The following table provides a reconciliation
of cash, cash equivalents and restricted cash reported within the consolidated statements of assets and liabilities that sum to the total
of the same amounts presented in the consolidated statements of cash flows:
Notes to Consolidated Financial Statements
(Unaudited)
March 31, 2021
(in thousands, except share and per share
data)
NOTE 1 - ORGANIZATION
WhiteHorse Finance, Inc. (“WhiteHorse
Finance” and, together with its subsidiaries, the “Company”) is an externally managed, non-diversified, closed-end management
investment company that has elected to be treated as a business development company under the Investment Company Act of 1940, as amended
(the “1940 Act”). In addition, for tax purposes, WhiteHorse Finance elected to be treated as a regulated investment company
(“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). WhiteHorse Finance’s
common stock trades on the Nasdaq Global Select Market under the symbol “WHF.”
The Company’s investment objective
is to generate attractive risk-adjusted returns primarily by originating and investing in senior secured loans, including first lien and
second lien facilities, to performing lower middle market companies across a broad range of industries that typically carry a floating
interest rate based on a risk-free index rate such as the London Interbank Offered Rate (“LIBOR”) and have a term of three
to six years. While the Company focuses principally on originating senior secured loans to lower middle market companies, it may also
opportunistically make investments at other levels of a company’s capital structure, including mezzanine loans or equity interests
and may receive warrants to purchase common stock in connection with its debt investments.
WhiteHorse Finance’s
investment activities are managed by H.I.G. WhiteHorse Advisers, LLC (“WhiteHorse Advisers” or the “Investment Adviser”).
H.I.G. WhiteHorse Administration, LLC (“WhiteHorse Administration” or the “Administrator”) provides
administrative services necessary for the Company to operate.
Engaging in
commodity interest transactions such as swap transactions or futures contracts for the Company may cause WhiteHorse Advisers to
fall within the definition of “commodity pool operator” under the Commodity Exchange Act (“CEA”), and
related regulations promulgated by the U.S. Commodity Futures Trading Commission (the CFTC”). On January 23, 2020, WhiteHorse
Advisers claimed an exclusion from the definition of the term “commodity pool operator” under the CEA and the CFTC
regulations in connection with its management of the Company (the “Exclusion”) and, therefore, is not subject to CFTC
registration or regulation under the CEA as a commodity pool operator with respect to its management of the Company. WhiteHorse
Advisers has affirmed the Exclusion on February 24, 2021, and intends to continue to affirm the Exclusion on an annual basis.
NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Basis of Presentation: The accompanying
consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States
of America (“GAAP”) and include the accounts of WhiteHorse Finance and its wholly owned subsidiaries, WhiteHorse Finance Credit
I, LLC (“WhiteHorse Credit”), and its subsidiary WhiteHorse Finance (CA), LLC (“WhiteHorse California”), and WhiteHorse
Finance Warehouse, LLC (“WhiteHorse Warehouse”). The Company meets the definition of an investment company under Accounting
Standards Codification (“ASC”) Topic 946, Financial Services - Investment Companies , and therefore applies the accounting
and reporting guidance discussed therein to its consolidated financial statements. All significant intercompany balances and transactions
have been eliminated.
Additionally, the accompanying consolidated
financial statements and related financial information have been prepared pursuant to the requirements for reporting on Form 10-Q and
Articles 6, 10 and 12 of Regulation S-X. Accordingly, certain disclosures accompanying the annual financial statements prepared in accordance
with GAAP are omitted. In the opinion of management, the unaudited consolidated financial results included herein contain all adjustments,
consisting solely of normal recurring accruals, considered necessary for the fair presentation of financial statements for the interim
periods included herein. This quarterly report on Form 10-Q should be read in conjunction with the Company’s annual report on Form
10-K for the year ended December 31, 2020. The current period’s results of operations will not necessarily be indicative of results
that ultimately may be achieved for the year ending December 31, 2021.
Principles of Consolidation: Under the
investment company rules and regulations pursuant to ASC Topic 946, WhiteHorse Finance is precluded from consolidating any entity other
than another investment company. As provided under ASC Topic 946, WhiteHorse Finance generally consolidates any investment company when
it owns 100% of its partners’ or members’ capital or equity units. The Company does not consolidate its investment in STRS
JV. See further description in Note 4.
Use of Estimates: The preparation
of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the financial statements.
Actual results could differ from those estimates.
Fair Value of Financial Instruments:
The Company determines the fair value of its financial instruments in accordance with ASC Topic 820, Fair Value Measurements and Disclosures.
ASC Topic 820 defines fair value, establishes a framework used to measure fair value and requires disclosures for fair value measurements.
In accordance with ASC Topic 820, the Company has categorized its financial instruments carried at fair value, based on the priority of
the valuation technique, into a three-level fair value hierarchy. Fair value is a market-based measure considered from the perspective
of the market participant who holds the financial instrument. Therefore, when market assumptions are not readily available, the Company’s
own assumptions are set to reflect those that management believes market participants would use in pricing the financial instrument at
the measurement date.
Investments are measured at fair value as
determined in good faith by the Investment Adviser’s investment committee (the “Investment Committee”), generally
on a quarterly basis, and such valuations are reviewed by the audit committee of the Company’s board of directors and
ultimately approved by the Company’s board of directors, based on, among other factors, consistently applied valuation procedures on each
measurement date. Any changes to the valuation methodology are reviewed by management and the Company’s board of directors to
confirm that the changes are justified. The Company continues to review and refine its valuation procedures in response to market
changes.
The Company engages independent
external valuation firms to periodically review material investments. These external reviews are used by the Company’s board
of directors to review the Company’s internal valuation of each investment over the year.
Investment Transactions: The Company records
investment transactions on a trade date basis. These transactions may settle subsequent to the trade date depending on the transaction
type. Certain expenses related to legal and tax consultation, due diligence, rating fees, valuation expenses and independent collateral
appraisals may arise when the Company makes certain investments. These expenses are recognized in the consolidated statements of operations
as they are incurred.
Foreign currency translation: The Company’s books and
records are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
|
(1)
|
cash and cash equivalents, restricted cash and cash equivalents, fair value of investments, interest receivable,
and other assets and liabilities — at the spot exchange rate on the last business day of the period; and
|
|
(2)
|
purchases and sales of investments, income and expenses — at the exchange rates prevailing on the respective dates of such transactions.
|
Although net assets and fair values are
presented based on the applicable foreign exchange rates described above, the Company does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of
investments held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Fluctuations arising
from the translation of assets other than investments and liabilities are included with the net change in unrealized appreciation (depreciation)
on translation of assets and liabilities in foreign currencies on the consolidated statements of operations.
Foreign security and currency transactions
may involve certain considerations and risks not typically associated with investing in U.S. companies. 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.
Revenue Recognition: The Company’s revenue recognition
policies are as follows:
Sales: Realized gains or losses on the sales of investments
are calculated by using the specific identification method.
Investment Income: Interest income,
adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. The Company may also receive closing,
commitment, prepayment, amendment and other fees from portfolio companies in the ordinary course of business.
Dividend income is recorded on the record date for private
portfolio companies or on the ex-dividend date for publicly traded portfolio companies.
Closing fees associated with investments
in portfolio companies are deferred and recognized as interest income over the respective terms of the applicable loans. Upon the prepayment
of a loan or debt security, any unamortized loan closing fees are recorded as part of interest income. Commitment fees are based upon
the undrawn portion committed by the Company and are recorded as interest income on an accrual basis. Prepayment, amendment and other
fees are recognized when earned, generally when such fees are receivable, and are included in fee income on the consolidated statements
of operations.
The Company may invest in loans that
contain a payment-in-kind (“PIK”) interest rate provision. PIK interest is accrued at the contractual rates and added to loan
principal on the reset dates to the extent such amounts are expected to be collected.
Non-accrual loans: Loans are placed
on non-accrual status when principal or interest payments are past due 30 days or more or when there is reasonable doubt that principal
or interest will be collected. The Company may conclude that non-accrual status is not required if the loan has sufficient collateral
value and is in the process of collection. Accrued interest is generally reversed when a loan is placed on non-accrual status. Interest
payments received on non-accrual loans may be recognized as income or applied to principal depending upon management’s judgment.
Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are
likely to remain current.
Cash and Cash Equivalents: Cash
and cash equivalents include cash, deposits with financial institutions, and short-term liquid investments in money market funds with
original maturities of three months or less.
Restricted Cash and Cash Equivalents:
Restricted cash and cash equivalents include amounts that are collected and held by the trustee appointed as custodian of the assets securing
the Credit Facility (as defined in Note 6). Restricted cash is held by the trustee for the payment of interest expense and principal on
the outstanding borrowings or reinvestment into new assets. Restricted cash that represents interest or fee income is transferred to unrestricted
cash accounts by the trustee generally once a quarter after the payment of operating expenses and amounts due under the Credit Facility
(as defined in Note 6).
Offering Costs: The Company may
incur legal, accounting, regulatory, investment banking and other costs in relation to equity offerings. Offering costs are deferred and
charged against paid-in capital in excess of par on completion of the related offering.
Deferred Financing Costs: Deferred
financing costs represent fees and other direct incremental costs incurred in connection with the Company’s borrowings. These amounts
are amortized and are included in interest expense in the consolidated statements of operations over the estimated life of the borrowings.
Deferred financing costs are presented in the consolidated statements of assets and liabilities as a direct reduction from the carrying
amount of the related debt liability.
Income Taxes: The Company elected
to be treated as a RIC under Subchapter M of the Code. In order to maintain its status as a RIC, among other requirements, the Company
is required to distribute dividends for U.S. federal income tax purposes to its stockholders each taxable year generally of an amount
at least equal to 90% of the sum of ordinary income and realized net short-term capital gains in excess of realized net long-term capital
losses, if any, out of the assets legally available for distribution. In addition, the Company will incur a nondeductible excise tax
equal to 4% of the amount by which (1) 98% of ordinary income for the calendar year (taking into account certain deferrals and elections),
(2) 98.2% of capital gains in excess of capital losses, adjusted for certain ordinary losses, for the one-year period ending on October
31 of the calendar year and (3) any ordinary income and capital gain income for preceding years that were not distributed during such
years and on which the Company incurred no U.S. federal income tax exceed distributions for the year. The Company accrues estimated excise
tax on the amount, if any, that estimated taxable income is expected to exceed the level of stockholder distributions described above.
The Company recognizes the financial statement
benefit of a tax position only after determining that the relevant tax authority would more-likely-than-not sustain the position following
an audit. For tax positions meeting the more-likely-than-not threshold, the amount recognized in the financial statement is the largest
benefit or expense that has a greater than 50% likelihood of being realized upon ultimate settlement with the relevant tax authority.
Any tax positions not deemed to satisfy the more likely than not threshold are reversed and recorded as tax benefit or tax expense, as
appropriate, in the current year. Management has analyzed the Company’s tax positions, and the Company has concluded that the Company
did not have any unrecognized tax benefits or unrecognized tax liabilities related to uncertain tax positions as of March 31, 2021 and
December 31, 2020.
Penalties or interest that may be assessed
related to any income taxes would be classified as general and administrative expenses on the consolidated statements of operations. The
Company had no amounts accrued for interest or penalties as of March 31, 2021 or December 31, 2020. The Company does not expect the total
amount of unrecognized tax benefits to significantly change in the next twelve months. The Company’s tax returns are subject to
examination by federal, state and local taxing authorities. Because many types of transactions are susceptible to varying interpretations
under U.S. federal and state income tax laws and regulations, the amounts reported in the accompanying consolidated financial statements
may be subject to change at a later date by the respective taxing authorities. Tax returns for each of the federal tax years since 2017
remain subject to examination by the Internal Revenue Service.
As of March 31, 2021 and December 31,
2020, the cost of investments for federal income tax purposes was $633,014 and $701,493 resulting in net unrealized depreciation of $16,027
and $10,758, respectively. This is comprised of gross unrealized appreciation of $8,305 and $16,954, and gross unrealized depreciation
of $24,332 and $27,712, on a tax basis, as of March 31, 2021 and December 31, 2020, respectively.
Dividends and Distributions:
Dividends and distributions to common stockholders are recorded on the ex-dividend date. Quarterly distribution payments are
determined by the Company’s board of directors and are paid from taxable earnings estimated by management and may include a
return of capital and/or capital gains. Net realized capital gains, if any, are distributed at least annually, although the Company
may decide to retain such capital gains for investment.
The Company maintains an “opt out”
distribution reinvestment plan for common stockholders. As a result, if the Company declares a distribution or other dividend, stockholders’
cash distributions will be automatically reinvested in additional shares of common stock, unless they specifically “opt out”
of the distribution reinvestment plan so as to receive cash distributions.
Earnings per Share: The Company
calculates earnings per share as earnings available to stockholders divided by the weighted average number of shares outstanding during
the period.
Risks and Uncertainties: In the
normal course of business, the Company encounters primarily two significant types of economic risks: credit and market. Credit risk is
the risk of default on the Company’s investments that result from an issuer’s, borrower’s or derivative counterparty’s
inability or unwillingness to make contractually required payments. Market risk reflects changes in the value of investments due to changes
in interest rates, spreads or other market factors, including the value of the collateral underlying investments held by the Company.
Refer to “COVID-19 Developments” section in Note 8. Management believes that the carrying value of the Company’s investments
are fairly stated, taking into consideration these risks along with estimated collateral values, payment histories and other market information.
Reclassifications:
Certain amounts in the consolidated financial statements for the three month period ended March 31, 2020 have been reclassified.
These reclassifications had no material impact on the Company’s consolidated financial position, results of operations or cash
flows as previously reported.
Recent Accounting Pronouncements:
In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform
on Financial Reporting, which provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and
other transactions to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting
if certain criteria are met. The guidance is effective from March 12, 2020 through December 31, 2022. As of March 31, 2021, the guidance
did not have a material impact on the consolidated financial statements.
NOTE 3 - FORWARD CURRENCY CONTRACTS
The Company may enter into foreign
currency forward contracts from time to time to facilitate settlement of purchases and sales of investments denominated in foreign
currencies and to hedge economically the impact that an adverse change in foreign exchange rates would have on the value of the
Company’s investments denominated in foreign currencies. A foreign currency forward contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the
difference between the contract forward exchange rate and the forward market exchange rate on the last day of the period presented
as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise
as a result of the potential inability of the counterparties to meet the terms of their contracts. The Company attempts to limit
counterparty risk by only dealing with well-known counterparties.
The Company utilizes forward foreign currency
exchange contracts to protect itself against fluctuations in exchange rates. During the three months ended March 31, 2021 and 2020, the
Company recognized a realized gain of $0 and $6 and an unrealized loss of $1 and $1, respectively in the statement of operations relating
to forward currency exchange contracts held during the year. The Company may choose to renew contracts quarterly unless otherwise settled
by the Company or the counterparty.
The value associated with unrealized
loss on open contracts is included in unrealized appreciation/depreciation on forward currency contracts within the statement of assets
and liabilities. Open contracts at March 31, 2021 are as follows:
|
|
Currency to be
|
|
Currency to be
|
|
|
|
Unrealized
|
|
|
Unrealized
|
|
Counterparty
|
|
sold
|
|
purchased
|
|
Settlement date
|
|
appreciation ($)
|
|
|
depreciation ($)
|
|
Morgan Stanley
|
|
C$
|
105 CAD
|
|
$
|
83 USD
|
|
04/28/2021
|
|
$
|
-
|
|
|
$
|
(1
|
)
|
|
|
|
|
|
|
|
|
$
|
-
|
|
|
$
|
(1
|
)
|
The foreign currency forward contracts open at the end of
the period are generally indicative of the volume of activity during the period.
Offsetting of Derivative Instruments
The Company has derivative instruments
that are subject to master netting agreements. These agreements include provisions to offset positions with the same counterparty in the
event of default by one of the parties. The Company’s unrealized appreciation and depreciation on derivative instruments are reported
as gross assets and liabilities, respectively, in the consolidated statements of assets and liabilities. The following tables present
the Company’s assets and liabilities related to derivatives by counterparty, net of amounts available for offset under a master
netting arrangement and net of any collateral received or pledged by the Company for such assets and liabilities as of March 31, 2021.
|
|
|
As of March 31, 2021
|
|
|
|
|
Derivative
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Subject
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
|
to Master
|
|
|
|
Derivatives
|
|
|
|
Non-cash
|
|
|
|
Cash
|
|
|
|
Amount of
|
|
|
|
|
Netting
|
|
|
|
Available
|
|
|
|
Collateral
|
|
|
|
Collateral
|
|
|
|
Derivative
|
|
Counterparty
|
|
|
Agreement
|
|
|
|
for Offset
|
|
|
|
Received (1)
|
|
|
|
Received (1)
|
|
|
|
Assets (2)
|
|
Morgan Stanley
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities Subject
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
|
to Master
|
|
|
Derivatives
|
|
|
Non-cash
|
|
|
Cash
|
|
|
Amount of
|
|
|
|
Netting
|
|
|
Available
|
|
|
Collateral
|
|
|
Collateral
|
|
|
Derivative
|
|
Counterparty
|
|
Agreement
|
|
|
for Offset
|
|
|
Pledged (1)
|
|
|
Pledged (1)
|
|
|
Liabilities (3)
|
|
Morgan Stanley
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1
|
|
Total
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
(1)
|
In
some instances, the actual amount of the collateral received and/or pledged may be more than
the amount shown due to overcollateralization.
|
|
(2)
|
Net amount of derivative assets represents the net amount due from the counterparty to the Company in the event of default.
|
|
(3)
|
Net amount of derivative liabilities represents the net amount due from the Company to the counterparty in the event of default.
|
NOTE 4 - INVESTMENTS
Investments consisted of the following:
|
|
March 31, 2021
|
|
|
December 31, 2020
|
|
|
|
Amortized Cost
|
|
|
Fair Value
|
|
|
Amortized Cost
|
|
|
Fair Value
|
|
First lien secured loans
|
|
$
|
530,236
|
|
|
$
|
522,620
|
|
|
$
|
588,260
|
|
|
$
|
588,580
|
|
Second lien secured loans
|
|
|
16,856
|
|
|
|
15,028
|
|
|
|
29,371
|
|
|
|
27,596
|
|
Subordinated Note to STRS JV
|
|
|
44,529
|
|
|
|
44,529
|
|
|
|
41,073
|
|
|
|
41,073
|
|
Equity (excluding STRS JV)
|
|
|
26,457
|
|
|
|
23,899
|
|
|
|
26,457
|
|
|
|
23,319
|
|
Equity in STRS JV
|
|
|
11,132
|
|
|
|
10,911
|
|
|
|
10,268
|
|
|
|
10,167
|
|
Total
|
|
$
|
629,210
|
|
|
$
|
616,987
|
|
|
$
|
695,429
|
|
|
$
|
690,735
|
|
The following
table shows the portfolio composition by industry(1) grouping at fair value:
|
|
March 31, 2021
|
|
|
December 31, 2020
|
|
Advertising
|
|
$
|
7,724
|
|
|
|
1.38
|
|
|
$
|
15,159
|
|
|
|
2.37
|
%
|
Agricultural & Farm Machinery
|
|
|
-
|
|
|
|
-
|
|
|
|
9,201
|
|
|
|
1.44
|
|
Air Freight & Logistics
|
|
|
5,286
|
|
|
|
0.94
|
|
|
|
5,359
|
|
|
|
0.84
|
|
Application Software
|
|
|
20,786
|
|
|
|
3.70
|
|
|
|
28,397
|
|
|
|
4.43
|
|
Automotive Retail
|
|
|
15,650
|
|
|
|
2.79
|
|
|
|
22,139
|
|
|
|
3.46
|
|
Broadcasting
|
|
|
-
|
|
|
|
-
|
|
|
|
4,844
|
|
|
|
0.76
|
|
Building Products
|
|
|
16,808
|
|
|
|
2.99
|
|
|
|
19,751
|
|
|
|
3.09
|
|
Cable & Satellite
|
|
|
14,250
|
|
|
|
2.54
|
|
|
|
14,250
|
|
|
|
2.23
|
|
Communications Equipment
|
|
|
-
|
|
|
|
-
|
|
|
|
15,770
|
|
|
|
2.47
|
|
Construction & Engineering
|
|
|
7,969
|
|
|
|
1.42
|
|
|
|
26,229
|
|
|
|
4.09
|
|
Construction Material
|
|
|
7,828
|
|
|
|
1.39
|
|
|
|
7,840
|
|
|
|
1.23
|
|
Consumer Finance
|
|
|
8,737
|
|
|
|
1.56
|
|
|
|
9,682
|
|
|
|
1.51
|
|
Data Processing & Outsourced Services
|
|
|
37,274
|
|
|
|
6.64
|
|
|
|
36,861
|
|
|
|
5.76
|
|
Department Stores
|
|
|
13,408
|
|
|
|
2.39
|
|
|
|
13,272
|
|
|
|
2.08
|
|
Distributors
|
|
|
4,090
|
|
|
|
0.73
|
|
|
|
4,158
|
|
|
|
0.65
|
|
Diversified Chemicals
|
|
|
7,473
|
|
|
|
1.33
|
|
|
|
8,834
|
|
|
|
1.38
|
|
Diversified Support Services
|
|
|
13,427
|
|
|
|
2.39
|
|
|
|
20,241
|
|
|
|
3.17
|
|
Education Services
|
|
|
12,789
|
|
|
|
2.28
|
|
|
|
13,612
|
|
|
|
2.13
|
|
Food Retail
|
|
|
-
|
|
|
|
-
|
|
|
|
21,822
|
|
|
|
3.41
|
|
Health Care Facilities
|
|
|
13,170
|
|
|
|
2.35
|
|
|
|
15,188
|
|
|
|
2.37
|
|
Health Care Services
|
|
|
47,230
|
|
|
|
8.41
|
|
|
|
39,600
|
|
|
|
6.19
|
|
Home Furnishings
|
|
|
4,672
|
|
|
|
0.83
|
|
|
|
4,019
|
|
|
|
0.63
|
|
Interactive Media & Services
|
|
|
17,461
|
|
|
|
3.11
|
|
|
|
12,594
|
|
|
|
1.97
|
|
Internet & Direct Marketing Retail
|
|
|
41,629
|
|
|
|
7.41
|
|
|
|
36,556
|
|
|
|
5.72
|
|
Investment Banking & Brokerage
|
|
|
19,094
|
|
|
|
3.40
|
|
|
|
20,046
|
|
|
|
3.14
|
|
IT Consulting & Other Services
|
|
|
7,753
|
|
|
|
1.38
|
|
|
|
15,665
|
|
|
|
2.45
|
|
Leisure Facilities
|
|
|
21,577
|
|
|
|
3.84
|
|
|
|
20,745
|
|
|
|
3.24
|
|
Office Services & Supplies
|
|
|
10,341
|
|
|
|
1.84
|
|
|
|
10,489
|
|
|
|
1.64
|
|
Other Diversified Financial Services
|
|
|
3,492
|
|
|
|
0.62
|
|
|
|
3,498
|
|
|
|
0.55
|
|
Packaged Foods & Meats
|
|
|
10,513
|
|
|
|
1.87
|
|
|
|
10,811
|
|
|
|
1.69
|
|
Personal Products
|
|
|
12,308
|
|
|
|
2.19
|
|
|
|
11,270
|
|
|
|
1.76
|
|
Property & Casualty Insurance
|
|
|
6,100
|
|
|
|
1.09
|
|
|
|
6,115
|
|
|
|
0.96
|
|
Research & Consulting Services
|
|
|
32,137
|
|
|
|
5.72
|
|
|
|
32,631
|
|
|
|
5.10
|
|
Restaurants
|
|
|
10,227
|
|
|
|
1.82
|
|
|
|
9,779
|
|
|
|
1.53
|
|
Specialized Consumer Services
|
|
|
6,338
|
|
|
|
1.13
|
|
|
|
6,363
|
|
|
|
1.00
|
|
Specialized Finance
|
|
|
20,508
|
|
|
|
3.65
|
|
|
|
32,707
|
|
|
|
5.11
|
|
Specialty Chemicals
|
|
|
10,802
|
|
|
|
1.92
|
|
|
|
10,818
|
|
|
|
1.69
|
|
Systems Software
|
|
|
27,578
|
|
|
|
4.91
|
|
|
|
7,074
|
|
|
|
1.11
|
|
Technology Hardware, Storage & Peripherals
|
|
|
36,927
|
|
|
|
6.58
|
|
|
|
36,106
|
|
|
|
5.65
|
|
Trading Companies & Distributors
|
|
|
8,191
|
|
|
|
1.46
|
|
|
|
-
|
|
|
|
-
|
|
Total
|
|
$
|
561,547
|
|
|
|
100.00
|
%
|
|
$
|
639,495
|
|
|
|
100.00
|
%
|
(1) Excludes investments in STRS JV.
As of March 31, 2021, the portfolio companies
underlying the investments are all located in the United States and its territories, except for Arcole Acquisition Corp and Geo Logic
Systems Ltd. (which are located in Canada). As of March 31, 2021 and December 31, 2020, the weighted average remaining term of the Company’s
debt investments were approximately 3.7 years and 3.6 years, respectively.
As of March 31, 2021 and December 31, 2020, the total fair
value of non-accrual loans were $14,345 and $11,620, respectively.
An affiliated company is generally a portfolio
company in which the Company owns 5% or more of its voting securities. A controlled affiliated company is generally a portfolio company
in which the Company owns more than 25% of its voting securities or has the power to exercise control over its management or policies
(including through a management agreement). The following table presents the schedule of investments in and advances to affiliated and
controlled persons (as defined by the 1940 Act) as of and for the three months ended March 31, 2021:
|
|
|
|
Amount of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
dividends
and
|
|
|
Beginning
|
|
|
|
|
|
|
|
|
|
|
|
Net
Change in
|
|
|
Ending
Fair
|
|
|
|
|
|
interest
|
|
|
Fair
Value at
|
|
|
|
|
|
|
|
|
Net
|
|
|
Unrealized
|
|
|
Value at
|
|
|
|
Type of
|
|
included in
|
|
|
December
31,
|
|
|
|
|
|
|
|
|
Realized
|
|
|
Appreciation
|
|
|
March 31,
|
|
Affiliated
Person(1)
|
|
Asset
|
|
income
|
|
|
2020
|
|
|
Purchases
|
|
|
Sales
|
|
|
Gain
(Loss)
|
|
|
(Depreciation)
|
|
|
2021
|
|
Non-controlled affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arcole Holdings Corp Shares
|
|
Equity
|
|
$
|
—
|
|
|
$
|
6,448
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(735
|
)
|
|
$
|
5,713
|
|
NMFC Senior Loan
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Program
I LLC Units
|
|
Equity
|
|
|
250
|
|
|
|
9,269
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
301
|
|
|
|
9,570
|
|
Total Non-controlled
affiliates
|
|
|
|
$
|
250
|
|
|
$
|
15,717
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(434
|
)
|
|
$
|
15,283
|
|
|
|
|
|
Amount
of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
dividends
and
|
|
|
Beginning
|
|
|
|
|
|
|
|
|
|
|
|
Net
Change in
|
|
|
Ending
Fair
|
|
|
|
|
|
interest
|
|
|
Fair
Value at
|
|
|
|
|
|
|
|
|
Net
|
|
|
Unrealized
|
|
|
Value
at
|
|
|
|
Type
of
|
|
included
in
|
|
|
December
31,
|
|
|
|
|
|
|
|
|
Realized
|
|
|
Appreciation
|
|
|
March
31,
|
|
Affiliated
Person(1)
|
|
Asset
|
|
income
|
|
|
2020
|
|
|
Purchases
|
|
|
Sales
|
|
|
Gain
(Loss)
|
|
|
(Depreciation)
|
|
|
2021
|
|
Controlled
affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WHF
STRS Ohio Senior Loan Fund LLC*
|
|
Subordinated
Note
|
|
$
|
719
|
|
|
$
|
41,073
|
|
|
$
|
3,456
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
44,529
|
|
WHF
STRS Ohio Senior Loan Fund LLC*
|
|
Equity
|
|
|
1,374
|
|
|
|
10,167
|
|
|
|
864
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(120
|
)
|
|
|
10,911
|
|
Total
Controlled affiliates
|
|
|
|
$
|
2,093
|
|
|
$
|
51,240
|
|
|
$
|
4,320
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(120
|
)
|
|
$
|
55,440
|
|
The following table presents the schedule
of investments in and advances to affiliated and controlled affiliated persons (as defined by the 1940 Act) as of and for the year ended
December 31, 2020:
|
|
|
|
Amount of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
dividends
and
|
|
|
Beginning
|
|
|
|
|
|
|
|
|
|
|
|
Net
Change in
|
|
|
Ending
Fair
|
|
|
|
|
|
interest
|
|
|
Fair
Value at
|
|
|
|
|
|
|
|
|
Net
|
|
|
Unrealized
|
|
|
Value at
|
|
|
|
Type of
|
|
included
in
|
|
|
December
31,
|
|
|
|
|
|
|
|
|
Realized
|
|
|
Appreciation
|
|
|
December
31,
|
|
Affiliated
Person(1)
|
|
Asset
|
|
income
|
|
|
2019
|
|
|
Purchases
|
|
|
Sales
|
|
|
Gain
(Loss)
|
|
|
(Depreciation)
|
|
|
2020
|
|
Non-controlled affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arcole Holding Corp Shares
|
|
Equity
|
|
$
|
114
|
|
|
$
|
—
|
|
|
$
|
6,944
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(496
|
)
|
|
$
|
6,448
|
|
NMFC Senior Loan
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Program
I LLC Units
|
|
Equity
|
|
|
1,069
|
|
|
|
9,651
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(382
|
)
|
|
|
9,269
|
|
Total Non-controlled
affiliates
|
|
|
|
$
|
1,183
|
|
|
$
|
9,651
|
|
|
$
|
6,944
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(878
|
)
|
|
$
|
15,717
|
|
|
|
|
|
Amount
of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
dividends
and
|
|
|
Beginning
|
|
|
|
|
|
|
|
|
|
|
|
Net
Change in
|
|
|
Ending
Fair
|
|
|
|
|
|
interest
|
|
|
Fair
Value at
|
|
|
|
|
|
|
|
|
Net
|
|
|
Unrealized
|
|
|
Value
at
|
|
|
|
Type
of
|
|
included
in
|
|
|
December
31,
|
|
|
|
|
|
|
|
|
Realized
|
|
|
Appreciation
|
|
|
December
31,
|
|
Affiliated
Person(1)
|
|
Asset
|
|
income
|
|
|
2019
|
|
|
Purchases
|
|
|
Sales
|
|
|
Gain
(Loss)
|
|
|
(Depreciation)
|
|
|
2020
|
|
Controlled
affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WHF
STRS Ohio Senior Loan Fund LLC*
|
|
Subordinated
Note
|
|
$
|
2,595
|
|
|
$
|
26,344
|
|
|
$
|
14,729
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
41,073
|
|
WHF
STRS Ohio Senior Loan Fund LLC*
|
|
Equity
|
|
|
1,761
|
|
|
|
6,949
|
|
|
|
3,682
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(464
|
)
|
|
|
10,167
|
|
Total
Controlled affiliates
|
|
|
|
$
|
4,356
|
|
|
|
33,293
|
|
|
$
|
18,411
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(464
|
)
|
|
$
|
51,240
|
|
|
*
|
The
Company and STRS Ohio are the members of STRS JV, a joint venture formed as a Delaware limited
liability company that is not consolidated by either member for financial reporting purposes.
The members make investments in STRS JV in the form of limited liability company (“LLC”)
equity interests and interest-bearing subordinated notes as STRS JV makes investments, and
all portfolio and other material decisions regarding STRS JV must be submitted to STRS JV’s
board of managers which is comprised of an equal number of members appointed by each of the
Company and STRS Ohio. Because management of STRS JV is shared equally between the Company
and STRS Ohio, the Company does not believe it controls STRS JV for purposes of the 1940
Act or otherwise.
|
|
(1)
|
Refer
to the consolidated schedule of investments for the principal amount, industry classification
and other security detail of each portfolio company.
|
WHF STRS Ohio Senior Loan Fund LLC
On January 14, 2019, the Company entered
into a limited liability company operating agreement with STRS Ohio to co-manage a newly formed joint venture investment company, STRS
JV, a Delaware limited liability company. STRS Ohio and the Company have committed to provide up to $125,000 of subordinated notes and
equity to STRS JV, with STRS Ohio providing up to $50,000 and the Company providing up to $75,000, respectively. STRS JV will invest primarily
in lower middle market, senior secured debt facilities, to performing lower middle market companies across a broad range of industries
that typically carry a floating interest rate based on a risk-free index rate such as LIBOR and have a term of three to six years.
In July 2019, STRS JV formally
launched operations. As of March 31, 2021 and December 31, 2020, STRS JV had total assets of $193,686 and $181,382 respectively.
STRS JV’s portfolio consisted of debt investments in 22 and 20 portfolio companies as of March 31, 2021 and December 31, 2020,
respectively. As of March 31, 2021 and December 31, 2020, the largest investment by aggregate principal amount (including any
unfunded commitments) in a single portfolio company in STRS JV’s portfolio was $15,972 and $14,593, respectively. The five
largest investments in portfolio companies by fair value in STRS JV totaled $60,953 and $60,252 as of March 31, 2021 and December
31, 2020, respectively. STRS JV invests in portfolio companies in the same industries in which the Company may directly invest.
The Company provides capital to STRS JV in the
form of LLC equity interests and through interest-bearing subordinated notes. As of March 31, 2021 and December 31, 2020, the Company
and STRS Ohio owned 60% and 40%, respectively, of the LLC equity interests of STRS JV. The Company’s investment in STRS JV consisted
of equity contributions of $11,132 and $10,268 and advances of the subordinated notes of $44,529 and $41,073 as of March 31, 2021 and
December 31, 2020, respectively. As of March 31, 2021, the Company had commitments to fund equity interests and subordinated notes in
STRS JV of $15,000 and $60,000, of which $3,868 and $15,471 were unfunded, respectively. As of December 31, 2020, the Company had commitments
to fund equity interests and subordinated notes in STRS JV of $15,000 and $60,000, of which $4,732 and $18,927 were unfunded, respectively.
The Company and STRS Ohio each appoint two members
to STRS JV’s four-person board of managers. All material decisions with respect to STRS JV, including those involving its investment
portfolio, require unanimous approval of a quorum of the board of managers. Quorum is defined as (i) the presence of two members of the
board of managers; provided that at least one individual is present that was elected, designated or appointed by each member; (ii) the
presence of three members of the board of managers; provided that the individual that was elected, designated or appointed by the member
with only one individual present shall be entitled to cast two votes on each matter; or (iii) the presence of four members of the board
of managers; provided that two individuals are present that were elected, designated or appointed by each member.
On July 19, 2019, STRS JV entered
into a $125,000 credit and security agreement (the “STRS JV Credit Facility”) with JPMorgan Chase Bank, National
Association (“JPMorgan”). On January 27, 2021, the terms of the STRS JV Credit Facility were amended to, among other
things, increase the size of the STRS JV Credit Facility from $125,000 to $175,000. As of March 31, 2021, the STRS JV Credit
Facility had $175,000 of commitments subject to leverage and borrowing base restrictions with an interest rate based on a risk-free
index rate such as LIBOR plus 2.55%. The final maturity date of the STRS JV Credit Facility is July 19, 2024. As of March 31, 2021,
STRS JV had $99,359 of outstanding borrowings under the STRS JV Credit Facility. At March 31, 2021, the effective interest rate on
the STRS JV Credit Facility was 2.78% per annum.
Below is a listing of STRS JV’s individual investments
as of March 31, 2021:
Investment
Type(1)
|
|
Spread
Above
Index(2)
|
|
Interest
Rate(3)
|
|
|
Acquisition
Date(4)
|
|
Maturity
Date
|
|
Principal/
Share
Amount
|
|
|
Amortized
Cost
|
|
|
Fair
Value(5)
|
|
North America
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Advertising
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SmartSign Holdings LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
10/21/19
|
|
10/11/24
|
|
|
8,731
|
|
|
$
|
8,607
|
|
|
$
|
8,731
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
10/21/19
|
|
10/11/24
|
|
|
545
|
|
|
|
538
|
|
|
|
551
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
9,276
|
|
|
|
9,145
|
|
|
|
9,282
|
|
Application Software
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TaxSlayer, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
01/21/21
|
|
12/31/26
|
|
|
6,796
|
|
|
|
6,664
|
|
|
|
6,666
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
01/21/21
|
|
12/31/26
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
6,796
|
|
|
|
6,664
|
|
|
|
6,666
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BW Gas & Convenience Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.25%
|
|
|
6.36
|
%
|
|
02/18/21
|
|
11/18/24
|
|
|
6,319
|
|
|
|
6,319
|
|
|
|
6,319
|
|
|
|
(0.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Drew Foam Companies Inc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
11/09/20
|
|
11/05/25
|
|
|
7,260
|
|
|
|
7,127
|
|
|
|
7,127
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LHS Borrower, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.75%
|
|
|
7.75
|
%
|
|
10/09/20
|
|
09/30/25
|
|
|
9,689
|
|
|
|
9,488
|
|
|
|
9,550
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.75%
|
|
|
7.75
|
%
|
|
10/09/20
|
|
09/30/25
|
|
|
131
|
|
|
|
128
|
|
|
|
131
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
17,080
|
|
|
|
16,743
|
|
|
|
16,808
|
|
Construction & Engineering
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road Safety Services, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
12/31/19
|
|
09/18/23
|
|
|
4,538
|
|
|
|
4,454
|
|
|
|
4,539
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
12/31/19
|
|
09/18/23
|
|
|
-
|
|
|
|
-
|
|
|
|
16
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SFP Holding, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.25%
|
|
|
7.25
|
%
|
|
12/13/19
|
|
09/01/22
|
|
|
6,470
|
|
|
|
6,468
|
|
|
|
6,408
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Delayed Draw Loan
|
|
L+ 6.25%
|
|
|
7.25
|
%
|
|
12/13/19
|
|
09/01/22
|
|
|
6,735
|
|
|
|
6,733
|
|
|
|
6,668
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.25%
|
|
|
7.25
|
%
|
|
12/31/19
|
|
09/01/23
|
|
|
-
|
|
|
|
-
|
|
|
|
(8
|
)
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tensar Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.75%
|
|
|
7.75
|
%
|
|
11/24/20
|
|
08/20/25
|
|
|
6,983
|
|
|
|
6,821
|
|
|
|
6,918
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
24,726
|
|
|
|
24,476
|
|
|
|
24,541
|
|
Data Processing & Outsourced Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Geo Logic Systems Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan (7)
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
01/22/20
|
|
12/19/24
|
|
|
14,373
|
|
|
|
10,837
|
|
|
|
11,207
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan(7)
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
01/22/20
|
|
12/19/24
|
|
|
-
|
|
|
|
-
|
|
|
|
(4
|
)
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
14,373
|
|
|
|
10,837
|
|
|
|
11,203
|
|
Diversified Support Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quest Events, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan(9)
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
07/19/19
|
|
12/28/24
|
|
|
11,893
|
|
|
|
11,744
|
|
|
|
9,669
|
|
|
|
(1.00% Floor)
|
|
|
(7.00
|
%PIK)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured
Revolving Loan(9)
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
07/19/19
|
|
12/28/24
|
|
|
935
|
|
|
|
922
|
|
|
|
760
|
|
|
|
(1.00% Floor)
|
|
|
(7.00
|
%PIK)
|
|
|
|
|
|
|
12,828
|
|
|
|
12,666
|
|
|
|
10,429
|
|
Environmental & Facilities Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WH Lessor Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
01/22/20
|
|
11/24/25
|
|
|
6,244
|
|
|
|
6,146
|
|
|
|
6,225
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
01/22/20
|
|
12/26/24
|
|
|
-
|
|
|
|
-
|
|
|
|
8
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
6,244
|
|
|
|
6,146
|
|
|
|
6,233
|
|
Human Resource & Employment Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pluto Acquisition Topco, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan(8)
|
|
L+ 6.31%
|
|
|
7.81
|
%
|
|
05/19/20
|
|
01/31/24
|
|
|
11,434
|
|
|
|
11,303
|
|
|
|
11,434
|
|
|
|
(1.50% Floor)
|
|
|
|
|
|
|
|
|
|
|
11,434
|
|
|
|
11,303
|
|
|
|
11,434
|
|
Industrial Machinery
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FR Flow Control CB LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan B
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
07/19/19
|
|
06/28/26
|
|
|
7,000
|
|
|
$
|
6,894
|
|
|
$
|
6,930
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan C
|
|
L+ 6.00%
|
|
|
7.00
|
%
|
|
07/19/19
|
|
06/28/26
|
|
|
2,870
|
|
|
|
2,827
|
|
|
|
2,841
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
9,870
|
|
|
|
9,721
|
|
|
|
9,771
|
|
Internet & Direct Marketing Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Marlin DTC-LS Midco 2, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
07/19/19
|
|
07/01/25
|
|
|
13,543
|
|
|
|
13,350
|
|
|
|
13,542
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
07/19/19
|
|
07/01/25
|
|
|
-
|
|
|
|
-
|
|
|
|
14
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
13,543
|
|
|
|
13,350
|
|
|
|
13,556
|
|
Investment Banking & Brokerage
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOUR Intermediate Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
05/19/20
|
|
05/15/25
|
|
|
8,089
|
|
|
|
7,963
|
|
|
|
8,089
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Delayed Draw Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
05/19/20
|
|
05/15/25
|
|
|
2,845
|
|
|
|
2,824
|
|
|
|
2,845
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
10,934
|
|
|
|
10,787
|
|
|
|
10,934
|
|
IT Consulting & Other Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
KSM Consulting LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.25%
|
|
|
7.25
|
%
|
|
01/27/21
|
|
12/31/26
|
|
|
11,349
|
|
|
|
11,129
|
|
|
|
11,131
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Delayed Draw Loan(6)
|
|
L+ 6.25%
|
|
|
7.25
|
%
|
|
01/27/21
|
|
12/31/22
|
|
|
-
|
|
|
|
-
|
|
|
|
(32
|
)
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured
Revolving Loan(6)
|
|
L+ 6.25%
|
|
|
7.25
|
%
|
|
01/27/21
|
|
12/31/26
|
|
|
604
|
|
|
|
593
|
|
|
|
593
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
11,953
|
|
|
|
11,722
|
|
|
|
11,692
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mikawaya Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 5.50%
|
|
|
6.75
|
%
|
|
02/18/20
|
|
01/29/25
|
|
|
3,049
|
|
|
|
3,002
|
|
|
|
3,049
|
|
|
|
(1.25% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Poultry Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 7.25%
|
|
|
8.25
|
%
|
|
10/21/19
|
|
06/28/25
|
|
|
7,798
|
|
|
|
7,683
|
|
|
|
7,018
|
|
|
|
(1.00% Floor)
|
|
|
(1.50
|
%PIK)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stella & Chewy's
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
12/29/20
|
|
12/16/25
|
|
|
5,313
|
|
|
|
5,212
|
|
|
|
5,212
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Delayed Draw Loan(6)
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
12/29/20
|
|
12/16/25
|
|
|
879
|
|
|
|
871
|
|
|
|
841
|
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Westrock Coffee Company, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 9.00%
|
|
|
10.50
|
%
|
|
03/20/20
|
|
02/28/25
|
|
|
9,232
|
|
|
|
9,141
|
|
|
|
9,047
|
|
|
|
(1.50% Floor)
|
|
|
(0.75
|
%PIK)
|
|
|
|
|
|
|
26,271
|
|
|
|
25,909
|
|
|
|
25,167
|
|
Personal Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sunless, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
10/21/19
|
|
08/13/24
|
|
|
4,822
|
|
|
|
4,728
|
|
|
|
4,436
|
|
|
|
(1.00% Floor)
|
|
|
(0.50
|
%PIK)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Revolving Loan
|
|
L+ 6.50%
|
|
|
7.50
|
%
|
|
10/21/19
|
|
08/13/24
|
|
|
-
|
|
|
|
-
|
|
|
|
(88
|
)
|
|
|
(1.00% Floor)
|
|
|
|
|
|
|
|
|
|
|
4,822
|
|
|
|
4,728
|
|
|
|
4,348
|
|
Technology Hardware, Storage & Peripherals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS Lightwave, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Term Loan
|
|
L+ 6.75%
|
|
|
8.25
|
%
|
|
05/19/20
|
|
03/10/25
|
|
|
7,415
|
|
|
|
7,294
|
|
|
|
7,341
|
|
|
|
(1.50% Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien Secured Delayed Draw Loan
|
|
L+ 6.75%
|
|
|
8.25
|
%
|
|
05/19/20
|
|
03/10/25
|
|
|
-
|
|
|
|
-
|
|
|
|
10
|
|
|
|
(1.50% Floor)
|
|
|
|
|
|
|
|
|
|
|
7,415
|
|
|
|
7,294
|
|
|
|
7,351
|
|
Total Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
193,884
|
|
|
$
|
187,810
|
|
|
$
|
185,734
|
|
(1)
|
Except as noted, all investments provide collateral for the STRS JV Credit Facility.
|
|
|
(2)
|
The investments bear interest at a rate that may be determined by reference to LIBOR, which resets monthly, quarterly or semiannually, or CDOR. The one, three and six-month LIBOR were 0.1%, 0.2% and 0.2%, respectively, as of March 31,2021. The CDOR was 0.4% as of March 31, 2021.
|
|
|
(3)
|
The interest rate is the “all-in-rate” including the current index and spread, the fixed rate, and the PIK interest rate, as the case may be.
|
|
|
(4)
|
Except as otherwise noted, all of the STRS JV’s portfolio company investments, which as of the date of the portfolio represented 1,021% of STRS JV’s net assets or 96% of STRS JV’s total assets, are subject to legal restrictions on sales.
|
|
|
(5)
|
The fair value of each investment was determined using significant unobservable inputs.
|
|
|
(6)
|
The investment or a portion of the investment does not provide collateral for the STRS JV Credit Facility.
|
|
|
(7)
|
Principal is denominated in Canadian dollars.
|
|
|
(8)
|
In addition to the interest earned based on the stated interest rate of this security, STRS JV is entitled to receive an additional interest amount of 3.00% on its “last out” tranche of the portfolio company’s senior term debt, which was previously syndicated into “first out” and “last out” tranches, whereby the “first out” tranche will have priority as to the “last out” tranche with respect to payments of principal, interest and any other amounts due thereunder.
|
|
|
(9)
|
At the option of the issuer, interest can be paid in cash or cash and PIK. The issuer
may elect to pay up to 7.00% PIK.
|
Below is a listing of STRS JV’s individual investments
as of December 31, 2020:
|
|
Spread
|
|
|
|
|
|
|
|
|
|
|
|
Principal/
|
|
|
|
|
|
|
|
|
|
Above
|
|
|
Interest
|
|
|
Acquisition
|
|
|
Maturity
|
|
|
Share
|
|
|
Amortized
|
|
|
Fair
|
|
Investment
Type(1)
|
|
Index(2)
|
|
|
Rate(3)
|
|
|
Date(4)
|
|
|
Date
|
|
|
Amount
|
|
|
Cost
|
|
|
Value(5)
|
|
North
America
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Advertising
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SmartSign
Holdings LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.00%
|
|
|
7.00
|
%
|
|
10/21/19
|
|
|
10/11/24
|
|
|
|
8,753
|
|
|
$
|
8,620
|
|
|
$
|
8,710
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.00%
|
|
|
7.00
|
%
|
|
10/21/19
|
|
|
10/11/24
|
|
|
|
545
|
|
|
|
537
|
|
|
|
546
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
9,298
|
|
|
|
9,157
|
|
|
|
9,256
|
|
Building
Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Drew
Foam Companies Inc
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.50%
|
|
|
7.50
|
%
|
|
11/09/20
|
|
|
11/24/25
|
|
|
|
10,079
|
|
|
|
9,883
|
|
|
|
9,882
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.50%
|
|
|
7.50
|
%
|
|
11/09/20
|
|
|
11/05/25
|
|
|
|
332
|
|
|
|
325
|
|
|
|
325
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LHS
Borrower, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.75%
|
|
|
7.75
|
%
|
|
10/09/20
|
|
|
09/30/25
|
|
|
|
9,689
|
|
|
|
9,478
|
|
|
|
9,543
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.75%
|
|
|
7.75
|
%
|
|
10/09/20
|
|
|
09/30/25
|
|
|
|
—
|
|
|
|
—
|
|
|
|
4
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
20,100
|
|
|
|
19,686
|
|
|
|
19,754
|
|
Construction
& Engineering
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SFP
Holding, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.25%
|
|
|
7.25
|
%
|
|
12/13/19
|
|
|
09/01/22
|
|
|
|
6,483
|
|
|
|
6,482
|
|
|
|
6,389
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Delayed Draw Loan
|
|
|
L+
6.25%
|
|
|
7.25
|
%
|
|
12/13/19
|
|
|
09/01/22
|
|
|
|
6,713
|
|
|
|
6,711
|
|
|
|
6,610
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.25%
|
|
|
7.25
|
%
|
|
12/31/19
|
|
|
09/01/22
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(13
|
)
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tensar
Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.75%
|
|
|
7.75
|
%
|
|
11/24/20
|
|
|
08/20/25
|
|
|
|
7,000
|
|
|
|
6,829
|
|
|
|
6,829
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
20,196
|
|
|
|
20,022
|
|
|
|
19,815
|
|
Data
Processing & Outsourced Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Geo
Logic Systems Ltd.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan(7)
|
|
|
L+
6.24%
|
|
|
7.25
|
%
|
|
01/22/20
|
|
|
12/19/24
|
|
|
|
14,466
|
|
|
|
10,894
|
|
|
|
11,133
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan(7)
|
|
|
L+
6.24%
|
|
|
7.25
|
%
|
|
01/22/20
|
|
|
12/19/24
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(3
|
)
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
14,466
|
|
|
|
10,894
|
|
|
|
11,130
|
|
Diversified
Support Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quest
Events, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.00%
|
|
|
7.00
|
%
|
|
07/19/19
|
|
|
12/28/24
|
|
|
|
11,649
|
|
|
|
11,490
|
|
|
|
9,470
|
|
|
|
|
(1.00%
Floor)
|
|
|
(3.50
|
%PIK)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.00%
|
|
|
7.00
|
%
|
|
07/19/19
|
|
|
12/28/24
|
|
|
|
935
|
|
|
|
922
|
|
|
|
760
|
|
|
|
|
(1.00%
Floor)
|
|
|
(3.50
|
%PIK)
|
|
|
|
|
|
|
|
|
12,584
|
|
|
|
12,412
|
|
|
|
10,230
|
|
|
|
Spread
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal/
|
|
|
|
|
|
|
Above
|
|
|
Interest
|
|
|
Acquisition
|
|
|
Maturity
|
|
|
Share
|
|
|
Amortized
|
|
|
Fair
|
|
Investment Type(1)
|
|
Index(2)
|
|
|
Rate(3)
|
|
|
Date(4)
|
|
|
Date
|
|
|
Amount
|
|
|
Cost
|
|
|
Value(5)
|
|
Environmental & Facilities
Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WH Lessor Corp.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.00%
|
|
|
|
7.00
|
%
|
|
|
01/22/20
|
|
|
|
11/24/25
|
|
|
|
6,259
|
|
|
$
|
6,155
|
|
|
$
|
6,239
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.00%
|
|
|
|
7.00
|
%
|
|
|
01/22/20
|
|
|
|
12/26/24
|
|
|
|
—
|
|
|
|
—
|
|
|
|
9
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,259
|
|
|
|
6,155
|
|
|
|
6,248
|
|
Human Resource & Employment
Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pluto Acquisition Topco, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan(8)
|
|
|
L+
6.31%
|
|
|
|
7.81
|
%
|
|
|
05/19/20
|
|
|
|
01/31/24
|
|
|
|
11,549
|
|
|
|
11,405
|
|
|
|
11,549
|
|
|
|
|
(1.50%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,549
|
|
|
|
11,405
|
|
|
|
11,549
|
|
Industrial
Machinery
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FR Flow Control CB LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Term Loan B
|
|
|
L+
6.00%
|
|
|
|
7.00
|
%
|
|
|
07/19/19
|
|
|
|
06/28/26
|
|
|
|
7,269
|
|
|
|
7,154
|
|
|
|
7,088
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan C
|
|
|
L+
6.00%
|
|
|
|
7.00
|
%
|
|
|
07/19/19
|
|
|
|
06/28/26
|
|
|
|
2,870
|
|
|
|
2,825
|
|
|
|
2,798
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,139
|
|
|
|
9,979
|
|
|
|
9,886
|
|
Insurance
Brokers
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SelectQuote, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.00%
|
|
|
|
7.00
|
%
|
|
|
11/05/19
|
|
|
|
11/05/24
|
|
|
|
7,838
|
|
|
|
7,718
|
|
|
|
7,838
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,838
|
|
|
|
7,718
|
|
|
|
7,838
|
|
Internet
& Direct Marketing Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Marlin DTC-LS Midco 2, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Term Loan
|
|
|
L+
5.50%
|
|
|
|
6.50
|
%
|
|
|
07/19/19
|
|
|
|
07/01/25
|
|
|
|
13,577
|
|
|
|
13,373
|
|
|
|
13,501
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
5.50%
|
|
|
|
6.50
|
%
|
|
|
07/19/19
|
|
|
|
07/01/25
|
|
|
|
—
|
|
|
|
—
|
|
|
|
10
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,577
|
|
|
|
13,373
|
|
|
|
13,511
|
|
Investment
Banking & Brokerage
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOUR Intermediate Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Term Loan
|
|
|
L+
7.00%
|
|
|
|
8.00
|
%
|
|
|
05/19/20
|
|
|
|
05/15/25
|
|
|
|
8,194
|
|
|
|
8,059
|
|
|
|
8,194
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Delayed Draw Loan
|
|
|
L+
7.00%
|
|
|
|
8.00
|
%
|
|
|
05/19/20
|
|
|
|
05/15/25
|
|
|
|
2,882
|
|
|
|
2,859
|
|
|
|
2,882
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,076
|
|
|
|
10,918
|
|
|
|
11,076
|
|
Packaged
Foods & Meats
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mikawaya Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Term Loan
|
|
|
L+
5.75%
|
|
|
|
7.00
|
%
|
|
|
02/18/20
|
|
|
|
01/29/25
|
|
|
|
3,057
|
|
|
|
3,007
|
|
|
|
3,057
|
|
|
|
|
(1.25%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Poultry Holdings, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Term Loan
|
|
|
L+
5.75%
|
|
|
|
6.75
|
%
|
|
|
10/21/19
|
|
|
|
06/28/25
|
|
|
|
7,728
|
|
|
|
7,606
|
|
|
|
7,265
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,785
|
|
|
|
10,613
|
|
|
|
10,322
|
|
|
|
Spread
|
|
|
|
|
|
|
|
|
|
|
|
Principal/
|
|
|
|
|
|
|
|
|
|
Above
|
|
|
Interest
|
|
|
Acquisition
|
|
|
Maturity
|
|
|
Share
|
|
|
Amortized
|
|
|
Fair
|
|
Investment
Type(1)
|
|
Index(2)
|
|
|
Rate(3)
|
|
|
Date(4)
|
|
|
Date
|
|
|
Amount
|
|
|
Cost
|
|
|
Value(5)
|
|
Stella
& Chewy's
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.50%
|
|
|
|
7.50
|
%
|
|
|
12/29/20
|
|
|
|
12/16/25
|
|
|
|
5,312
|
|
|
$
|
5,206
|
|
|
$
|
5,206
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Delayed Draw Loan(6)
|
|
|
L+
6.50%
|
|
|
|
7.50
|
%
|
|
|
12/29/20
|
|
|
|
12/16/25
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Westrock
Coffee Company, LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
8.25%
|
|
|
|
9.75
|
%
|
|
|
03/20/20
|
|
|
|
02/28/25
|
|
|
|
9,234
|
|
|
|
9,137
|
|
|
|
9,049
|
|
|
|
|
(1.50%
Floor)
|
|
|
|
(1.00
|
%PIK)
|
|
|
|
|
|
|
|
|
|
|
25,331
|
|
|
|
24,956
|
|
|
|
24,577
|
|
Personal
Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sunless,
Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.50%
|
|
|
|
7.50
|
%
|
|
|
10/21/19
|
|
|
|
08/13/24
|
|
|
|
4,828
|
|
|
|
4,734
|
|
|
|
4,345
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
(0.50
|
%PIK)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Revolving Loan
|
|
|
L+
6.50%
|
|
|
|
7.50
|
%
|
|
|
10/21/19
|
|
|
|
08/13/24
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(113
|
)
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,828
|
|
|
|
4,734
|
|
|
|
4,232
|
|
Systems
Software
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
arcserve
(USA) LLC
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.00%
|
|
|
|
7.00
|
%
|
|
|
07/19/19
|
|
|
|
05/01/24
|
|
|
|
8,110
|
|
|
|
8,001
|
|
|
|
8,110
|
|
|
|
|
(1.00%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,110
|
|
|
|
8,001
|
|
|
|
8,110
|
|
Technology
Hardware, Storage & Peripherals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS
Lightwave, Inc.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Term Loan
|
|
|
L+
6.75%
|
|
|
|
8.25
|
%
|
|
|
05/19/20
|
|
|
|
03/10/25
|
|
|
|
7,435
|
|
|
|
7,306
|
|
|
|
7,334
|
|
|
|
|
(1.50%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First
Lien Secured Delayed Draw Loan
|
|
|
L+
6.75%
|
|
|
|
8.25
|
%
|
|
|
05/19/20
|
|
|
|
03/10/25
|
|
|
|
—
|
|
|
|
—
|
|
|
|
6
|
|
|
|
|
(1.50%
Floor)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,435
|
|
|
|
7,306
|
|
|
|
7,340
|
|
Total
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
182,786
|
|
|
$
|
176,716
|
|
|
$
|
174,552
|
|
|
(1)
|
Except as noted, all investments provide collateral for the STRS JV Credit Facility.
|
|
(2)
|
The investments bear interest at a rate that may be determined by reference to LIBOR,
which resets monthly, quarterly or semiannually, or CDOR. The one, three and six-month LIBOR were 0.1%, 0.2% and 0.3%, respectively,
as of December 31, 2020. The CDOR was 0.5% as of December 31, 2020.
|
|
(3)
|
The interest rate is the “all-in-rate” including the current index and spread, the fixed
rate, and the PIK interest rate, as the case may be.
|
|
(4)
|
Except as otherwise noted, all of the STRS JV’s portfolio company investments,
which as of the date of the portfolio represented 1,030% of STRS JV’s net assets or 96% of STRS JV’s total assets, are subject
to legal restrictions on sales.
|
|
(5)
|
The fair value of each investment was determined using significant unobservable inputs.
|
|
(6)
|
The investment or a portion of the investment does not provide collateral for the STRS JV Credit Facility.
|
|
(7)
|
Principal is denominated in Canadian dollars.
|
|
(8)
|
In addition to the interest earned based on the stated interest rate of this security, STRS JV is entitled
to receive an additional interest amount of 3.00% on its “last out” tranche of the portfolio company’s senior term debt,
which was previously syndicated into “first out” and “last out” tranches, whereby the “first out”
tranche will have priority as to the “last out” tranche with respect to payments of principal, interest and any other amounts
due thereunder.
|
As of March 31, 2021 and 2020, STRS JV
had no investments on non-accrual status. STRS JV had outstanding commitments to fund investments totaling $14,940, and $4,645 under undrawn
revolver as of March 31, 2021 and March 31, 2020, respectively.
Below is certain summarized
financial information for STRS JV as of March 31, 2021 and December 31, 2020 and for the three month periods ended March 31, 2021
and March 31, 2020 (dollars in thousands):
Selected Balance Sheet Information
|
|
March 31, 2021
|
|
|
December
31, 2020
|
|
Assets:
|
|
|
|
|
|
|
|
|
Investments, at fair value (amortized cost of $187,810 and $176,716, respectively)
|
|
$
|
185,734
|
|
|
$
|
174,552
|
|
Cash and cash equivalents
|
|
|
7,185
|
|
|
|
5,947
|
|
Other assets
|
|
|
767
|
|
|
|
883
|
|
Total assets
|
|
$
|
193,686
|
|
|
$
|
181,382
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Credit facility
|
|
|
99,359
|
|
|
|
94,260
|
|
Note payable to members
|
|
|
74,216
|
|
|
|
68,456
|
|
Interest payable on credit facility
|
|
|
242
|
|
|
|
189
|
|
Interest payable on notes to members
|
|
|
1,197
|
|
|
|
1,136
|
|
Other liabilities
|
|
|
487
|
|
|
|
396
|
|
Total liabilities
|
|
$
|
175,501
|
|
|
$
|
164,437
|
|
Members’ equity
|
|
|
18,185
|
|
|
|
16,945
|
|
Total liabilities and members’ equity
|
|
$
|
193,686
|
|
|
$
|
181,382
|
|
Selected Statement of Operations Information
|
|
Three months ended March
31, 2021
|
|
|
Three months
ended March
31, 2020
|
|
Interest income
|
|
$
|
4,602
|
|
|
$
|
2,377
|
|
Total investment income
|
|
$
|
4,602
|
|
|
$
|
2,377
|
|
Interest expense on credit facility
|
|
|
987
|
|
|
|
764
|
|
Interest expense on notes to members
|
|
|
1,198
|
|
|
|
1,042
|
|
Administrative fee
|
|
|
92
|
|
|
|
59
|
|
Other expenses
|
|
|
117
|
|
|
|
112
|
|
Total expenses
|
|
$
|
2,394
|
|
|
$
|
1,977
|
|
Net investment income
|
|
|
2,208
|
|
|
|
400
|
|
Net realized losses on investments and foreign currency transactions
|
|
|
(67
|
)
|
|
|
(44
|
)
|
Net change in unrealized depreciation on investments and foreign currency translation
|
|
|
(50
|
)
|
|
|
(6,691
|
)
|
Net increase (decrease) in net assets
resulting from operations
|
|
$
|
2,091
|
|
|
$
|
(6,335
|
)
|
NOTE 5 - FAIR VALUE MEASUREMENTS
Accounting standards establish a fair
value hierarchy which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring
fair value. The standard describes three levels of inputs that may be used to measure fair value:
Level 1: Quoted prices (unadjusted) for identical
assets or liabilities in active public markets that the entity has the ability to access as of the measurement date.
Level 2: Significant other observable inputs other
than Level 1 prices such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs
that are observable or can be corroborated by observable market data.
Level 3: Significant unobservable inputs that reflect
a reporting entity’s own assumptions about what market participants would use in pricing an asset or liability.
In certain cases, the inputs used to
measure fair value may fall into different levels of the fair value hierarchy. In such cases, a financial instrument’s categorization
within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The Company’s
assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors
specific to the financial instrument.
A review of the fair value hierarchy classifications
is conducted on a quarterly basis. Changes in the observability of valuation inputs may result in a reclassification for certain financial
assets or liabilities. Reclassifications impacting Level 3 of the fair value hierarchy are reported as transfers in or out of the Level
3 category as of the beginning of the quarter in which the reclassifications occur. During the three months ended March 31, 2021 and year
ended December 31, 2020, there were no changes in the observability of valuation inputs that would have resulted in a reclassification
of assets between any levels.
Fair value for each investment is derived
using a combination of valuation methodologies that, in the judgment of the Investment Committee are most relevant
to such investment, including, without limitation, being based on one or more of the following: (i) market prices obtained from market
makers for which the Investment Committee has deemed there to be enough breadth (number of quotes) and depth (firm bids) to be indicative
of fair value, (ii) the price paid or realized in a completed transaction or binding offer received in an arm’s-length transaction,
(iii) a discounted cash flow analysis, (iv) the guideline public company method, (v) the similar transaction method or (vi) the option
pricing method.
The following table presents investments
(as shown on the consolidated schedule of investments) that were measured at fair value as of March 31, 2021:
|
|
Level
1
|
|
|
Level
2
|
|
|
Level
3
|
|
|
Total
|
|
First
lien secured loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
522,620
|
|
|
|
522,620
|
|
Second
lien secured loans
|
|
|
—
|
|
|
|
—
|
|
|
|
15,028
|
|
|
|
15,028
|
|
Subordinated
Note to STRS JV
|
|
|
—
|
|
|
|
—
|
|
|
|
44,529
|
|
|
|
44,529
|
|
Equity
(excluding STRS JV)
|
|
|
—
|
|
|
|
—
|
|
|
|
23,899
|
|
|
|
23,899
|
|
Equity
in STRS JV(1)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
10,911
|
|
Total
investments
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
606,076
|
|
|
|
616,987
|
|
The Company’s investments in forward
currency contracts, which were valued at $(1) as of March 31, 2021, are characterized in Level 2 of the hierarchy.
The following table presents investments
(as shown on the consolidated schedule of investments) that were measured at fair value as of December 31, 2020:
|
|
|
Level
1
|
|
|
|
Level
2
|
|
|
|
Level
3
|
|
|
|
Total
|
|
First
lien secured loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
589,717
|
|
|
$
|
589,717
|
|
Second
lien secured loans
|
|
|
—
|
|
|
|
—
|
|
|
|
27,059
|
|
|
|
27,059
|
|
Subordinated
Note to STRS JV
|
|
|
—
|
|
|
|
—
|
|
|
|
41,073
|
|
|
|
41,073
|
|
Equity
(excluding STRS JV)
|
|
|
—
|
|
|
|
—
|
|
|
|
22,719
|
|
|
|
22,719
|
|
Equity
in STRS JV(1)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
10,167
|
|
Total
investments
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
680,568
|
|
|
|
690,735
|
|
|
(1)
|
The Company’s equity investment in STRS JV is measured using the net asset value per share as a practical expedient for fair
value, and thus has not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit
reconciliation of the fair value hierarchy to the amounts presented in the consolidated statements of assets and liabilities.
|
The following table presents the changes in investments measured
at fair value using Level 3 inputs for the three months ended March 31, 2021:
|
|
First Lien
|
|
|
Second Lien
|
|
|
|
|
|
Subordinated
|
|
|
|
|
|
|
|
|
|
Secured
|
|
|
Secured
|
|
|
Subordinated
|
|
|
Notes to STRS
|
|
|
|
|
|
Total
|
|
|
|
Loans
|
|
|
Loans
|
|
|
Notes
|
|
|
JV
|
|
|
Equity
|
|
|
Investments
|
|
Fair value, beginning of period
|
|
$
|
588,580
|
|
|
$
|
27,596
|
|
|
$
|
—
|
|
|
$
|
41,073
|
|
|
$
|
23,319
|
|
|
$
|
680,568
|
|
Funding of investments
|
|
|
72,057
|
|
|
|
—
|
|
|
|
331
|
|
|
|
3,456
|
|
|
|
—
|
|
|
|
75,844
|
|
Non-cash interest income
|
|
|
493
|
|
|
|
1
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
494
|
|
Accretion of discount
|
|
|
2,490
|
|
|
|
71
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,561
|
|
Proceeds from paydowns and sales
|
|
|
(139,382
|
)
|
|
|
(12,585
|
)
|
|
|
(331
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(152,088
|
)
|
Realized gains
|
|
|
6,316
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
6,316
|
|
Net unrealized (depreciation) appreciation
|
|
|
(7,943
|
)
|
|
|
(55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
580
|
|
|
|
(7,418
|
)
|
Fair value, end of period
|
|
$
|
522,620
|
|
|
$
|
15,028
|
|
|
$
|
—
|
|
|
$
|
44,529
|
|
|
$
|
23,899
|
|
|
$
|
606,076
|
|
Change in unrealized appreciation (depreciation) on investments still held as of March 31, 2021
|
|
$
|
1,433
|
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
580
|
|
|
$
|
2,014
|
|
The following table presents the changes in investments measured
at fair value using Level 3 inputs for the three months ended March 31, 2020:
|
|
First Lien
|
|
|
Second Lien
|
|
|
Subordinated
|
|
|
|
|
|
|
|
|
|
Secured
|
|
|
Secured
|
|
|
Notes to STRS
|
|
|
|
|
|
Total
|
|
|
|
Loans
|
|
|
Loans
|
|
|
JV
|
|
|
Equity
|
|
|
Investments
|
|
Fair value, beginning of period
|
|
$
|
477,875
|
|
|
$
|
62,155
|
|
|
$
|
26,344
|
|
|
$
|
15,898
|
|
|
$
|
582,272
|
|
Funding of investments
|
|
|
27,640
|
|
|
|
—
|
|
|
|
10,193
|
|
|
|
—
|
|
|
|
37,833
|
|
Non-cash interest income
|
|
|
308
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
308
|
|
Accretion of discount
|
|
|
579
|
|
|
|
87
|
|
|
|
—
|
|
|
|
18
|
|
|
|
684
|
|
Proceeds from paydowns and sales
|
|
|
(37,961
|
)
|
|
|
(7,610
|
)
|
|
|
—
|
|
|
|
(18
|
)
|
|
|
(45,589
|
)
|
Realized gains
|
|
|
354
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
354
|
|
Net unrealized (depreciation) appreciation
|
|
|
(20,804
|
)
|
|
|
(846
|
)
|
|
|
—
|
|
|
|
(2.641
|
)
|
|
|
(24,291
|
)
|
Fair value, end of period
|
|
$
|
447,991
|
|
|
$
|
53,786
|
|
|
$
|
36,537
|
|
|
$
|
13,257
|
|
|
$
|
551,571
|
|
Change in unrealized appreciation (depreciation) on investments still held as of March 31, 2020
|
|
$
|
(20,808
|
)
|
|
$
|
(844
|
)
|
|
$
|
—
|
|
|
$
|
(2,641
|
)
|
|
$
|
(24,293
|
)
|
The
significant unobservable inputs used in the fair value measurement of the Company’s investments are the discount rate, market
quotes and exit multiples. An increase or decrease in the discount rate in isolation would result in significantly lower or higher
fair value measurement, respectively. An increase or decrease in the market quote for an investment would in isolation result in
significantly higher or lower fair value measurement, respectively. An increase or decrease in the exit multiple would in isolation
result in significantly higher or lower fair value measurement, respectively. As the fair value of a debt investment diverges from
par, which would generally be the case for non-accrual loans, the fair value measurement of that investment is more susceptible to
volatility from changes in exit multiples as a significant unobservable input.
Quantitative information about Level 3 fair value measurements
is as follows:
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
|
March 31,
|
|
|
Valuation
|
|
Unobservable
|
|
Range (Weighted
|
Investment Type
|
|
2021
|
|
|
Techniques
|
|
Inputs
|
|
Average)
|
First lien secured loans
|
|
$
|
338,682
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
6.2% – 17.3% (9.4)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
3.0x – 15.0x (7.6x)
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
9,673
|
|
|
Guideline public companies
|
|
LTM EBITDA
|
|
4.0x
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
90,328
|
|
|
Recent transaction
|
|
Transaction price
|
|
97.0 – 99.1 (98.2)
|
|
|
|
83,937
|
|
|
Discounted cash flows,
|
|
Discount rate
|
|
6.9% – 10.4% (8.8)%
|
|
|
|
|
|
|
recent transaction, guideline
|
|
|
|
|
|
|
|
|
|
|
public companies and
|
|
|
|
|
|
|
|
|
|
|
consensus market pricing
|
|
|
|
|
|
|
|
|
|
|
|
|
Market pricing
|
|
100.5
|
|
|
|
|
|
|
|
|
Transaction price
|
|
97.3 – 98.3 (97.9)
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
5.5x – 11.0x (8.8x)
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
|
|
|
|
|
LTM EBITDA
|
|
7.0x
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
$
|
522,620
|
|
|
|
|
|
|
|
Second lien secured loans
|
|
$
|
15,028
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
10.6% – 21.3% (14.0)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
6.5x
|
|
|
|
|
|
|
|
|
multiple
|
|
|
Subordinated Note to STRS JV
|
|
$
|
44,529
|
|
|
Enterprise value
|
|
—
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Equity
|
|
$
|
857
|
|
|
Similar transactions
|
|
LTM EBITDA
|
|
8.0x
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
600
|
|
|
Recent transaction
|
|
Transaction price
|
|
$1.0/s
|
|
|
$
|
1,457
|
|
|
|
|
|
|
|
Common Equity
|
|
$
|
12,006
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
11.7% – 18.0% (13.0)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
8.2x – 8.6x (8.2x)
|
|
|
|
|
|
|
|
|
Multiple
|
|
|
|
|
|
|
|
|
|
|
Discount for lack
|
|
2.0% – 15.0% (4.6)%
|
|
|
|
|
|
|
|
|
of marketability
|
|
|
|
|
|
5,713
|
|
|
Discounted cash flows and
|
|
Discount rate
|
|
20.2%
|
|
|
|
|
|
|
Guideline public companies
|
|
|
|
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
8.0x
|
|
|
|
|
|
|
|
|
Multiple
|
|
|
|
|
|
|
|
|
|
|
LTM EBITDA
|
|
7.3x
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
|
|
|
|
|
Discount for lack
|
|
10.0%
|
|
|
|
|
|
|
|
|
of marketability
|
|
|
|
|
|
164
|
|
|
Similar transactions
|
|
Exit EBITDA
|
|
6.0x
|
|
|
|
|
|
|
|
|
Multiple
|
|
|
|
|
|
|
|
|
|
|
Discount for lack
|
|
15.0%
|
|
|
|
|
|
|
|
|
of marketability
|
|
|
|
|
|
496
|
|
|
Recent transaction
|
|
Transaction price
|
|
$1.0/s
|
|
|
$
|
18,379
|
|
|
|
|
|
|
|
Warrant
|
|
$
|
3,588
|
|
|
Discounted cash flows and
|
|
Discount rate
|
|
17.0% – 24.7% (24.5)%
|
|
|
|
|
|
|
Option-pricing method
|
|
Exit EBITDA
|
|
5.5x – 8.6x (5.6x)
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
|
|
|
|
|
Volatility
|
|
3.3% – 8.5% (3.4)%
|
|
|
|
|
|
|
|
|
Discount for lack
|
|
10.0% – 12.5% (10.1)%
|
|
|
|
|
|
|
|
|
of marketability
|
|
|
|
|
|
475
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
44.6%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
7.0x
|
|
|
|
|
|
|
|
|
multiple
|
|
|
|
|
|
|
|
|
|
|
Discount for lack
|
|
15.0%
|
|
|
|
|
|
|
|
|
of marketability
|
|
|
|
|
$
|
4,063
|
|
|
|
|
|
|
|
Total Level 3 Investments
|
|
$
|
606,076
|
|
|
|
|
|
|
|
Investment Type
|
|
Fair Value at
December 31,
2020
|
|
|
Valuation
Techniques
|
|
Unobservable
Inputs
|
|
Range (Weighted Average)
|
First lien secured loans
|
|
$
|
391,704
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
|
7.2% – 16.6% (9.7)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
multiple
|
|
|
3.0x – 15.0x (7.5x)
|
|
|
|
11,774
|
|
|
Guideline public companies
|
|
LTM EBITDA
multiple
|
|
|
6.3 x
|
|
|
|
142,031
|
|
|
Recent transaction
|
|
Transaction price
|
|
|
97.0 – 99.0 (97.9)
|
|
|
|
20,870
|
|
|
Discounted cash flows,
recent transaction, guideline
public companies and
consensus market pricing
|
|
Discount rate
|
|
|
7.1% – 16.5% (9.6)%
|
|
|
|
|
|
|
|
|
Market pricing
|
|
|
100.2 – 100.6 (100.4)
|
|
|
|
|
|
|
|
|
Transaction price
|
|
|
100.0
|
|
|
|
|
|
|
|
|
Exit EBITDA
multiple
|
|
|
7.0x – 12.0x (9.3x)
|
|
|
|
22,201
|
|
|
Other (asset coverage and
expected repayment)
|
|
—
|
|
|
—
|
|
|
$
|
588,580
|
|
|
|
|
|
|
|
|
Second lien secured loans
|
|
$
|
15,096
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
|
12.1% – 20.9% (14.9)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
multiple
|
|
|
6.5 x
|
|
|
|
12,500
|
|
|
Other (expected repayment)
|
|
—
|
|
|
—
|
|
|
$
|
27,596
|
|
|
|
|
|
|
|
|
Subordinated Note to STRS JV
|
|
$
|
41,073
|
|
|
Enterprise value
|
|
—
|
|
|
—
|
|
|
$
|
41,073
|
|
|
|
|
|
|
|
|
Preferred Equity
|
|
$
|
857
|
|
|
Similar transactions
|
|
LTM EBITDA
multiple
|
|
|
8.0 x
|
|
|
|
600
|
|
|
Recent transaction
|
|
Transaction price
|
|
|
$1.0 /s
|
|
|
$
|
1,457
|
|
|
|
|
|
|
|
|
Common Equity
|
|
$
|
10,816
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
|
12.5% – 19.8% (13.5)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
Multiple
|
|
|
6.7x – 8.6x (7.1x)
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
|
|
|
2.0% – 15.0% (3.8)%
|
|
|
|
6,448
|
|
|
Discounted cash flows
and
Guideline public companies
|
|
Discount rate
|
|
|
15.5 %
|
|
|
|
|
|
|
|
|
Exit EBITDA
Multiple
|
|
|
8.0 x
|
|
|
|
|
|
|
|
|
Discount for lack
of marketability
|
|
|
10.0 %
|
|
|
|
14
|
|
|
Similar transactions
|
|
Exit EBITDA
Multiple
|
|
|
6.0 x
|
|
|
|
|
|
|
|
|
Discount for lack
of marketability
|
|
|
15.0 %
|
|
|
|
496
|
|
|
Recent transaction
|
|
Transaction price
|
|
|
$1.0 /s
|
|
|
$
|
17,774
|
|
|
|
|
|
|
|
|
Warrant
|
|
$
|
3,612
|
|
|
Discounted cash flows and
|
|
Discount rate
|
|
|
19.1% – 24.7% (24.5)%
|
|
|
|
|
|
|
Option-pricing method
|
|
Exit EBITDA
multiple
|
|
|
5.5x – 8.6x (5.6x)
|
|
|
|
|
|
|
|
|
Volatility
|
|
|
3.0% – 7.8% (3.2)%
|
|
|
|
|
|
|
|
|
Discount for lack
of marketability
|
|
|
10.0% – 15.0% (10.2)%
|
|
|
|
476
|
|
|
Recent transaction
|
|
Transaction price
|
|
|
$1.0 /s
|
|
|
$
|
4,088
|
|
|
|
|
|
|
|
|
Total Level 3 Investments
|
|
$
|
680,568
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation of investments may be determined by
weighting various valuation techniques. Significant judgment is required in selecting the assumptions used to determine the fair values
of these investments. The valuation methods selected for a particular investment are based on the circumstances and on the sufficiency
of data available to measure fair value. If more than one valuation method is used to measure fair value, the results are evaluated and
weighted, as appropriate, considering the reasonableness of the range indicated by those results. A fair value measurement is the point
within that range that is most representative of fair value in the circumstances.
The availability of observable inputs
can vary depending on the financial instrument and is affected by a wide variety of factors, including, for example, the nature of the
instrument, whether the instrument is traded on an active exchange or in the secondary market and the current market conditions. To the
extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair
value requires a greater degree of judgment. Accordingly, the degree of judgment exercised by the Company in determining fair value is
greatest for financial instruments classified as Level 3.
The determination of fair value using
the selected methodologies takes into consideration a range of factors including the price at which the investment was acquired, the nature
of the investment, local market conditions, trading values on public and private exchanges for comparable securities, current and projected
operating performance and financing transactions subsequent to the acquisition of the investment, compliance with agreed upon terms and
covenants, and assessment of credit ratings of an underlying borrower. These valuation methodologies involve a significant degree of judgment
to be exercised.
As it relates to
investments which do not have an active public market, there is no single standard for determining the estimated fair value. Valuations
of privately held investments are inherently uncertain, and they may fluctuate over short periods of time and may be based on estimates.
The determination of fair value may differ materially from the values that would have been used if a ready market for these investments
existed.
In some cases, fair value for such investments
is best expressed as a range of values derived utilizing different methodologies from which a single estimate may then be determined.
Consequently, fair value for each investment may be derived using a combination of valuation methodologies that, in the judgment of the
investment professionals, are most relevant to such investment. The selected valuation methodologies for a particular investment are consistently
applied on each measurement date. However, a change in a valuation methodology or its application from one measurement date to another
is possible if the change results in a measurement that is equally or more representative of fair value in the circumstances.
The
following table presents the amortized cost and fair value of the Company’s borrowings as of March 31, 2021 and December 31,
2020. The amortized cost disclosed below excludes debt issuance costs. The fair value of the Credit Facility (as defined in Note 6)
was estimated by discounting remaining payments using applicable market rates or market quotes for similar instruments at the
measurement date, if available. The fair value of the Company’s 6.0% private notes due 2023 (the “2023 Private
Notes”), the 5.375% private notes due 2025 (the “2025 Private Notes”) the 5.375% private notes due 2026 (the
“2026 Private Notes”) and the 5.625% private notes due 2027 (the “2027 Private Notes”) were estimated using
discounted future cash flows to the valuation date. The fair value
of the 6.5% notes due 2025, (the “2025 Public Notes”) was estimated using the trailing 10-day volume weighted average
quoted price as of the valuation date.
|
|
|
|
|
March 31, 2021
|
|
|
December 31, 2020
|
|
|
|
Fair
Value Level
|
|
|
Par
|
|
|
Fair Value
|
|
|
Par
|
|
|
Fair Value
|
|
JPM Credit Facility
|
|
|
3
|
|
|
$
|
214,563
|
|
|
$
|
222,284
|
|
|
$
|
265,246
|
|
|
$
|
272,570
|
|
2023 Private Notes
|
|
|
3
|
|
|
|
30,000
|
|
|
|
31,830
|
|
|
|
30,000
|
|
|
|
32,389
|
|
2025 Private Notes
|
|
|
3
|
|
|
|
40,000
|
|
|
|
41,327
|
|
|
|
40,000
|
|
|
|
41,110
|
|
2026 Private Notes
|
|
|
3
|
|
|
|
10,000
|
|
|
|
10,249
|
|
|
|
10,000
|
|
|
|
10,260
|
|
2027 Private Notes
|
|
|
3
|
|
|
|
10,000
|
|
|
|
10,256
|
|
|
|
10,000
|
|
|
|
10,324
|
|
2025 Public Notes
|
|
|
2
|
|
|
|
35,000
|
|
|
|
36,357
|
|
|
|
35,000
|
|
|
|
36,000
|
|
​
|
|
|
​
|
|
|
$
|
339,563
|
|
|
$
|
352,303
|
|
|
$
|
390,246
|
|
|
$
|
402,653
|
|
NOTE 6 - BORROWINGS
Historically, the 1940 Act has
permitted the Company to issue “senior securities,” including borrowing money from banks or other financial
institutions, only in amounts such that its asset coverage, as defined in the 1940 Act, equals at least 200% after such incurrence
or issuance. In March 2018, the Small Business Credit Availability Act (the “SBCAA”) was enacted into law. The SBCAA,
among other things, amended the 1940 Act to reduce the asset coverage requirements applicable to business development companies from
200% to 150% so long as the business development company meets certain disclosure requirements and obtains certain approvals. At the
Company’s annual meeting of stockholders held on August 1, 2018, the Company’s stockholders approved the reduced asset
coverage ratio from 200% to 150%, such that the Company’s maximum debt-to-equity ratio increased from a prior maximum of 1.0x
(equivalent of $1 of debt outstanding for each $1 of equity) to a maximum of 2.0x (equivalent to $2 of debt outstanding for each $1
of equity). As a result, the Company’s asset coverage requirements applicable to senior securities decreased from 200% to
150%, effective August 2, 2018. As of March 31, 2021, and December 31, 2020, the Company’s asset coverage for borrowed amounts
was 192.6% and 180.2%, respectively.
Total borrowings outstanding and available as of March 31,
2021, were as follows:
|
|
Maturity
|
|
|
Rate
|
|
Face Amount
|
|
|
Available
|
|
JPM Credit Facility
|
|
|
2024
|
|
|
|
L+2.50%
|
|
$
|
214,563
|
|
|
$
|
70,437
|
|
2023 Private Notes
|
|
|
2023
|
|
|
|
6.0%
|
|
|
30,000
|
|
|
|
—
|
|
2025 Private Notes
|
|
|
2025
|
|
|
|
5.375%
|
|
|
40,000
|
|
|
|
—
|
|
2026 Private Notes
|
|
|
2026
|
|
|
|
5.375%
|
|
|
10,000
|
|
|
|
—
|
|
2027 Private Notes
|
|
|
2027
|
|
|
|
5.625%
|
|
|
10,000
|
|
|
|
—
|
|
2025 Public Notes
|
|
|
2025
|
|
|
|
6.5%
|
|
|
35,000
|
|
|
|
—
|
|
Total debt
|
|
|
|
|
|
|
|
|
|
339,563
|
|
|
$
|
70,437
|
|
Debt issuance cost
|
|
|
|
|
|
|
|
|
|
(5,056
|
)
|
|
|
|
|
Total debt net issuance cost
|
|
|
|
|
|
|
|
|
$
|
334,507
|
|
|
|
|
|
Total borrowings outstanding and available as of December
31, 2020, were as follows:
|
|
Maturity
|
|
|
Rate
|
|
|
Face
Amount
|
|
|
Available
|
|
JPM
Credit Facility
|
|
|
2024
|
|
|
|
L+2.50
|
%
|
|
$
|
265,246
|
|
|
$
|
19,754
|
|
2023
Private Notes
|
|
|
2023
|
|
|
|
6.0
|
%
|
|
|
30,000
|
|
|
|
—
|
|
2025
Private Notes
|
|
|
2025
|
|
|
|
5.375
|
%
|
|
|
40,000
|
|
|
|
—
|
|
2026
Private Notes
|
|
|
2026
|
|
|
|
5.375
|
%
|
|
|
10,000
|
|
|
|
—
|
|
2027
Private Notes
|
|
|
2027
|
|
|
|
5.625
|
%
|
|
|
10,000
|
|
|
|
—
|
|
2025
Public Notes
|
|
|
2025
|
|
|
|
6.5
|
%
|
|
|
35,000
|
|
|
|
—
|
|
Total
debt
|
|
|
|
|
|
|
|
|
|
|
390,246
|
|
|
$
|
19,754
|
|
Debt
issuance cost
|
|
|
|
|
|
|
|
|
|
|
(5,366
|
)
|
|
|
|
|
Total
debt net issuance cost
|
|
|
|
|
|
|
|
|
|
$
|
384,880
|
|
|
|
|
|
Credit Facility: On December 23,
2015, WhiteHorse Credit entered into a $200,000 revolving credit and security agreement with JPMorgan Chase Bank, National Association
(“JPMorgan”), as administrative agent and lender (the “Credit Facility”). On June 27, 2016, the Credit Facility
was amended and restated to clarify certain terms. On June 29, 2017, WhiteHorse Credit and JPMorgan again amended and restated the terms
of the Credit Facility to, among other things, (i) extend the maturity date to December 29, 2021, (ii) increase the amount contained
within the accordion feature which allows for the expansion of the borrowing limit from $220,000 to $235,000 and (iii) reduce the interest
rate spread applicable on outstanding borrowings to 2.75%. On May 15, 2018, the terms of the Credit Facility were again amended and restated
to, among other things, permit the financing of certain assets to be held by WhiteHorse California, a wholly owned subsidiary of WhiteHorse
Credit. In November 2018, the Company entered into an amendment to the Credit Facility, which, among other things, allows for a temporary
reduction in the required minimum outstanding borrowings. On November 22, 2019, the terms of the Credit Facility were again amended and
restated to, among other things, (i) extend the maturity date from December 29, 2021 to November 22, 2024; (ii) increase the size
of the facility from $200,000 to $250,000 with an additional $100,000 accordion feature, which allows for the expansion of the borrowing
limit, exercisable in increments of at least $35,000 (the “Commitment”); (iii) reduce the interest rate spread applicable
on outstanding borrowings from 2.75% to 2.50%; (iv) change the minimum borrowing amount from 77.5% to 70.0% of the Commitment; (v) increase
the advance rate from 57% to 60%; and (vi) extend the non-call period from October 29, 2019 to November 22, 2021.
On December 21, 2020, the terms of the Credit Facility were amended
to, among other things, (i) increase the minimum funding amount from $175,000 to $200,000, (ii) increase the size of the facility
from $250,000 to $285,000 and retain an accordion feature which allows for the expansion of the borrowing limit up to $350,000
and (iii) provide for the implementation of certain changes relating to the transition away from LIBOR in the market.
On April 28, 2021, the terms of the Credit Facility were amended
to, among other things, enable WhiteHorse Credit to borrow in British Pounds or Euros.
The Credit Facility bears interest
at LIBOR (or another applicable interest rate benchmark for loans denominated in foreign currencies) plus 2.50% on outstanding
borrowings. The Company is required to pay a non-usage fee which accrues at 0.75% per annum on the average daily unused amount of
the financing commitments to the extent the aggregate principal amount available under the Credit Facility has not been borrowed.
The minimum borrowing requirement is $200,000. In connection with the Credit Facility, WhiteHorse Credit pledged securities with a
fair value of approximately $537,634 as of March 31, 2021 as collateral. The Credit Facility has a final maturity date of November
22, 2024.
Under the Credit Facility, the Company
has made certain customary representations and warranties and is required to comply with various covenants, including leverage restrictions,
reporting requirements and other customary requirements for similar credit facilities. As of March 31, 2021, the Company had $214,563
in outstanding borrowings and $70,437 undrawn under the Credit Facility. Weighted average outstanding borrowings were $224,326 at a weighted
average interest rate of 2.72%, respectively, for the three months ended March 31, 2021. At March 31, 2021, the interest rate in effect
on outstanding borrowings was 2.69%. The Company’s ability to draw down undrawn funds under the Credit Facility is determined by
collateral and portfolio quality requirements stipulated in the credit and security agreement. At March 31, 2021, approximately $70,437
was available to be drawn by the Company based on these requirements.
2023 Private Notes: On July 13,
2018, the Company entered into an agreement (the “2023 Note Purchase Agreement”) to sell in a private offering $30,000 aggregate
principal amount of senior unsecured notes to qualified institutional investors in reliance on Section 4(a)(2) of the Securities
Act of 1933, as amended. Interest on the 2023 Private Notes is payable semiannually on February 7 and August 7, at a fixed,
annual rate of 6.00%. This interest rate is subject to increase (up to 6.50%) in the event that, subject to certain exceptions, the 2023
Private Notes cease to have an investment grade rating. The 2023 Private Notes mature on August 7, 2023, unless redeemed, purchased
or prepaid prior to such date by the Company or its affiliates in accordance with their terms. The 2023 Private Notes are general unsecured
obligations of the Company that rank pari passu with all outstanding and future unsecured unsubordinated indebtedness issued by the
Company. The closing of the transaction occurred on August 7, 2018. The Company used the net proceeds from this offering, together
with cash on hand, to redeem existing debt.
2025 Private Notes: On October 20,
2020, the Company entered into a Note Purchase Agreement (the “2025 Note Purchase Agreement”) governing the issuance of $40,000
in aggregate principal amount of unsecured notes (the “2025 Private Notes”) to qualified institutional investors in a private
placement. The 2025 Private Notes have a fixed interest rate of 5.375% and are due on October 20, 2025, unless redeemed, purchased
or prepaid prior to such date by the Company or its affiliates in accordance with their terms. Interest on the 2025 Private Notes is due
semiannually. This interest rate is subject to increase (up to 6.375%) in the event that, subject to certain exceptions, the 2025 Private
Notes cease to have an investment grade rating. In addition, the Company is obligated to offer to repay the 2025 Private Notes at par
if certain change in control events occur. The 2025 Private Notes are general unsecured obligations of the Company that rank pari passu
with all outstanding and future unsecured unsubordinated indebtedness issued by the Company. The Company used the net proceeds from this
offering to redeem existing debt.
2026 Private Notes: On December 4,
2020, the Company entered into a Note Purchase Agreement (the “2026 Note Purchase Agreement”) governing the issuance of $10,000
in aggregate principal amount of unsecured notes (the “2026 Private Notes”) to qualified institutional investors in a private
placement. The 2026 Private Notes have a fixed interest rate of 5.375% and are due on December 4, 2026, unless redeemed, purchased
or prepaid prior to such date by the Company or its affiliates in accordance with their terms. Interest on the 2026 Private Notes is due
semiannually. This interest rate is subject to increase (up to 6.375%) in the event that, subject to certain exceptions, the 2026 Private
Notes cease to have an investment grade rating. In addition, the Company is obligated to offer to repay the 2026 Private Notes at par
if certain change in control events occur. The 2026 Private Notes are general unsecured obligations of the Company that rank pari passu
with all outstanding and future unsecured unsubordinated indebtedness issued by the Company. The Company used the net proceeds from this
offering to redeem existing debt.
2027 Private Notes: On December 4,
2020, the Company entered into a Note Purchase Agreement (the “2027 Note Purchase Agreement”) governing the issuance of $10,000
in aggregate principal amount of unsecured notes (the “2027 Private Notes”) to qualified institutional investors in a private
placement. The 2027 Private Notes have a fixed interest rate of 5.625% and are due on December 4, 2027, unless redeemed, purchased
or prepaid prior to such date by the Company or its affiliates in accordance with their terms. Interest on the 2027 Private Notes is due
semiannually. This interest rate is subject to increase (up to 6.625%) in the event that, subject to certain exceptions, the 2027 Private
Notes cease to have an investment grade rating. In addition, the Company is obligated to offer to repay the 2027 Private Notes at par
if certain change in control events occur. The 2027 Private Notes are general unsecured obligations of the Company that rank pari passu
with all outstanding and future unsecured unsubordinated indebtedness issued by the Company. The Company used the net proceeds from this
offering to redeem existing debt.
2025 Public Notes: On November 13,
2018, the Company completed a public offering of $35,000 of aggregate principal amount of 2025 Public Notes, the net proceeds of which
were used to fund investments in debt and equity securities and repay outstanding indebtedness under its revolving credit facility. Interest
on the 2025 Public Notes is paid quarterly on February 28, May 31, August 31 and November 30 each year, at an annual
rate of 6.50%. The 2025 Public Notes will mature on November 30, 2025 and may be redeemed in whole or in part at any time, or from
time to time, at the Company’s option on or after November 30, 2021. The 2025 Public Notes are direct unsecured obligations
and are structurally subordinate to borrowings under the Credit Facility and will rank equally in right of payment with the Company’s
other outstanding and future unsecured, unsubordinated indebtedness, including the 2023 and 2025 Private Notes. The 2025 Public Notes
are listed on the Nasdaq Global Select Market under the trading symbol “WHFBZ.”
NOTE 7 - RELATED PARTY TRANSACTIONS
Investment Advisory Agreement:
WhiteHorse Advisers serves as the Company’s investment adviser in accordance with the terms of an investment advisory agreement
(the “Investment Advisory Agreement”). The Company’s board of directors most recently re-approved the Investment Advisory
Agreement on August 5, 2020. On November 1, 2018, at an in-person meeting, the Company’s board of directors approved an amended
and restated Investment Advisory Agreement. The Investment Advisory Agreement was amended and restated to reduce the base management fee
on assets financed using leverage over 200% asset coverage (over 1.0x debt to equity) as further discussed below. Subject to the overall
supervision of the Company’s board of directors, WhiteHorse Advisers manages the day-to-day operations of, and provides investment
management services to, the Company. Under the terms of the Investment Advisory Agreement, WhiteHorse Advisers:
|
•
|
determines the composition of the investment portfolio, the nature and timing of the changes to the portfolio and the manner of implementing
such changes;
|
|
•
|
identifies, evaluates and negotiates the structure of the investments the Company makes (including performing
due diligence on the Company’s prospective portfolio companies); and
|
|
•
|
closes, monitors and administers the investments the Company makes, including the exercise of any voting or consent rights.
|
In addition, WhiteHorse Advisers provides
the Company with access to personnel and an Investment Committee. Under the Investment Advisory Agreement, the Company pays WhiteHorse
Advisers a fee for investment management services consisting of a base management fee and an incentive fee. The Investment Advisory Agreement
may be terminated by either party without penalty upon 60 days’ written notice to the other party.
Base Management Fee
Prior to November 1, 2018, the base management
fee is calculated at an annual rate of 2.0% of the average carrying value of consolidated gross assets, including cash and cash equivalents
and assets purchased with borrowed funds, at the end of the two most recently completed calendar quarters. Effective November 1, 2018,
the base management fee is calculated at an annual rate equal to 2.0% based on the Company’s consolidated gross assets (including
cash and cash equivalents and assets purchased with borrowed funds); provided, however, the base management fee will be calculated at
an annual rate equal to 1.25% of the Company’s consolidated gross assets (including cash and cash equivalents and assets purchased
with borrowed funds), that exceed the product of (i) 200% and (ii) the value of the Company’s total net assets, at the end of the
two most recently completed calendar quarters. Base management fees are payable quarterly in arrears and are appropriately pro-rated for
any partial month or quarter.
During the three months ended March 31,
2021 and 2020, the Company incurred base management fees of $3,344 and $3,092, respectively. WhiteHorse Advisers has agreed to waive that
portion of the base management fee payable with respect to cash and cash equivalents and restricted cash and cash equivalents to which
it would otherwise be entitled under the Investment Advisory Agreement for the fiscal quarters ended September 30, 2018, December 31,
2018, March 31, 2019 and June 30, 2019; and for the fiscal quarter ended September 30, 2019 only to the extent that the determination
of base management fees would otherwise include June 30, 2019 cash and cash equivalents and restricted cash and cash equivalents for the
purpose of calculating the average carrying value of consolidated gross assets.
Performance-based Incentive Fee
The performance-based incentive fee consists
of two components that are independent of each other, except as provided by the Incentive Fee Cap and Deferral Mechanism discussed below.
The calculations of these two components have
been structured to include a fee limitation such that no incentive fee will be paid to the investment adviser for any quarter if, after
such payment, the cumulative incentive fees paid to the investment adviser for the period that includes the current fiscal quarter and
the 11 full preceding fiscal quarters, referred to as the “Incentive Fee Look-back Period,” would exceed 20.0% of the Cumulative
Pre-Incentive Fee Net Return (as defined below) during the Incentive Fee Look-back Period.
Each quarterly incentive fee is subject
to the Incentive Fee Cap (as defined below) and a deferral mechanism through which the investment adviser may recap a portion of such
deferred incentive fees, which is referred to together as the “Incentive Fee Cap and Deferral Mechanism.”
This limitation is accomplished by subjecting
each incentive fee payable to a cap, which is referred to as the “Incentive Fee Cap.” The Incentive Fee Cap in any quarter
is equal to (a) 20.0% of Cumulative Pre-Incentive Fee Net Return during the Incentive Fee Look-back Period less (b) cumulative incentive
fees of any kind paid to the investment adviser during the Incentive Fee Look-back Period. To the extent the Incentive Fee Cap is zero
or a negative value in any quarter, the Company will pay no incentive fee to its investment adviser in that quarter. The Company will
only pay incentive fees to the extent allowed by the Incentive Fee Cap and Deferral Mechanism. To the extent that the payment of incentive
fees is limited by the Incentive Fee Cap and Deferral Mechanism, the payment of such fees may be deferred and paid in subsequent quarters
up to three years after their date of deferment, subject to applicable limitations included in the Investment Advisory Agreement. The
deferral component of the Incentive Fee Cap and Deferral Mechanism may cause incentive fees that accrued during one fiscal quarter to
be paid to the investment adviser at any time during the 11 full fiscal quarters following such initial full fiscal quarter.
The “Cumulative
Pre-Incentive Fee Net Return” refers to the sum of (a) Pre-Incentive Fee Net Investment Income (as defined below) for each period
during the Incentive Fee Look-back Period and (b) the sum of cumulative realized capital gains, cumulative realized capital losses, cumulative
unrealized capital depreciation and cumulative unrealized capital appreciation during the applicable Incentive Fee Look-back Period.
The first component, which is income-based (the
“Income Incentive Fee”), is calculated and payable quarterly in arrears and is determined based on Pre-Incentive Fee Net Investment
Income for the immediately preceding calendar quarter, subject to the Incentive Fee Cap and Deferral Mechanism. For this purpose, “Pre-Incentive
Fee Net Investment Income” means, in each case on a consolidated basis, interest income, distribution income and any other income
(including any other fees (other than fees for providing managerial assistance), such as commitment, origination, structuring, diligence
and consulting fees or other fees received from portfolio companies) accrued during the calendar quarter, minus the Company’s operating
expenses for the quarter (including the base management fee, expenses payable under the administration agreement (the “Administration
Agreement”), any interest expense and any dividends paid on any issued and outstanding preferred stock, but excluding the incentive
fee). Pre-Incentive Fee Net Investment Income does not include any realized capital gains, realized capital losses or unrealized capital
appreciation or depreciation.
The operation of the first component of the incentive fee
for each quarter is as follows:
|
•
|
no incentive fee is payable to the Company’s investment adviser in any calendar quarter in which
Pre-Incentive Fee Net Investment Income does not exceed the “Hurdle Rate” of 1.75% (7.00% annualized);
|
|
•
|
100% of Pre-Incentive Fee Net Investment Income with respect to that portion of such Pre-Incentive Fee
Net Investment Income, if any, that exceeds the Hurdle Rate but is less than 2.1875% in any calendar quarter (8.75% annualized) is payable
to the Company’s investment adviser. This portion of the Company’s Pre-Incentive Fee Net Investment Income (which exceeds
the Hurdle Rate but is less than 2.1875%) is referred to as the “catch-up.” The effect of the catch-up is that, if such Pre-Incentive
Fee Net Investment Income exceeds 2.1875% in any calendar quarter, the investment adviser will receive 20% of such Pre-Incentive Fee Net
Investment Income as if the Hurdle Rate did not apply; and
|
|
•
|
20% of the amount of such Pre-Incentive Fee Net Investment Income, if any, that exceeds 2.1875% in any
calendar quarter (8.75% annualized) is payable to the Company’s investment adviser (once the Hurdle Rate is reached and the catch-up
is achieved, 20% of all Pre-Incentive Fee Net Investment Income).
|
The portion of such
incentive fee that is attributable to deferred interest (such as PIK interest or original issue discount) will be paid to the investment
adviser, together with interest from the date of deferral to the date of payment, only if and to the extent that the Company actually
receives such interest in cash, and any accrual will be reversed if and to the extent such interest is reversed in connection with any
write-off or similar treatment of the investment giving rise to any deferred interest accrual. Any reversal of such amounts would reduce
net income for the quarter by the net amount of the reversal (after taking into account the reversal of incentive fees payable) and would
result in a reduction and possibly elimination of the incentive fees for such quarter.
There is no accumulation
of amounts on the Hurdle Rate from quarter to quarter and, accordingly, there is no clawback of amounts previously paid if subsequent
quarters are below the quarterly Hurdle Rate and there is no delay of payment if prior quarters are below the quarterly Hurdle Rate. Since
the Hurdle Rate is fixed, as interest rates rise, it will be easier for the investment adviser to surpass the Hurdle Rate and receive
an incentive fee based on Pre-Incentive Fee Net Investment Income.
Net investment income used to calculate
this component of the incentive fee is also included in the amount of consolidated gross assets used to calculate the base management
fee. These calculations will be appropriately prorated for any period of less than three months and adjusted for any share issuances or
repurchases during the current quarter.
The second component, the capital gains component
of the incentive fee (the “Capital Gains Incentive Fee”), which is determined and payable in arrears as of the end of each
calendar year (or upon termination of the Investment Advisory Agreement, as of the termination date), commenced on January 1, 2013, and
equals 20% of cumulative aggregate realized capital gains from January 1 through the end of each calendar year, computed net of aggregate
cumulative realized capital losses and aggregate cumulative unrealized capital depreciation through the end of each year (the “Capital
Gains Incentive Fee Base”), less the aggregate amount of any previously paid capital gains incentive fees and subject to the Incentive
Fee Cap and Deferral Mechanism. If such amount is negative, then no capital gains incentive fee will be payable for the year. Additionally,
if the Investment Advisory Agreement is terminated as of a date that is not a calendar year end, the termination date will be treated
as though it were a calendar year end for purposes of calculating and paying the capital gains incentive fee. The capital gains component
of the incentive fee is not subject to any minimum return to stockholders.
In accordance with GAAP, the Company is also required
to include the aggregate unrealized capital appreciation on investments in the calculation and accrue a capital gains incentive fee on
a quarterly basis if such unrealized capital appreciation were realized, even though such unrealized capital appreciation is not permitted
to be considered in calculating the fee actually payable under the Investment Advisory Agreement. If the Capital Gains Incentive Fee Base,
adjusted as required by GAAP to include unrealized capital appreciation, is positive at the end of a reporting period, then GAAP requires
the Company to accrue a Capital Gains Incentive Fee equal to 20% of such amount, less the aggregate amount of any Capital Gains Incentive
Fees previously paid and Capital Gains Incentive Fees accrued under GAAP in all prior periods. If such amount is negative, then there
is no accrual for such period. The resulting accrual under GAAP in a given period may result in either additional expense (if such cumulative
amount is greater than in the prior period) or a reversal of previously recorded expense (if such cumulative amount is less than in the
prior period). There can be no assurance that such unrealized capital appreciation will be realized in the future. For the three months
ended March 31, 2021 and 2020, the Company accrued and reversed previously accrued Capital Gains Incentive Fees of $114 and $626, respectively.
As of March 31, 2021 and December 31, 2020, included in incentive fees payable on the consolidated statements of assets
and liabilities were $2,246 and $2,132, respectively, for cumulative accruals of Capital Gains Incentive Fees under GAAP, including any amounts
payable pursuant to the Investment Advisory Agreement as described above.
Because of the structure
of the incentive fee, it is possible that the Company may pay an incentive fee in a quarter where it incurs a loss subject to the Incentive
Fee Cap and Deferral Mechanism. For example, if the Company receives Pre-Incentive Fee Net Investment Income in excess of the Hurdle Rate,
it will pay the applicable Income Incentive Fee even after incurring a loss in that quarter due to realized and unrealized capital losses.
During the three months ended March 31,
2021 and March 31, 2020, the Company incurred total performance-based incentive fees of $2,042 and $441, respectively.
Administration Agreement: Pursuant to the
Administration Agreement, WhiteHorse Administration furnishes the Company with office facilities, equipment and clerical, bookkeeping
and record keeping services to enable the Company to operate. Under the Administration Agreement, WhiteHorse Administration performs,
or oversees the performance of, the Company’s required administrative services, which include being responsible for the financial
records which the Company is required to maintain and preparing reports to its stockholders and reports filed with the U.S. Securities
and Exchange Commission. In addition, WhiteHorse Administration assists the Company in determining and publishing its net asset value,
oversees the preparation and filing of its tax returns and the printing and dissemination of reports to its stockholders and generally
oversees the payment of the Company’s expenses and the performance of administrative and professional services rendered to the Company
by others. Payments under the Administration Agreement equal an amount based upon the Company’s allocable portion of WhiteHorse
Administration’s overhead in performing its obligations under the Administration Agreement, including rent and the Company’s
allocable portion of the cost of its chief financial officer and chief compliance officer along with their respective staffs. Under the
Administration Agreement, WhiteHorse Administration also provides on the Company’s behalf managerial assistance to those portfolio
companies to which the Company is required to provide such assistance. The Administration Agreement may be terminated by either party
without penalty upon 60 days’ written notice to the other party. To the extent that WhiteHorse Administration outsources any of
its functions, the Company will pay the fees associated with such functions on a direct basis without any profit to WhiteHorse Administration.
Substantially all the Company’s
payments of operating expenses to third parties were made by a related party, for which such third party received reimbursement from the
Company.
During the three months ended March 31,
2021 and March 31, 2020, the Company incurred allocated administrative service fees of $171 and $171, respectively.
Co-investments with Related Parties:
At March 31, 2020 and December 31, 2019, certain officers or employees affiliated with or employed by WhiteHorse Advisers and its related
entities maintained co-investments in the Company’s investments of $0 and $0, respectively.
At March 31, 2021 and December 31, 2020,
certain funds affiliated with WhiteHorse Advisers and its related entities maintained co-investments in the Company’s investments
of $2,960,811 and $3,191,269, respectively.
STRS JV: For the three month period
ended March 31, 2021, the Company sold $28,942 of investments to STRS JV at fair value and recognized $183 of net realized gains. For
the three month period ended March 31, 2020, the Company sold $28,458 of investments to STRS JV at fair value and recognized $35 of net
realized gains.
NOTE 8 - COMMITMENTS AND CONTINGENCIES
Commitments: In the normal course
of business, the Company is party to financial instruments with off-balance-sheet risk to meet the financing needs of its borrowers. These
financial instruments include commitments to extend credit and involve, to varying degrees, elements of credit risk in excess of the amount
recognized in the consolidated statement of assets and liabilities. The Company attempts to limit its credit risk by conducting extensive
due diligence and obtaining collateral where appropriate.
The balance of unfunded commitments to
extend credit was approximately $21,411 and $19,554 as of March 31, 2021 and December 31, 2020, respectively. Commitments to extend credit
consist principally of the unused portions of commitments that obligate the Company to extend credit, such as revolving credit arrangements
or similar transactions. These commitments are often subject to financial or non-financial milestones and other conditions to borrow that
must be achieved before the commitment can be drawn. In addition, the commitments generally have fixed expiration dates or other termination
clauses. Since commitments may expire without being drawn upon, the total commitment amounts do not necessarily represent future cash
requirements. The following table summarizes the Company’s unfunded commitments as of March 31, 2021 and December 31, 2020:
|
|
|
Unfunded Commitment
as of
|
|
|
|
|
March
31,
2021
|
|
|
|
December 31,
2020
|
|
Revolving Loan Commitments:
|
|
|
|
|
|
|
|
|
BBQ Buyer, LLC
|
|
$
|
—
|
|
|
$
|
823
|
|
Claridge Products and Equipment, LLC
|
|
|
702
|
|
|
|
702
|
|
Comniscient Technologies LLC
|
|
|
341
|
|
|
|
341
|
|
Drew Foam Companies Inc
|
|
|
—
|
|
|
|
534
|
|
Epiphany Dermatology
|
|
|
438
|
|
|
|
438
|
|
Geo Logic Systems Ltd.
|
|
|
325
|
|
|
|
321
|
|
IDIG Parent LLC
|
|
|
543
|
|
|
|
—
|
|
ImageOne Industries, LLC
|
|
|
—
|
|
|
|
408
|
|
Inspired Beauty Brands, Inc.
|
|
|
531
|
|
|
|
531
|
|
Ivy Rehab Holdings LLC
|
|
|
545
|
|
|
|
545
|
|
LHS Borrower, LLC
|
|
|
429
|
|
|
|
560
|
|
LINC Systems, LLC
|
|
|
672
|
|
|
|
—
|
|
Lift Brands, Inc.
|
|
|
—
|
|
|
|
—
|
|
Maxitransfers Blocker Corp
|
|
|
1,038
|
|
|
|
—
|
|
Newscycle Solutions, Inc.
|
|
|
156
|
|
|
|
120
|
|
PG Dental New Jersey Parent, LLC
|
|
|
1,167
|
|
|
|
1,166
|
|
RCKC Acquisitions LLC (dba KSM Consulting)
|
|
|
—
|
|
|
|
1,422
|
|
Road Safety Services, Inc.
|
|
|
—
|
|
|
|
875
|
|
SFP Holding, Inc.
|
|
|
125
|
|
|
|
—
|
|
TaxSlayer LLC
|
|
|
774
|
|
|
|
1,548
|
|
Telestream Holdings Corporation
|
|
|
1,323
|
|
|
|
1,324
|
|
|
|
|
9,109
|
|
|
|
11,658
|
|
Delayed Draw Loan Commitments:
|
|
|
|
|
|
|
|
|
Core BTS, Inc.
|
|
|
1,666
|
|
|
|
—
|
|
DCA Investment Holding,LLC
|
|
|
1,740
|
|
|
|
—
|
|
Epiphany Dermatology
|
|
|
3,063
|
|
|
|
3,063
|
|
IDIG Parent LLC
|
|
|
1,410
|
|
|
|
—
|
|
Ivy Rehab Holdings LLC
|
|
|
1,479
|
|
|
|
1,633
|
|
RCKC Acquisitions LLC (dba KSM Consulting)
|
|
|
—
|
|
|
|
3,200
|
|
SFP Holding, Inc.
|
|
|
1,444
|
|
|
|
—
|
|
True Blue Car Wash, LLC
|
|
|
1,500
|
|
|
|
—
|
|
|
|
|
12,302
|
|
|
|
7,896
|
|
Total Unfunded Commitments
|
|
$
|
21,411
|
|
|
$
|
19,554
|
|
As
of March 31, 2021, the Company had commitments to fund equity interests and subordinated notes in STRS JV of $15,000 and $60,000, of which
$3,868 and $15,471 was unfunded, respectively. As of December 31, 2020, the Company had commitments to fund equity interests
and subordinated notes in STRS JV of $15,000 and $60,000, of which $4,732 and $18,927 was unfunded, respectively. The
capital commitments cannot be drawn without an affirmative vote by both the Company’s and STRS Ohio’s representatives on STRS
JV’s board of managers.
Indemnification: In the normal
course of business, the Company enters into contracts and agreements that contain a variety of representations and warranties that provide
general indemnifications. The Company’s maximum exposure under these arrangements is unknown, as this would involve future claims
that may be made against the Company that have not occurred. The Company expects the risk of any future obligation under these indemnifications
to be remote.
Legal
Proceedings: In the normal course of business, the Company, the investment adviser and the administrator may be subject to legal
and regulatory proceedings that are generally incidental to its ongoing operations. While there can be no assurance of the ultimate
disposition of any such proceedings, the Company does not believe any such disposition will have a material adverse effect on the
Company’s consolidated financial statements.
COVID-19
Developments: In addition, during the three months ended March 31, 2021 and subsequent to March 31, 2021, the
current pandemic caused by the novel coronavirus (commonly known as “COVID-19”) has had a significant impact on the U.S.
economy. Certain of the Company’s portfolio companies have been adversely impacted by the effects of the COVID-19 pandemic,
which had an adverse impact on the Company’s results of operations and may continue to have an adverse impact on the
Company’s future net investment income, the fair value of its portfolio investments, its financial condition and the results
of operations and financial condition of the Company’s portfolio companies.
NOTE 9 - STOCKHOLDERS’ EQUITY
The following table summarizes the total
shares issued and proceeds received relating to the issuance of shares of the Company’s common
stock pursuant to at-the-market offerings from time to time (the “ATM Program”) (net offering costs) for the three
months ended March 31, 2021.
|
|
Shares
Issued
|
|
|
Net Proceeds
|
|
|
Average Price Per
Share
|
|
Public offering
|
|
|
37,803
|
|
|
|
590
|
|
|
|
15.61
|
|
NOTE 10 - FINANCIAL HIGHLIGHTS
|
|
|
|
|
|
|
|
The following is a schedule of financial highlights:
|
|
|
|
|
|
Three months ended
|
|
|
|
March
31,
|
|
|
|
2021
|
|
|
2020
|
|
Per
share data:(1)
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
15.23
|
|
|
$
|
15.23
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.37
|
|
|
|
0.30
|
|
Net realized and unrealized (losses)
gains on investments
|
|
|
0.03
|
|
|
|
(1.31
|
)
|
Net increase (decrease) in net assets resulting from
operations
|
|
|
0.40
|
|
|
|
(1.01
|
)
|
Issuance of common stock(5)
|
|
|
0.00
|
|
|
|
-
|
|
Distributions declared from net
investment income
|
|
|
(0.36
|
)
|
|
|
(0.36
|
)
|
Net asset value, end of period
|
|
$
|
15.27
|
|
|
$
|
13.86
|
|
|
|
|
|
|
|
|
|
|
Total
annualized return based on market value(2)
|
|
|
46.49
|
%
|
|
|
(194.35
|
)%
|
Total annualized return based on net asset value
|
|
|
10.49
|
%
|
|
|
(27.92
|
)%
|
Net assets, end of period
|
|
$
|
314,349
|
|
|
$
|
284,705
|
|
Per share market value at end of period
|
|
$
|
15.17
|
|
|
$
|
7.08
|
|
Shares outstanding end of period
|
|
|
20,583,835
|
|
|
|
20,546,032
|
|
Ratios/Supplemental data:(3)
|
|
|
|
|
|
|
|
|
Ratio of expenses before incentive
fees to average net assets(4)
|
|
|
13.32
|
%
|
|
|
10.65
|
%
|
Ratio of incentive fees to average
net assets
|
|
|
2.62
|
%
|
|
|
0.58
|
%
|
Ratio of total expenses to average
net assets(4)
|
|
|
10.70
|
%
|
|
|
11.23
|
%
|
Ratio of net investment income to average net assets(4)
|
|
|
9.76
|
%
|
|
|
8.13
|
%
|
Portfolio turnover ratio
|
|
|
11.07
|
%
|
|
|
4.82
|
%
|
(1)
|
Calculated using the average shares outstanding method.
|
|
|
(2)
|
Total return is based on the change in market price per share during the period and takes into account
distributions, if any, reinvested in accordance with the distribution reinvestment plan.
|
(3)
|
With the exception of the portfolio turnover rate, ratios are reported on an annualized basis.
|
(4)
|
Calculated using total expenses, including income tax provision.
|
(5)
|
The issuance of common stock on a per share basis reflects the incremental net asset value changes as a result of the issuance
of shares of common stock pursuant to the ATM Program. The issuance of common stock at a
price, net of commissions, that is greater than the net asset value per share results in an increase in net asset value per share.
The per share impact of the Company’s issuance of common stock net asset value of less than $0.01 per share during the three
months ended March 31, 2021.
|
Financial highlights are calculated for
each securities class taken as a whole. An individual stockholder’s return and ratios may vary based on the timing of capital transactions.
NOTE 11 - CHANGE IN NET ASSETS RESULTING FROM OPERATIONS PER COMMON
SHARE
The following information sets forth the computation of the
basic and diluted per share net increase in net assets resulting from operations:
|
|
Three months ended
|
|
|
|
March 31,
|
|
|
|
2021
|
|
|
2020
|
|
Net increase in net assets resulting from operations
|
|
$
|
8,169
|
|
|
$
|
(20,956
|
)
|
Weighted average shares outstanding
|
|
|
20,551,565
|
|
|
|
20,546,032
|
|
Basic and diluted per share net increase in net assets resulting from operations
|
|
$
|
0.40
|
|
|
$
|
(1.01
|
)
|
NOTE 12 - SUBSEQUENT EVENTS
The Company has evaluated events that
have occurred after the balance sheet date but before the consolidated financial statements are issued and has determined that there were
no additional subsequent events requiring adjustment or disclosure in the consolidated financial statements.