (142,326)
Balance at November 30, 2021   11,747,004   $11,747   $321,559,189   $21,030,809   $342,601,745 

 

94

 

 

   Common Stock   Capital
in Excess
   Total
Distributable
     
   Shares   Amount   of Par Value   Earnings (Loss)   Net Assets 
Increase (Decrease) from Operations:                    
Net investment income   -    -    -    5,796,910    5,796,910 
Net realized gain (loss) from investments   -    -    -    69,664    69,664 
Income tax (provision) benefit from realized gain on investments   -    -    -    9,612    9,612 
Realized losses on extinguishment of debt                  (118,147)   (118,147)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    2,873,561    2,873,561 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (226,702)   (226,702)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (6,434,106)   (6,434,106)
Capital Share Transactions:                         
Proceeds from issuance of common stock   392,826    392    11,513,992    -    11,514,383 
Stock dividend distribution   41,520    42    1,114,886    -    1,114,929 
Repurchases of common stock   (50,000)   (50)   (1,292,843)   -    (1,292,893)
Repurchase fees             (1,000)   -    (1,000)
Offering costs             (127,433)   -    (127,433)
Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles   -    -    (4,704,545)   4,704,545    - 
Balance at February 28, 2022   12,131,350   $12,131   $328,062,246   $27,706,146   $355,780,523 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    7,976,222    7,976,222 
Net realized gain (loss) from investments   -    -    -    162,509    162,509 
Income tax (provision) benefit from realized gain on investments   -    -    -    69,250    69,250 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (9,333,449)   (9,333,449)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (361,951)   (361,951)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (6,428,817)   (6,428,817)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   42,825    43    1,108,637    -    1,108,680 
Repurchases of common stock   (142,177)   (142)   (3,734,174)   -    (3,734,316)
Repurchase fees   -    -    (2,840)   -    (2,840)
Offering costs   -    -    -    -    - 
Balance at May 31, 2022   12,031,998   $12,032   $325,433,869   $19,789,910   $345,235,811 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    7,698,014    7,698,014 
Net realized gain (loss) from investments   -    -    -    7,943,838    7,943,838 
Realized losses on extinguishment of debt   -    -    -    (1,204,809)   (1,204,809)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (13,258,456)   (13,258,456)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (230,154)   (230,154)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (6,369,981)   (6,369,981)
Capital Share Transactions:                         
Stock dividend distribution   48,590    49    1,088,139    -    1,088,188 
Repurchases of common stock   (153,350)   (154)   (3,685,951)   -    (3,686,105)
Repurchase fees   -    -    (3,071)   -    (3,071)
Balance at August 31, 2022   11,927,238   $11,927   $322,832,986   $14,368,362   $337,213,275 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    9,877,437    9,887,437 
Net realized gain (loss) from investments   -    -    -    (740,434)   (740,434)
Income tax (provision) benefit from realized gain on investments   -    -    -    479,318    479,318 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (3,176,208)   (3,176,208)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (425,848)   (425,848)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (6,433,298)   (6,433,298)
Capital Share Transactions:                         
Stock dividend distribution   52,312    53    1,150,881    -    1,150,934 
Repurchases of common stock   (94,071)   (95)   (2,179,600)   -    (2,179,695)
Repurchase fees   -    -    (1,881)   -    (1,881)
Balance at November 30, 2022   11,885,479   $11,885   $321,802,386   $13,949,329   $335,763,600 

 

95

 

 

The Company adopted Rule 3-04/Rule 8-03(a)(5) under Regulation S-X (Note 2).  Pursuant to Regulation S-X, the Company has presented a reconciliation of the changes in each significant caption of stockholders’ equity as shown in the tables below:

 

   Common Stock   Capital
in Excess
   Total
Distributable
     
   Shares   Amount   of Par Value   Earnings (Loss)   Net Assets 
Balance at February 29, 2020   11,217,545   $11,218   $289,476,991   $14,798,644   $304,286,853 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    9,018,314    9,018,314 
Net realized gain (loss) from investments   -    -    -    8,480    8,480 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (31,950,369)   (31,950,369)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    267,740    267,740 
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    -    - 
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   -    -    -    -    - 
Repurchases of common stock   -    -    -    -    - 
Offering costs   -    -    -    -    - 
Balance at May 31, 2020   11,217,545   $11,218   $289,476,991   $(7,857,191)  $281,631,018 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    5,334,713    5,334,713 
Net realized gain (loss) from investments   -    -    -    11,929    11,929 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    16,580,401    16,580,401 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (116,521)   (116,521)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (4,487,015)   (4,487,015)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   47,098    46    774,944    -    774,990 
Repurchases of common stock   (90,321)   (90)   (1,550,327)   -    (1,550,417)
Repurchase fees   -    -    (1,740)   -    (1,740)
Offering costs   -    -    -    -    - 
Balance at August 31, 2020   11,174,322   $11,174   $288,699,868   $9,466,316   $298,177,358 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    4,471,102    4,471,102 
Net realized gain (loss) from investments   -    -    -    1,798    1,798 
Income tax (provision) benefit from realized gain on investments                  (3,895,354)   (3,895,354)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    5,998,830    5,998,830 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (210,057)   (210,057)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (4,581,469)   (4,581,469)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   45,706    46    805,883    -    805,929 
Repurchases of common stock   (50,000)   (50)   (914,194)   -    (914,244)
Repurchase fees   -    -    (1,003)   -    (1,003)
Offering costs   -    -    -    -    - 
Balance at November 30, 2020   11,170,028   $11,170   $288,590,554   $11,251,166   $299,852,890 

 

96

 

 

    

Common Stock

 

 

 Capital
in Excess
    

Total
Distributable

      
    

Shares

    Amount    of Par Value    

Earnings (Loss)

    

Net Assets

 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    4,288,996    4,288,996 
Net realized gain (loss) from investments   -    -    -    (8,726,013)   (8,726,013)
Income tax (provision) benefit from realized gain on investments   -    -    -    -    - 
Realized losses on extinguishment of debt                  (128,617)   (128,617)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    14,337,460    14,337,460 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (515,796)   (515,796)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (4,678,514)   (4,678,514)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   41,388    41    900,124    -    900,165 
Repurchases of common stock   (50,000)   (50)   (1,143,748)   -    (1,143,798)
Repurchase fees   -    -    (1,003)   -    (1,003)
Offering costs   -    -    -    -    - 
Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles   -    -    16,529,030    (16,529,030)   - 
Balance at February 28, 2021   11,161,416   $11,161   $304,874,957   $(700,348)  $304,185,770 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    2,555,935    2,555,935 
Net realized gain (loss) from investments   -    -    -    1,910,141    1,910,141 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    16,812,577    16,812,577 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (230,144)   (230,144)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (4,799,405)   (4,799,405)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   38,580    39    914,063    -    914,102 
Repurchases of common stock   (40,000)   (40)   (1,003,380)   -    (1,003,420)
Repurchase fees   -    -    (800)   -    (800)
Offering costs   -    -    -    -    - 
Balance at May 31, 2021   11,159,995   $11,160   $304,784,840   $15,548,756   $320,344,756 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    6,393,261    6,393,261 
Net realized gain (loss) from investments   -    -    -    1,501,597    1,501,597 
Income tax (provision) benefit from realized gain on investments   -    -    -    (448,883)   (448,883)
Realized losses on extinguishment of debt                  (1,552,140)   (1,552,140)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    3,376,540    3,376,540 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (1,328,711)   (1,328,711)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (4,910,394)   (4,910,394)
Capital Share Transactions:                         
Proceeds from issuance of common stock   5,441    6    157,034    -    157,040 
Stock dividend distribution   33,099    33    828,479    -    828,512 
Repurchases of common stock   (9,623)   (10)   (248,713)   -    (248,723)
Repurchase fees   -    -    (192)   -    (192)
Offering costs   -    -    (817)   -    (817)
Balance at August 31, 2021   11,188,912   $11,189   $305,520,631   $18,580,025   $324,111,845 

  

97

 

 

    

Common Stock

 

 

 

Capital
in Excess

 
   

Total
Distributable

      
    

Shares

    

Amount

    

of Par Value

    

Earnings (Loss)

    

Net Assets

 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    5,196,635    5,196,635 
Net realized gain (loss) from investments   -    -    -    9,916,925    9,916,925 
Income tax (provision) benefit from realized gain on investments   -    -    -    (2,447,173)   (2,447,173)
Realized losses on extinguishment of debt                  (764,123)   (764,123)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (6,042,616)   (6,042,616)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    2,480,465    2,480,465 
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (5,889,329)   (5,889,329)
Capital Share Transactions:                         
Proceeds from issuance of common stock   520,076    520    15,163,259    -    15,163,779 
Stock dividend distribution   38,016    38    1,017,625    -    1,017,663 
Repurchases of common stock   -    -    -    -    - 
Repurchase fees        -    -    -    - 
Offering costs   -    -    (142,326)   -    (142,326)
Balance at November 30, 2021   11,747,004   $11,747   $321,559,189   $21,030,809   $342,601,745 
Increase (Decrease) from Operations:                         
Net investment income                  5,796,910    5,796,910 
Net realized gain (loss) from investments                  69,664    69,664 
Income tax (provision) benefit from realized gain on investments                  9,612    9,612 
Realized losses on extinguishment of debt                  (118,147)   (118,147)
Net change in unrealized appreciation (depreciation) on investments                  2,873,561    2,873,561 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments                  (226,702)   (226,702)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net                  (6,434,106)   (6,434,106)
Capital Share Transactions:                         
Proceeds from issuance of common stock   392,826    392    11,513,992         11,514,383 
Stock dividend distribution   41,520    42    1,114,886         1,114,929 
Repurchases of common stock   (50,000)   (50)   (1,292,843)        (1,292,893)
Repurchase fees             (1,000)        (1,000)
Offering costs             (127,433)        (127,433)
Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles             (4,704,545)   4,704,545      
Balance at February 28, 2022   12,131,350   $12,131   $328,062,246   $27,706,146   $355,780,523 

 

98

 

 

   For the Year Ended February 28, 2019 
   Common Stock   Capital
in Excess
   Total
Distributable
     
   Shares   Amount   of Par Value   Earnings (Loss)   Net Assets 
Balance at February 28, 2018   6,257,029   $6,257   $188,975,590   $(45,290,480)  $143,691,367 
Cumulative effect of the adoption of ASC 606 (Note 2)   -    -    -    (65,300)   (65,300)
Balance at March 1, 2018   6,257,029    6,257    188,975,590    (45,355,780)   143,626,067 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    3,927,648    3,927,648 
Net realized gain (loss) from investments   -    -    -    212,008    212,008 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    643,205    643,205 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (940,546)   (940,546)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (3,128,513)   (3,128,513)
Capital Share Transactions:                         
Proceeds from issuance of common stock   -    -    -    -    - 
Stock dividend distribution   25,355    25    504,853    -    504,878 
Repurchases of common stock   -    -    -    -    - 
Offering costs   -    -    -    -    - 
Balance at May 31, 2018   6,282,384    6,282    189,480,443    (44,641,978)   144,844,747 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    5,144,228    5,144,228 
Net realized gain (loss) from investments   -    -    -    163    163 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (2,154,521)   (2,154,521)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    152,546    152,546 
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (3,204,014)   (3,204,014)
Capital Share Transactions:                         
Proceeds from issuance of common stock   1,150,000    1,150    28,748,850    -    28,750,000 
Stock dividend distribution   21,563    22    511,523    -    511,545 
Repurchases of common stock   -    -    -    -    - 
Offering costs   -    -    (1,386,667)   -    (1,386,667)
Balance at August 31, 2018   7,453,947    7,454    217,354,149    (44,703,576)   172,658,027 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    5,138,941    5,138,941 
Net realized gain (loss) from investments   -    -    -    (67,164)   (67,164)
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (1,031,113)   (1,031,113)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (371,581)   (371,581)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (3,876,050)   (3,876,050)
Capital Share Transactions:                         
Proceeds from issuance of common stock   10,373    10    241,228    -    241,238 
Stock dividend distribution   25,863    26    578,057    -    578,083 
Repurchases of common stock   -    -    -    -    - 
Offering costs   -    -    (1,290)   -    (1,290)
Balance at November 30, 2018   7,490,183    7,490    218,172,144    (44,910,543)   173,269,091 
Increase (Decrease) from Operations:                         
Net investment income   -    -    -    4,091,392    4,091,392 
Net realized gain (loss) from investments   -    -    -    4,729,298    4,729,298 
Net change in unrealized appreciation (depreciation) on investments   -    -    -    (357,880)   (357,880)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   -    -    -    (607,254)   (607,254)
Decrease from Shareholder Distributions:                         
Distributions of investment income – net   -    -    -    (3,980,011)   (3,980,011)
Capital Share Transactions:                         
Proceeds from issuance of common stock   136,176    136    3,158,783    -    3,158,919 
Stock dividend distribution   30,797    31    581,356    -    581,387 
Repurchases of common stock   -    -    -    -    - 
Offering costs   -    -    (9,755)   -    (9,755)
Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles   -    -    (18,349,728)   18,349,728    - 
Balance at February 28, 2019   7,657,156   $7,657   $203,552,800   $(22,685,270)  $180,875,187 

99

 

 

Note 12. Earnings Per Share

 

In accordance with the provisions of FASB ASC Topic 260, Earnings per Share (“ASC 260”), basic earnings per share is computed by dividing earnings available to common shareholders by the weighted average number of shares outstanding during the period. Other potentially dilutive common shares, and the related impact to earnings, are considered when calculating earnings per share on a diluted basis.

 

The following information sets forth the computation of the weighted average basic and diluted net increase (decrease) in net assets resulting from operations per share for the three and nine months ended November 30, 2022 and November 30, 2021 (dollars in thousands except share and per share amounts):

 

   For the three months ended   For the nine months ended 
Basic and Diluted  November 30,
2022
   November 30,
2021
   November 30,
2022
   November 30,
2021
 
Net increase (decrease) in net assets resulting from operations  $6,014   $8,340   $5,475   $37,330 
Weighted average common shares outstanding   11,893,173    11,450,861    11,989,811    11,312,991 
Weighted average earnings (loss) per common share  $0.51   $0.73   $0.46   $3.30 

 

Note 13. Dividend

 

On November 15, 2022, the Company declared a dividend of $0.68 per share payable on January 4, 2023, to common stockholders of record on December 15, 2022. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $6.8 million in cash and 53,615 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $24.26 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21, 22, 23, 27, 28, 29 and 30, 2022 and January 3 and 4, 2023.

 

On August 29, 2022, the Company declared a dividend of $0.54 per share payable on September 29, 2022, to common stockholders of record on September 14, 2022. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 52,313 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.00 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 16, 19, 20, 21, 22, 23, 26, 27, 28 and 29, 2022.

 

The following table summarizes dividends declared for the nine months ended November 30, 2022 (dollars in thousands except per share amounts):

 

Date Declared   Record Date   Payment Date   Amount
Per Share
    Total Amount*  
November 15, 2022   December 15, 2022   January 4, 2023   $ 0.68     $ 8,081  
August 29, 2022   September 14, 2022   September 29, 2022     0.54       6,433  
May 26, 2022   June 14, 2022   June 29, 2022     0.53       6,370  
Total dividends declared           $ 1.75     $ 20,884  

 

*Total amount is calculated based on the number of shares outstanding at the date of record.

 

The following table summarizes dividends declared for the nine months ended November 30, 2021 (dollars in thousands except per share amounts):

 

Date Declared  Record Date  Payment Date  Amount
Per Share
   Total Amount* 
November 30, 2021  January 4, 2022  January 19, 2022  $0.53   $6,434 
August 26, 2021  September 14, 2021  September 28, 2021   0.52    5,889 
May 27, 2021  June 15, 2021  June 29, 2021   0.44    4,910 
March 22, 2021  April 8, 2021  April 22, 2021   0.43    4,799 
Total dividends declared        $1.92   $22,032 

 

*Total amount is calculated based on the number of shares outstanding at the date of record.

 

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Note 14. Financial Highlights

 

The following is a schedule of financial highlights as of and for the nine months ended November 30, 2022 and November 30, 2021:

 

Per share data  November 30,
2022
   November 30,
2021
 
Net asset value at beginning of period  $29.33   $27.25 
Net investment income(1)   2.13    1.25 
Net realized and unrealized gain and losses on investments(1)   (1.57)   2.25 
Realized losses on extinguishment of debt   (0.10)   (0.20)
Net increase in net assets resulting from operations   0.46    3.30 
Distributions declared from net investment income   (1.60)   (1.39)
Total distributions to stockholders   (1.60)   (1.39)
Issuance of common stock above net asset value (2)   
-
    
-
 
Repurchases of common stock(3)   0.15    0.01 
Dilution(4)   (0.09)   
-
 
Net asset value at end of period  $28.25   $29.17 
Net assets at end of period  $335,763,600   $342,601,745 
Shares outstanding at end of period   11,885,479    11,747,004 
Per share market value at end of period  $26.37   $28.90 
Total return based on market value(5)(6)   2.74%   32.25%
Total return based on net asset value(5)(7)   2.98%   13.03%
Ratio/Supplemental data:          
Ratio of net investment income to average net assets(8)   9.90%   6.80%
Expenses:          
Ratios of operating expenses and income taxes to average net assets*(9)   7.02%   6.19%
Ratio of incentive management fees to average net assets(5)   0.06%   3.00%
Ratio of interest and debt financing expenses to average net assets(9)   8.97%   5.90%
Ratio of total expenses and income taxes to average net assets*(8)   16.05%   15.09%
Portfolio turnover rate(5)(10)   17.77%   33.79%
Asset coverage ratio per unit(11)   1,732    2,367 
Average market value per unit          
Revolving Credit Facility(12)    N/A     N/A 
SBA Debentures Payable(12)    N/A     N/A 
7.00% Notes Payable 2025(12)    N/A     N/A 
6.25% Notes Payable 2025(13)    N/A     N/A 
7.25% Notes Payable 2025(14)    N/A   $26.32 
7.75% Notes Payable 2025(12)    N/A     N/A 
4.375% Notes Payable 2026(12)    N/A    N/A 
4.35% Notes Payable 2027(12)   N/A    N/A 
6.25% Notes Payable 2027(12)   N/A    N/A 
6.00% Notes Payable 2027  $24.20    N/A 
8.00% Notes Payable 2027  $24.94    N/A 

 

 

*Certain prior period amounts have been reclassified to conform to current period presentation.

 

(1)Per share amounts are calculated using the weighted average shares outstanding during the period.

 

(2)

The continuous issuance of common stock may cause an incremental increase in NAV per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of NAV per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date multiplied by (B) the differences between the net proceeds per share and the NAV per share on each share transaction date, divided by (ii) the total shares outstanding during the period.

 

(3)

Represents the anti-dilutive impact on the NAV per share of the Company due to the repurchase of common shares. See Note 11, Stockholders’ Equity.

 

(4)

Represents the dilutive effect of issuing common stock below NAV per share during the period in connection with the satisfaction of the Company’s annual RIC distribution requirement and may include the impact of the different share amounts used for different items (weighted average basic common shares outstanding for the corresponding year and actual common shares outstanding at the end of the year) in the per common share data calculation and rounding impacts. See Note 13, Dividend.

 

(5)Ratios are not annualized.

 

(6)

Total investment return is calculated assuming a purchase of common shares at the current market value on the first day and a sale at the current market value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the DRIP. Total investment return does not reflect brokerage commissions.

 

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(7)

Total investment return is calculated assuming a purchase of common shares at the current NAV on the first day and a sale at the current NAV on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the DRIP. Total investment return does not reflect brokerage commissions.

 

(8)Ratios are annualized. Incentive management fees included within the ratio are not annualized.

 

(9)Ratios are annualized.

 

(10)Portfolio turnover rate is calculated using the lesser of year-to-date sales or year-to-date purchases over the average of the invested assets at fair value.

 

(11)Asset coverage ratio per unit is the ratio of the carrying value of our total consolidated assets, less all liabilities and indebtedness not represented by senior securities, to the aggregate amount of senior securities representing indebtedness. Asset coverage ratio per unit is expressed in terms of dollar amounts per $1,000 of indebtedness. Asset coverage ratio per unit does not include unfunded commitments. The inclusion of unfunded commitments in the calculation of the asset coverage ratio per unit would not cause us to be below the required amount of regulatory coverage.

 

(12) The Revolving Credit Facility, SBA Debentures, 7.75% Notes Payable 2025, 4.375% Notes Payable 2026, 4.35% Notes Payable 2027, 7.00% Notes Payable 2025 and 6.25% Notes Payable 2027 are not registered for public trading.

 

(13)On August 31, 2021, the Company redeemed $60.0 million in aggregate principal amount of the issued and outstanding 6.25% 2025 Notes and, as a result of the full redemption, the 6.25% 2025 Notes are no longer listed on the NYSE.

 

(14)On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the $43.1 million in aggregate principal amount of issued and outstanding 7.25% 2025 Notes and are no longer listed on the NYSE.

 

Note 15. Subsequent Events

 

The Company has evaluated subsequent events through the filing of this Quarterly Report on Form 10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s consolidated financial statements and disclosures in the consolidated financial statements except for the following:

 

On December 13, 2022, the Company issued $52.5 million in aggregate principal amount of our 8.125% fixed-rate notes due 2027 (the “8.125% 2027 Notes”) for net proceeds of $50.9 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.1 million. The Company has granted the underwriters an option to purchase up to an additional $7.875 million in aggregate principal amount of the 8.125% 2027 Notes. Interest on the 8.125% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.125% per year, beginning February 28, 2023.  The 8.125% 2027 Notes mature on December 31, 2027 and commencing December 13, 2024, may be redeemed in whole or in part at any time or from time to time at our option. We expect to use the net proceeds from this offering to make investments in middle-market companies (including investments made through our SBIC subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $1.6 million related to the 8.125% 2027 Notes have been capitalized and are being amortized over the term of the 8.125% 2027 Notes. The 8.125% 2027 Notes are listed on the NYSE under the trading symbol “SAY” with a par value of $25.00 per note.

 

On December 21, 2022, the underwriters fully exercised their option to purchase an additional $7.875 million in aggregate principal amount of the 8.125% 2027 Notes. Net proceeds to the Company were $7.6 million after deducting underwriting commissions of approximately $0.2 million.

 

On January 9, 2023, our board of directors extended the Share Repurchase Plan for another year to January 15, 2024, increasing the number of shares to 1.7 million shares of common stock.

 

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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

 

The following discussion should be read in conjunction with our consolidated financial statements and related notes and other financial information appearing elsewhere in this Quarterly Report on Form 10-Q. In addition to historical information, the following discussion and other parts of this Quarterly Report contain forward-looking information that involves risks and uncertainties. Our actual results could differ materially from those anticipated by such forward-looking information due to the factors discussed under “Note about Forward-Looking Statements” and Part I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended February 28, 2022.

 

The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements.

 

The forward-looking statements contained in this Quarterly Report on Form 10-Q involve risks and uncertainties, including statements as to:

 

  our future operating results and the continued impact of coronavirus (“COVID-19”) pandemic thereon;

 

  the introduction, withdrawal, success and timing of business initiatives and strategies;

 

  changes in political, economic or industry conditions, the interest rate environment or financial and capital markets, which could result in changes in the value of our assets;

 

  the impact of geopolitical conditions, including the ongoing conflict between Ukraine and Russia and its impact on financial market volatility, global economic markets, and various sectors, industries and markets for commodities globally, such as oil and natural gas;

 

  the relative and absolute investment performance and operations of our Manager;

 

  the impact of increased competition;

 

  our ability to turn potential investment opportunities into transactions and thereafter into completed and successful investments;

 

  the unfavorable resolution of any future legal proceedings;

 

 

our business prospects and the operational and financial performance of our portfolio companies;

 

  the impact of investments that we expect to make and future acquisitions and divestitures;

 

  our contractual arrangements and relationships with third parties;

 

  the dependence of our future success on the general economy and its impact on the industries in which we invest and the impact of the COVID-19 pandemic thereon;

 

  the ability of our portfolio companies to achieve their objectives;

 

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  our expected financings and investments;

 

  our regulatory structure and tax treatment, including our ability to operate as a business development company (“BDC”), or to operate our small business investment company (“SBIC”) subsidiaries, and to continue to qualify to be taxed as a regulated investment company (“RIC”);

 

  the adequacy of our cash resources and working capital;

 

  the timing of cash flows, if any, from the operations of our portfolio companies and the impact of the COVID-19 pandemic thereon;

 

  the impact of interest rate volatility, including the decommissioning of LIBOR and the rising interest rate environment, on our results, particularly because we use leverage as part of our investment strategy;

 

  the impact of supply chain constraints and labor difficulties on our portfolio companies and the global economy;

 

  the elevated level of inflation, and its impact on our portfolio companies and on the industries in which we invest;

 

  the impact of legislative and regulatory actions and reforms and regulatory, supervisory or enforcement actions of government agencies relating to us or our Manager;

 

  the impact of changes to tax legislation and, generally, our tax position;

 

  our ability to access capital and any future financings by us;

 

  the ability of our Manager to attract and retain highly talented professionals; and

 

  the ability of our Manager to locate suitable investments for us and to monitor and effectively administer our investments and the impacts of the COVID-19 pandemic thereon.

 

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The following statements are not guarantees of future performance and are subject to risks, uncertainties, and other factors, some of which are beyond our control and difficult to predict and could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements, including without limitation:

 

  changes in laws and regulations, changes in political, economic, geopolitical or industry conditions, and changes in the interest rate environment, including with respect to the decommissioning of LIBOR and interest rate hikes by the U.S. Federal Reserve, or other conditions affecting the financial and capital markets, including with respect to changes resulting from or in response to, or potentially even the absence of changes as a result of, the impact of the COVID-19 pandemic;

 

  the length and duration of the COVID-19 pandemic in the United States as well as worldwide, and the magnitude of its impact and time required for economic recovery, including with respect to the impact of travel restrictions, business closures and other restrictions on the ability of the Manager’s investment professionals to conduct in-person diligence on, and otherwise monitor, existing and future investments;

 

  an economic downturn and the time period required for robust economic recovery therefrom, including from increasing inflation, a shifting interest rate environment, geopolitical events (including the war in Ukraine), and the ongoing impact of the COVID-19 pandemic, which may have a material impact on our portfolio companies’ results of operations and financial condition, which could lead to the loss of some or all of our investments in certain portfolio companies and have a material adverse effect on our results of operations and financial condition;

 

  a contraction of available credit, an inability or unwillingness of our lenders to fund their commitments to us and/or an inability to access capital markets or additional sources of liquidity, including as a result of the impact and duration of the COVID-19 pandemic, could have a material adverse effect on our results of operations and financial condition and impair our lending and investment activities;

 

  risks associated with possible disruption in our portfolio companies’ operations due to wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics; and

 

  the risks, uncertainties and other factors we identify in “Risk Factors” in our most recent Annual Report on Form 10-K under Part I, Item 1A, in our quarterly reports on Form 10-Q, including this  Quarterly Report on Form 10-Q, and in our other filings with the SEC that we make from time to time.

 

Such forward-looking statements may include statements preceded by, followed by or that otherwise include terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “project,” “should,” “will” and “would” or the negative of these terms or other comparable terminology.

 

We have based the forward-looking statements included in this Quarterly Report on Form 10-Q on information available to us on the date of this Quarterly Report on Form 10-Q, and we assume no obligation to update any such forward-looking statements. Actual results could differ materially from those anticipated in our forward-looking statements, and future results could differ materially from historical performance. We undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by law or SEC rule or regulation. You are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

 

The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this Quarterly Report on Form 10-Q.

 

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OVERVIEW

 

We are a Maryland corporation that has elected to be treated as a BDC under the Investment Company Act of 1940, as amended (the “1940 Act”). Our investment objective is to create attractive risk-adjusted returns by generating current income and long-term capital appreciation from our investments. We invest primarily in senior and unitranche leveraged loans and mezzanine debt issued by private U.S. middle market companies, which we define as companies having earnings before interest, tax, depreciation and amortization (“EBITDA”) of between $2 million and $50 million, both through direct lending and through participation in loan syndicates. We may also invest up to 30.0% of the portfolio in opportunistic investments in order to seek to enhance returns to stockholders. Such investments may include investments in distressed debt, which may include securities of companies in bankruptcy, foreign debt, private equity, securities of public companies that are not thinly traded and structured finance vehicles such as collateralized loan obligation funds. Although we have no current intention to do so, to the extent we invest in private equity funds, we will limit our investments in entities that are excluded from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the 1940 Act, which includes private equity funds, to no more than 15.0% of its net assets. We have elected, and intend to qualify annually, to be treated for U.S. federal income tax purposes as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).

 

Corporate History

 

We commenced operations, at the time known as GSC Investment Corp., on March 23, 2007 and completed an initial public offering of shares of common stock on March 28, 2007. Prior to July 30, 2010, we were externally managed and advised by GSCP (NJ), L.P., an entity affiliated with GSC Group, Inc. In connection with the consummation of a recapitalization transaction on July 30, 2010, as described below we engaged Saratoga Investment Advisors to replace GSCP (NJ), L.P. as our investment adviser and changed our name to Saratoga Investment Corp.

 

As a result of the event of default under a revolving securitized credit facility with Deutsche Bank we previously had in place, in December 2008 we engaged the investment banking firm of Stifel, Nicolaus & Company to evaluate strategic transaction opportunities and consider alternatives for us. On April 14, 2010, GSC Investment Corp. entered into a stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates and an assignment, assumption and novation agreement with Saratoga Investment Advisors, pursuant to which GSC Investment Corp. assumed certain rights and obligations of Saratoga Investment Advisors under a debt commitment letter Saratoga Investment Advisors received from Madison Capital Funding LLC, which indicated Madison Capital Funding’s willingness to provide GSC Investment Corp. with a $40.0 million senior secured revolving credit facility, subject to the satisfaction of certain terms and conditions. In addition, GSC Investment Corp. and GSCP (NJ), L.P. entered into a termination and release agreement, to be effective as of the closing of the transaction contemplated by the stock purchase agreement, pursuant to which GSCP (NJ), L.P., among other things, agreed to waive any and all accrued and unpaid deferred incentive management fees up to and as of the closing of the transaction contemplated by the stock purchase agreement but continued to be entitled to receive the base management fees earned through the date of the closing of the transaction contemplated by the stock purchase agreement.

 

On July 30, 2010, the transactions contemplated by the stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates were completed, the private sale of 986,842 shares of our common stock for $15.0 million in aggregate purchase price to Saratoga Investment Advisors and certain of its affiliates closed, the Company entered into the Madison Credit Facility, and the Company began doing business as Saratoga Investment Corp.

 

We used the net proceeds from the private sale transaction and a portion of the funds available to us under the Madison Credit Facility to pay the full amount of principal and accrued interest, including default interest, outstanding under our revolving securitized credit facility with Deutsche Bank. The revolving securitized credit facility with Deutsche Bank was terminated in connection with our payment of all amounts outstanding thereunder on July 30, 2010.

 

On August 12, 2010, we effected a one-for-ten reverse stock split of our outstanding common stock. As a result of the reverse stock split, every ten shares of our common stock were converted into one share of our common stock. Any fractional shares received as a result of the reverse stock split were redeemed for cash. The total cash payment in lieu of shares was $230. Immediately after the reverse stock split, we had 2,680,842 shares of our common stock outstanding.

 

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In January 2011, we registered for public resale of the 986,842 shares of our common stock issued to Saratoga Investment Advisors and certain of its affiliates.

 

On March 28, 2012, our wholly owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received an SBIC license from the Small Business Administration (“SBA”). On August 14, 2019, our wholly owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. On September 29, 2022, our wholly owned subsidiary, Saratoga Investment Corp. SBIC III LP (“SBIC III LP”), also received an SBIC license from the SBA.

 

In May 2013, we issued $48.3 million in aggregate principal amount of our 7.50% fixed-rate unsecured notes due 2020 (the “2020 Notes”) for net proceeds of $46.1 million after deducting underwriting commissions of $1.9 million and offering costs of $0.3 million. The proceeds included the underwriters’ full exercise of their overallotment option. The 2020 Notes were listed on the New York Stock Exchange (“NYSE”) under the trading symbol “SAQ” with a par value of $25.00 per note. The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the NYSE.

 

On September 24, 2014, the Company announced the approval of an open market share repurchase plan that allowed it to repurchase up to 200,000 shares of its common stock at prices below its NAV as reported in its then most recently published consolidated financial statements (the “Share Repurchase Plan”). On October 7, 2015, our board of directors extended the Share Repurchase Plan for another year and increased the number of shares the Company was permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 400,000 shares of its common stock. On October 5, 2016, our board of directors extended the Share Repurchase Plan for another year to October 15, 2017 and increased the number of shares the Company was permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of its common stock. On October 10, 2017, January 8, 2019 and January 7, 2020, our board of directors extended the Share Repurchase Plan for another year to October 15, 2018, January 15, 2020 and January 15, 2021, respectively, each time leaving the number of shares the Company was permitted to repurchase unchanged at 600,000 shares of its common stock. On May 4, 2020, our board of directors increased the Share Repurchase Plan to permit the Company to repurchase 1.3 million shares of its common stock. On January 5, 2021, our board of directors extended the Share Repurchase Plan for another year to January 15, 2022, leaving the number of shares the Company was permitted to repurchase unchanged at 1.3 million shares of common stock. On January 4, 2022, our board of directors extended the Shares Repurchase Plan for another year to January 15, 2023, leaving the number of shares the Company is permitted to repurchase unchanged at 1.3 million shares of common stock. As of November 30, 2022, the Company purchased 898,033 shares of common stock, at the average price of $21.65 for approximately $19.5 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2022 the Company purchased 94,071 shares of common stock, at the average price of $23.17 for approximately $2.1 million pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2022 the Company purchased 389,598 shares of common stock, at the average price of $24.64 for approximately $9.6 million pursuant to the Share Repurchase Plan.

 

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On May 29, 2015, we entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. Inc. through which we may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an At-the-Market (“ATM”) offering. Prior to the 2020 Notes being redeemed in full, the Company had sold 539,725 2022 Notes with a principal of $13.5 million at an average price of $25.31 for aggregate net proceeds of $13.4 million (net of transaction costs).

 

On December 21, 2016, we issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate notes due 2023 (the “2023 Notes”) for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The issuance included the partial exercise of the underwriters’ option to purchase an additional $9.8 million in aggregate principal amount of 2023 Notes within 30 days. The 2023 Notes were listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per note. On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.5 million, respectively, in aggregate principal amount of the $74.5 million in aggregate principal amount of the issued and outstanding 2023 Notes and are no longer listed on the NYSE.

 

On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. Subsequent to this, BB&T Capital Markets and B. Riley FBR, Inc. were added to the equity ATM program. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. This agreement was terminated as of July 29, 2021, and as of that date, the Company had sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs).

 

On July 13, 2018, the Company issued 1,150,000 shares of its common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. The Company also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of its common stock, which was not exercised.

 

On August 28, 2018, the Company issued $40.0 million in aggregate principal amount of our 6.25% fixed-rate notes due 2025 (the “6.25% 2025 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.3 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $5.0 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

On February 5, 2019, the Company issued an additional $20.0 million in aggregate principal amount of the 6.25% 2025 Notes for net proceeds of $19.2 million after deducting underwriting commissions of approximately $0.6 million and discount of $0.2 million. The additional 6.25% 2025 Notes were treated as a single series with the existing 6.25% 2025 Notes under the indenture and had the same terms as the existing 6.25% 2025 Notes. Offering costs incurred were approximately $0.2 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $2.5 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The net proceeds from this offering were used for general corporate purposes in accordance with our investment objective and strategies. The financing costs and discount of $1.0 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes. On August 31, 2021, the 6.25% 2025 Notes were redeemed and are no longer listed on the NYSE.

 

On December 14, 2018, the Company completed the third refinancing of the Saratoga CLO (the “2013-1 Reset CLO Notes”). This refinancing, among other things, extended the Saratoga CLO reinvestment period to January 2021, and extended its legal maturity to January 2030. A non-call period of January 2020 was also added. In addition to and as part of the refinancing, the Saratoga CLO was also upsized from $300 million in assets to approximately $500 million. As part of this refinancing and upsizing, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $2.5 million in aggregate principal amount of the Class F-R-2 Notes tranche and $7.5 million in aggregate principal amount of the Class G-R-2 Notes tranche at par. Concurrently, the existing $4.5 million of Class F notes were repaid.

 

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On August 14, 2019, our wholly owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. SBIC II LP’s SBIC license provides up to $175.0 million in additional long-term capital in the form of SBA debentures.

 

On June 24, 2020, the Company issued $37.5 million in aggregate principal amount of our 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds to the Company were $5.4 million after deducting underwriting commissions of approximately $0.2 million. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and were amortized over the term of the 7.25% 2025 Notes. On July 14, 2022, the 7.25% 2025 Notes were redeemed and are no longer listed on the NYSE.

 

On July 9, 2020, the Company issued $5.0 million in aggregate principal amount of our 7.75% fixed-rate notes due in 2025 (the “7.75% 2025 Notes”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year. The 7.75% 2025 Notes mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option, subject to a fee depending on the date of repayment. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% 2025 Notes have been capitalized and are being amortized over the term of the 7.75% 2025 Notes. As of November 30, 2022, the total 7.75% 2025 Notes outstanding was $5.0 million. The 7.75% 2025 Notes are not listed and have a par value of $25.00 per note.

 

On December 29, 2020, the Company issued $5.0 million in aggregate principal amount of our 6.25% fixed-rate notes due in 2027 (the “6.25% Notes 2027”). Offering costs incurred were approximately $0.1 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% Notes 2027 mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the 6.25% Notes 2027. The 6.25% 2027 Notes are not listed and have a par value of $25.00 per note.

 

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On January 28, 2021, the Company issued $10.0 million in aggregate principal amount of our 6.25% fixed rate notes due in 2027 (the “Second 6.25% Notes 2027”) for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million. Offering costs incurred were approximately $0.0 million. Interest on the Second 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The Second 6.25% Notes 2027 mature on January 28, 2027 and commencing January 28, 2023, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the Second 6.25% Notes 2027 have been capitalized and are being amortized over the term of the Second 6.25% Notes. The Second 6.25% 2027 Notes are unlisted and have a par value of $25.00 per note.

 

On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was paid in full.

 

On March 10, 2021, the Company issued $50.0 million in aggregate principal amount of our 4.375% fixed-rate Notes due in 2026 (the “4.375% Notes 2026”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.2 million. Interest on the 4.375% Notes 2026 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year. The 4.375% Notes 2026 mature on February 28, 2026 and may be redeemed in whole or in part at any time on or after November 28, 2025 at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% Notes 2026 have been capitalized and are being amortized over the term of the 4.375% Notes 2026.

 

On July 15, 2021, the Company issued an additional $125.0 million in aggregate principal amount of the Company’s 4.375% Notes 2026 (the “Additional 4.375% 2026 Notes”) for net proceeds for approximately $123.5 million, based on the public offering price of 101.00% of the aggregate principal amount of the Additional 4.375% 2026 Notes, after deducting the underwriting discount of $2.5 million and the offering expenses payable by the Company . The net proceeds from the offering were used to redeem all of the outstanding 6.25% 2025 Notes (as described above), and for general corporate purposes in accordance with our investment objective and strategies. The Additional 4.375% 2026 Notes were treated as a single series with the existing 4.375% 2026 Notes under the indenture and had the same terms as the existing 4.375% 2026 Notes.

 

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On July 30, 2021, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc. and Compass Point Research and Trading, LLC (the “Agents”), through which we may offer for sale, from time to time, up to $150.0 million of our common stock through the Agents, or to them, as principal for their account. As of November 30, 2022, the Company sold 4,840,361 shares for gross proceeds of $124.0 million at an average price of $25.61 for aggregate net proceeds of $122.4 million (net of transaction costs). During the three and nine months ended November 30, 2022, there were no shares sold pursuant to the equity distribution agreement with the Agents.

 

On August 9, 2021, the Company exchanged its existing $17.9 million Class F-R-3 Notes for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, the Company sold its Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.

 

The Company has formed a wholly owned special purpose entity, Saratoga Investment Funding II LLC, a Delaware limited liability company (“SIF II”), for the purpose of entering into a $50.0 million senior secured revolving credit facility with Encina Lender Finance, LLC (the “Lender”), supported by loans held by SIF II and pledged to the Lender under the credit facility (the “Encina Credit Facility). The Encina Credit Facility closed on October 4, 2021. During the first two years following the closing date, SIF II may request an increase in the commitment amount under the Encina Credit Facility to up to $75.0 million. The terms of the Encina Credit Facility require a minimum drawn amount of $12.5 million at all times during the first six months following the closing date, which increases to the greater of $25.0 million or 50% of the commitment amount in effect at any time thereafter. The term of the Encina Credit Facility is three years. Advances under the Encina Credit Facility bear interest at a floating rate per annum equal to LIBOR plus 4.0%, with LIBOR having a floor of 0.75%, with customary provisions related to the selection by the Lender and the Company of a replacement benchmark rate. Concurrently with the closing of the Encina Credit Facility, all remaining amounts outstanding on the Company’s existing revolving credit facility with Madison Capital Funding, LLC were repaid and the facility terminated.

 

On October 26, 2021, the Company and TJHA JV I LLC (“TJHA”) entered into a Limited Liability Company Agreement (the “LLC Agreement”) to co-manage Saratoga Senior Loan Fund I JV LLC (“SLF JV”). SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1 Ltd (“SLF 2022”), which is a wholly owned subsidiary of SLF JV. SLF 2022 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.

 

The Company and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.

 

The Company and TJHA have committed to provide up to a combined $50.0 million of financing to SLF JV through cash contributions, with the Company providing $43.75 million and TJHA providing $6.25 million, resulting in an 87.5% and 12.5% ownership between the two parties. The financing is issued in the form of an unsecured note and equity. The unsecured note will pay a fixed rate of 10.0% per annum and is due and payable in full on June 15, 2023. As of November 30, 2022, the Company and TJHA’s investment in SLF JV consisted of an unsecured note of $17.6 million and $2.5 million, respectively; and membership interest of $17.6 million and $2.5 million, respectively.

 

As of November 30, 2022, the Company earned $1.1 million of interest income related to SLF JV, which is included in interest income.

 

SLF JV’s initial investment in SLF 2022 was in the form of an unsecured loan. The unsecured loan paid a floating rate of LIBOR plus 7.00% per annum and was due and payable in full on June 9, 2023. The unsecured loan was repaid in full on October 28, 2022, as part of the CLO closing.

 

The Company has determined that SLF JV is an investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, ASC 810 concludes that in a joint venture where both members have equal decision-making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, the Company does not consolidate SLF JV.

 

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On January 19, 2022, the Company issued $75.0 million in aggregate principal amount of our 4.35% fixed-rate Notes due in 2027 (the “4.35% Notes 2027”) for net proceeds of $73.0 million, based on the public offering price of 99.317% of the aggregate principal amount of the 4.35% Notes 2027, after deducting the underwriting commissions of approximately $1.5 million. Offering costs incurred were approximately $0.2 million. Interest on the 4.35% Notes 2027 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.35% per year, beginning August 28, 2022. The 4.35% Notes 2027 mature on February 28, 2027 and may be redeemed in whole or in part at the Company’s option at any time prior to November 28, 2026, at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.7 million related to the 4.35% Notes 2027 have been capitalized and are being amortized over the term of the 4.35% Notes 2027.

 

On April 27, 2022, the Company issued $87.5 million in aggregate principal amount of our 6.00% fixed-rate notes due 2027 (the “6.00% 2027 Notes”) for net proceeds of $84.8 million after deducting underwriting commissions of approximately $2.7 million. Offering costs incurred were approximately $0.1 million. On May 10, 2022, the underwriters partially exercised their option to purchase an additional $10.0 million in aggregate principal amount of the 6.00% 2027 Notes. Net proceeds to the Company were $9.7 million after deducting underwriting commissions of approximately $0.3 million. Interest on the 6.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.00% per year. The 6.00% 2027 Notes mature on April 30, 2027 and commencing April 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $3.3 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes. The 6.00% 2027 Notes are listed on the NYSE under the trading symbol “SAT” with a par value of $25.00 per note.

 

On August 15, 2022, the Company issued an additional $8.0 million in aggregate principal amount of the 6.00% 2027 Notes (the “Additional 6.00% 2027 Notes”) for net proceeds of $7.8 million, based on the public offering price of 97.80% of the aggregate principal amount of the 6.00% 2027 Notes. The Additional 6.00% 2027 Notes are treated as a single series with the existing 6.00% 2027 Notes under the indenture and had the same terms as the existing 6.00% 2027 Notes. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Additional offering costs incurred were approximately $0.03 million. Additional financing costs of $0.03 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes.

 

On September 8, 2022, the Company issued $12.0 million in aggregate principal amount of our 7.00% fixed-rate notes due 2025 (the “7.00% 2025 Notes”) for net proceeds of $11.6 million after deducting customary fees and offering expenses of approximately $0.4 million. Interest on the 7.00% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.00% per year. The 7.00% 2025 Notes mature on September 8, 2025 and commencing September 8, 2024, may be redeemed in whole or in part at any time or from time to time at our option. We expect to use the net proceeds from this offering to make investments in middle-market companies (including investments made through our SBIC subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $0.05 million related to the 7.00% 2025 Notes have been capitalized and are being amortized over the term of the 7.00% 2025 Notes.

 

On September 29, 2022, our wholly owned subsidiary, Saratoga Investment Corp. SBIC III LP(“SBIC III LP”), also received an SBIC license from the SBA.

 

On October 27, 2022, the Company issued $40.0 million in aggregate principal amount of our 8.00% fixed-rate notes due 2027 (the “8.00% 2027 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.1 million. On November 10, 2022, the underwriters partially exercised their option to purchase an additional $6.0 million in aggregate principal amount of the 8.00% 2027 Notes. Net proceeds to the Company were $5.8 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.00% per year, beginning February 28, 2023. The 8.00% 2027 Notes mature on October 31, 2027 and commencing October 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.3 million related to the 8.00% 2027 Notes have been capitalized and are being amortized over the term of the 8.00% 2027 Notes. The 8.00% 2027 Notes are listed on the NYSE under the trading symbol “SAJ” with a par value of $25.00 per note.

 

On October 28, 2022, SLF 2022 issued $402.1 million of debt through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee. As part of the transaction, the Company purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million. As of November 30, 2022 and February 28, 2022, the fair value of these Class E Notes were $11.0 million and $0.0 million, respectively.

 

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Recent COVID-19 Developments 

 

We have been closely monitoring, and will continue to monitor, the impact of the COVID-19 pandemic (including new variants of COVID-19) and its impact on all aspects of our business, including how it will impact our portfolio companies, employees, due diligence and underwriting processes, and financial markets. Given the continued fluidity of the pandemic, we cannot estimate the long-term impact of COVID-19 on our business, future results of operations, financial position or cash flows at this time. Further, the operational and financial performance of the portfolio companies in which we make investments may be significantly impacted by COVID-19, which may in turn impact the valuation of our investments. We believe our portfolio companies have taken, and continue to take, immediate actions to effectively and efficiently respond to the challenges posed by COVID-19 and related restrictions imposed by state and local governments and other private businesses, including developing liquidity plans supported by internal cash reserves, and shareholder support. The COVID-19 pandemic and preventative measures taken to contain or mitigate its spread have caused, and are continuing to cause, business shutdowns, cancellations of events and restrictions on travel, significant reductions in demand for certain goods and services, reductions in business activity and financial transactions, supply chain disruptions, labor difficulties and shortages, commodity inflation and elements of economic and financial market instability in the United States and globally. Such effects will likely continue for the duration of the pandemic, which is uncertain, and for some period thereafter.

 

Critical Accounting Policies and Use of Estimates

 

Basis of Presentation

 

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make certain estimates and assumptions affecting amounts reported in the Company’s consolidated financial statements. We have identified investment valuation, revenue recognition and the recognition of capital gains incentive fee expense as our most critical accounting estimates. We continuously evaluate our estimates, including those related to the matters described below. These estimates are based on the information that is currently available to us and on various other assumptions that we believe to be reasonable under the circumstances. Actual results could differ materially from those estimates under different assumptions or conditions. A discussion of our critical accounting policies and estimates follows.

 

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 or its liabilities are to be transferred at the measurement date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.

 

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from Saratoga Investment Advisors, the audit committee of our board of directors and a third party independent valuation firm. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

 

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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 Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and

 

  An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. We use a third-party independent valuation firm to value our investment in the subordinated notes of Saratoga CLO,the Class F-2-R-3 Notes  tranche of the Saratoga CLO and the Class E Notes tranche of the SLF 2022 every quarter.

 

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

 

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

 

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

 

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

 

In December 2020, the U.S. Securities and Exchange Commission (the “SEC”) adopted a new rule providing a framework for fund valuation practices. New Rule 2a-5 under the 1940 Act (“Rule 2a-5”) establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Rule 2a-5 will permit boards, subject to board oversight and certain other conditions, to designate certain parties to perform fair value determinations. Rule 2a-5 also defines when market quotations are “readily available” for purposes of the 1940 Act and the threshold for determining whether a fund must determine the fair value of a security. The SEC also adopted new Rule 31a-4 under the 1940 Act (“Rule 31a-4”), which provides the recordkeeping requirements associated with fair value determinations. Finally, the SEC is rescinding previously issued guidance on related issues, including the role of the board in determining fair value and the accounting and auditing of fund investments. Rule 2a-5 and Rule 31a-4 became effective on March 8, 2021, and had a compliance date of September 8, 2022. While our board of directors has not elected to designate Saratoga Investment Advisors as the valuation designee, the Company has adopted certain revisions to its valuation policies and procedures in order comply with the applicable requirements of Rule 2a-5 and Rule 31a-4.

 

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Revenue Recognition

 

Income Recognition

 

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

 

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

 

Payment-in-Kind Interest

 

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

 

Revenues

 

We generate revenue in the form of interest income and capital gains on the debt investments that we hold and capital gains, if any, on equity interests that we may acquire. We expect our debt investments, whether in the form of leveraged loans or mezzanine debt, to have terms of up to ten years, and to bear interest at either a fixed or floating rate. Interest on debt will be payable generally either quarterly or semi-annually. In some cases, our debt or preferred equity investments may provide for a portion or all of the interest to be PIK. To the extent interest is PIK, it will be payable through the increase of the principal amount of the obligation by the amount of interest due on the then-outstanding aggregate principal amount of such obligation. The principal amount of the debt and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of commitment, origination, structuring or diligence fees, fees for providing managerial assistance or investment management services and possibly consulting fees. Any such fees will be generated in connection with our investments and recognized as earned. We may also invest in preferred equity or common equity securities that pay dividends on a current basis.

 

On January 22, 2008, we entered into a collateral management agreement with Saratoga CLO, pursuant to which we act as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, we completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.

 

On December 14, 2018, we completed a third refinancing and upsize of the Saratoga CLO. The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period of January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million in aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, we also redeemed our existing $4.5 million in aggregate amount of the Class F notes tranche at par and the $20.0 million CLO 2013-1 Warehouse Loan was repaid.

  

On February 11, 2020, the Company entered into an unsecured loan agreement with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary Saratoga CLO.

 

On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This fourth Saratoga CLO refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. The non-call period was extended to February 2022. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was repaid in full.

 

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On August 9, 2021, the Company exchanged its existing $17.9 million Class F-R-3 Notes for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, the Company sold its Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.

 

The Saratoga CLO remains effectively 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Prior to the second refinancing and the issuance of the 2013-1 Amended CLO Notes, we received a base management fee of 0.25% per annum and a subordinated management fee of 0.25% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds.

 

Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

 

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

 

Expenses

 

Our primary operating expenses include the payment of investment advisory and management fees, professional fees, directors and officers insurance, fees paid to directors who are not “interested persons” (as defined in Section 2(a)(19) of the 1940 Act) of the Company (“independent directors”) and administrator expenses, including our allocable portion of our administrator’s overhead. Our investment advisory and management fees compensate our Manager for its work in identifying, evaluating, negotiating, closing and monitoring our investments. We bear all other costs and expenses of our operations and transactions, including those relating to:

 

  organization;

 

  calculating our net asset value (including the cost and expenses of any independent valuation firm);

 

  expenses incurred by our Manager payable to third parties, including agents, consultants or other advisers, in monitoring our financial and legal affairs and in monitoring our investments and performing due diligence on our prospective portfolio companies;

 

  expenses incurred by our Manager payable for travel and due diligence on our prospective portfolio companies;

 

  interest payable on debt, if any, incurred to finance our investments;

 

  offerings of our common stock and other securities;

 

  investment advisory and management fees;

 

  fees payable to third parties, including agents, consultants or other advisers, relating to, or associated with, evaluating and making investments;

 

  transfer agent and custodial fees;

 

  federal and state registration fees;

 

  all costs of registration and listing our common stock on any securities exchange;

 

  federal, state and local taxes;

 

  independent directors’ fees and expenses;

 

  costs of preparing and filing reports or other documents required by governmental bodies (including the SEC and the SBA);

 

  costs of any reports, proxy statements or other notices to common stockholders including printing costs;

 

  our fidelity bond, directors and officers errors and omissions liability insurance, and any other insurance premiums;

 

116

 

  

  direct costs and expenses of administration, including printing, mailing, long distance telephone, copying, secretarial and other staff, independent auditors and outside legal costs; and

 

  administration fees and all other expenses incurred by us or, if applicable, the administrator in connection with administering our business (including payments under the Administration Agreement based upon our allocable portion of the administrator’s overhead in performing its obligations under an Administration Agreement, including rent and the allocable portion of the cost of our officers and their respective staffs (including travel expenses)).

 

Pursuant to the investment advisory and management agreement that we had with GSCP (NJ), L.P., our former investment adviser and administrator, we had agreed to pay GSCP (NJ), L.P. as investment adviser a quarterly base management fee of 1.75% of the average value of our total assets (other than cash or cash equivalents but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters and an incentive fee.

 

The incentive fee had two parts:

 

  A fee, payable quarterly in arrears, equal to 20.0% of our pre-incentive fee net investment income, expressed as a rate of return on the value of the net assets at the end of the immediately preceding quarter, that exceeded a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter. Under this provision, in any fiscal quarter, our investment adviser received no incentive fee unless our pre-incentive fee net investment income exceeded the hurdle rate of 1.875%. Amounts received as a return of capital were not included in calculating this portion of the incentive fee. Since the hurdle rate was based on net assets, a return of less than the hurdle rate on total assets could still have resulted in an incentive fee.

 

  A fee, payable at the end of each fiscal year, equal to 20.0% of our net realized capital gains, if any, computed net of all realized capital losses and unrealized capital depreciation, in each case on a cumulative basis on each investment in the Company’s portfolio, less the aggregate amount of capital gains incentive fees paid to the investment adviser through such date.

 

We deferred cash payment of any incentive fee otherwise earned by our former investment adviser if, during the then most recent four full fiscal quarters ending on or prior to the date such payment was to be made, the sum of (a) our aggregate distributions to our stockholders and (b) our change in net assets (defined as total assets less liabilities) (before taking into account any incentive fees payable during that period) was less than 7.5% of our net assets at the beginning of such period. These calculations were appropriately pro-rated for the first three fiscal quarters of operation and adjusted for any share issuances or repurchases during the applicable period. Such incentive fee would become payable on the next date on which such test had been satisfied for the most recent four full fiscal quarters or upon certain terminations of the investment advisory and management agreement. We commenced deferring cash payment of incentive fees during the quarterly period ended August 31, 2007 and continued to defer such payments through the quarterly period ended May 31, 2010. As of July 30, 2010, the date on which GSCP (NJ), L.P. ceased to be our investment adviser and administrator, we owed GSCP (NJ), L.P. $2.9 million in fees for services previously provided to us; of which $0.3 million has been paid by us. GSCP (NJ), L.P. agreed to waive payment by us of the remaining $2.6 million in connection with the consummation of the stock purchase transaction with Saratoga Investment Advisors and certain of its affiliates described elsewhere in this Quarterly Report.

 

The terms of the investment advisory and management agreement with Saratoga Investment Advisors, our current investment adviser, are substantially similar to the terms of the investment advisory and management agreement we had entered into with GSCP (NJ), L.P., our former investment adviser, except for the following material distinctions in the fee terms:

 

  The capital gains portion of the incentive fee was reset with respect to gains and losses from May 31, 2010, and therefore losses and gains incurred prior to such time will not be taken into account when calculating the capital gains fee payable to Saratoga Investment Advisors and, as a result, Saratoga Investment Advisors will be entitled to 20.0% of net gains that arise after May 31, 2010. In addition, the cost basis for computing realized gains and losses on investments held by us as of May 31, 2010 equal the fair value of such investment as of such date. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P., the capital gains fee was calculated from March 21, 2007, and the gains were substantially outweighed by losses.

 

  Under the “catch up” provision, 100.0% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income that exceeds 1.875% but is less than or equal to 2.344% in any fiscal quarter is payable to Saratoga Investment Advisors. This will enable Saratoga Investment Advisors to receive 20.0% of all net investment income as such amount approaches 2.344% in any quarter, and Saratoga Investment Advisors will receive 20.0% of any additional net investment income. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P. only received 20.0% of the excess net investment income over 1.875%.

 

  We will no longer have deferral rights regarding incentive fees in the event that the distributions to stockholders and change in net assets is less than 7.5% for the preceding four fiscal quarters.

 

Capital Gains Incentive Fee

 

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

 

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Recent Accounting Pronouncements

 

In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The Company has agreements that have LIBOR as a reference rate with certain portfolio companies and under the Encina Credit Facility. Many of these agreements (including the credit agreements relating to the Encina Credit Facility) include an alternative successor rate or language for choosing an alternative successor rate when LIBOR reference is no longer considered to be appropriate. With respect to other agreements, the Company intends to work with its portfolio companies to modify agreements to choose an alternative successor rate. Contract modifications are required to be evaluated in determining whether the modifications result in the establishment of new contracts or the continuation of existing contracts. The standard is effective as of March 12, 2020 through December 31, 2022. Management does not believe this optional guidance has a material impact on the Company’s consolidated financial statements and disclosures.

 

Portfolio and Investment Activity

 

Investment Portfolio Overview

 

    November 30,
2022
    February 28,
2022
 
    ($ in millions)  
Number of investments(1)     114       94  
Number of portfolio companies(2)     50       45  
Average investment per portfolio company(2)   $ 18.9     $ 17.3  
Average investment size(1)   $ 8.4     $ 8.4  
Weighted average maturity(3)     2.8 yrs       2.9 yrs  
Number of industries (5)     40       38  
Non-performing or delinquent investments (fair value)   $ 9.7     $ -  
Fixed rate debt (% of interest earning portfolio)(3)   $ 17.0(2.0 )%   $ 16.9(2.5 )%
Fixed rate debt (weighted average current coupon)(3)     11.4 %     10.0 %
Floating rate debt (% of interest earning portfolio)(3)   $ 822.5(98.0 )%   $ 671.2(97.5 )%
Floating rate debt (weighted average current spread over LIBOR)(3)(4)     6.3 %     7.1 %

 

 

(1) Excludes our investment in the subordinated notes of Saratoga CLO.
   
(2)

Excludes our investment in the subordinated notes of Saratoga CLO and Class F-R-3 Note tranche, as well as the unsecured notes and equity interests in the SLF JV and the Class E Note tranche of the SLF 2022.

   
(3)

Excludes our investment in the subordinated notes of Saratoga CLO and equity interests, as well as the unsecured notes and equity interests in the SLF JV and the Class E Note tranche of the SLF 2022.

   
(4) Calculation uses either 1-month or 3-month LIBOR, depending on the contractual terms, and after factoring in any existing LIBOR floors.
   
(5)

Our investment in the subordinated notes of Saratoga CLO and Class F-R-3 Note tranche, as well as the unsecured notes and equity interests in the SLF JV and the Class E note tranche of the SLF 2022 are included in Structured Finance Securities industry.

 

During the three months ended November 30, 2022, we invested $87.5 million in new and existing portfolio companies and had $56.9 million in aggregate amount of exits and repayments resulting in net investment of $30.6 million for the period. During the three months ended November 30, 2021, we invested $58.6 million in new and existing portfolio companies and had $66.4 million in aggregate amount of exits and repayments resulting in net repayments of $7.9 million for the period.

 

During the nine months ended November 30, 2022, we invested $345.0 million in new and existing portfolio companies and had $162.1 million in aggregate amount of exits and repayments resulting in net investment of $183.0 million for the period. During the nine months ended November 30, 2021, we invested $293.8 million in new and existing portfolio companies and had $216.2 million in aggregate amount of exits and repayments resulting in net investment of $77.5 million for the period.

 

Portfolio Composition

 

Our portfolio composition at November 30, 2022 and February 28, 2022 at fair value was as follows:

 

    November 30, 2022     February 28, 2022  
    Percentage
of Total
Portfolio
    Weighted
Average
Current
Yield
    Percentage
of Total
Portfolio
    Weighted
Average
Current
Yield
 
First lien term loans     81.9 %     11.9 %     77.3 %     8.3 %
Second lien term loans     2.4       7.2       5.4       11.1  
Unsecured term loans     2.1       9.8       1.9       9.7  
Structured finance securities     4.0       7.4       4.7       10.5  
Equity interests     9.6       -       10.7       -  
Total     100.0 %     10.4 %     100.0 %     7.7 %

 

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At November 30, 2022, our investment in the subordinated notes of Saratoga CLO, a collateralized loan obligation fund, had a fair value of $19.4 million and constituted 2.0% of our portfolio. This investment constitutes a first loss position in a portfolio that, as of November 30, 2022 and February 28, 2022, was composed of $653.3 million and $660.2 million, respectively, in aggregate principal amount of primarily senior secured first lien term loans. In addition, as of November 30, 2022, we also own $9.4 million in aggregate principal of the F-2-R-3 Notes in the Saratoga CLO, which only rank senior to the subordinated notes.

 

This investment is subject to unique risks. (See Part 1. Item 1A. Risk Factors—“Our investment in Saratoga CLO constitutes a leveraged investment in a portfolio of predominantly senior secured first lien term loans and is subject to additional risks and volatility” in our Annual Report on Form 10-K for the fiscal year ended February 28, 2022).

 

We do not consolidate the Saratoga CLO portfolio in our consolidated financial statements. Accordingly, the metrics below do not include the underlying Saratoga CLO portfolio investments. However, at November 30, 2022, $574.7 million or 96.9% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow. At February 28, 2022, $630.3 million or 98.7% of the Saratoga CLO portfolio investments in terms of market value had a CMR color rating of green or yellow and two Saratoga CLO portfolio investments were in default with a fair value of $2.8 million. For more information relating to the Saratoga CLO, see the audited financial statements for Saratoga in our Annual Report on Form 10-K for the fiscal year ended February 28, 2022.

 

Saratoga Investment Advisors normally grades all of our investments using a credit and monitoring rating system (“CMR”). The CMR consists of a single component: a color rating. The color rating is based on several criteria, including financial and operating strength, probability of default, and restructuring risk. The color ratings are characterized as follows: (Green)—performing credit; (Yellow)—underperforming credit; (Red)—in principal payment default and/or expected loss of principal.

 

Portfolio CMR distribution

 

The CMR distribution for our investments at November 30, 2022 and February 28, 2022 was as follows:

 

Saratoga Investment Corp.

 

   November 30, 2022   February 28, 2022 
Color Score  Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
   ($ in thousands) 
Green  $823,056    83.8%  $690,672    84.5%
Yellow   34,067    3.5    10,593    1.3 
Red   -    0.0    -    0.0 
N/A(1)   124,911    12.7    116,302    14.2 
Total  $982,034    100.0%  $817,567    100.0%

 

 

(1)Comprised of our investment in the subordinated notes of Saratoga CLO and equity interests.  

 

The change in reserve from $0.0 million as of February 28, 2022 to $1.2 million as of November 30, 2022 was related to the non-accrual of interest income related to the Knowland Group.

 

The CMR distribution of Saratoga CLO investments at November 30, 2022 and February 28, 2022 was as follows:

 

Saratoga CLO

 

   November 30, 2022   February 28, 2022 
Color Score  Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
   ($ in thousands) 
Green  $544,170    91.7%  $595,324    93.2%
Yellow   30,557    5.2    34,983    5.5 
Red   18,171    3.1    8,622    1.3 
N/A(1)   -    0.0    34    0.0 
Total  $592,898    100.0%  $638,963    100.0%

 

 

(1)Comprised of Saratoga CLO’s equity interests.

  

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Portfolio composition by industry grouping at fair value

 

The following table shows our portfolio composition by industry grouping at fair value at November 30, 2022 and February 28, 2022:

 

Saratoga Investment Corp.

 

   November 30, 2022   February 28, 2022 
   Investments
At
Fair Value
   Percentage
of Total
Portfolio
   Investments
At
Fair Value
   Percentage
of Total
Portfolio
 
   ($ in thousands) 
Healthcare Software   $113,161    11.5%  $90,126    11.0%
IT Services   85,394    8.7    80,804    9.9 
Consumer Services    68,577    7.0    38,234    4.7 
Real Estate Services   53,219    5.4    53,506    6.6 
HVAC Services and Sales    49,005    5.0    29,976    3.7 
Education Software   44,589    4.5    33,656    4.1 
Structured Finance Securities(1)    38,899    4.0    38,030    4.7 
Hospitality/Hotel   37,918    3.9    19,925    2.4 
Education Services    34,505    3.5    35,309    4.3 
Marketing Orchestration Software   28,676    2.9    28,777    3.5 
Sports Management    26,803    2.7    26,654    3.3 
Investment Fund   26,782    2.7    25,140    3.1 
Healthcare Services    26,251    2.7    42,054    5.1 
Financial Services   26,176    2.7    23,540    2.9 
Talent Acquisition Software    26,039    2.7    19,652    2.4 
Direct Selling Software   25,712    2.6    -    0.0 
Restaurant    24,604    2.5    15,686    1.9 
Specialty Food Retailer   24,325    2.5    34,013    4.2 
Mentoring Software    21,413    2.2    18,321    2.2 
Legal Software   20,692    2.1    7,425    0.9 
Mental Healthcare Services    16,843    1.7    -    0.0 
Insurance Software   16,600    1.7    10,921    1.3 
Payroll Services    15,489    1.6    17,000    2.1 
Corporate Education Software   14,969    1.5    -    0.0 
Non-profit Services    13,036    1.3    10,039    1.2 
Employee Collaboration Software   12,506    1.3    10,000    1.2 
Lead management Software    11,896    1.2    -    0.0 
Dental Practice Management   11,192    1.1    8,403    1.0 
Research Software    10,493    1.1    -    0.0 
Alternative Investment Management Software   9,920    1.0    -    0.0 
Industrial Products    9,090    0.9    8,427    1.0 
Waste Services   9,000    0.9    9,000    1.1 
Financial Services Software    8,070    0.8    5,940    0.7 
Field Service Management   7,891    0.8    6,981    0.9 
Corporate Education Software    3,724    0.4    3,306    0.4 
Office Supplies   3,604    0.4    3,726    0.5 
Cyber Security    2,484    0.3    1,636    0.2 
Staffing Services   2,080    0.2    1,912    0.2 
Facilities Maintenance    407    0.0    482    0.1 
Marketing Services   -    0.0    17,327    2.1 
Consumer Products    -    0.0    693    0.1 
Healthcare Products Manufacturing   -    0.0    714    0.1 
Healthcare Supply    -    0.0    5,194    0.6 
Dental Practice Management Software   -    0.0    35,038    4.3 
Total   $982,034    100.0%  $817,567    100.0%

 

 

(1)As of November 30, 2022 and February 28, 2022, the foregoing comprised of our investment in the subordinated notes and F-2-R-3 Notes of Saratoga CLO, as well as the unsecured notes and equity interests in the SLF JV and E-Notes of SLF 2022.

 

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The following table shows Saratoga CLO’s portfolio composition by industry grouping at fair value at November 30, 2022 and February 28, 2022:

 

Saratoga CLO

 

   November 30, 2022   February 28, 2022 
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
   ($ in thousands) 
Banking, Finance, Insurance & Real Estate   $112,491    19.0%  $123,124    19.4%
Services: Business   64,444    10.9    69,491    10.9 
High Tech Industries    54,876    9.3    60,048    9.4 
Healthcare & Pharmaceuticals   37,929    6.4    43,136    6.9 
Services: Consumer    36,096    6.1    41,393    6.5 
Telecommunications   26,192    4.4    27,058    4.2 
Consumer goods: Durable    24,499    4.1    21,085    3.2 
Retail   22,219    3.7    16,050    2.5 
Chemicals, Plastics, & Rubber    21,302    3.6    22,669    3.5 
Media: Advertising, Printing & Publishing   20,544    3.5    19,660    3.1 
Automotive    20,306    3.4    24,207    3.7 
Containers, Packaging & Glass   18,355    3.1    15,253    2.4 
Beverage, Food & Tobacco    16,960    2.9    22,086    3.4 
Aerospace & Defense   14,372    2.4    14,369    2.2 
Construction & Building    13,030    2.2    11,102    1.7 
Consumer goods: Non-durable   12,781    2.2    14,359    2.2 
Hotel, Gaming & Leisure    12,771    2.2    16,572    2.6 
Media: Broadcasting & Subscription   11,429    1.9    11,539    1.8 
Media: Diversified & Production    8,525    1.4    9,203    1.4 
Capital Equipment   8,363    1.4    10,062    1.6 
Utilities: Oil & Gas    7,256    1.2    8,095    1.3 
Transportation: Consumer   6,804    1.1    4,891    0.8 
Wholesale    5,332    0.9    4,155    0.7 
Transportation: Cargo   4,373    0.7    3,752    0.6 
Metals & Mining    3,303    0.6    6,846    1.1 
Forest Products & Paper   3,189    0.5    9,367    1.5 
Utilities: Electric    2,336    0.4    4,026    0.6 
Energy: Electricity   2,151    0.4    3,660    0.6 
Environmental Industries    489    0.1    1,550    0.2 
Energy: Oil & Gas   181    0.0    155    0.0 
Total  $592,898   $100%  $638,963   $100%

 

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Portfolio composition by geographic location at fair value

 

The following table shows our portfolio composition by geographic location at fair value at November 30, 2022 and February 28, 2022. The geographic composition is determined by the location of the corporate headquarters of the portfolio company.

 

   November 30, 2022   February 28, 2022 
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
   ($ in thousands) 
Southeast  $253,245    25.8%  $257,199    31.5%
Midwest   191,441    19.5    160,718    19.7 
West   169,670    17.3    183,643    22.5 
Northeast   147,680    15.0    85,414    10.4 
Southwest   131,471    13.4    62,475    7.6 
Northwest   2,484    0.3    1,636    0.2 
Other(1)   86,043    8.8    66,482    8.1 
Total  $982,034    100.0%  $817,567    100.0%

 

 

(1)Comprised of our investment in the subordinated notes and F-2-R-3 Notes of Saratoga CLO, as well as the unsecured notes and equity interests in the SLF JV.

 

Results of operations

 

Operating results for the three and nine months ended November 30, 2022 and November 30, 2021 was as follows:

 

   For the three months ended   For the nine months ended 
   November 30,
2022
   November 30,
2021
   November 30,
2022
   November 30,
2021
 
   ($ in thousands) 
Total investment income  $26,257   $16,502   $66,789   $51,760 
Total operating expenses   16,380    11,305    41,238    37,614 
Net investment income   9,877    5,197    25,551    14,146 
Net realized gain (loss) from investments   (740)   9,917    7,366    13,329 
Income tax (provision) benefit from realized gain on investments   479    (2,447)   549    (2,896)
Net change in unrealized appreciation (depreciation) on investments   (3,176)   (6,043)   (25,768)   14,146 
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments   (426)   2,480    (1,018)   921 
Realized losses on extinguishment of debt   0    (764)   (1,205)   (2,316)
Net increase (decrease) in net assets resulting from operations  $6,014   $8,340   $5,475   $37,330 

 

Investment income

 

The composition of our investment income for three and nine months ended November 30, 2022 and November 30, 2021 was as follows:

 

    For the three months ended     For the nine months ended  
    November 30,
2022
    November 30,
2021
    November 30,
2022
    November 30,
2021
 
    ($ in thousands)  
Interest from investments   $ 23,517     $ 14,137     $ 59,356     $ 42,938  
Interest from cash and cash equivalents     201       1       235       2  
Management fee income     818       816       2,451       2,449  
Dividend Income     437       538       950       1,595  
Structuring and advisory fee income     553       582       2,814       2,923  
Other income     731       428       983       1,853  
Total investment income   $ 26,257     $ 16,502     $ 66,789     $ 51,760  

 

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For the three months ended November 30, 2022, total investment income increased $9.8 million, or 59.1%, to $26.3 million from $16.5 million for the three months ended November 30, 2021. Interest income from investments increased $9.4 million, or 66.3%, to $23.5 million for the three months ended November 30, 2022 from $14.1 million for the three months ended November 30, 2021. Interest income from investment increased due to the increase of $320.2 million, or 48.3%, in total investments at November 30, 2022 from $661.8 million at November 30, 2021 to $982.0 million as of November 30, 2022, combined with the increase in the weighted average current yield on investments to 10.4%, up from 8.1% at November 30, 2021.

 

For the nine months ended November 30, 2022, total investment income increased $15.0 million, or 29.0%, to $66.8 million from $51.8 million for the nine months ended November 30, 2021. Interest income from investments increased $16.4 million, or 38.2%, to $59.4 million for the nine months ended November 30, 2022 from $42.9 million for the nine months ended November 30, 2021. Interest income from investment increased due to the increase of $320.2 million, or 48.3%, in total investments at November 30, 2022 from $661.8 million at November 30, 2021 to $982.0 million as of November 30, 2022.

 

For the three and nine months ended November 30, 2022 and November 30, 2021, total PIK income was $0.4 million and $0.2 million, respectively and $0.7 million and $1.3 million respectively.

 

Management fee income reflects the fee income received for managing the Saratoga CLO. For the three months ended November 30, 2022 and November 30, 2021, total management fee income was $0.8 million and $0.8 million, respectively. For the nine months ended November 30, 2022 and November 30, 2021, total management fee income was $2.5 million and $2.4 million, respectively.

 

For the three and nine months ended November 30, 2022 and November 30, 2021, total dividend income was $0.4 million and $0.5 million, respectively, and $0.9 million and $1.6 million, respectively. Dividends received is recorded in the consolidated statements of operations when earned, and the decrease primarily reflects dividend income received on various preferred equity investments last year that were not received this year.

 

For the three and nine months ended November 30, 2022 and November 30, 2021, total structuring and advisory fee income was $0.6 million and $0.6 million, respectively, and $2.8 million and $2.9 million, respectively. Structuring and advisory fee income represents fee income earned and received performing certain investment and advisory activities during the closing of new investments.

 

For the three and nine months ended November 30, 2022 and November 30, 2021, other income was $0.7 million and $0.4 million, respectively, and $1.0 million and $1.9 million, respectively. Other income includes origination fees and prepayment income fees and is recorded in the consolidated statements of operations when earned. The increase was driven primarily by amendment fees earned in the quarter, while the decrease in the nine months period related to prepayment penalties earned from certain redemptions in the prior year that did not recur this year.

 

Operating expenses

 

The composition of our operating expenses for the three and nine months ended November 30, 2022 and November 30, 2021 was as follows:

 

   For the three months ended   For the nine months ended 
   November 30,
2022
   November 30,
2021
   November 30,
2022
   November 30,
2021
 
   ($ in thousands) 
Interest and debt financing expenses  $8,450   $4,843   $23,243   $14,368 
Base management fees   4,259    2,923    12,165    8,685 
Incentive management fees expense (benefit)   1,531    2,417    217    9,698 
Professional fees   559    (104)   1,344    863 
Administrator expenses   819    750    2,342    2,156 
Insurance   89    85    266    258 
Directors fees and expenses   80    73    300    266 
General & administrative and other expenses   525    358    1,492    1,302 
Income tax expense (benefit)   68    (40)   (132)   18 
Total operating expenses  $16,380   $11,305   $41,237   $37,614 

 

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For the three months ended November 30, 2022, total operating expenses increased $5.0 million, or 44.5%, compared to the three months ended November 30, 2021. For the nine months ended November 30, 2022, total operating expenses increased $3.6 million, or 9.6%, compared to the nine months ended November 30, 2021.

 

For the three months ended November 30, 2022, interest and debt financing expenses increased $3.6 million, or 74.5%, compared to the three months ended November 30, 2021. The increase is primarily attributable to an increase in average outstanding debt from $425.9 million for the three months ended November 30, 2021 to $679.0 million for the three months ended November 30, 2022, primarily reflecting (i) the issuance of the 4.375% 2026 Notes and the 4.35% 2027 Notes during the year ended February 28, 2022, and (ii) the issuance of the 6.00% 2027 Notes and the 8.00% 2027 Notes during the three months ended November 30, 2022.

 

For the nine months ended November 30, 2022, interest and debt financing expenses increased $8.9 million, or 61.8%, compared to the nine months ended November 30, 2021. The increase is primarily attributable to an increase in average outstanding debt from $378.3 million for the nine months ended November 30, 2021 to $476.3 million for the nine months ended November 30, 2022, primarily reflecting (i) the issuance of the 4.375% 2026 Notes and the 4.35% 2027 Notes during the year ended February 28, 2022, and (ii) the issuance of the 6.00% 2027 Notes and the 8.00% 2027 Notes during the nine months ended November 30, 2022.

 

For the three and nine months ended November 30, 2022 and November 30, 2021, the weighted average interest rate on our outstanding indebtedness was 4.43% and 3.98%, respectively and 5.74% and 4.24%, respectively. The decrease in weighted average interest rate was primarily driven by the issuance of the lower-rate 4.375% 2026 Notes and 4.35% 2026 Notes, the redemption of the 6.25% 2025 Notes, the redemption of the 7.25% 2027 Notes and the issuance of lower cost SBA debentures over the past year.

 

As of November 30, 2022 and February 28, 2022, the SBA debentures represented 34.6% and 36.2% of overall debt, respectively.

 

For the three months ended November 30, 2022, base management fees increased $1.3 million, or 45.7%, from $3.0 million to $4.3 million compared to the three months ended November 30, 2021. The increase in base management fees results from the 45.7% increase in the average value of our total assets, less cash and cash equivalents, from $670.1 million for the three months ended November 30, 2021 to $976.1 million for the three months ended November 30, 2022. For the nine months ended November 30, 2022, base management fees increased $3.4 million, or 40.1%, from $8.7 million to $12.2 million compared to the nine months ended November 30, 2021. The increase in base management fees results from the 40.1% increase in the average value of our total assets, less cash and cash equivalents, from $658.7 million for the nine months ended November 30, 2021 to $922.6 million for the nine months ended November 30, 2022.

 

For the three months ended November 30, 2022, incentive management fees decreased $0.9 million, or 36.7%, compared to the three months ended November 30, 2021. The incentive fee on income increased from $1.5 million to $2.3 million for the three months ended November 30, 2021 and 2022. The incentive fee on capital gains decreased from a $0.9 million expense for the three months ended November 30, 2021 to a $(0.8) million benefit for the three months ended November 30, 2022, both reflecting the incentive fee income on net unrealized appreciation and depreciation recognized during both these periods.

 

For the nine months ended November 30, 2022, incentive management fees decreased $9.5 million, or 97.8%, compared to the nine months ended November 30, 2021. The incentive fee on income decreased from $4.8 million for the nine months ended November 30, 2021 to $4.0 million for the nine months ended November 30, 2022, reflecting the Company’s net investment income being below the hurdle based on net asset value for incentive fee purposes for part of the nine months. The incentive fee on capital gains decreased from a $4.9 million expense for the nine months ended November 30, 2021 to a $(3.7) million benefit for the nine months ended November 30, 2022, both reflecting the incentive fee income on net unrealized appreciation and depreciation recognized during both these periods. 

 

For the three and nine months ended November 30, 2022, professional fees increased $0.7 million, or 74.5%, and increased $0.5 million, or 55.7%, respectively, compared to the three and nine months ended November 30, 2021.

 

For the three and nine months ended November 30, 2022, administrator expenses increased $0.07 million, or 634.8%, and increased $0.5 million or 55.7% compared to the three and nine months ended November 30, 2022.

 

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As discussed above, the increase in interest and debt financing expenses for the three months ended November 30, 2022 compared to the three months ended November 30, 2021 is primarily attributable to an increase in the average dollar amount of outstanding debt. During the three months ended November 30, 2022 and November 30, 2021, the average borrowings outstanding under the Encina Credit Facility and the Madison Credit Facility was $32.8 million and $9.2 million, respectively, and the average weighted average interest rate on the outstanding borrowing under the Encina Credit Facility and the Madison Credit Facility was 7.19% and 4.94%, respectively. For the three months ended November 30, 2022 and November 30, 2021, the average borrowings outstanding of SBA debentures was $242.7 million and $176.6 million, respectively. For the three months ended November 30, 2022 and November 30, 2021, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 2.86% and 2.44%, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 6.25% 2025 Notes outstanding was $0.0 million and $0.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the weighted average dollar amount of our 7.25% 2025 Notes outstanding was $0.0 million and $43.1 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the weighted average dollar amount of our 7.75% 2025 Notes outstanding was $5.0 million and $5.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 6.25% 2027 Notes outstanding was $15.0 million and $15.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 4.375% 2026 Notes outstanding was $175.0 million and $175.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 4.35% 2027 Notes outstanding was $75.0 million and $0.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 6.00% 2027 Notes outstanding was $105.5 million and $0.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 8.00% 2027 Notes outstanding was $16.9 million and $0.0 million, respectively. During the three months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 7.00% 2025 Notes outstanding was $11.0 million and $0.0 million, respectively.

 

As discussed above, the increase in interest and debt financing expenses for the nine months ended November 30, 2022 compared to the nine months ended November 30, 2021 is primarily attributable to an increase in the average dollar amount of outstanding debt. During the nine months ended November 30, 2022 and November 30, 2021, the average borrowings outstanding under the Encina Credit Facility and the Madison Credit Facility was $25.9 million and $12.5 million, respectively, and the average weighted average interest rate on the outstanding borrowing under the Encina Credit Facility and the Madison Credit Facility was 6.16% and 4.02%, respectively. For the nine months ended November 30, 2022 and November 30, 2021, the average borrowings outstanding of SBA debentures was $226.5 million and $172.0 million, respectively. For the nine months ended November 30, 2022 and November 30, 2021, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 2.74% and 2.66%, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 6.25% 2025 Notes outstanding was $0.0 million and $39.3 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the weighted average dollar amount of our 7.25% 2025 Notes outstanding was $18.0 million and $43.1 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the weighted average dollar amount of our 7.75% 2025 Notes outstanding was $5.0 million and $5.0 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 6.25% 2027 Notes outstanding was $15.0 million and $15.0 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 4.375% 2026 Notes outstanding was $175.0 million and $115.3 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 4.35% 2027 Notes outstanding was $75.0 million and $0.0 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 6.00% 2027 Notes outstanding was $82.5 million and $0.0 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 8.00% 2027 Notes outstanding was $5.6 million and $0.0 million, respectively. During the nine months ended November 30, 2022 and November 30, 2021, the average dollar amount of our 7.00% 2025 Notes outstanding was $3.7 million and $0.0 million, respectively.

 

For the three months ended November 30, 2022 and November 30, 2021, there were income tax expense (benefits) of $0.07 million and $(0.04) million, respectively. For the nine months ended November 30, 2022 and November 30, 2021, there were income tax expense (benefits) of $(0.1) million and $0.02 million, respectively. This relates to net deferred federal and state income tax expense (benefit) with respect to operating gains and losses and income derived from equity investments held in the taxable blockers, as well as current federal and state income taxes on those operating gains and losses when realized.

 

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Net realized gains (losses) on sales of investments

 

For the three months November 30, 2022, the Company had $56.9 million of sales, repayments, exits or restructurings resulting in $0.7 million of net realized losses. For the nine months ended November 30, 2022, the Company had $162.1 million of sales, repayments, exits or restructurings resulting in $7.4 million of net realized gains.

 

Nine Months ended November 30, 2022
                
Issuer  Asset Type  Gross Proceeds   Cost   Net
Realized
Gain (Loss)
 
PDDS Buyer, LLC  Equity Interests  $9,943,838   $2,000,000   $7,943,838 
Ohio Medical, LLC  Equity Interests   770,161    380,353    389,808 
Targus Holdings, Inc.  Equity Interests   294,087    1,424,329    (1,130,242)
Censis Technologies, Inc.  Equity Interests   -    -    68,731 
Texas Teachers of Tomorrow, LLC  Equity Interests   -    -    24,977 
V Rental Holdings LLC  Equity Interests   -    -    68,800 

 

The $7.9 million of net realized gains was from the sale of the equity position in the Company’s PPDS Buyer, LLC investment.

 

The $0.4 million of net realized gain was from the sale of the equity position in the Company’s Ohio Medical, LLC investment.

 

The $1.1 million of net realized loss was from the sale of the equity position in the Company’s Targus Holdings, Inc investment.

 

The Company received escrow payments from the prior sales of its investments in Censis Technologies, Inc., Texas Teachers of Tomorrow, LLC and V Rental Holdings LLC.

 

For the nine months ended November 30, 2021, the Company had $216.2 million of sales, repayments, exits or restructurings resulting in $13.3 million of net realized gains. 

 

Nine Months ended November 30, 2021
                
Issuer  Asset Type  Gross Proceeds   Cost   Net
Realized
Gain
 
GreyHeller LLC  Equity Interests  $8,178,457   $850,000   $7,328,457 
Lexipol, LLC  Equity Interests   10,792,127    10,792,268    (141)
My Alarm Center, LLC  Equity Interests   -    4,867,102    (4,867,102)
Passageways, Inc.  Equity Interests   7,439,802    1,000,000    6,439,802 
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-1-R-3 Note  Structured Finance Securities   8,360,133    8,500,000    (139,867)
Texas Teachers of Tomorrow, LLC  Equity Interests   3,338,611    750,000    2,588,611 
V Rental Holdings LLC  Equity Interests   2,344,817    365,914    1,978,903 

 

The $7.3 million of net realized gains was from the sale of the equity position in the Company’s GreyHeller LLC investment.

 

The $4.9 million of net realized loss was from the Company’s My Alarm Center, LLC investment that was deemed worthless during this period.

 

The $6.4 million of net realized gains was from the sale of the equity position in the Company’s Passageways Inc. investment.

 

The $0.1 million of net realized loss was from the repayment of the structured finance securities in the Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-1-R-3 Note.

 

The $2.6 million of net realized gains was from the sale of the equity position in the Company’s Texas Teachers of Tomorrow, LLC investment.

 

The $1.9 million of net realized gains was from the sale of the equity position in the Company’s V Rental Holdings LLC investment.

 

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Net change in unrealized appreciation (depreciation) on investments

 

For the nine months ended November 30, 2022, our investments had a net change in unrealized depreciation of $25.7 million versus a net change in unrealized appreciation of $14.1 million for the nine months ended November 30, 2021. The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2022 were the following (dollars in thousands):

 

Nine Months ended November 30, 2022
Issuer   Asset Type   Cost     Fair Value     Total
Unrealized
Appreciation
(Depreciation)
    YTD
Change in
Unrealized
Appreciation
(Depreciation)
 
Pepper Palace, Inc.   First Lien Term Loan & Equity Interests   $ 34,314     $ 24,325     $ (9,989 )   $ (9,470)  
Artemis Wax Corp.   First Lien Term Loan & Equity Interests     64,663       68,576       3,913       2,453  
Vector Controls Holding Co., LLC   First Lien Term Loan & Equity Interests     3,478       9,091       5,613       2,194  
Axero Holdings, LLC   First Lien Term Loan & Equity Interests     10,546       12,506       1,961       1,412  
Destiny Solutions Inc.   Equity Interests     3,969       8,743       4,774       1,111  
Zollege PBC   First Lien Term Loan & Equity Interests     16,641       15,377       (1,264 )     (1,130 )
Netreo Holdings, LLC   First Lien Term Loan & Equity Interests     33,419       42,394       8,975       (1,668 )
PDDS Buyer, LLC   First Lien Term Loan & Equity Interests     -       -       -       (5,094 )
Saratoga Investment Corp. CLO 2013-1, Ltd.   Structured Finance Securities     29,969       19,427       (10,542 )     (6,923 )
Saratoga Senior Loan Fund I JV, LLC   Equity Interests     35,202       26,781       (8,421 )     (7,312 )

 

The $9.5 million of unrealized depreciation in our investment Pepper Palace, Inc. was driven by overall company performance.

 

The $2.5 million of unrealized appreciation in our investment in Artemis Wax Corp. was driven by growth and improved financial performance.

 

The $2.2 million of unrealized appreciation in our investment in Vector Controls Holdings Co., LLC was driven by overall company performance.

 

The $1.4 million of unrealized appreciation in our investment in Axero Holdings, LLC was driven by growth and improved financial performance.

 

The $1.1 million of unrealized appreciation in our investment in Destiny Solutions Inc. was driven by growth and improved financial performance.

 

The $1.1 million of unrealized depreciation in our investment in Zollege PBC was driven by overall company performance.

 

The $1.7 million of unrealized depreciation in our investment Netreo Holdings, LLC was driven by increased company leverage.

 

The $5.1 million of unrealized depreciation in our investment PDDS Buyer, LLC was driven by the sale of that investment, resulting in a reversal of previously recognized unrealized appreciation reclassified to realized gains.

 

The $6.9 million of unrealized depreciation in our investment Saratoga Investment Corp. CLO 2013-1, Ltd. was driven by the increase in discount rates, the impact of changes in LIBOR rates and overall market conditions.

 

The $7.3 million of unrealized depreciation in our investment Saratoga Senior Loan Fund I, JV, LLC was driven by the increase in discount rates and overall market conditions.

 

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The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2021 were the following (dollars in thousands):

 

Nine Months ended November 30, 2021
Issuer  Asset Type  Cost   Fair Value   Total
Unrealized
Appreciation
   YTD
Change in
Unrealized
Appreciation
 
My Alarm Center, LLC  Equity Interests  $-   $-   $-   $4,686 
C2 Educational Systems, Inc.  First Lien Term Loan & Equity Interests   18,979    17,896    (1,083)   1,416 
Netreo Holdings, LLC  First Lien Term Loan & Equity Interests   24,056    33,934    9,878    4,290 
PDDS Buyer, LLC  First Lien Term Loan & Equity Interests   22,865    26,400    3,535    2,711 
Schoox, Inc.  Equity Interests   476    3,447    2,971    2,971 
Top Gun Pressure Washing, LLC  First Lien Term Loan & Equity Interests   10,908    10,995    87    1,154 
Destiny Solutions Inc.  First Lien Term Loan & Equity Interests   3,969    6,622    2,653    1,626 

Village Realty Holdings LLC & V Rental Holdings LLC

  First Lien Term Loan & Equity Interests   -    -    -    (2,183)
Passageways, Inc.  First Lien Term Loan & Equity Interests   -    -    -    (2,311)

 

The $4.7 million net change in unrealized appreciation in our investment in My Alarm Center, LLC was driven by the reversal of previously recognized unrealized depreciation reclassified to realized losses.

 

The $1.4 million net change in unrealized appreciation in our investment in C2 Education Systems was driven by improved financial performance.

 

The $4.3 million net change in unrealized appreciation in our investment in Netreo Holdings, LLC was driven by growth and improved financial performance.

 

The $2.7 million net change in unrealized appreciation in our investment in PDDS Buyer, LLC was driven by overall strong company performance.

 

The $3.0 million net change in unrealized appreciation in our investment in Schoox, Inc. was driven by overall strong company performance.

 

The $1.2 million net change in unrealized appreciation in our investment in Top Gun Pressure Washing, LLC was driven by growth, improved financial performance, and a reduced leverage profile.

 

The $1.6 million net change in unrealized appreciation in our investment in Destiny Solutions Inc. was driven by growth and overall strong financial performance.

 

The $2.2 million net change in unrealized depreciation in our investment in Village Realty Holdings, LLC was driven by the sale of that investment, resulting in a reversal of previously recognized unrealized appreciation reclassified to realized gains.

 

The $2.3 million net change in unrealized depreciation in our investment in Passageways, Inc. was driven by the sale of that investment, resulting in a reversal of previously recognized unrealized appreciation reclassified to realized gains.

 

Changes in net assets resulting from operations

 

For the three months ended November 30, 2022, we recorded a net increase in net assets resulting from operations of $6.0 million. Based on 11,893,173 weighted average common shares outstanding as of November 30, 2022, our per share net increase in net assets resulting from operations was $0.51 for the three months ended November 30, 2022. For the three months ended November 30, 2021, we recorded a net increase in net assets resulting from operations of $8.3 million. Based on 11,450,181 weighted average common shares outstanding as of November 30, 2021, our per share net increase in net assets resulting from operations was $0.73 for the three months ended November 30, 2021. 

 

For the nine months ended November 30, 2022, we recorded a net increase in net assets resulting from operations of $5.5 million. Based on 11,989,811 weighted average common shares outstanding as of November 30, 2022, our per share net decrease in net assets resulting from operations was $0.46 for the nine months ended November 30, 2022. For the nine months ended November 30, 2021, we recorded a net increase in net assets resulting from operations of $37.3 million. Based on 11,312,991 weighted average common shares outstanding as of November 30, 2021, our per share net decrease in net assets resulting from operations was $3.30

 

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FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

 

We intend to continue to generate cash primarily from cash flows from operations, including interest earned from our investments in debt in middle market companies, interest earned from the temporary investment of cash in U.S. government securities and other high- quality debt investments that mature in one year or less, the Encina Credit Facility, our continued access to the SBA debentures, future borrowings and future offerings of debt and equity securities.

 

Although we expect to fund the growth of our investment portfolio through the net proceeds from future equity offerings, including our dividend reinvestment plan (“DRIP”) and our equity ATM program, and issuances of senior securities or future borrowings, to the extent permitted by the 1940 Act, we cannot assure you that our plans to raise capital will be successful. In this regard, because our common stock has historically traded at a price below our current net asset value per share and we are limited in our ability to sell our common stock at a price below net asset value per share, we have been and may continue to be limited in our ability to raise equity capital.

 

In addition, we intend to distribute to our stockholders substantially all of our operating taxable income in order to satisfy the distribution requirement applicable to RICs under the Code. In satisfying this distribution requirement, in accordance with certain applicable provisions of the Code and the Treasury regulations and a revenue procedure issued by the Internal Revenue Service (“IRS”), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation that the aggregate amount of cash to be distributed to all stockholders must be at least 20% of the aggregate declared distribution. We may rely on the revenue procedure in future periods to satisfy our RIC distribution requirement.

 

Also, as a BDC, we generally are required to meet a coverage ratio of total assets, less liabilities and indebtedness not represented by senior securities, to total senior securities, which include all of our borrowings and any outstanding preferred stock, of at least 200.0%, reduced to 150.0% effective April 16, 2019 following the approval received from the board of directors, including a majority of our independent directors, on April 16, 2018. This requirement limits the amount that we may borrow. Our asset coverage ratio, as defined in the 1940 Act, was 173.2% as of November 30, 2022 and 209.3% as of February 28, 2022. To fund growth in our investment portfolio in the future, we anticipate needing to raise additional capital from various sources, including the equity markets and other debt-related markets, which may or may not be available on favorable terms, if at all.

 

Consequently, we may not have the funds or the ability to fund new investments, to make additional investments in our portfolio companies, to fund our unfunded commitments to portfolio companies, to pay dividends or to repay borrowings. Also, the illiquidity of our portfolio investments may make it difficult for us to sell these investments when desired and, if we are required to sell these investments, we may realize significantly less than their recorded value.

 

Due to the diverse capital sources available to us at this time, we believe we have adequate liquidity to support our near-term capital requirements. As the impact of COVID-19 continues to evolve, we will continually evaluate our overall liquidity position and take proactive steps to maintain that position based on the current circumstances. This “Financial Condition, Liquidity and Capital Resources” section should be read in conjunction with “Recent COVID-19 Developments” above, as well as with the notes of our consolidated financial statements.

  

Madison Revolving Credit Facility

 

The senior secured revolving credit facility we entered into with Madison Capital Funding LLC (the “Madison Credit Facility”) on June 30, 2010, was most recently amended on September 3, 2021 and then fully repaid and terminated on October 4, 2021.

 

Encina Credit Facility

 

Below is a summary of the terms of the senior secured revolving credit facility we entered into with Encina Lender Finance, LLC on October 4, 2021.

 

Commitment. The Company entered into a senior secured revolving credit facility in the initial facility amount of $50.0 million (the “Facility Amount”). The Company has the ability to request an increase in the Facility Amount during the first two years following the closing date to up to $75.0 million. The commitment termination date is October 4, 2024.

 

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Availability. The Company can draw up to the lesser of (i) the Facility Amount and (ii) the Borrowing Base. The Borrowing Base is an amount equal to (i) the difference of (A) the product of the applicable advance rate which varies from 50.0% to 75.0% depending on the type of loan asset (Defaulted Loans being excluded in that they carry an advance rate of 0%) and the value, determined in accordance with the Encina Credit Facility (the “Adjusted Borrowing Value”), of certain “eligible” loan assets pledged as security for the loan (the “Borrowing Base Value”) and (B) the Excess Concentration Amount, as calculated in accordance with the Encina Credit Facility, plus (ii) any amounts held in the Prefunding Account and, without duplication, Excess Cash held in the Collection Account, less (iii) the product of (a) the amount of any undrawn funding commitments the Company has under any loan asset and (b) the Unfunded Exposure Haircut Percentage, and less (iv) $100,000. Each loan asset held by the Company as of the date on which the Encina Credit Facility was closed was valued as of that date and each loan asset that the Company acquires after such date will be valued at the lowest of its fair value, its face value (excluding accrued interest) and the purchase price paid for such loan asset. Adjustments to the value of a loan asset will be made to reflect, among other things and under certain circumstances, changes in its fair value, a default by the obligor on the loan asset, insolvency of the obligor, acceleration of the loan asset, and certain modifications to the terms of the loan asset.

 

The Encina Credit Facility contains limitations on the type of loan assets that are “eligible” to be included in the Borrowing Base and as to the concentration level of certain categories of loan assets in the Borrowing Base such as restrictions on geographic and industry concentrations, asset size and quality, payment frequency, status and terms, average life, and collateral interests. In addition, if an asset is to remain an “eligible” loan asset, the Company may not make changes to the payment, amortization, collateral and certain other terms of the loan assets without the consent of the administrative agent that will either result in subordination of the loan asset or be materially adverse to the lenders.

 

The Encina Credit Facility requires certain minimum drawn amounts. For the period beginning on the closing date and ended April 4, 2022, the minimum funding amount was $12.5 million. For the period beginning on April 5, 2022 through maturity, the minimum funding amount is the greater of $25.0 million and 50% of the Facility Amount in effect from time to time.

 

Collateral. The Encina Credit Facility is secured by assets of Saratoga Investment Funding II LLC (“SIF II”) and pledged to the lender under the credit facility. SIF II is a wholly owned special purpose entity formed by the Company for the purpose of entering into the Encina Credit Facility.

 

Interest Rate and Fees. Under the Encina Credit Facility, funds are borrowed from or through certain lenders at the greater of the prevailing LIBOR rate and 0.75%, plus an applicable margin of 4.00%. The Encina Credit Facility includes benchmark replacement provisions which permit the Administrative Agent and the Borrower to select a replacement rate upon the unavailability of LIBOR. In addition, the Company pays the lenders a commitment fee of 0.75% per year (or 0.50% if the ratio of advances outstanding to aggregate commitments is greater than or equal to 50%) on the unused amount of the Encina Credit Facility for the duration of the term of the credit facility. Accrued interest and commitment fees are payable monthly in arrears. The Company was also obligated to pay certain other fees to the lenders in connection with the closing of the Encina Credit Facility.

 

Collateral Tests. It is a condition precedent to any borrowing under the Encina Credit Facility that the principal amount outstanding under the Encina Credit Facility, after giving effect to the proposed borrowings, not exceed the Borrowing Base (the “Borrowing Base Test”). In addition to satisfying the Borrowing Base Test, the following tests must also be satisfied (together with Borrowing Base Test, the “Collateral Tests”):

 

  Interest Coverage Ratio. The ratio (expressed as a percentage) of interest collections with respect to pledged loan assets, less certain fees and expenses relating to the Encina Credit Facility, to accrued interest and commitment fees payable to the lenders under the Encina Credit Facility for the last 6 payment periods must equal at least 175.0%.

 

  Overcollateralization Ratio. The ratio (expressed as a percentage) of the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets plus the fair value of certain ineligible pledged loan assets (in each case, subject to certain adjustments) to outstanding borrowings under the Encina Credit Facility plus the Unfunded Exposure Amount must equal at least 200.0%.

 

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The Encina Credit Facility also may require payment of outstanding borrowings or replacement of pledged loan assets upon the Company’s breach of its representation and warranty that pledged loan assets included in the Borrowing Base are “eligible” loan assets. Such ineligible collateral loans will be excluded from the calculation of the Borrowing Base and may lead to a Borrowing Base Deficiency, which may be cured by effecting one or more (or any combination thereof) of the following actions: (A) deposit into or credit to the collection account cash and eligible investments, (B) repay outstanding borrowings (together with certain costs and expenses), (C) sell or substitute loan assets in accordance with the Encina Credit Facility, or (D) pledge additional loan assets as collateral. Compliance with the Collateral Tests is also a condition to the discretionary sale of pledged loan assets by the Company.

 

Priority of Payments. The priority of payments provisions of the Encina Credit Facility require, after payment of specified fees and expenses, that collections of interest from the loan assets and, to the extent that these are insufficient, collections of principal from the loan assets, be applied on each payment date to payment of outstanding borrowings if the Borrowing Base Test, the Overcollateralization Ratio and the Interest Coverage Ratio would not otherwise be met.

 

Operating Expenses. The priority of payments provision of the Encina Credit Facility provides for the payment of certain operating expenses of the Company out of collections on interest and principal in accordance with the priority established in such provision. The operating expenses payable pursuant to the priority of payment provisions is limited to $200,000 per annum.

 

Covenants; Representations and Warranties; Events of Default. The Encina Credit Facility contains customary representations and warranties, affirmative covenants, negative covenants and events of default. The Encina Credit Facility does not contain grace periods for breach by the Company of any negative covenants or of certain of the affirmative covenants, including, without limitation, those related to preservation of the existence and separateness of the Company. Other events of default under the Encina Credit Facility include, among other things, the following:

 

  failure of the Company to maintain an Interest Coverage Ratio of less than 175.0%;

 

  failure of the Company to maintain an Overcollateralization Ratio of less than 200.0%;

 

  the filing of certain ERISA or tax liens on assets of the Company or the Equityholder;

 

  failure by Specified Holders to collectively, directly or indirectly, own and control at least 51% of the outstanding equity interests of Saratoga Investment Advisor, or (y) possess the right to elect (through contract, ownership of voting securities or otherwise) at all times a majority of the board of directors (or similar governing body) of Saratoga Investment Advisor and to direct the management policies and decisions of Saratoga Investment Advisor, or (ii) the dissolution, termination or liquidation in whole or in part, transfer or other disposition, in each case, of all or substantially all of the assets of, Saratoga Investment Advisor;

 

  indictment or conviction of Saratoga Investment Advisors or any “key person” for a felony offense, or any fraud, embezzlement or misappropriation of funds by Saratoga Investment Advisors or any “key person” and, in the case of “key persons,” without a reputable, experienced individual reasonably satisfactory to Encina Lender Finance appointed to replace such key person within 30 days;

 

  resignation, termination, disability or death of a “key person” or failure of any “key person” to provide active participation in Saratoga Investment Advisors’ daily activities, all without a reputable, experienced individual reasonably satisfactory to Encina Lender Finance appointed within 30 days.

 

Fees and Expenses. The Company paid certain fees and reimbursed Encina Lender Finance, LLC for the aggregate amount of all documented, out-of-pocket costs and expenses, including the reasonable fees and expenses of lawyers, incurred by Encina Lender Finance, LLC in connection with the Encina Credit Facility and the carrying out of any and all acts contemplated thereunder up to and as of the date of closing. These amounts totaled $1.4 million.

 

As of November 30, 2022, we had $25.0 million outstanding borrowings under the Encina Credit Facility and $242.6 million of SBA- guaranteed debentures outstanding (which are discussed below).

 

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SBA-guaranteed debentures

 

In addition, we, through three wholly owned subsidiaries, sought and obtained licenses from the SBA to operate an SBIC. In this regard, on March 28, 2012, our wholly owned subsidiary, Saratoga Investment Corp. SBIC LP, received a license from the SBA to operate as an SBIC under Section 301(c) of the Small Business Investment Act of 1958. On August 14, 2019, our wholly owned subsidiary, Saratoga Investment Corp. SBIC II LP, also received a license. On September 29, 2022, our wholly owned subsidiary, Saratoga Investment Corp. SBIC III LP (“SBIC III LP”), also received an SBIC license from the SBA. SBICs are designated to stimulate the flow of private equity capital to eligible small businesses. Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the equity securities of small businesses.

 

The SBIC licenses allows our SBIC subsidiaries to obtain leverage by issuing SBA-guaranteed debentures. SBA-guaranteed debentures are non-recourse, interest only debentures with interest payable semi-annually and have a ten-year maturity. The principal amount of SBA-guaranteed debentures is not required to be paid prior to maturity but may be prepaid at any time without penalty. The interest rate of SBA-guaranteed debentures is fixed on a semi-annual basis at a market-driven spread over U.S. Treasury Notes with 10-year maturities.

 

The SBIC LP, SBIC II LP, and SBIC III LP are regulated by the SBA. SBA regulations previously limited the amount that our SBIC subsidiary may borrow to a maximum of $150.0 million when it has at least $75.0 million in regulatory capital, receives a capital commitment from the SBA and has been through an examination by the SBA subsequent to licensing. This maximum has been increased by SBA regulators for new licenses to $175.0 million of SBA debentures when it has at least $87.5 million in regulatory capital. SBIC II LP’s SBIC license provides up to $175.0 million in additional long-term capital in the form of SBA-guaranteed debentures. SBIC III LP’s SBIC license provides up to $175.0 million in additional long-term capital in the form of SBA-guaranteed debentures. Under current SBIC regulations, for two or more SBICs under common control, the maximum amount of outstanding SBA debentures cannot exceed $350.0 million with at least $175.0 million in combined regulatory capital. Our wholly owned SBIC subsidiaries are able to borrow funds from the SBA against regulatory capital (which generally approximates equity capital in the respective SBIC) and is subject to customary regulatory requirements, including, but not limited to, a periodic examination by the SBA. With the third license approval, Saratoga can grow its SBA relationship from $150.0 million to $350.0 million of committed capital.

 

We received exemptive relief from the SEC to permit us to exclude the senior securities issued by of our SBIC subsidiaries from the definition of senior securities in the asset coverage requirement applicable to the Company under the 1940 Act. This allows us increased flexibility under the asset coverage requirement by permitting us to borrow up to $325.0 million more than we would otherwise be able to absent the receipt of this exemptive relief. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, our independent directors approved of our becoming subject to a reduced minimum asset coverage ratio of 150.0% from 200% under Sections 18(a)(1) and 18(a)(2) of the 1940 Act. The 150% asset coverage ratio became effective on April 16, 2019.

 

As of November 30, 2022, SBIC LP had $75.0 million in regulatory capital and $67.7 million in SBA-guaranteed debentures outstanding, SBIC II LP had $87.5 million in regulatory capital and $175.0 million in SBA-guaranteed debentures outstanding and SBIC III LP subsidiary had $35.0 million in regulatory capital and $0.0 million in SBA-guaranteed debentures outstanding.

 

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Unsecured notes

 

In May 2013, the Company issued $48.3 million in aggregate principal amount of 7.50% fixed-rate notes due 2020 (the “2020 Notes”). The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the NYSE.

 

On May 29, 2015, we entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co Inc. through which we may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an ATM offering. Prior to the 2020 Notes being redeemed in full, the Company had sold 539,725 2022 Notes with a principal of $13.5 million at an average price of $25.31 for aggregate net proceeds of $13.4 million (net of transaction costs).

 

On December 21, 2016, we issued $74.5 million in aggregate principal amount of our 2023 Notes for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The net proceeds from the offering were used to repay all of the outstanding indebtedness under the 2020 Notes (as described above), and for general corporate purposes in accordance with our investment objective and strategies. On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.5 million, respectively, in aggregate principal amount of the $74.5 million in aggregate principal amount of the issued and outstanding 2023 Notes and are no longer listed on the NYSE.

 

On August 28, 2018, the Company issued $40.0 million in aggregate principal amount of the 6.25% 2025 Notes for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.3 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $5.0 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

On February 5, 2019, the Company issued an additional $20.0 million in aggregate principal amount of the 6.25% 2025 Notes for net proceeds of $19.2 million after deducting underwriting commissions of approximately $0.6 million and discount of $0.2 million. The additional 6.25% 2025 Notes were treated as a single series with the existing 6.25% 2025 Notes under the indenture and had the same terms as the existing 6.25% 2025 Notes. Offering costs incurred were approximately $0.2 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $2.5 million in aggregate principal amount of 6.25% 2025 Notes within 30 days. The net proceeds from this offering were used for general corporate purposes in accordance with our investment objective and strategies. The financing costs and discount of $1.0 million related to the 6.25% 2025 Notes have been capitalized and were amortized over the term of the 6.25% 2025 Notes.

 

On August 31, 2021, the Company redeemed $60.0 million in aggregate principal amount of the issued and outstanding 6.25% 2025 Notes at par. The 6.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAF” with a par value of $25.00 per note and have been delisted following the full redemption on August 31, 2021.

 

On June 24, 2020, the Company issued $37.5 million in aggregate principal amount of our 7.25% 2025 Notes for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds to the Company were $5.4 million after deducting underwriting commissions of approximately $0.2 million.  The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and were amortized over the term of the 7.25% 2025 Notes.

 

On July 14, 2022, the Company redeemed $43.1 million in aggregate principal amount of the issued and outstanding 7.25% 2025 Notes. The 7.25% 2025 Notes were listed on the NYSE under the trading symbol of “SAK” and have been delisted following the full redemption on July 14, 2022.

 

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On July 9, 2020, the Company issued $5.0 million in aggregate principal amount of our 7.75% 2025 Notes for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% Notes 2025 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year. The 7.75% Notes 2025 mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option, subject to a fee depending on the date of repayment. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% 2025 Notes have been capitalized and are being amortized over the term of the 7.75% 2025 Notes. The 7.75% 2025 Notes are unlisted and have a par value of $25.00 per note.

 

At November 30, 2022, the total 7.75% 2025 Notes outstanding was $5.0 million.

 

On December 29, 2020, the Company issued $5.0 million in aggregate principal amount of our 6.25% Notes 2027.  Offering costs incurred were approximately $0.1 million.  Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% Notes 2027 mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the 6.25% Notes 2027. The 6.25% Notes 2027 are not listed and have a par value of $25.00 per note.

 

On January 28, 2021, the Company issued $10.0 million in aggregate principal amount of the 6.25% Notes 2027 for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million. Offering costs incurred were approximately $0.0 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year. The 6.25% Notes 2027 mature on January 28, 2027 and commencing January 28, 2023, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the 6.25% Notes 2027.

 

At November 30, 2022, the total 6.25% 2027 Notes outstanding was $15.0 million.

 

On March 10, 2021, the Company issued $50.0 million in aggregate principal amount of the 4.375% Notes 2026 for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.2 million.  Interest on the 4.375% Notes 2026 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year. The 4.375% Notes 2026 mature on February 28, 2026 and may be redeemed in whole or in part at any time on or after November 28, 2025 at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% Notes 2026 have been capitalized and are being amortized over the term of the 4.375% Notes 2026.

 

On July 15, 2021, the Company issued an additional $125.0 million in aggregate principal amount of the 4.375% Notes 2026 (the “Additional 4.375% 2026 Notes”) for net proceeds for approximately $123.5 million, based on the public offering price of 101.00% of the aggregate principal amount of the Additional 4.375% 2026 Notes, after deducting the underwriting discount of $2.5 million and offering expenses of $0.2 million payable by the Company. The net proceeds from the offering were used to redeem all of the outstanding 6.25% 2025 Notes (as described above), and for general corporate purposes in accordance with our investment objective and strategies. The Additional 4.375% 2026 Notes were treated as a single series with the existing 4.375% 2026 Notes under the indenture and had the same terms as the existing 4.375% 2026 Notes.

 

At November 30, 2022, the total 4.375% Notes 2026 outstanding was $175.0 million.

 

On January 19, 2022, the Company issued $75.0 million in aggregate principal amount of the 4.35% Notes 2027 for net proceeds of $73.0 million, based on the public offering price of 99.317% of the aggregate principal amount of the 4.35% Notes 2027, after deducting the underwriting commissions of approximately $1.5 million. Offering costs incurred were approximately $0.2 million.  Interest on the 4.35% Notes 2027 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.35% per year. The 4.35% Notes 2027 mature on February 28, 2027 and may be redeemed in whole or in part at the Company’s option at any time prior to November 28, 2026, at par plus a “make-whole” premium, and thereafter at par. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.7 million related to the 4.35% Notes 2027 have been capitalized and are being amortized over the term of the 4.35% Notes 2027.

 

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At November 30, 2022 the total 4.35% Notes 2027 outstanding was $75.0 million.

 

On April 27, 2022, the Company issued $87.5 million in aggregate principal amount of the 6.00% Notes 2027 for net proceeds of $84.8 million after deducting underwriting commissions of approximately $2.7 million. Offering costs incurred were approximately $0.1 million. On May 10, 2022, the underwriters partially exercised their option to purchase an additional $10.0 million in aggregate principal amount of the 6.00% Notes 2027. Net proceeds to the Company were $9.7 million after deducting underwriting commissions of approximately $0.3 million. Interest on the 6.00% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.00% per year. The 6.00% Notes 2027 mature on April 30, 2027 and commencing April 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $3.3 million related to the 6.00% Notes 2027 have been capitalized and are being amortized over the term of the 6.00% Notes 2027. The 6.00% Notes 2027 are listed on the NYSE under the trading symbol “SAT” with a par value of $25.00 per note.

 

On August 15, 2022, the Company issued an additional $8.0 million in aggregate principal amount of the 6.00% 2027 Notes for net proceeds of $7.8 million, based on the public offering price of 97.80% of the aggregate principal amount of the 6.00% 2027 Notes. The Additional 6.00% 2027 Notes are treated as a single series with the existing 6.00% 2027 Notes under the indenture and had the same terms as the existing 6.00% 2027 Notes. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Additional offering costs incurred were approximately $0.03 million. Additional financing costs of $0.03 million related to the 6.00% 2027 Notes have been capitalized and are being amortized over the term of the 6.00% 2027 Notes.

 

At November 30, 2022 the total 6.00% Notes 2027 outstanding was $105.5 million.

 

On September 8, 2022, the Company issued $12.0 million in aggregate principal amount of the 7.00% 2025 Notes for net proceeds of $11.6 million after deducting bond issuance discounts of approximately $0.4 million. Interest on the 7.00% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.00% per year. The 7.00% 2025 Notes mature on September 8, 2025 and commencing September 8, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.05 million related to the 7.00% 2025 Notes have been capitalized and are being amortized over the term of the 7.00% 2025 Notes.

 

At November 30, 2022 the total 7.00% Notes 2025 outstanding was $12.0 million.

 

On October 27, 2022, the Company issued $40.0 million in aggregate principal amount of the 8.00% 2027 Notes for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.1 million. On November 10, 2022, the underwriters partially exercised their option to purchase an additional $6.0 million in aggregate principal amount of the 8.00% 2027 Notes. Net proceeds to the Company were $5.8 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 8.00% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.00% per year, beginning February 28, 2023. The 8.00% 2027 Notes mature on October 31, 2027 and commencing October 27, 2024, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.3 million related to the 8.00% 2027 Notes have been capitalized and are being amortized over the term of the 8.00% 2027 Notes. The 8.00% 2027 Notes are listed on the NYSE under the trading symbol “SAJ” with a par value of $25.00 per note.

 

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At November 30, 2022 the total 8.00% Notes 2027 outstanding was $46.0 million.

 

At November 30, 2022 and February 28, 2022, the fair value of investments, cash and cash equivalents and cash and cash equivalents, reserve accounts were as follows:

  

   November 30, 2022   February 28, 2022 
   Fair Value   Percentage of
Total
   Fair Value   Percentage of
Total
 
   ($ in thousands) 
Cash and cash equivalents  $5,672    0.5%  $47,258    5.4%
Cash and cash equivalents, reserve accounts   41,376    4.0    5,613    0.6 
First lien term loans   804,242    76.2    631,573    72.6 
Second lien term loans   23,780    4.3    44,385    5.1 
Unsecured term loans   20,599    2.0    38,030    4.4 
Structured finance securities   38,900    3.8    15,931    1.8 
Equity interests   94,513    9.2    87,648    10.1 
Total  $1,029,082    100.0%  $870,438    100.0%

 

On July 13, 2018, the Company issued 1,150,000 shares of its common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. The Company also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of its common stock, which was not exercised. 

 

On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. Subsequent to this, BB&T Capital Markets and B. Riley FBR, Inc. were added to the equity ATM program. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. This agreement was terminated as of July 29, 2021, and as of that date, the Company had sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs).

 

On July 30, 2021, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc. and Compass Point Research and Trading, LLC (the “Agents”), through which we may offer for sale, from time to time, up to $150.0 million of our common stock through the Agents, or to them, as principal for their account. As of November 30, 2022, the Company sold 4,840,361 shares for gross proceeds of $124.0 million at an average price of $25.61 for aggregate net proceeds of $122.4 million (net of transaction costs). During the three and nine months ended November 30, 2022, there were no shares sold pursuant to the equity distribution agreement with the Agents.

 

On September 24, 2014, the Company announced the approval of an open market share repurchase plan that allowed it to repurchase up to 200,000 shares of its common stock at prices below its NAV as reported in its then most recently published consolidated financial statements (the “Share Repurchase Plan”). On October 7, 2015, our board of directors extended the Share Repurchase Plan for another year and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 400,000 shares of its common stock. On October 5, 2016, our board of directors extended the Share Repurchase Plan for another year to October 15, 2017 and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of its common stock. On October 10, 2017, January 8, 2019 and January 7, 2020, our board of directors extended the Share Repurchase Plan for another year to October 15, 2018, January 15, 2020 and January 15, 2021, respectively, each time leaving the number of shares unchanged at 600,000 shares of its common stock. On May 4, 2020, our board of directors increased the Share Repurchase Plan to 1.3 million shares of common stock. On January 5, 2021, our board of directors extended the Shares Repurchase Plan for another year to January 15, 2022, leaving the number of shares unchanged at 1.3 million shares of common stock. On January 4, 2022, our board of directors extended the Shares Repurchase Plan for another year to January 15, 2023, leaving the number of shares unchanged at 1.3 million shares of common stock. As of November 30, 2022, the Company purchased 898,033 shares of common stock, at the average price of $21.65 for approximately $19.5 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2022, the Company purchased 94,071 shares of common stock, at the average price of $23.17 for approximately $2.1 million pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2022, the Company purchased 389,598 shares of common stock, at the average price of $24.64 for approximately $9.6 million pursuant to the Share Repurchase Plan.

 

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On November 15, 2022, the Company declared a dividend of $0.68 per share payable on January 4, 2023, to common stockholders of record on December 15, 2022. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $6.8 million in cash and 53,615 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $24.26 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21, 22, 23, 27, 28, 29 and 30 2022 and January 3 and 4, 2023.

 

On August 29, 2022, the Company declared a dividend of $0.54 per share payable on September 29, 2022, to common stockholders of record on September 14, 2022. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 52,313 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.00 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 16, 19, 20, 21, 22, 23, 26, 27, 28 and 29, 2022.

 

On May 26, 2022, the Company declared a dividend of $0.53 per share payable on June 29, 2022, to common stockholders of record on June 14, 2022. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $5.1 million in cash and 48,590 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.40 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 15, 16, 17, 21, 22, 23, 24, 27, 28 and 29, 2022.

 

On February 24, 2022, the Company declared a dividend of $0.53 per share payable on March 28, 2022, to common stockholders of record on March 14, 2022. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 42,825 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.89 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 16, 17, 18, 21, 22, 23, 24, 25 and 28, 2022.

 

On November 30, 2021, the Company declared a dividend of $0.53 per share payable on January 19, 2022, to common stockholders of record on January 4, 2021. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $5.3 million in cash and 41,520 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $26.85 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 5, 6, 7, 10, 11, 12, 13, 14, 18 and 19, 2022.

 

On August 26, 2021, the Company declared a dividend of $0.52 per share payable on September 28, 2021, to common stockholders of record on September 14, 2021. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $4.9 million in cash and 38,016 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $26.77 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2021.

 

On May 27, 2021, the Company declared a dividend of $0.44 per share payable on June 29, 2021, to common stockholders of record on June 15, 2021. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $4.1 million in cash and 33,100 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.03 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 16, 17, 18, 21, 22, 23, 24, 25, 28 and 29, 2021.

  

On March 22, 2021, the Company declared a dividend of $0.43 per share payable on April 22, 2021, to common stockholders of record on April 8, 2021. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.9 million in cash and 38,580 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.69 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on April 9,12, 13, 14, 15, 16, 19, 20, 21 and 22, 2021.

 

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On January 5, 2021, our board of directors declared a dividend of $0.42 per share, which was paid on February 10, 2021, to common stockholders of record as of January 26, 2021. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 41,388 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.75 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 28, 29 and February 1, 2, 3, 4, 5, 8, 9 and 10, 2021.

 

On October 7, 2020, our board of directors declared a dividend of $0.41 per share, which was paid on November 10, 2020, to common stockholders of record as of October 26, 2020. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 45,706 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.63 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 28, 29, 30 and November 2, 3, 4, 5, 6, 9 and 10, 2020.

 

On July 7, 2020, the Company declared a dividend of $0.40 per share payable on August 12, 2020, to common stockholders of record on July 27, 2020. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.7 million in cash and 47,098 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.45 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on July 30, 31 and August 3, 4, 5, 6, 7, 10, 11 and 12, 2020.

 

On January 8, 2020, the Company declared a dividend of $0.56 per share, which was paid on February 6, 2020, to common stockholders of record on January 24, 2020. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $5.4 million in cash and 35,682 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $25.44 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on January 24, 27, 28, 29, 30, 31 and February 3, 4, 5 and 6, 2020.

 

On August 27, 2019, the Company declared a dividend of $0.56 per share, which was paid on September 26, 2019, to common stockholders of record on September 13, 2019. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $4.5 million in cash and 34,575 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.34 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 13, 16, 17, 18, 19, 20, 23, 24, 25 and 26, 2019.

 

On May 28, 2019, our board of directors declared a dividend of $0.55 per share, which was paid on June 27, 2019, to common stockholders of record as of June 13, 2019. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.6 million in cash and 31,545 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.65 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2019.

 

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On February 26, 2019, our board of directors declared a dividend of $0.54 per share, which was paid on March 28, 2019, to common stockholders of record as of March 14, 2019. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.5 million in cash and 31,240 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.36 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 18, 19, 20, 21, 22, 25, 26, 27 and 28, 2019.

 

On November 27, 2018, our board of directors declared a dividend of $0.53 per share, which was paid on January 2, 2019, to common stockholders of record on December 17, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 30,797 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $18.88 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on December 18, 19, 20, 21, 24, 26, 27, 28, 31, 2018 and January 2, 2019.

 

On August 28, 2018, our board of directors declared a dividend of $0.52 per share, which was paid on September 27, 2018, to common stockholders of record as of September 17, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash and 25,862 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.35 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2018.

 

On May 30, 2018, our board of directors declared a dividend of $0.51 per share, which was paid on June 27, 2018, to common stockholders of record as of June 15, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.7 million in cash and 21,563 newly issued shares of common stock, or 0.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.72 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2018.

 

On February 26, 2018, our board of directors declared a dividend of $0.50 per share, which was paid on March 26, 2018, to common stockholders of record as of March 14, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.6 million in cash and 25,354 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $19.91 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 13, 14, 15, 16, 19, 20, 21, 22, 23 and 26, 2018.

 

On November 29, 2017, our board of directors declared a dividend of $0.49 per share, which was paid on December 27, 2017, to common stockholders of record on December 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 25,435 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.14 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 13, 14, 15, 18, 19, 20, 21, 22, 26 and 27, 2017.

 

On August 28, 2017, our board of directors declared a dividend of $0.48 per share, which was paid on September 26, 2017, to common stockholders of record on September 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.2 million in cash and 33,551 newly issued shares of common stock, or 0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.19 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 13, 14, 15, 18, 19, 20, 21, 22, 25 and 26, 2017.

 

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On May 30, 2017, our board of directors declared a dividend of $0.47 per share, which was paid on June 27, 2017, to common stockholders of record on June 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash and 26,222 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.04 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 14, 15, 16, 19, 20, 21, 22, 23, 26 and 27, 2017.

 

On February 28, 2017, our board of directors declared a dividend of $0.46 per share, which was paid on March 28, 2017, to common stockholders of record as of March 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 29,096 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.38 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2017.

  

On January 12, 2017, our board of directors declared a dividend of $0.45 per share, which was paid on February 9, 2017, to common stockholders of record as of January 31, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.6 million in cash and 50,453 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.25 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 27, 30, 31 and February 1, 2, 3, 6, 7, 8 and 9, 2017.

 

On October 5, 2016, our board of directors declared a dividend of $0.44 per share, which was paid on November 9, 2016, to common stockholders of record as of October 31, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,548 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.12 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 27, 28, 31 and November 1, 2, 3, 4, 7, 8 and 9, 2016.

 

On August 8, 2016, our board of directors declared a special dividend of $0.20 per share, which was paid on September 5, 2016, to common stockholders of record as of August 24, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.7 million in cash and 24,786 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.06 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on August 22, 23, 24, 25, 26, 29, 30, 31 and September 1 and 2, 2016.

 

On July 7, 2016, our board of directors declared a dividend of $0.43 per share, which was paid on August 9, 2016, to common stockholders of record as of July 29, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,167 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.32 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on July 27, 28, 29 and August 1, 2, 3, 4, 5, 8 and 9, 2016.

 

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On March 31, 2016, our board of directors declared a dividend of $0.41 per share, which was paid on April 27, 2016, to common stockholders of record as of April 15, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 56,728 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.43 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on April 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2016.

 

On January 12, 2016, our board of directors declared a dividend of $0.40 per share, which was paid on February 29, 2016, to common stockholders of record as of February 1, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.4 million in cash and 66,765 newly issued shares of common stock, or 1.2% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $13.11 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on February 16, 17, 18, 19, 22, 23, 24, 25, 26 and 29, 2016.

 

On October 7, 2015, our board of directors declared a dividend of $0.36 per share, which was paid on November 30, 2015, to common stockholders of record as of November 2, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 61,029 newly issued shares of common stock, or 1.1% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.53 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on November 16, 17, 18, 19, 20, 23, 24, 25, 27 and 30, 2015.

 

On July 8, 2015, our board of directors declared a dividend of $0.33 per share, which was paid on August 31, 2015, to common stockholders of record as of August 3, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.28 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on August 18, 19, 20, 21, 24, 25, 26, 27, 28 and 31, 2015.

 

On May 14, 2015, our board of directors declared a special dividend of $1.00 per share, which was paid on June 5, 2015, to common stockholders of record on as of May 26, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 126,230 newly issued shares of common stock, or 2.3% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.47 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on May 22, 26, 27, 28, 29 and June 1, 2, 3, 4 and 5, 2015.

 

On April 9, 2015, our board of directors declared a dividend of $0.27 per share, which was paid on May 29, 2015, to common stockholders of record as of May 4, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.9 million in cash and 33,766 newly issued shares of common stock, or 0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.78 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on May 15, 18, 19, 20, 21, 22, 26, 27, 28 and 29, 2015.

 

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On September 24, 2014, our board of directors declared a dividend of $0.22 per share, which was paid on February 27, 2015, to common stockholders of record on February 2, 2015. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.8 million in cash and 26,858 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.97 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on February 13, 17, 18, 19, 20, 23, 24, 25, 26 and 27, 2015.

 

Also, on September 24, 2014, our board of directors declared a dividend of $0.18 per share, which was paid on November 28, 2014, to common stockholders of record on November 3, 2014. Shareholders had the option to receive payment of the dividend in cash or receive shares of common stock pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.6 million in cash and 22,283 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.37 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on November 14, 17, 18, 19, 20, 21, 24, 25, 26 and 28, 2014.

 

On October 30, 2013, our board of directors declared a dividend of $2.65 per share, which was paid on December 27, 2013, to common stockholders of record as of November 13, 2013. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $2.5 million or $0.53 per share. This dividend was declared in reliance on certain private letter rulings issued by the IRS concluding that 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. Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock, or 13.7% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.439 per share, which 95% of equaled the volume weighted average trading price per share of the common stock on December 11, 13, and 16, 2013.

 

On November 9, 2012, our board of directors declared a dividend of $4.25 per share, which was paid on December 31, 2012, to common stockholders of record as of November 20, 2012. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $3.3 million or $0.85 per share. Based on shareholder elections, the dividend consisted of $3.3 million in cash and 853,455 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.444 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 14, 17 and 19, 2012.

 

On November 15, 2011, our board of directors declared a dividend of $3.00 per share, which was paid on December 30, 2011, to common stockholders of record as of November 25, 2011. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.0 million or $0.60 per share. Based on shareholder elections, the dividend consisted of $2.0 million in cash and 599,584 shares of common stock, or 18.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $13.117067 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011.

 

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On November 12, 2010, our board of directors declared a dividend of $4.40 per share to shareholders payable in cash or shares of our common stock, in accordance with the provisions of the IRS Revenue Procedure 2010-12, which allows a publicly-traded regulated investment company to satisfy its distribution requirements with a distribution paid partly in common stock provided that at least 10.0% of the distribution is payable in cash. The dividend was paid on December 29, 2010 to common shareholders of record on November 19, 2010. Based on shareholder elections, the dividend consisted of $1.2 million in cash and 596,235 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 10.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.8049 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2010.

 

On November 13, 2009, our board of directors declared a dividend of $18.25 per share, which was paid on December 31, 2009, to common stockholders of record as of November 25, 2009. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.1 million or $0.25 per share. Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 shares of common stock, or 104.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 13.7% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $1.5099 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 24 and 28, 2009.

 

We cannot provide any assurance that these measures will provide sufficient sources of liquidity to support our operations and growth.

 

Our asset coverage ratio, as defined in the 1940 Act, was 173.2% as of November 30, 2022 and 209.3% as of February 28, 2022.

 

Subsequent Events

 

On December 13, 2022, the Company issued $52.5 million in aggregate principal amount of our 8.125% fixed-rate notes due 2027 (the “8.125% 2027 Notes”) for net proceeds of $50.9 million after deducting underwriting commissions of approximately $1.6 million. Offering costs incurred were approximately $0.1 million. The Company has granted the underwriters an option to purchase up to an additional $7.875 million in aggregate principal amount of the 8.125% 2027 Notes. Interest on the 8.125% 2027 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 8.125% per year, beginning February 28, 2023.  The 8.125% 2027 Notes mature on December 31, 2027 and commencing December 13, 2024, may be redeemed in whole or in part at any time or from time to time at our option. We expect to use the net proceeds from this offering to make investments in middle-market companies (including investments made through our SBIC subsidiaries) in accordance with our investment objective and strategies and for general corporate purposes. Financing costs of $1.6 million related to the 8.125% 2027 Notes have been capitalized and are being amortized over the term of the 8.125% 2027 Notes. The 8.125% 2027 Notes are listed on the NYSE under the trading symbol “SAY” with a par value of $25.00 per note.

 

On December 21, 2022, the underwriters fully exercised their option to purchase an additional $7.875 million in aggregate principal amount of the 8.125% 2027 Notes. Net proceeds to the Company were $7.6 million after deducting underwriting commissions of approximately $0.2 million.

 

On January 9, 2023, our board of directors extended the Share Repurchase Plan for another year to January 15, 2024, increasing the number of shares to 1.7 million shares of common stock.

 

Contractual obligations

 

The following table shows our payment obligations for repayment of debt and other contractual obligations at November 30, 2022:

 

       Payment Due by Period 
Long-Term Debt Obligations  Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 
Revolving credit facility  $25,000   $       -   $25,000   $-   $- 
SBA debentures   242,660    -    15,000    52,660    175,000 
7.00% 2025 Notes   12,000    -    12,000    -    - 
7.75% 2025 Notes   5,000    -    5,000    -    - 
4.375% 2026 Notes   175,000    -    -    175,000    - 
4.35% 2027 Notes   75,000    -    -    75,000    - 
6.25% 2027 Notes   15,000    -    -    -    15,000 
6.00% 2027 Notes   105,500    -    -    105,500    - 
8.00% 2027 Notes   46,000    -    -    46,000    - 
Total Long-Term Debt Obligations  $701,160   $-   $57,000   $454,160   $190,000 

 

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Off-balance sheet arrangements

 

As of November 30, 2022 and February 28, 2022, the Company’s off-balance sheet arrangements consisted of $77.5 million and $88.4 million, respectively, of unfunded commitments outstanding to provide debt financing to its portfolio companies or to fund limited partnership interests. Such commitments are generally up to the Company’s discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Company’s consolidated statements of assets and liabilities and are not reflected in the Company’s consolidated statements of assets and liabilities.

 

A summary of the unfunded commitments outstanding as of November 30, 2022 and February 28, 2022 is shown in the table below (dollars in thousands):

 

   November 30,
2022
   February 28,
2022
 
At Company’s discretion        
ActiveProspect, Inc.  $10,000   $- 
Artemis Wax Corp.   8,500    3,700 
Ascend Software, LLC   5,000    5,000 
Axero Holdings, LLC   -    3,000 
Davisware, LLC   2,000    2,000 
Granite Comfort, LP   5,000    - 
JDXpert   5,000    - 
LFR Chicken LLC   4,000    10,000 
Netreo Holdings, LLC   2,350    4,000 
Pepper Palace, Inc.   3,000    3,000 
Procurement Partners, LLC   -    2,800 
Saratoga Senior Loan Fund I JV, LLC   8,548    17,500 
Sceptre Hospitality Resources, LLC   5,000    1,000 
Book4Time, Inc.   -    2,000 
Total   58,398    54,000 
           
At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required          
Ascend Software, LLC   4,200    6,500 
ARC Health OpCo LLC   773    - 
Axero Holdings, LLC   -    2,000 
Axero Holdings, LLC - Revolver   500    500 
Davisware, LLC   -    1,000 
Exigo, LLC - Delayed Draw Term Loan   4,167    - 
Exigo, LLC - Revolver   833    - 
GDS Software Holdings, LLC   -    2,786 
Granite Comfort, LP   500    - 
GoReact   500    2,500 
JDXpert   1,000    - 
Madison Logic, Inc. - Revolver   1,084    1,084 
New England Dental Partners   -    4,500 
Pepper Palace, Inc. – Delayed Draw Term Loan   2,000    2,000 
Pepper Palace, Inc. - Revolver   2,500    2,500 
Zollege PBC   1,000    1,000 
LFR Chicken LLC   -    3,000 
    19,057    29,370 
Total  $77,455   $83,370 

 

The Company believes its assets will provide adequate coverage to satisfy these unfunded commitments. As of November 30, 2022, the Company had cash and cash equivalents of $47.0 million and $25.0 million in available borrowings under the Encina Credit Facility.

 

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

 

Our business activities contain elements of market risk. We consider our principal market risk to be the fluctuation in interest rates. Managing this risk is essential to our business. Accordingly, we have systems and procedures designed to identify and analyze our risks, to establish appropriate policies and thresholds and to continually monitor this risk and thresholds by means of administrative and information technology systems and other policies and processes. In addition, U.S. and global capital markets and credit markets have experienced a higher level of stress due to the global COVID-19 pandemic, which has resulted in an increase in the level of volatility across such markets and a general decline in value of the securities held by us.

 

Interest rate risk is defined as the sensitivity of our current and future earnings to interest rate volatility, including relative changes in different interest rates, variability of spread relationships, the difference in re-pricing intervals between our assets and liabilities and the effect that interest rates may have on our cash flows. Changes in the general level of interest rates can affect our net interest income, which is the difference between the interest income earned on interest earning assets and our interest expense incurred in connection with our interest-bearing debt and liabilities. Changes in interest rates can also affect, among other things, our ability to acquire leveraged loans, high yield bonds and other debt investments and the value of our investment portfolio.

 

Our investment income is affected by fluctuations in various interest rates, including LIBOR, SOFR or BSBY and the prime rate. Substantially all of our portfolio is, and we expect will continue to be, comprised of floating rate investments that utilize LIBOR, SOFR or BSBY. Since March 2022, the Federal Reserve has been rapidly raising interest rates and has indicated that it would consider additional rate hikes in response to ongoing inflation concerns. In a rising interest rate environment, our cost of funds would increase, which could reduce our net investment income if there is not a corresponding increase in interest income generated by our investment portfolio. It is possible that the Federal Reserve’s tightening cycle could result the United States into a recession, which would likely decrease interest rates. A prolonged reduction in interest rates will reduce our gross investment income and could result in a decrease in our net investment income if such decreases in base rates, such floating rates, are not offset by corresponding increases in the spread over such base rate that we earn on any portfolio investments, a decrease in our operating expenses, or a decrease in the interest rate associated with our borrowings. Our interest expense is affected by fluctuations in LIBOR only on our Encina Credit Facility. In addition, substantially all of our assets and our Encina Credit Facility have LIBOR transition language to include the use of an acceptable replacement rate, such as SOFR or BSBY. At November 30, 2022, we had $676.2 million of borrowings outstanding. In addition, there were $25.0 million borrowings outstanding under the Encina Credit Facility as of November 30, 2022.

 

We have analyzed the potential impact of changes in interest rates on interest income from investments. Assuming that our investments as of November 30, 2022 were to remain constant for a full fiscal year and no actions were taken to alter the current interest rate terms, a hypothetical change of a 1.0% increase in interest rates would cause a corresponding increase of approximately $8.6 million to our interest income. Conversely, a hypothetical change of a 1.0% decrease in interest rates would cause a corresponding decrease of approximately $8.6 million to our interest income.

 

Changes in interest rates would have no impact to our current interest and debt financing expense, as all our borrowings, except for the Encina Credit Facility, are fixed rate.

 

Although management believes that this measure is indicative of our sensitivity to interest rate changes, it does not adjust for potential changes in credit quality, size and composition of the assets on the statements of assets and liabilities and other business developments that could magnify or diminish our sensitivity to interest rate changes, nor does it account for divergences in LIBOR and the commercial paper rate, which have historically moved in tandem but, in times of unusual credit dislocations, have experienced periods of divergence. Accordingly, no assurances can be given that actual results would not materially differ from the potential outcome simulated by this estimate.

 

145

 

 

For further information, the following table shows the approximate annualized increase or decrease in the components of net investment income due to hypothetical base rate changes in interest rates, assuming no changes in our investments and borrowings as of November 30, 2022.

 

    Increase   (Increase)   Increase   Increase   Increase 
Basis   (Decrease)   Decrease   (Decrease) in Net   (Decrease) in Net   (Decrease) in Net 
Point   in Interest   in Interest   Interest   Investment   Investment 
Change   Income   Expense   Income   Income*   Income per Share 
    ($ in thousands)         
-100   $(8,587)  $250   $(8,337)  $(6,670)  $(0.56)
-50    (4,294)   125    (4,169)   (3,335)   (0.28)
-25    (2,147)   63    (2,084)   (1,667)   (0.14)
25    2,147    (63)   2,084    1,667    0.14 
50    4,294    (125)   4,169    3,335    0.28 
100    8,587    (250)   8,337    6,670    0.56 
200    17,175    (500)   16,675    13,340    1.11 
300    25,762    (750)   25,012    20,010    1.67 
400    34,349    (1,000)   33,349    26,679    2.23 

 

* Adjusts Net Interest Income for the impact of the first incentive fee on Net Investment Income

 

ITEM 4. CONTROLS AND PROCEDURES

 

(a) As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our management, including our chief executive officer and our chief financial officer, of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934). Based on that evaluation, our chief executive officer and our chief financial officer have concluded that our current disclosure controls and procedures are effective in facilitating timely decisions regarding required disclosure of any material information relating to us that is required to be disclosed by us in the reports we file or submit under the Securities Exchange Act of 1934. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

 

(b) There have been no changes in the Company’s internal control over financial reporting (as defined in Rule 13a-15(f) of Exchange Act) that occurred during the quarter ended November 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

 

146

 

 

PART II. OTHER INFORMATION

 

Item 1. Legal Proceedings

 

Neither we nor our wholly owned subsidiaries, Saratoga Investment Funding LLC, Saratoga Investment Funding II, LLC, Saratoga Investment Corp. SBIC LP, Saratoga Investment Corp. SBIC II LP, or Saratoga Investment Corp. SBIC III LP, are currently subject to any material legal proceedings.

 

Item 1A. Risk Factors

 

In addition to information set forth in this report, you should carefully consider the “Risk Factors” discussed in our most recent Annual Report on Form 10-K filed with the SEC, which could materially affect our business, financial condition and/or operating results. Other than as set forth below, there have been no material changes during the nine months ended November 30, 2022 to the risk factors discussed in “Item 1A. Risk Factors” of our Annual Report on Form 10-K for the fiscal year ended February 28, 2022. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial condition and/or operating results.

 

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

 

Not applicable.

 

Item 3. Defaults Upon Senior Securities

 

Not applicable.

 

Item 4. Mine Safety Disclosures

 

Not applicable.

 

Item 5. Other Information

 

None.

 

147

 

 

ITEM 6. EXHIBITS

 

Listed below are the exhibits which are filed as part of this report (according to the number assigned to them in Item 601 of Regulation S-K):

 

EXHIBIT INDEX

 

Exhibit Number   Description
3.1(a)   Articles of Incorporation of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Form 10-Q for the quarterly period ended May 31, 2007).
3.1(b)   Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed August 3, 2010).
3.1(c)   Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed August 13, 2010).
3.2   Third Amended and Restated Bylaws of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 10-Q filed January 6, 2021)
4.1   Specimen certificate of Saratoga Investment Corp.’s common stock, par value $0.001 per share. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-169135, filed on September 1, 2010).
4.2   Registration Rights Agreement dated July 30, 2010 between GSC Investment Corp., GSC CDO III L.L.C., and the investors party thereto (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
4.3   Dividend Reinvestment Plan (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on September 24, 2014).
4.4   Form of Indenture by and between the Company and U.S. Bank National Association, as trustee (incorporated by reference to Saratoga Investment Corp.’s Pre-Effective Amendment No. 2 to the Registration Statement on Form N-2, File No. 333-186323 filed April 30, 2013).
4.5   Form of Articles Supplementary Establishing and Fixing the Rights and Preferences of Preferred Stock (incorporated by reference to Saratoga Investment Corp.’s registration statement on Form N-2 Pre-Effective Amendment No. 1, File No. 333-196526, filed on December 5, 2014).
4.6   Fifth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to 7.75% Notes due 2025*
4.7   Seventh Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to 6.25% Notes due 2027*
4.8   Eighth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to the 4.375% Note due 2026 (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K (File No. 814-00732) filed on March 10, 2021).
4.9   Ninth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank National Association, as trustee, relating to the 4.375% Note due 2027 (incorporated by reference to the Registrant’s Current Report on Form 8-K (File No. 814-00732) filed on January 19, 2022).
4.10   Tenth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association, as trustee, relating to the 6.00% Note due 2027 (incorporated by reference to the Registrant’s Current Report on Form 8-K (File No. 814-00732) filed on April 27, 2022).
4.11   Eleventh Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association, as trustee, relating to the 7.00% Notes due 2025*
4.12   Twelfth Supplemental Indenture between Saratoga Investment Corp. and U.S. Bank Trust Company, National Association, as trustee, relating to the 8.00% Notes due 2027 (incorporated by reference to the Registrant’s Current Report on Form 8-K (File No. 813-00732) filed on October 27, 2022).
4.13   Form of 7.75% Notes due 2025 (incorporated by reference to Exhibit 4.6 hereto).
4.14   Form of 6.25% Notes due 2027 (incorporated by reference to Exhibit 4.7 hereto).
4.15   Form of 4.375% Notes due 2026 (incorporated by reference to Exhibit 4.8 hereto).
4.16   Form of 4.375% Notes due 2027 (incorporated by reference to Exhibit 4.9 hereto).
4.17   Form of 6.00% Notes due 2027 (incorporated by reference to Exhibit 4.10 hereto).
4.18   Form of 7.00% Notes due 2027 (incorporated by reference to Exhibit 4.11 hereto).
4.19   Form of 8.00% Notes due 2027 (incorporated by reference to Exhibit 4.12 hereto).
10.1   Investment Advisory and Management Agreement dated July 30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
10.2   Custodian Agreement dated March 21, 2007 between GSC Investment LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Form 10-Q for the quarterly period ended May 31, 2007).
10.3   Administration Agreement dated July 30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).

 

148

 

 

10.4   Trademark License Agreement dated July 30, 2010 between Saratoga Investment Advisors, LLC and GSC Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
10.5   Form of Indemnification Agreement between Saratoga Investment Corp. and each officer and director of Saratoga Investment Corp. (incorporated by reference to Amendment No. 2 to Saratoga Investment Corp.’s Registration Statement on Form N-2 filed on January 12, 2007).
10.6   Amended and Restated Indenture, dated as of November 15, 2016, among Saratoga Investment Corp. CLO 2013-1, Ltd., Saratoga Investment Corp. CLO 2013-1, Inc. and U.S. Bank National Association. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-216344, filed on February 28, 2017).
10.7   Amended and Restated Collateral Management Agreement, dated February 26, 2021, by and between Saratoga Investment Corp. and Saratoga Investment Corp. CLO 2013-1, Ltd. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on March 4, 2021).
10.9   Credit and Security Agreement, dated as of October 4, 2021, by and among Saratoga Investment Funding II, LLC, Saratoga Investment Corp., as collateral manager and equity holder, the lenders party thereto, Encina Lender Finance, LLC, as administrative agent for the secured parties and the collateral agent, and U.S. Bank National Association, as collateral custodian for the secured parties thereto and as collateral administrator (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 7, 2021).
10.10   Equity Pledge Agreement, dated as of October 4, 2021, by and between Saratoga Investment Corp. and Encina Lender Finance, LLC, as collateral agent for the secured parties thereto (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 7, 2021).
10.11   Loan Sale and Contribution Agreement, dated as of October 4, 2021, by and between Saratoga Investment Corp., as seller, and Saratoga Investment Funding II LLC, as purchaser (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 7, 2021).
10.12   Saratoga Senior Loan Fund I JV LLC Limited Liability Company Agreement, dated October 26, 2021, by and between Saratoga Investment Corp. and TJHA JV I LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 27, 2021).
10.13  

Note Purchase Agreement by and between Saratoga Investment Corp. and the purchaser party thereto, dated July 9, 2020 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on October 4, 2022).

10.14  

First Supplemental Note Purchase Agreement by and between Saratoga Investment Corp. and the purchaser party thereto, dated January 28, 2021 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on October 4, 2022).

10.15  

Second Supplemental Note Purchase Agreement by and between Saratoga Investment Corp. and the purchaser party thereto, dated September 8, 2022 (incorporated by reference to Saratoga Investment Corp.’s Quarterly Report on Form 10-Q filed on October 4, 2022).

14    Code of Ethics of the Company adopted under Rule 17j-1 (incorporated by reference to Amendment No.7 to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-138051, filed on March 22, 2007).
31.1*   Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934
31.2*   Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934
32.1*   Certification of Chief Executive Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C.1350)
32.2*   Certification of Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C.1350)
101.INS*   Inline XBRL Instance Document.
101.SCH*   Inline XBRL Taxonomy Extension Schema Document.
101.CAL*   Inline XBRL Taxonomy Extension Calculation Linkbase Document.
101.DEF*   Inline XBRL Taxonomy Extension Definition Linkbase Document.
101.LAB*   Inline XBRL Taxonomy Extension Label Linkbase Document.
101.PRE*   Inline XBRL Taxonomy Extension Presentation Linkbase Document.
104*   Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

 

*Filed herewith

 

149

 

 

SIGNATURES

 

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  SARATOGA INVESTMENT CORP.
     
Date: January 10, 2023 By: /s/ CHRISTIAN L. OBERBECK
    Christian L. Oberbeck
    Chief Executive Officer
     
  By: /s/ HENRI J. STEENKAMP
    Henri J. Steenkamp
    Chief Financial Officer and
Chief Compliance Officer

 

 

150

 

 

0.46 0.51 0.73 3.30 11312991 11450861 11893173 11989811 2026-10-01 2023-02-28 11.00 9.27 All or a portion of this investment has an unfunded commitment as of November 30, 2022. (See Note 9 to the consolidated financial statements). Percentages are based on net assets of $335,763,600 as of November 30, 2022. Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and are restricted securities. Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements). Includes securities issued by an affiliate of the company. This investment does not have a stated interest rate that is payable thereon. As a result, the 0.00% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment. Represents an investment that is not a "qualifying asset" under Section 55(a) of the Investment Company Act of 1940, as amended (the 1940 Act"). As of November 30, 2022, non-qualifying assets represent 8.6% of the Company's portfolio at fair value. As a BDC, the Company generally has to invest at least 70% of its total assets in qualifying assets. As defined in the 1940 Act, we "control" this portfolio company because we own more than 25% of the portfolio company's outstanding voting securities. Transactions during the nine months ended November 30, 2022 in which the issuer was both an affiliate and a portfolio company that we control are as follows: Non-income producing at November 30, 2022. These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 8 to the consolidated financial statements). As of November 30, 2022, the investment was on non-accrual status. The fair value of these investments was approximately $9.7 million, which represented 2.9% of the Company's portfolio (see Note 2 to the consolidated financial statements). As defined in the 1940 Act, this portfolio company is an "affiliate" as we own between 5.0% and 25.0% of the outstanding voting securities. Transactions during the nine months ended November 30, 2022 in which the issuer was an affiliate are as follows: Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company's consolidated statements of assets and liabilities as of February 28, 2022. The Company’s equity investment in SLF JV is measured using the proportionate share of the net asset value, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy. Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of February 28, 2022. As of February 28, 2022, the investment was in default and on non-accrual status. All or a portion of this investment has an unfunded commitment as of February 28, 2022 Represents the dilutive effect of issuing common stock below net asset value per share during the period in connection with the satisfaction of the Company’s annual RIC distribution requirement and may include the impact of the different share amounts used for different items (weighted average basic common shares outstanding for the corresponding year and actual common shares outstanding at the end of the year) in the per common share data calculation and rounding impacts. See Note 13, Dividend. Total investment return is calculated assuming a purchase of common shares at the current net asset value on the first day and a sale at the current net asset value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Company’s DRIP. Total investment return does not reflect brokerage commissions. The continuous issuance of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date multiplied by (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding during the period. Represents the anti-dilutive impact on the net asset value per share (“NAV”) of the Company due to the repurchase of common shares. See Note 11, Stockholders’ Equity. Total investment return is calculated assuming a purchase of common shares at the current market value on the first day and a sale at the current market value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Company’s DRIP. Total investment return does not reflect brokerage commissions. 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