UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM ________ TO ________. |
Commission File Number:
(Exact Name of Registrant as Specified in its Charter)
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer |
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(Address of principal executive offices) |
(Zip Code) |
Registrant’s telephone number, including area code: (
Securities registered pursuant to Section 12(b) of the Act:
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Not applicable |
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Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer |
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Accelerated filer |
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Smaller reporting company |
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Emerging growth company |
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If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No
As of August 12, 2024, the registrant had
Silver Point Specialty Lending Fund
Table of Contents
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Page |
PART I |
1 |
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Item 1 |
1 |
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1 |
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Consolidated Statements of Operations for the three and six months ended June 30, 2024 and 2023 (Unaudited) |
2 |
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Consolidated Statements of Changes in Net Assets for the three and six months ended June 30, 2024 and 2023 (Unaudited) |
3 |
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Consolidated Statements of Cash Flows for the six months ended June 30, 2024 and 2023 (Unaudited) |
4 |
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Consolidated Schedules of Investments as of June 30, 2024 (Unaudited) and December 31, 2023 |
5 |
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Notes to Consolidated Financial Statements (Unaudited) |
22 |
Item 2 |
Management’s Discussion and Analysis of Financial Condition and Results of Operations |
43 |
Item 3 |
54 |
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Item 4 |
55 |
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PART II |
56 |
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Item 1 |
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Item 1A |
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Item 2 |
Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities |
56 |
Item 3 |
56 |
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Item 4 |
56 |
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Item 5 |
56 |
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Item 6 |
56 |
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57 |
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PART I— CONSOLIDATED FINANCIAL INFORMATION
Item 1. Consolidated Financial Statements
Silver Point Specialty Lending Fund
Consolidated Statements of Assets and Liabilities
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June 30, |
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December 31, |
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(Unaudited) |
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Assets |
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Investments, at fair value: |
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Non-controlled, non-affiliated investments (amortized cost of $ |
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$ |
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$ |
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Non-controlled, affiliated investments (amortized cost of $ |
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Controlled investments (amortized cost of $ |
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Total investments, at fair value (amortized cost of $ |
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Cash and cash equivalents |
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Restricted cash and cash equivalents |
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Foreign cash held at banks (cost of $ |
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Receivable for unsettled transactions |
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Interest receivable |
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Incentive compensation clawback (Note 3) |
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Foreign currency forward contracts, at fair value |
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Interest rate swaps, at fair value |
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Due from broker |
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Deferred financing costs |
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Other assets |
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Total assets |
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$ |
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$ |
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Liabilities |
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Debt (Note 6) (net of unamortized debt issuance costs of $ |
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Payable for unsettled transactions |
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Interest payable |
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Management fees payable to an affiliate (Note 3) |
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Income incentive compensation payable to an affiliate (Note 3) |
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Interest rate swaps, at fair value |
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Foreign currency forward contracts, at fair value |
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Payable to Trustees |
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Other liabilities |
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Accrued expenses |
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Total liabilities |
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Net assets |
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Common shares $ |
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Paid-in-capital in excess of par |
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Distributable earnings (losses) |
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Total net assets |
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Total liabilities and net assets |
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$ |
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$ |
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Net asset value per share |
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$ |
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$ |
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The accompanying notes are an integral part of these consolidated financial statements.
1
Silver Point Specialty Lending Fund
Consolidated Statements of Operations
(Unaudited)
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For the Three Months Ended June 30, |
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For the Six Months Ended June 30, |
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2024 |
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2023 |
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2024 |
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2023 |
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Investment income: |
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Non-controlled/non-affiliated investments: |
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Interest income (excluding payment-in-kind ("PIK") interest) |
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$ |
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$ |
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$ |
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$ |
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PIK interest income |
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Other income |
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Non-controlled/affiliated investments: |
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Interest income (excluding PIK interest) |
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PIK interest income |
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Controlled investments: |
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Interest income (excluding PIK interest) |
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PIK interest income |
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Total investment income |
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Expenses: |
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Interest and financing expenses |
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Management fee (Note 3) |
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Income incentive compensation (Note 3) |
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Incentive compensation clawback (Note 3) |
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Professional fees |
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Administration fees |
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Participation expenses |
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Trustee fees |
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Offering costs write off |
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Other general and administrative expenses |
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Total expenses |
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Net investment income |
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Net gain (loss): |
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Net realized gain (loss): |
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Non-controlled/non-affiliated investments |
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( |
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Controlled investments |
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( |
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Foreign currency transactions |
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( |
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( |
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Foreign currency forward contracts |
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( |
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Interest rate swaps |
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Total net realized gain (loss) |
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( |
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Net change in unrealized appreciation (depreciation): |
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Non-controlled/non-affiliated investments |
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( |
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( |
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( |
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Non-controlled/affiliated investments |
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( |
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Controlled investments |
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( |
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( |
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( |
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( |
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Translation of assets and liabilities in foreign currencies |
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( |
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( |
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Foreign currency forward contracts |
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( |
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Interest rate swaps |
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Total net change in unrealized appreciation (depreciation) |
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( |
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Net gain (loss) |
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( |
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( |
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( |
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Net increase (decrease) in net assets resulting from operations |
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$ |
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$ |
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$ |
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$ |
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Net investment income per share (Basic and Dilutive) |
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$ |
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$ |
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$ |
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$ |
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Earnings per share (Basic and Dilutive) |
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$ |
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$ |
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$ |
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$ |
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Weighted average shares outstanding |
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The accompanying notes are an integral part of these consolidated financial statements.
2
Silver Point Specialty Lending Fund
Consolidated Statements of Changes in Net Assets
(Unaudited)
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For the Three Months Ended June 30, |
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For the Six Months Ended June 30, |
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2024 |
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2023 |
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2024 |
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2023 |
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Net increase (decrease) in net assets resulting from operations: |
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Net investment income |
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$ |
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$ |
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$ |
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$ |
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Net realized gain (loss) |
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( |
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( |
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Net change in unrealized appreciation (depreciation) |
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( |
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( |
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( |
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Net increase (decrease) in net assets resulting from operations |
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Distributions (Note 9) |
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Dividends |
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( |
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( |
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( |
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( |
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Net decrease in net assets resulting from distributions |
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( |
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( |
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( |
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Net increase (decrease) in net assets |
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( |
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Net assets, beginning of period |
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Net assets, end of period |
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$ |
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$ |
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$ |
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$ |
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The accompanying notes are an integral part of these consolidated financial statements.
3
Silver Point Specialty Lending Fund
Consolidated Statements of Cash Flows
(Unaudited)
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For the Six Months Ended June 30, |
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2024 |
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2023 |
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Cash flows from operating activities |
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Net increase (decrease) in net assets resulting from operations |
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$ |
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$ |
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Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities |
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Net amortization/accretion of premium/discount on investments |
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( |
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Amortization of deferred financing costs and debt issuance costs |
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Offering costs write off |
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Payments for purchase of investments |
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( |
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Proceeds from sales, paydowns and resolutions of investments |
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Interest paid-in-kind |
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( |
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Participation expenses paid-in-kind |
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Net realized (gain) loss from investments |
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( |
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Net change in unrealized (appreciation) depreciation from investments |
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( |
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Net change in unrealized (appreciation) depreciation from foreign currency forward contracts |
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( |
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( |
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Net change in unrealized (appreciation) depreciation from interest rate swaps |
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( |
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Net change in unrealized (appreciation) depreciation on effective interest rate swaps and hedged item |
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Net (increase) decrease in operating assets and increase (decrease) in operating liabilities |
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Receivable for unsettled transactions |
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( |
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Interest receivable |
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Incentive compensation clawback |
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( |
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Due from broker |
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( |
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Other assets |
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( |
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( |
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Payable for unsettled transactions |
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( |
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( |
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Interest payable |
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Management fees payable to an affiliate |
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Income incentive compensation payable to an affiliate |
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( |
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Interest rate swaps accrual, net |
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Payable to Trustees |
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Accrued expenses |
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( |
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Net cash provided by (used in) operating activities |
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( |
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Cash flows from financing activities |
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Proceeds from debt borrowings |
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Principal debt payments |
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( |
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( |
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Payment of deferred financing costs and debt issuance costs |
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( |
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Dividends paid |
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( |
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( |
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Net cash provided by (used in) financing activities |
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( |
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( |
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Net increase (decrease) |
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( |
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( |
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Beginning of period balance(1) |
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End of period balance(1) |
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$ |
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$ |
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(1) Including Cash and cash equivalents, foreign cash held at banks and restricted cash and cash equivalents |
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Supplemental cash flow information |
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Cash paid during the period for interest |
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$ |
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$ |
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Cash paid during the period for income taxes |
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$ |
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$ |
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June 30, |
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2024 |
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2023 |
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Cash and cash equivalents |
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$ |
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$ |
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Foreign cash held at banks |
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Restricted cash and cash equivalents |
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Total |
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$ |
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$ |
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The accompanying notes are an integral part of these consolidated financial statements.
4
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio Company(1) |
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Instrument |
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Industry |
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Rate(2) |
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Interest |
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Original |
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Maturity |
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Par Amount(3) |
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Cost / |
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Fair Value |
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% of |
Non-Controlled/Non-Affiliated Investments |
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1st Lien/Secured Loans |
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United States of America |
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1440 Foods Topco, LLC⁽⁷⁾⁽⁹⁾ |
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1st Lien Term Loan |
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Consumer Products |
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S+ |
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|
|
$ |
|
$ |
|
$ |
|
|||||
48Forty Solutions LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
A Stucki TopCo Holdings LLC & Intermediate Holdings LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
A Stucki TopCo Holdings LLC & Intermediate Holdings LLC⁽⁶⁾⁽⁷⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
( |
|
|
||||||
Accela Inc/US⁽⁷⁾ |
|
1st Lien Term Loan |
|
Government Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Accela Inc/US⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Government Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Accurate Background LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Advanced Integration Technology LP⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Aerospace & Defense |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Healthcare Equipment & Supplies |
|
P+ |
|
|
|
|
|
|
|
|
|||||||
Allium Buyer LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allium Buyer LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Business Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Amerijet Holdings Inc⁽⁷⁾⁽²¹⁾ |
|
1st Lien Term Loan |
|
Airline & Airport Services |
|
|
|
|
|
|
|
|
|
||||||||
Amerijet Holdings Inc⁽⁷⁾⁽²⁹⁾ |
|
1st Lien Term Loan |
|
Airline & Airport Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Amerijet Holdings Inc⁽⁷⁾⁽²⁹⁾ |
|
1st Lien Revolver |
|
Airline & Airport Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Ampler Restaurant Group⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Restaurants |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Aprimo Inc⁽⁷⁾⁽⁸⁾⁽²⁷⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Arctic Glacier Group Holdings⁽⁷⁾⁽⁸⁾⁽⁹⁾⁽¹⁸⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Arctic Glacier Group Holdings⁽⁷⁾⁽¹⁸⁾ |
|
1st Lien Revolver |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Artisan Bidco Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Artisan Bidco Inc⁽⁷⁾ |
|
1st Lien Term Loan |
|
Technology |
|
E+ |
|
|
|
|
€ |
|
|
|
|||||||
Artisan Bidco Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Technology |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Aspire Bakeries Holdings⁽⁹⁾ |
|
1st Lien Term Loan |
|
Food Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Auroras Encore LLC⁽⁷⁾⁽⁸⁾ |
|
1st Lien Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Azurite Intermediate Holdings Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Azurite Intermediate Holdings Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Azurite Intermediate Holdings Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Azurity Pharmaceuticals Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Pharmaceuticals & Life Sciences |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BayMark Health Services Inc⁽⁷⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BayMark Health Services Inc⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BEL USA LLC⁽⁷⁾ |
|
1st Lien Term Loan |
|
E-Commerce |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
5
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Circle Graphics Inc⁽⁷⁾ |
|
1st Lien Term Loan |
|
E-Commerce |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
Circle Graphics Inc⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
E-Commerce |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Columbia Helicopters Inc.⁽⁷⁾⁽¹³⁾⁽²⁹⁾ |
|
1st Lien Term Loan |
|
Aerospace & Defense |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Contractual Buyer, LLC (dba Kodiak Solutions)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Contractual Buyer, LLC (dba Kodiak Solutions)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Healthcare Technology |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Coupa Holdings LLC⁽⁷⁾⁽⁸⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Coupa Holdings LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Coupa Holdings LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Covanta Holding Corp⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Covanta Holding Corp⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Crewline Buyer Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Crewline Buyer Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
DMT Solutions Global Corp (dba Bluecrest)⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Technology Hardware & Equipment |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Evolution Well Services Holdings LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Oilfield Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Form Technologies Inc⁽⁹⁾ |
|
1st Lien Term Loan |
|
Automobiles & Components |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
FR Vision Holdings, Inc. (CHA Consulting)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
FR Vision Holdings, Inc. (CHA Consulting)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
FR Vision Holdings, Inc. (CHA Consulting)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
GC Bison Acquisition, LLC (Midland Industries)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GC Bison Acquisition, LLC (Midland Industries)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
GC Bison Acquisition, LLC (Midland Industries)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GHX Ultimate Parent Corp⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GI Apple Midco LLC (Atlas Technical)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GI Apple Midco LLC (Atlas Technical)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GI Apple Midco LLC (Atlas Technical)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Gibson Brands Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Consumer Brands |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GOJO Industries Inc⁽⁷⁾⁽⁹⁾⁽¹⁹⁾⁽³²⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Heligear Acquisition Co⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Aerospace & Defense |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
HOA Finance Two, LLC / HOA II Finance Two, LLC⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Inotiv Inc⁽⁷⁾⁽⁸⁾⁽⁹⁾⁽¹⁰⁾⁽¹⁷⁾ |
|
1st Lien Term Loan |
|
Pharmaceuticals & Life Sciences |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Inotiv Inc⁽⁶⁾⁽⁷⁾⁽¹⁰⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Pharmaceuticals & Life Sciences |
|
S+ |
|
|
|
|
|
|
( |
|
|
||||||
Instructure Holdings Inc⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
iPark Riverdale (aka Rising Ground Yonkers)⁽⁶⁾⁽⁷⁾⁽⁸⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
KORE Wireless Group Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Telecommunications |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
KORE Wireless Group Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Telecommunications |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
6
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
LAC Acquisition LLC d/b/a Lighthouse Autism Center⁽⁷⁾⁽⁸⁾⁽²²⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
LAC Acquisition LLC d/b/a Lighthouse Autism Center⁽⁶⁾⁽⁷⁾⁽²⁴⁾ |
|
1st Lien Revolver |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
( |
|
( |
|||||
LeVecke Real Estate Holdings, LLC⁽⁶⁾⁽⁷⁾⁽⁸⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
LMG Holdings⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
LMG Holdings⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Mad Engine Global, LLC |
|
1st Lien Term Loan |
|
Consumer Apparel |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Manchester Acquisition Sub LLC⁽⁹⁾ |
|
1st Lien Term Loan |
|
Specialty Chemicals |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Medline Borrower LP⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mercury Bidco LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mercury Bidco LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Technology |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
MIS Acquisition, LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
MIS Acquisition, LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Business Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
MMS BidCo LLC⁽⁷⁾⁽⁹⁾⁽²⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mounty US Holdings⁽⁷⁾⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mounty US Holdings⁽⁶⁾⁽⁷⁾⁽¹⁰⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
National Dentex Corp⁽⁷⁾⁽¹²⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
National Dentex Corp⁽⁷⁾⁽¹²⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
National Dentex Corp⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
National Dentex Corp⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
NetSPI Midco Corporation⁽⁷⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
NetSPI Midco Corporation⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
|||||
Nine West Holdings Inc⁽⁸⁾ |
|
1st Lien Term Loan |
|
Consumer Brands |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
PaperWorks Industries Holding Corp.⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Paper & Packaging |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Peloton Interactive Inc⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Pixelle Receivables SPE, LLC⁽⁷⁾ |
|
1st Lien Term Loan |
|
Paper & Packaging |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Project Boost Purchaser LLC (JD Power/Autodata)⁽⁹⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Recorded Books Inc (RB Media)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Recorded Books Inc (RB Media)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
SBP Holdings LP⁽⁷⁾⁽⁹⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SBP Holdings LP⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SBP Holdings LP⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SBP Holdings LP⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Industrial Products & Services |
|
P+ |
|
|
|
|
|
|
|
|
|||||||
Sintec Media NYC Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Sintec Media NYC Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
7
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Smarsh Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
Smarsh Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Smarsh Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Spectrum Group Buyer Inc (Pixelle)⁽⁸⁾⁽¹⁶⁾ |
|
1st Lien Term Loan |
|
Paper & Packaging |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Speedstar Holding LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Automobiles & Components |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
TETRA Technologies Inc⁽⁷⁾⁽⁸⁾⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Oilfield Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
TETRA Technologies Inc⁽⁶⁾⁽⁷⁾⁽¹⁰⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Oilfield Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Thunder Grandparent Inc. (dba Telestream, Inc)⁽⁷⁾⁽⁸⁾⁽¹⁵⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Thunder Grandparent Inc. (dba Telestream, Inc)⁽⁶⁾⁽⁷⁾⁽¹⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Titan Purchaser, Inc. (Waupaca Foundry)⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Toll Northeast V Corporation⁽⁷⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Industrial |
|
|
|
|
|
|
|
|
|
||||||||
Touchstone Acquisition Inc (aka Team Technologies)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
USA Debusk LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
USA Debusk LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
USA Debusk LLC⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
UserZoom Technologies Inc⁽⁷⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Vensure Employer Services Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Voyant Beauty⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Wesco Aircraft Holdings Inc |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
WIS Holdings Inc⁽⁷⁾⁽⁸⁾⁽⁹⁾⁽²⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Wrangler Topco, LLC⁽⁷⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Wrangler Topco, LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Total United States of America 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Australia |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Infrabuild Australia Pty Ltd⁽⁷⁾⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Australia 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dye & Durham Corp⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Gateway Casinos & Entertainment Ltd⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Gaming & Leisure |
|
C+ |
|
|
|
|
C$ |
|
|
|
|||||||
Gateway Casinos & Entertainment Ltd⁽⁸⁾⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Gaming & Leisure |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Hootsuite Inc.⁽⁷⁾⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Hootsuite Inc.⁽⁶⁾⁽⁷⁾⁽¹⁰⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Total Canada 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Cayman Islands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JO ET Holdings Limited (Grindr HoldCo)⁽⁷⁾⁽¹⁰⁾⁽¹¹⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Cayman Islands 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
8
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Netherlands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OLA Netherlands BV (aka Olacabs / ANI Tech)⁽⁷⁾⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
Total Netherlands 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Singapore |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oravel Stays Singapore Pte Ltd⁽⁸⁾⁽⁹⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Singapore 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
United Kingdom |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Neon Finance Limited (fka TEN Entertainment Group PLC)⁽⁷⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Gaming & Leisure |
|
SONIA+ |
|
|
|
|
£ |
|
|
|
|||||||
Total United Kingdom 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
2nd Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BayMark Health Services Inc⁽⁷⁾ |
|
2nd Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BayMark Health Services Inc⁽⁷⁾ |
|
2nd Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total United States of America 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total 2nd Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wesco Aircraft Holdings Inc⁽¹²⁾⁽²⁶⁾ |
|
Senior Secured Bonds |
|
Industrial Products & Services |
|
|
|
|
|
|
|
|
|
||||||||
Total United States of America Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Japan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Universal Entertainment Corp⁽¹⁰⁾ |
|
Senior Secured Bonds |
|
Gaming & Leisure |
|
|
|
|
|
|
|
|
|
||||||||
Total Japan Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
United Kingdom |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inspired Entertainment Inc⁽¹⁰⁾ |
|
Senior Secured Bonds |
|
Technology |
|
|
|
|
|
£ |
|
|
|
||||||||
Total United Kingdom Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beauty Health Co⁽²³⁾ |
|
Common Equities |
|
Consumer Services |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
— |
|
|
||||
Monomoy Capital Partners IV-Titan, L.P. (Waupaca Foundry)⁽⁷⁾⁽¹⁰⁾⁽²³⁾ |
|
Common Equities |
|
Industrial Products & Services |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Total United States of America Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Non-Controlled/Non-Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Non-Controlled/Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
9
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Germany |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Takko Fashion GmbH⁽¹⁰⁾⁽³⁰⁾ |
|
1st Lien Term Loan |
|
Specialty Retail |
|
|
|
|
|
€ |
|
$ |
|
$ |
|
||||||
Total 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Subordinated Debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Luxembourg |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Takko Fashion Sarl⁽¹⁰⁾⁽²⁰⁾⁽³⁰⁾ |
|
Subordinated Bonds |
|
Specialty Retail |
|
|
|
|
|
€ |
|
|
|
||||||||
Total Subordinated Debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Non-Controlled/Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Controlled Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SP-CREH 19 Highline LLC⁽⁷⁾⁽³¹⁾ |
|
1st Lien Term Loan |
|
Multi-Family |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SP-CREH 19 Highline LLC⁽⁷⁾⁽³¹⁾ |
|
1st Lien Revolver |
|
Multi-Family |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SP-CREH 19 Highline LLC⁽⁷⁾⁽²³⁾⁽³¹⁾ |
|
Common Equities |
|
Multi-Family |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Total Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Trust Interest |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TH Liquidating Trust⁽⁷⁾⁽²³⁾⁽³¹⁾ |
|
Trust Interest |
|
Other |
|
N/A |
|
N/A |
|
|
|
|
|
|
|
||||||
TH Liquidating Trust⁽⁶⁾⁽⁷⁾⁽²³⁾⁽³¹⁾ |
|
Trust Interest |
|
Other |
|
N/A |
|
N/A |
|
|
|
|
|
— |
|
— |
|
— |
|||
TH Liquidating Trust⁽⁷⁾⁽¹⁴⁾⁽³¹⁾ |
|
Trust Interest |
|
Other |
|
P+ |
|
|
|
|
$ |
|
|
|
|||||||
Total Trust Interest |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Real Estate Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1035 Mecklenburg Highway, Mooresville, North Carolina⁽⁷⁾⁽¹⁰⁾⁽²³⁾⁽³¹⁾ |
|
Real Estate Properties |
|
Telecommunications |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Total Real Estate Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Controlled Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Investments, June 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
$ |
|
|
Cash Equivalents and Restricted Cash Equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan 100% US Treasury Securities Money Market Fund, Capital Class⁽⁸⁾⁽⁹⁾ |
|
Money Market Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total Cash Equivalents and Restricted Cash Equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
10
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio |
|
Type of |
|
Fair Value at |
|
|
Gross additions* |
|
|
Gross reductions** |
|
|
Net change in |
|
|
Net realized |
|
|
Fair Value at |
|
|
Interest |
|
|
Dividend |
|
|
Par Amount ($) / Number Of Units/ Ownership % |
|
|||||||||
Takko Fashion GmbH |
|
Secured Loans |
|
$ |
|
|
$ |
|
|
$ |
— |
|
|
$ |
( |
) |
|
$ |
— |
|
|
$ |
|
|
$ |
|
|
$ |
— |
|
€ |
|
|
|||||
Takko Fashion Sarl |
|
Unsecured Bonds |
† |
$ |
|
|
|
|
|
|
— |
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
€ |
|
|
||||||
Total |
|
|
|
$ |
|
|
$ |
|
|
$ |
— |
|
|
$ |
( |
) |
|
$ |
— |
|
|
$ |
|
|
$ |
|
|
$ |
— |
|
|
|
|
|||||
*
** Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments and sales.
†
The accompanying notes are an integral part of these consolidated financial statements.
11
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Portfolio |
|
Type of |
|
Fair Value at |
|
|
Gross additions* |
|
|
Gross reductions** |
|
|
Net change in |
|
|
Net realized |
|
|
Fair Value at |
|
|
Interest |
|
|
Dividend |
|
|
Par Amount ($) / Number Of Units/ Ownership % |
|
|||||||||
1035 Mecklenburg Highway, Mooresville, North Carolina |
|
Real Estate Properties |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
— |
|
|
$ |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
% |
|||||
30 South Broadway, Irvington, New York |
|
Real Estate Properties |
|
|
|
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
% |
||||
SP-CREH 19 Highline LLC |
|
Secured Loans |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
$ |
|
|
|||||
SP-CREH 19 Highline LLC |
|
Secured Loans |
|
|
|
|
|
— |
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
$ |
|
|
|||||
SP-CREH 19 Highline LLC |
|
Equities |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
% |
|||||
TH Liquidating Trust |
|
Trust Interest |
|
|
|
|
|
— |
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
% |
||||
TH Liquidating Trust |
|
Trust Interest |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
% |
||
TH Liquidating Trust |
|
Trust Interest |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
$ |
|
|
||||||
Total |
|
|
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
|
|
$ |
|
|
$ |
— |
|
|
|
|
|||||
*
**
Additional Information
Interest Rate Swaps |
|
Pay/Receive Floating Rate |
|
Floating Rate Index |
|
Floating Payment Frequency |
|
Fixed Rate |
|
Fixed Payment Frequency |
|
Maturity Date |
|
Counterparty |
|
|
Notional Amount |
|
|
Upfront Premiums Received / (Paid) |
|
|
Unrealized appreciation/ (depreciation) |
|
|||
Interest Rate Swaps, Non-Hedge Accounting |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Euro Interest Rate Swaps |
|
Receive |
|
EuroSTR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
€ |
|
|
|
$ |
( |
) |
|
$ |
|
||||
US Interest Rate Swaps |
|
Receive |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
|
|
|
|
|
|
|
|||||
UK Interest Rate Swaps |
|
Receive |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
|
|
|
( |
) |
|
|
|
||||
UK Interest Rate Swaps |
|
Receive |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
|
|
|
( |
) |
|
|
|
||||
UK Interest Rate Swaps |
|
Receive |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
|
|
|
— |
|
|
|
( |
) |
|||
UK Interest Rate Swaps |
|
Pay |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
( |
) |
|
|
( |
) |
|
|
|
|||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Interest Rate Swaps, Hedge Accounting(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
US Interest Rate Swaps |
|
Pay |
|
SOFR |
|
Quarterly |
|
|
Quarterly |
|
|
Goldman Sachs |
|
$ |
|
( |
) |
|
|
|
|
|
( |
) |
|||
US Interest Rate Swaps |
|
Pay |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
( |
) |
||
Total Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
( |
) |
||
The accompanying notes are an integral part of these consolidated financial statements.
12
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
June 30, 2024 (Unaudited)
Foreign Currency Forward Contracts |
|
Settlement Date |
|
|
Amount Purchased |
|
|
|
Amount Sold |
|
|
Fair Value |
|
|||
Derivative Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Bank of America |
|
|
$ |
|
|
|
C$ |
|
|
|
|
( |
) |
|||
Bank of America |
|
|
$ |
|
|
|
C$ |
|
|
|
|
( |
) |
|||
Bank of America |
|
|
$ |
|
|
|
€ |
|
|
|
|
|
||||
Bank of America |
|
|
$ |
|
|
|
€ |
|
|
|
|
|
||||
Bank of America |
|
|
€ |
|
|
|
$ |
|
|
|
|
( |
) |
|||
Bank of America |
|
|
$ |
|
|
|
€ |
|
|
|
|
|
||||
Bank of America |
|
|
$ |
|
|
|
€ |
|
|
|
|
|
||||
Bank of America |
|
|
$ |
|
|
|
£ |
|
|
|
|
|
||||
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
|
|||
The accompanying notes are an integral part of these consolidated financial statements.
13
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Non-Controlled/Non-Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1440 Foods Topco, LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
48Forty Solutions LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
A Stucki TopCo Holdings LLC & Intermediate Holdings LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
A Stucki TopCo Holdings LLC & Intermediate Holdings LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Accela Inc/US⁽⁷⁾ |
|
1st Lien Term Loan |
|
Government Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Accela Inc/US⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Government Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Accurate Background LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Advanced Integration Technology LP⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Aerospace & Defense |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁷⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allentown LLC⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Healthcare Equipment & Supplies |
|
P+ |
|
|
|
|
|
|
|
|
|||||||
Allium Buyer LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Allium Buyer LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Business Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Amerijet Holdings Inc⁽⁷⁾⁽²¹⁾ |
|
1st Lien Term Loan |
|
Airline & Airport Services |
|
|
|
|
|
|
|
|
|
||||||||
Amerijet Holdings Inc⁽⁷⁾⁽²⁸⁾ |
|
1st Lien Term Loan |
|
Airline & Airport Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Amerijet Holdings Inc⁽⁷⁾⁽²⁸⁾ |
|
1st Lien Revolver |
|
Airline & Airport Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Ampler Restaurant Group⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Restaurants |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Aprimo Inc⁽⁷⁾⁽⁸⁾⁽²⁷⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Arctic Glacier Group Holdings⁽⁷⁾⁽⁸⁾⁽⁹⁾⁽¹⁸⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Arctic Glacier Group Holdings⁽⁶⁾⁽⁷⁾⁽¹⁸⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Artisan Bidco Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Artisan Bidco Inc⁽⁷⁾ |
|
1st Lien Term Loan |
|
Technology |
|
E+ |
|
|
|
|
€ |
|
|
|
|||||||
Artisan Bidco Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Technology |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Aspire Bakeries Holdings |
|
1st Lien Term Loan |
|
Food Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Auroras Encore LLC⁽⁷⁾⁽⁸⁾ |
|
1st Lien Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Azurity Pharmaceuticals Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Pharmaceuticals & Life Sciences |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BayMark Health Services Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BayMark Health Services Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BEL USA LLC⁽⁷⁾ |
|
1st Lien Term Loan |
|
E-Commerce |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Circle Graphics Inc⁽⁷⁾⁽¹⁶⁾ |
|
1st Lien Term Loan |
|
E-Commerce |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Circle Graphics Inc⁽⁷⁾⁽¹⁶⁾ |
|
1st Lien Delayed Draw Term Loan |
|
E-Commerce |
|
S+ |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
14
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Columbia Helicopters Inc.⁽⁷⁾⁽¹³⁾⁽²⁸⁾ |
|
1st Lien Term Loan |
|
Aerospace & Defense |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
Contractual Buyer, LLC (dba Kodiak Solutions)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Contractual Buyer, LLC (dba Kodiak Solutions)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Healthcare Technology |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Coupa Holdings LLC⁽⁷⁾⁽⁸⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Coupa Holdings LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Coupa Holdings LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Covanta Holding Corp⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Covanta Holding Corp⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Crewline Buyer Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Crewline Buyer Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
DMT Solutions Global Corp (dba Bluecrest)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Technology Hardware & Equipment |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Evolution Well Services Holdings LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Oilfield Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Form Technologies Inc⁽⁹⁾ |
|
1st Lien Term Loan |
|
Automobiles & Components |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Form Technologies Inc⁽⁹⁾⁽²⁷⁾ |
|
1st Lien Term Loan |
|
Automobiles & Components |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GC Bison Acquisition, LLC (Midland Industries)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GC Bison Acquisition, LLC (Midland Industries)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
GC Bison Acquisition, LLC (Midland Industries)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GI Apple Midco LLC (Atlas Technical)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GI Apple Midco LLC (Atlas Technical)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GI Apple Midco LLC (Atlas Technical)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
GOJO Industries Inc⁽⁷⁾⁽⁹⁾⁽¹⁹⁾⁽³²⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Heligear Acquisition Co⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Aerospace & Defense |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
HOA Finance Two, LLC / HOA II Finance Two, LLC⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Inotiv Inc⁽⁷⁾⁽⁸⁾⁽¹⁰⁾⁽¹⁷⁾ |
|
1st Lien Term Loan |
|
Pharmaceuticals & Life Sciences |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Inotiv Inc⁽⁶⁾⁽⁷⁾⁽¹⁰⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Pharmaceuticals & Life Sciences |
|
S+ |
|
|
|
|
|
|
( |
|
|
||||||
iPark Riverdale (aka Rising Ground Yonkers)⁽⁶⁾⁽⁷⁾⁽⁸⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
KORE Wireless Group Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Telecommunications |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
KORE Wireless Group Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Telecommunications |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
LAC Acquisition LLC d/b/a Lighthouse Autism Center⁽⁷⁾⁽⁸⁾⁽¹²⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
LeVecke Real Estate Holdings, LLC⁽⁶⁾⁽⁷⁾⁽⁸⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Real Estate Development & Management |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
LMG Holdings⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
LMG Holdings⁽⁶⁾⁽⁷⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Manufacturing |
|
S+ |
|
|
|
|
|
|
( |
|
|
||||||
Mad Engine Global, LLC⁽⁹⁾ |
|
1st Lien Term Loan |
|
Consumer Apparel |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Manchester Acquisition Sub LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Specialty Chemicals |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Medline Borrower LP⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mercury Bidco LLC⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mercury Bidco LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Technology |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
The accompanying notes are an integral part of these consolidated financial statements.
15
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
MIS Acquisition, LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
MIS Acquisition, LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Business Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
MMS BidCo LLC⁽⁷⁾⁽⁹⁾⁽²⁸⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Mountaineer Merger Corp⁽⁷⁾⁽⁸⁾ |
|
1st Lien Term Loan |
|
Specialty Retail |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
National Dentex Corp⁽⁷⁾⁽⁹⁾⁽¹²⁾ |
|
1st Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
National Dentex Corp⁽⁷⁾⁽¹²⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
National Dentex Corp⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Nine West Holdings Inc⁽⁸⁾ |
|
1st Lien Term Loan |
|
Consumer Brands |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Northstar Group Services Inc⁽⁹⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
PaperWorks Industries Holding Corp.⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Paper & Packaging |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Peloton Interactive Inc⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Recorded Books Inc (RB Media)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Recorded Books Inc (RB Media)⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
SBP Holdings LP⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SBP Holdings LP⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
SBP Holdings LP⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SBP Holdings LP⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Sintec Media NYC Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Sintec Media NYC Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Media: Diversified & Production |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Smarsh Inc⁽⁷⁾⁽⁸⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Smarsh Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Smarsh Inc⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Spectrum Group Buyer Inc (Pixelle)⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Paper & Packaging |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Speedstar Holding LLC⁽⁷⁾⁽⁸⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Automobiles & Components |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
STV Group, Inc⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
STV Group, Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Professional Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Thunder Grandparent Inc. (dba Telestream, Inc)⁽⁷⁾⁽⁸⁾⁽²²⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Thunder Grandparent Inc. (dba Telestream, Inc)⁽⁶⁾⁽⁷⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Touchstone Acquisition Inc (aka Team Technologies)⁽⁷⁾⁽⁹⁾ |
|
1st Lien Term Loan |
|
Healthcare Equipment & Supplies |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
UserZoom Technologies Inc⁽⁷⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Vensure Employer Services Inc⁽⁶⁾⁽⁷⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Voyant Beauty⁽⁷⁾⁽⁹⁾⁽¹⁵⁾ |
|
1st Lien Term Loan |
|
Consumer Products |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Wesco Aircraft Holdings Inc |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
WIS Holdings Inc⁽⁷⁾⁽⁸⁾⁽⁹⁾⁽²⁸⁾ |
|
1st Lien Term Loan |
|
Business Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Wrangler Topco, LLC⁽⁷⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Wrangler Topco, LLC⁽⁶⁾⁽⁷⁾⁽²⁴⁾⁽²⁵⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
S+ |
|
|
|
|
|
|
( |
|
( |
|
( |
||||
Total United States of America 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
16
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Australia |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Infrabuild Australia Pty Ltd⁽⁷⁾⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Industrial Products & Services |
|
S+ |
|
|
|
|
$ |
|
$ |
|
$ |
|
|||||
Total Australia 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dye & Durham Corp⁽⁷⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Software & Services |
|
C+ |
|
|
|
|
C$ |
|
|
|
|||||||
Dye & Durham Corp⁽⁷⁾⁽¹⁰⁾ |
|
1st Lien Delayed Draw Term Loan |
|
Software & Services |
|
C+ |
|
|
|
|
C$ |
|
|
|
|||||||
Dye & Durham Corp⁽⁶⁾⁽⁷⁾⁽¹⁰⁾ |
|
1st Lien Revolver |
|
Software & Services |
|
C+ |
|
|
|
|
C$ |
|
|
|
|||||||
Gateway Casinos & Entertainment Ltd⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Gaming & Leisure |
|
C+ |
|
|
|
|
C$ |
|
|
|
|||||||
Gateway Casinos & Entertainment Ltd⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Gaming & Leisure |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Canada 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Cayman Islands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JO ET Holdings Limited (Grindr HoldCo)⁽⁷⁾⁽¹⁰⁾⁽¹¹⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Cayman Islands 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Netherlands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OLA Netherlands BV (aka Olacabs / ANI Tech)⁽⁷⁾⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Netherlands 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Singapore |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oravel Stays Singapore Pte Ltd⁽⁸⁾⁽¹⁰⁾ |
|
1st Lien Term Loan |
|
Technology |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total Singapore 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
2nd Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BayMark Health Services Inc⁽⁷⁾ |
|
2nd Lien Delayed Draw Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
BayMark Health Services Inc⁽⁷⁾ |
|
2nd Lien Term Loan |
|
Healthcare Providers & Services |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total United States of America 2nd Lien Term Loan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total 2nd Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wesco Aircraft Holdings Inc⁽¹²⁾⁽²⁶⁾ |
|
Senior Secured Bonds |
|
Industrial Products & Services |
|
|
|
|
|
|
|
|
|
||||||||
Total United States of America Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Japan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Universal Entertainment Corp⁽¹⁰⁾ |
|
Senior Secured Bonds |
|
Gaming & Leisure |
|
|
|
|
|
|
|
|
|
||||||||
Total Japan Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
United Kingdom |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Avianca Midco 2 LTD⁽¹⁰⁾ |
|
Senior Secured Bonds |
|
Airline & Airport Services |
|
|
|
|
|
|
|
|
|
||||||||
Inspired Entertainment Inc⁽¹⁰⁾ |
|
Senior Secured Bonds |
|
Technology |
|
|
|
|
|
£ |
|
|
|
||||||||
Total United Kingdom Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Senior Secured Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beauty Health Co⁽⁷⁾⁽²³⁾ |
|
Common Equities |
|
Consumer Services |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Impala RGIS Holdings LLC ⁽⁷⁾⁽²³⁾ |
|
Common Equities |
|
Business Services |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Total United States of America Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Non-Controlled/Non-Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
17
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio Company(1) |
|
Instrument |
|
Industry |
|
Rate(2) |
|
Interest |
|
Original |
|
Maturity |
|
|
Par Amount(3) |
|
Cost / |
|
Fair Value |
|
% of |
Non-Controlled/Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Germany |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Takko Fashion GmbH⁽¹⁰⁾⁽³⁰⁾ |
|
1st Lien Term Loan |
|
Specialty Retail |
|
|
|
|
|
€ |
|
$ |
|
$ |
|
||||||
Total 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Subordinated Debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Luxembourg |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Takko Fashion Sarl⁽¹⁰⁾⁽²⁰⁾⁽³⁰⁾ |
|
Subordinated Bonds |
|
Specialty Retail |
|
|
|
|
|
€ |
|
|
|
||||||||
Total Subordinated Debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Non-Controlled/Affiliated Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Controlled Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SP-CREH 19 Highline LLC⁽⁷⁾⁽³¹⁾ |
|
1st Lien Term Loan |
|
Multi-Family |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
SP-CREH 19 Highline LLC⁽⁷⁾⁽³¹⁾ |
|
1st Lien Revolver |
|
Multi-Family |
|
S+ |
|
|
|
|
|
|
|
|
|||||||
Total 1st Lien/Secured Loans |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SP-CREH 19 Highline LLC⁽⁷⁾⁽²³⁾⁽³¹⁾ |
|
Common Equities |
|
Multi-Family |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Total Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Trust Interest |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TH Liquidating Trust⁽⁷⁾⁽²³⁾⁽³¹⁾ |
|
Trust Interest |
|
Other |
|
N/A |
|
N/A |
|
|
|
|
|
|
|
||||||
TH Liquidating Trust⁽⁶⁾⁽⁷⁾⁽²³⁾⁽³¹⁾ |
|
Trust Interest |
|
Other |
|
N/A |
|
N/A |
|
|
|
|
|
|
|
||||||
TH Liquidating Trust⁽⁷⁾⁽¹⁴⁾⁽³¹⁾ |
|
Trust Interest |
|
Other |
|
P+ |
|
|
|
|
$ |
|
|
|
|||||||
Total Trust Interest |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Real Estate Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1035 Mecklenburg Highway, Mooresville, North Carolina⁽⁷⁾⁽¹⁰⁾⁽²³⁾⁽³¹⁾ |
|
Real Estate Properties |
|
Telecommunications |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
30 South Broadway, Irvington, New York⁽⁷⁾⁽¹⁰⁾⁽²³⁾⁽³¹⁾ |
|
Real Estate Properties |
|
Industrial |
|
N/A |
|
N/A |
|
|
N/A |
|
|
|
|
|
|||||
Total Real Estate Properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Controlled Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Total Investments, December 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
$ |
|
|
Cash Equivalents and Restricted Cash Equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan 100% US Treasury Securities Money Market Fund, Capital Class |
|
Money Market Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total Cash Equivalents and Restricted Cash Equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these consolidated financial statements.
18
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio |
|
Type of |
|
Fair Value at |
|
|
Gross additions* |
|
|
Gross reductions** |
|
|
Net change in |
|
|
Net realized |
|
|
Fair Value at |
|
|
Interest |
|
|
Dividend |
|
|
Par Amount ($) / Number Of Units/ Ownership % |
|
|||||||||
Takko Fashion GmbH |
|
Secured Loans |
|
$ |
— |
|
|
$ |
|
|
$ |
— |
|
|
$ |
( |
) |
|
$ |
— |
|
|
$ |
|
|
$ |
|
|
$ |
— |
|
€ |
|
|
||||
Takko Fashion Sarl |
|
Subordinated Debt |
† |
|
— |
|
|
|
|
|
|
— |
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
€ |
|
|
||||
Total |
|
|
|
$ |
— |
|
|
$ |
|
|
$ |
— |
|
|
$ |
( |
) |
|
$ |
— |
|
|
$ |
|
|
$ |
|
|
$ |
— |
|
|
|
|
||||
*
** Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investments repayments and sales.
† At December 31, 2023, the subordinated debt contained stapled equities of approximately
The accompanying notes are an integral part of these consolidated financial statements.
19
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Portfolio |
|
Type of |
|
Fair Value at |
|
|
Gross additions* |
|
|
Gross reductions** |
|
|
Net change in |
|
|
Net realized |
|
|
Fair Value at |
|
|
Interest |
|
|
Dividend |
|
|
Par Amount ($) / Number Of Units/ Ownership % |
|
|||||||||
1035 Mecklenburg Highway, Mooresville, North Carolina |
|
Real Estate Properties |
|
$ |
— |
|
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
— |
|
|
$ |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
% |
||||
30 South Broadway, Irvington, New York |
|
Real Estate Properties |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
% |
|||||
SP-CREH 19 Highline LLC |
|
Secured Loans |
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
$ |
|
|
|||||
SP-CREH 19 Highline LLC |
|
Secured Loans |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
$ |
|
|
||||||
SP-CREH 19 Highline LLC |
|
Equities |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
% |
|||||
TH Liquidating Trust |
|
Trust Interest |
|
|
|
|
|
— |
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
% |
||||
TH Liquidating Trust |
|
Trust Interest |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
% |
||
TH Liquidating Trust |
|
Trust Interest |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
— |
|
$ |
|
|
||||||
16415 Tuckerton Road, Houston, Texas*** |
|
Real Estate Properties |
|
|
— |
|
|
|
— |
|
|
|
( |
) |
|
|
— |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
% |
||
Total |
|
|
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
— |
|
|
|
|
||||||
*
**
***
The accompanying notes are an integral part of these consolidated financial statements.
20
Silver Point Specialty Lending Fund
Consolidated Schedule of Investments
December 31, 2023
Additional Information
Interest Rate Swaps |
|
Pay/Receive Floating Rate |
|
Floating Rate Index |
|
Floating Payment Frequency |
|
Fixed Rate |
|
Fixed Payment Frequency |
|
Maturity Date |
|
Counterparty |
|
|
Notional Amount |
|
|
Upfront Premiums Received/(Paid) |
|
|
Unrealized appreciation/ (depreciation) |
|
|||
Interest Rate Swaps, Non-Hedge Accounting |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Euro Interest Rate Swaps |
|
Receive |
|
EuroSTR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
€ |
|
|
|
$ |
|
|
$ |
( |
) |
||||
US Interest Rate Swaps |
|
Pay |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
( |
) |
|
|
— |
|
|
|
( |
) |
||
US Interest Rate Swaps |
|
Receive |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
|
|
|
( |
) |
|
|
|
||||
US Interest Rate Swaps |
|
Pay |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
( |
) |
|
|
|
|
|
( |
) |
|||
US Interest Rate Swaps |
|
Receive |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
|
|
|
|
|
|
|
|||||
US Interest Rate Swaps |
|
Receive |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
|
|
|
— |
|
|
|
( |
) |
|||
UK Interest Rate Swaps |
|
Receive |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
|
|
|
( |
) |
|
|
|
||||
UK Interest Rate Swaps |
|
Receive |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
|
|
|
— |
|
|
|
( |
) |
|||
UK Interest Rate Swaps |
|
Pay |
|
SONIA |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
£ |
|
( |
) |
|
|
( |
) |
|
|
|
|||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Interest Rate Swaps, Hedge Accounting(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
US Interest Rate Swaps |
|
Pay |
|
SOFR |
|
Quarterly |
|
|
Quarterly |
|
|
Goldman Sachs |
|
$ |
|
( |
) |
|
|
|
|
|
( |
) |
|||
US Interest Rate Swaps |
|
Pay |
|
SOFR |
|
Annual |
|
|
Annual |
|
|
Goldman Sachs |
|
$ |
|
( |
) |
|
|
( |
) |
|
|
( |
) |
||
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
( |
) |
||
Total Interest Rate Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
( |
) |
||
Foreign Currency Forward Contracts |
|
Settlement Date |
|
|
Amount Purchased |
|
|
|
Amount Sold |
|
|
Fair Value |
|
|||
Derivative Counterparty |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
Bank of America |
|
|
$ |
|
|
|
C$ |
|
|
|
$ |
( |
) |
|||
Bank of America |
|
|
$ |
|
|
|
€ |
|
|
|
|
( |
) |
|||
Bank of America |
|
|
$ |
|
|
|
£ |
|
|
|
|
( |
) |
|||
Total |
|
|
|
|
|
|
|
|
|
|
|
$ |
( |
) |
||
The accompanying notes are an integral part of these consolidated financial statements.
21
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited)
Silver Point Specialty Lending Fund (the “Fund”) is an externally managed closed-end management investment company that has elected to be regulated as a business development company ("BDC") under the Investment Company Act of 1940, as amended (the “1940 Act”) and was originally formed on July 31, 2014. Effective November 15, 2021, the Fund changed its name to Silver Point Specialty Lending Fund and converted to a statutory trust organized under the laws of the State of Maryland. The Fund is an “emerging growth company” under the Jumpstart Our Business Startups Act of 2012 (the “JOBS Act”). For so long as the Fund remains an emerging growth company under the JOBS Act, it will be subject to reduced public company reporting requirements.
The Fund’s investment objective is to achieve stable income generation with attractive risk-adjusted returns by investing primarily in U.S. middle market lending opportunities, and specialty asset based financings. The Fund may also, from time to time, invest in larger or smaller companies. In seeking to achieve its investment objective, the Fund may also invest across a broad range of industries. The Fund will invest primarily in first-lien debt, but may also invest in unitranche, second lien, mezzanine and unsecured debt, equity, structured credit, and derivatives depending on the opportunity set and market environment.
Silver Point Specialty Credit Fund Management, LLC (the “Adviser”), a Delaware limited liability company, serves as the Fund’s investment adviser and administrator. Subject to the supervision of the Fund’s Board of Trustees ("Board of Trustees", the "Board" or the "Trustees"), the Adviser manages the day-to-day operations and provides the Fund with investment advisory and management services. The Adviser is responsible for sourcing, researching and structuring potential investments, monitoring portfolio companies, and providing operating and managerial assistance to the Fund and to its portfolio companies as required.
As approved in 2023 by the Board and the holders of common shares of beneficial interests (the “shares”) of the Fund (the “Shareholders” or “Investors”), the Fund has extended its investment period through June 30, 2025 and maintains the existing advisory fee structure through the extended investment period. The Fund has agreed to provide Shareholders liquidity following the end of the Fund’s investment period by arranging the sale of shares of the Fund, at a price not less than net asset value per share, or the Fund will commence an orderly wind down at that time.
Basis of Presentation
The accompanying consolidated interim financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”), are presented in U.S. dollars and include the accounts of the Fund and its wholly owned subsidiaries. The Fund is an investment company following accounting and reporting guidance in Accounting Standards Codification ("ASC") 946, Financial Services – Investment Companies. All material intercompany balances and transactions have been eliminated. All references to the Fund include the accounts of its consolidated subsidiaries.
The consolidated interim financial statements are prepared in accordance with U.S. GAAP and pursuant to the requirements of Article 6 of Regulation S-X of the Securities Act of 1933, as amended. The interim financial data as of June 30, 2024 and for each of the three and six months ended June 30, 2024 and June 30, 2023 is unaudited. In the opinion of management, all adjustments considered necessary for the fair presentation of the consolidated interim financial statements for the periods presented have been included. These consolidated interim financial statements should be read in conjunction with the Fund's audited consolidated financial statements, and notes related thereto, for the year ended December 31, 2023. The current period’s results of operations will not necessarily be indicative of results that ultimately may be achieved for the fiscal year ending on December 31, 2024.
Basis of Consolidation
The Fund generally consolidates any wholly or substantially owned subsidiary when the design and purpose of the subsidiary is to act as an extension of the Fund’s investment operations and to facilitate the execution of the Fund’s investment strategy. Accordingly, the Fund has consolidated the results of its subsidiaries in its consolidated financial statements, including Silver Point SCF CLO I, Ltd., Silver Point SCF CLO I, LLC, Specialty Credit Facility, LLC, Specialty Credit Holdings, LLC, Specialty Credit Fund Cayman, Ltd., Silver Point Specialty Credit Depositor, LLC, SCF West, LLC, SCF APEG Holdings, LLC, SCF CAL, L.P., SCF CAL GP, LLC, SCF I SPRE Holdings, LLC, SCF Property Holdings, LLC, Golden Holdings I, LLC and SLMD Holdings, Inc. As provided by ASC 946, the Fund will not consolidate portfolio companies in which it invests, unless the portfolio company is itself an investment company or is a controlled operating company whose business consists of providing services to the Fund. The Fund's investments in the portfolio companies (including its investments held by consolidated subsidiaries) are listed on the Fund's consolidated statements of assets and liabilities as investments at fair value.
22
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
Use of Estimates
The preparation of consolidated financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the consolidated financial statements, and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.
Reclassifications
Certain prior period amounts may be reclassified to conform to the current presentation with no effect on our financial condition, results of operations or cash flows.
Investment Classification
The Fund classifies its investments by level of control. Under the 1940 Act, the Fund is presumed to "control" a portfolio company if the Fund owns more than
Cash and Cash Equivalents
Cash on deposit at a major financial institution is included in cash and cash equivalents in the consolidated statements of assets and liabilities. Cash equivalents consist of highly liquid assets, such as money market funds. As of June 30, 2024 and December 31, 2023, cash was $
Foreign Cash Held at Banks
Cash denominated in currencies other than U.S. dollars is recorded as foreign cash held at banks. At times, foreign cash held at banks may exceed Federal Deposit Insurance Corporation insured limits.
Restricted Cash and Cash Equivalents
Restricted cash and cash equivalents is generally restricted to the purchase of investments, as well as payment of expenses and interest, in connection with the credit facility with Deutsche Bank AG and the 2021 Debt Securitization (Note 6). Restricted cash on deposit at a major financial institution is included in restricted cash and cash equivalents in the consolidated statements of assets and liabilities. Restricted cash equivalents consist of highly liquid investments, such as money market funds. As of June 30, 2024 and December 31, 2023, restricted cash was $
Due from and Due to Broker
Due from broker consists of cash collateral related to foreign currency forward contracts and interest rate swaps (Note 7). As of June 30, 2024 and December 31, 2023, due from broker consists of approximately $
23
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
Investment Transactions and Related Income and Expense
Investments are carried at fair value, with resulting unrealized appreciation and depreciation reflected in the consolidated statements of operations. Purchases and sales of investments are recorded on a trade date basis. Net gains or losses on investments are included on the consolidated statements of operations. Realized gains and losses on investments are determined on the specific cost identification basis.
Loans including revolving credit agreements are generally recorded on the consolidated statements of assets and liabilities as a component of investments owned at fair value, net of the unfunded portion of the related revolving credit agreement. Real estate properties represent direct ownership of underlying real property assets. The properties are recorded at fair value and generally do not produce rental income.
Interest income and expense are recognized on an accrual basis. Discounts and premiums to par value on investments are accreted and amortized into interest income over the life of the respective investment using the effective interest method. Loan origination and commitment fees received in full at the inception of a loan or bond and fees earned in full upfront and to be paid at the termination of the loan are deferred and accreted into interest income, using the effective yield method as an enhancement to the related loan’s yield over the contractual life of the loan. The amortized cost of investments is adjusted for accretion of fees, if any. For the three months ended June 30, 2024 and June 30, 2023, non-cash interest income related to such accretion amounted to $
The Fund has loans in its portfolio that contain payment-in-kind (“PIK”) provisions. PIK interest, computed at the contractual rate specified in each loan agreement, is generally recorded as interest income on an accrual basis. On the specified capitalization date, PIK interest is added to the principal balance and cost of the loan.
Generally, loans are placed on non-accrual status when there is reasonable doubt that the principal or interest will be collected in full and the accrued interest is reversed against interest income. Interest payments received on debt investments on non-accrual status may be recognized as interest income or treated as a reduction of cost basis of the debt investment based on management’s judgment of ultimate recovery and other considerations.
Distributions from Equity Investments
Other Income
From time to time, the Fund may receive fees for services provided to portfolio companies by the Adviser. The services that the Adviser provides vary by investment, but may include syndication, structuring, diligence fees, or other service-based fees and fees for providing managerial assistance to our portfolio companies. These fees are recognized when services are rendered and recorded as other income.
24
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
Foreign Currency Transactions
Net realized gain (loss) from foreign currency transactions as reported in the consolidated statements of operations arises from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on investment transactions; and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded in the Fund’s books and records, and U.S. dollars equivalent of the amounts actually received or paid. Net change in unrealized appreciation (depreciation) from foreign currency translations as reported in the consolidated statements of operations arises from changes in the fair values of assets and liabilities, other than investments at fiscal period-end, resulting from changes in exchange rates.
Investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investments and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.
The Fund does not isolate realized and unrealized gains and losses on investments and derivative contracts resulting from changes in foreign currency exchange rates on the consolidated statements of operations. Such fluctuations are reflected on the consolidated statements of operations together with net realized gain (loss) and net change in unrealized gain (loss) on investments and derivative contracts. The Fund generally attempts to hedge its foreign currency exposure through foreign currency forward contracts.
Derivatives and Hedging
In the normal course of business, the Fund has commitments and risks resulting from its investment transactions, which may include those involving derivative instruments. The Fund recognizes all derivative instruments as assets or liabilities at fair value in its consolidated financial statements, pursuant to ASC Topic 815 Derivatives and Hedging.
The Fund enters into interest swap transactions from time to time to manage interest rate exposure in certain fixed rate debt investments and such swaps are not designated as hedging instruments in accordance with hedge accounting. The Fund presents changes in the fair value as part of change in unrealized appreciation (depreciation) on the consolidated statements of operations and amounts received or paid related to derivative contracts are recognized on a net basis as realized gain (loss) and determined on the specific cost identification basis.
The Fund also uses certain interest rate swaps to hedge the Fund’s fixed rate debt and designates such interest rate swaps as hedging instruments in a fair value hedge, in accordance with hedge accounting; therefore, both the periodic payment and the change in fair value for the effective hedge, if applicable, are recognized as components of interest expense in the consolidated statements of operations (see Note 6 and Note 7 for more details).
The fair value of interest rate swap agreements are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. The fair value of the interest rate swaps does not take into account collateral posted which is recorded separately as due to or due from broker on the Fund's consolidated statements of assets and liabilities, depending on the nature of the balance at period end. Upfront payments made or received upon entering a derivative contract are treated as a part of the cost basis of the derivative contract.
The Fund may also enter into foreign currency forward contracts, under which the Fund agrees to recover or deliver a fixed quantity of one currency for another at a pre-determined price at a future date. The foreign currency forward contracts are recorded at fair value. Purchases and settlements of foreign currency forward contracts having the same settlement date and counterparty are generally settled net and any realized gains or losses are recognized on the settlement date. The Fund does not utilize hedge accounting for these contracts and as such, realized and unrealized gains and losses on foreign currency forward contracts are presented respectively on the consolidated statements of operations.
Derivative instruments are expressed in terms of the notional contract amount and derive their value based upon one or more underlying instruments. While the notional amount gives some indication of the Fund's derivative activity, it generally is not exchanged, but is only used as the basis on which interest and other payments are exchanged. Derivative instruments are subject to various risks similar to non-derivative instruments, including market, credit, liquidity, and operational risks. The Fund manages these risks on an aggregate basis as part of its risk management process.
Deferred Financing Costs and Debt Issuance Costs
Deferred financing costs represent fees and other direct costs incurred in connection with the Fund’s borrowings. For revolving credit facilities, these amounts are capitalized as an asset within the consolidated statements of assets and liabilities and are amortized using the straight-line methodology over the expected term of the borrowing which is generally expected to be at the end of the revolving period. The Fund records costs related to the issuance of term debt obligations as debt issuance costs. These
25
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
costs are deferred and amortized using the effective interest method. These costs are presented as a reduction to the outstanding principal amount of the term debt obligations on the consolidated statements of assets and liabilities.
Deferred Offering Costs
The Fund incurred legal, accounting, regulatory, investment banking and other costs related to potential equity offerings ("IPO costs"). IPO costs are either (i) recorded as deferred offering costs on the consolidated statements of assets and liabilities and are charged against paid-in capital in excess of par on completion of the related offering, or (ii) written off if the offering does not occur. For the three and six months ended June 30, 2024, there were no deferred offering costs incurred or written off; for the three and six months ended June 30, 2023, deferred offering costs of
Valuation of Investments and Derivative Contracts
Investments at fair value consist primarily of senior secured debt, real estate properties and equities. Derivative contracts consist primarily of foreign currency forward contracts and interest rate swaps.
The Board has designated the Adviser as the Fund’s valuation designee pursuant to Rule 2a-5 under the 1940 Act, which establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Accordingly, the Adviser has appointed its BDC Valuation Committee with the responsibility for fair value determinations pursuant to valuation procedures adopted for the Fund. The Board oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act.
Investments and derivative contracts are valued in good faith by the Adviser, as the Fund’s valuation designee, at fair value pursuant to the valuation policy, which considers quotations provided by independent pricing sources, when such quotations are available and deemed reliable. The Fund conducts this valuation process on a quarterly basis.
Investments that are not listed on an exchange but are actively traded over-the-counter are generally valued at the representative “bid” quotation if held long and the representative “ask” quotation if held short or, in the case of equities that trade in over-the-counter marketplaces, at the last deemed reliable sale price provided by independent pricing sources. Derivative contracts not listed on an exchange are generally valued through industry-standard valuation models using inputs obtained from pricing vendors and from the relevant derivative contract.
Investments for which independent pricing sources or recent transaction activity are either not readily available or are not deemed reliable (“Non-Quoted Investments”) are fair valued as determined in good faith by the Adviser, as the Fund’s valuation designee. Non-Quoted Investments are valued in a multi-step process:
The estimated fair value of financial instruments is based upon available information and may not be the amount that the Fund would realize in a current transaction or might be ultimately realized, since such amounts depend on future circumstances, and the differences could be material.
26
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments according to a hierarchy that prioritizes the inputs used to measure the fair value. The hierarchy gives the highest priority to valuations based upon unadjusted quoted prices on a securities exchange in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (level 3 measurements). In accordance with U.S. GAAP, these inputs are summarized in the three broad levels listed below:
Level 1: Inputs that reflect unadjusted quoted prices on a securities exchange in active markets for identical assets or liabilities;
Level 2: Inputs other than quoted prices on a securities exchange that are observable for the asset or liability either directly or indirectly in active markets, or unadjusted prices on a securities exchange in markets that are not considered to be active;
Level 3: Significant inputs that may be unobservable or inputs, including market quotations other than quoted prices on a securities exchange, in markets that are not considered to be active.
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions including assumptions about risk. Inputs may include price information, volatility statistics, specific and broad credit data, liquidity statistics and other factors. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires judgment by the Adviser. The Adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by multiple independent sources that are actively involved in the relevant market. The categorization of an investment within the hierarchy is based upon the pricing transparency of the investment and does not necessarily correspond to the Adviser’s perceived risk of that instrument.
In determining an instrument’s placement within the hierarchy, the Adviser separates the Fund’s investment portfolio into two categories: investments and derivative contracts. Each of these categories can further be divided between assets and liabilities and further by investment type.
There were
Investments that are valued based on dealer quotations or alternative pricing sources supported by observable inputs are generally classified within level 2. These may include certain bonds or bank loans.
Derivative contracts can be exchange-traded or privately negotiated over-the-counter (“OTC”). OTC derivatives, including foreign currency forward contracts and interest rate swaps are generally valued using observable inputs. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in the instrument as well as the availability and reliability of observable inputs. OTC derivatives are typically classified within level 2 of the fair value hierarchy depending on their liquidity or the observability of their inputs.
Investments classified within level 3 have significant unobservable inputs. Level 3 instruments may include certain bank loans, trust interests, private equity and real estate properties. When observable prices are not available for these investments, one or more valuation techniques (e.g., market approach or income approach) for which sufficient and reliable data is available may be used. Within level 3, the use of the market approach technique generally consists of using comparable market data, while the use of the income approach technique generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other factors. Quotations provided by independent pricing sources may also be considered, if available and deemed reliable, in determining the value of level 3 investments.
The inputs used in estimating the value of level 3 investments that are not valued using quotations provided by independent pricing sources may include but are not limited to the original transaction price, recent transactions in the same or similar instruments, completed or pending third party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, discount rates, durations and changes in financial ratios or cash flows. Comparable public companies may also be identified based on industry, size, strategy, etc. and a trading multiple or yield is determined for each comparable company. Additionally, level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated in the absence of market information. Assumptions used due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s consolidated results of operations.
27
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
Income Taxes
The Fund is treated as a partnership for U.S. federal income tax purposes. The Fund itself is not subject to U.S. federal income taxes; each investor is individually liable for income taxes, if any, on its share of the Fund’s net taxable income. The Fund may be subject to entity level taxes with respect to certain state sourced income, as well as other income allocable to underlying resident investors; such taxes may be treated as entity level expenses or, to the extent such taxes are determined based on the identity or jurisdiction of each investor, specially charged to investors based on their allocable share, if any, of such income. This state and local tax withholding paid by the Fund on behalf of these investors is recorded in other assets until the time at which it is netted against each relevant investor’s current distribution. Interest, dividends and other income realized by the Fund from non-U.S. sources and capital gains realized on the sale of securities of non-U.S. issuers may be subject to withholding and other taxes levied by the jurisdiction in which the income is sourced. Such withholding taxes are accrued when incurred and are shown on the consolidated statements of operations, where applicable, as withholding taxes. For the three and six months ended June 30, 2024 and June 30, 2023, there were
The Fund is subject to partnership audit rules enacted as part of the Bipartisan Budget Act of 2015 (the “Centralized Partnership Audit Regime”). Under the Centralized Partnership Audit Regime, any IRS audit of the Fund would be conducted at the Fund level rather than in separate proceedings involving each investor. Adjustments to partnership items will generally be determined at the Fund level, and the Fund may be required to pay taxes (and associated interest and penalties) imposed as a result of such adjustments. In certain cases, the Fund may be able to elect to have the tax assessed or collected at the investor level. In the event of an audit, these new rules, and any elections thereunder, may significantly affect the amount and timing of tax (and associated interest and penalties) that is required to be borne by the Fund and its investors, as well as the manner in which such amounts are allocated among its investors (including former investors).
The Fund follows the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, and is required to determine whether a tax position of the Fund is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For tax positions meeting the more likely than not threshold, the tax amount recognized in the consolidated financial statements is reduced by the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate settlement with the relevant taxing authority. For the three and six months ended June 30, 2024 and June 30, 2023, there were
The Fund files tax returns as prescribed by the tax laws of the jurisdictions in which it operates and invests, if required. In the normal course of business, the Fund is subject to examination by federal, state, local and foreign jurisdictions, where applicable. The Fund may be subject to examination by such jurisdictions for all open tax years, the earliest of which is 2020. The Fund recognizes interest and penalties, when known, related to realized tax positions on the consolidated statements of operations. For the three and six months ended June 30, 2024 and June 30, 2023, there were
The Fund is party to an amended and restated advisory agreement, entered into on April 1, 2023 (the "Advisory Agreement") pursuant to which the Fund agrees to pay the Adviser a fee for its investment advisory and management services consisting of a management fee (the "Management Fee") and incentive compensation (the "Incentive Compensation"), which are ultimately borne by the Shareholders.
Management Fee
The Management Fee is calculated at an annual rate of
Incentive Compensation
Incentive Compensation consists of two components that are determined independent of each other, with the result that one component may be payable even if the other is not. A portion of the Incentive Compensation is based on income (“Income Incentive Compensation”), and a portion is based on capital gains (“Capital Gains Incentive Compensation”).
28
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
Income Incentive Compensation
Income Incentive Compensation is calculated and payable to the Adviser quarterly in arrears based on the amount by which Pre-Incentive Compensation Net Investment Income (as defined below) in respect of the current calendar quarter and the eleven preceding calendar quarters (the "Trailing Twelve Quarters") exceeds the Hurdle Rate Amount (as defined below). The amount of Income Incentive Compensation paid to the Adviser for a particular calendar quarter equals the excess, if any, of the Income Incentive Compensation so calculated less the aggregate Income Incentive Compensation that was paid to the Adviser in the preceding eleven calendar quarters (or portion thereof) comprising the relevant Trailing Twelve Quarters. Income Incentive Compensation is calculated and paid as follows:
The “Hurdle Rate Amount” is calculated on a quarterly basis by multiplying
For the three months ended June 30, 2024 and June 30, 2023, the Income Incentive Compensation was $
Capital Gains Incentive Compensation
Capital Gains Incentive Compensation is determined in arrears at the end of each Fiscal Year and is equal to 15% of the Fund’s cumulative capital gains (without giving consideration to any unrealized gains) since inception through the end of such Fiscal Year, less the amount of any Capital Gains Incentive Compensation previously paid.
Under U.S. GAAP, the Fund is required to accrue any Capital Gains Incentive Compensation that includes net realized capital gains and losses and net unrealized capital appreciation and depreciation on investments held at the end of each reporting period. In calculating the accrual for the Capital Gains Incentive Compensation, the Fund considers the cumulative aggregate unrealized capital appreciation in the calculation, because Capital Gains Incentive Compensation would be payable if such unrealized capital appreciation were realized, even though such unrealized capital appreciation is not permitted to be considered in calculating the fee actually payable under the Advisory Agreement. There can be no assurance that such unrealized capital appreciation will be realized in the future and therefore the corresponding accrued Capital Gains Incentive Compensation for U.S. GAAP purposes may be reversed accordingly.
For the three and six months ended June 30, 2024 and June 30, 2023, there was
Incentive Compensation Clawback
In accordance with U.S. GAAP, the Fund accrues an incentive fee based upon the cumulative net realized capital gains and losses and the cumulative net unrealized capital appreciation and depreciation on investments held at the end of each period. Actual amounts paid to the Adviser are consistent with the Advisory Agreement and are based only on realized capital gains computed
29
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
net of all realized capital losses and unrealized capital depreciation on a cumulative basis from inception through the end of each calendar year as if the entire portfolio was sold at fair value. As applicable, following the completion of final distributions to Shareholders, the Adviser will pay to the Fund an aggregate amount equal to the “Clawback Amount” as of such date, subject to certain tax limitations as described in the governing Fund documents. The Clawback Amount is equal to (i) the cumulative Incentive Compensation received by the Adviser minus (ii) the product of 15% (adjusted for any waiver or reduction of Incentive Compensation paid) and the sum of the aggregate amount of cumulative net capital gains or losses (without giving consideration to any unrealized gains) and Pre-Incentive Compensation Net Investment Income generated since inception through the date of determination. On a hypothetical liquidation basis, assuming all unrealized gains and losses were realized as of the reporting date, the cumulative Clawback Amount was approximately $
Other Related Party Transactions
Pursuant to the Advisory Agreement, the Adviser is responsible for providing various accounting and administrative services to the Fund and the Fund will reimburse the Adviser for all costs and expenses incurred in performing its administrative obligations, including the allocable portion of overhead (such as rent, office equipment and utilities) and the allocable portion of the compensation paid to the Fund's Chief Compliance Officer and Chief Financial Officer and their respective staffs. For the three months ended June 30, 2024 and June 30, 2023, the Fund incurred approximately $
The Adviser, or its affiliates, is authorized to pay expenses in the name of and on behalf of the Fund. To the extent that expenses borne by or reimbursements due to the Fund are paid by the Adviser, or an affiliate, the Fund will reimburse or seek reimbursement from such party. As of June 30, 2024 and December 31, 2023, the Fund owed less than $
Additionally, the aggregate interests of Shareholders affiliated with the Adviser was approximately
Investments consisted of the following at June 30, 2024 and December 31, 2023:
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||||||||||||||||||
|
|
Amortized Cost |
|
|
Fair Value |
|
|
% of Fair |
|
|
Amortized Cost |
|
|
Fair Value |
|
|
% of Fair |
|
||||||
First lien debt |
|
$ |
|
|
$ |
|
|
|
% |
|
$ |
|
|
$ |
|
|
|
% |
||||||
Second lien debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Subordinated and unsecured debt |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Real estate properties |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Trust interest |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total |
|
$ |
|
|
$ |
|
|
|
% |
|
$ |
|
|
$ |
|
|
|
% |
||||||
The Fund invests primarily in first-lien debt which may include stand-alone first-lien loans, unitranche/last-out loans and first lien/last-out loans which generally bear greater risk in exchange for a higher interest rate, and senior secured corporate bonds with similar features to these categories of first-lien loans. At June 30, 2024, the unitranche/last-out loans and first lien/last-out loans, at fair value, were
30
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The following table presents the composition of the investment portfolio by industry classifications at amortized cost and fair value as of June 30, 2024 and December 31, 2023 with corresponding percentages of total fair value:
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||||||||||||||||||
Industry Classification |
|
Amortized Cost |
|
|
Fair Value |
|
|
% of Fair |
|
|
Amortized Cost |
|
|
Fair Value |
|
|
% of Fair |
|
||||||
Aerospace & Defense |
|
$ |
|
|
$ |
|
|
|
% |
|
$ |
|
|
$ |
|
|
|
% |
||||||
Airline & Airport Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Automobiles & Components |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Business Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Consumer Apparel |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Consumer Brands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Consumer Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Consumer Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
E-Commerce |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Food Products |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Gaming & Leisure |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Government Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Healthcare |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Healthcare Equipment & Supplies |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Healthcare Providers & Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Healthcare Technology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Industrial |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Industrial Products & Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Manufacturing |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Media: Diversified & Production |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Multi-Family |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Oilfield Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Paper & Packaging |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Pharmaceuticals & Life Sciences |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Professional Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Real Estate Development & Management |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Restaurants |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Software & Services |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Specialty Chemicals |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Specialty Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Technology |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Technology Hardware & Equipment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Telecommunications |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total |
|
$ |
|
|
$ |
|
|
|
% |
|
$ |
|
|
$ |
|
|
|
% |
||||||
The following table presents the composition of the investment portfolio by geographic dispersion at amortized cost and fair value as of June 30, 2024 and December 31, 2023 with corresponding percentages of total fair value:
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||||||||||||||||||
Geographic Dispersion(1) |
|
Amortized Cost |
|
|
Fair Value |
|
|
% of Fair |
|
|
Amortized Cost |
|
|
Fair Value |
|
|
% of Fair |
|
||||||
Australia |
|
$ |
|
|
$ |
|
|
|
% |
|
$ |
|
|
$ |
|
|
|
% |
||||||
Canada |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Cayman Islands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Germany |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Japan |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Luxembourg |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Netherlands |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Singapore |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
United Kingdom |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
United States of America |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Total |
|
$ |
|
|
$ |
|
|
|
% |
|
$ |
|
|
$ |
|
|
|
% |
||||||
31
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The following table presents the investments carried on the consolidated statements of assets and liabilities by level within the fair value hierarchy as of June 30, 2024.
|
|
June 30, 2024 |
|
|||||||||||||
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
||||
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Secured loans |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Secured bonds |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Subordinated and unsecured debt |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Trust interest |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Real estate properties |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total investments |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash-related Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash and cash equivalents |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Restricted cash and cash equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Foreign cash held at banks |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative Assets |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Foreign currency forward contracts |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps |
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
Foreign currency forward contracts |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
||
Total |
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
The following table presents the investments carried on the consolidated statements of assets and liabilities by level within the fair value hierarchy as of December 31, 2023.
|
|
December 31, 2023 |
|
|||||||||||||
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
||||
Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Secured loans |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Secured bonds |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Subordinated debt |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Equities |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Trust interest |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Real estate properties |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total investments |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash-related Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash and cash equivalents |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Restricted cash and cash equivalents |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Foreign cash held at banks |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative Assets |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Total |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Derivative Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Interest rate swaps |
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
Foreign currency forward contracts |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
||
Total |
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
The following table includes a roll forward of the amounts for the three months ended June 30, 2024 for investments classified within level 3. The classification of an investment within level 3 is based upon the significance of the unobservable inputs to the overall fair value measurement.
32
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
|
|
Fair Value Measurements of Level 3 Investments |
|
|||||||||||||||||||||
|
|
Secured Loans |
|
|
Secured Bonds |
|
|
Equities |
|
|
Trust Interest |
|
|
Real Estate Properties |
|
|
Total |
|
||||||
Balance at April 1, 2024 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Transfer in(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Transfer out(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Accretion/amortization of discounts/premiums |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Interest paid-in-kind |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Sales, paydowns and resolutions(2) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
|
|
|
|
|
|
( |
) |
|||
Net realized gain/(loss) |
|
|
( |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net change in unrealized appreciation/(depreciation) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
Balance at June 30, 2024 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Change in net unrealized appreciation / (depreciation) on investments held as of June 30, 2024 |
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
The following table includes a roll forward of the amounts for the six months ended June 30, 2024 for investments classified within level 3.
|
|
Fair Value Measurements of Level 3 Investments |
|
|||||||||||||||||||||
|
|
Secured Loans |
|
|
Secured Bonds |
|
|
Equities |
|
|
Trust Interest |
|
|
Real Estate Properties |
|
|
Total |
|
||||||
Balance at January 1, 2024 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Transfer in(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Transfer out(2) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
|
|
|
|
|
|
( |
) |
|||
Accretion/amortization of discounts/premiums |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Interest paid-in-kind |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases(3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Sales, paydowns and resolutions(3) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
||
Net realized gain/(loss) |
|
|
( |
) |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
|
||||
Net change in unrealized appreciation/(depreciation) |
|
|
|
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|||
Balance at June 30, 2024 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Change in net unrealized appreciation / (depreciation) on investments held as of June 30, 2024 |
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
||
The following table includes a roll forward of the amounts for the three months ended June 30, 2023 for investments classified within level 3.
|
|
Fair Value Measurements of Level 3 Investments |
|
|||||||||||||||||||||
|
|
Secured Loans |
|
|
Secured Bonds |
|
|
Equities |
|
|
Trust Interest |
|
|
Real Estate Properties |
|
|
Total |
|
||||||
Balance at April 1, 2023 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Transfer in(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Transfer out(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Accretion/amortization of discounts/premiums |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Interest paid-in-kind |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Sales, paydowns and resolutions(2) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
|
|
|
|
|
|
( |
) |
|||
Net realized gain/(loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net change in unrealized appreciation/(depreciation) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
|
|
|
( |
) |
||
Balance at June 30, 2023 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Change in net unrealized appreciation / (depreciation) on investments held as of June 30, 2023 |
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
33
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The following table includes a roll forward of the amounts for the six months ended June 30, 2023 for investments classified within level 3.
|
|
Fair Value Measurements of Level 3 Investments |
|
|||||||||||||||||||||
|
|
Secured Loans |
|
|
Secured Bonds |
|
|
Equities |
|
|
Trust Interest |
|
|
Real Estate Properties |
|
|
Total |
|
||||||
Balance at January 1, 2023 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Transfer in(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Transfer out(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Accretion/amortization of discounts/premiums |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Interest paid-in-kind |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Purchases(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Sales, paydowns and resolutions(2) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
|
|
|
|
|
|
( |
) |
|||
Net realized gain/(loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Net change in unrealized appreciation/(depreciation) |
|
|
( |
) |
|
|
|
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
|
( |
) |
|
Balance at June 30, 2023 |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||||
Change in net unrealized appreciation / (depreciation) on investments held as of June 30, 2023 |
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
$ |
( |
) |
|
All realized gains (losses) and change in unrealized appreciation (depreciation) in the tables above are reflected in the accompanying consolidated statements of operations. Transfers between levels, if any, are recognized at the beginning of each reporting period.
The following tables provide quantitative information about the Fund’s level 3 fair value measurements for the Fund’s investments as of June 30, 2024 and December 31, 2023. In addition to the techniques and inputs noted in the tables below, the Fund may also use, in accordance with the valuation policy, other valuation techniques and methodologies when determining the Fund’s fair value measurements. The below tables are not intended to be inclusive of all unobservable inputs, but rather provide information on the significant level 3 inputs as they relate to the Fund’s fair value measurements.
|
|
Quantitative Information about Level 3 Value Investments |
||||||||||
Investment Type |
|
Fair Value at June 30, 2024 |
|
|
Valuation |
|
Unobservable |
|
Range (Weighted |
|
Impact to |
|
Secured Loans |
|
$ |
|
|
Income Approach |
|
Yield |
|
|
Decrease |
||
|
|
|
|
|
|
|
Expected Term(2) |
|
|
Decrease |
||
|
|
|
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
N/A |
|
Equities |
|
|
|
|
Income Approach |
|
Discount Rate |
|
|
Decrease |
||
|
|
|
|
|
|
|
Expected Term(2) |
|
|
Decrease |
||
|
|
|
|
|
Market Comparables |
|
Earnings Multiple |
|
|
Increase |
||
Real Estate Properties |
|
|
|
|
Income Approach |
|
Discount Rate |
|
|
Decrease |
||
|
|
|
|
|
|
|
Expected Term(2) |
|
|
Decrease |
||
Trust Interest |
|
|
|
|
Asset Approach |
|
Recovery Rate |
|
|
Increase |
||
Total Level 3 Investments |
|
$ |
|
|
|
|
|
|
|
|
|
|
34
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
|
|
Quantitative Information about Level 3 Value Investments |
||||||||||
Investment Type |
|
Fair Value at December 31, 2023 |
|
|
Valuation |
|
Unobservable |
|
Range (Weighted |
|
Impact to |
|
Secured Loans |
|
$ |
|
|
Income Approach |
|
Yield |
|
|
Decrease |
||
|
|
|
|
|
|
|
Expected Term(2) |
|
|
Decrease |
||
|
|
|
|
|
Recent Transaction |
|
N/A |
|
N/A |
|
N/A |
|
Equities |
|
|
|
|
Income Approach |
|
Discount Rate |
|
|
Decrease |
||
|
|
|
|
|
|
|
Expected Term(2) |
|
|
Decrease |
||
|
|
|
|
|
Discount to Market Quotation |
|
Discount |
|
|
Decrease |
||
|
|
|
|
|
Market Comparables |
|
Earnings Multiple |
|
|
Increase |
||
Real Estate Properties |
|
|
|
|
Income Approach |
|
Discount Rate |
|
|
Decrease |
||
|
|
|
|
|
|
|
Expected Term(2) |
|
|
Decrease |
||
Trust Interest |
|
|
|
|
Asset Approach |
|
Recovery Rate |
|
|
Increase |
||
Total Level 3 Investments |
|
$ |
|
|
|
|
|
|
|
|
|
|
The Fund is only permitted to borrow amounts such that the asset coverage ratio is at least
Revolving Credit Facility
The Fund is party to a secured revolving credit facility with Deutsche Bank AG (the “Revolving Credit Facility”). Effective April 14, 2023, the Revolving Credit Facility allows the Fund to borrow an amount up to $
2021 Debt Securitization
On September 9, 2021, the Fund completed a $
35
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
|
|
June 30, 2024 |
|
|||||||||||||||||||
2021 CLO |
|
Total Principal |
|
|
Principal |
|
|
Carrying Value(1) |
|
|
Fair Value |
|
|
Coupon(2) |
|
Interest Rate |
|
|||||
Class A-1 Loans |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
S+ |
|
|
% |
|||||
Class A-1a Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Class A-1b Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% |
||||||
Class A-2a Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Class A-2b Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% |
||||||
Class B-1 Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Class B-2 Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% |
||||||
Class C Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Total 2021 CLO |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
|
|
|
% |
|||||
|
|
December 31, 2023 |
|
|||||||||||||||||||
2021 CLO |
|
Total Principal |
|
|
Principal |
|
|
Carrying Value(1) |
|
|
Fair Value |
|
|
Coupon(2) |
|
Interest Rate |
|
|||||
Class A-1 Loans |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
S+ |
|
|
% |
|||||
Class A-1a Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Class A-1b Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% |
||||||
Class A-2a Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Class A-2b Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% |
||||||
Class B-1 Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Class B-2 Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
% |
||||||
Class C Notes |
|
|
|
|
|
|
|
|
|
|
|
|
|
S+ |
|
|
% |
|||||
Total 2021 CLO |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
|
|
|
% |
|||||
The Class A-1 Loans and Class A-1a through Class D Notes are secured obligations; the Subordinated Notes are the unsecured obligations of the 2021 CLO. The indenture governing the 2021 CLO includes customary covenants.
2026 Notes
On November 4, 2021, the Fund placed $
In connection with the 2026 Notes, the Fund entered into two interest rate swaps in April and May 2023, respectively, to align the interest rates of its liabilities with the Fund's investment portfolio which consists of predominately floating rate loans. The notional amount of the interest rate swaps were each $
36
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The following tables present the details of the Fund’s borrowings as of June 30, 2024 and December 31, 2023:
|
|
June 30, 2024 |
||||||||||||||||||||
Facility |
|
Total Principal |
|
|
Principal |
|
|
Carrying Value |
|
|
Fair Value |
|
|
Coupon |
|
Interest |
|
Maturity |
||||
Revolving Credit Facility(1) |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
S+ |
|
|
||||||
2021 CLO(2)(3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Various |
|
|
||||||
2026 Notes(3)(4) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
|
|
|
|
|
||||
|
|
December 31, 2023 |
||||||||||||||||||||
Facility |
|
Total Principal |
|
|
Principal |
|
|
Carrying Value |
|
|
Fair Value |
|
|
Coupon |
|
Interest |
|
Maturity |
||||
Revolving Credit Facility(1) |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
S+ |
|
|
||||||
2021 CLO(2)(3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Various |
|
|
||||||
2026 Notes(3)(4) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
Total |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
|
|
|
|
|
|
||||
The fair value of the Fund’s credit facilities are categorized as Level 3 within the fair value hierarchy as of June 30, 2024 and December 31, 2023.
The components of the Fund's interest and financing expenses for the three and six months ended June 30, 2024 and June 30, 2023 were as follows:
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
|
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Stated interest expense |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Unfunded fees |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Amortization of deferred financing costs and debt issuance costs |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net change in unrealized appreciation/(depreciation) on effective interest rate swaps and hedged item(1) |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total interest expense(2) |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Weighted average interest rate(3) |
|
|
% |
|
|
% |
|
|
% |
|
|
% |
||||
Average borrowings |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
37
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The Fund may enter into derivative financial instruments in the normal course of business to achieve certain risk management objectives, including managing its interest rate, credit risk and foreign currency risk exposures. The Fund is a party to International Swap and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) with certain counterparties that govern over-the-counter derivative contracts entered into from time to time. The Fund is also a party to agreements that govern derivatives cleared by a Central Counterparty Clearing House (“Cleared Derivative Agreements” and together with ISDA Master Agreements, “Derivative Agreements”). The Derivative Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral requirements under Derivative Agreements are determined based on the Fund’s net position with each counterparty. Collateral can be in the form of cash and U.S. government securities as agreed to by the Fund and the applicable counterparty. Collateral pledged by the Fund is segregated by the Fund’s custodians and may be restricted as to resale. Collateral posted to the Fund is held by the Fund’s custodians or the central counterparty clearing house and with respect to those amounts that can be sold or repledged, are presented in the Fund’s portfolio. As of June 30, 2024 and December 31, 2023, only cash was pledged by the Fund as collateral under the Derivative Agreements and was included in due from broker on the consolidated statements of assets and liabilities.
The following table presents the details of the Fund’s average U.S. dollar notional exposure for the three and six months ended June 30, 2024 and June 30, 2023:
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
Average notional value(1) |
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Interest Rate Swaps(2), hedge accounting |
|
$ |
|
|
$ |
|
|
$ |
|
|
$ |
|
||||
Interest Rate Swaps(2), non-hedge accounting |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Foreign Currency Forward Contracts(3) |
|
|
|
|
|
|
|
|
|
|
|
|
||||
The Fund's net exposure to foreign currency forward contracts and interest rate swaps presented on the consolidated statements of assets and liabilities was as follows:
|
|
|
|
|
|
|
|
|
|
|
Amounts Not Offset in Consolidated Statements of Assets and Liabilities |
|
|
|
|
|||||
|
|
Gross Amount of Assets |
|
|
Gross Amount of Liabilities |
|
|
Net Amount of Assets (Liabilities) |
|
|
Collateral (Received) Pledged |
|
|
Net Amounts |
|
|||||
June 30, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest Rate Swaps, hedge accounting(1) |
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
|
||||
Interest Rate Swaps, non-hedge accounting(2) |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
|
||||
Foreign Currency Forward Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
December 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest Rate Swaps, hedge accounting(1) |
|
$ |
|
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
|
||||
Interest Rate Swaps, non-hedge accounting |
|
|
|
|
|
|
|
|
|
|
|
( |
) |
|
|
|
||||
Foreign Currency Forward Contracts(3) |
|
|
|
|
|
|
|
|
( |
) |
|
|
|
|
|
|
||||
38
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The effect of transactions in derivative instruments not utilizing hedge accounting is presented in net gain (loss) on interest rate swaps and foreign currency forward contracts in the consolidated statements of operations as follows:
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
|
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Net realized gain (loss) on derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Foreign currency forward contracts |
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
Interest rate swaps |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total net realized gain (loss) on derivative contracts |
|
$ |
|
|
$ |
( |
) |
|
$ |
|
|
$ |
( |
) |
||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Net change in unrealized appreciation / (depreciation) on derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Foreign currency forward contracts |
|
$ |
( |
) |
|
$ |
|
|
$ |
|
|
$ |
|
|||
Interest rate swaps |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Total net change in unrealized appreciation / (depreciation) on derivative contracts |
|
$ |
( |
) |
|
$ |
|
|
$ |
|
|
$ |
|
|||
Refer to Note 6 for interest rate swaps designated as hedging instruments associated with the 2026 Notes.
39
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
From time to time, the Fund may enter into commitments to fund investments. Such commitments are incorporated into the Fund's assessment of its liquidity position. The Fund's senior secured revolver commitments are generally available on a borrower's demand. The Fund's senior secured delayed draw term loan commitments are generally available on a borrower's demand and, once drawn, generally have the same remaining term as the associated loan agreement. Undrawn senior secured delayed draw term loan commitments generally have a shorter availability period than the term of the associated loan agreement.
A summary of the composition of the Fund’s unfunded commitments as of June 30, 2024 and December 31, 2023 is shown in the table below:
Portfolio Company |
Investment Type |
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||
A Stucki TopCo Holdings LLC & Intermediate Holdings LLC |
1st Lien Revolver |
|
$ |
|
|
$ |
|
||
Accela Inc/US |
1st Lien Revolver |
|
|
|
|
|
|
||
Allentown LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
Allium Buyer LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
Arctic Glacier Group Holdings |
1st Lien Revolver |
|
|
|
|
|
|
||
Artisan Bidco Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
Azurite Intermediate Holdings Inc |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
Azurite Intermediate Holdings Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
Contractual Buyer, LLC (dba Kodiak Solutions) |
1st Lien Revolver |
|
|
|
|
|
|
||
Coupa Holdings LLC |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
Coupa Holdings LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
Crewline Buyer Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
Dye & Durham Corp |
1st Lien Revolver |
|
|
|
|
|
|
||
FR Vision Holdings, Inc. (CHA Consulting) |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
FR Vision Holdings, Inc. (CHA Consulting) |
1st Lien Revolver |
|
|
|
|
|
|
||
GC Bison Acquisition, LLC (Midland Industries) |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
GC Bison Acquisition, LLC (Midland Industries) |
1st Lien Revolver |
|
|
|
|
|
|
||
GI Apple Midco LLC (Atlas Technical) |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
GI Apple Midco LLC (Atlas Technical) |
1st Lien Revolver |
|
|
|
|
|
|
||
HOA Finance Two, LLC / HOA II Finance Two, LLC |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
Hootsuite Inc. |
1st Lien Revolver |
|
|
|
|
|
|
||
Inotiv Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
iPark Riverdale (aka Rising Ground Yonkers) |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
KORE Wireless Group Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
LeVecke Real Estate Holdings, LLC |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
LAC Acquisition LLC d/b/a Lighthouse Autism Center |
1st Lien Revolver |
|
|
|
|
|
|
||
LMG Holdings |
1st Lien Revolver |
|
|
|
|
|
|
||
Mercury Bidco LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
MIS Acquisition, LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
Mounty US Holdings |
1st Lien Revolver |
|
|
|
|
|
|
||
National Dentex Corp |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
National Dentex Corp |
1st Lien Revolver |
|
|
|
|
|
|
||
NetSPI Midco Corporation |
1st Lien Revolver |
|
|
|
|
|
|
||
Recorded Books Inc (RB Media) |
1st Lien Revolver |
|
|
|
|
|
|
||
SBP Holdings LP |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
SBP Holdings LP |
1st Lien Revolver |
|
|
|
|
|
|
||
SBP Holdings LP |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
Sintec Media NYC Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
Smarsh Inc |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
Smarsh Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
STV Group, Inc |
1st Lien Revolver |
|
|
|
|
|
|
||
TETRA Technologies Inc |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
TH Liquidating Trust |
Trust Interest |
|
|
|
|
|
|
||
Thunder Grandparent Inc. (dba Telestream, Inc) |
1st Lien Revolver |
|
|
|
|
|
|
||
USA Debusk LLC |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
USA Debusk LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
Vensure Employer Services Inc |
1st Lien Delayed Draw Term Loan |
|
|
|
|
|
|
||
Wrangler Topco, LLC |
1st Lien Revolver |
|
|
|
|
|
|
||
Total |
|
|
$ |
|
|
$ |
|
||
In the normal course of its operations, the Fund enters into contracts that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund believes the risk of significant loss to be remote.
40
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
From time to time, the Fund and its affiliates are subject to litigation arising in the normal course of business, including with respect to our portfolio companies. The Fund and certain other funds managed by the Adviser and its affiliates were named as defendants in a lawsuit asserting tortious interference, filed in a United States bankruptcy court. The Fund intends to vigorously defend against these claims. At this time, the Fund cannot predict with a reasonable degree of certainty the likelihood of an unfavorable outcome; however, management does not expect the results of any potential outcome, even if unfavorable, to be material to the Fund's consolidated financial statements.
Distributions
The Board may, in its discretion, authorize the Fund to distribute ratably among the Shareholders of any class or series of shares in the Fund in accordance with the number of outstanding full and fractional shares of such class or series as the Board may deem proper or as may otherwise be determined in accordance with the governing documents of the Fund. Any such distribution may be made in cash or property (including without limitation any type of obligations of the Fund or any assets thereof) or shares of any class or series or any combination thereof. It is expected that the Board will authorize quarterly dividends of the majority of the Fund’s net investment income. The Board may always retain such amount as it may deem necessary to pay the debts or expenses or meet other obligations of the Fund, or as it may otherwise deem desirable to use in the conduct of its affairs or to retain for future requirements or extensions of the business.
The following table summarizes the Fund's dividends declared for the three and six months ended June 30, 2024:
Date Declared |
|
Record Date |
|
Payment Date |
|
Type |
|
Distribution per Share |
|
Total Amount |
|
|
|
|
|
$ |
|
$ |
|
||||
|
|
|
|
$ |
|
$ |
|
||||
|
|
|
|
$ |
|
$ |
|
||||
|
|
|
|
$ |
|
$ |
|
The following table summarizes the Fund's dividends declared for the three and six months ended June 30, 2023:
Date Declared |
|
Record Date |
|
Payment Date |
|
Type |
|
Distribution per Share |
|
Total Amount |
|
|
|
|
|
$ |
|
$ |
|
||||
|
|
|
|
$ |
|
$ |
|
41
Silver Point Specialty Lending Fund
Notes to Consolidated Financial Statements (Unaudited) (Continued)
The following summarizes the financial highlights for the Fund:
|
For the Six Months Ended June 30, |
|
||||
|
2024 |
|
2023 |
|
||
Per Share Data(1) |
|
|
|
|
||
Net asset value, beginning of period |
$ |
|
$ |
|
||
Net investment income |
|
|
|
|
||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) |
|
( |
) |
|
( |
) |
Total from operations |
|
|
|
|
||
Dividends declared from net investment income |
|
( |
) |
|
( |
) |
Dividends declared from realized gains |
|
|
|
|
||
Total increase (decrease) in net assets |
|
|
|
|
||
Net asset value, end of period |
$ |
|
$ |
|
||
Shares outstanding, end of period |
|
|
|
|
||
Total Return, based on net asset value(2)(6) |
|
% |
|
% |
||
Ratios to average net assets(3)(5) |
|
|
|
|
||
Interest and financing related expenses |
|
% |
|
% |
||
Other operating expenses(7) |
|
% |
|
% |
||
Incentive compensation, net of clawback(6) |
|
% |
|
% |
||
Offering costs write off(6) |
|
|
|
% |
||
Total expenses |
|
% |
|
% |
||
Net investment income |
|
% |
|
% |
||
Net assets, end of period |
$ |
|
$ |
|
||
Portfolio turnover rate(4) |
|
% |
|
% |
||
Weighted-average debt outstanding |
$ |
|
$ |
|
||
Weighted-average interest rate on debt(8) |
|
% |
|
% |
||
Weighted-average shares outstanding |
|
|
|
|
||
Management has performed an evaluation of subsequent events and has determined that no additional items require adjustments to, or disclosure in the consolidated financial statements other than those items described below.
On
42
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
The information contained in this section should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this report. Some of the statements in this report (including in the following discussion) contain forward-looking statements that involve risks and uncertainties, which relate to future events or the future performance or financial condition of Silver Point Specialty Lending Fund (the "Fund,""we,""us," or "our"). Our actual results could differ materially from those anticipated by such forward-looking information including statements concerning:
We use words such as “may,” “will,” “should,” “expect,” “anticipate,” “project,” “estimate,” “intend,” “continue” or “believe” or the negatives thereof or other variations thereon or comparable terminology to identify forward-looking statements.
We have based the forward-looking statements included in this report on information available to us on the date of this report, and we assume no obligation to update any such forward-looking statements. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, you are advised to consult any additional disclosures that we may make directly to you or through reports that we have filed or in the future may file with the Securities and Exchange Commission (the "SEC"), including annual reports on Form 10-K, registration statements on Form 10, quarterly reports on Form 10-Q and current reports on Form 8-K.
Overview
The Fund was originally formed on July 31, 2014 as a Delaware limited partnership and started operations on July 1, 2015. The Fund converted into a statutory trust organized under the laws of the state of Maryland on November 15, 2021. We have elected to be regulated as a BDC under the Investment Company Act of 1940, as amended (the "1940 Act") and to be treated as a partnership for U.S. federal income tax purposes. We are an “emerging growth company” under the JOBS Act. For so long as we remain an emerging growth company under the JOBS Act, we will be subject to reduced public company reporting requirements.
Investment Framework
We are a specialty finance company that is a closed-end management investment company. We have elected to be regulated as a BDC under the 1940 Act.
We focus on U.S. middle market opportunities that have barriers to entry because they entail in-depth due diligence, valuation and collateral analyses; involve complexity; and require speed and certainty of execution and similar features that limit the
43
participation of traditional financing sources. These opportunities are often less competitive and allow us to require more favorable structural and economic terms than available in broader public markets. In addition to investments in U.S. middle market companies, we may invest a portion of our capital in opportunistic investments, including, but not limited to, loans, debt securities (secured and unsecured) and equity. The proportion of these types of investments will change over time given our views on, among other things, the economic and credit environment in which we are operating.
Our Adviser believes the middle market lending environment is attractive throughout the credit cycle as a result of the following (i) growing demand for non-traditional lenders, (ii) trajectory of the middle market environment, (iii) dynamics of middle market lending conditions and (iv) the niches of the specialty lending market, which we believe our Adviser has the credit expertise and sourcing relationships on which to capitalize. The reduced competition and barriers to entry within these deals may allow us to originate and purchase loans at premium economics and with better creditor protections than those available in the broader market.
If we are successful in achieving our investment objective, we believe that we will be able to provide our Shareholders with consistent dividends and attractive risk-adjusted total returns, although there can be no assurances in this regard. Since we commenced investment operations on July 1, 2015, through June 30, 2024, we have invested approximately $3.5 billion in 245 portfolio companies, excluding any subsequent exits or repayments. As of June 30, 2024, the fair value of our portfolio was invested approximately 96.7% in first lien secured debt, 0.6% in second lien debt, 0.4% in subordinated and unsecured debt, 0.7% in equity investments and 1.6% in other investments.
Relationship with our Adviser
Silver Point Specialty Credit Fund Management, LLC (the "Adviser"), a Delaware limited liability company and wholly owned subsidiary of Silver Point Capital, L.P. ("Silver Point"), serves as our investment adviser and administrator (see Note 3 to the consolidated financial statements for more details). Subject to the supervision of our Board of Trustees, our Adviser manages our day-to-day operations and provides us with investment advisory and management services. Our Adviser is responsible for sourcing, researching and structuring potential investments, monitoring portfolio companies, and providing operating and managerial assistance to us and to our portfolio companies as required. We believe our Adviser will be able to leverage Silver Point’s existing relationships across advisors, intermediaries, investment banks, financial sponsors, broker-dealers, lawyers, and investors to source attractive investment opportunities.
We seek to accomplish our investment objective through leveraging the Silver Point investment platform with $30.9 billion of investable assets (including leverage for applicable funds) and Silver Point’s significant credit investing expertise, which enables us to source and identify less competitive and/or mispriced market opportunities. We target secured, floating rate loans with stable income that are structured with significant downside protection, which we believe includes strong covenant packages and comprehensive collateral packages. We prioritize investments in first lien debt, which we believe offers more attractive risk-adjusted return characteristics.
We and our Adviser have obtained an exemptive order from the SEC to permit greater flexibility to negotiate the terms of co-investments if our Board of Trustees determines that it would be advantageous for us to co-invest with other affiliated funds managed by our Adviser or its affiliates in a manner consistent with our investment objectives, positions, policies, strategies and restrictions as well as regulatory requirements and other pertinent factors.
Key Components of Our Results of Operations
Investments
We focus primarily on targeting direct lending opportunities to U.S. middle market companies throughout the business cycle. Our level of investment activity can and does vary substantially from period to period depending on many factors, including the amount of debt and equity capital available to middle market companies, the level of merger and acquisition activity for such companies, the prevailing economic and market environment, the amount of capital we have available to us and the competitive environment for the type of investments we make.
As a BDC, we must not acquire any assets other than “qualifying assets” specified in the 1940 Act unless, at the time the acquisition is made, at least 70% of our total assets are qualifying assets (with certain limited exceptions). Qualifying assets include investments in “eligible portfolio companies.” Pursuant to rules adopted by the SEC, “eligible portfolio companies” include certain U.S. companies that do not have any securities listed on a national securities exchange and public companies whose securities are listed on a national securities exchange but whose market capitalization is less than $250 million.
Since formation, in excess of 70% of the Fund’s assets have been “qualifying assets” under Section 55(a) of the 1940 Act. As of June 30, 2024, the fair value of the Fund’s total assets was comprised of approximately 82.2% of “qualifying assets.”
44
Revenues
We generate revenue primarily in the form of interest income on the investments we hold and, to a lesser extent, capital gains on the sales of loans and debt and equity securities and dividend income on direct equity investments. In addition, we generate revenue in the form of commitment, origination, structuring or diligence fees, fees for providing managerial assistance, consulting fees and prepayment fees.
Interest and dividend income are recorded on an accrual basis. Loan origination fees, original issue discount and market discounts or premiums are capitalized, and we accrete or amortize such amounts to income. We record contractual prepayment premiums and the acceleration of unamortized premiums or discounts on loans and debt securities as income, which can cause investment income to vary quarter by quarter.
Interest on debt investments is generally payable monthly or quarterly. Some of our investments provide for deferred interest payments or PIK interest. The principal amount of debt investments and any accrued but unpaid interest generally becomes due at the maturity date. Generally a small but varied number of portfolio companies may make voluntary prepayments in any quarter, meaning that changes in the amount of prepayment fees received can vary significantly between periods and can vary without regard to underlying credit trends. Repayments of our debt investments can reduce interest income from period to period.
We recognize realized gains or losses on sales of investments based on the difference between the net proceeds from the disposition and the amortized cost basis of the investment at time of disposition, without regard to unrealized gains or losses previously recorded. We record changes in unrealized gain or loss on investments based on the current period changes in fair value of investments inclusive of the reversal of previously recorded unrealized gains or losses with respect to investments realized during the current period.
Expenses
Our primary operating expenses include interest and financing costs incurred from our credit facilities and the payment of fees to our Adviser under the Advisory Agreement. Additionally, we bear other costs and expenses of our operations, administration and transactions, including, but not limited to, the following:
We bear other costs and expenses of our operations and transactions in accordance with and as set forth in more detail in our Advisory Agreement (see Note 3 to the consolidated financial statements).
Use of Leverage
We are a party to debt financing arrangements that allow us to borrow money and lever our investment portfolio, subject to the limitations of the 1940 Act, with the objective of increasing our yield. This is known as “leverage” and could increase or decrease returns to our Shareholders. The use of leverage involves significant risks. As a BDC, pursuant to the 1940 Act, our total borrowings are limited. We are allowed to borrow amounts such that the ratio of our total assets (less total liabilities other than indebtedness represented by senior securities) to our total indebtedness represented by senior securities plus preferred shares, if any, is at or above 200% immediately after such borrowing. This means that we can borrow up to $1 for every $1 of investor equity. The amount of leverage that we employ will depend on our Adviser’s and our Board of Trustees’ assessment of market conditions and other factors at the time of any proposed borrowing.
45
Market Opportunity
We believe the middle market lending environment, and in particular our focus area within middle market lending, is attractive throughout the credit cycle as a result of a combination of the following:
Size of the Middle Market Environment and Resulting Demand for Capital. The middle market is a critical portion of the U.S. economy and serves an outsized role in terms of GDP and revenues. According to the National Center for The Middle Market Year-End 2023 Middle Market Indicator, there are nearly 200,000 businesses in the U.S. middle market which represents one-third of private sector GDP and employment. Moreover, it was reported that, in 2023, revenues increased for 83% of middle market companies at an average rate of 12.4%, representing two new high marks for the middle market. The Middle Market Indicator defines U.S. middle market companies as those with annual revenue between $10 million and $1 billion, significantly overlapping with our definition of U.S. middle market companies. The contribution from middle market companies to the economy has grown over time, and as the sector continues to expand, we believe there will be a similarly outsized need for capital. Historically, U.S. commercial and regional banks were traditional lenders to the middle market. However, regulatory and structural changes have taken place in the lending space that have resulted in less supply of capital for middle market companies from these traditional lenders. This has created an attractive lending opportunity for direct lenders to fill the void of traditional lenders.
Specialty Lending Market. We believe that middle market lending opportunities yield higher returns with better creditor protections when compared to broadly syndicated loan opportunities and that a unique opportunity exists for specialty lenders with differentiated sourcing channels and underwriting expertise to structure deals with more favorable terms than the broader market. We believe there persists a void in the market for deals where the borrower is in an industry or position that requires the lender to (i) conduct independent in-depth enterprise and collateral analysis and/or understand complexity, (ii) offer creative customized solutions and/or (iii) provide capital with speed and certainty of execution. We believe the reduced competition and barriers to entry within these deals allow us to originate loans at a risk-adjusted return premium to the broader market and to secure relatively stronger covenant packages, which provides our loans with significant downside protection.
Specialty Lending Expertise. Successfully lending within the middle market space requires a specialized skill set, particularly in assessing credit quality and risk, assessing business valuations, structuring and documentation, and asset management. Lenders in the middle market space have the ability to enhance value through intricate knowledge of capital structures and business dynamics, and through thoughtful structuring of financial covenants. Furthermore, lenders who engage in robust asset monitoring and management can successfully enhance returns throughout the business and credit cycle. We believe Silver Point is well-positioned to extract value from middle market opportunities given its platform, deep credit expertise, and experience managing portfolios of loans across cycles.
Attractive Opportunities to Invest in Senior Secured and Floating Rate Loans. We believe that opportunities to invest in senior secured loans are attractive because of the floating rate structure of most senior secured debt issuances and the defensive characteristics of these types of investments in a rising rate environment. We believe that floating rate debt investments can offer a superior return profile relative to fixed-rate investments, since floating rate structures are generally less susceptible to declines in value in a rising rate environment. In addition, senior secured debt possesses attractive defensive characteristics given its priority in payment relative to junior debt holders and equity holders.
Periods of economic uncertainty present both significant opportunities and risks. Increased volatility and market dislocation often result in a weakened capital base for new loan supply, and an increase in lending opportunities that require private capital to be accretive solution providers. We believe that the current macroeconomic backdrop represents an attractive opportunity as, in addition to the borrowers that were already prioritizing private credit for their capital needs, there may be significantly increased demand for private credit from the dislocated public markets and we believe this will continue well into 2024. Given our capabilities and expertise in the specialty lending market, we believe we have built an all-cycle business model and we are well positioned to take advantage of this shift in the operating landscape.
Portfolio and Investment Activity
As of June 30, 2024 and December 31, 2023, we had investments in 89 and 81 portfolio companies, respectively, with an aggregate fair value of $931.2 million and $876.2 million, respectively; our portfolio had an average portfolio company investment size of $10.5 million and $10.8 million based on fair value, respectively. For the six months ended June 30, 2024 and June 30, 2023, our average investment portfolio size based on fair value was $908.3 million and $820.9 million respectively.
46
The table below summarizes our investments as of June 30, 2024 and December 31, 2023:
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||||||||||||||||||
($ in millions) |
|
Amortized |
|
|
Fair |
|
|
Percentage of |
|
|
Amortized |
|
|
Fair |
|
|
Percentage of |
|
||||||
First-lien debt |
|
$ |
909.6 |
|
|
$ |
900.2 |
|
|
|
96.7 |
% |
|
$ |
832.5 |
|
|
$ |
821.9 |
|
|
|
93.8 |
% |
Second-lien debt |
|
|
5.8 |
|
|
|
5.3 |
|
|
|
0.6 |
% |
|
|
5.8 |
|
|
|
5.7 |
|
|
|
0.7 |
% |
Subordinated and Unsecured Debt |
|
|
4.2 |
|
|
|
4.1 |
|
|
|
0.4 |
% |
|
|
3.8 |
|
|
|
3.7 |
|
|
|
0.4 |
% |
Equities |
|
|
15.1 |
|
|
|
6.7 |
|
|
|
0.7 |
% |
|
|
15.7 |
|
|
|
19.7 |
|
|
|
2.2 |
% |
Other investments |
|
|
17.8 |
|
|
|
14.9 |
|
|
|
1.6 |
% |
|
|
27.7 |
|
|
|
25.2 |
|
|
|
2.9 |
% |
Total |
|
$ |
952.5 |
|
|
$ |
931.2 |
|
|
|
100.0 |
% |
|
$ |
885.5 |
|
|
$ |
876.2 |
|
|
|
100.0 |
% |
The following table summarizes the performing and non-accrual investments, based on fair value and amortized cost, as of June 30, 2024 and December 31, 2023:
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||||||||||||||||||||||||||
($ in millions) |
|
Amortized Cost |
|
|
Fair Value |
|
|
Amortized Cost |
|
|
Fair Value |
|
||||||||||||||||||||
Performing |
|
$ |
936.5 |
|
|
|
98.3 |
% |
|
$ |
917.4 |
|
|
|
98.5 |
% |
|
$ |
869.5 |
|
|
|
98.2 |
% |
|
$ |
860.5 |
|
|
|
98.2 |
% |
Non-accrual(1) |
|
|
16.0 |
|
|
|
1.7 |
% |
|
|
13.8 |
|
|
|
1.5 |
% |
|
|
16.0 |
|
|
|
1.8 |
% |
|
|
15.7 |
|
|
|
1.8 |
% |
Total |
|
$ |
952.5 |
|
|
|
100.0 |
% |
|
$ |
931.2 |
|
|
|
100.0 |
% |
|
$ |
885.5 |
|
|
|
100.0 |
% |
|
$ |
876.2 |
|
|
|
100.0 |
% |
For the three months ended June 30, 2024, we funded an aggregate principal amount of $63.8 million. We funded $48.2 million in 6 new portfolio companies and $15.6 million in existing portfolio companies. For this period, the weighted average term for investments in new portfolio companies was 5.9 years. For the same period, we received $(47.9) million of aggregate repayments, paydowns and sales.
For the three months ended June 30, 2023, we funded an aggregate principal amount of $133.4 million.We funded $104.3 million in 8 new portfolio company and $29.1 million in existing portfolio companies. For this period, the weighted average term for investments in new portfolio companies was 5.0 years. For the same period, we received $(87.4) million of aggregate repayments, paydowns and sales.
Our investment activity for the three months ended June 30, 2024 and June 30, 2023 is presented below:
|
|
For the Three Months Ended June 30, |
|
|||||
($ in millions) |
|
2024 |
|
|
2023 |
|
||
Investment funded: |
|
|
|
|
|
|
||
New purchases |
|
$ |
48.2 |
|
|
$ |
104.3 |
|
Follow-ons |
|
|
15.6 |
|
|
|
29.1 |
|
Total |
|
$ |
63.8 |
|
|
$ |
133.4 |
|
Investments funded(1): |
|
|
|
|
|
|
||
First-lien debt |
|
$ |
62.6 |
|
|
$ |
133.2 |
|
Second-lien debt |
|
|
— |
|
|
|
— |
|
Other debt |
|
|
1.1 |
|
|
|
— |
|
Equities |
|
|
— |
|
|
|
0.1 |
|
Other investments |
|
|
0.1 |
|
|
|
0.1 |
|
Total |
|
$ |
63.8 |
|
|
$ |
133.4 |
|
Investments sold or repaid(1): |
|
|
|
|
|
|
||
First-lien debt |
|
$ |
(36.0 |
) |
|
$ |
(87.2 |
) |
Second-lien debt |
|
|
— |
|
|
|
— |
|
Other secured debt |
|
|
(2.4 |
) |
|
|
— |
|
Equities |
|
|
(9.5 |
) |
|
|
(0.2 |
) |
Other investments |
|
|
— |
|
|
|
— |
|
Total |
|
$ |
(47.9 |
) |
|
$ |
(87.4 |
) |
Number of new investment commitments in new portfolio companies |
|
|
6 |
|
|
|
8 |
|
Average new investment fundings in new portfolio companies |
|
$ |
8.0 |
|
|
$ |
13.0 |
|
Weighted average term (years) for new investments in new portfolio companies |
|
|
5.9 |
|
|
|
5.0 |
|
Percentage of new floating rate debt investments at fair value |
|
|
100.0 |
% |
|
|
100.0 |
% |
Weighted average yield of new investments at fair value |
|
|
11.3 |
% |
|
|
13.9 |
% |
Weighted average spread over SOFR of new floating rate investments at fair value |
|
|
5.7 |
% |
|
|
8.0 |
% |
47
The weighted average yields and interest rates of our debt investments at fair value, as of June 30, 2024 and December 31, 2023 were as follows:
|
|
June 30, 2024 |
|
|
December 31, 2023 |
|
||
Weighted average yield of portfolio |
|
|
12.4 |
% |
|
|
12.5 |
% |
Weighted average yield of performing debt investments |
|
|
12.9 |
% |
|
|
13.4 |
% |
Weighted average interest rate of performing debt investments |
|
|
12.2 |
% |
|
|
12.5 |
% |
Weighted average spread over SOFR of floating rate performing investments |
|
|
7.1 |
% |
|
|
7.2 |
% |
Results of Operations
Operating results for the three and six months ended June 30, 2024 and June 30, 2023 were as follows:
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
($ in millions) |
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Total investment income |
|
$ |
30.7 |
|
|
$ |
27.8 |
|
|
$ |
61.1 |
|
|
$ |
54.8 |
|
Less: Total expenses |
|
|
13.9 |
|
|
|
13.5 |
|
|
|
28.6 |
|
|
|
27.7 |
|
Net investment income |
|
|
16.8 |
|
|
|
14.3 |
|
|
|
32.5 |
|
|
|
27.1 |
|
Net realized gain (loss) |
|
|
8.4 |
|
|
|
(0.9 |
) |
|
|
6.9 |
|
|
|
(2.3 |
) |
Net change in unrealized gain (loss) |
|
|
(13.6 |
) |
|
|
(0.4 |
) |
|
|
(11.1 |
) |
|
|
0.3 |
|
Net increase (decrease) in net assets resulting from operations |
|
$ |
11.6 |
|
|
$ |
13.0 |
|
|
$ |
28.3 |
|
|
$ |
25.1 |
|
Investment Income
Investment income is comprised primarily of interest from debt investments, which includes PIK, amortization of upfront fees and prepayment fees.
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
($ in millions) |
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Interest income, excluding PIK interest |
|
$ |
29.0 |
|
|
$ |
26.5 |
|
|
$ |
57.7 |
|
|
$ |
53.0 |
|
PIK interest income |
|
|
1.7 |
|
|
|
0.9 |
|
|
|
3.4 |
|
|
|
1.4 |
|
Dividend income |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other income |
|
|
— |
|
|
|
0.4 |
|
|
|
— |
|
|
|
0.4 |
|
Total investment income |
|
$ |
30.7 |
|
|
$ |
27.8 |
|
|
$ |
61.1 |
|
|
$ |
54.8 |
|
For the three months ended June 30, 2024, total investment income of $30.7 million increased by approximately $2.9 million from $27.8 million for the three months ended June 30, 2023, primarily due to an increase in interest income (excluding PIK) of $2.5 million. The increase in interest income (excluding PIK) was primarily driven by an increase in average portfolio size of $100.6 million at fair value.
For the six months ended June 30, 2024, total investment income of $61.1 million increased by approximately $6.3 million from $54.8 million for the six months ended June 30, 2023, primarily due to an increase in interest income (excluding PIK) of approximately $4.7 million. The increase in interest income (excluding PIK) was largely due to an increase in average portfolio size of $87.3 million at fair value, partially offset by a decrease in annualized yield (excluding PIK) of approximately 24 basis points.
48
Expenses
Operating expenses for the three and six months ended June 30, 2024 and June 30, 2023 were as follows:
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
($ in millions) |
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Interest and financing expenses |
|
$ |
8.9 |
|
|
$ |
8.2 |
|
|
$ |
17.8 |
|
|
$ |
16.3 |
|
Management fee |
|
|
1.0 |
|
|
|
1.0 |
|
|
|
2.1 |
|
|
|
2.1 |
|
Income incentive compensation |
|
|
2.9 |
|
|
|
2.6 |
|
|
|
5.7 |
|
|
|
4.8 |
|
Incentive compensation clawback |
|
|
(0.8 |
) |
|
|
— |
|
|
|
(0.7 |
) |
|
|
— |
|
Professional fees |
|
|
0.7 |
|
|
|
0.7 |
|
|
|
1.3 |
|
|
|
1.4 |
|
Administration fees |
|
|
0.6 |
|
|
|
0.6 |
|
|
|
1.1 |
|
|
|
1.1 |
|
Participation expenses |
|
|
0.1 |
|
|
|
— |
|
|
|
0.2 |
|
|
|
— |
|
Trustee fees |
|
|
0.1 |
|
|
|
0.1 |
|
|
|
0.2 |
|
|
|
0.2 |
|
Offering costs write off |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1.3 |
|
Other general and administrative expenses |
|
|
0.4 |
|
|
|
0.3 |
|
|
|
0.9 |
|
|
|
0.5 |
|
Total expenses |
|
$ |
13.9 |
|
|
$ |
13.5 |
|
|
$ |
28.6 |
|
|
$ |
27.7 |
|
For the three months ended June 30, 2024, total expenses increased $0.4 million to $13.9 million from $13.5 million for the three months ended June 30, 2023. Interest and financing expenses for the three months ended June 30, 2024 increased $0.7 million over prior period, primarily due to an increase in weighted average borrowing costs of approximately 57 basis points primarily driven by the SOFR rate increase. Additionally, for the three months ended June 30, 2024, Income Incentive Compensation increased approximately $0.3 million, which was offset by ($0.8) million change in the Incentive Compensation Clawback.
For the six months ended June 30, 2024, total expenses increased $0.9 million to $28.6 million from $27.7 million for the six months ended June 30, 2023. Interest and financing expenses for the six months ended June 30, 2024 increased $1.6 million over the same period in the prior year, primarily due to an increase in annualized weighted average borrowing costs of approximately 62 basis points primarily driven by the SOFR rate increase. Additionally, Income Incentive Compensation increased by approximately $1.1 million for the six month period ended June 30, 2024 relative to the same period in the prior year. These increases were partially offset by the nonrecurring deferred offering costs write off of $1.3 million for the six months ended June 30, 2023.
Net Realized Gain (Loss) and Net Change in Unrealized Appreciation (Depreciation)
The following table summarizes the net realized gain (loss) and net change in unrealized appreciation (depreciation) for the three and six months ended June 30, 2024 and June 30, 2023:
|
|
For the Three Months Ended June 30, |
|
|
For the Six Months Ended June 30, |
|
||||||||||
($ in millions) |
|
2024 |
|
|
2023 |
|
|
2024 |
|
|
2023 |
|
||||
Net realized gain (loss): |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Investments |
|
$ |
7.8 |
|
|
$ |
(0.6 |
) |
|
$ |
6.2 |
|
|
$ |
(2.1 |
) |
Foreign currency ("FX") transactions and FX forward contracts |
|
|
0.4 |
|
|
|
(0.6 |
) |
|
|
0.2 |
|
|
|
(0.5 |
) |
Interest rate swaps |
|
|
0.1 |
|
|
|
0.3 |
|
|
|
0.5 |
|
|
|
0.3 |
|
Total net realized gain (loss) |
|
|
8.3 |
|
|
|
(0.9 |
) |
|
$ |
6.9 |
|
|
$ |
(2.3 |
) |
Net change in unrealized appreciation (depreciation): |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Investments |
|
|
(13.5 |
) |
|
|
(1.4 |
) |
|
$ |
(12.0 |
) |
|
$ |
0.2 |
|
Translation in FX and FX forward contracts |
|
|
(0.2 |
) |
|
|
0.3 |
|
|
|
0.9 |
|
|
|
— |
|
Interest rate swaps |
|
|
0.1 |
|
|
|
0.7 |
|
|
|
0.1 |
|
|
|
0.1 |
|
Total net change in unrealized appreciation (depreciation) |
|
$ |
(13.6 |
) |
|
$ |
(0.4 |
) |
|
$ |
(11.0 |
) |
|
$ |
0.3 |
|
Net Realized Gain (Loss)
For the three months ended June 30, 2024 and June 30, 2023, net realized gain (loss) on investments was $7.8 million and $(0.6) million, respectively, primarily driven by exits in two portfolio companies and one portfolio companies, respectively.
For the six months ended June 30, 2024 and June 30, 2023, net realized gain (loss) on investments was $6.2 million and $(2.1) million, respectively, primarily driven by three portfolio company investments with respective realized losses greater than $1.0 million and two portfolio companies, respectively.
49
Net Change in Unrealized Appreciation (Depreciation)
We fair value our portfolio investments quarterly and any changes in fair value are recorded as unrealized appreciation or depreciation. Upon exiting an investment, we reverse the unrealized appreciation or depreciation and recognize realized gain or loss, if any.
For the three months ended June 30, 2024 and June 30, 2023, net change in unrealized appreciation (depreciation) on investments was $(13.5) million and $(1.4) million, respectively. For the three months ended June 30, 2024, we had gross unrealized appreciation of $5.5 million, primarily driven by an increase in the fair value of our debt investments; we had gross unrealized depreciation of $(19.0) million, primarily driven by three portfolio companies with respective unrealized depreciation above $(1.0) million. For the three months ended June 30, 2023, we had gross unrealized appreciation of $6.7 million, primarily driven by two portfolio companies with respective unrealized gains greater than $1.0 million; we had gross unrealized depreciation of $(8.1) million, primarily driven by three portfolio companies with respective unrealized depreciation above $(1.0) million.
For the six months ended June 30, 2024 and June 30, 2023, net change in unrealized appreciation (depreciation) on investments was $(12.0) million and $0.2 million, respectively. For the six months ended June 30, 2024 , we had gross unrealized appreciation of $9.9 million, primarily driven by an increase in the fair value of our debt investments; we had gross unrealized depreciation of $(21.9) million, primarily driven by two portfolio companies with respective unrealized depreciation above $(1.0) million. For the six months ended June 30, 2023, we had gross unrealized appreciation of $11.1 million, primarily driven by four portfolio companies with respective unrealized gains greater than $1.0 million; we had gross unrealized depreciation of $(10.9) million, primarily driven by four portfolio companies with respective unrealized depreciation above $(1.0) million.
Federal Income Taxes
The Fund is treated as a partnership for U.S. federal income tax purposes. Therefore, we are generally not subject to U.S. federal income taxes as each investor is individually liable for income taxes, if any, on its share of net taxable income on a flow through basis. Interest, dividends, and other income realized from non-U.S. sources and capital gains realized on the sale of securities of non-U.S. issuers may be subject to withholding and other taxes levied by the jurisdiction in which the income is sourced. Such withholding taxes are accrued when incurred as withholding taxes against the relevant income stream.
Realized Gross Internal Rate of Return
Since commencement of our investment operations on July 1, 2015 through June 30, 2024, we have fully exited investments in 156 portfolio companies, which have resulted in an unlevered internal rate of return (gross of expenses) of 13.2%, or unlevered internal rate of return (net of expenses) of 10.2%. The internal rate of return is the percentage rate of return earned on each dollar invested related to realized investments, based on the amounts and effective dates of each funding and repayment related to each realized investment. Please see above for more information regarding Fund expenses. The Fund expects to use leverage and, to the extent that returns on investments are greater than the interest the Fund pays on leverage, returns to Shareholders will be increased.
Derivatives and Hedging
We have designated certain interest rate swaps to be in a hedge accounting relationship associated with our fixed rate debt and we also use interest rate swaps to reduce the interest rate risk exposure of certain fixed rate investments. We also entered into foreign currency forward contracts to manage the foreign currency exposure in our non-U.S. dollar denominated investments. See Note 2 and Note 7 to the consolidated financial statements for more details regarding the accounting policies and additional disclosure for derivative instruments. See Note 6 to the consolidated financial statements for additional disclosure regarding the carrying value of the hedged debt.
Financial Condition, Liquidity and Capital Resources
Our liquidity and capital resources are derived primarily from proceeds from net investor capital contributions/equity issuances, advances from our credit facilities and cash flows from operations. The primary uses of our cash and cash equivalents are investments, costs of operations, debt service, repayment and other financing costs and distributions to investors.
We may from time to time enter into additional credit facilities, increase the size of existing facilities or issue debt and convertible debt securities. Any such incurrence or issuance would be subject to prevailing market conditions, our liquidity requirements, contractual and regulatory restrictions and other factors. As of June 30, 2024 and December 31, 2023, our asset coverage ratio was 217% and 219%, respectively. We have carefully considered our unfunded portfolio commitments for the purpose of planning our capital resources and liquidity including our financial leverage. As of June 30, 2024 and December 31, 2023, our
50
unfunded portfolio commitments were approximately $42.0 million and $27.9 million, respectively. Further, we maintain sufficient cash, cash equivalents and borrowing capacity to cover any short term funding requirements.
Cash as of June 30, 2024, taken together with cash available from our credit facilities, is expected to be sufficient for our investing activities and to conduct our operations in the near term. As of June 30, 2024, we had approximately $70.3 million of availability on our third-party debt facilities, subject to asset coverage limitations.
As of June 30, 2024, we had $63.3 million in cash and cash equivalents, foreign cash held at banks and restricted cash and cash equivalents. During the six months ended June 30, 2024, cash used in operating activities was $(39.4) million, primarily driven by payments for the purchase of investments of $(132.8) million, net change in unsettled transactions of $(14.1) million and other operating activity of $(0.2) million, partially offset by proceeds from sales, paydowns and resolutions of investments of $79.4 million and an increase in net assets resulting from operations of $28.3 million. Lastly, cash used in financing activities was $(16.5) million, primarily due to dividends paid of $(25.8) million, partially offset by to net proceeds from borrowings of $9.3 million.
Contractual Obligations
As of June 30, 2024, our contractual payment obligations are as follows:
|
|
Payments Due by Period |
|
|||||||||||||||||
($ in millions) |
|
Total |
|
|
Less than |
|
|
1-3 years |
|
|
3-5 years |
|
|
After |
|
|||||
2021 CLO |
|
$ |
288.0 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
288.0 |
|
2026 Notes |
|
|
145.0 |
|
|
|
— |
|
|
|
145.0 |
|
|
|
— |
|
|
|
— |
|
Revolving Credit Facility |
|
|
29.7 |
|
|
|
— |
|
|
|
— |
|
|
|
29.7 |
|
|
|
— |
|
Total Contractual Obligations |
|
$ |
462.7 |
|
|
$ |
— |
|
|
$ |
145.0 |
|
|
$ |
29.7 |
|
|
$ |
288.0 |
|
2021 Debt Securitization
On September 9, 2021, the Fund completed a $400 million term debt securitization (the “2021 Debt Securitization”) and the Fund owns $112 million of Class D and Subordinated Notes. The debt offered in the 2021 Debt Securitization (the “2021 CLO”) was issued by Silver Point SCF CLO I, Ltd., a wholly-owned, consolidated subsidiary of the Fund, and is backed by a diversified portfolio of senior secured and second lien loans and senior secured bonds (see Note 6 to the consolidated financial statements for more details). The 2021 CLO consists of the following:
|
|
June 30, 2024 |
|
|||||||||||
($ in millions) |
|
Total Principal |
|
|
Principal |
|
|
Coupon(1) |
|
Interest |
|
|||
Class A-1 Loans |
|
$ |
100.0 |
|
|
$ |
100.0 |
|
|
S+1.72% |
|
|
7.31 |
% |
Class A-1a Notes |
|
|
104.5 |
|
|
|
104.5 |
|
|
S+1.72% |
|
|
7.31 |
% |
Class A-1b Notes |
|
|
7.5 |
|
|
|
7.5 |
|
|
2.45% |
|
|
2.45 |
% |
Class A-2a Notes |
|
|
6.0 |
|
|
|
6.0 |
|
|
S+1.90% |
|
|
7.49 |
% |
Class A-2b Notes |
|
|
10.0 |
|
|
|
10.0 |
|
|
2.81% |
|
|
2.81 |
% |
Class B-1 Notes |
|
|
8.0 |
|
|
|
8.0 |
|
|
S+2.00% |
|
|
7.59 |
% |
Class B-2 Notes |
|
|
8.0 |
|
|
|
8.0 |
|
|
2.94% |
|
|
2.94 |
% |
Class C Notes |
|
|
44.0 |
|
|
|
44.0 |
|
|
S+3.00% |
|
|
8.59 |
% |
Total 2021 CLO |
|
$ |
288.0 |
|
|
$ |
288.0 |
|
|
|
|
|
7.11 |
% |
2026 Notes
On November 4, 2021, the Fund placed $145 million aggregate principal amount of notes that mature on November 4, 2026 (the “2026 Notes”). The 2026 Notes were issued in two tranches, with $100 million of tranche A notes funded on November 4, 2021 and $45 million of tranche B notes funded on January 21, 2022. The 2026 Notes bear interest at a rate of 4.00% per year, payable semi-annually on November 4 and May 4, of each year, commencing on May 4, 2022. The 2026 Notes are governed by a purchase agreement, dated November 4, 2021, by and among the Fund and the purchasers. In connection with the 2026 Notes, the Fund entered into interest rate swaps during the second quarter of 2023 and applied hedge accounting for the designated hedge relationship between the 2026 Notes and the swaps. As a result of these swaps, the Fund's effective interest rate on the 2026
51
Notes is SOFR plus 4 basis points during the swaps' outstanding period (see Note 6 to the consolidated financial statements for more details).
Revolving Credit Facility
On October 17, 2017, Specialty Credit Facility, LLC (the "Borrower"), a wholly-owned subsidiary of the Fund, entered into a secured revolving credit facility (the “Revolving Credit Facility”) with Deutsche Bank AG, as facility agent and U.S. Bank National Association as collateral agent. On June 24, 2024, the Borrower entered into Amendment No. 19 to the Revolving Credit Facility (the “Credit Facility Amendment”). The Credit Facility Amendment revised the interest rate applicable to any collateral obligation or advance denominated in Canadian dollars under the Revolving Credit Facility to be the sum of (i) the greater of (x) 0.25% and (y) the term Canadian Overnight Repo Rate Average for a tenor of three months on the day prescribed by the Revolving Credit Facility, and (ii) an adjustment of 0.32138%.
As of June 30, 2024, the commitment under the Revolving Credit Facility was $100 million and amounts drawn under the Revolving Credit Facility bore interest at 3-month SOFR plus a margin of 2.85% per annum. We also pay a commitment fee of 0.40% per annum on any undrawn amount. Amounts borrowed under the Revolving Credit Facility are secured by the assets of the borrower (see Note 6 to the consolidated financial statements for more details).
Distributions
We intend to pay quarterly dividends to our Shareholders out of assets legally available for distribution. All dividends will be paid at the discretion of our Board of Trustees and will depend on our earnings, financial condition, compliance with applicable BDC regulations and such other factors as our Board of Trustees may deem relevant from time to time (see Note 9 to the consolidated financial statements for more details).
Unfunded Portfolio Commitments
From time to time, we may enter into commitments to fund investments. We incorporate these commitments into our assessment of our liquidity position. Our senior secured revolving loan commitments are generally available on a borrower’s demand and may remain outstanding until the maturity date of the applicable loan. Our senior secured term loan commitments generally require certain criteria to be met to be released, and, once drawn, generally have the same remaining term as the associated Revolving Credit Facility.
As of June 30, 2024 and December 31, 2023, we had the following commitments to fund investments in current portfolio companies:
($ in millions) |
|
June 30, |
|
|
December 31, |
|
||
First Lien Secured Debt |
|
$ |
41.7 |
|
|
$ |
27.6 |
|
Other Investments |
|
|
0.3 |
|
|
|
0.3 |
|
Total Portfolio Company Commitments |
|
$ |
42.0 |
|
|
$ |
27.9 |
|
We seek to carefully consider our unfunded portfolio company commitments for the purpose of planning our ongoing financial leverage. Further, we consider any outstanding unfunded portfolio company commitments we are required to fund within the 200% asset coverage limitation. As of June 30, 2024, we believe we had adequate financial resources to satisfy the unfunded portfolio company commitments, with cash and cash equivalents on hand and availability under the Revolving Credit Facility.
Other Commitments and Contingencies
Contracts
We have entered into two contracts under which we have future commitments: the Advisory Agreement and the sub-administration agreement (see Note 3 to the consolidated financial statements). Payments under the Advisory Agreement are equal to (1) a percentage of the Shareholders’ aggregate net capital contributions, (2) a two-part incentive fee and (3) reimbursements equal to an amount that the Administrator incurs for costs and expenses and the Fund’s allocable portion of overhead incurred by our Adviser in performing its obligations as Administrator under the Advisory Agreement. Either party may terminate the Advisory Agreement without penalty upon at least 60 days’ written notice to the other.
Financial Instruments
We may become a party to financial instruments with off-balance sheet risk in the normal course of our business to meet the financial needs of our portfolio companies. These instruments may include commitments to extend credit and involve, to varying degrees, elements of liquidity and credit risk in excess of the amount recognized in the balance sheet.
52
Critical Accounting Estimates
The preparation of our consolidated financial statements requires us to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues, and expenses. Changes in the economic environment, financial markets, and any other parameters used in determining such estimates could cause actual results to differ. In addition to the discussion below, our critical accounting policies are further described in the notes to our consolidated financial statements.
Valuation of Investments and Derivative Contracts
The Board of Trustees has designated the Adviser as the Fund’s valuation designee pursuant to Rule 2a-5 under the 1940 Act, which establishes requirements for determining fair value in good faith for purposes of the 1940 Act. Accordingly, the Adviser has appointed its BDC Valuation Committee with the responsibility for fair value determinations pursuant to valuation procedures adopted for the Fund. The Board of Trustees oversees the Adviser in its role as valuation designee in accordance with the requirements of Rule 2a-5 under the 1940 Act.
Investments and derivative contracts are valued in good faith by the Adviser, as the Fund’s valuation designee, at fair value pursuant to the valuation policy, which considers quotations provided by independent pricing sources, when such quotations are available and deemed reliable. The Fund conducts this valuation process on a quarterly basis.
Investments that are not listed on an exchange but are actively traded over-the-counter are generally valued at the representative “bid” quotation if held long and the representative “ask” quotation if held short or, in the case of equities that trade in over-the-counter marketplaces, at the last deemed reliable sale price provided by independent pricing sources. Derivative contracts not listed on an exchange are generally valued through industry-standard valuation models using inputs obtained from pricing vendors and from the relevant derivative contract.
The estimated fair value of financial instruments is based upon available information and may not be the amount that the Fund would realize in a current transaction or might be ultimately realized, since such amounts depend on future circumstances, and the differences could be material.
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Fund discloses the fair value of its investments according to a hierarchy that prioritizes the inputs used to measure the fair value. The hierarchy gives the highest priority to valuations based upon unadjusted quoted prices on a securities exchange in active markets for identical assets or liabilities (level 1 measurements) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (level 3 measurements). In accordance with U.S. GAAP, these inputs are summarized in the three broad levels listed below:
Level 1: Inputs that reflect unadjusted quoted prices on a securities exchange in active markets for identical assets or liabilities;
Level 2: Inputs other than quoted prices on a securities exchange that are observable for the asset or liability either directly or indirectly in active markets, or unadjusted prices on a securities exchange in markets that are not considered to be active;
Level 3: Significant inputs that may be unobservable or inputs, including market quotations other than quoted prices on a securities exchange, in markets that are not considered to be active.
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions including assumptions about risk. Inputs may include price information, volatility statistics, specific and broad credit data, liquidity statistics and other factors. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires judgment by the Adviser. The Adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by multiple independent sources that are actively involved in the relevant market. The categorization of an investment within the hierarchy is based upon the pricing transparency of the investment and does not necessarily correspond to the Adviser’s perceived risk of that instrument.
In determining an instrument’s placement within the hierarchy, the Adviser separates the Fund’s investment portfolio into two categories: investments and derivative contracts. Each of these categories can further be divided between assets and liabilities and further by investment type.
53
Investments that are valued based on dealer quotations or alternative pricing sources supported by observable inputs are generally classified within level 2. These may include certain bonds or bank loans.
Derivative contracts can be exchange-traded or privately negotiated over-the-counter (“OTC”). OTC derivatives, including foreign currency forward contracts and interest rate swaps are generally valued using observable inputs. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in the instrument as well as the availability and reliability of observable inputs. OTC derivatives are typically classified within level 2 of the fair value hierarchy depending on their liquidity or the observability of their inputs.
Investments classified within level 3 have significant unobservable inputs. Level 3 instruments may include certain bank loans, trust interests, private equity and real estate properties. When observable prices are not available for these investments, one or more valuation techniques (e.g., market approach or income approach) for which sufficient and reliable data is available may be used. Within level 3, the use of the market approach technique generally consists of using comparable market data, while the use of the income approach technique generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other factors. Quotations provided by independent pricing sources may also be considered, if available and deemed reliable, in determining the value of level 3 investments.
The inputs used in estimating the value of level 3 investments that are not valued using quotations provided by independent pricing sources may include but are not limited to the original transaction price, recent transactions in the same or similar instruments, completed or pending third party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, discount rates, durations and changes in financial ratios or cash flows. Comparable public companies may also be identified based on industry, size, strategy, etc. and a trading multiple or yield is determined for each comparable company. Additionally, level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated in the absence of market information. Assumptions used due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s consolidated results of operations.
See Note 2 and Note 5 to the consolidated financial statements for more information on our valuation process, as well key assumptions and inputs used in valuation of level 3 investments period over period.
Recent Developments
On August 6, 2024, the Board declared a dividend of $0.33 per share and a supplemental dividend of $0.02 per share, payable on August 9, 2024, for Shareholders of record on June 30, 2024.
Item 3. Quantitative and Qualitative Disclosures About Market Risk
We are subject to financial market risks, including but not limited to changes in interest rates, foreign currency rates and the valuations of our investment portfolio.
Interest Rate Risk
Interest rate sensitivity refers to the change in our earnings that may result from changes in the level of interest rates. Because we expect to fund a portion of our investments with borrowings, our net investment income is expected to be affected by the difference between the rate at which we invest and the rate at which we borrow. As a result, there can be no assurance that a significant change in market interest rates will not have a material adverse effect on our net investment income.
We regularly measure our exposure to interest rate risk. We assess interest rate risk and manage our interest rate exposure on an ongoing basis by comparing our interest rate sensitive assets to our interest rate sensitive liabilities.
As of June 30, 2024, approximately 92.6% of our total debt investments at fair value (or 94.0% of our performing debt investments) bore floating interest rates. From time to time, the Fund seeks to mitigate interest rate risk associated with fixed rate investments by entering into interest rate swaps. With the impact of the interest rate swaps, approximately 96.2% of our performing debt investments based on fair value were effectively floating rate investments as of June 30, 2024. Our Revolving Credit Facility and a majority of the 2021 CLO also bear floating interest rates; in connection with our fixed-rate 2026 Notes, we entered into fixed-to-floating interest rate swaps under a designated hedge accounting relationship, in order to align the interest rates of our liabilities with our investment portfolio (see Note 6 to the consolidated financial statements for more details).
Assuming that our consolidated balance sheet as of June 30, 2024 were to remain constant and that we took no actions to alter our existing interest rate sensitivity, the following table shows the annualized impact of hypothetical base rate changes in interest rates (considering interest rate caps and floors, if any, for floating rate instruments):
54
|
|
June 30, 2024 |
|
|||||||||
Basis Point Change |
|
Change in |
|
|
Change in |
|
|
Change in |
|
|||
($ in millions) |
|
|
|
|
|
|
|
|
|
|||
Up 300 basis points |
|
$ |
25.4 |
|
|
$ |
(13.1 |
) |
|
$ |
12.3 |
|
Up 200 basis points |
|
|
16.9 |
|
|
|
(8.7 |
) |
|
|
8.2 |
|
Up 100 basis points |
|
|
8.5 |
|
|
|
(4.4 |
) |
|
|
4.1 |
|
Up 50 basis points |
|
|
4.2 |
|
|
|
(2.2 |
) |
|
|
2.0 |
|
Down 50 basis points |
|
|
(4.3 |
) |
|
|
2.2 |
|
|
|
(2.1 |
) |
Down 100 basis points |
|
|
(8.6 |
) |
|
|
4.4 |
|
|
|
(4.2 |
) |
Down 200 basis points |
|
|
(17.1 |
) |
|
|
8.7 |
|
|
|
(8.4 |
) |
Down 300 basis points |
|
|
(24.9 |
) |
|
|
13.1 |
|
|
|
(11.8 |
) |
Although we believe that this analysis is indicative of our existing sensitivity to interest rate changes, it does not adjust for changes in the credit market, credit quality, the size and composition of the assets in our portfolio and other business developments that could affect our net investment income. Accordingly, we cannot assure you that actual results would not differ materially from the analysis above.
We may in the future hedge against interest rate fluctuations by using hedging instruments such as additional interest rate swaps, futures, options and forward contracts. While hedging activities may mitigate our exposure to adverse fluctuations in interest rates, certain hedging transactions that we may enter into in the future, such as interest rate swap agreements, may also limit our ability to participate in the benefits of changes in interest rates with respect to our portfolio investments.
Currency Risk
From time to time, we may make investments that are denominated in a foreign currency. These investments are translated into U.S. dollars at each balance sheet date, exposing us to movements in foreign exchange rates. We may employ hedging techniques to minimize these risks, but we cannot assure you that such strategies will be effective or without risk to us. We may seek to utilize instruments such as, but not limited to, forward contracts to seek to hedge against fluctuations in the relative values of our portfolio positions from changes in currency exchange rates. We also have the ability to borrow in certain foreign currencies under our Revolving Credit Facility. Instead of entering into a foreign exchange forward contract in connection with loans or other investments we have made that are denominated in a foreign currency, we may borrow in that currency to establish a natural hedge against our loan or investment. To the extent the loan or investment is based on a floating rate other than a rate under which we can borrow under our Revolving Credit Facility, we may seek to utilize interest rate derivatives to hedge our exposure to changes in the associated rate.
Valuation Risk
We have invested, and plan to continue to invest, primarily in illiquid debt of private companies. Most of our investments will not have a readily available market price, and we value these investments at fair value as determined in good faith in accordance with our valuation policy. There is no single standard for determining fair value. As a result, determining fair value requires that judgment be applied to the specific facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of investments we make. If we were required to liquidate a portfolio investment in a forced or liquidation sale, we may realize amounts that are different from the amounts presented and such differences could be material.
Item 4. Controls and Procedures
(a) Evaluation of Disclosure Controls and Procedures
In accordance with Rules 13a-15(b) and 15d-15(b) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), we, under the supervision and with the participation of our Chief Executive Officer and Chief Financial Officer, carried out an evaluation of the effectiveness of our disclosure controls and procedures (as defined in Rule 13a-15(e) and Rule 15d-15(e) of the Exchange Act) as of the end of the period covered by this Quarterly Report on Form 10-Q and determined that our disclosure controls and procedures are effective as of the end of the period covered by the Quarterly Report on Form 10-Q.
(b) Changes in Internal Control Over Financial Reporting
There have been no changes in our internal control over financial reporting (as defined in Rules 13a‑15(f) and 15d‑15(f) under the Exchange Act) that occurred during the quarter ended June 30, 2024 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.
55
PART II—OTHER INFORMATION
Item 1. Legal Proceedings
From time to time, we may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of our rights under contracts with our portfolio companies. We and our Adviser are also subject to extensive regulation, which may result in regulatory proceedings or investigations against us or our Adviser, respectively. Except as described below, neither we nor the Adviser are currently subject to any material legal proceedings.
The Fund and certain other funds managed by the Adviser and its affiliates were named as defendants in a lawsuit asserting tortious interference, filed in a United States bankruptcy court. The Fund intends to vigorously defend against these claims. At this time, the Fund cannot predict with a reasonable degree of certainty the likelihood of an unfavorable outcome; however, management does not expect the results of any potential outcome, even if unfavorable, to be material to the Fund's consolidated financial statements.
Item 1A. Risk Factors
In addition to the other information set forth in this report, you should carefully consider the risk factors contained in "Item 1A. Risk Factors" in our most recent annual report on Form 10-K, filed with the SEC on March 21, 2024 (our "Form 10-K"), each of which could materially affect our business, financial condition or future results. The risks described in our Form 10-K are not the only risks facing the Fund. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results.
Item 2. Unregistered Sales of Equity Securities, Use of Proceeds, and Issuer Purchases of Equity Securities
None.
Item 3. Defaults Upon Senior Securities
None.
Item 4. Mine Safety Disclosures
Not applicable.
Item 5. Other Information
During the three months ended June 30, 2024, no director or executive officer of the Fund
Item 6. Exhibits
The following exhibits are filed as part of this report or hereby incorporated by reference to exhibits previously filed with the SEC:
Exhibit Number |
|
Description |
3.1 |
|
|
3.2 |
|
|
10.1 |
|
|
31.1 |
|
|
31.2 |
|
|
32.1 |
|
|
101.INS |
|
Inline XBRL Instance Document – the instance document does not appear in the Interactive Data File because XBRL tags are embedded within the Inline XBRL document. |
101.SCH |
|
Inline XBRL Taxonomy Extension Schema with Embedded Linkbase Documents |
104 |
|
Cover Page Interactive Data File (embedded within the Inline XBRL document) |
* Filed herewith.
56
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
|
|
Silver Point Specialty Lending Fund |
|
|
|
|
|
Date: August 12, 2024 |
|
By: |
/s/ Edward Mulé |
|
|
|
Edward Mulé |
|
|
|
Chief Executive Officer |
|
|
|
|
Date: August 12, 2024 |
|
By: |
/s/ Jesse Dorigo |
|
|
|
Jesse Dorigo |
|
|
|
Chief Financial Officer |
57