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)
June 30, 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 (the “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, WhiteHorse Advisers 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”), WhiteHorse Finance Warehouse, LLC (“WhiteHorse Warehouse”), WHF PMA Holdco Blocker,
LLC, WhiteHorse RCKC Holdings, LLC and WhiteHorse Finance Holdings, LLC. 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 to be 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 June 30, 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 June 30, 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 June 30, 2021 and December 31,
2020, the cost of investments for federal income tax purposes was $682,367 and $701,493 resulting in net unrealized depreciation of $11,893
and $10,758, respectively. This is comprised of gross unrealized appreciation of $10,193 and $16,954, and gross unrealized depreciation
of $22,086 and $27,712, on a tax basis, as of June 30, 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” dividend reinvestment plan (“DRIP”) 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 DRIP 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 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 Financial Accounting Standards Board 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 June 30, 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. The Company may choose to renew contracts quarterly
unless otherwise settled by the Company or the counterparty.
The following table provides a breakdown
of our forward currency contracts for the three and six months ended June 30, 2021 and 2020:
|
|
For the three
|
|
|
For the six
|
|
|
|
months ended
|
|
|
months ended
|
|
Risk exposure category
|
|
June 30, 2021
|
|
|
June 30, 2021
|
|
Realized (loss) on forward currency contracts
|
|
$
|
(4
|
)
|
|
$
|
(4
|
)
|
Unrealized appreciation on forward currency contracts
|
|
|
1
|
|
|
|
—
|
|
|
|
For the three
|
|
|
For the six
|
|
|
|
months ended
|
|
|
months ended
|
|
Risk exposure category
|
|
June 30, 2020
|
|
|
June 30, 2020
|
|
Realized (loss) on forward currency contracts
|
|
$
|
(6
|
)
|
|
$
|
—
|
|
Unrealized (depreciation) on forward currency contracts
|
|
|
(2
|
)
|
|
|
(3
|
)
|
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 as of June 30, 2021 were as follows:
|
|
Currency to be
|
|
Currency to be
|
|
|
|
Unrealized
|
|
|
Unrealized
|
|
Counterparty
|
|
sold
|
|
purchased
|
|
Settlement date
|
|
appreciation ($)
|
|
|
depreciation ($)
|
|
Morgan Stanley
|
|
C$
|
86 CAD
|
|
$
|
67 USD
|
|
07/28/2021
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
$
|
—
|
|
|
$
|
—
|
|
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 June 30, 2021.
|
|
As
of June 30, 2021
|
|
Counterparty
($ in thousands)
|
|
Derivative
Assets Subject to Master Netting Agreement
|
|
|
Derivative
Liabilities Subject to Master Netting Agreement (1)
|
|
|
Derivatives
Available for Offset
|
|
|
Non-cash
Collateral Received(2)
|
|
|
Non-cash
Collateral Pledged(2)
|
|
|
Cash
Collateral Received(2)
|
|
|
Cash
Collateral Pledged(2)
|
|
|
Net
Amount of Derivative Assets(3)
|
|
|
Net
Amount of Derivative Liabilities(4)
|
|
Morgan Stanley
|
|
$
|
—
|
|
|
$
|
0
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total
|
|
$
|
—
|
|
|
$
|
0
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
Derivative liabilities subject to master netting agreement amounts
to less than one thousand.
|
(2)
|
In some instances, the actual amount of the collateral received and/or pledged may be more than the amount shown due to overcollateralization.
|
(3)
|
Net amount of derivative assets represents the net amount due from the counterparty to the Company in the event of default.
|
(4)
|
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:
|
|
June 30, 2021
|
|
|
December 31, 2020
|
|
|
|
Amortized Cost
|
|
|
Fair Value
|
|
|
Amortized Cost
|
|
|
Fair Value
|
|
First lien secured loans
|
|
$
|
567,983
|
|
|
$
|
562,837
|
|
|
$
|
588,260
|
|
|
$
|
588,580
|
|
Second lien secured loans
|
|
|
31,348
|
|
|
|
29,714
|
|
|
|
29,371
|
|
|
|
27,596
|
|
Subordinated Note to STRS JV
|
|
|
49,809
|
|
|
|
49,809
|
|
|
|
41,073
|
|
|
|
41,073
|
|
Equity (excluding STRS JV)
|
|
|
17,088
|
|
|
|
16,033
|
|
|
|
26,457
|
|
|
|
23,319
|
|
Equity in STRS JV
|
|
|
12,452
|
|
|
|
12,082
|
|
|
|
10,268
|
|
|
|
10,167
|
|
Total
|
|
$
|
678,680
|
|
|
$
|
670,475
|
|
|
$
|
695,429
|
|
|
$
|
690,735
|
|
The following table shows the portfolio composition by industry
grouping at fair value:
Industry ($ in thousands)
|
|
June 30, 2021
|
|
|
December 31, 2020
|
|
Advertising
|
|
$
|
7,705
|
|
|
|
1.3
|
%
|
|
$
|
15,159
|
|
|
|
2.4
|
%
|
Agricultural & Farm Machinery
|
|
|
—
|
|
|
|
—
|
|
|
|
9,201
|
|
|
|
1.4
|
|
Air Freight & Logistics
|
|
|
5,083
|
|
|
|
0.8
|
|
|
|
5,359
|
|
|
|
0.8
|
|
Application Software
|
|
|
34,052
|
|
|
|
5.6
|
|
|
|
28,397
|
|
|
|
4.4
|
|
Automotive Retail
|
|
|
15,629
|
|
|
|
2.6
|
|
|
|
22,139
|
|
|
|
3.5
|
|
Broadcasting
|
|
|
—
|
|
|
|
—
|
|
|
|
4,844
|
|
|
|
0.8
|
|
Building Products
|
|
|
16,621
|
|
|
|
2.7
|
|
|
|
19,751
|
|
|
|
3.1
|
|
Cable & Satellite
|
|
|
14,250
|
|
|
|
2.3
|
|
|
|
14,250
|
|
|
|
2.2
|
|
Commodity Chemicals
|
|
|
11,299
|
|
|
|
1.9
|
|
|
|
10,818
|
|
|
|
1.7
|
|
Communications Equipment
|
|
|
—
|
|
|
|
—
|
|
|
|
15,770
|
|
|
|
2.5
|
|
Construction & Engineering
|
|
|
9,202
|
|
|
|
1.5
|
|
|
|
26,229
|
|
|
|
4.1
|
|
Construction Materials
|
|
|
7,849
|
|
|
|
1.3
|
|
|
|
7,840
|
|
|
|
1.2
|
|
Consumer Finance
|
|
|
8,666
|
|
|
|
1.4
|
|
|
|
9,682
|
|
|
|
1.5
|
|
Data Processing & Outsourced Services
|
|
|
46,420
|
|
|
|
7.6
|
|
|
|
36,861
|
|
|
|
5.8
|
|
Department Stores
|
|
|
13,538
|
|
|
|
2.2
|
|
|
|
13,272
|
|
|
|
2.1
|
|
Distributors
|
|
|
4,218
|
|
|
|
0.7
|
|
|
|
4,158
|
|
|
|
0.7
|
|
Diversified Chemicals
|
|
|
7,451
|
|
|
|
1.2
|
|
|
|
8,834
|
|
|
|
1.4
|
|
Diversified Support Services
|
|
|
13,338
|
|
|
|
2.2
|
|
|
|
20,241
|
|
|
|
3.2
|
|
Education Services
|
|
|
12,232
|
|
|
|
2.0
|
|
|
|
13,612
|
|
|
|
2.1
|
|
Electronic Equipment & Instruments
|
|
|
6,704
|
|
|
|
1.1
|
|
|
|
—
|
|
|
|
—
|
|
Food Retail
|
|
|
—
|
|
|
|
—
|
|
|
|
21,822
|
|
|
|
3.4
|
|
Health Care Facilities
|
|
|
13,114
|
|
|
|
2.2
|
|
|
|
15,188
|
|
|
|
2.4
|
|
Health Care Services
|
|
|
47,584
|
|
|
|
7.8
|
|
|
|
39,600
|
|
|
|
6.2
|
|
Heavy Electrical Equipment
|
|
|
11,058
|
|
|
|
1.8
|
|
|
|
—
|
|
|
|
—
|
|
Home Furnishings
|
|
|
4,434
|
|
|
|
0.7
|
|
|
|
4,019
|
|
|
|
0.6
|
|
Household Products
|
|
|
11,676
|
|
|
|
1.9
|
|
|
|
—
|
|
|
|
—
|
|
Interactive Media & Services
|
|
|
17,356
|
|
|
|
2.9
|
|
|
|
12,594
|
|
|
|
2.0
|
|
Internet & Direct Marketing Retail
|
|
|
40,567
|
|
|
|
6.7
|
|
|
|
36,556
|
|
|
|
5.7
|
|
Investment Banking & Brokerage
|
|
|
19,171
|
|
|
|
3.2
|
|
|
|
20,046
|
|
|
|
3.1
|
|
IT Consulting & Other Services
|
|
|
14,553
|
|
|
|
2.4
|
|
|
|
15,665
|
|
|
|
2.5
|
|
Leisure Facilities
|
|
|
21,900
|
|
|
|
3.6
|
|
|
|
20,745
|
|
|
|
3.2
|
|
Leisure Products
|
|
|
5,882
|
|
|
|
1.0
|
|
|
|
—
|
|
|
|
—
|
|
Office Services & Supplies
|
|
|
17,168
|
|
|
|
2.8
|
|
|
|
10,489
|
|
|
|
1.6
|
|
Other Diversified Financial Services
|
|
|
3,491
|
|
|
|
0.6
|
|
|
|
3,498
|
|
|
|
0.6
|
|
Packaged Foods & Meats
|
|
|
10,554
|
|
|
|
1.7
|
|
|
|
10,811
|
|
|
|
1.7
|
|
Personal Products
|
|
|
12,250
|
|
|
|
2.0
|
|
|
|
11,270
|
|
|
|
1.8
|
|
Property & Casualty Insurance
|
|
|
5,940
|
|
|
|
1.0
|
|
|
|
6,115
|
|
|
|
1.0
|
|
Research & Consulting Services
|
|
|
24,624
|
|
|
|
4.0
|
|
|
|
32,631
|
|
|
|
5.1
|
|
Restaurants
|
|
|
10,842
|
|
|
|
1.8
|
|
|
|
9,779
|
|
|
|
1.5
|
|
Specialized Consumer Services
|
|
|
7,235
|
|
|
|
1.2
|
|
|
|
6,363
|
|
|
|
1.0
|
|
Specialized Finance(1)
|
|
|
10,938
|
|
|
|
1.8
|
|
|
|
32,707
|
|
|
|
5.1
|
|
Systems Software
|
|
|
4,223
|
|
|
|
0.7
|
|
|
|
7,074
|
|
|
|
1.1
|
|
Technology Hardware, Storage & Peripherals
|
|
|
55,677
|
|
|
|
9.1
|
|
|
|
36,106
|
|
|
|
5.7
|
|
Trading Companies & Distributors
|
|
|
4,090
|
|
|
|
0.7
|
|
|
|
—
|
|
|
|
—
|
|
Total(1)
|
|
$
|
608,584
|
|
|
|
100.0
|
%
|
|
$
|
639,495
|
|
|
|
100.0
|
%
|
(1) Excludes investments in STRS JV.
As of June 30,
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 domiciled in Canada, and Cennox Holdings Limited, which is domiciled in the United Kingdom.
As of June 30, 2021 and December 31, 2020, the weighted average remaining term of the Company’s debt investments, excluding non-accrual
investments, were approximately 3.7 years and 3.6 years, respectively.
As of June 30, 2021 and December 31, 2020, the total fair
value of non-accrual loans were $9,667 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 six months ended June 30, 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
|
|
|
|
June
30,
|
|
Affiliated
Person(1)
|
|
Asset
|
|
|
income
|
|
|
|
2020
|
|
|
|
Purchases
|
|
|
|
Sales
|
|
|
|
Gain
(Loss)
|
|
|
|
(Depreciation)
|
|
|
|
2021
|
|
Non-controlled affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arcole
Holdings Corp Shares
|
|
Equity
|
|
$
|
674
|
|
|
$
|
6,448
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(440
|
)
|
|
$
|
6,008
|
|
NMFC
Senior Loan Program I LLC Units
|
|
Equity
|
|
|
293
|
|
|
|
9,269
|
|
|
|
—
|
|
|
|
(10,000
|
)
|
|
|
(30
|
)
|
|
|
761
|
|
|
|
—
|
|
Total
Non-controlled affiliates
|
|
|
|
$
|
967
|
|
|
$
|
15,717
|
|
|
$
|
—
|
|
|
$
|
(10,000
|
)
|
|
$
|
(30
|
)
|
|
$
|
321
|
|
|
$
|
6,008
|
|
|
|
|
|
|
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
|
|
|
|
June
30,
|
|
Affiliated
Person(1)
|
|
Asset
|
|
|
income
|
|
|
|
2020
|
|
|
|
Purchases
|
|
|
|
Sales
|
|
|
|
Gain
(Loss)
|
|
|
|
(Depreciation)
|
|
|
|
2021
|
|
Controlled
affiliates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WHF
STRS Ohio Senior Loan Fund LLC*
|
|
Subordinated
Note
|
|
$
|
1,457
|
|
|
$
|
41,073
|
|
|
$
|
8,736
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
49,809
|
|
WHF
STRS Ohio Senior Loan Fund LLC*
|
|
Equity
|
|
|
2,699
|
|
|
|
10,167
|
|
|
|
2,184
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(269
|
)
|
|
|
12,082
|
|
Total
Controlled affiliates
|
|
|
|
$
|
4,156
|
|
|
$
|
51,240
|
|
|
$
|
10,920
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(269
|
)
|
|
$
|
61,891
|
|
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:
Affiliated
Person(1)
|
|
Type
of
Asset
|
|
Amount
of
dividends and
interest
included in
income
|
|
|
Beginning
Fair Value at
December 31,
2019
|
|
|
Purchases
|
|
|
Sales
|
|
|
Net
Realized
Gain (Loss)
|
|
|
Net
Change in
Unrealized
Appreciation
(Depreciation)
|
|
|
Ending
Fair
Value at
December 31,
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
|
|
Affiliated
Person(1)
|
|
Type
of
Asset
|
|
Amount
of
dividends and
interest
included in
income
|
|
|
Beginning
Fair Value at
December 31,
2019
|
|
|
Purchases
|
|
|
Sales
|
|
|
Net
Realized
Gain (Loss)
|
|
|
Net
Change in
Unrealized
Appreciation
(Depreciation)
|
|
|
Ending
Fair
Value at
December 31,
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 June 30, 2021 and December 31, 2020, STRS JV had total assets of $219,200 and $181,382, respectively. STRS JV’s portfolio
consisted of debt investments in 25 and 20 portfolio companies as of June 30, 2021 and December 31, 2020, respectively. As of June 30,
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 $16,931 and $14,593, respectively. The five largest investments in portfolio companies by fair
value in STRS JV totaled $65,744 and $60,252 as of June 30, 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 June 30, 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 $12,452 and $10,268 and advances of the subordinated notes of $49,809 and $41,073 as of June 30, 2021 and December
31, 2020, respectively. As of June 30, 2021, the Company had commitments to fund equity interests and subordinated notes in STRS JV of
$15,000 and $60,000, of which $2,548 and $10,191 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. On April 28, 2021, the terms of the STRS JV Credit
Facility were amended and restated to, among other things, enable borrowings in British Pounds or Euros. As of June 30, 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 or CDOR plus 2.55%. The final maturity date of the STRS JV Credit Facility is July 19, 2024.
As of June 30, 2021, STRS JV had $115,885 of outstanding borrowings under the STRS JV Credit Facility. At June 30, 2021, the
effective interest rate on the STRS JV Credit Facility was 2.72% per annum.
Below
is a listing of STRS JV’s individual investments as of June 30, 2021:
Issuer
|
|
Investment
Type(1)
|
|
Floor
|
|
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
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
10/21/19
|
|
10/11/24
|
|
|
8,708
|
|
|
$
|
8,594
|
|
|
$
|
8,708
|
|
SmartSign Holdings LLC
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
10/21/19
|
|
10/11/24
|
|
|
—
|
|
|
|
—
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,708
|
|
|
|
8,594
|
|
|
|
8,721
|
|
Application Software
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TaxSlayer, LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
01/21/21
|
|
12/31/26
|
|
|
6,779
|
|
|
|
6,653
|
|
|
|
6,654
|
|
TaxSlayer, LLC
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
01/21/21
|
|
12/31/26
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,779
|
|
|
|
6,653
|
|
|
|
6,654
|
|
Building Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Drew Foam Companies Inc
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
11/09/20
|
|
11/05/25
|
|
|
7,244
|
|
|
|
7,117
|
|
|
|
7,118
|
|
LHS Borrower, LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.75%
|
|
7.75%
|
|
10/09/20
|
|
09/30/25
|
|
|
9,567
|
|
|
|
9,383
|
|
|
|
9,496
|
|
LHS Borrower, LLC
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.75%
|
|
7.75%
|
|
10/09/20
|
|
09/30/25
|
|
|
—
|
|
|
|
—
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,811
|
|
|
|
16,500
|
|
|
|
16,621
|
|
Construction & Engineering
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road Safety Services, Inc.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
5.75%
|
|
6.75%
|
|
12/31/19
|
|
09/18/23
|
|
|
6,458
|
|
|
|
6,347
|
|
|
|
6,428
|
|
Road Safety Services, Inc.
|
|
First Lien Secured Revolving
Loan
|
|
3.25%
|
|
P+
4.75%
|
|
8.00%
|
|
12/31/19
|
|
09/18/23
|
|
|
93
|
|
|
|
92
|
|
|
|
106
|
|
SFP Holding, Inc.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.25%
|
|
7.25%
|
|
12/13/19
|
|
09/01/23
|
|
|
6,455
|
|
|
|
6,454
|
|
|
|
6,391
|
|
SFP Holding, Inc.
|
|
First Lien Secured Delayed
Draw Loan
|
|
1.00%
|
|
L+
6.25%
|
|
7.25%
|
|
12/13/19
|
|
09/01/23
|
|
|
9,214
|
|
|
|
9,177
|
|
|
|
9,122
|
|
SFP Holding, Inc.
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.25%
|
|
7.25%
|
|
12/13/19
|
|
09/01/23
|
|
|
—
|
|
|
|
—
|
|
|
|
(7
|
)
|
Tensar Corp.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.75%
|
|
7.75%
|
|
11/24/20
|
|
08/20/25
|
|
|
6,965
|
|
|
|
6,813
|
|
|
|
6,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,185
|
|
|
|
28,883
|
|
|
|
28,970
|
|
Data Processing &
Outsourced Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Geo Logic Systems Ltd.(7)
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
C+
6.50%
|
|
7.50%
|
|
01/22/20
|
|
12/19/24
|
|
|
14,280
|
|
|
|
10,779
|
|
|
|
11,289
|
|
Geo Logic Systems Ltd.(7)
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
C+
6.50%
|
|
7.50%
|
|
01/22/20
|
|
12/19/24
|
|
|
—
|
|
|
|
—
|
|
|
|
(5
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,280
|
|
|
|
10,779
|
|
|
|
11,284
|
|
Diversified Support Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quest Events, LLC(9)
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00% (3.87% Cash + 3.13% PIK)
|
|
07/19/19
|
|
12/28/24
|
|
|
11,969
|
|
|
|
11,831
|
|
|
|
9,731
|
|
Quest Events, LLC(9)
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
07/19/19
|
|
12/28/24
|
|
|
935
|
|
|
|
923
|
|
|
|
760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,904
|
|
|
|
12,754
|
|
|
|
10,491
|
|
Electronic Equipment
& Instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LMG Holdings, Inc.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
06/28/21
|
|
04/30/26
|
|
|
6,836
|
|
|
|
6,699
|
|
|
|
6,703
|
|
LMG Holdings, Inc.
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
06/28/21
|
|
04/30/26
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,836
|
|
|
|
6,699
|
|
|
|
6,703
|
|
Environmental & Facilities
Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WH Lessor Corp.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
01/22/20
|
|
12/26/24
|
|
|
6,228
|
|
|
|
6,137
|
|
|
|
6,227
|
|
WH Lessor Corp.
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
01/22/20
|
|
12/26/24
|
|
|
—
|
|
|
|
—
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,228
|
|
|
|
6,137
|
|
|
|
6,234
|
|
Human Resource &
Employment Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pluto Acquisition Topco,
LLC(8)
|
|
First Lien Secured Term
Loan
|
|
1.50%
|
|
L+
6.31%
|
|
7.81%
|
|
05/19/20
|
|
01/31/24
|
|
|
11,223
|
|
|
|
11,105
|
|
|
|
11,223
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,223
|
|
|
|
11,105
|
|
|
|
11,223
|
|
Industrial Machinery
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FR Flow Control CB LLC
|
|
First Lien Secured Term
Loan B
|
|
1.00%
|
|
L+
5.50%
|
|
6.50%
|
|
07/19/19
|
|
06/28/26
|
|
|
6,815
|
|
|
|
6,717
|
|
|
|
6,815
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,815
|
|
|
|
6,717
|
|
|
|
6,815
|
|
Internet & Direct
Marketing Retail
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Marlin DTC-LS Midco 2, LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
07/19/19
|
|
07/01/25
|
|
|
15,420
|
|
|
|
15,203
|
|
|
|
15,385
|
|
Marlin DTC-LS Midco 2, LLC
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
07/19/19
|
|
07/01/25
|
|
|
—
|
|
|
|
—
|
|
|
|
13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,420
|
|
|
|
15,203
|
|
|
|
15,398
|
|
Investment Banking &
Brokerage
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOUR Intermediate Holdings,
LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
05/19/20
|
|
05/15/25
|
|
|
7,648
|
|
|
|
7,536
|
|
|
|
7,648
|
|
TOUR Intermediate Holdings,
LLC
|
|
First Lien Secured Delayed
Draw Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
05/19/20
|
|
05/15/25
|
|
|
2,690
|
|
|
|
2,671
|
|
|
|
2,690
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,338
|
|
|
|
10,207
|
|
|
|
10,338
|
|
IT Consulting & Other
Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cennox, Inc.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
06/28/21
|
|
05/04/26
|
|
|
4,046
|
|
|
|
3,965
|
|
|
|
3,967
|
|
Cennox, Inc.
|
|
First Lien Secured Delayed
Draw Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
06/28/21
|
|
05/04/26
|
|
|
8,060
|
|
|
|
7,907
|
|
|
|
7,910
|
|
Cennox, Inc.
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.00%
|
|
7.00%
|
|
06/28/21
|
|
05/04/26
|
|
|
—
|
|
|
|
—
|
|
|
|
1
|
|
KSM Consulting LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.25%
|
|
7.25%
|
|
01/27/21
|
|
12/31/26
|
|
|
11,321
|
|
|
|
11,111
|
|
|
|
11,113
|
|
KSM Consulting LLC(6)
|
|
First Lien Secured Delayed
Draw Loan
|
|
1.00%
|
|
L+
6.25%
|
|
7.25%
|
|
01/27/21
|
|
12/31/26
|
|
|
—
|
|
|
|
—
|
|
|
|
(29
|
)
|
KSM Consulting LLC(6)
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.25%
|
|
7.25%
|
|
01/27/21
|
|
12/31/26
|
|
|
604
|
|
|
|
593
|
|
|
|
594
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,031
|
|
|
|
23,576
|
|
|
|
23,556
|
|
Packaged Foods &
Meats
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mikawaya Holdings, LLC
|
|
First Lien Secured Term
Loan
|
|
1.25%
|
|
L+
5.50%
|
|
6.75%
|
|
02/18/20
|
|
01/29/25
|
|
|
3,042
|
|
|
|
2,997
|
|
|
|
3,042
|
|
Poultry Holdings, LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
7.25%
|
|
8.25% (6.75% Cash + 1.50% PIK)
|
|
10/21/19
|
|
06/28/25
|
|
|
7,808
|
|
|
|
7,700
|
|
|
|
7,028
|
|
Stella & Chewy's
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
12/29/20
|
|
12/16/25
|
|
|
5,313
|
|
|
|
5,217
|
|
|
|
5,218
|
|
Stella & Chewy's(6)
|
|
First Lien Secured Delayed
Draw Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
12/29/20
|
|
12/16/25
|
|
|
1,905
|
|
|
|
1,887
|
|
|
|
1,860
|
|
Westrock Coffee Company,
LLC
|
|
First Lien Secured Term
Loan
|
|
1.50%
|
|
L+
9.00%
|
|
10.50% (9.75% Cash + 0.75% PIK)
|
|
03/20/20
|
|
02/28/25
|
|
|
9,191
|
|
|
|
9,107
|
|
|
|
9,007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,259
|
|
|
|
26,908
|
|
|
|
26,155
|
|
Personal Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sunless, Inc.
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50% (7.00% Cash + 0.50% PIK)
|
|
10/21/19
|
|
08/13/24
|
|
|
4,816
|
|
|
|
4,722
|
|
|
|
4,695
|
|
Sunless, Inc.
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
10/21/19
|
|
08/13/24
|
|
|
—
|
|
|
|
—
|
|
|
|
(16
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,816
|
|
|
|
4,722
|
|
|
|
4,679
|
|
Systems Software
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IDIG Parent LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
06/25/21
|
|
12/15/26
|
|
|
4,262
|
|
|
|
4,220
|
|
|
|
4,223
|
|
IDIG Parent LLC
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
06/25/21
|
|
12/15/26
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,262
|
|
|
|
4,220
|
|
|
|
4,223
|
|
Technology Hardware,
Storage & Peripherals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PS Lightwave, Inc.
|
|
First Lien Secured Term
Loan
|
|
1.50%
|
|
L+
6.75%
|
|
8.25%
|
|
05/19/20
|
|
03/10/25
|
|
|
7,385
|
|
|
|
7,271
|
|
|
|
7,311
|
|
PS Lightwave, Inc.(6)
|
|
First Lien Secured Delayed
Draw Loan
|
|
1.50%
|
|
L+
6.75%
|
|
8.25%
|
|
05/19/20
|
|
03/10/25
|
|
|
—
|
|
|
|
—
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,385
|
|
|
|
7,271
|
|
|
|
7,319
|
|
Trading Companies &
Distributors
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LINC Systems, LLC
|
|
First Lien Secured Term
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
06/22/21
|
|
02/24/26
|
|
|
4,167
|
|
|
|
4,084
|
|
|
|
4,090
|
|
LINC Systems, LLC
|
|
First Lien Secured Revolving
Loan
|
|
1.00%
|
|
L+
6.50%
|
|
7.50%
|
|
06/22/21
|
|
02/24/26
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,167
|
|
|
|
4,084
|
|
|
|
4,090
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
217,447
|
|
|
$
|
211,012
|
|
|
$
|
209,474
|
|
|
(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%, 0.1% and 0.2%, respectively, as of June 30, 2021. The
CDOR was 0.4% as of June 30, 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 1,040% 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 in the 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)
|
|
|
7.00
|
%
|
|
07/19/19
|
|
06/28/26
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Term Loan C
|
|
L+ 6.00%
|
|
|
|
|
|
|
|
|
|
|
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)
|
|
|
6.50
|
%
|
|
07/19/19
|
|
07/01/25
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Revolving Loan
|
|
L+ 5.50%
|
|
|
|
|
|
|
|
|
|
|
—
|
|
|
|
—
|
|
|
|
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)
|
|
|
8.00
|
%
|
|
05/19/20
|
|
05/15/25
|
|
|
|
|
|
|
|
|
|
|
|
|
First Lien
Secured Delayed Draw Loan
|
|
L+ 7.00%
|
|
|
|
|
|
|
|
|
|
|
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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 in the 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 June 30, 2021 and 2020, STRS JV
had no investments on non-accrual status. STRS JV had outstanding commitments to fund investments totaling $17,545, and $10,862 under
delayed draw term loan commitments and undrawn revolvers as of June 30, 2021 and December 31, 2020, respectively.
Below is certain summarized financial information
for STRS JV as of June 30, 2021 and December 31, 2020 and for the three and six month periods ended June 30, 2021 and June 30, 2020 (dollars
in thousands):
Selected Balance Sheet Information
|
|
June 30, 2021
|
|
|
December 31, 2020
|
|
Assets:
|
|
|
|
|
|
|
|
|
Investments, at fair value (amortized cost of $211,012 and $176,716, respectively)
|
|
$
|
209,474
|
|
|
$
|
174,552
|
|
Cash and cash equivalents
|
|
|
8,930
|
|
|
|
5,947
|
|
Other assets
|
|
|
796
|
|
|
|
883
|
|
Total assets
|
|
$
|
219,200
|
|
|
$
|
181,382
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Credit facility
|
|
$
|
114,130
|
|
|
$
|
94,260
|
|
Note payable to members
|
|
|
83,016
|
|
|
|
68,456
|
|
Interest payable on credit facility
|
|
|
222
|
|
|
|
189
|
|
Interest payable on notes to members
|
|
|
1,228
|
|
|
|
1,136
|
|
Other liabilities
|
|
|
470
|
|
|
|
396
|
|
Total liabilities
|
|
$
|
199,066
|
|
|
$
|
164,437
|
|
Members’ equity
|
|
|
20,134
|
|
|
|
16,945
|
|
Total liabilities and members’ equity
|
|
$
|
219,200
|
|
|
$
|
181,382
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
|
|
|
Six Months Ended
|
|
Selected Statement of Operations Information
|
|
June 30, 2021
|
|
|
June 30, 2020
|
|
|
June 30, 2021
|
|
|
June 30, 2020
|
|
Interest and fee income
|
|
$
|
3,980
|
|
|
$
|
3,170
|
|
|
$
|
8,582
|
|
|
$
|
5,547
|
|
Total investment income
|
|
$
|
3,980
|
|
|
$
|
3,170
|
|
|
$
|
8,582
|
|
|
$
|
5,547
|
|
Interest expense on credit facility
|
|
|
971
|
|
|
|
837
|
|
|
|
1,958
|
|
|
|
1,601
|
|
Interest expense on notes to members
|
|
|
1,228
|
|
|
|
1,146
|
|
|
|
2,426
|
|
|
|
2,188
|
|
Administrative fee
|
|
|
103
|
|
|
|
77
|
|
|
|
195
|
|
|
|
136
|
|
Other expenses
|
|
|
112
|
|
|
|
162
|
|
|
|
229
|
|
|
|
274
|
|
Total expenses
|
|
$
|
2,414
|
|
|
$
|
2,222
|
|
|
$
|
4,808
|
|
|
$
|
4,199
|
|
Net investment income
|
|
|
1,566
|
|
|
|
948
|
|
|
|
3,774
|
|
|
|
1,348
|
|
Net realized gains/(losses) on investments and foreign currency transactions
|
|
|
8
|
|
|
|
28
|
|
|
|
(59
|
)
|
|
|
(16
|
)
|
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation
|
|
|
384
|
|
|
|
1,278
|
|
|
|
334
|
|
|
|
(5,413
|
)
|
Net increase/(decrease) in net assets resulting from operations
|
|
$
|
1,958
|
|
|
$
|
2,254
|
|
|
$
|
4,049
|
|
|
$
|
(4,081
|
)
|
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 six months ended
June 30, 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 June 30, 2021:
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
First lien secured loans
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
562,837
|
|
|
$
|
562,837
|
|
Second lien secured loans
|
|
|
—
|
|
|
|
—
|
|
|
|
29,714
|
|
|
|
29,714
|
|
Subordinated Note to STRS JV
|
|
|
—
|
|
|
|
—
|
|
|
|
49,809
|
|
|
|
49,809
|
|
Equity (excluding STRS JV)
|
|
|
—
|
|
|
|
—
|
|
|
|
16,033
|
|
|
|
16,033
|
|
Equity in STRS JV(1)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
12,082
|
|
Total investments
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
658,393
|
|
|
$
|
670,475
|
|
The Company’s investments in forward currency contracts,
which were valued at $0 as of June 30, 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 June 30, 2021:
|
|
First Lien
|
|
|
Second Lien
|
|
|
|
|
|
Subordinated
|
|
|
|
|
|
|
|
|
|
Secured
|
|
|
Secured
|
|
|
Subordinated
|
|
|
Notes to STRS
|
|
|
|
|
|
Total
|
|
|
|
Loans
|
|
|
Loans
|
|
|
Notes
|
|
|
JV
|
|
|
Equity
|
|
|
Investments
|
|
Fair value, beginning of period
|
|
$
|
522,620
|
|
|
$
|
15,028
|
|
|
$
|
—
|
|
|
$
|
44,529
|
|
|
$
|
23,899
|
|
|
$
|
606,076
|
|
Funding of investments
|
|
|
103,195
|
|
|
|
14,550
|
|
|
|
—
|
|
|
|
5,280
|
|
|
|
660
|
|
|
|
123,685
|
|
Non-cash interest income
|
|
|
191
|
|
|
|
1
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
192
|
|
Accretion of discount
|
|
|
944
|
|
|
|
25
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(25
|
)
|
|
|
944
|
|
Proceeds from paydowns and sales
|
|
|
(66,590
|
)
|
|
|
(85
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(9,442
|
)
|
|
|
(76,117
|
)
|
Realized gains (losses)
|
|
|
8
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(563
|
)
|
|
|
(555
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
2,469
|
|
|
|
195
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,504
|
|
|
|
4,168
|
|
Fair value, end of period
|
|
$
|
562,837
|
|
|
$
|
29,714
|
|
|
$
|
—
|
|
|
$
|
49,809
|
|
|
$
|
16,033
|
|
|
$
|
658,393
|
|
Change in unrealized appreciation (depreciation) on investments still held as of June 30, 2021
|
|
$
|
2,601
|
|
|
$
|
194
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,043
|
|
|
$
|
3,838
|
|
The
following table presents the changes in investments measured at fair value using Level 3 inputs for the six months ended June 30, 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
|
|
|
175,252
|
|
|
|
14,550
|
|
|
|
331
|
|
|
|
8,736
|
|
|
|
660
|
|
|
|
199,529
|
|
Non-cash interest income
|
|
|
684
|
|
|
|
2
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
686
|
|
Accretion of discount
|
|
|
3,434
|
|
|
|
96
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(25
|
)
|
|
|
3,505
|
|
Proceeds from paydowns and sales
|
|
|
(207,816
|
)
|
|
|
(12,670
|
)
|
|
|
(331
|
)
|
|
|
—
|
|
|
|
(9,442
|
)
|
|
|
(230,259
|
)
|
Realized gains (losses)
|
|
|
8,168
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(563
|
)
|
|
|
7,605
|
|
Net unrealized (depreciation) appreciation
|
|
|
(5,465
|
)
|
|
|
140
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,084
|
|
|
|
(3,241
|
)
|
Fair value, end of period
|
|
$
|
562,837
|
|
|
$
|
29,714
|
|
|
$
|
—
|
|
|
$
|
49,809
|
|
|
$
|
16,033
|
|
|
$
|
658,393
|
|
Change in unrealized appreciation (depreciation)on investments still held as of June 30, 2021
|
|
$
|
3,901
|
|
|
$
|
195
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,323
|
|
|
$
|
5,419
|
|
The following table presents the changes in investments measured
at fair value using Level 3 inputs for the three months ended June 30, 2020:
|
|
First Lien
|
|
|
Second Lien
|
|
|
Subordinated
|
|
|
|
|
|
|
|
|
|
Secured
|
|
|
Secured
|
|
|
Notes to STRS
|
|
|
|
|
|
Total
|
|
|
|
Loans
|
|
|
Loans
|
|
|
JV
|
|
|
Equity
|
|
|
Investments
|
|
Fair value, beginning of period
|
|
$
|
447,991
|
|
|
$
|
53,786
|
|
|
$
|
36,537
|
|
|
$
|
13,257
|
|
|
$
|
551,571
|
|
Funding of investments
|
|
|
36,497
|
|
|
|
—
|
|
|
|
4,536
|
|
|
|
2,808
|
|
|
|
43,841
|
|
Non-cash interest income
|
|
|
175
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
175
|
|
Accretion of discount
|
|
|
750
|
|
|
|
27
|
|
|
|
—
|
|
|
|
—
|
|
|
|
777
|
|
Proceeds from paydowns and sales
|
|
|
(48,597
|
)
|
|
|
(24,794
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(73,391
|
)
|
Realized losses
|
|
|
(77
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(77
|
)
|
Net unrealized appreciation (depreciation)
|
|
|
16,982
|
|
|
|
949
|
|
|
|
—
|
|
|
|
(1,219
|
)
|
|
|
16,712
|
|
Fair value, end of period
|
|
$
|
453,721
|
|
|
$
|
29,968
|
|
|
$
|
41,073
|
|
|
$
|
14,846
|
|
|
$
|
539,608
|
|
Change in unrealized appreciation (depreciation) on investments still held as of June 30, 2020
|
|
$
|
14,736
|
|
|
$
|
453
|
|
|
$
|
—
|
|
|
$
|
(1,219
|
)
|
|
$
|
13,970
|
|
The following table presents the changes in investments measured
at fair value using Level 3 inputs for the six months ended June 30, 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
|
|
|
64,137
|
|
|
|
—
|
|
|
|
14,729
|
|
|
|
2,808
|
|
|
|
81,674
|
|
Non-cash interest income
|
|
|
483
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
483
|
|
Accretion of discount
|
|
|
1,329
|
|
|
|
114
|
|
|
|
—
|
|
|
|
18
|
|
|
|
1,461
|
|
Proceeds from paydowns and sales
|
|
|
(86,558
|
)
|
|
|
(32,404
|
)
|
|
|
—
|
|
|
|
(18
|
)
|
|
|
(118,980
|
)
|
Realized gains
|
|
|
277
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
277
|
|
Net unrealized (depreciation) appreciation
|
|
|
(3,822
|
)
|
|
|
103
|
|
|
|
—
|
|
|
|
(3,860
|
)
|
|
|
(7,579
|
)
|
Fair value, end of period
|
|
$
|
453,721
|
|
|
$
|
29,968
|
|
|
$
|
41,073
|
|
|
$
|
14,846
|
|
|
$
|
539,608
|
|
Change in unrealized appreciation (depreciation) on investments still held as of June 30, 2020
|
|
$
|
(3,825
|
)
|
|
$
|
105
|
|
|
$
|
—
|
|
|
$
|
(3,860
|
)
|
|
$
|
(7,580
|
)
|
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:
Investment Type
|
|
Fair Value as of
June 30, 2021
|
|
|
Valuation
Techniques
|
|
Unobservable
Inputs
|
|
Range
(Weighted Average)
|
First lien secured loans
|
|
$
|
315,581
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
4.7% – 18.6% (8.7%)
|
|
|
|
|
|
|
|
|
Exit EBITDA multiple
|
|
5.5x – 15.0x (8.0x)
|
|
|
|
9,667
|
|
|
Guideline public companies
|
|
LTM EBITDA multiple
|
|
4.0x
|
|
|
|
137,716
|
|
|
Recent transaction
|
|
Transaction price
|
|
97.2 – 99.3 (98.3)
|
|
|
|
89,031
|
|
|
Discounted cash flows, recent transaction, guideline public companies and consensus market pricing
|
|
Discount rate
|
|
6.3% – 16.6% (9.3%)
|
|
|
|
|
|
|
|
|
Market pricing
|
|
100.5
|
|
|
|
|
|
|
|
|
Transaction price
|
|
92.9 – 98.5 (97.7)
|
|
|
|
|
|
|
|
|
Exit EBITDA multiple
|
|
6.0x – 14.1x (8.7x)
|
|
|
|
10,842
|
|
|
Expected repayment
|
|
|
|
|
|
|
$
|
562,837
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Second lien secured loans
|
|
$
|
15,156
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
10.4% – 19.7% (13.3%)
|
|
|
|
|
|
|
|
|
Exit EBITDA multiple
|
|
6.5x
|
|
|
|
14,558
|
|
|
Recent transaction
|
|
Transaction price
|
|
97.1
|
|
|
$
|
29,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Subordinated Note to STRS JV
|
|
$
|
49,809
|
|
|
Enterprise value
|
|
–
|
|
–
|
|
|
$
|
49,809
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Equity
|
|
$
|
905
|
|
|
Similar transactions
|
|
LTM EBITDA multiple
|
|
8.0x
|
|
|
|
840
|
|
|
Discounted cash flows and Guideline public companies
|
|
Discount rate
|
|
16.0%
|
|
|
|
|
|
|
|
|
Exit EBITDA Multiple
|
|
8.3x
|
|
|
|
|
|
|
|
|
LTM EBITDA Multiple
|
|
11.8x
|
|
|
|
|
|
|
|
|
NFY EBITDA Multiple
|
|
8.6x
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
|
|
12.5%
|
|
|
$
|
1,745
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Equity
|
|
$
|
2,912
|
|
|
Discounted cash flows
|
|
Discount rate
|
|
15.8% – 20.4% (16.1%)
|
|
|
|
|
|
|
|
|
Exit EBITDA Multiple
|
|
8.2x – 8.6x (8.2x)
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
|
|
10.0% – 15.0% (10.3%)
|
|
|
|
6,008
|
|
|
Discounted cash flows and Guideline public companies
|
|
Discount rate
|
|
20.0%
|
|
|
|
|
|
|
|
|
Exit EBITDA Multiple
|
|
10.0x
|
|
|
|
|
|
|
|
|
NFY EBITDA Multiple
|
|
9.4x
|
|
|
|
164
|
|
|
Similar transactions
|
|
LTM EBITDA Multiple
|
|
6.0x
|
|
|
|
1,156
|
|
|
Recent transaction
|
|
Transaction price
|
|
$1.00 per share
|
|
|
$
|
10,240
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrant
|
|
$
|
4,048
|
|
|
Discounted cash flows, Recent transaction and Option-pricing method
|
|
Discount rate
|
|
20.4% – 41.9% (28.8%)
|
|
|
|
|
|
|
|
|
Exit EBITDA multiple
|
|
5.5x – 8.6x (5.7x)
|
|
|
|
|
|
|
|
|
Volatility
|
|
3.3% – 7.1% (3.4%)
|
|
|
|
|
|
|
|
|
Discount for lack of marketability
|
|
10.0% – 15.0% (10.7%)
|
|
|
|
|
|
|
|
|
Transaction price
|
|
$0.67 per share
|
|
|
$
|
4,048
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Level 3 Investments
|
|
$
|
658,393
|
|
|
|
|
|
|
|
|
|
Fair Value at
|
|
|
|
|
|
|
|
|
|
December 31,
|
|
|
Valuation
|
|
Unobservable
|
|
|
Investment Type
|
|
2020
|
|
|
Techniques
|
|
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)
|
|
|
|
|
|
|
Guideline public companies
|
|
LTM EBITDA
|
|
|
|
|
|
11,774
|
|
|
|
|
multiple
|
|
6.3 x
|
|
|
|
142,031
|
|
|
Recent transaction
|
|
Transaction price
|
|
97.0 – 99.0 (97.9)
|
|
|
|
|
|
|
Discounted cash flows,
|
|
|
|
|
|
|
|
|
|
|
recent transaction, guideline
|
|
|
|
|
|
|
|
|
|
|
public companies and
|
|
|
|
|
|
|
|
20,870
|
|
|
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)
|
|
|
|
|
|
|
Other (asset coverage and
|
|
|
|
|
|
|
|
22,201
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LTM EBITDA
|
|
|
Preferred Equity
|
|
$
|
857
|
|
|
Similar transactions
|
|
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)%
|
|
|
|
|
|
|
Discounted cash flows and
|
|
|
|
|
|
|
|
6,448
|
|
|
Guideline public companies
|
|
Discount rate
|
|
15.5%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
|
|
|
|
|
|
|
|
|
Multiple
|
|
8.0 x
|
|
|
|
|
|
|
|
|
Discount for lack
|
|
|
|
|
|
|
|
|
|
|
of marketability
|
|
10.0%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
|
|
|
|
14
|
|
|
Similar transactions
|
|
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)%
|
|
|
|
|
|
|
|
|
Exit EBITDA
|
|
|
|
|
|
|
|
|
Option-pricing method
|
|
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 par
and fair value of the Company’s borrowings as of June 30, 2021 and December 31, 2020. 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.
|
|
Fair
|
|
|
June 30, 2021
|
|
|
December 31, 2020
|
|
|
|
Value Level
|
|
|
Par
|
|
|
Fair Value
|
|
|
Par
|
|
|
Fair Value
|
|
JPM Credit Facility
|
|
3
|
|
|
$
|
238,470
|
|
|
$
|
248,537
|
|
|
$
|
265,246
|
|
|
$
|
272,570
|
|
2023 Private Notes
|
|
3
|
|
|
|
30,000
|
|
|
|
32,234
|
|
|
|
30,000
|
|
|
|
32,389
|
|
2025 Private Notes
|
|
3
|
|
|
|
40,000
|
|
|
|
41,135
|
|
|
|
40,000
|
|
|
|
41,110
|
|
2026 Private Notes
|
|
3
|
|
|
|
10,000
|
|
|
|
10,236
|
|
|
|
10,000
|
|
|
|
10,260
|
|
2027 Private Notes
|
|
3
|
|
|
|
10,000
|
|
|
|
10,268
|
|
|
|
10,000
|
|
|
|
10,324
|
|
2025 Public Notes
|
|
2
|
|
|
|
35,000
|
|
|
|
35,824
|
|
|
|
35,000
|
|
|
|
36,000
|
|
|
|
|
|
|
$
|
363,470
|
|
|
$
|
378,234
|
|
|
$
|
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 June 30, 2021, and December 31, 2020, the
Company’s asset coverage for borrowed amounts was 187.9% and 180.2%, respectively.
Total borrowings outstanding and available as of June 30,
2021, were as follows:
|
|
Maturity
|
|
|
Rate
|
|
|
Face Amount
|
|
|
Available
|
|
JPM Credit Facility
|
|
2024
|
|
|
|
L+2.50
|
%
|
|
$
|
238,470
|
|
|
$
|
46,530
|
|
2023 Private Notes
|
|
2023
|
|
|
|
6.00
|
%
|
|
|
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
|
|
|
|
6.50
|
%
|
|
|
35,000
|
|
|
|
—
|
|
Total debt
|
|
|
|
|
|
|
|
|
|
363,470
|
|
|
$
|
46,530
|
|
Debt issuance cost
|
|
|
|
|
|
|
|
|
|
(4,751
|
)
|
|
|
|
|
Total debt net issuance cost
|
|
|
|
|
|
|
|
|
$
|
358,719
|
|
|
|
|
|
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
|
|
|
|
6.00
|
%
|
|
|
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
|
|
|
|
6.50
|
%
|
|
|
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)
(iii) 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 and restated to, among other things, enable WhiteHorse Credit to borrow in British Pounds or Euros.
The Credit Facility bears interest
at LIBOR plus 2.50% on outstanding USD denominated borrowings. The Credit Facility bears interest at EURIBOR, for EUR denominated borrowings,
CDOR for CAD denominated borrowings, SONIA, for GBP denominated, plus a spread on outstanding borrowings of 2.50%, 2.55% and 2.55%, respectively.
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 $592,542
as of June 30, 2021 as collateral. The Credit Facility has a 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 June 30, 2021, the Company had $238,470 in outstanding
borrowings and $46,530 undrawn under the Credit Facility. Weighted average outstanding borrowings were $228,236 and $226,291 at a weighted
average interest rate of 2.68% and 2.70%, respectively, for the three and six months ended June 30, 2021. As of June 30, 2021, the interest
rate in effect on outstanding borrowings was 2.63%. 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. As of June 30, 2021, $46,530
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, 2025, 2026 and 2027 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 4, 2021. 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 and six months ended June 30,
2021, the Company incurred base management fees of $3,357 and $6,701, respectively. During the three and six months ended June 30, 2020,
the Company incurred base management fees of $2,950 and $6,042, respectively.
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 and six
months ended June 30, 2021, the Company accrued Capital Gains Incentive Fees of $882 and $996, respectively. For the three and six months
ended June 30, 2020, the Company reversed previously accrued Capital Gains Incentive Fees of $0 and $626, respectively. As of June 30,
2021 and December 31, 2020, included in incentive fees payable on the consolidated statements of assets and liabilities were $3,128 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 and six months ended June 30,
2021, the Company incurred total performance-based incentive fees of $2,628 and $4,670, respectively. During the three and six months
ended June 30, 2020, the Company incurred total performance-based incentive fees of $1,311 and $1,752, respectively. As of June 30, 2021
and December 31, 2020, incentive fees payable on the consolidated statements of assets and liabilities were $6,994 and $6,117, 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 and six months ended June 30,
2021, the Company incurred allocated administrative service fees of $170 and $341, respectively. During the three and six months ended
June 30, 2020, the Company incurred allocated administrative service fees of $171 and $342, respectively.
Co-investments with Related Parties:
As of June 30, 2021 and December 31, 2020, no officers or employees affiliated with or employed by WhiteHorse Advisers and its related
entities maintained any co-investments in the Company’s investments.
As of June 30, 2021 and December 31,
2020, certain funds affiliated with WhiteHorse Advisers and its related entities maintained co-investments in the Company’s investments
of $3,341,047 and $3,191,269, respectively.
STRS JV: For the three and
six months ended June 30, 2021, the Company sold $31,751and $60,694 of investments to STRS JV at fair value. For the three and six months
ended June 30, 2021, the Company recognized net realized losses of $26 and net realized gains of $157, respectively. For the three and
six months ended June 30, 2020, the Company sold $36,604 and $65,062 of investments to STRS JV at fair value and recognized net realized
losses of $37 and $3, respectively.
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 $23,843 and $19,554 as of June 30, 2021 and December 31, 2020, respectively. Commitments to extend credit consist
principally of the unused portions of commitments that obligate the Company to extend credit, such as revolving credit arrangements or
similar transactions. These commitments are often subject to financial or non-financial milestones and other conditions to borrow that
must be achieved before the commitment can be drawn. In addition, the commitments generally have fixed expiration dates or other termination
clauses. Since commitments may expire without being drawn upon, the total commitment amounts do not necessarily represent future cash
requirements. The following table summarizes the Company’s unfunded commitments as of June 30, 2021 and December 31, 2020:
Unfunded Commitment ($ in thousands)
|
|
As of June 30, 2021
|
|
|
As of December 31, 2020
|
|
Revolving Loan Commitments:
|
|
|
|
|
|
|
|
|
BBQ Buyer, LLC
|
|
$
|
—
|
|
|
$
|
823
|
|
Cennox Holdings Limited
|
|
|
597
|
|
|
|
—
|
|
Claridge Products and Equipment, LLC
|
|
|
702
|
|
|
|
702
|
|
Comniscient Technologies LLC
|
|
|
—
|
|
|
|
341
|
|
Drew Foam Companies Inc
|
|
|
—
|
|
|
|
534
|
|
Epiphany Dermatology
|
|
|
438
|
|
|
|
438
|
|
Geo Logic Systems Ltd.
|
|
|
329
|
|
|
|
321
|
|
IDIG Parent LLC
|
|
|
271
|
|
|
|
—
|
|
ImageOne Industries, LLC
|
|
|
—
|
|
|
|
408
|
|
Inspired Beauty Brands, Inc.
|
|
|
531
|
|
|
|
531
|
|
Ivy Rehab Holdings LLC
|
|
|
545
|
|
|
|
545
|
|
LHS Borrower, LLC
|
|
|
560
|
|
|
|
560
|
|
LINC Systems, LLC
|
|
|
336
|
|
|
|
—
|
|
LMG Holdings, Inc.
|
|
|
414
|
|
|
|
—
|
|
Maxitransfers Blocker Corp
|
|
|
1,038
|
|
|
|
—
|
|
Newscycle Solutions, Inc.
|
|
|
132
|
|
|
|
120
|
|
The Kyjen Company, LLC (dba Outward Hound)
|
|
|
554
|
|
|
|
—
|
|
PG Dental New Jersey Parent, LLC
|
|
|
1,167
|
|
|
|
1,166
|
|
Power Plant Services
|
|
|
3,030
|
|
|
|
—
|
|
RCKC Acquisitions LLC (dba KSM Consulting)
|
|
|
—
|
|
|
|
1,422
|
|
Road Safety Services, Inc.
|
|
|
—
|
|
|
|
875
|
|
TaxSlayer LLC
|
|
|
774
|
|
|
|
1,548
|
|
Telestream Holdings Corporation
|
|
|
1,324
|
|
|
|
1,324
|
|
|
|
|
12,742
|
|
|
|
11,658
|
|
|
|
|
|
|
|
|
|
|
Delayed Draw Loan Commitments:
|
|
|
|
|
|
|
|
|
DCA Investment Holding,LLC
|
|
|
1,740
|
|
|
|
—
|
|
Epiphany Dermatology
|
|
|
3,063
|
|
|
|
3,063
|
|
IDIG Parent LLC
|
|
|
1,411
|
|
|
|
—
|
|
Ivy Rehab Holdings LLC
|
|
|
1,256
|
|
|
|
1,633
|
|
PlayMonster LLC
|
|
|
3,091
|
|
|
|
—
|
|
RCKC Acquisitions LLC (dba KSM Consulting)
|
|
|
—
|
|
|
|
3,200
|
|
True Blue Car Wash, LLC
|
|
|
540
|
|
|
|
—
|
|
|
|
|
11,101
|
|
|
|
7,896
|
|
Total
|
|
$
|
23,843
|
|
|
$
|
19,554
|
|
As of June 30, 2021,
the Company had commitments to fund equity interests and subordinated notes in STRS JV of $15,000 and $60,000, of which $2,548 and $10,191
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 and six months ended June 30, 2021 and subsequent to June 30, 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 from the DRIP and pursuant
to at-the-market offerings from time to time (the “ATM Program”) (net offering costs) for the six months ended June 30, 2021.
|
|
Six months ended June 30,
|
|
($ in thousands except share and per share amounts)
|
|
2021
|
|
|
2020
|
|
Shares Issued from ATM Program
|
|
|
162,055
|
|
|
|
—
|
|
Shares Issued from DRIP
|
|
|
14,509
|
|
|
|
—
|
|
Net Proceeds
|
|
$
|
2,709
|
|
|
$
|
—
|
|
Average Price Per Share
|
|
$
|
15.34
|
|
|
$
|
—
|
|
NOTE 10 - FINANCIAL HIGHLIGHTS
The
following is a schedule of financial highlights:
|
|
Six months ended June 30,
|
|
|
|
2021
|
|
|
2020
|
|
Per
share data:(1)
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
|
$
|
15.23
|
|
|
$
|
15.23
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
|
0.66
|
|
|
|
0.55
|
|
Net realized and unrealized gains(losses) on investments
|
|
|
0.24
|
|
|
|
(0.46
|
)
|
Net increase in net assets resulting from operations
|
|
|
0.90
|
|
|
|
0.09
|
|
Issuance of common stock(5)
|
|
|
—
|
|
|
|
—
|
|
Distributions declared from net investment income
|
|
|
(0.71
|
)
|
|
|
(0.71
|
)
|
Net asset value, end of period
|
|
$
|
15.42
|
|
|
$
|
14.61
|
|
Total annualized return based on market value(2)
|
|
|
19.11
|
%
|
|
|
(49.91
|
)%
|
Total annualized return based on net asset value
|
|
|
11.85
|
%
|
|
|
1.25
|
%
|
Net assets, end of period
|
|
$
|
319,621
|
|
|
$
|
300,222
|
|
Per share market value at end of period
|
|
$
|
14.90
|
|
|
$
|
10.30
|
|
Shares outstanding end of period
|
|
|
20,722,596
|
|
|
|
20,546,032
|
|
Ratios/Supplemental data:(3)
|
|
|
|
|
|
|
|
|
Ratio of expenses before incentive fees to average net assets(4)
|
|
|
13.71
|
%
|
|
|
10.28
|
%
|
Ratio of incentive fees to average net assets
|
|
|
2.96
|
%
|
|
|
1.18
|
%
|
Ratio of total expenses to average net assets(4)
|
|
|
10.75
|
%
|
|
|
11.46
|
%
|
Ratio of net investment income to average net assets(4)
|
|
|
8.69
|
%
|
|
|
7.64
|
%
|
Portfolio turnover ratio
|
|
|
28.93
|
%
|
|
|
11.85
|
%
|
|
(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 DRIP.
|
|
(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 and DRIP. 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 impact of the Company’s issuance of common stock on net asset value was less than $0.01 per share during the six months
ended June 30, 2021.
|
Financial highlights are calculated
for each securities class taken as a whole. An individual stockholder’s return and ratios may vary based on the timing of capital
transactions.
NOTE 11 - CHANGE IN NET ASSETS RESULTING FROM OPERATIONS PER COMMON SHARE
The following information sets forth the computation of the basic and diluted per share net increase in net assets resulting from operations:
|
|
Three months ended June 30,
|
|
|
Six months ended June 30,
|
|
($ in thousands except share and per share amounts)
|
|
2021
|
|
|
2020
|
|
|
2021
|
|
|
2020
|
|
Net increase in net assets resulting from operations
|
|
$
|
10,511
|
|
|
$
|
22,811
|
|
|
$
|
18,680
|
|
|
$
|
1,855
|
|
Weighted average shares outstanding
|
|
|
20,626,340
|
|
|
|
20,546,032
|
|
|
|
20,589,159
|
|
|
|
20,546,032
|
|
Basic and diluted per share net increase in net assets resulting from operations
|
|
$
|
0.51
|
|
|
$
|
1.11
|
|
|
$
|
0.91
|
|
|
$
|
0.09
|
|
NOTE 12 - SUBSEQUENT EVENTS
Management has evaluated events that
have occurred after the balance sheet date but before the consolidated financial statements are issued and other than the items discussed
below, the Company has determined that there were no additional subsequent events requiring adjustment or disclosure in the consolidated
financial statements.
On July 15, 2021, the terms of the Credit Facility
were amended to, among other things, allow WhiteHorse Credit to reduce the applicable margins for interest rates to 2.35%, extend the
non-call period from November 22, 2021 to November 22, 2022, extend the end of the reinvestment period from November 22, 2023 to November
22, 2024 and extend the scheduled termination date from November 22, 2024, to November 22, 2025.
On July 15, 2021, the terms of the STRS JV Credit
Facility were amended to, among other things, allow STRS JV to reduce the applicable margins for interest rates to 2.35%, extend the non-call
period from January 19, 2022 to January 19, 2023, extend the end of the reinvestment period from July 19, 2022 to July 19, 2023 and extend
the scheduled termination date from July 19, 2024, to July 19, 2025.