Notes to the Consolidated Financial Statements
(in thousands, except share and per share amounts)
(Unaudited)
Goldman Sachs BDC, Inc. (the Company, which term refers to either Goldman Sachs BDC, Inc. or Goldman Sachs BDC, Inc. together with
its consolidated subsidiaries, as the context may require) was initially established as Goldman Sachs Liberty Harbor Capital, LLC, a single member Delaware limited liability company (SMLLC), on September 26, 2012 and commenced
operations on November 15, 2012 with The Goldman Sachs Group, Inc. (Group Inc.) as its sole member. On March 29, 2013, the Company elected to be regulated as a business development company (BDC) under the Investment
Company Act of 1940, as amended (the Investment Company Act). Effective April 1, 2013, the Company converted from a SMLLC to a Delaware corporation. In addition, the Company has elected to be treated as a regulated investment
company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code), commencing with its taxable year ended December 31, 2013.
The Companys investment objective is to generate current income and, to a lesser extent, capital appreciation primarily through direct
originations of secured debt, including first lien, unitranche, including
last-out
portions of such loans, and second lien debt, and unsecured debt, including mezzanine debt, as well as through select equity
investments.
Goldman Sachs Asset Management, L.P. (GSAM), a Delaware limited partnership and an affiliate of Goldman
Sachs & Co. LLC (including its predecessors, GS & Co.), is the investment adviser (the Investment Adviser) of the Company. The term Goldman Sachs refers to Group Inc., together with GS &
Co., GSAM and its other subsidiaries.
On March 23, 2015, the Company completed its initial public offering (IPO) and the
Companys common stock began trading on the New York Stock Exchange (NYSE) under the symbol GSBD.
The
Company has formed wholly owned subsidiaries, which are structured as Delaware limited liability companies, to hold certain equity or equity-like investments in portfolio companies.
2.
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SIGNIFICANT ACCOUNTING POLICIES
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Basis of Presentation
The Companys
functional currency is U.S. dollars (USD) and these consolidated financial statements have been prepared in that currency. The accompanying consolidated financial statements have been prepared in accordance with accounting principles
generally accepted in the United States of America (GAAP) and pursuant to Regulation
S-X.
This requires the Company to make certain estimates and assumptions that may affect the amounts reported in
the consolidated financial statements and accompanying notes. These consolidated financial statements reflect normal and recurring adjustments that in the opinion of the Company are necessary for the fair statement of the results for the periods
presented. Actual results may differ from the estimates and assumptions included in the consolidated financial statements.
Certain
financial information that is included in annual consolidated financial statements, including certain financial statement disclosures, prepared in accordance with GAAP, is not required for interim reporting purposes and has been condensed or omitted
herein. These consolidated financial statements should be read in conjunction with the Companys audited consolidated financial statements and notes related thereto for the year ended December 31, 2018, included in the Companys
Annual Report on Form
10-K,
which was filed with the U.S. Securities and Exchange Commission (the SEC) on February 28, 2019. The results for the three months ended March 31, 2019 are not
necessarily indicative of the results to be expected for the full fiscal year, any other interim period or any future year or period.
Certain prior period information has been reclassified to conform to the current period presentation. The reclassification has no effect on
the Companys consolidated financial position or the consolidated results of operations as previously reported.
As an investment
company, the Company applies the accounting and reporting guidance in Accounting Standards Codification (ASC) Topic 946,
Financial Services Investment Companies
(ASC 946) issued by the Financial Accounting
Standards Board (FASB)
.
Basis of Consolidation
As provided under ASC 946, the Company will not consolidate its investment in a company other than an investment company subsidiary or a
controlled operating company whose business consists of providing services to the Company. Accordingly, the Company consolidated the financial position and results of operations of its wholly owned subsidiaries, BDC Blocker I, LLC (formerly known as
My-On
BDC Blocker, LLC), GSBD Blocker II, LLC and GSBD Wine I, LLC. All significant intercompany transactions and balances have been eliminated in consolidation.
18
The Company does not consolidate its equity interest in Senior Credit Fund, LLC (the Senior
Credit Fund). For further description of the Companys investment in the Senior Credit Fund, see Note 4 Investments.
Revenue
Recognition
The Company records its investment transactions on a trade date basis, which is the date when the Company assumes the
risks for gains and losses related to that instrument. Realized gains and losses are based on the specific identification method.
Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Discounts and premiums to
par value on investments purchased are accreted and amortized, respectively, into interest income over the life of the respective investment using the effective interest method. Loan origination fees, original issue discount (OID) and
market discounts or premiums are capitalized and amortized into interest income using the effective interest method or straight-line method, as applicable. Exit fees that are receivable upon repayment of a loan or debt security are amortized into
interest income over the life of the respective investment. Upon prepayment of a loan or debt security, any prepayment premiums, unamortized upfront loan origination fees and unamortized discounts are recorded as interest income. For the three
months ended March 31, 2019 and 2018, the Company earned $646 and $476, respectively, in prepayment premiums and $1,037 and $833, respectively, in accelerated accretion of upfront loan origination fees and unamortized discounts.
Fees received from portfolio companies (directors fees, consulting fees, administrative fees, tax advisory fees and other similar
compensation) are paid to the Company, unless, to the extent required by applicable law or exemptive relief, if any, therefrom, the Company only receives its allocable portion of such fees when invested in the same portfolio company as another
account managed by the Investment Adviser.
Dividend income on preferred equity investments is recorded on an accrual basis to the extent
that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity investments is recorded on the record date for private portfolio companies and on the
ex-dividend
date for publicly traded portfolio companies. Interest and dividend income are presented net of withholding tax, if any.
Certain investments may have contractual
payment-in-kind
(PIK) interest or dividends. PIK represents accrued interest or accumulated dividends that are added to the principal amount or shares (if equity) of the investment on the respective interest or dividend payment dates rather than being
paid in cash and generally becomes due at maturity or upon the investment being called by the issuer. PIK is recorded as interest or dividend income, as applicable. If at any point the Company believes PIK is not expected to be realized, the
investment generating PIK will be placed on
non-accrual
status. When a PIK investment is placed on
non-accrual
status, the accrued, uncapitalized interest or dividends
are generally reversed through interest or dividend income, respectively.
Certain structuring fees, amendment fees and syndication fees
are recorded as other income when earned. Administrative agent fees received by the Company are recorded as other income when the services are rendered over time.
Non-Accrual
Investments
Investments are placed on
non-accrual
status when it is probable that principal, interest or dividends
will not be collected according to the contractual terms. Accrued interest or dividends generally are reversed when an investment is placed on
non-accrual
status. Interest or dividend payments received on
non-accrual
investments may be recognized as income or applied to principal depending upon managements judgment.
Non-accrual
investments are restored to accrual status
when past due principal and interest or dividends are paid and, in managements judgment, principal and interest or dividend payments are likely to remain current. The Company may make exceptions to this treatment if an investment has
sufficient collateral value and is in the process of collection. As of March 31, 2019, the Company had certain investments held in three portfolio companies on
non-accrual
status, which represented 4.5%
and 3.5% of the total investments at amortized cost and at fair value, respectively. As of December 31, 2018, the Company had certain investments held in three portfolio companies on
non-accrual
status,
which represented 8.3% and 7.0% of the total investments at amortized cost and at fair value, respectively.
Investments
The Company carries its investments in accordance with ASC Topic 820,
Fair Value Measurements and Disclosures
(ASC 820),
issued by the FASB, which defines fair value, establishes a framework for measuring fair value and requires disclosures about fair value measurements. Fair value is generally based on quoted market prices provided by independent pricing services,
broker or dealer quotations or alternative price sources. In the absence of quoted market prices, broker or dealer quotations or alternative price sources, investments are measured at fair value as determined by the board of directors (the
Board of Directors) within the meaning of the Investment Company Act.
Due to the inherent uncertainties of valuation, certain
estimated fair values may differ significantly from the values that would have been realized had a ready market for these investments existed, and these differences could be material. See Note 5 Fair Value Measurement.
19
The Company generally invests in illiquid securities, including debt and equity investments, of
middle-market companies. The Board of Directors has delegated to the Investment Adviser
day-to-day
responsibility for implementing and maintaining internal controls and
procedures related to the valuation of the Companys portfolio investments. Under valuation procedures adopted by the Board of Directors, market quotations are generally used to assess the value of the investments for which market quotations
are readily available. The Investment Adviser obtains these market quotations from independent pricing services or at the bid prices obtained from at least two brokers or dealers, if available; otherwise from a principal market maker or a primary
market dealer. To assess the continuing appropriateness of pricing sources and methodologies, the Investment Adviser regularly performs price verification procedures and issues challenges as necessary to independent pricing services or brokers, and
any differences are reviewed in accordance with the valuation procedures. If the Board of Directors or Investment Adviser has a bona fide reason to believe any such market quotation does not reflect the fair value of an investment, it may
independently value such investment in accordance with valuation procedures for investments for which market quotations are not readily available.
With respect to investments for which market quotations are not readily available, or for which market quotations are deemed not reflective of
the fair value, the valuation procedures adopted by the Board of Directors contemplate a multi-step valuation process each quarter, as described below:
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(1)
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The quarterly valuation process begins with each portfolio company or investment being initially valued by
the investment professionals of the Investment Adviser responsible for the portfolio investment;
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(2)
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The Board of Directors also engages independent valuation firms (the Independent Valuation
Advisors) to provide independent valuations of the investments for which market quotations are not readily available, or are readily available but deemed not reflective of the fair value of an investment. The Independent Valuation Advisors
independently value such investments using quantitative and qualitative information provided by the investment professionals of the Investment Adviser and the portfolio companies as well as any market quotations obtained from independent pricing
services, brokers, dealers or market dealers. The Independent Valuation Advisors also provide analyses to support their valuation methodology and calculations. The Independent Valuation Advisors provide an opinion on a final range of values on such
investments to the Board of Directors or the Audit Committee. The Independent Valuation Advisors define fair value in accordance with ASC 820 and utilize valuation approaches including the market approach, the income approach or both. A portion of
the portfolio is reviewed on a quarterly basis, and all investments in the portfolio for which market quotations are not readily available, or are readily available, but deemed not reflective of the fair value of an investment, are reviewed at least
annually by an Independent Valuation Advisor;
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(3)
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The Independent Valuation Advisors preliminary valuations are reviewed by the Investment Adviser and
the Valuation Oversight Group (VOG), a team that is part of the Controllers Department within the Finance Division of Goldman Sachs. The Independent Valuation Advisors valuation ranges are compared to the Investment Advisers
valuations to ensure the Investment Advisers valuations are reasonable. VOG presents the valuations to the Private Investment Valuation and Side Pocket Working Group of the Investment Management Division Valuation Committee, which is comprised
of representatives from GSAM who are independent of the investment decision making process;
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(4)
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The Investment Management Division Valuation Committee ratifies fair valuations and makes recommendations to
the Audit Committee of the Board of Directors;
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(5)
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The Audit Committee of the Board of Directors reviews valuation information provided by the Investment
Management Division Valuation Committee, the Investment Adviser and the Independent Valuation Advisors. The Audit Committee then assesses such valuation recommendations; and
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(6)
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The Board of Directors discusses the valuations and, within the meaning of the Investment Company Act,
determines the fair value of the investments in good faith, based on the inputs of the Investment Adviser, the Independent Valuation Advisors and the Audit Committee.
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Money Market Funds
Investments in money
market funds are valued at net asset value (NAV) per share. See Note 3 Significant Agreements and Related Party Transactions.
Cash
Cash consists of deposits held at a
custodian bank. As of March 31, 2019 and December 31, 2018, the Company held an aggregate cash balance of $5,891 and $6,113, respectively. Foreign currency of $368 and $257 (acquisition cost of $375 and $255) is included in cash as of
March 31, 2019 and December 31, 2018, respectively.
Foreign Currency Translation
Amounts denominated in foreign currencies are translated into USD on the following basis: (i) investments and other assets and liabilities
denominated in foreign currencies are translated into USD based upon currency exchange rates effective on the last business day of the period; and (ii) purchases and sales of investments, borrowings and repayments of such borrowings, income,
and expenses denominated in foreign currencies are translated into USD based upon currency exchange rates prevailing on the transaction dates.
The Company does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from
fluctuations arising from changes in market prices of securities held. Such fluctuations are included within the net realized and unrealized gains or losses on investments. Fluctuations arising from the translation of
non-investment
assets and liabilities are included with the net change in unrealized gains (losses) on foreign currency translations on the Consolidated Statements of Operations.
20
Foreign security and currency translations may involve certain considerations and risks not
typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, currency fluctuations and revaluations and future adverse political, social and economic developments, which could
cause investments in foreign markets to be less liquid and prices more volatile than those of comparable U.S. companies or U.S. government securities.
Derivatives
Foreign currency forward contracts
The Company may enter into foreign currency forward contracts to reduce the Companys exposure to foreign currency exchange rate
fluctuations in the value of foreign currencies. In a foreign currency forward contract, the Company agrees to receive or deliver a fixed quantity of one currency for another, at a
pre-determined
price at a
future date. Forward foreign currency contracts are
marked-to-market
at the applicable forward rate. Unrealized appreciation (depreciation) on foreign currency forward
contracts are recorded on the Consolidated Statements of Assets and Liabilities by counterparty on a net basis, not taking into account collateral posted which is recorded separately, if applicable. Notional amounts of foreign currency forward
contract assets and liabilities are presented separately on the Consolidated Schedules of Investments. Purchases and settlements of foreign currency forward contracts having the same settlement date and counterparty are generally settled net and any
realized gains or losses are recognized on the settlement date.
The Company does not utilize hedge accounting and as such, the Company
recognizes its derivatives at fair value with changes in the net unrealized appreciation (depreciation) on foreign currency forward contracts recorded on the Consolidated Statements of Operations.
Income Taxes
The Company recognizes tax
positions in its consolidated financial statements only when it is more likely than not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this
standard is measured at the largest amount of benefit that will more likely than not be realized upon settlement. The Company reports any interest expense related to income tax matters in income tax expense, and any income tax penalties under
expenses in the Consolidated Statements of Operations.
The Companys tax positions have been reviewed based on applicable statutes
of limitation for tax assessments, which may vary by jurisdiction, and based on such review, the Company has concluded that no additional provision for income tax is required in the consolidated financial statements. The Company is subject to
potential examination by certain taxing authorities in various jurisdictions. The Companys tax positions are subject to ongoing interpretation of laws and regulations by taxing authorities.
The Company has elected to be treated as a RIC commencing with its taxable year ended December 31, 2013. So long as the Company maintains
its status as a RIC, it will generally not be required to pay corporate-level U.S. federal income tax on any ordinary income or capital gains that it distributes at least annually to its stockholders as dividends. As a result, any U.S. federal
income tax liability related to income earned and distributed by the Company represents obligations of the Companys stockholders and will not be reflected in the consolidated financial statements of the Company.
To maintain its tax treatment as a RIC, the Company must meet specified
source-of-income
and asset diversification requirements and timely distribute to its stockholders for each taxable year at least 90% of its investment company taxable
income (generally, its net ordinary income plus the excess of its realized net short-term capital gains over realized net long-term capital losses, determined without regard to the dividends paid deduction). In order for the Company not to be
subject to U.S. federal excise taxes, it must distribute annually an amount at least equal to the sum of (i) 98% of its net ordinary income (taking into account certain deferrals and elections) for the calendar year, (ii) 98.2% of its capital gains
in excess of capital losses for the
one-year
period ending on October 31 of the calendar year and (iii) any net ordinary income and capital gains in excess of capital losses for preceding years that
were not distributed during such years. The Company, at its discretion, may carry forward taxable income in excess of calendar year dividends and pay a 4% nondeductible U.S. federal excise tax on this income. If the Company chooses to do so, this
generally would increase expenses and reduce the amount available to be distributed to stockholders. The Company will accrue excise tax on estimated undistributed taxable income as required. For the three months ended March 31, 2019 and 2018
the Company accrued excise taxes of $442 and $285, respectively. As of March 31, 2019, $625 of accrued excise taxes remained payable.
Certain of the Companys consolidated subsidiaries are subject to U.S. federal and state corporate-level income taxes. Income tax
expense, if any, is included under the income category for which it applies in the Consolidated Statements of Operations. For the three months ended March 31, 2019 and 2018 the Company accrued provision for taxes on realized gains on
investments of $0 and $447, respectively. For the three months ended March 31, 2019 and 2018 the Company accrued provision for taxes on unrealized gains on investments of $(204) and $0, respectively. As of March 31, 2019, $518 of income
taxes remained payable.
21
Distributions
Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations,
which may differ from those amounts determined in accordance with GAAP. The Company may pay distributions in excess of its taxable net investment income. This excess would be a
tax-free
return of capital in
the period and reduce the stockholders tax basis in its shares. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent they are charged or credited to
paid-in
capital in excess of par, accumulated undistributed net investment income or accumulated net realized gain (loss), as appropriate, in the period that the differences arise. Temporary and permanent
differences are primarily attributable to differences in the tax treatment of certain loans and the tax characterization of income and
non-deductible
expenses. These differences are generally determined in
conjunction with the preparation of the Companys annual RIC tax return. Distributions to common stockholders are recorded on the
ex-dividend
date. The amount to be paid out as a distribution is
determined by the Board of Directors each quarter and is generally based upon the earnings estimated by the Investment Adviser. The Company may pay distributions to its stockholders in a year in excess of its net ordinary income and capital gains
for that year and, accordingly, a portion of such distributions may constitute a return of capital for U.S. federal income tax purposes. The Company intends to timely distribute to its stockholders substantially all of its annual taxable income for
each year, except that the Company may retain certain net capital gains for reinvestment and carry forward taxable income for distribution in the following year and pay any applicable tax. The specific tax characteristics of the Companys
distributions will be reported to stockholders after the end of the calendar year. All distributions will be subject to available funds, and no assurance can be given that the Company will be able to declare such distributions in future periods.
The Company has adopted a dividend reinvestment plan that provides for reinvestment of all cash distributions declared by the Board of
Directors unless a stockholder elects to opt out of the plan. As a result, if the Board of Directors declares a cash distribution, then the stockholders who have not opted out of the dividend reinvestment plan will have their
cash distributions automatically reinvested in additional shares of common stock, rather than receiving the cash distribution. Stockholders who receive distributions in the form of shares of common stock will generally be subject to the same U.S.
federal, state and local tax consequences as if they received cash distributions and, for this purpose, stockholders receiving distributions in the form of stock will generally be treated as receiving distributions equal to the fair market value of
the stock received through the plan; however, since their cash distributions will be reinvested, those stockholders will not receive cash with which to pay any applicable taxes. Due to regulatory considerations, Group Inc. has opted out of the
dividend reinvestment plan, and GS & Co. has opted out of the dividend reinvestment plan in respect of shares of the Companys common stock acquired through its
10b5-1
plan.
Deferred Financing and Debt Issuance Costs
Deferred financing and debt issuance costs consist of fees and expenses paid in connection with the closing of and amendments to the
Companys senior secured revolving credit agreement (as amended, the Revolving Credit Facility) with SunTrust Bank, as administrative agent, and Bank of America, N.A., as syndication agent, and the offering of the Companys
4.50% Convertible Notes due 2022 (the Convertible Notes). These costs are amortized using the straight-line method over the respective term of the Revolving Credit Facility and Convertible Notes. Deferred financing costs related to the
Revolving Credit Facility are presented separately as an asset on the Companys Consolidated Statements of Assets and Liabilities. Deferred debt issuance costs related to the Convertible Notes are presented net against the outstanding debt
balance on the Consolidated Statements of Assets and Liabilities.
Deferred Offering Costs
The Company records expenses related to registration statement filings and applicable offering costs as deferred offering costs. To the extent
such expenses relate to equity offerings, these expenses are charged as a reduction of
paid-in-capital
upon each such offering.
New Accounting Pronouncements
In October
2018, the U.S Securities Exchange Commission (SEC) adopted the final rule under SEC release
No. 33-10532,
Disclosure Update and Simplification, amending certain disclosure requirements that
were redundant, duplicative, overlapping, outdated or superseded. The Company is no longer required to present components of distributable earnings on the Consolidated Statements of Assets and Liabilities or the sources of distributable earnings and
the amount of undistributed net investment income on the Consolidated Statements of Changes in Net Assets. Prior period information has been reclassified to conform to the current period presentation and this had no effect on the Companys
consolidated financial position or the consolidated results of operations as previously reported. The following provides the prior period reclassifications.
Consolidated Statements of Changes in Net Assets
The table below provides a reconciliation for previously disclosed
distributions from net investment income and realized gain for the three months ended March 31, 2018 to distributions from distributable earnings as disclosed in the current filing.
22
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Distributions to stockholders from:
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For the three months
ended
March 31, 2018
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Net investment income
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$
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(18,070
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)
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Total distributions to stockholders
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$
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(18,070
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)
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3.
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SIGNIFICANT AGREEMENTS AND RELATED PARTY TRANSACTIONS
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Investment Management Agreement
The
Company has entered into an investment management agreement (as amended and restated as of June 15, 2018, the Investment Management Agreement) with the Investment Adviser, pursuant to which the Investment Adviser manages the
Companys investment program and related activities.
Management Fee
The Company pays the Investment Adviser a management fee (the Management Fee), accrued and payable quarterly in arrears. The
Management Fee is calculated at (i) an annual rate of 1.50% (0.375% per quarter) (the Original Rate) through June 14, 2018 and (ii) an annual rate of 1.00% (0.25% per quarter) (the New Rate) thereafter, in each
case, of the average value of the Companys gross assets (excluding cash or cash equivalents but including assets purchased with borrowed amounts) at the end of each of the two most recently completed calendar quarters. The Management Fee for
any partial quarter (including any quarter during which both the Original Rate and the New Rate were in effect) will be appropriately prorated based on the actual number of days elapsed relative to the total number of days in such calendar quarter.
For the three months ended March 31, 2019 and 2018 Management Fees amounted to $3,536 and $4,803, respectively. As of March 31,
2019, $3,536 remained payable.
Incentive Fee
The incentive fee (the Incentive Fee) consists of two components that are determined independent of each other, with the result
that one component may be payable even if the other is not. Effective as of January 1, 2015, the Incentive Fee is calculated as follows:
A portion of the Incentive Fee is based on income and a portion is based on capital gains, each as described below. The Investment Adviser is
entitled to receive the Incentive Fee based on income if Ordinary Income (as defined below) exceeds a quarterly hurdle rate of 1.75%. For this purpose, the hurdle is computed by reference to the Companys NAV and does not take into
account changes in the market price of the Companys common stock.
The Incentive Fee based on income is determined and paid
quarterly in arrears at the end of each calendar quarter by reference to the Companys aggregate net investment income, as adjusted as described below, from the calendar quarter then ending and the eleven preceding calendar quarters (or if
shorter, the number of quarters that have occurred since January 1, 2015) (such period the Trailing Twelve Quarters). The Incentive Fee based on capital gains is determined and paid annually in arrears at the end of each calendar
year by reference to an Annual Period, which means the period beginning on January 1 of each calendar year and ending on December 31 of such calendar year or, in the case of the first and last year, the appropriate portion
thereof.
The hurdle amount for the Incentive Fee based on income is determined on a quarterly basis and is equal to 1.75% multiplied by
the Companys NAV at the beginning of each applicable calendar quarter comprising the relevant Trailing Twelve Quarters. The hurdle amount is calculated after making appropriate adjustments for subscriptions (which includes all of the
Companys issuances of shares of its common stock, including issuances pursuant to its dividend reinvestment plan) and distributions that occurred during the relevant Trailing Twelve Quarters. The Incentive Fee for any partial period will be
appropriately prorated.
i. Quarterly Incentive Fee Based on Income
For the portion of the Incentive Fee based on income, the Company pays the Investment Adviser a quarterly Incentive Fee based on the amount by
which (A) aggregate net investment income (Ordinary Income) in respect of the relevant Trailing Twelve Quarters exceeds (B) the hurdle amount for such Trailing Twelve Quarters. The amount of the excess of (A) over
(B) described in this paragraph for such Trailing Twelve Quarters is referred to as the Excess Income Amount. Ordinary Income is net of all fees and expenses, including the Management Fee but excluding any Incentive Fee.
The Incentive Fee based on income for each quarter is determined as follows:
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No Incentive Fee based on income is payable to the Investment Adviser for any calendar quarter for which there
is no Excess Income Amount;
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23
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100% of the Ordinary Income, if any, that exceeds the hurdle amount, but is less than or equal to an amount,
referred to as the
Catch-up
Amount, determined as the sum of 2.1875% multiplied by the Companys NAV at the beginning of each applicable calendar quarter comprising the relevant Trailing
Twelve Quarters is included in the calculation of the Incentive Fee based on income; and
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20% of the Ordinary Income that exceeds the
Catch-up
Amount is
included in the calculation of the Incentive Fee based on income.
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The amount of the Incentive Fee based on income that
is paid to the Investment Adviser for a particular quarter equals the excess of the Incentive Fee so calculated minus the aggregate Incentive Fees based on income that were paid in respect of the first eleven calendar quarters (or the portion
thereof) included in the relevant Trailing Twelve Quarters but not in excess of the Incentive Fee Cap (as described below).
The Incentive
Fee based on income that is paid to the Investment Adviser for a particular quarter is subject to a cap (the Incentive Fee Cap). The Incentive Fee Cap for any quarter is an amount equal to (a) 20% of the Cumulative Net Return (as defined
below) during the relevant Trailing Twelve Quarters minus (b) the aggregate Incentive Fees based on income that were paid in respect of the first eleven calendar quarters (or the portion thereof) included in the relevant Trailing Twelve
Quarters.
Cumulative Net Return means (x) the Ordinary Income in respect of the relevant Trailing Twelve Quarters minus
(y) any Net Capital Loss, if any, in respect of the relevant Trailing Twelve Quarters. If, in any quarter, the Incentive Fee Cap is zero or a negative value, the Company pays no Incentive Fee based on income to the Investment Adviser for such
quarter. If, in any quarter, the Incentive Fee Cap for such quarter is a positive value but is less than the Incentive Fee based on income that is payable to the Investment Adviser for such quarter (before giving effect to the Incentive Fee Cap)
calculated as described above, the Company pays an Incentive Fee based on income to the Investment Adviser equal to the Incentive Fee Cap for such quarter. If, in any quarter, the Incentive Fee Cap for such quarter is equal to or greater than the
Incentive Fee based on income that is payable to the Investment Adviser for such quarter (before giving effect to the Incentive Fee Cap) calculated as described above, the Company pays an Incentive Fee based on income to the Investment Adviser equal
to the Incentive Fee calculated as described above for such quarter without regard to the Incentive Fee Cap.
Net Capital Loss
in respect of a particular period means the difference, if positive, between (i) aggregate capital losses, whether realized or unrealized, in such period and (ii) aggregate capital gains, whether realized or unrealized, in such period.
ii. Annual Incentive Fee Based on Capital Gains.
The portion of the Incentive Fee based on capital gains is calculated on an annual basis. For each Annual Period, the Company pays the
Investment Adviser an amount equal to (A) 20% of the difference, if positive, of the sum of the Companys aggregate realized capital gains, if any, computed net of the Companys aggregate realized capital losses, if any, and the
Companys aggregate unrealized capital depreciation, in each case from April 1, 2013 until the end of such Annual Period minus (B) the cumulative amount of Incentive Fees based on capital gains previously paid to the Investment
Adviser from April 1, 2013. For the avoidance of doubt, unrealized capital appreciation is excluded from the calculation in clause (A) above.
The Company accrues, but does not pay, a portion of the Incentive Fee based on capital gains with respect to net unrealized appreciation.
Under GAAP, the Company is required to accrue an Incentive Fee based on capital gains that includes net realized capital gains and losses and net unrealized capital appreciation and depreciation on investments held at the end of each period. In
calculating the accrual for the Incentive Fee based on capital gains, the Company considers the cumulative aggregate unrealized capital appreciation in the calculation, since an Incentive Fee based on capital gains would be payable if such
unrealized capital appreciation were realized, even though such unrealized capital appreciation is not permitted to be considered in calculating the fee payable under the Investment Management Agreement. This accrual is calculated using the
aggregate cumulative realized capital gains and losses and aggregate cumulative unrealized capital appreciation or depreciation. If such amount is positive at the end of a period, then the Company records a capital gains incentive fee equal to 20%
of such amount, minus the aggregate amount of actual Incentive Fees based on capital gains paid in all prior periods. If such amount is negative, then there is no accrual for such period. There can be no assurance that such unrealized capital
appreciation will be realized in the future.
For the three months ended March 31, 2019 and 2018, the Company incurred Incentive Fees
based on income of $493 and $4,684, respectively. As of March 31, 2019, $493 remained payable. For the three months ended March 31, 2019 and 2018, the Company did not accrue or pay any Incentive Fees based on capital gains.
Administration and Custodian Fees
The
Company has entered into an administration agreement with State Street Bank and Trust Company (the Administrator) under which the Administrator provides various accounting and administrative services to the Company. The Company pays the
Administrator fees for its services as it determines to be commercially reasonable in its sole discretion. The Company also reimburses the Administrator for all reasonable expenses. To the extent that the Administrator outsources any of its
functions, the Administrator pays any compensation associated with such functions. The Administrator also serves as the Companys custodian (the Custodian).
For the three months ended March 31, 2019 and 2018, the Company incurred expenses for services provided by the Administrator and the
Custodian of $237 and $227, respectively. As of March 31, 2019, $234 remained payable.
24
Transfer Agent Fees
Effective May 2, 2016, the Company entered into a transfer agency and services agreement pursuant to which Computershare Trust Company,
N.A. serves as the Companys transfer agent (the Transfer Agent), dividend agent and registrar. From the IPO to May 1, 2016, State Street Bank and Trust Company served as the Transfer Agent and dividend agent. Prior to the IPO,
GS & Co. was the Transfer Agent. For the three months ended March 31, 2019 and 2018, the Company incurred expenses for services provided by the Transfer Agent of $3 and $4, respectively. As of March 31, 2019, $3 remained payable.
Common Stock Repurchase Plans
In
February 2016, the Board of Directors authorized the Company to repurchase up to $25,000 of the Companys common stock if the stock trades below the most recently announced NAV per share (including any updates, corrections or adjustments
publicly announced by the Company to any previously announced NAV per share), from March 18, 2016 to March 18, 2017, subject to certain limitations. In February 2017, the Companys Board of Directors renewed its authorization of the
stock repurchase plan to extend the expiration to March 18, 2018, in February 2018, again renewed its authorization of the stock repurchase plan to extend the expiration to March 18, 2019 and, in February 2019, again renewed its
authorization of the stock repurchase plan to extend the expiration to March 18, 2020.
In connection with this authorization, the
Company entered into a
10b5-1
plan (the Company
10b5-1
Plan). The Company
10b5-1
Plan initially took effect on
March 18, 2016 (with any purchases to commence after the opening of NYSE trading on March 21, 2016), was subsequently renewed and expired on March 18, 2018. The Company entered into an agreement to renew the Company
10b5-1
Plan on May 14, 2018, which was terminated on June 27, 2018 in connection with the Companys offering of Convertible Notes. See Notes 6 Debt. On June 27, 2018, the Company
entered into an agreement to renew the Company
10b5-1
Plan with any purchases pursuant to the agreement to commence on September 25, 2018. The Company
10b5-1
Plan
expired on March 18, 2019.
In February 2019, our Board of Directors approved a new common stock repurchase plan (the New
Company
10b5-1
Plan), which provides for us to repurchase up to $25,000 of shares of our common stock if the stock trades below the most recently announced net asset value per share, subject to
limitations. Under the New Company
10b5-1
Plan, no purchases will be made if such purchases would (i) cause the aggregate ownership of our outstanding stock by Group Inc. and GS & Co. to equal or
exceed 25.0% (due to the reduction in outstanding shares of stock as a result of purchase) or (ii) cause our Debt/Equity Ratio to exceed the lower of (a) 1.40 or (b) the Maximum Debt/Equity Ratio. In the New Company
10b5-1
Plan, Debt/Equity Ratio means the sum of debt on the Consolidated Statements of Assets and Liabilities and the total notional value of the Purchasers unfunded commitments divided by 85% of
total equity, as of the most recent reported financial statement end date, and Maximum Debt/Equity Ratio means the sum of debt on the balance sheet and committed uncalled debt divided by net assets, as of the most recent reported
financial statement end date. The New Company
10b5-1
Plan took effect on March 18, 2019, expires on March 18, 2020 and purchases thereunder will be conducted on a programmatic basis in accordance
with Rules
10b5-1
and
10b-18
under the Exchange Act and other applicable securities laws.
The Companys repurchase of its common stock under the New Company
10b5-1
Plan or otherwise may
result in the price of the Companys common stock being higher than the price that otherwise might exist in the open market. For the three months ended March 31, 2019 and 2018, the Company did not repurchase any of its common stock
pursuant to the Company
10b5-1
Plan, the New Company
10b5-1
Plan or otherwise.
Affiliates
As of March 31, 2019 and
December 31, 2018, Group Inc. owned 16.10% and 16.12%, respectively, of the outstanding shares of the Companys common stock.
The Companys investments in affiliates for the three months ended March 31, 2019 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value as of
December 31,
2018
|
|
|
Gross
Additions
(3)
|
|
|
Gross
Reductions
(4)
|
|
|
Net Realized
Gains/(Losses)
|
|
|
Change in
Unrealized
Gains/(Losses)
|
|
|
Fair Value as
of March 31,
2019
|
|
|
Dividend,
Interest,
PIK and
Other
Income
|
|
Controlled Affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Animal Supply Holdings LLC
|
|
$
|
|
|
|
$
|
54,230
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
6
|
|
|
$
|
54,236
|
|
|
$
|
|
|
Bolttech Mannings, Inc.
|
|
|
23,863
|
|
|
|
532
|
|
|
|
|
|
|
|
|
|
|
|
(375
|
)
|
|
|
24,020
|
|
|
|
535
|
|
Senior Credit Fund, LLC
(1)
|
|
|
96,456
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(525
|
)
|
|
|
95,931
|
|
|
|
2,450
|
|
Total Controlled Affiliates
|
|
$
|
120,319
|
|
|
$
|
54,762
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(894
|
)
|
|
$
|
174,187
|
|
|
$
|
2,985
|
|
Non-Controlled
Affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Financial Square Government Fund
(2)
|
|
$
|
|
|
|
$
|
62,408
|
|
|
$
|
(62,408
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
18
|
|
Accuity Delivery Systems, LLC
|
|
|
13,730
|
|
|
|
12
|
|
|
|
|
|
|
|
|
|
|
|
385
|
|
|
|
14,127
|
|
|
|
263
|
|
CB-HDT
Holdings, Inc.
|
|
|
26,854
|
|
|
|
|
|
|
|
(1
|
)
|
|
|
|
|
|
|
(3,448
|
)
|
|
|
23,405
|
|
|
|
167
|
|
Collaborative Imaging Holdco, LLC
|
|
|
10,273
|
|
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
(92
|
)
|
|
|
10,185
|
|
|
|
224
|
|
Conergy Asia Holdings, Ltd
|
|
|
1,064
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,064
|
|
|
|
26
|
|
Elah Holdings, Inc.
|
|
|
2,234
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,234
|
|
|
|
|
|
Iracore International Holdings, Ltd
|
|
|
7,807
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
365
|
|
|
|
8,172
|
|
|
|
98
|
|
Kawa Solar Holdings Limited
|
|
|
8,066
|
|
|
|
|
|
|
|
(4,547
|
)
|
|
|
|
|
|
|
320
|
|
|
|
3,839
|
|
|
|
|
|
NTS Communications, Inc.
|
|
|
55,557
|
|
|
|
228
|
|
|
|
|
|
|
|
|
|
|
|
(238
|
)
|
|
|
55,547
|
|
|
|
234
|
|
Prairie Provident Resources, Inc.
|
|
|
504
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(48
|
)
|
|
|
456
|
|
|
|
|
|
Total Non-Controlled Affiliates
|
|
$
|
126,089
|
|
|
$
|
62,652
|
|
|
$
|
(66,956
|
)
|
|
$
|
|
|
|
$
|
(2,756
|
)
|
|
$
|
119,029
|
|
|
$
|
1,030
|
|
Total Affiliates
|
|
$
|
246,408
|
|
|
$
|
117,414
|
|
|
$
|
(66,956
|
)
|
|
$
|
|
|
|
$
|
(3,650
|
)
|
|
$
|
293,216
|
|
|
$
|
4,015
|
|
25
(1)
|
Together with The Regents of the University of California (Cal Regents, and collectively with the
Company, the Members), the Company invests through the Senior Credit Fund. Although the Company owns more than 25% of the voting securities of the Senior Credit Fund, the Company does not believe that it has control over the Senior
Credit Fund (other than for purposes of the Investment Company Act). See Note 4 Investments.
|
(2)
|
Fund advised by an affiliate of Goldman Sachs.
|
(3)
|
Gross additions may include increases in the cost basis of investments resulting from new portfolio
investments, PIK interest or dividends, the accretion of discounts, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
|
(4)
|
Gross reductions may include decreases in the cost basis of investments resulting from principal collections
related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
|
The Companys investments in affiliates for the year ended December 31, 2018 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value as of
December 31,
2017
|
|
|
Gross
Additions
(3)
|
|
|
Gross
Reductions
(4)
|
|
|
Net Realized
Gains/(Losses)
|
|
|
Change in
Unrealized
Gains/(Losses)
|
|
|
Fair Value as of
December 31,
2018
|
|
|
Dividend,
Interest, PIK
and
Other
Income
|
|
Controlled Affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bolttech Mannings, Inc.
|
|
$
|
20,569
|
|
|
$
|
5,648
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(2,354
|
)
|
|
$
|
23,863
|
|
|
$
|
1,791
|
|
Senior Credit Fund, LLC
(1)
|
|
|
92,097
|
|
|
|
5,658
|
|
|
|
|
|
|
|
|
|
|
|
(1,299
|
)
|
|
|
96,456
|
|
|
|
10,550
|
|
Total Controlled Affiliates
|
|
$
|
112,666
|
|
|
$
|
11,306
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(3,653
|
)
|
|
$
|
120,319
|
|
|
$
|
12,341
|
|
Non-Controlled
Affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Financial Square Government Fund
(2)
|
|
$
|
11,539
|
|
|
$
|
243,137
|
|
|
$
|
(254,676
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
53
|
|
Accuity Delivery Systems, LLC
|
|
|
|
|
|
|
13,092
|
|
|
|
|
|
|
|
|
|
|
|
638
|
|
|
|
13,730
|
|
|
|
568
|
|
CB-HDT
Holdings, Inc.
|
|
|
19,345
|
|
|
|
2,148
|
|
|
|
|
|
|
|
|
|
|
|
5,361
|
|
|
|
26,854
|
|
|
|
589
|
|
Collaborative Imaging Holdco, LLC
|
|
|
|
|
|
|
10,077
|
|
|
|
|
|
|
|
|
|
|
|
196
|
|
|
|
10,273
|
|
|
|
703
|
|
Conergy Asia Holdings, Ltd
|
|
|
4,832
|
|
|
|
664
|
|
|
|
|
|
|
|
|
|
|
|
(4,432
|
)
|
|
|
1,064
|
|
|
|
68
|
|
Elah Holdings, Inc.
|
|
|
|
|
|
|
2,234
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,234
|
|
|
|
|
|
Iracore International Holdings, Ltd
|
|
|
9,602
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,795
|
)
|
|
|
7,807
|
|
|
|
380
|
|
Kawa Solar Holdings Limited
|
|
|
8,918
|
|
|
|
153
|
|
|
|
(664
|
)
|
|
|
9
|
|
|
|
(350
|
)
|
|
|
8,066
|
|
|
|
151
|
|
NTS Communications, Inc.
|
|
|
51,538
|
|
|
|
6,459
|
|
|
|
|
|
|
|
|
|
|
|
(2,440
|
)
|
|
|
55,557
|
|
|
|
6,453
|
|
Prairie Provident Resources, Inc.
|
|
|
1,233
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(729
|
)
|
|
|
504
|
|
|
|
|
|
Total Non-Controlled Affiliates
|
|
$
|
107,007
|
|
|
$
|
277,964
|
|
|
$
|
(255,340
|
)
|
|
$
|
9
|
|
|
$
|
(3,551
|
)
|
|
$
|
126,089
|
|
|
$
|
8,965
|
|
Total Affiliates
|
|
$
|
219,673
|
|
|
$
|
289,270
|
|
|
$
|
(255,340
|
)
|
|
$
|
9
|
|
|
$
|
(7,204
|
)
|
|
$
|
246,408
|
|
|
$
|
21,306
|
|
(1)
|
|
Together with Cal Regents, the Company invests through the Senior Credit Fund. Although the Company owns more
than 25% of the voting securities of the Senior Credit Fund, the Company does not believe that it has control over the Senior Credit Fund (other than for purposes of the Investment Company Act). See Note 4 Investments.
|
(2)
|
|
Fund advised by an affiliate of Goldman Sachs.
|
(3)
|
|
Gross additions may include increases in the cost basis of investments resulting from new portfolio
investments, PIK interest or dividends, the accretion of discounts, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company into this category from a different category.
|
(4)
|
|
Gross reductions may include decreases in the cost basis of investments resulting from principal collections
related to investment repayments or sales, the exchange of one or more existing securities for one or more new securities and the movement of an existing portfolio company out of this category into a different category.
|
Due to Affiliates
The Investment Adviser
pays certain general and administrative expenses, including legal expenses, on behalf of the Company in the ordinary course of business. As of March 31, 2019 and December 31, 2018, there were $570 and $282, respectively, included within
Accrued expenses and other liabilities paid by the Investment Adviser and its affiliates on behalf of the Company.
26
Co-investment
Activity
In certain circumstances, negotiated
co-investments
by the Company and other funds managed by the
Investment Adviser may be made only pursuant to an order from the SEC permitting the Company to do so. On January 4, 2017, the Company and GSAM, Goldman Sachs Private Middle Market Credit LLC (GS PMMC) and Goldman Sachs Middle
Market Lending Corp. (GS MMLC) received exemptive relief (Exemptive Relief) that permits the Company to
co-invest
with GS PMMC, GS MMLC and certain other funds that may be managed by
GSAM, including the GSAM Credit Alternatives Team, after the date of the exemptive order, subject to certain conditions including that co-investments are made in a manner consistent with the Companys investment objectives, positions, policies,
strategies and restrictions, as well as regulatory requirements and pursuant to the conditions required by the Exemptive Relief, and are allocated fairly among participants. The GSAM Credit Alternatives Team is comprised of investment professionals
dedicated to the Companys investment strategy and other funds that share a similar investment strategy with the Company, who are responsible for identifying investment opportunities, conducting research and due diligence on prospective
investments, negotiating and structuring the Companys investments and monitoring and servicing the Companys investments, together with investment professionals who are primarily focused on investment strategies in syndicated, liquid
credit. Under the terms of the Exemptive Relief, a required majority (as defined in Section 57(o) of the Investment Company Act) of the Companys independent directors must make certain conclusions in connection with a
co-investment
transaction, including that (1) the terms of the proposed transaction are reasonable and fair to the Company and the Companys stockholders and do not involve overreaching in respect of the
Company or its stockholders on the part of any person concerned, and (2) the transaction is consistent with the interests of the Companys stockholders and is consistent with the then-current investment objectives and strategies of the
Company. As a result of the Exemptive Relief, there could be significant overlap in the Companys investment portfolio and the investment portfolios of GS PMMC, GS MMLC and/or other funds established by the GSAM Credit Alternatives Team that
could avail themselves of the Exemptive Relief.
As of the dates indicated, the Companys investments consisted of the following:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
Investment Type
|
|
Cost
|
|
|
Fair Value
|
|
|
Cost
|
|
|
Fair Value
|
|
1st Lien/Senior Secured Debt
|
|
$
|
823,300
|
|
|
$
|
814,544
|
|
|
$
|
738,626
|
|
|
$
|
729,604
|
|
1st
Lien/Last-Out
Unitranche
|
|
|
108,355
|
|
|
|
101,087
|
|
|
|
114,004
|
|
|
|
106,879
|
|
2nd Lien/Senior Secured Debt
|
|
|
304,393
|
|
|
|
291,034
|
|
|
|
411,551
|
|
|
|
391,931
|
|
Unsecured Debt
|
|
|
6,711
|
|
|
|
6,701
|
|
|
|
6,711
|
|
|
|
6,697
|
|
Preferred Stock
|
|
|
41,850
|
|
|
|
44,865
|
|
|
|
16,851
|
|
|
|
21,534
|
|
Common Stock
|
|
|
67,046
|
|
|
|
50,935
|
|
|
|
37,815
|
|
|
|
22,343
|
|
Investment Funds & Vehicles
(1)
|
|
|
100,000
|
|
|
|
95,931
|
|
|
|
100,000
|
|
|
|
96,456
|
|
Total Investments
|
|
$
|
1,451,655
|
|
|
$
|
1,405,097
|
|
|
$
|
1,425,558
|
|
|
$
|
1,375,444
|
|
(1)
|
|
Includes equity investments in the Senior Credit Fund.
|
27
As of the dates indicated, the industry composition of the Companys portfolio at fair value
and net assets was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
Industry
|
|
Fair Value
|
|
|
Net Assets
|
|
|
Fair Value
|
|
|
Net Assets
|
|
Software
|
|
|
9.8
|
%
|
|
|
19.9
|
%
|
|
|
11.5
|
%
|
|
|
22.3
|
%
|
Health Care Providers & Services
|
|
|
8.2
|
|
|
|
16.5
|
|
|
|
8.0
|
|
|
|
15.5
|
|
IT Services
|
|
|
7.0
|
|
|
|
14.1
|
|
|
|
4.8
|
|
|
|
9.4
|
|
Investment Funds & Vehicles
|
|
|
6.8
|
|
|
|
13.8
|
|
|
|
7.0
|
|
|
|
13.6
|
|
Distributors
|
|
|
6.3
|
|
|
|
12.8
|
|
|
|
5.8
|
|
|
|
11.2
|
|
Internet Software & Services
|
|
|
6.0
|
|
|
|
12.1
|
|
|
|
5.2
|
|
|
|
10.0
|
|
Diversified Telecommunication Services
|
|
|
5.5
|
|
|
|
11.1
|
|
|
|
5.6
|
|
|
|
10.9
|
|
Media
|
|
|
5.4
|
|
|
|
11.0
|
|
|
|
5.5
|
|
|
|
10.7
|
|
Chemicals
|
|
|
4.7
|
|
|
|
9.6
|
|
|
|
4.9
|
|
|
|
9.5
|
|
Health Care Equipment & Supplies
|
|
|
4.2
|
|
|
|
8.5
|
|
|
|
4.3
|
|
|
|
8.2
|
|
Electronic Equipment, Instruments & Components
|
|
|
3.9
|
|
|
|
7.8
|
|
|
|
4.0
|
|
|
|
7.6
|
|
Air Freight & Logistics
|
|
|
2.9
|
|
|
|
5.9
|
|
|
|
3.0
|
|
|
|
5.8
|
|
Aerospace & Defense
|
|
|
2.9
|
|
|
|
5.8
|
|
|
|
3.2
|
|
|
|
6.2
|
|
Professional Services
|
|
|
2.8
|
|
|
|
5.7
|
|
|
|
3.0
|
|
|
|
5.7
|
|
Diversified Financial Services
|
|
|
2.7
|
|
|
|
5.4
|
|
|
|
3.1
|
|
|
|
6.1
|
|
Road & Rail
|
|
|
2.2
|
|
|
|
4.4
|
|
|
|
2.2
|
|
|
|
4.3
|
|
Machinery
|
|
|
2.1
|
|
|
|
4.3
|
|
|
|
2.2
|
|
|
|
4.2
|
|
Specialty Retail
|
|
|
2.1
|
|
|
|
4.2
|
|
|
|
2.1
|
|
|
|
4.1
|
|
Health Care Technology
|
|
|
2.1
|
|
|
|
4.2
|
|
|
|
1.6
|
|
|
|
3.1
|
|
Commercial Services & Supplies
|
|
|
2.0
|
|
|
|
4.1
|
|
|
|
2.0
|
|
|
|
3.8
|
|
Auto Components
|
|
|
1.9
|
|
|
|
3.9
|
|
|
|
2.0
|
|
|
|
3.8
|
|
Household Products
|
|
|
1.8
|
|
|
|
3.6
|
|
|
|
1.8
|
|
|
|
3.6
|
|
Internet Catalog & Retail
|
|
|
1.8
|
|
|
|
3.6
|
|
|
|
1.5
|
|
|
|
3.0
|
|
Real Estate Management & Development
|
|
|
1.0
|
|
|
|
1.9
|
|
|
|
0.9
|
|
|
|
1.8
|
|
Leisure Equipment & Products
|
|
|
0.8
|
|
|
|
1.6
|
|
|
|
0.8
|
|
|
|
1.5
|
|
Food Products
|
|
|
0.6
|
|
|
|
1.3
|
|
|
|
1.1
|
|
|
|
2.2
|
|
Energy Equipment & Services
|
|
|
0.6
|
|
|
|
1.2
|
|
|
|
0.6
|
|
|
|
1.1
|
|
Beverages
|
|
|
0.6
|
|
|
|
1.2
|
|
|
|
0.6
|
|
|
|
1.2
|
|
Containers & Packaging
|
|
|
0.4
|
|
|
|
0.9
|
|
|
|
0.4
|
|
|
|
0.9
|
|
Life Sciences Tools & Services
|
|
|
0.4
|
|
|
|
0.8
|
|
|
|
0.4
|
|
|
|
0.8
|
|
Construction & Engineering
|
|
|
0.3
|
|
|
|
0.7
|
|
|
|
0.7
|
|
|
|
1.3
|
|
Capital Markets
|
|
|
0.2
|
|
|
|
0.3
|
|
|
|
0.2
|
|
|
|
0.3
|
|
Oil, Gas & Consumable Fuels
|
|
|
0.0
|
|
|
|
0.1
|
|
|
|
0.0
|
|
|
|
0.1
|
|
Total
|
|
|
100.0
|
%
|
|
|
202.3
|
%
|
|
|
100.0
|
%
|
|
|
193.8
|
%
|
As of the dates indicated, the geographic composition of the Companys portfolio at fair value was as
follows:
|
|
|
|
|
|
|
|
|
Geographic
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
United States
|
|
|
98.2
|
%
|
|
|
97.9
|
%
|
Ireland
|
|
|
1.4
|
|
|
|
1.4
|
|
Germany
|
|
|
0.3
|
|
|
|
0.6
|
|
Singapore
|
|
|
0.1
|
|
|
|
0.1
|
|
Total
|
|
|
100.0
|
%
|
|
|
100.0
|
%
|
Senior Credit Fund, LLC
The Senior Credit Fund, an unconsolidated Delaware limited liability company, was formed on May 7, 2014 and commenced operations on
October 1, 2014. The Company invests together with Cal Regents through the Senior Credit Fund. The Senior Credit Funds principal purpose is to make investments, either directly or indirectly through its wholly owned subsidiary, Senior
Credit Fund SPV I, LLC (SPV I), primarily in senior secured loans to middle-market companies. Each of the Company and Cal Regents are responsible for sourcing the Senior Credit Funds investments. Each of the Company and Cal Regents
has a 50% economic ownership in the Senior Credit Fund and each has subscribed to fund $100,000. Except under certain circumstances, contributions to the Senior Credit Fund cannot be redeemed. The Senior Credit Fund is managed by a six member board
of managers, on which the Company and Cal Regents have equal representation. Investment decisions generally must be unanimously approved by a quorum of the board of managers. On August 24, 2018, the Company and Cal Regents, as the Members of
the Senior Credit Fund, entered into an amendment to the amended and restated limited liability company agreement of the Senior Credit Fund to extend the investment period to December 19, 2018.
28
On February 27, 2019, the board of managers of the Senior Credit Fund authorized the
liquidation and subsequent dissolution of the Senior Credit Fund and the
pro-rata
distribution of its assets and liabilities to the members of the Senior Credit Fund. Following the distribution of underlying
assets and liabilities held by the Senior Credit Fund to its members, including the Company, the
pro-rata
portion of such assets and liabilities received by the Company will become assets and liabilities of
the Company and will be directly included in its consolidated financial statements and notes thereto, and will also be included for purposes of determining the Companys asset coverage ratio. There can be no assurance that the liquidation of
the Senior Credit Fund and related transactions will be effectuated, and such transactions will remain subject to any requisite approvals.
On December 19, 2016, SPV I entered into an amended and restated credit facility (as amended, the Asset Based Facility),
which consists of a revolving credit facility (the SPV I Revolving Credit Facility), a term loan facility (the SPV I Term Loan Facility) and a Class B loan facility (the SPV I Class B Facility), with
various lenders. For the Asset Based Facility, Natixis, New York Branch (Natixis) serves as the facility agent, and State Street Bank and Trust Company serves as the collateral agent. The SPV I Revolving Credit Facility provided for
borrowings in an aggregate amount of $19,550 as of March 31, 2019. Borrowings under the SPV I Revolving Credit Facility bear interest at LIBOR plus 2.30%. As of March 31, 2019, the SPV I Term Loan Facility consisted of a $228,873 term loan
and the SPV I Class B Facility consisted of a $40,000 Class B loan. Borrowings under the SPV I Term Loan Facility and SPV I Class B Facility bear interest at LIBOR plus 2.30% and LIBOR plus 3.50%, respectively. Any amounts borrowed
under the Asset Based Facility will mature, and all accrued and unpaid interest will be due and payable, on December 19, 2025. As of March 31, 2019 and December 31, 2018, the SPV Is aggregated outstanding borrowings under the
Asset Based Facility were $288,423 and $300,500, respectively.
As of March 31, 2019 and December 31, 2018, the Company and Cal
Regents had subscribed to fund and contributed the following to the Senior Credit Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
Member
|
|
Subscribed
to fund
|
|
|
Contributed
|
|
|
Subscribed
to fund
|
|
|
Contributed
|
|
Company
|
|
$
|
100,000
|
|
|
$
|
100,000
|
|
|
$
|
100,000
|
|
|
$
|
100,000
|
|
Cal Regents
|
|
|
100,000
|
|
|
|
100,000
|
|
|
|
100,000
|
|
|
|
100,000
|
|
Total
|
|
$
|
200,000
|
|
|
$
|
200,000
|
|
|
$
|
200,000
|
|
|
$
|
200,000
|
|
As of March 31, 2019 and December 31, 2018, the Senior Credit Fund had total investments at fair
value of $431,455 and $451,801, respectively. As of March 31, 2019, the Senior Credit Fund had one portfolio company on
non-accrual
status. As of December 31, 2018, the Senior Credit Fund had one
portfolio company on
non-accrual
status. As of March 31, 2019 and December 31, 2018, the Senior Credit Fund had an investment in a money market fund managed by an affiliate of Group Inc. with a total
fair value of $42,415 and $5,292, respectively. In addition, as of March 31, 2019, the Senior Credit Fund had ten portfolio companies with unfunded commitments totaling $15,589, and as of December 31, 2018, the Senior Credit Fund had ten
portfolio companies with unfunded commitments totaling $17,114.
Below is a summary of the Senior Credit Funds portfolio, excluding
an investment in a money market fund managed by an affiliate of Group Inc., followed by a listing of the individual loans in the Senior Credit Funds portfolio as of March 31, 2019 and December 31, 2018:
|
|
|
|
|
|
|
|
|
|
|
As of
|
|
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
Total senior secured debt
(1)
|
|
$
|
463,444
|
|
|
$
|
484,407
|
|
Weighted average current interest rate on senior secured debt
(2)
|
|
|
7.6%
|
|
|
|
7.7%
|
|
Number of borrowers in the Senior Credit Fund
|
|
|
31
|
|
|
|
32
|
|
Largest loan to a single borrower
(1)
|
|
$
|
29,773
|
|
|
$
|
29,849
|
|
(1)
|
|
At par amount, including fully unfunded commitments.
|
(2)
|
|
Computed as (a) the annual stated interest rate on accruing senior secured debt, divided by (b) total
income producing senior secured debt at par amount, excluding fully unfunded commitments.
|
29
Senior Credit Fund Portfolio as of March 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Company
|
|
Industry
|
|
Interest Rate
(+)
|
|
Reference Rate and
Spread
(+)
|
|
Maturity
|
|
|
Par Amount
|
|
|
Cost
|
|
|
Fair Value
|
|
|
1st Lien/Senior Secured Debt
|
|
3SI Security Systems, Inc.
|
|
Commercial Services & Supplies
|
|
8.36%
|
|
L + 5.75%; 1.00% Floor
|
|
|
06/16/2023
|
|
|
$
|
29,773
|
|
|
$
|
29,473
|
|
|
$
|
29,476
|
|
A Place For Mom, Inc.
|
|
Diversified Consumer Services
|
|
6.25%
|
|
L + 3.75%; 1.00% Floor
|
|
|
08/10/2024
|
|
|
|
17,820
|
|
|
|
17,804
|
|
|
|
17,374
|
|
AMCP Clean Acquisition Company, LLC
|
|
Commercial Services & Supplies
|
|
6.85%
|
|
L + 4.25%
|
|
|
06/16/2025
|
|
|
|
8,804
|
|
|
|
8,764
|
|
|
|
8,716
|
|
AMCP Clean Acquisition Company, LLC
(1)
|
|
Commercial Services & Supplies
|
|
6.89%
|
|
L + 4.25%
|
|
|
06/16/2025
|
|
|
|
2,127
|
|
|
|
824
|
|
|
|
810
|
|
Animal Supply Holdings,
LLC
(3)(5)
|
|
Distributors
|
|
12.75%
|
|
L + 10.00% (incl. 2.50% PIK); 1.00% Floor
|
|
|
02/22/2022
|
|
|
|
7,611
|
|
|
|
7,490
|
|
|
|
7,439
|
|
Ansira Partners, Inc.
|
|
Media
|
|
8.25%
|
|
L + 5.75%; 1.00% Floor
|
|
|
12/20/2022
|
|
|
|
9,226
|
|
|
|
9,163
|
|
|
|
9,180
|
|
Ansira Partners, Inc.
(1)
|
|
Media
|
|
8.25%
|
|
L + 5.75%; 1.00% Floor
|
|
|
12/20/2022
|
|
|
|
566
|
|
|
|
137
|
|
|
|
137
|
|
ATX Networks Corp.
|
|
Communications Equipment
|
|
8.60%
|
|
L + 6.00%; 1.00% Floor
|
|
|
06/11/2021
|
|
|
|
14,896
|
|
|
|
14,830
|
|
|
|
14,003
|
|
ATX Networks Corp.
|
|
Communications Equipment
|
|
8.60%
|
|
L + 6.00%; 1.00% Floor
|
|
|
06/11/2021
|
|
|
|
947
|
|
|
|
932
|
|
|
|
890
|
|
Badger Sportswear, Inc.
|
|
Textiles, Apparel & Luxury Goods
|
|
7.00%
|
|
L + 4.50%; 1.00% Floor
|
|
|
09/11/2023
|
|
|
|
14,622
|
|
|
|
14,522
|
|
|
|
14,183
|
|
Barbri, Inc.
|
|
Media
|
|
6.74%
|
|
L + 4.25%; 1.00% Floor
|
|
|
12/01/2023
|
|
|
|
12,486
|
|
|
|
12,436
|
|
|
|
12,268
|
|
CST Buyer Company
|
|
Diversified Consumer Services
|
|
7.50%
|
|
L + 5.00%; 1.00% Floor
|
|
|
03/01/2023
|
|
|
|
18,376
|
|
|
|
18,019
|
|
|
|
18,146
|
|
CST Buyer Company
(1) (2)
|
|
Diversified Consumer Services
|
|
|
|
L + 5.00%; 1.00% Floor
|
|
|
03/01/2023
|
|
|
|
1,800
|
|
|
|
(33
|
)
|
|
|
(23
|
)
|
DBRS Limited
|
|
Capital Markets
|
|
7.88%
|
|
L + 5.25%; 1.00% Floor
|
|
|
03/04/2022
|
|
|
|
11,520
|
|
|
|
11,465
|
|
|
|
11,405
|
|
Drilling Info Holdings, Inc.
|
|
Oil & Gas
|
|
6.75%
|
|
L + 4.25%
|
|
|
07/30/2025
|
|
|
|
18,350
|
|
|
|
18,265
|
|
|
|
18,212
|
|
Drilling Info Holdings, Inc.
(1) (2)
|
|
Oil & Gas
|
|
|
|
L + 4.25%
|
|
|
07/30/2025
|
|
|
|
68
|
|
|
|
|
|
|
|
(1
|
)
|
FWR Holding Corporation
|
|
Hotels, Restaurants & Leisure
|
|
8.00%
|
|
L + 5.50%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
8,966
|
|
|
|
8,792
|
|
|
|
8,877
|
|
FWR Holding Corporation
|
|
Hotels, Restaurants & Leisure
|
|
8.00%
|
|
L + 5.50%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
1,791
|
|
|
|
1,757
|
|
|
|
1,773
|
|
FWR Holding Corporation
|
|
Hotels, Restaurants & Leisure
|
|
8.00%
|
|
L + 5.50%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
1,133
|
|
|
|
1,111
|
|
|
|
1,121
|
|
FWR Holding Corporation
(1)
|
|
Hotels, Restaurants & Leisure
|
|
8.00%
|
|
L + 5.50%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
1,175
|
|
|
|
271
|
|
|
|
282
|
|
GH Holding Company
|
|
Real Estate Management & Development
|
|
7.00%
|
|
L + 4.50%
|
|
|
02/28/2023
|
|
|
|
14,850
|
|
|
|
14,790
|
|
|
|
14,776
|
|
GI Revelation Acquisition LLC
|
|
Internet Software & Services
|
|
7.50%
|
|
L + 5.00%
|
|
|
04/16/2025
|
|
|
|
9,435
|
|
|
|
9,392
|
|
|
|
9,223
|
|
GK Holdings, Inc.
|
|
IT Services
|
|
8.60%
|
|
L + 6.00%; 1.00% Floor
|
|
|
01/20/2021
|
|
|
|
17,235
|
|
|
|
17,192
|
|
|
|
15,339
|
|
GlobalTranz Enterprises, Inc.
|
|
Road & Rail
|
|
6.50%
|
|
L + 4.00%
|
|
|
06/29/2025
|
|
|
|
21,890
|
|
|
|
21,789
|
|
|
|
21,781
|
|
GlobalTranz Enterprises, Inc.
(1)
|
|
Road & Rail
|
|
6.50%
|
|
L + 4.00%
|
|
|
06/29/2025
|
|
|
|
4,000
|
|
|
|
116
|
|
|
|
96
|
|
Halo Branded Solutions, Inc.
|
|
Commercial Services & Supplies
|
|
7.00%
|
|
L + 4.50%; 1.00% Floor
|
|
|
06/30/2025
|
|
|
|
10,476
|
|
|
|
10,380
|
|
|
|
10,267
|
|
Halo Branded Solutions, Inc.
|
|
Commercial Services & Supplies
|
|
7.00%
|
|
L + 4.50%; 1.00% Floor
|
|
|
06/30/2025
|
|
|
|
4,412
|
|
|
|
4,370
|
|
|
|
4,324
|
|
HC Group Holdings III, Inc.
|
|
Health Care Providers & Services
|
|
6.25%
|
|
L + 3.75%
|
|
|
04/07/2022
|
|
|
|
8,685
|
|
|
|
8,664
|
|
|
|
8,642
|
|
Hygiena Borrower LLC
(3)
|
|
Life Sciences Tools & Services
|
|
6.60%
|
|
L + 4.00%; 1.00% Floor
|
|
|
08/26/2022
|
|
|
|
17,716
|
|
|
|
17,587
|
|
|
|
17,362
|
|
Hygiena Borrower LLC
(1) (2) (3)
|
|
Life Sciences Tools & Services
|
|
|
|
L + 4.00%; 1.00% Floor
|
|
|
08/26/2022
|
|
|
|
288
|
|
|
|
(2
|
)
|
|
|
(6
|
)
|
Hygiena Borrower LLC
(1) (2) (3)
|
|
Life Sciences Tools & Services
|
|
|
|
L + 4.00%; 1.00% Floor
|
|
|
08/26/2022
|
|
|
|
1,867
|
|
|
|
(18
|
)
|
|
|
(37
|
)
|
Jill Acquisition LLC
|
|
Textiles, Apparel & Luxury Goods
|
|
7.75%
|
|
L + 5.00%; 1.00% Floor
|
|
|
05/08/2022
|
|
|
|
13,800
|
|
|
|
13,739
|
|
|
|
13,570
|
|
Lattice Semiconductor Corporation
|
|
Semiconductors & Semiconductor Equipment
|
|
6.73%
|
|
L + 4.25%; 1.00% Floor
|
|
|
03/10/2021
|
|
|
|
8,271
|
|
|
|
8,194
|
|
|
|
8,292
|
|
Output Services Group, Inc.
|
|
Diversified Consumer Services
|
|
6.75%
|
|
L + 4.25%; 1.00% Floor
|
|
|
03/27/2024
|
|
|
|
6,960
|
|
|
|
6,934
|
|
|
|
6,386
|
|
30
Senior Credit Fund Portfolio as of March 31, 2019 (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Company
|
|
Industry
|
|
Interest Rate
(+)
|
|
Reference Rate and
Spread
(+)
|
|
Maturity
|
|
|
Par Amount
|
|
|
Cost
|
|
|
Fair Value
|
|
Output Services Group,
Inc.
(1) (2)
|
|
Diversified Consumer Services
|
|
|
|
L + 4.25%; 1.00% Floor
|
|
|
03/27/2024
|
|
|
$
|
1,026
|
|
|
$
|
|
|
|
$
|
(85
|
)
|
Pharmalogic Holdings Corp.
|
|
Health Care Equipment & Supplies
|
|
6.50%
|
|
L + 4.00%
|
|
|
06/11/2023
|
|
|
|
6,526
|
|
|
|
6,512
|
|
|
|
6,510
|
|
Pharmalogic Holdings Corp.
|
|
Health Care Equipment & Supplies
|
|
6.50%
|
|
L + 4.00%
|
|
|
06/11/2023
|
|
|
|
1,874
|
|
|
|
1,870
|
|
|
|
1,869
|
|
Pharmalogic Holdings
Corp.
(1) (2)
|
|
Health Care Equipment & Supplies
|
|
|
|
L + 4.00%
|
|
|
06/11/2023
|
|
|
|
3,537
|
|
|
|
(7
|
)
|
|
|
(9
|
)
|
Professional Physical
Therapy
(4)
|
|
Health Care Providers & Services
|
|
|
|
L + 7.50% (Incl. 6.50% PIK); 1.00% Floor
|
|
|
12/16/2022
|
|
|
|
11,357
|
|
|
|
10,219
|
|
|
|
9,426
|
|
Regulatory DataCorp, Inc.
|
|
Diversified Financial Services
|
|
7.00%
|
|
L + 4.50%; 1.00% Floor
|
|
|
09/21/2022
|
|
|
|
4,949
|
|
|
|
4,949
|
|
|
|
4,850
|
|
SciQuest, Inc.
|
|
Internet Software & Services
|
|
6.50%
|
|
L + 4.00%; 1.00% Floor
|
|
|
12/28/2024
|
|
|
|
19,800
|
|
|
|
19,716
|
|
|
|
19,404
|
|
SMS Systems Maintenance Services, Inc.
|
|
IT Services
|
|
7.50%
|
|
L + 5.00%; 1.00% Floor
|
|
|
10/30/2023
|
|
|
|
14,663
|
|
|
|
14,609
|
|
|
|
11,283
|
|
Stackpath, LLC
|
|
Internet Software & Services
|
|
7.74%
|
|
L + 5.00%; 1.00% Floor
|
|
|
02/03/2023
|
|
|
|
16,703
|
|
|
|
16,586
|
|
|
|
15,032
|
|
Tronair Parent Inc.
|
|
Air Freight & Logistics
|
|
7.57%
|
|
L + 4.75%; 1.00% Floor
|
|
|
09/08/2023
|
|
|
|
13,650
|
|
|
|
13,558
|
|
|
|
13,309
|
|
U.S. Acute Care Solutions, LLC
|
|
Health Care Providers & Services
|
|
7.60%
|
|
L + 5.00%; 1.00% Floor
|
|
|
05/17/2021
|
|
|
|
12,708
|
|
|
|
12,640
|
|
|
|
12,644
|
|
VRC Companies, LLC
(3)
|
|
Commercial Services & Supplies
|
|
9.00%
|
|
L + 6.50%; 1.00% Floor
|
|
|
03/31/2023
|
|
|
|
27,297
|
|
|
|
26,922
|
|
|
|
27,024
|
|
VRC Companies, LLC
(1) (3)
|
|
Commercial Services & Supplies
|
|
9.31%
|
|
L + 6.50%; 1.00% Floor
|
|
|
03/31/2022
|
|
|
|
1,412
|
|
|
|
874
|
|
|
|
880
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 1st Lien/Senior Secured Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
437,597
|
|
|
|
426,420
|
|
|
2nd Lien/Senior Secured Debt
|
|
GK Holdings, Inc.
|
|
IT Services
|
|
12.85%
|
|
L + 10.25%; 1.00% Floor
|
|
|
01/20/2022
|
|
|
|
6,000
|
|
|
|
5,940
|
|
|
|
4,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 2nd Lien/Senior Secured Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,940
|
|
|
|
4,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
443,537
|
|
|
|
431,220
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Company
|
|
Industry
|
|
|
|
|
|
|
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Animal Supply Holdings, LLC
(3)(6)
|
|
Distributors
|
|
|
|
|
|
|
|
|
|
|
3,283
|
|
|
$
|
|
|
|
$
|
235
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
235
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Yield
|
|
|
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
|
Investments in Affiliated Money Market Fund
|
|
Goldman Sachs Financial Square Government Fund Institutional Shares^^^
|
|
2.35%
(7)
|
|
|
|
42,415,194
|
|
|
$
|
42,415
|
|
|
$
|
42,415
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Affiliated Money Market Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,415
|
|
|
|
42,415
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS
|
|
|
$
|
485,952
|
|
|
$
|
473,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^^^
|
|
While representing less than 5% of the portfolio companys outstanding voting securities, the portfolio
company is otherwise deemed to be an affiliated person of the Company under the Investment Company Act of 1940.
|
(+)
|
|
The terms in the Schedule above disclose the actual interest rate for partially or fully funded debt in effect
as of the reporting date. Variable rate loans bear interest at a rate that may be determined by reference to either LIBOR (L) or alternate base rate (commonly based on the Prime Rate (P)), at the borrowers option, which
reset periodically based on the terms of the credit agreement. L loans are typically indexed to 12 month, 6 month, 3 month, 2 month, 1 month or 1 week L rates. As of March 31, 2019, rates for the 12 month, 6 month, 3 month, 2 month, 1 month and
1 week L are 2.71%, 2.66%, 2.60%, 2.56%, 2.49% and 2.42%, respectively. As of March 31, 2019, P was 5.50%. For investments with multiple reference rates or alternate base rates, the interest rate shown is the weighted average interest rate in
effect at March 31, 2019.
|
(1)
|
|
Position or portion thereof is an unfunded loan commitment, and no interest is being earned on the unfunded
portion. The unfunded loan commitment may be subject to a commitment termination date that may expire prior to the maturity date stated.
|
(2)
|
|
The negative cost is the result of the capitalized discount being greater than the principal amount outstanding
on the loan. The negative fair value is the result of the capitalized discount on the loan.
|
(3)
|
|
The Company also holds an investment in this portfolio company.
|
(4)
|
|
The investment is on
non-accrual
status as of March 31, 2019.
|
(5)
|
|
The investment includes an exit fee that is receivable upon repayment of the loan.
|
(6)
|
|
Non-income
producing security.
|
(7)
|
|
The rate shown is the annualized
seven-day
yield as of March 31,
2019.
|
PIK
Payment-In-Kind
31
Senior Credit Fund Portfolio as of December 31, 2018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Company
|
|
Industry
|
|
Interest Rate
(+)
|
|
Reference Rate and
Spread
(+)
|
|
Maturity
|
|
|
Par Amount
|
|
|
Cost
|
|
|
Fair Value
|
|
|
1st Lien/Senior Secured Debt
|
|
3SI Security Systems, Inc.
|
|
Commercial Services & Supplies
|
|
8.54%
|
|
L + 5.75%; 1.00% Floor
|
|
|
06/16/2023
|
|
|
$
|
29,849
|
|
|
$
|
29,533
|
|
|
$
|
29,550
|
|
A Place For Mom, Inc.
|
|
Diversified Consumer Services
|
|
6.27%
|
|
L + 3.75%; 1.00% Floor
|
|
|
08/10/2024
|
|
|
|
17,865
|
|
|
|
17,849
|
|
|
|
17,865
|
|
AMCP Clean Acquisition Company, LLC
|
|
Commercial Services & Supplies
|
|
7.05%
|
|
L + 4.25%
|
|
|
06/16/2025
|
|
|
|
8,827
|
|
|
|
8,785
|
|
|
|
8,705
|
|
AMCP Clean Acquisition Company, LLC
(1)
|
|
Commercial Services & Supplies
|
|
6.93%
|
|
L + 4.25%
|
|
|
06/16/2025
|
|
|
|
2,129
|
|
|
|
826
|
|
|
|
804
|
|
Ansira Partners, Inc.
|
|
Media
|
|
8.27%
|
|
L + 5.75%; 1.00% Floor
|
|
|
12/20/2022
|
|
|
|
9,249
|
|
|
|
9,182
|
|
|
|
9,203
|
|
Ansira Partners, Inc.
(1)
|
|
Media
|
|
8.27%
|
|
L + 5.75%; 1.00% Floor
|
|
|
12/20/2022
|
|
|
|
566
|
|
|
|
136
|
|
|
|
138
|
|
ATX Networks Corp.
|
|
Communications Equipment
|
|
9.80%
|
|
L + 7.00% (Incl. 1.00% PIK); 1.00% Floor
|
|
|
06/11/2021
|
|
|
|
14,976
|
|
|
|
14,903
|
|
|
|
14,078
|
|
ATX Networks Corp.
|
|
Communications Equipment
|
|
9.80%
|
|
L + 7.00% (Incl. 1.00% PIK); 1.00% Floor
|
|
|
06/11/2021
|
|
|
|
952
|
|
|
|
936
|
|
|
|
895
|
|
Badger Sportswear, Inc.
|
|
Textiles, Apparel & Luxury Goods
|
|
7.02%
|
|
L + 4.50%; 1.00% Floor
|
|
|
09/11/2023
|
|
|
|
14,660
|
|
|
|
14,555
|
|
|
|
14,367
|
|
Barbri, Inc.
|
|
Media
|
|
6.60%
|
|
L + 4.25%; 1.00% Floor
|
|
|
12/01/2023
|
|
|
|
12,486
|
|
|
|
12,434
|
|
|
|
12,174
|
|
CST Buyer Company
|
|
Diversified Consumer Services
|
|
7.52%
|
|
L + 5.00%; 1.00% Floor
|
|
|
03/01/2023
|
|
|
|
18,671
|
|
|
|
18,290
|
|
|
|
18,438
|
|
CST Buyer Company
(1) (2)
|
|
Diversified Consumer Services
|
|
|
|
L + 5.00%; 1.00% Floor
|
|
|
03/01/2023
|
|
|
|
1,800
|
|
|
|
(35
|
)
|
|
|
(22
|
)
|
DBRS Limited
|
|
Capital Markets
|
|
7.96%
|
|
L + 5.25%; 1.00% Floor
|
|
|
03/04/2022
|
|
|
|
11,550
|
|
|
|
11,490
|
|
|
|
11,377
|
|
DiscoverOrg, LLC
(3)
|
|
Software
|
|
7.03%
|
|
L + 4.50%; 1.00% Floor
|
|
|
08/25/2023
|
|
|
|
7,900
|
|
|
|
7,868
|
|
|
|
7,861
|
|
Drilling Info Holdings, Inc.
|
|
Oil & Gas
|
|
6.77%
|
|
L + 4.25%
|
|
|
07/30/2025
|
|
|
|
17,001
|
|
|
|
16,920
|
|
|
|
16,895
|
|
Drilling Info Holdings, Inc.
(1) (2)
|
|
Oil & Gas
|
|
|
|
L + 4.25%
|
|
|
07/30/2025
|
|
|
|
1,460
|
|
|
|
(7
|
)
|
|
|
(9
|
)
|
FWR Holding Corporation
|
|
Hotels, Restaurants & Leisure
|
|
8.26%
|
|
L + 5.75%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
8,989
|
|
|
|
8,806
|
|
|
|
8,809
|
|
FWR Holding Corporation
|
|
Hotels, Restaurants & Leisure
|
|
8.26%
|
|
L + 5.75%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
1,791
|
|
|
|
1,756
|
|
|
|
1,755
|
|
FWR Holding Corporation
|
|
Hotels, Restaurants & Leisure
|
|
8.26%
|
|
L + 5.75%; 1.00% Floor
|
|
|
08/21/2023
|
|
|
|
1,135
|
|
|
|
1,113
|
|
|
|
1,113
|
|
FWR Holding Corporation
(1)
|
|
Hotels, Restaurants & Leisure
|
|
10.25%
|
|
P + 4.75%; 2.00% Floor
|
|
|
08/21/2023
|
|
|
|
1,175
|
|
|
|
417
|
|
|
|
417
|
|
GH Holding Company
|
|
Real Estate Management & Development
|
|
7.02%
|
|
L + 4.50%
|
|
|
02/28/2023
|
|
|
|
14,888
|
|
|
|
14,824
|
|
|
|
14,813
|
|
GI Revelation Acquisition LLC
|
|
Internet Software & Services
|
|
7.52%
|
|
L + 5.00%
|
|
|
04/16/2025
|
|
|
|
9,459
|
|
|
|
9,415
|
|
|
|
9,281
|
|
GK Holdings, Inc.
|
|
IT Services
|
|
8.80%
|
|
L + 6.00%; 1.00% Floor
|
|
|
01/20/2021
|
|
|
|
17,280
|
|
|
|
17,232
|
|
|
|
15,725
|
|
GlobalTranz Enterprises, Inc.
|
|
Road & Rail
|
|
6.77%
|
|
L + 4.25%
|
|
|
06/29/2025
|
|
|
|
21,945
|
|
|
|
21,840
|
|
|
|
21,835
|
|
GlobalTranz Enterprises,
Inc.
(1) (2)
|
|
Road & Rail
|
|
|
|
L + 4.25%
|
|
|
06/29/2025
|
|
|
|
4,000
|
|
|
|
|
|
|
|
(20
|
)
|
Halo Branded Solutions, Inc.
|
|
Commercial Services & Supplies
|
|
7.02%
|
|
L + 4.50%; 1.00% Floor
|
|
|
06/30/2025
|
|
|
|
10,503
|
|
|
|
10,403
|
|
|
|
10,188
|
|
Halo Branded Solutions, Inc.
|
|
Commercial Services & Supplies
|
|
7.02%
|
|
L + 4.50%; 1.00% Floor
|
|
|
06/30/2025
|
|
|
|
4,423
|
|
|
|
4,380
|
|
|
|
4,290
|
|
HC Group Holdings III, Inc.
|
|
Health Care Providers & Services
|
|
6.27%
|
|
L + 3.75%
|
|
|
04/07/2022
|
|
|
|
8,708
|
|
|
|
8,684
|
|
|
|
8,599
|
|
Hygiena Borrower LLC
(3)
|
|
Life Sciences Tools & Services
|
|
6.80%
|
|
L + 4.00%; 1.00% Floor
|
|
|
08/26/2022
|
|
|
|
17,762
|
|
|
|
17,623
|
|
|
|
17,406
|
|
Hygiena Borrower LLC
(1) (2) (3)
|
|
Life Sciences Tools & Services
|
|
|
|
L + 4.00%; 1.00% Floor
|
|
|
08/26/2022
|
|
|
|
288
|
|
|
|
(2
|
)
|
|
|
(6
|
)
|
Hygiena Borrower LLC
(1) (2) (3)
|
|
Life Sciences Tools & Services
|
|
|
|
L + 4.00%; 1.00% Floor
|
|
|
08/26/2022
|
|
|
|
1,867
|
|
|
|
(20
|
)
|
|
|
(37
|
)
|
32
Senior Credit Fund Portfolio as of December 31, 2018 (Continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolio Company
|
|
Industry
|
|
Interest Rate
(+)
|
|
Reference Rate and
Spread
(+)
|
|
Maturity
|
|
|
Par Amount
|
|
|
Cost
|
|
|
Fair Value
|
|
Jill Acquisition LLC
|
|
Textiles, Apparel & Luxury Goods
|
|
7.53%
|
|
L + 5.00%; 1.00% Floor
|
|
|
05/08/2022
|
|
|
$
|
13,839
|
|
|
$
|
13,774
|
|
|
$
|
13,620
|
|
Lattice Semiconductor Corporation
|
|
Semiconductors & Semiconductor Equipment
|
|
6.63%
|
|
L + 4.25%; 1.00% Floor
|
|
|
03/10/2021
|
|
|
|
9,212
|
|
|
|
9,122
|
|
|
|
9,212
|
|
Output Services Group, Inc.
|
|
Diversified Consumer Services
|
|
6.77%
|
|
L + 4.25%; 1.00% Floor
|
|
|
03/27/2024
|
|
|
|
6,978
|
|
|
|
6,951
|
|
|
|
6,751
|
|
Output Services Group, Inc.
(1) (2)
|
|
Diversified Consumer Services
|
|
|
|
L + 4.25%; 1.00% Floor
|
|
|
03/27/2024
|
|
|
|
1,026
|
|
|
|
|
|
|
|
(33
|
)
|
Pharmalogic Holdings Corp.
|
|
Health Care Equipment & Supplies
|
|
6.52%
|
|
L + 4.00%
|
|
|
06/11/2023
|
|
|
|
6,542
|
|
|
|
6,528
|
|
|
|
6,526
|
|
Pharmalogic Holdings Corp.
|
|
Health Care Equipment & Supplies
|
|
6.52%
|
|
L + 4.00%
|
|
|
06/11/2023
|
|
|
|
1,878
|
|
|
|
1,874
|
|
|
|
1,874
|
|
Pharmalogic Holdings Corp.
(1) (2)
|
|
Health Care Equipment & Supplies
|
|
|
|
L + 4.00%
|
|
|
06/11/2023
|
|
|
|
3,537
|
|
|
|
(8
|
)
|
|
|
(9
|
)
|
Professional Physical Therapy
(4)
|
|
Health Care Providers & Services
|
|
|
|
L + 7.50% PIK; 1.00% Floor
|
|
|
12/16/2022
|
|
|
|
11,265
|
|
|
|
10,283
|
|
|
|
9,350
|
|
Regulatory DataCorp, Inc.
|
|
Diversified Financial Services
|
|
7.02%
|
|
L + 4.50%; 1.00% Floor
|
|
|
09/21/2022
|
|
|
|
4,962
|
|
|
|
4,962
|
|
|
|
4,863
|
|
SciQuest, Inc.
|
|
Internet Software & Services
|
|
6.53%
|
|
L + 4.00%; 1.00% Floor
|
|
|
12/28/2024
|
|
|
|
19,850
|
|
|
|
19,763
|
|
|
|
19,453
|
|
SMS Systems Maintenance Services, Inc.
|
|
IT Services
|
|
7.52%
|
|
L + 5.00%; 1.00% Floor
|
|
|
10/30/2023
|
|
|
|
14,700
|
|
|
|
14,644
|
|
|
|
10,924
|
|
Stackpath, LLC
|
|
Internet Software & Services
|
|
7.59%
|
|
L + 5.00%; 1.00% Floor
|
|
|
02/03/2023
|
|
|
|
16,703
|
|
|
|
16,580
|
|
|
|
16,034
|
|
Tronair Parent Inc.
|
|
Air Freight & Logistics
|
|
7.56%
|
|
L + 4.75%; 1.00% Floor
|
|
|
09/08/2023
|
|
|
|
13,685
|
|
|
|
13,589
|
|
|
|
13,138
|
|
U.S. Acute Care Solutions, LLC
|
|
Health Care Providers & Services
|
|
7.52%
|
|
L + 5.00%; 1.00% Floor
|
|
|
05/14/2021
|
|
|
|
12,740
|
|
|
|
12,665
|
|
|
|
12,676
|
|
VRC Companies, LLC
(3)
|
|
Commercial Services & Supplies
|
|
9.02%
|
|
L + 6.50%; 1.00% Floor
|
|
|
03/31/2023
|
|
|
|
27,361
|
|
|
|
26,966
|
|
|
|
27,087
|
|
VRC Companies, LLC
(1) (3)
|
|
Commercial Services & Supplies
|
|
9.45%
|
|
L + 6.50%; 1.00% Floor
|
|
|
03/31/2022
|
|
|
|
1,412
|
|
|
|
699
|
|
|
|
706
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 1st Lien/Senior Secured Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
438,528
|
|
|
|
428,659
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st
Lien/Last-Out
Unitranche
(5)
|
|
ASC Acquisition Holdings, LLC
(3)
|
|
Distributors
|
|
10.03%
|
|
L + 7.50%; 1.00% Floor
|
|
|
12/15/2021
|
|
|
|
8,063
|
|
|
|
8,010
|
|
|
|
7,861
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 1st
Lien/Last-Out
Unitranche
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,010
|
|
|
|
7,861
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2nd Lien/Senior Secured Debt
|
|
DiscoverOrg, LLC
(3)
|
|
Software
|
|
11.03%
|
|
L + 8.50%; 1.00% Floor
|
|
|
02/23/2024
|
|
|
|
10,500
|
|
|
|
10,370
|
|
|
|
10,421
|
|
GK Holdings, Inc.
|
|
IT Services
|
|
13.05%
|
|
L + 10.25%; 1.00% Floor
|
|
|
01/20/2022
|
|
|
|
6,000
|
|
|
|
5,935
|
|
|
|
4,860
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total 2nd Lien/Senior Secured Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,305
|
|
|
|
15,281
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
462,843
|
|
|
|
451,801
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Yield
|
|
|
Shares
|
|
|
Cost
|
|
|
Fair Value
|
|
|
Investments in Affiliated Money Market Fund
|
|
Goldman Sachs Financial Square Government Fund Institutional Shares^^^
|
|
2.34%
(6)
|
|
|
|
5,292,068
|
|
|
$
|
5,292
|
|
|
$
|
5,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Affiliated Money Market Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,292
|
|
|
|
5,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS
|
|
|
$
|
468,135
|
|
|
$
|
457,093
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
^^^
|
|
While representing less than 5% of the portfolio companys outstanding voting securities, the portfolio
company is otherwise deemed to be an affiliated person of the Company under the Investment Company Act of 1940.
|
(+)
|
|
The terms in the Schedule above disclose the actual interest rate for partially or fully funded debt in effect
as of the reporting date. Variable rate loans bear interest at a rate that may be determined by reference to either LIBOR (L) or alternate base rate (commonly based on the Prime Rate (P)), at the borrowers option, which
reset periodically based on the terms of the credit agreement. L loans are typically indexed to 12 month, 6 month, 3 month, 2 month, 1 month or 1 week L rates. As of December 31, 2018, rates for the 12 month, 6 month, 3 month, 2 month, 1 month
and 1 week L are 3.01%, 2.88%, 2.81%, 2.61%, 2.50% and 2.41%, respectively. As of December 31, 2018, P was 5.50%. For investments with multiple reference rates or alternate base rates, the interest rate shown is the weighted average interest
rate in effect at December 31, 2018.
|
(1)
|
|
Position or portion thereof is an unfunded loan commitment, and no interest is being earned on the unfunded
portion. The unfunded loan commitment may be subject to a commitment termination date that may expire prior to the maturity date stated.
|
(2)
|
|
The negative cost is the result of the capitalized discount being greater than the principal amount outstanding
on the loan. The negative fair value is the result of the capitalized discount on the loan.
|
(3)
|
|
The Company also holds a portion of senior secured debt in this portfolio company.
|
(4)
|
|
The investment is on
non-accrual
status as of December 31, 2018.
|
(5)
|
|
In exchange for the greater risk of loss, the
last-out
portion of the Companys unitranche loan investment generally earns a higher interest rate than the
first-out
portions. The
first-out
portion of the loan would generally receive priority with respect to payment of principal, interest and any other amounts due thereunder over the
last-out
portion that the Company would continue to
hold.
|
(6)
|
|
The rate shown is the annualized
seven-day
yield as of
December 31, 2018.
|
PIK
Payment-In-Kind
33
Below is selected balance sheet information for the Senior Credit Fund as of March 31, 2019
and December 31, 2018:
|
|
|
|
|
|
|
|
|
|
|
As of
March 31,
2019
|
|
|
As of
December 31,
2018
|
|
Selected Balance Sheet Information
|
|
|
|
|
|
|
|
|
Total investments, at fair value
|
|
$
|
473,870
|
|
|
$
|
457,093
|
|
Cash and other assets
|
|
|
12,882
|
|
|
|
42,847
|
|
Total assets
|
|
$
|
486,752
|
|
|
$
|
499,940
|
|
|
|
|
Debt
(1)
|
|
$
|
286,338
|
|
|
$
|
298,339
|
|
Other liabilities
|
|
|
8,551
|
|
|
|
8,689
|
|
Total liabilities
|
|
$
|
294,889
|
|
|
$
|
307,028
|
|
Members equity
|
|
|
191,863
|
|
|
|
192,912
|
|
Total liabilities and members equity
|
|
$
|
486,752
|
|
|
$
|
499,940
|
|
(1)
|
Net of deferred financing costs for the SPV I Term Loan Facility, which were in the amount of $2,085 and
$2,161 as of March 31, 2019 and December 31, 2018, respectively.
|
Below is selected statements of operations
information for the Senior Credit Fund for the three months ended March 31, 2019 and 2018:
|
|
|
|
|
|
|
|
|
|
|
For the
Three Months Ended
March 31,
2019
|
|
|
For the
Three Months Ended
March 31,
2018
|
|
Selected Statements of Operations Information:
|
|
|
|
|
|
|
|
|
Total investment income
|
|
$
|
9,196
|
|
|
$
|
10,331
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
Interest and other debt expense
|
|
|
4,002
|
|
|
|
3,376
|
|
Professional fees
|
|
|
198
|
|
|
|
114
|
|
Administration and custodian fees
|
|
|
98
|
|
|
|
97
|
|
Other expenses
|
|
|
7
|
|
|
|
20
|
|
Total expenses
|
|
$
|
4,305
|
|
|
$
|
3,607
|
|
Total net income
|
|
|
4,891
|
|
|
|
6,724
|
|
Net realized gain (loss) on investments
|
|
|
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation) on investments
|
|
|
(1,040
|
)
|
|
|
881
|
|
Net increase (decrease) in members equity
|
|
$
|
3,851
|
|
|
$
|
7,605
|
|
Loan Origination and Structuring Fees
If the loan origination and structuring fees earned by the Senior Credit Fund (including directly or indirectly through SPV I or another
vehicle) during a period exceed the Senior Credit Funds expenses (excluding interest and other debt expenses), such excess is paid as a fee to the Member(s) responsible for the origination of the loans pro rata in accordance with the total
loan origination and structuring fees earned by the Senior Credit Fund with respect to the loans originated by such Member. The loan origination and structuring fee is accrued quarterly and included in other income from controlled affiliated
investments on the Consolidated Statements of Operations and paid annually. For the three months ended March 31, 2019 and 2018, the Company did not accrue income based on loan origination and structuring fees.
5.
|
FAIR VALUE MEASUREMENT
|
The fair value of a financial instrument is the amount that would be received to sell an asset or would be paid to transfer a liability in an
orderly transaction between market participants at the measurement date (i.e., the exit price).
The fair value hierarchy under ASC 820
prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to
unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these securities. The three levels of the fair value hierarchy are as follows:
34
Basis of Fair Value Measurement
Level 1 Inputs to the valuation methodology are quoted prices available in active markets for identical instruments as of the
reporting date. The types of financial instruments included in Level 1 include unrestricted securities, including equities and derivatives, listed in active markets.
Level 2 Inputs to the valuation methodology are other than quoted prices in active markets, which are either directly or
indirectly observable as of the reporting date. The types of financial instruments in this category include less liquid and restricted securities listed in active markets, securities traded in other than active markets, government and agency
securities and certain
over-the-counter
derivatives where the fair value is based on observable inputs.
Level 3 Inputs to the valuation methodology are unobservable and significant to overall fair value measurement. The inputs into
the determination of fair value require significant management judgment or estimation. Financial instruments that are included in this category include investments in privately held entities and certain
over-the-counter
derivatives where the fair value is based on unobservable inputs.
A financial
instruments level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. Note 2 Significant Accounting Policies should be read in conjunction with the
information outlined below.
The table below presents the valuation techniques and the nature of significant inputs generally used in
determining the fair value of Level 2 Instruments.
|
|
|
Level 2 Instruments
|
|
Valuation Techniques and Significant Inputs
|
Equity and Fixed Income
|
|
The types of instruments that trade in markets that are not considered to be active but are valued based on quoted market
prices, broker or dealer quotations or alternative pricing sources with reasonable levels of price transparency include commercial paper, most government agency obligations, most corporate debt securities, certain mortgage-backed securities, certain
bank loans, less liquid publicly listed equities, certain state and municipal obligations, certain money market instruments and certain loan commitments.
Valuations of Level 2 Equity and Fixed Income instruments can be verified to quoted prices, broker or dealer quotations or alternative
pricing sources with reasonable levels of price transparency. Consideration is given to the nature of the quotations (e.g. indicative or firm) and the relationship of recent market activity to the prices provided from alternative pricing
sources.
|
|
|
Derivative Contracts
|
|
OTC derivatives (both centrally cleared and bilateral) are valued using market
transactions and other market evidence whenever possible, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources with reasonable levels of price
transparency. Where models are used, the selection of a particular model to value an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the
market. The Company generally uses similar models to value similar instruments. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary
prepayment rates, loss severity rates and correlations of such inputs. For OTC derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC derivatives are
classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
|
The table below presents the valuation techniques and the nature of significant inputs generally used in
determining the fair value of Level 3 Instruments.
|
|
|
Level 3 Instruments
|
|
Valuation Techniques and Significant Inputs
|
Bank Loans, Corporate Debt, and Other Debt
Obligations
|
|
Valuations are generally based on discounted cash flow techniques, for which the
significant inputs are the amount and timing of expected future cash flows, market yields and recovery assumptions. The significant inputs are generally determined based on relative value analyses, which incorporate comparisons both to credit
default swaps that reference the same underlying credit risk and to other debt instruments for the same issuer for which observable prices or broker quotes are available. Other valuation methodologies are used as appropriate including market
comparables, transactions in similar instruments and recovery/liquidation analysis.
|
35
|
|
|
Level 3 Instruments
|
|
Valuation Techniques and Significant Inputs
|
Equity
|
|
Recent third-party investments or pending transactions are considered to be the
best evidence for any change in fair value. When these are not available, the following valuation methodologies are used, as appropriate and available:
Transactions in similar instruments;
Discounted cash flow techniques;
Third party appraisals; and
Industry multiples and public comparables.
Evidence includes recent or pending reorganizations (for example, merger proposals, tender offers and debt restructurings) and significant
changes in financial metrics, including:
Current financial performance as
compared to projected performance;
Capitalization rates and multiples; and
Market yields implied by transactions of similar or related assets.
|
The tables below present the ranges of significant unobservable inputs used to value the Companys
Level 3 assets and liabilities as of March 31, 2019 and December 31, 2018. These ranges represent the significant unobservable inputs that were used in the valuation of each type of instrument, but they do not represent a range of
values for any one instrument. For example, the lowest yield in 1st Lien/Senior Secured Debt is appropriate for valuing that specific debt investment, but may not be appropriate for valuing any other debt investments in this asset class.
Accordingly, the ranges of inputs presented below do not represent uncertainty in, or possible ranges of, fair value measurements of the Companys Level 3 assets and liabilities.
|
|
|
|
|
|
|
Level 3 Instruments
|
|
Level 3 Assets as
of
March 31, 2019
(1)
|
|
Significant
Unobservable
Inputs by Valuation
Techniques
(2)
|
|
Range
(3)
of Significant
Unobservable
Inputs
(Weighted Average
(4)
)
as of
March 31, 2019
|
Bank Loans, Corporate Debt, and Other Debt Obligations
|
|
1st Lien/Senior Secured
|
|
Discounted cash flows:
|
|
|
|
$733,911
|
|
Discount Rate
|
|
7.9% 25.7% (11.1%)
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
Recovery Rate
|
|
98.0%
|
|
|
1st Lien/Last-Out Unitranche
|
|
Discounted cash flows:
|
|
|
|
|
$101,087
|
|
Discount Rate
|
|
8.7% 16.0% (11.7%)
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
80.8% 100.0% (83.1%)
|
|
|
2nd Lien/Senior Secured
|
|
Discounted cash flows:
|
|
|
|
|
$198,812
|
|
Discount Rate
|
|
10.6% 14.2% (11.5%)
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
10.0%
|
|
|
Unsecured Debt
|
|
Discounted cash flows:
|
|
|
|
|
$6,701
|
|
Discount Rate
|
|
12.0% 12.3% (12.2%)
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
100.0%
|
Equity
|
|
Preferred Stock
|
|
Comparable multiples:
|
|
|
|
|
$44,865
|
|
EV/Revenue
|
|
1.4x 3.3x (1.1x)
|
|
|
|
|
Comparable multiples:
|
|
|
|
|
|
|
EV/EBITDA
(5)
|
|
7.0x 15.8x (8.5x)
|
|
|
Common Stock
|
|
Discounted cash flows:
|
|
|
|
|
$50,479
|
|
Discount Rate
|
|
15.0% 30.8% (24.9%)
|
|
|
|
|
Comparable multiples:
|
|
|
|
|
|
|
EV/Revenue
|
|
0.6x 8.5x (5.0x)
|
|
|
|
|
Comparable multiples:
|
|
|
|
|
|
|
EV/EBITDA
(5)
|
|
6.0x 12.7x (7.9x)
|
(1)
|
|
Included within Level 3 Assets of $1,225,449 is an amount of $89,594 for which the Investment Adviser did
not develop the unobservable inputs (examples include single source broker quotations, third party pricing, and prior transactions).
|
(2)
|
|
The fair value of any one instrument may be determined using multiple valuation techniques. For example, market
comparable and discounted cash flows may be used together to determine fair value. Therefore, the Level 3 balance encompasses both of these techniques.
|
(3)
|
|
The range for an asset category consisting of a single investment represents the relevant market data
considered in determining the fair value of the investment.
|
(4)
|
|
Weighted average for an asset category consisting of multiple investments is calculated by weighting the
significant unobservable input by the relative fair value of the investment. Weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment.
|
(5)
|
|
Enterprise value of portfolio company as a multiple of earnings before interest, taxes, depreciation and
amortization (EBITDA).
|
36
|
|
|
|
|
|
|
Level 3 Instruments
|
|
Level 3 Assets as
of
December 31, 2018
(1)
|
|
Significant Unobservable
Inputs by Valuation
Techniques
(2)
|
|
Range
(3)
of Significant
Unobservable
Inputs
(Weighted Average
(4)
)
as of
December 31, 2018
|
Bank Loans, Corporate Debt, and Other Debt Obligations
|
|
1st Lien/Senior Secured
|
|
Discounted cash flows:
|
|
|
|
$608,844
|
|
Discount Rate
|
|
8.4% 24.5% (11.6%)
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
95.3%
|
|
|
1st
Lien/Last-Out
Unitranche
|
|
Discounted cash flows:
|
|
|
|
|
$106,879
|
|
Discount Rate
|
|
9.3% 16.1% (11.8%)
|
|
|
|
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
83.5% 100.0% (85.4%)
|
|
|
2nd Lien/Senior Secured
|
|
Discounted cash flows:
|
|
|
|
|
$263,142
|
|
Discount Rate
|
|
10.7% 16.5% (11.6%)
|
|
|
|
|
|
|
|
|
Comparable multiples:
|
|
|
|
|
|
|
EV/EBITDA
(5)
|
|
7.0x 17.5x (8.3x)
|
|
|
|
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
71.8%
|
|
|
Unsecured Debt
|
|
Discounted cash flows:
|
|
|
|
|
$6,697
|
|
Discount Rate
|
|
12.1% 12.3% (12.2%)
|
|
|
|
|
|
|
|
|
Collateral analysis:
|
|
|
|
|
|
|
Recovery Rate
|
|
100.0%
|
Equity
|
|
Preferred Stock
|
|
Comparable multiples:
|
|
|
|
|
$19,634
|
|
EV/EBITDA
(5)
|
|
6.8x 18.9x (9.1x)
|
|
|
|
|
|
|
Common Stock
|
|
Discounted cash flows:
|
|
|
|
|
$19,674
|
|
Discount Rate
|
|
14.6% 31.0% (24.4%)
|
|
|
|
|
|
|
|
|
Comparable multiples:
|
|
|
|
|
|
|
EV/Revenue
|
|
0.4x 1.6x (0.6x)
|
|
|
|
|
|
|
|
|
Comparable multiples:
|
|
|
|
|
|
|
EV/EBITDA
(5)
|
|
5.5x 13.0x (6.9x)
|
(1)
|
Included within Level 3 Assets of $1,216,894 is an amount of $192,024 for which the Investment Adviser
did not develop the unobservable inputs (examples include single source broker quotations, third party pricing, and prior transactions).
|
(2)
|
The fair value of any one instrument may be determined using multiple valuation techniques. For example,
market comparable and discounted cash flows may be used together to determine fair value. Therefore, the Level 3 balance encompasses both of these techniques.
|
(3)
|
The range for an asset category consisting of a single investment represents the relevant market data
considered in determining the fair value of the investment.
|
(4)
|
Weighted average for an asset category consisting of multiple investments is calculated by weighting the
significant unobservable input by the relative fair value of the investment. Weighted average for an asset category consisting of a single investment represents the significant unobservable input used in the fair value of the investment.
|
(5)
|
Enterprise value of portfolio company as a multiple of EBITDA.
|
As noted above, the income and market approaches were used in the determination of fair value of certain Level 3 assets as of
March 31, 2019 and December 31, 2018. The significant unobservable inputs used in the income approach are the discount rate or market yield used to discount the estimated future cash flows expected to be received from the underlying
investment, which include both future principal and interest payments. An increase in the discount rate or market yield would result in a decrease in the fair value. Included in the consideration and selection of discount rates is risk of default,
rating of the investment, call provisions and comparable company investments. The significant unobservable inputs used in the market approach are based on market comparable transactions and market multiples of publicly traded comparable companies.
Increases or decreases in market comparable transactions or market multiples would result in an increase or decrease, respectively, in the fair value.
37
The following is a summary of the Companys assets categorized within the fair value
hierarchy as of March 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
1st Lien/Senior Secured Debt
|
|
$
|
|
|
|
$
|
34,707
|
|
|
$
|
779,837
|
|
|
$
|
814,544
|
|
1st
Lien/Last-Out
Unitranche
|
|
|
|
|
|
|
|
|
|
|
101,087
|
|
|
|
101,087
|
|
2nd Lien/Senior Secured Debt
|
|
|
|
|
|
|
48,554
|
|
|
|
242,480
|
|
|
|
291,034
|
|
Unsecured Debt
|
|
|
|
|
|
|
|
|
|
|
6,701
|
|
|
|
6,701
|
|
Preferred Stock
|
|
|
|
|
|
|
|
|
|
|
44,865
|
|
|
|
44,865
|
|
Common Stock
|
|
|
456
|
|
|
|
|
|
|
|
50,479
|
|
|
|
50,935
|
|
Subtotal
|
|
$
|
456
|
|
|
$
|
83,261
|
|
|
$
|
1,225,449
|
|
|
$
|
1,309,166
|
|
Investments measured at NAV
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,931
|
|
Total assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,405,097
|
|
|
|
|
|
|
(1)
Includes
equity investment in the Senior Credit Fund.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Foreign currency forward contracts (asset)
(1)
|
|
$
|
|
|
|
$
|
167
|
|
|
$
|
|
|
|
$
|
167
|
|
Total
|
|
$
|
|
|
|
$
|
167
|
|
|
$
|
|
|
|
$
|
167
|
|
(1)
|
|
Amounts disclosed represent the unrealized appreciation on the foreign currency forward contracts.
|
The following is a summary of the Companys assets categorized within the fair value hierarchy as of
December 31, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
1st Lien/Senior Secured Debt
|
|
$
|
|
|
|
$
|
18,400
|
|
|
$
|
711,204
|
|
|
$
|
729,604
|
|
1st
Lien/Last-Out
Unitranche
|
|
|
|
|
|
|
|
|
|
|
106,879
|
|
|
|
106,879
|
|
2nd Lien/Senior Secured Debt
|
|
|
|
|
|
|
43,190
|
|
|
|
348,741
|
|
|
|
391,931
|
|
Unsecured Debt
|
|
|
|
|
|
|
|
|
|
|
6,697
|
|
|
|
6,697
|
|
Preferred Stock
|
|
|
|
|
|
|
|
|
|
|
21,534
|
|
|
|
21,534
|
|
Common Stock
|
|
|
|
|
|
|
504
|
|
|
|
21,839
|
|
|
|
22,343
|
|
Subtotal
|
|
$
|
|
|
|
$
|
62,094
|
|
|
$
|
1,216,894
|
|
|
$
|
1,278,988
|
|
Investments measured at NAV
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96,456
|
|
Total assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,375,444
|
|
|
|
|
|
|
(1)
Includes
equity investment in the Senior Credit Fund.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Foreign currency forward contracts (asset)
(1)
|
|
$
|
|
|
|
$
|
89
|
|
|
$
|
|
|
|
$
|
89
|
|
Total
|
|
$
|
|
|
|
$
|
89
|
|
|
$
|
|
|
|
$
|
89
|
|
(1)
|
|
Amounts disclosed represent the unrealized appreciation on the foreign currency forward contracts.
|
The following is a reconciliation of Level 3 assets for the three months ended March 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3
|
|
Beginning
Balance
as of
January 1,
2019
|
|
|
Purchases
(1)
|
|
|
Net
Realized
Gain (Loss)
|
|
|
Net Change in
Unrealized
Appreciation
(Depreciation)
(2)
|
|
|
Sales and
Settlements
(1)
|
|
|
Net
Amortization
of Premium/
Discount
|
|
|
Transfers
In
|
|
|
Transfers
Out
|
|
|
Ending
Balance
as of
March 31,
2019
|
|
1st Lien/Senior Secured Debt
|
|
$
|
711,204
|
|
|
$
|
81,430
|
|
|
$
|
(2
|
)
|
|
$
|
(1
|
)
|
|
$
|
(14,404
|
)
|
|
$
|
1,610
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
779,837
|
|
1st
Lien/Last-Out
Unitranche
|
|
|
106,879
|
|
|
|
202
|
|
|
|
113
|
|
|
|
(144
|
)
|
|
|
(6,044
|
)
|
|
|
81
|
|
|
|
|
|
|
|
|
|
|
|
101,087
|
|
2nd Lien/Senior Secured Debt
|
|
|
348,741
|
|
|
|
10,382
|
|
|
|
(24,833
|
)
|
|
|
6,982
|
|
|
|
(93,830
|
)
|
|
|
1,098
|
|
|
|
|
|
|
|
(6,060
|
)
|
|
|
242,480
|
|
Unsecured Debt
|
|
|
6,697
|
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,701
|
|
Preferred Stock
|
|
|
21,534
|
|
|
|
25,000
|
|
|
|
|
|
|
|
(1,669
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,865
|
|
Common Stock
|
|
|
21,839
|
|
|
|
29,231
|
|
|
|
|
|
|
|
(591
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,479
|
|
Total assets
|
|
$
|
1,216,894
|
|
|
$
|
146,245
|
|
|
$
|
(24,722
|
)
|
|
$
|
4,581
|
|
|
$
|
(114,278
|
)
|
|
$
|
2,789
|
|
|
$
|
|
|
|
$
|
(6,060
|
)
|
|
$
|
1,225,449
|
|
(1)
|
|
Purchases may include PIK and securities received in corporate actions and restructurings. Sales and
Settlements may include securities delivered in corporate actions and restructuring of investments.
|
(2)
|
|
Change in unrealized appreciation (depreciation) relating to assets still held at March 31, 2019 totaled
$(9,555) consisting of the following: 1st Lien/Senior Secured Debt $(4), 1st
Lien/Last-Out
Unitranche $(176), 2nd Lien/Senior Secured Debt $(7,119), Unsecured Debt $4, Preferred Stock $(1,669) and Common Stock
$(591).
|
38
The following is a reconciliation of Level 3 assets for the three months ended
March 31, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3
|
|
Beginning
Balance
as of
January 1,
2018
|
|
|
Purchases
(1)
|
|
|
Net
Realized
Gain (Loss)
|
|
|
Net Change in
Unrealized
Appreciation
(Depreciation)
(2)
|
|
|
Sales and
Settlements
(1)
|
|
|
Net
Amortization
of
Premium/
Discount
|
|
|
Transfers
In
|
|
|
Transfers
Out
|
|
|
Ending
Balance
as of
March 31,
2018
|
|
1st Lien/Senior Secured Debt
|
|
$
|
387,473
|
|
|
$
|
17,368
|
|
|
$
|
4
|
|
|
$
|
(311
|
)
|
|
$
|
(4,342
|
)
|
|
$
|
449
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
400,641
|
|
1st
Lien/Last-Out
Unitranche
|
|
|
273,965
|
|
|
|
14,979
|
|
|
|
|
|
|
|
(1,054
|
)
|
|
|
(51,380
|
)
|
|
|
1,226
|
|
|
|
|
|
|
|
|
|
|
|
237,736
|
|
2nd Lien/Senior Secured Debt
|
|
|
374,915
|
|
|
|
39,687
|
|
|
|
|
|
|
|
357
|
|
|
|
(8,330
|
)
|
|
|
315
|
|
|
|
|
|
|
|
|
|
|
|
406,944
|
|
Unsecured Debt
|
|
|
3,900
|
|
|
|
1,557
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,457
|
|
Preferred Stock
|
|
|
12,836
|
|
|
|
|
|
|
|
|
|
|
|
(321
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,515
|
|
Common Stock
|
|
|
22,606
|
|
|
|
1,300
|
|
|
|
1,550
|
|
|
|
(1,237
|
)
|
|
|
(2,150
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,069
|
|
Total assets
|
|
$
|
1,075,695
|
|
|
$
|
74,891
|
|
|
$
|
1,554
|
|
|
$
|
(2,566
|
)
|
|
$
|
(66,202
|
)
|
|
$
|
1,990
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
1,085,362
|
|
(1)
|
|
Purchases may include PIK and securities received in corporate actions and restructurings. Sales and
Settlements may include securities delivered in corporate actions and restructuring of investments.
|
(2)
|
|
Change in unrealized appreciation (depreciation) relating to assets still held at March 31, 2018 totaled
$(2,376) consisting of the following: 1st Lien/Senior Secured Debt $(311), 1st
Lien/Last-Out
Unitranche $(921), 2nd Lien/Senior Secured Debt $414, Unsecured Debt $0, Preferred Stock $(321) and Common Stock
$(1,237).
|
Transfers between levels of the fair value hierarchy are reported at the beginning of the reporting period in
which they occur. For the three months ended March 31, 2019, transfers from Level 3 to Level 2 were primarily due to increased price transparency. For the three months ended March 31, 2018, there were no transfers between levels
of the fair value hierarchy.
Debt Not Carried at Fair Value
The fair value of the Revolving Credit Facility, which would be categorized as Level 3 within the fair value hierarchy as of
March 31, 2019 and December 31, 2018, approximates its carrying value. The fair value of the Companys Convertible Notes, which would be categorized as Level 2 within the fair value hierarchy, as of March 31, 2019 and
December 31, 2018 was $154,709 and $151,125, respectively, based on broker quotes received by the Company.
On June 15, 2018, the Companys stockholders approved the application of the reduced asset coverage requirements in
Section 61(a)(2) of the Investment Company Act to the Company. As a result of this approval, the Company is now permitted to borrow amounts such that its asset coverage ratio, as defined in the Investment Company Act, is at least 150% after
such borrowing (if certain requirements are met), rather than 200%, as previously required. As of March 31, 2019 and December 31, 2018, the Companys asset coverage ratio based on the aggregate amount outstanding of senior securities
was 197% and 206%, respectively.
The Companys outstanding debt as of March 31, 2019 and December 31, 2018 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of
|
|
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
|
|
Aggregate
Borrowing
Amount
Committed
|
|
|
Amount
Available
|
|
|
Carrying
Value
(4)
|
|
|
Aggregate
Borrowing
Amount
Committed
|
|
|
Amount
Available
|
|
|
Carrying
Value
(4)
|
|
Revolving Credit Facility
(1)(2)
|
|
$
|
795,000
|
|
|
$
|
240,611
|
|
|
$
|
554,309
|
|
|
$
|
695,000
|
|
|
$
|
186,049
|
|
|
$
|
509,419
|
|
Convertible Notes
(3)
|
|
|
155,000
|
|
|
|
|
|
|
|
150,086
|
|
|
|
155,000
|
|
|
|
|
|
|
|
149,682
|
|
Total Debt
|
|
$
|
950,000
|
|
|
$
|
240,611
|
|
|
$
|
704,395
|
|
|
$
|
850,000
|
|
|
$
|
186,049
|
|
|
$
|
659,101
|
|
(1)
|
|
Provides, under certain circumstances, a total borrowing capacity of $1,000,000.
|
39
(2)
|
|
The Company may borrow amounts in USD or certain other permitted currencies. As of March 31, 2019, the
Company had outstanding borrowings denominated in USD of $516,450 and in Euros (EUR) of EUR 33,750. As of December 31, 2018, the Company had outstanding borrowings denominated in USD of $470,750 and in Euros (EUR) of EUR 33,750.
|
(3)
|
|
The carrying value of the Companys Convertible Notes is presented net of unamortized debt issuance costs
of $3,562 and OID net of accretion of $1,352 as of March 31, 2019, and net of unamortized debt issuance costs of $3,862 and OID net of accretion of $1,456 as of December 31, 2018.
|
(4)
|
|
Debt outstanding denominated in currencies other than USD have been converted to USD using the applicable
foreign currency exchange rate as of March 31, 2019 and December 31, 2018.
|
The combined weighted average
interest rate of the aggregate borrowings outstanding for the three months ended March 31, 2019 and the year ended December 31, 2018 was 4.42% and 4.10% respectively.
Revolving Credit Facility
On
September 19, 2013, the Company entered into a Revolving Credit Facility with various lenders. SunTrust Bank serves as administrative agent and Bank of America, N.A. serves as syndication agent under the Revolving Credit Facility. The Company
has amended and restated the Revolving Credit Facility on October 3, 2014, November 3, 2015, December 16, 2016, February 21, 2018 and September 17, 2018.
The aggregate committed borrowing amount under the Revolving Credit Facility is $795,000. The Revolving Credit Facility includes an uncommitted
accordion feature that allows the Company, under certain circumstances, to increase the borrowing capacity of the Revolving Credit Facility up to $1,000,000.
Borrowings denominated in USD, including amounts drawn in respect of letters of credit, bear interest (at the Companys election) of
either (i) LIBOR plus a margin of either 1.75% or 2.00%, subject to borrowing base conditions or (ii) an alternative base rate, which is the higher of the Prime Rate, Federal Funds Rate plus 0.50% or overnight LIBOR plus 1.00%, plus either
0.75% or 1.00%, subject to borrowing base conditions. Borrowings denominated in EUR bear interest (at the companys election) of EUR LIBOR plus a margin of either 1.75% or 2.00%, subject to borrowing base conditions. The Company may elect
either the LIBOR, EUR LIBOR, or an alternative base rate at the time of borrowing, and borrowings may be converted from one rate to another at any time, subject to certain conditions. Interest is payable quarterly in arrears. The Company pays a fee
of 0.375% per annum on committed but undrawn amounts under the Revolving Credit Facility, payable quarterly in arrears. Any amounts borrowed under the Revolving Credit Facility will mature, and all accrued and unpaid interest will be due and
payable, on February 21, 2023.
The Revolving Credit Facility may be guaranteed by certain of the Companys domestic
subsidiaries, including any that are formed or acquired by the Company in the future (collectively, the Guarantors). The Senior Credit Fund is not a Guarantor of the Revolving Credit Facility. Proceeds from borrowings may be used for
general corporate purposes, including the funding of portfolio investments.
The Companys obligations to the lenders under the
Revolving Credit Facility are secured by a first priority security interest in substantially all of the Companys portfolio of investments and cash, with certain exceptions. The Revolving Credit Facility contains certain covenants, including:
(i) maintaining a minimum stockholders equity of $500,000 plus 25% of net proceeds of the sale of equity interests after February 21, 2018, (ii) maintaining a minimum asset coverage ratio of at least 150%, (iii) maintaining a minimum
asset coverage ratio of 200% with respect to the consolidated assets (with certain limitations on the contribution of equity in financing subsidiaries as specified therein) of the Company and its subsidiary guarantors to the secured debt of the
Company and its subsidiary guarantors, (iv) maintaining a minimum Company net worth of at least $350,000, (v) maintaining a minimum liquidity test of at least 10% of the covered debt amount during any period when the adjusted covered debt
balance is greater than 90% of the adjusted borrowing base, as defined in the Revolving Credit Facility, and (vi) complying with restrictions on industry concentrations in the Companys investment portfolio. The Company is in compliance
with these covenants.
Costs of $12,093 were incurred in connection with obtaining and amending the Revolving Credit Facility, which have
been recorded as deferred financing costs on the Consolidated Statements of Assets and Liabilities and are being amortized over the life of the Revolving Credit Facility using the straight-line method. As of March 31, 2019 and December 31,
2018, deferred financing costs were $5,512 and $5,436, respectively.
The summary information of the Revolving Credit Facility for the
three months ended March 31, 2019 and 2018 is as follows:
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
March 31, 2019
|
|
|
Three Months Ended
March 31, 2018
|
|
Borrowing interest expense
|
|
$
|
5,781
|
|
|
$
|
3,671
|
|
Facility fees
|
|
|
186
|
|
|
|
227
|
|
Amortization of financing costs
|
|
|
339
|
|
|
|
314
|
|
Total
|
|
$
|
6,306
|
|
|
$
|
4,212
|
|
Weighted average interest rate
|
|
|
4.38%
|
|
|
|
3.63%
|
|
Average outstanding balance
|
|
$
|
534,673
|
|
|
$
|
410,408
|
|
C
onvertible Notes
On October 3, 2016, the Company closed an offering of $115,000 aggregate principal amount of unsecured Convertible Notes, which includes
$15,000 aggregate principal amount issued pursuant to the initial purchasers exercise in full of an over-allotment option (the Initial Convertible Notes). The sale of the Initial Convertible Notes generated net proceeds of
approximately $110,900. The Company used the net proceeds of the offering to pay down debt under the Revolving Credit Facility.
40
On July 2, 2018, the Company closed an additional offering of $40,000 aggregate principal
amount of Convertible Notes (the Additional Convertible Notes and together with Initial Convertible Notes, the Convertible Notes). The Additional Convertible Notes have identical terms, are fungible with and are part of the
Initial Convertible Notes. The sale of the Additional Convertible Notes generated net proceeds of approximately $38,569. The Company used the net proceeds of the offering to pay down debt under the Revolving Credit Facility.
The Convertible Notes were issued pursuant to an indenture between the Company and Wells Fargo Bank, National Association, as Trustee. Wells
Fargo Bank, National Association and/or its affiliates provide bank lending and distribution services to certain Goldman Sachs funds. The Convertible Notes bear interest at a rate of 4.50% per year, payable semi-annually in arrears on April 1
and October 1 of each year, commencing on April 1, 2017. The Convertible Notes will mature on April 1, 2022, unless repurchased or converted in accordance with their terms prior to such date. In certain circumstances, the Convertible
Notes will be convertible into cash, shares of the Companys common stock or a combination of cash and shares of the Companys common stock, based on an initial conversion rate of 40.8397 shares of the Companys common stock per one
thousand dollars principal amount of Convertible Notes, which is equivalent to an initial conversion price of approximately $24.49 per share of common stock, subject to customary anti-dilution adjustments and the other terms of the indenture
governing the Convertible Notes. The conversion price is approximately 10.0% above the $22.26 per share closing price of the Companys common stock on September 27, 2016 and 16.7% above the $20.99 per share closing price of our common
stock on June 26, 2018. The Company will not have the right to redeem the Convertible Notes prior to maturity.
Holders may convert
their notes at their option at any time prior to the close of business on the business day immediately preceding October 1, 2021 only under the following circumstances: (1) during any calendar quarter, if the last reported sale price of
the Companys common stock for at least 20 trading days (whether or not consecutive) during a period of 30 consecutive trading days ending on the last trading day of the immediately preceding calendar quarter is greater than or equal to 130% of
the conversion price on each applicable trading day; (2) during the five business day period after any five consecutive trading day period (the measurement period) in which the trading price per one thousand dollars principal amount
of notes for each trading day of the measurement period was less than 98% of the product of the last reported sale price of the Companys common stock and the conversion rate on each such trading day; or (3) upon the occurrence of
specified corporate events. On or after October 1, 2021, until the close of business on the scheduled trading day immediately preceding the maturity date, holders may convert their notes at any time, regardless of the occurrence or
nonoccurrence of any of the foregoing circumstances.
The Convertible Notes are accounted for in accordance with ASC Topic
470-20,
Debt with Conversion and Other Options
. Upon conversion of any of the Convertible Notes, the Company intends to pay the outstanding principal amount in cash and, to the extent that the conversion
value exceeds the principal amount, has the option to pay the excess amount in cash or shares of the Companys common stock (or a combination of cash and shares), subject to the requirements of the indenture governing the Convertible Notes. The
Company has determined that the embedded conversion options in the Convertible Notes are not required to be separately accounted for as derivatives under ASC Topic 815,
Derivatives and Hedging.
At the time of issuance the values of the debt
and equity components of the Initial Convertible Notes and Additional Convertible Notes were approximately 99.4% and 0.6%, and 97.9% and 2.1%, respectively.
The OID equal to the equity component of the Convertible Notes was recorded in
paid-in
capital
in excess of par in the accompanying Consolidated Statements of Assets and Liabilities. The Company records interest expense comprised of both stated interest and amortization of the OID. At the time of issuance, the equity components of the
Initial Convertible Notes and the Additional Convertible Notes were $743 and $836, respectively. Additionally, the issuance costs associated with the Convertible Notes were allocated to the debt and equity components in proportion to the allocation
of the values at the time of issuance and accounted for as debt issuance costs and equity issuance costs, respectively.
As of
March 31, 2019 and December 31, 2018, the components of the carrying value of the Convertible Notes were as follows:
|
|
|
|
|
|
|
|
|
|
|
March 31,
2019
|
|
|
December 31,
2018
|
|
Principal amount of debt
|
|
$
|
155,000
|
|
|
$
|
155,000
|
|
OID, net of accretion
|
|
|
1,352
|
|
|
|
1,456
|
|
Unamortized debt issuance costs
|
|
|
3,562
|
|
|
|
3,862
|
|
Carrying value
|
|
$
|
150,086
|
|
|
$
|
149,682
|
|
Stated interest rate
|
|
|
4.50%
|
|
|
|
4.50%
|
|
Effective interest rate (stated interest rate plus accretion of OID)
|
|
|
4.77%
|
|
|
|
4.76%
|
|
41
For the three months ended March 31, 2019 and 2018, the components of interest and other debt
expenses related to the Convertible Notes were as follows:
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
March 31, 2019
|
|
|
Three Months Ended
March 31, 2018
|
|
Borrowing interest expense
|
|
$
|
1,744
|
|
|
$
|
1,294
|
|
Accretion of OID
|
|
|
104
|
|
|
|
32
|
|
Amortization of debt issuance costs
|
|
|
299
|
|
|
|
185
|
|
Total
|
|
$
|
2,147
|
|
|
$
|
1,511
|
|
The Company enters into foreign currency forward contracts from time to time to help mitigate the impact that an adverse change in foreign
exchange rates would have on the value of the Companys investments denominated in foreign currencies.
In order to better define its
contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar
agreement with its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Company and a counterparty that governs OTC derivatives, including foreign currency forward contracts, and typically contains, among other
things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default
(close-out
netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Company and cash collateral received from
the counterparty, if any, is included in the Consolidated Statements of Assets and Liabilities as due to/due from broker. The Company minimizes counterparty credit risk by only entering into agreements with counterparties that they believe to be of
good standing and by monitoring the financial stability of those counterparties.
For the three months ended March 31, 2019, the
Companys average USD notional exposure to foreign currency forward contracts was $3,492. The Company did not hold any derivative instruments prior to August 8, 2018.
The following table sets forth the Companys net exposure to foreign currency forward contracts that are subject to ISDA Master
Agreements or similar agreements as of March 31, 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Gross Amount of
Assets on the
Consolidated
Statements of
Assets and
Liabilities
|
|
|
Gross Amount of
(Liabilities) on the
Consolidated
Statements of
Assets and
Liabilities
|
|
|
Net Amount of
Assets or
(Liabilities)
Presented
on
the Consolidated
Statements of
Assets
and
Liabilities
|
|
|
Collateral
(Received)
Pledged
(1)
|
|
|
Net Amounts
(2)
|
|
Bank of America, N.A.
|
|
$
|
167
|
|
|
$
|
|
|
|
$
|
167
|
|
|
$
|
|
|
|
$
|
167
|
|
Total
|
|
$
|
167
|
|
|
$
|
|
|
|
$
|
167
|
|
|
$
|
|
|
|
$
|
167
|
|
(1)
|
|
Amount excludes excess cash collateral paid.
|
(2)
|
|
Net amount represents the net amount due (to) from counterparty in the event of a default based on the
contractual setoff rights under the agreement. Net amount excludes any over-collateralized amounts.
|
The following table
sets forth the Companys net exposure to foreign currency forward contracts that are subject to ISDA Master Agreements or similar agreements as of December 31, 2018.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Gross Amount of
Assets on the
Consolidated
Statements of
Assets and
Liabilities
|
|
|
Gross Amount of
(Liabilities) on the
Consolidated
Statements of
Assets and
Liabilities
|
|
|
Net Amount of
Assets or
(Liabilities)
Presented
on
the Consolidated
Statements of
Assets
and
Liabilities
|
|
|
Collateral
(Received)
Pledged
(1)
|
|
|
Net Amounts
(2)
|
|
Bank of America, N.A.
|
|
$
|
89
|
|
|
$
|
|
|
|
$
|
89
|
|
|
$
|
|
|
|
$
|
89
|
|
Total
|
|
$
|
89
|
|
|
$
|
|
|
|
$
|
89
|
|
|
$
|
|
|
|
$
|
89
|
|
(1)
|
|
Amount excludes excess cash collateral paid.
|
(2)
|
|
Net amount represents the net amount due (to) from counterparty in the event of a default based on the
contractual setoff rights under the agreement. Net amount excludes any over-collateralized amounts.
|
42
For the three months ended March 31, 2019 and 2018, the effect of transactions in derivative
instruments to the Consolidated Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
For the Three Months Ended
|
|
|
|
March 31,
2019
|
|
|
March 31,
2018
|
|
Net realized gain (loss) on foreign currency forward contracts
|
|
$
|
18
|
|
|
$
|
|
|
Net change in unrealized appreciation (depreciation) on foreign currency forward contracts
|
|
|
78
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total net realized and unrealized gains (losses) on foreign currency forward contracts
|
|
$
|
96
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
8.
|
COMMITMENTS AND CONTINGENCIES
|
Commitments
The Company may enter into
investment commitments either verbally or through signed commitment letters which in certain circumstances may be disclosed by the Company. In many circumstances, borrower acceptance and final terms are subject to transaction-related contingencies.
These are disclosed as commitments upon execution of a final agreement. As of March 31, 2019, the Company believed that it had adequate financial resources to satisfy its unfunded commitments. The Company had the following unfunded commitments
by investment types as of the dates indicated:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2019
|
|
|
December 31, 2018
|
|
|
|
Commitment
Expiration
Date
(1)
|
|
|
Unfunded
Commitment
|
|
|
Fair
Value
(2)(3)
|
|
|
Commitment
Expiration
Date
(1)
|
|
|
Unfunded
Commitment
|
|
|
Fair
Value
(2)(3)
|
|
1st Lien/Senior Secured Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DocuTAP, Inc.
|
|
|
9/5/2019
|
|
|
$
|
4,680
|
|
|
$
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
DocuTAP, Inc.
|
|
|
9/5/2019
|
|
|
|
30,615
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Legacy Buyer Corp.
|
|
|
10/24/2019
|
|
|
|
2,500
|
|
|
|
|
|
|
|
10/24/2019
|
|
|
$
|
2,500
|
|
|
$
|
|
|
VRC Companies, LLC
|
|
|
1/28/2020
|
|
|
|
1,062
|
|
|
|
(11
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Businessolver.com, Inc.
|
|
|
5/15/2020
|
|
|
|
1,149
|
|
|
|
(23
|
)
|
|
|
5/15/2020
|
|
|
|
1,398
|
|
|
|
(28
|
)
|
SPay, Inc.
|
|
|
6/15/2020
|
|
|
|
5,285
|
|
|
|
(187
|
)
|
|
|
6/15/2020
|
|
|
|
5,663
|
|
|
|
(143
|
)
|
Hygiena Borrower LLC
|
|
|
6/29/2020
|
|
|
|
567
|
|
|
|
(11
|
)
|
|
|
6/29/2020
|
|
|
|
567
|
|
|
|
(11
|
)
|
Gastro Health, LLC
|
|
|
9/4/2020
|
|
|
|
5,062
|
|
|
|
(102
|
)
|
|
|
9/4/2020
|
|
|
|
5,062
|
|
|
|
(102
|
)
|
Diligent Corporation
|
|
|
12/19/2020
|
|
|
|
8,104
|
|
|
|
(101
|
)
|
|
|
12/19/2020
|
|
|
|
9,590
|
|
|
|
(120
|
)
|
Pathway Vet Alliance LLC
|
|
|
12/21/2020
|
|
|
|
1,543
|
|
|
|
(8
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Brillio, LLC
|
|
|
2/6/2021
|
|
|
|
1,510
|
|
|
|
(15
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Elemica, Inc.
|
|
|
7/7/2021
|
|
|
|
1,200
|
|
|
|
(15
|
)
|
|
|
7/7/2021
|
|
|
|
6,000
|
|
|
|
(75
|
)
|
Associations, Inc.
|
|
|
7/30/2021
|
|
|
|
1,514
|
|
|
|
(15
|
)
|
|
|
7/30/2021
|
|
|
|
1,892
|
|
|
|
(19
|
)
|
Netvoyage Corporation
|
|
|
3/24/2022
|
|
|
|
654
|
|
|
|
(11
|
)
|
|
|
3/24/2022
|
|
|
|
654
|
|
|
|
(8
|
)
|
VRC Companies, LLC
|
|
|
3/31/2022
|
|
|
|
64
|
|
|
|
(1
|
)
|
|
|
3/31/2022
|
|
|
|
86
|
|
|
|
(1
|
)
|
Diligent Corporation
|
|
|
4/14/2022
|
|
|
|
156
|
|
|
|
(2
|
)
|
|
|
4/14/2022
|
|
|
|
780
|
|
|
|
(10
|
)
|
Continuum Managed Services LLC
|
|
|
6/8/2022
|
|
|
|
2,220
|
|
|
|
(33
|
)
|
|
|
6/8/2022
|
|
|
|
2,220
|
|
|
|
(44
|
)
|
DDS USA Holding, Inc.
|
|
|
6/30/2022
|
|
|
|
1,079
|
|
|
|
(8
|
)
|
|
|
6/30/2022
|
|
|
|
1,079
|
|
|
|
(8
|
)
|
Xactly Corporation
|
|
|
7/29/2022
|
|
|
|
1,697
|
|
|
|
(25
|
)
|
|
|
7/29/2022
|
|
|
|
1,697
|
|
|
|
(25
|
)
|
Hygiena Borrower LLC
|
|
|
8/26/2022
|
|
|
|
380
|
|
|
|
(8
|
)
|
|
|
8/26/2022
|
|
|
|
380
|
|
|
|
(8
|
)
|
Lithium Technologies, Inc.
|
|
|
10/3/2022
|
|
|
|
2,684
|
|
|
|
(54
|
)
|
|
|
10/3/2022
|
|
|
|
2,684
|
|
|
|
(54
|
)
|
Datto, Inc.
|
|
|
12/7/2022
|
|
|
|
2,492
|
|
|
|
|
|
|
|
12/7/2022
|
|
|
|
2,492
|
|
|
|
(19
|
)
|
Businessolver.com, Inc.
|
|
|
5/15/2023
|
|
|
|
1,255
|
|
|
|
(25
|
)
|
|
|
5/15/2023
|
|
|
|
941
|
|
|
|
(19
|
)
|
Integral Ad Science, Inc.
|
|
|
7/19/2023
|
|
|
|
1,815
|
|
|
|
(36
|
)
|
|
|
7/19/2023
|
|
|
|
1,815
|
|
|
|
(36
|
)
|
Picture Head Midco LLC
|
|
|
8/31/2023
|
|
|
|
1,760
|
|
|
|
(31
|
)
|
|
|
8/31/2023
|
|
|
|
1,760
|
|
|
|
(36
|
)
|
Gastro Health, LLC
|
|
|
9/4/2023
|
|
|
|
2,000
|
|
|
|
(40
|
)
|
|
|
9/4/2023
|
|
|
|
2,000
|
|
|
|
(40
|
)
|
Empirix, Inc.
|
|
|
9/25/2023
|
|
|
|
1,300
|
|
|
|
(23
|
)
|
|
|
9/25/2023
|
|
|
|
1,300
|
|
|
|
(23
|
)
|
SPay, Inc.
|
|
|
6/17/2024
|
|
|
|
684
|
|
|
|
(24
|
)
|
|
|
6/17/2024
|
|
|
|
304
|
|
|
|
(8
|
)
|
Associations, Inc.
|
|
|
7/30/2024
|
|
|
|
587
|
|
|
|
(6
|
)
|
|
|
7/30/2024
|
|
|
|
587
|
|
|
|
(6
|
)
|
Fenergo Finance 3 Limited
(3)
|
|
|
9/5/2024
|
|
|
|
1,683
|
|
|
|
(95
|
)
|
|
|
9/5/2024
|
|
|
|
1,744
|
|
|
|
(59
|
)
|
Fenergo Finance 3 Limited
|
|
|
9/5/2024
|
|
|
|
1,182
|
|
|
|
(24
|
)
|
|
|
9/5/2024
|
|
|
|
1,182
|
|
|
|
(24
|
)
|
iCIMS, Inc.
|
|
|
9/12/2024
|
|
|
|
1,868
|
|
|
|
(37
|
)
|
|
|
9/12/2024
|
|
|
|
1,868
|
|
|
|
(37
|
)
|
MMIT Holdings
|
|
|
11/15/2024
|
|
|
|
3,188
|
|
|
|
(64
|
)
|
|
|
11/15/2024
|
|
|
|
2,550
|
|
|
|
(51
|
)
|
Wrike, Inc.
|
|
|
12/31/2024
|
|
|
|
1,600
|
|
|
|
(32
|
)
|
|
|
12/31/2024
|
|
|
|
1,600
|
|
|
|
(32
|
)
|
Apptio, Inc.
|
|
|
1/10/2025
|
|
|
|
2,225
|
|
|
|
(44
|
)
|
|
|
1/10/2025
|
|
|
|
2,180
|
|
|
|
|
|
Mailgun Technologies, Inc.
|
|
|
3/26/2025
|
|
|
|
1,530
|
|
|
|
(31
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Truckstop Group
|
|
|
4/2/2025
|
|
|
|
21,762
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Truckstop Group
|
|
|
4/2/2025
|
|
|
|
1,755
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
VRC Companies, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9/27/2019
|
|
|
|
872
|
|
|
|
(9
|
)
|
Picture Head Midco LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3/31/2019
|
|
|
|
2,540
|
|
|
|
(51
|
)
|
Diligent Corporation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8/3/2020
|
|
|
|
247
|
|
|
|
(3
|
)
|
Apptio, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1/10/2025
|
|
|
|
26,162
|
|
|
|
|
|
Total 1st Lien/Senior Secured Debt
|
|
|
|
|
|
|
122,411
|
|
|
|
(1,142
|
)
|
|
|
|
|
|
|
94,396
|
|
|
|
(1,109
|
)
|
2nd Lien/Senior Secured Debt
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hygiena Borrower LLC
|
|
|
6/29/2020
|
|
|
$
|
577
|
|
|
$
|
(10
|
)
|
|
|
6/29/2020
|
|
|
$
|
577
|
|
|
$
|
(10
|
)
|
Genesis Acquisition Co.
|
|
|
7/31/2020
|
|
|
|
1,778
|
|
|
|
(50
|
)
|
|
|
7/31/2020
|
|
|
|
1,777
|
|
|
|
(49
|
)
|
Total 2nd Lien/Senior Secured Debt
|
|
|
|
|
|
|
2,355
|
|
|
|
(60
|
)
|
|
|
|
|
|
|
2,354
|
|
|
|
(59
|
)
|
Total
|
|
|
|
|
|
$
|
124,766
|
|
|
$
|
(1,202
|
)
|
|
|
|
|
|
$
|
96,750
|
|
|
$
|
(1,168
|
)
|
(1)
|
|
Commitments are generally subject to borrowers meeting certain criteria such as compliance with covenants and
certain operational metrics. These amounts may remain outstanding until the commitment period of an applicable loan expires, which may be shorter than its maturity.
|
(2)
|
|
A negative fair value was reflected as investments, at fair value in the Consolidated Statements of Assets and
Liabilities. The negative fair value is the result of the capitalized discount on the loan.
|
(3)
|
|
Unfunded commitments denominated in currencies other than USD have been converted to USD using the applicable
foreign currency exchange rate as of March 31, 2019 and December 31, 2018.
|
43
Contingencies
In the normal course of business, the Company enters into contracts that provide a variety of general indemnifications. Any exposure to the
Company under these arrangements could involve future claims that may be made against the Company. Currently, no such claims exist or are expected to arise and, accordingly, the Company has not accrued any liability in connection with such
indemnifications.
Equity Issuances
There were no sales of
the Companys common stock during the three months ended March 31, 2019 and 2018.
Distributions
The following table reflects the distributions declared on shares of the Companys common stock during the three months ended
March 31, 2019:
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
Payment Date
|
|
Amount Per Share
|
February 20, 2019
|
|
March 29, 2019
|
|
April 15, 2019
|
|
$0.45
|
The following table reflects the distributions declared on shares of the Companys common stock during
the three months ended March 31, 2018:
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
Payment Date
|
|
Amount Per Share
|
February 21, 2018
|
|
March 30, 2018
|
|
April 16, 2018
|
|
$0.45
|
Dividend Reinvestment Plan
Concurrent with the IPO, the Company adopted a dividend reinvestment plan that provides for reinvestment of all cash distributions declared by
the Board of Directors, unless a stockholder elects to opt out of the plan. As a result, if the Board of Directors declares a cash distribution, then the stockholders who have not opted out of the dividend reinvestment plan
will have their cash distributions automatically reinvested in additional shares of common stock, rather than receiving the cash distribution.
The following table summarizes shares distributed pursuant to the dividend reinvestment plan during the three months ended March 31, 2019
to stockholders who had not opted out of the dividend reinvestment plan:
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
Payment Date
|
|
Shares
|
October 30, 2018
|
|
December 31, 2018
|
|
January 15, 2019
|
|
39,591
|
The following table summarizes shares distributed pursuant to the dividend reinvestment plan during the three
months ended March 31, 2018 to stockholders who had not opted out of the dividend reinvestment plan:
|
|
|
|
|
|
|
Date Declared
|
|
Record Date
|
|
Payment Date
|
|
Shares
|
October 31, 2017
|
|
December 29, 2017
|
|
January 16, 2018
|
|
23,824
|
44
The following information sets forth the computation of basic and diluted earnings per share for the three months ended March 31, 2019 and
2018:
|
|
|
|
|
|
|
|
|
|
|
For the Three Months Ended
|
|
|
|
March 31,
2019
|
|
|
March 31,
2018
|
|
Numerator for basic and diluted earnings per share - increase in net assets resulting from operations
|
|
$
|
2,215
|
|
|
$
|
18,451
|
|
Denominator for basic and diluted earnings per share - weighted average shares outstanding
|
|
|
40,261,057
|
|
|
|
40,150,518
|
|
Basic and diluted earnings per share
|
|
$
|
0.06
|
|
|
$
|
0.46
|
|
For the purpose of calculating diluted earnings per common share, the average closing price of the
Companys common stock for the three months ended March 31, 2019 and 2018 was less than the conversion price for the Convertible Notes outstanding as of March 31, 2019 and 2018, respectively. Therefore, for the three months ended
March 31, 2019 and 2018, diluted earnings per share equals basic earnings per share because the underlying shares for the intrinsic value of the embedded options in the Convertible Notes were not dilutive.
Below is the schedule of financial highlights of the Company for the three months ended March 31, 2019 and 2018:
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
March 31, 2019
|
|
Three Months
Ended
March 31, 2018
|
Per Share Data:
(1)
|
|
|
|
|
|
|
|
|
NAV, beginning of period
|
|
$
|
17.65
|
|
|
$
|
18.09
|
|
Net investment income
|
|
|
0.55
|
|
|
|
0.47
|
|
Net realized and unrealized gains (losses)
(2)
|
|
|
(0.51
|
)
|
|
|
|
|
Income tax provision, realized and unrealized gains
|
|
|
0.01
|
|
|
|
(0.01
|
)
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets resulting from operations
|
|
|
0.05
|
|
|
|
0.46
|
|
|
|
|
|
|
|
|
|
|
Distributions declared from net investment income
(3)
|
|
|
(0.45
|
)
|
|
|
(0.45
|
)
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets
|
|
|
(0.40
|
)
|
|
|
0.01
|
|
|
|
|
|
|
|
|
|
|
NAV, end of period
|
|
$
|
17.25
|
|
|
$
|
18.10
|
|
|
|
|
|
|
|
|
|
|
Market price, end of period
|
|
$
|
20.54
|
|
|
$
|
19.13
|
|
|
|
|
Shares outstanding, end of period
|
|
|
40,267,216
|
|
|
|
40,154,489
|
|
Weighted average shares outstanding
|
|
|
40,261,057
|
|
|
|
40,150,518
|
|
Total return based on NAV
(4)
|
|
|
(0.01)%
|
|
|
|
2.49%
|
|
Total return based on market value
(5)
|
|
|
14.33%
|
|
|
|
(11.65)%
|
|
|
|
|
Ratio/Supplemental Data (all amounts in thousands except ratios):
|
|
|
|
|
|
|
|
|
Net assets, end of period
|
|
$
|
$694,746
|
|
|
$
|
726,711
|
|
Ratio of net expenses to average net assets
(6
)
|
|
|
8.11%
|
|
|
|
9.25%
|
|
Ratio of expenses (without incentive fees and interest and other debt expenses) to average net assets
(6
)
|
|
|
2.95%
|
|
|
|
3.44%
|
|
Ratio of interest and other debt expenses to average net assets
(7
)
|
|
|
4.88%
|
|
|
|
3.20%
|
|
Ratio of incentive fees to average net assets
(7)
|
|
|
0.28%
|
|
|
|
2.61%
|
|
Ratio of total expenses to average net assets
(6
)
|
|
|
8.11%
|
|
|
|
9.25%
|
|
Ratio of net investment income (loss) to average net assets
(6)(8)
|
|
|
12.98%
|
|
|
|
10.59%
|
|
Average debt outstanding
|
|
$
|
689,673
|
|
|
$
|
525,408
|
|
Average debt per share
(9)
|
|
$
|
17.13
|
|
|
$
|
13.09
|
|
Portfolio turnover
|
|
|
8%
|
|
|
|
6%
|
|
45
(1)
|
|
The per share data was derived by using the weighted average shares outstanding during the applicable period.
|
(2)
|
|
For the three months ended March 31, 2019 and 2018, the amount shown may not correspond with the aggregate
amount for the period as it includes the effect of the timing of the distribution.
|
(3)
|
|
The per share data for distributions declared reflects the actual amount of distributions declared per share
for the applicable period.
|
(4)
|
|
Total return based on NAV is calculated as the change in NAV per share during the respective periods, assuming
dividends and distributions, if any, are reinvested in accordance with the Companys dividend reinvestment plan.
|
(5)
|
|
Total return based on market value is calculated as the change in market value per share during the respective
periods, assuming dividends and distributions, if any, are reinvested in accordance with the Companys dividend reinvestment plan.
|
(6)
|
|
Annualized except for certain operating expenses.
|
(8)
|
|
Annualized except for certain components of other income.
|
(9)
|
|
Average debt per share is calculated as average debt outstanding divided by the weighted average shares
outstanding during the applicable period.
|
Subsequent events after the Consolidated Statements of Assets and Liabilities date have been evaluated through the date the unaudited
consolidated financial statements were issued. Other than the items discussed below, the Company has concluded that there is no impact requiring adjustment or disclosure in the consolidated financial statements.
On May 7, 2019, the Board of Directors declared a quarterly distribution of $0.45 per share payable on July 15, 2019 to holders of
record as of June 28, 2019.
On May 8, 2019, the Company and Cal Regents each contributed $125,555 to the Senior Credit Fund, which
was used by the Senior Credit Fund to repay in full all outstanding indebtedness, including all accrued and unpaid interest and fees, under the Asset Based Facility and to fund certain other related expenses that the Senior Credit Fund expects to
incur in connection with its dissolution. The Asset Based Facility was then terminated and all liens securing the collateral under the Asset Based Facility were released. The Company funded its portion of the contributed amount through
additional borrowings under its Revolving Credit Facility.
Following the repayment and termination, the Senior Credit Fund distributed
each members pro rata share of all of its assets (other than cash and cash equivalents), primarily consisting of senior secured loans, to the members. The Company also assumed the obligation to fund outstanding unfunded commitments of the
Senior Credit Fund that totaled $7,795 as of March 31, 2019, representing 50% of the Senior Credit Funds aggregate unfunded commitments. The pro rata portion of the assets received by the Company will become the Companys assets and will
be directly included in the Companys consolidated financial statements and notes thereto, and will also be included for purposes of determining the Companys asset coverage ratio. Based on March 31, 2019 balances, the assets to be
received by the Company are approximately $221,769 and $215,728 at amortized cost and at fair value, respectively.
In connection with the
repayment of the Asset Based Facility and the distribution of all of its loan assets, the Senior Credit Fund declared a $2,000 cash distribution to its members, representing estimated quarter-to-date net investment income, 50% of which will be paid
to the Company.
The Company and Cal Regents have begun the process of dissolving the Senior Credit Fund. After the satisfaction of all
remaining liabilities and the distribution of any remaining assets (including any amounts owed to it and not yet received), the Senior Credit Fund will be wound up and terminated.
46