UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

For the Quarterly Period Ended MayAugust 31, 2017

 

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

Commission File Number:001-33376

 

 

SARATOGA INVESTMENT CORP.

(Exact name of registrant as specified in its charter)

 

 

 

Maryland 20-8700615

(State or other jurisdiction of

incorporation or organization)

 

(I.R.S. Employer

Identification No.)

 

535 Madison Avenue

New York, New York

 10022
(Address of principal executive office) (Zip Code)

(212) 906-7800

(Registrant’s telephone number, including area code)

Not applicable

(Former Name, Former Address and Former Fiscal Year, if Changed Since Last Report)

 

 

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of RegulationS-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).    Yes  ☐    No  ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, anon-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” inRule 12b-2 of the Exchange Act. (check one):

 

Large Accelerated Filer   Accelerated Filer 
Non-Accelerated Filer   Smaller Reporting Company 
   Emerging Growth Company 

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

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

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of July 12,October 11, 2017 was 5,967,273.6,003,834.

 

 

 


TABLE OF CONTENTS

 

 

 

     Page 

PART I.

 FINANCIAL INFORMATION   3 
Item 1. Consolidated Financial Statements   3 
 Consolidated Statements of Assets and Liabilities as of MayAugust 31, 2017 (unaudited) and February 28, 2017   3 
 Consolidated Statements of Operations for the three and six months ended MayAugust 31, 2017 and MayAugust 31, 2016 (unaudited)   4 
 Consolidated Schedules of Investments as of MayAugust 31, 2017 (unaudited) and February 28, 2017   5 
 Consolidated Statements of Changes in Net Assets for the threesix months ended MayAugust 31, 2017 and MayAugust 31, 2016 (unaudited)   7 
 Consolidated Statements of Cash Flows for the threesix months ended MayAugust 31, 2017 and MayAugust 31, 2016 (unaudited)   8 
 Notes to Consolidated Financial Statements as of MayAugust 31, 2017 (unaudited)   9 
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations   35 
Item 3. Quantitative and Qualitative Disclosures About Market Risk   5961 
Item 4. Controls and Procedures   6061 
PART II. OTHER INFORMATION   6162 
Item 1. Legal Proceedings   6162 
Item 1A. Risk Factors   6162 
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds   6162 
Item 3. Defaults Upon Senior Securities   6162 
Item 4. Mine Safety Disclosures   6162 
Item 5. Other Information   6162 
Item 6. Exhibits   6263 
Signatures   6465 

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial StatementsFinancialStatements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

  As of   As of 
  May 31, 2017 February 28, 2017   August 31, 2017 February 28, 2017 
  (unaudited)     (unaudited)   

ASSETS

      

Investments at fair value

      

Non-control/Non-affiliate investments (amortized cost of $291,471,679 and $251,198,896, respectively)

  $  278,767,064  $  242,531,514 

Control investments (cost of $48,625,339 and $49,283,536, respectively)

   50,922,884  50,129,799 

Non-control/Non-affiliate investments (amortized cost of $295,295,973 and $251,198,896, respectively)

  $  289,721,139  $  242,531,514 

Control investments (amortized cost of $38,327,248 and $49,283,536, respectively)

   43,248,674  50,129,799 
  

 

  

 

   

 

  

 

 

Total investments at fair value (amortized cost of $340,097,018 and $300,482,432, respectively)

   329,689,948  292,661,313 

Total investments at fair value (amortized cost of $333,623,221 and $300,482,432, respectively)

   332,969,813  292,661,313 

Cash and cash equivalents

   1,246,815  9,306,543    1,595,438  9,306,543 

Cash and cash equivalents, reserve accounts

   26,526,889  12,781,425    16,816,101  12,781,425 

Interest receivable (net of reserve of $817,374 and $157,560, respectively)

   3,652,935  3,294,450 

Interest receivable (net of reserve of $895,998 and $157,560, respectively)

   3,773,660  3,294,450 

Management and incentive fee receivable

   276,484  171,106    255,134  171,106 

Other assets

   278,376  183,346    464,291  183,346 

Receivable from unsettled trades

   253,041  253,041    253,041  253,041 
  

 

  

 

   

 

  

 

 

Total assets

  $361,924,488  $318,651,224   $356,127,478  $318,651,224 
  

 

  

 

   

 

  

 

 

LIABILITIES

      

Revolving credit facility

  $24,500,000  $—     $10,000,000  $—   

Deferred debt financing costs, revolving credit facility

   (760,150 (437,183   (743,272 (437,183

SBA debentures payable

   134,660,000  112,660,000    134,660,000  112,660,000 

Deferred debt financing costs, SBA debentures payable

   (2,924,288 (2,508,280   (2,794,750 (2,508,280

Notes payable

   74,450,500  74,450,500    74,450,500  74,450,500 

Deferred debt financing costs, notes payable

   (2,578,509 (2,689,511   (2,513,115 (2,689,511

Base management and incentive fees payable

   3,992,960  5,814,692    5,056,994  5,814,692 

Accounts payable and accrued expenses

   773,025  852,987    1,099,099  852,987 

Interest and debt fees payable

   1,805,492  2,764,237    3,038,528  2,764,237 

Directors fees payable

   51,500  51,500    60,500  51,500 

Due to manager

   345,305  397,505    353,386  397,505 
  

 

  

 

   

 

  

 

 

Total liabilities

  $234,315,835  $191,356,447   $222,667,870  $191,356,447 
  

 

  

 

   

 

  

 

 

Commitments and contingencies (See Note 7)

      

NET ASSETS

      

Common stock, par value $.001, 100,000,000 common shares authorized, 5,884,475 and 5,794,600 common shares issued and outstanding, respectively

  $5,884  $5,795 

Common stock, par value $.001, 100,000,000 common shares authorized, 5,967,272 and 5,794,600 common shares issued and outstanding, respectively

  $5,967  $5,795 

Capital in excess of par value

   192,449,147  190,483,931    194,222,453  190,483,931 

Distribution in excess of net investment income

   (26,898,415 (27,737,348   (26,799,657 (27,737,348

Accumulated net realized loss from investments and derivatives

   (27,540,893 (27,636,482   (33,315,747 (27,636,482

Accumulated net unrealized depreciation on investments and derivatives

   (10,407,070 (7,821,119   (653,408 (7,821,119
  

 

  

 

   

 

  

 

 

Total net assets

   127,608,653  127,294,777    133,459,608  127,294,777 
  

 

  

 

   

 

  

 

 

Total liabilities and net assets

  $361,924,488  $318,651,224   $356,127,478  $318,651,224 
  

 

  

 

   

 

  

 

 

NET ASSET VALUE PER SHARE

  $21.69  $21.97   $22.37  $21.97 
  

 

  

 

   

 

  

 

 

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

  For the three months ended
May 31, 2017
 For the three months ended
May 31, 2016
  For the three months
ended
August 31, 2017
 For the three months
ended
August 31, 2016
 For the six months
ended
August 31, 2017
 For the six months
ended
August 31, 2016
 

INVESTMENT INCOME

       

Interest from investments

       

Non-control/Non-affiliate investments

  $5,920,433  $6,620,113  $7,183,757  $6,561,838  $13,104,190  $13,181,951 

Payment-in-kind interest income from Non-control/Non-affiliate investments

   223,273  129,090  298,957  184,265  522,230  313,355 

Control investments

   1,335,386  532,126  1,496,080  557,200  2,831,466  1,089,326 

Payment-in-kind interest income from Control investments

   262,109   —    207,624   —    469,733   —   
  

 

  

 

  

 

  

 

  

 

  

 

 

Total interest income

   7,741,201  7,281,329  9,186,418  7,303,303  16,927,619  14,584,632 

Interest from cash and cash equivalents

   7,081  3,786  6,493  6,401  13,574  10,187 

Management fee income

   375,681  373,684  375,957  374,657  751,638  748,341 

Incentive fee income

   105,295   —    162,358   —    267,653   —   

Other income

   478,190  249,596  522,440  763,633  1,000,630  1,013,229 
  

 

  

 

  

 

  

 

  

 

  

 

 

Total investment income

   8,707,448  7,908,395  10,253,666  8,447,994  18,961,114  16,356,389 
  

 

  

 

  

 

  

 

  

 

  

 

 

OPERATING EXPENSES

       

Interest and debt financing expenses

   2,523,606  2,368,056  2,962,844  2,369,705  5,486,450  4,737,761 

Base management fees

   1,391,027  1,227,157  1,481,788  1,202,794  2,872,815  2,429,951 

Professional fees

   384,331  359,299  407,372  302,227  791,703  661,526 

Administrator expenses

   375,000  325,000  395,833  325,000  770,833  650,000 

Incentive management fees

   176,096  728,280  1,709,636  1,208,452  1,885,732  1,936,732 

Insurance

   66,165  70,658  66,165  70,658  132,330  141,316 

Directors fees and expenses

   51,000  66,000  60,000  60,422  111,000  126,422 

General & administrative

   197,243  212,209  287,201  304,955  484,444  517,164 

Excise tax expense (credit)

 (14,738  —    (14,738  —   

Other expense

   38,531  13,187  6,514   —    45,045  13,187 
  

 

  

 

  

 

  

 

  

 

  

 

 

Total operating expenses

   5,202,999  5,369,846  7,362,615  5,844,213  12,565,614  11,214,059 
  

 

  

 

  

 

  

 

  

 

  

 

 

NET INVESTMENT INCOME

   3,504,449  2,538,549  2,891,051  2,603,781  6,395,500  5,142,330 
  

 

  

 

  

 

  

 

  

 

  

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

       

Net realized gain from investments

   95,589  6,102,905 

Net unrealized depreciation on investments

   (2,585,951 (5,353,867

Net realized gain (loss) from investments

    

Non-control/Non-affiliate investments

 (5,838,408 5,936,750  (5,742,819 12,039,655 

Control investments

 63,554   —    63,554   —   
  

 

  

 

  

 

  

 

  

 

  

 

 

Net gain (loss) on investments

   (2,490,362 749,038 

Net realized gain (loss) from investments

 (5,774,854 5,936,750  (5,679,265 12,039,655 

Net change in unrealized appreciation (depreciation) on investments

    

Non-control/Non-affiliate investments

 7,129,782  (3,857,810 3,092,549  (9,794,258

Control investments

 2,623,880  588,897  4,075,162  1,171,478 
 

 

  

 

  

 

  

 

 

Net change in unrealized appreciation (depreciation) on investments

 9,753,662  (3,268,913 7,167,711  (8,622,780
 

 

  

 

  

 

  

 

 

Net gain on investments

 3,978,808  2,667,837  1,488,446  3,416,875 
  

 

  

 

  

 

  

 

  

 

  

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $1,014,087  $3,287,587  $6,869,859  $5,271,618  $7,883,946  $8,559,205 
  

 

  

 

  

 

  

 

  

 

  

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

  $0.17  $0.57  $1.15  $0.92  $1.33  $1.49 

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED

   5,861,654  5,737,496  5,955,251  5,740,816  5,908,453  5,739,157 

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Schedule of Investments

MayAugust 31, 2017

(unaudited)

 

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Principal/
Number of
Shares
 Cost Fair Value (c) % of
Net Assets
  

Industry

 

Investment Interest Rate /

Maturity

 Principal/
Number of
Shares
 Cost Fair Value (c) % of
Net Assets
 

Non-control/Non-affiliated investments - 218.5% (b)

 

   

Non-control/Non-affiliated investments - 217.1% (b)

Non-control/Non-affiliated investments - 217.1% (b)

    

Tile Redi Holdings, LLC (d)

 Building Products First Lien Term Loan (L+10.00%), 11.32% Cash, 6/16/2022 $15,000,000  $14,850,000  $14,850,000  11.1
    

 

  

 

  

 

 
  Total Building Products  14,850,000  14,850,000  11.1
    

 

  

 

  

 

 

Apex Holdings Software Technologies, LLC

 Business Services First Lien Term Loan
(L+8.00%), 9.21% Cash, 9/21/2021
 $18,000,000  $17,864,592  $18,000,000  14.1 Business Services First Lien Term Loan (L+8.00%), 9.32% Cash, 9/21/2021 $18,000,000  17,871,194  18,000,000  13.5

Avionte Holdings, LLC (g)

 Business Services Common Stock 100,000  100,000  257,000  0.2 Business Services Common Stock 100,000  100,000  363,000  0.3

BMC Software, Inc. (d)

 Business Services Syndicated Loan (L+4.00%), 5.21% Cash, 9/10/2022 $4,883,493  4,835,787  4,905,468  3.8 Business Services Syndicated Loan (L+4.00%), 5.32% Cash, 9/10/2022 $4,871,232  4,825,630  4,829,339  3.6

CLEO Communications Holding, LLC

 Business Services First Lien Term Loan (L+7.00%), 8.21% Cash/2.00% PIK, 3/31/2022 $13,000,000  12,872,436  12,870,000  10.1 Business Services First Lien Term Loan (L+7.00%), 8.32% Cash/2.00% PIK, 3/31/2022 $13,088,335  12,964,508  12,957,452  9.7

CLEO Communications Holding, LLC (j)

 Business Services Delayed Draw Term Loan (L+7.00%), 8.21% Cash/2.00% PIK, 3/31/2022 $—     —     —    0.0

CLEO Communications Holding, LLC (i)

 Business Services Delayed Draw Term Loan (L+7.00%), 8.32% Cash/2.00% PIK, 3/31/2022 $2,000,000  1,980,000  1,980,000  1.5

Courion Corporation

 Business Services Second Lien Term Loan (L+10.00%), 11.21% Cash, 6/1/2021 $15,000,000  14,885,014  14,229,000  11.1 Business Services Second Lien Term Loan (L+10.00%), 11.32% Cash, 6/1/2021 $15,000,000  14,890,921  14,313,000  10.7

Emily Street Enterprises, L.L.C.

 Business Services Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020 $3,300,000  3,287,284  3,321,450  2.6 Business Services Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020 $3,300,000  3,292,667  3,321,450  2.5

Emily Street Enterprises, L.L.C. (g)

 Business Services Warrant Membership Interests Expires 12/28/2022 49,318  400,000  426,600  0.3 Business Services Warrant Membership Interests Expires 12/28/2022 49,318  400,000  523,757  0.4

Erwin, Inc.

 Business Services Second Lien Term Loan (L+11.50%), 12.71% Cash/1.00% PIK, 8/28/2021 $13,143,616  13,036,964  13,143,616  10.3 Business Services Second Lien Term Loan (L+11.50%), 12.82% Cash/1.00% PIK, 8/28/2021 $13,176,840  13,075,070  13,176,840  9.9

FranConnect LLC (d)

 Business Services First Lien Term Loan (L+7.00%), 8.50% Cash, 5/26/2022 $14,500,000  14,427,500  14,427,500  11.3 Business Services First Lien Term Loan (L+7.00%), 8.50% Cash, 5/26/2022 $14,500,000  14,427,500  14,433,300  10.8

GreyHeller LLC

 Business Services First Lien Term Loan (L+11.00%), 12.21% Cash, 11/16/2021 $7,000,000  6,935,808  7,000,000  5.5 Business Services First Lien Term Loan
(L+11.00%), 12.32% Cash, 11/16/2021
 $7,000,000  6,938,608  7,000,000  5.2

GreyHeller LLC (j)

 Business Services Delayed Draw Term Loan B (L+11.00%), 12.21% Cash, 11/16/2021 $—     —     —    0.0 Business Services Delayed Draw Term Loan B (L+11.00%), 12.32% Cash, 11/16/2021 $—     —     —    0.0

GreyHeller LLC (g)

 Business Services Common Stock 850,000  850,000  850,000  0.7 Business Services Common Stock 850,000  850,000  784,426  0.6

Help/Systems Holdings, Inc.(Help/Systems, LLC)

 Business Services First Lien Term Loan (L+5.25%), 6.46% Cash, 10/8/2021 $5,932,462  5,847,487  5,937,208  4.7

Help/Systems Holdings, Inc.(Help/Systems, LLC)

 Business Services Second Lien Term Loan (L+9.50%), 10.71% Cash, 10/8/2022 $3,000,000  2,925,229  2,928,900  2.3

Identity Automation Systems

 Business Services Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018 $621,695  621,695  621,695  0.5

Help/Systems Holdings, Inc.
(Help/Systems, LLC)

 Business Services First Lien Term Loan (L+4.50%), 5.82% Cash, 10/8/2021 $5,404,367  5,310,648  5,417,878  4.1

Help/Systems Holdings, Inc.
(Help/Systems, LLC)

 Business Services Second Lien Term Loan (L+9.50%), 10.82% Cash, 10/8/2022 $3,000,000  2,927,863  2,937,600  2.2

Identity Automation Systems (g)

 Business Services Common Stock Class A Units 232,616  232,616  514,298  0.4 Business Services Common Stock Class A Units 232,616  232,616  578,283  0.4

Identity Automation Systems

 Business Services First Lien Term Loan (L+9.25%), 10.46% Cash/1.75% PIK, 12/18/2020 $10,324,839  10,261,369  10,324,839  8.1 Business Services First Lien Term Loan (L+9.50%), 10.82% Cash, 3/31/2021 $18,000,000  17,868,107  17,923,540  13.4

Knowland Technology Holdings, L.L.C.

 Business Services First Lien Term Loan (L+8.75%), 9.96% Cash, 7/20/2021 $16,888,730  16,833,572  16,888,731  13.2 Business Services First Lien Term Loan (L+8.75%), 10.07% Cash, 7/20/2021 $16,888,730  16,861,820  16,888,730  12.6

Microsystems Company

 Business Services Second Lien Term Loan (L+10.00%), 11.21% Cash, 7/1/2022 $8,000,000  7,929,936  8,000,000  6.3 Business Services Second Lien Term Loan (L+10.00%), 11.32% Cash, 7/1/2022 $8,000,000  7,932,584  8,040,000  6.0

National Waste Partners (d)

 Business Services First Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000  8,910,000  8,910,000  7.0 Business Services Second Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000  8,910,000  8,959,500  6.7

Vector Controls Holding Co., LLC (d)

 Business Services First Lien Term Loan 14.00% (12.00% Cash/2.00% PIK), 3/6/2018 $8,711,174  8,679,449  8,711,174  6.8 Business Services First Lien Term Loan 14.00% (12.00% Cash/2.00% PIK), 3/6/2018 $8,499,741  8,478,591  8,499,741  6.4

Vector Controls Holding Co., LLC (d), (g)

 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025 343   —    328,008  0.3 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025 343   —    481,356  0.4
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Business Services  151,736,738  152,595,487  119.6  Total Business Services  160,138,327  161,409,192  120.9
    

 

  

 

  

 

     

 

  

 

  

 

 

Targus Holdings, Inc. (d), (g)

 Consumer Products Common Stock 210,456  1,791,242  24,957  0.0

Targus Holdings, Inc. (g)

 Consumer Products Common Stock 210,456  1,791,242  279,920  0.2

Targus Holdings, Inc. (d)

 Consumer Products Second Lien Term Loan A-2 15.00% PIK, 12/31/2019 $243,206  243,206  243,206  0.2 Consumer Products Second Lien Term LoanA-2 15.00% PIK, 12/31/2019 $252,517  252,517  252,517  0.2

Targus Holdings, Inc. (d)

 Consumer Products Second Lien Term Loan B 15.00% PIK, 12/31/2019 $729,230  729,230  729,230  0.6 Consumer Products Second Lien Term Loan B 15.00% PIK, 12/31/2019 $757,149  757,150  757,149  0.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Consumer Products  2,763,678  997,393  0.8  Total Consumer Products  2,800,909  1,289,586  1.0
    

 

  

 

  

 

     

 

  

 

  

 

 

My Alarm Center, LLC

 Consumer Services Preferred Equity Class A Units 8.00% PIK 2,227  2,226,560  2,250,310  1.7

My Alarm Center, LLC (g)

 Consumer Services Preferred Equity Class B Units 1,797  1,796,880  1,773,130  1.3

My Alarm Center, LLC (g)

 Consumer Services Second Lien Term Loan (L+11.00%), 12.21% Cash, 7/9/2019 $10,343,750  10,329,743  2,695,581  2.1 Consumer Services Common Stock 96,224   —     —    0.0

PrePaid Legal Services, Inc. (d)

 Consumer Services First Lien Term Loan (L+5.25%), 6.50% Cash, 7/1/2019 $2,558,573  2,546,279  2,564,458  2.0 Consumer Services First Lien Term Loan (L+5.25%), 6.57% Cash, 7/1/2019 $2,505,496  2,494,954  2,517,021  1.9

PrePaid Legal Services, Inc. (d)

 Consumer Services Second Lien Term Loan (L+9.00%), 10.25% Cash, 7/1/2020 $11,000,000  10,968,443  10,957,100  8.6 Consumer Services Second Lien Term Loan (L+9.00%), 10.32% Cash, 7/1/2020 $11,000,000  10,970,916  11,028,600  8.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Consumer Services  23,844,465  16,217,139  12.7  Total Consumer Services  17,489,310  17,569,061  13.2
    

 

  

 

  

 

     

 

  

 

  

 

 

C2 Educational Systems

 Education First Lien Term Loan (L+8.50%), 10.00% Cash, 5/31/2020 $16,000,000  15,840,181  15,840,000  12.4

M/C Acquisition Corp., L.L.C. (d), (g)

 Education Class A Common Stock 544,761  30,241   —    0.0

M/C Acquisition Corp., L.L.C. (d), (g)

 Education First Lien Term Loan 1.00% Cash, 3/31/2018 $2,321,073  1,193,790  6,320  0.0

C2 Educational Systems (d)

 Education First Lien Term Loan (L+8.50%), 10.00% Cash, 5/31/2020 $16,000,000  15,844,735  15,851,200  11.9

M/C Acquisition Corp., L.L.C. (g)

 Education Class A Common Stock 544,761  30,241   —    0.0

M/C Acquisition Corp., L.L.C. (g)

 Education First Lien Term Loan 1.00% Cash, 3/31/2018 $2,318,121  1,190,838  6,320  0.0

Texas Teachers of Tomorrow, LLC (g), (h)

 Education Common Stock 750,000  750,000  878,603  0.7 Education Common Stock 750,000  750,000  910,433  0.7

Texas Teachers of Tomorrow, LLC

 Education Second Lien Term Loan (L+8.00%), 9.21% Cash, 6/2/2021 $10,000,000  9,922,434  10,000,000  7.8 Education Second Lien Term Loan (L+9.75%), 11.07% Cash, 6/2/2021 $10,000,000  9,926,400  10,000,000  7.5
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Education  27,736,646  26,724,923  20.9  Total Education  27,742,214  26,767,953  20.1
    

 

  

 

  

 

     

 

  

 

  

 

 

TM Restaurant Group L.L.C. (g)

 Food and Beverage First Lien Term Loan 14.50% PIK, 7/17/2017 $9,358,694  9,349,470  8,279,637  6.5 Food and Beverage First Lien Term Loan 14.50% PIK, 10/24/2017 $9,358,694  9,355,564  7,996,068  6.0

TM Restaurant Group L.L.C. (g), (i)

 Food and Beverage Revolver 14.50% PIK, 7/17/2017 $413,954  413,954  366,225  0.3

TM Restaurant Group L.L.C. (g)

 Food and Beverage Revolver 14.50% PIK, 10/24/2017 $413,954  413,954  353,682  0.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Food and Beverage  9,763,424  8,645,862  6.8  Total Food and Beverage  9,769,518  8,349,750  6.3
    

 

  

 

  

 

     

 

  

 

  

 

 

Censis Technologies, Inc.

 Healthcare Services First Lien Term Loan B (L+10.00%), 11.21% Cash, 7/24/2019 $10,950,000  10,840,545  10,879,920  8.5 Healthcare Services First Lien Term Loan B (L+10.00%), 11.32% Cash, 7/24/2019 $10,800,000  10,703,416  10,800,000  8.1

Censis Technologies, Inc. (g), (h)

 Healthcare Services Limited Partner Interests 999  999,000  907,701  0.7 Healthcare Services Limited Partner Interests 999  999,000  1,092,307  0.8

ComForCare Health Care

 Healthcare Services First Lien Term Loan (L+8.50%), 9.71% Cash, 1/31/2022 $10,500,000  10,400,434  10,500,000  8.2 Healthcare Services First Lien Term Loan (L+8.50%), 9.82% Cash, 1/31/2022 $10,500,000  10,404,703  10,542,000  7.9

Roscoe Medical, Inc. (d), (g)

 Healthcare Services Common Stock 5,081  508,077  585,152  0.5 Healthcare Services Common Stock 5,081  508,077  583,679  0.4

Roscoe Medical, Inc.

 Healthcare Services Second Lien Term Loan 11.25% Cash, 9/26/2019 $4,200,000  4,159,694  4,186,560  3.3 Healthcare Services Second Lien Term Loan 11.25% Cash, 9/26/2019 $4,200,000  4,163,582  4,190,340  3.1

Ohio Medical, LLC (g)

 Healthcare Services Common Stock 5,000  500,000  218,050  0.2 Healthcare Services Common Stock 5,000  500,000  246,350  0.2

Ohio Medical, LLC

 Healthcare Services Senior Subordinated Note 12.00% Cash, 7/15/2021 $7,300,000  7,241,526  6,395,530  5.0 Healthcare Services Senior Subordinated Note 12.00% Cash, 7/15/2021 $7,300,000  7,244,377  6,515,980  4.9

Zest Holdings, LLC (d)

 Healthcare Services Syndicated Loan (L+4.25%), 5.46% Cash, 8/16/2023 $4,136,911  4,056,579  4,162,973  3.3 Healthcare Services Syndicated Loan (L+4.25%), 5.57% Cash, 8/16/2023 $4,126,569  4,048,135  4,150,503  3.1
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Healthcare Services  38,705,855  37,835,886  29.7  Total Healthcare Services  38,571,290  38,121,159  28.5
    

 

  

 

  

 

     

 

  

 

  

 

 

HMN Holdco, LLC

 Media First Lien Term Loan 12.00% Cash/2.00% PIK, 7/8/2021 $8,343,607  8,267,744  8,593,916  6.7 Media First Lien Term Loan 12.00% Cash, 7/8/2021 $8,266,574  8,200,476  8,504,652  6.4

HMN Holdco, LLC

 Media Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021 $4,800,000  4,754,553  4,824,000  3.8 Media Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021 $4,800,000  4,757,943  4,938,240  3.7

HMN Holdco, LLC (g)

 Media Class A Series, Expires 1/16/2025 4,264  61,647  263,131  0.2 Media Class A Series, Expires 1/16/2025 4,264  61,647  251,789  0.2

HMN Holdco, LLC (g)

 Media Class A Warrant, Expires 1/16/2025 30,320  438,353  1,481,132  1.2 Media Class A Warrant, Expires 1/16/2025 30,320  438,353  1,412,306  1.0

HMN Holdco, LLC (g)

 Media Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024 57,872   —    2,530,743  2.0 Media Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024 57,872   —    2,399,952  1.8

HMN Holdco, LLC (g)

 Media Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024 8,139   —    413,217  0.3 Media Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024 8,139   —    394,742  0.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Media  13,522,297  18,106,139  14.2  Total Media  13,458,419  17,901,681  13.4
    

 

  

 

  

 

     

 

  

 

  

 

 

Elyria Foundry Company, L.L.C. (d), (g)

 Metals Common Stock 35,000  9,217,564  1,458,100  1.1

Elyria Foundry Company, L.L.C. (g)

 Metals Common Stock 60,000  9,685,029  2,671,800  2.0

Elyria Foundry Company, L.L.C. (d)

 Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 $437,500  437,500  437,500  0.4 Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 $790,957  790,957  790,957  0.6
    

 

  

 

  

 

 
  Total Metals  9,655,064  1,895,600  1.5
    

 

  

 

  

 

 

Mercury Network, LLC

 Real Estate Second Lien Term Loan (L+10.50%), 11.71% Cash, 3/17/2022 $12,988,202  12,885,683  13,118,084  10.2

Mercury Network, LLC (g)

 Real Estate Common Stock 580,559  857,829  2,630,551  2.1
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Real Estate  13,743,512  15,748,635  12.3  Total Metals  10,475,986  3,462,757  2.6
    

 

  

 

��

  

 

     

 

  

 

  

 

 

Sub Total Non-control/Non-affiliated investments

Sub Total Non-control/Non-affiliated investments

  291,471,679  278,767,064  218.5

Sub Total Non-control/Non-affiliated investments

  295,295,973  289,721,139  217.1
    

 

  

 

  

 

     

 

  

 

  

 

 

Control investments - 39.9% (b)

     

Control investments - 32.4% (b)

      

Easy Ice, LLC (f)

 Business Services Preferred Equity 10.00% PIK 5,080,000  8,124,444  8,131,921  6.4 Business Services Preferred Equity 10.00% PIK 5,080,000  8,124,444  10,212,022  7.6

Easy Ice, LLC (d), (f)

 Business Services First Lien Term Loan (L+10.25%), 11.31% Cash, 1/15/2020 $26,680,000  26,480,450  26,680,000  20.9 Business Services Second Lien Term Loan (L+11.00%), 5.44% Cash/7.56% PIK, 2/28/2023 $16,500,000  16,380,840  16,500,003  12.4
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Business Services  34,604,894  34,811,921  27.3  Total Business Services  24,505,284  26,712,025  20.0
    

 

  

 

  

 

     

 

  

 

  

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)

 Structured Finance Securities Other/Structured Finance Securities 22.56%, 10/20/2025 $30,000,000  9,520,445  11,563,263  9.0

Saratoga Investment Corp. Class F Note (a), (d), (f)

 Structured Finance Securities Other/Structured Finance Securities (L+8.50%), 9.71%, 10/20/2025 $4,500,000  4,500,000  4,547,700  3.6

Saratoga Investment Corp. CLO2013-1, Ltd.
(a), (e), (f)

 Structured Finance Securities Other/Structured Finance Securities 28.54%, 10/20/2025 $30,000,000  9,321,964  12,037,549  9.0

Saratoga Investment Corp. Class F
Note (a), (f)

 Structured Finance Securities Other/Structured Finance Securities (L+8.50%), 9.82%, 10/20/2025 $4,500,000  4,500,000  4,499,100  3.4
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Structured Finance Securities  14,020,445  16,110,963  12.6  Total Structured Finance Securities  13,821,964  16,536,649  12.4
    

 

  

 

  

 

     

 

  

 

  

 

 

Sub Total Control investments

    48,625,339  50,922,884  39.9    38,327,248  43,248,674  32.4
    

 

  

 

  

 

     

 

  

 

  

 

 

TOTAL INVESTMENTS - 258.4% (b)

  $340,097,018  $329,689,948   258.4

TOTAL INVESTMENTS - 249.5% (b)

    $  333,623,221  $332,969,813   249.5
    

 

  

 

  

 

     

 

  

 

  

 

 
      
 Principal Cost Fair Value % of
Net Assets
  Principal Cost Fair Value % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 21.8% (b)

    

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.8% (b)

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.8% (b)

    

U.S. Bank Money Market (k)

   $27,773,704  $27,773,704  $27,773,704  21.8   $18,411,539  $18,411,539  $18,411,539  13.8
   

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

 $27,773,704  $27,773,704  $27,773,704   21.8

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

 $18,411,539  $18,411,539  $18,411,539   13.8
   

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

 

 

(a)Represents anon-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended.Non-qualifying assets represent 4.9%5.0% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio innon-qualifying assets.
(b)Percentages are based on net assets of $127,608,653$133,459,608 as of MayAugust 31, 2017.
(c)Because there is no readily available market value for these investments, the fair valuevalues of these investments iswere determined using significant unobservable inputs and approved in good faith by our board of directors (see Note 3 to the consolidated financial statements).
(d)These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).
(e)This investment does not have a stated interest rate that is payable thereon. As a result, the 22.56%28.54% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f)As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the periodsix months ended August 31, 2017 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

  Purchases   Redemptions   Sales
(Cost)
   Interest
Income
   Management
and Incentive
Fee Income
   Net Realized
Gains
(Losses)
   Change in
Unrealized
Appreciation
(Depreciation)
  Purchases Redemptions Sales Interest
Income
 Management
and
Incentive
Fee Income
 Net Realized
Gains
(Losses)
 Net Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

  $—     $—     $—     $1,037,917   $—     $—     $(8,811 $—    $—    $(10,180,000 $2,040,242  $—    $63,554  $1,990,902 

Saratoga Investment Corp. CLO 2013-1, Ltd.

  $—     $—     $—     $453,586   $480,976   $—     $1,411,943  $—    $—    $—    $1,048,973  $1,019,291  $—    $2,084,710 

Saratoga Investment Corp. Class F Note

  $—     $—     $—     $105,992   $—     $—     $48,150  $—    $—    $—    $211,984  $—    $—    $(450
  

 

   

 

   

 

   

 

   

 

   

 

   

 

 

 

(g)Non-income producing at MayAugust 31, 2017.
(h)Includes securities issued by an affiliate of the company.
(i)The investment has an unfunded commitment as of MayAugust 31, 2017 (see Note 7 to the consolidated financial statements).
(j)The entire commitment was unfunded at MayAugust 31, 2017. As such, no interest is being earned on this investment.
(k)Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s Consolidated Statementsconsolidated statements of Assetsassets and Liabilitiesliabilities as of MayAugust 31, 2017.

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2017

 

Company

 

Industry

 

Investment Interest Rate/
Maturity

 Principal/
Number
of Shares
 Cost Fair Value (c) % of
Net Assets
  

Industry

 

Investment Interest Rate/

Maturity

 Principal/
Number

of Shares
 Cost Fair Value (c) % of
Net Assets
 

Non-control/Non-affiliated investments - 190.5% (b)

Non-control/Non-affiliated investments - 190.5% (b)

    

Non-control/Non-affiliated investments - 190.5% (b)

 

   

Apex Holdings Software Technologies, LLC

 Business Services First Lien Term Loan (L+8.00%), 9.05% Cash, 9/21/2021 $18,000,000  $17,857,818  $17,843,400  14.0 Business Services First Lien Term Loan (L+8.00%), 9.05% Cash, 9/21/2021 $18,000,000  $17,857,818  $17,843,400  14.0

Avionte Holdings, LLC (g)

 Business Services Common Stock 100,000  100,000  251,000  0.2 Business Services Common Stock 100,000  100,000  251,000  0.2

BMC Software, Inc. (d)

 Business Services Syndicated Loan (L+4.00%), 5.05% Cash, 9/10/2020 $5,611,666  5,582,551  5,639,163  4.4 Business Services Syndicated Loan (L+4.00%), 5.05% Cash, 9/10/2020 $5,611,666  5,582,551  5,639,163  4.4

Courion Corporation

 Business Services Second Lien Term Loan (L+10.00%), 11.05% Cash, 6/1/2021 $15,000,000  14,879,353  14,230,500  11.2 Business Services Second Lien Term Loan (L+10.00%), 11.05% Cash, 6/1/2021 $15,000,000  14,879,353  14,230,500  11.2

Emily Street Enterprises, L.L.C.

 Business Services Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020 $3,300,000  3,282,213  3,316,500  2.6 Business Services Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020 $3,300,000  3,282,213  3,316,500  2.6

Emily Street Enterprises, L.L.C. (g)

 Business Services Warrant Membership Interests Expires 12/28/2022 49,318  400,000  394,544  0.3 Business Services Warrant Membership Interests Expires 12/28/2022 49,318  400,000  394,544  0.3

Erwin, Inc.

 Business Services Second Lien Term Loan (L+11.50%), 12.55% (11.50% Cash/1.00% PIK), 8/28/2021 $13,111,929  13,000,581  13,111,929  10.2 Business Services Second Lien Term Loan (L+11.50%), 12.55% (11.50% Cash/1.00% PIK), 8/28/2021 $13,111,929  13,000,581  13,111,929  10.2

GreyHeller LLC

 Business Services First Lien Term Loan (L+11.00%), 12.05% Cash, 11/16/2021 $7,000,000  6,933,141  6,930,000  5.4 Business Services First Lien Term Loan (L+11.00%), 12.05% Cash, 11/16/2021 $7,000,000  6,933,141  6,930,000  5.4

GreyHeller LLC (i), (j)

 Business Services Delayed Draw Term Loan B (L+11.00%), 12.05% Cash, 11/16/2021 $—     —     —    0.0 Business Services Delayed Draw Term Loan B (L+11.00%), 12.05% Cash, 11/16/2021 $—     —     —    0.0

GreyHeller LLC (g)

 Business Services Common Stock 850,000  850,000  850,000  0.7 Business Services Common Stock 850,000  850,000  850,000  0.7

Help/Systems Holdings, Inc.(Help/Systems, LLC)

 Business Services First Lien Term Loan (L+5.25%), 6.30% Cash, 10/8/2021 $5,947,481  5,857,960  5,947,481  4.7 Business Services First Lien Term Loan (L+5.25%), 6.30% Cash, 10/8/2021 $5,947,481  5,857,960  5,947,481  4.7

Help/Systems Holdings, Inc.(Help/Systems, LLC)

 Business Services Second Lien Term Loan (L+9.50%), 10.55% Cash, 10/8/2022 $3,000,000  2,922,606  2,926,800  2.3 Business Services Second Lien Term Loan (L+9.50%), 10.55% Cash, 10/8/2022 $3,000,000  2,922,606  2,926,800  2.3

Identity Automation Systems

 Business Services Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018 611,517  611,517  611,517  0.5 Business Services Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018 611,517  611,517  611,517  0.5

Identity Automation Systems (g)

 Business Services Common Stock Class A Units 232,616  232,616  386,143  0.3 Business Services Common Stock Class A Units 232,616  232,616  386,143  0.3

Identity Automation Systems

 Business Services First Lien Term Loan (L+9.25%), 10.30% (9.25% Cash/1.75% PIK) 12/18/2020 $10,293,791  10,223,741  10,293,791  8.1 Business Services First Lien Term Loan (L+9.25%), 10.30% (9.25% Cash/1.75% PIK) 12/18/2020 $10,293,791  10,223,741  10,293,791  8.1

Knowland Technology Holdings, L.L.C.

 Business Services First Lien Term Loan (L+8.75%), 9.80% Cash, 7/20/2021 $17,777,730  17,692,307  17,777,730  14.0 Business Services First Lien Term Loan (L+8.75%), 9.80% Cash, 7/20/2021 $17,777,730  17,692,307  17,777,730  14.0

Microsystems Company

 Business Services Second Lien Term Loan (L+10.00%), 11.05% Cash, 7/1/2022 $8,000,000  7,927,489  7,964,800  6.3 Business Services Second Lien Term Loan (L+10.00%), 11.05% Cash, 7/1/2022 $8,000,000  7,927,489  7,964,800  6.3

National Waste Partners

 Business Services First Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000  8,910,000  8,910,000  7.0 Business Services Second Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000  8,910,000  8,910,000  7.0

Vector Controls Holding Co., LLC (d)

 Business Services First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018 $8,819,270  8,778,186  8,819,270  6.9 Business Services First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018 $8,819,270  8,778,186  8,819,270  6.9

Vector Controls Holding Co., LLC (d), (g)

 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025 343   —    327,200  0.3 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025 343   —    327,200  0.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Business Services  126,042,079  126,531,768  99.4  Total Business Services  126,042,079  126,531,768  99.4
    

 

  

 

  

 

    

 

  

 

  

 

 

Targus Holdings, Inc. (d), (g)

 Consumer Products Common Stock 210,456  1,791,242  29,241  0.0 Consumer Products Common Stock 210,456  1,791,242  29,241  0.0

Targus Holdings, Inc. (d)

 Consumer Products Second Lien Term Loan A-2 15.00% PIK, 12/31/2019 $234,630  234,630  234,630  0.2 Consumer Products Second Lien Term LoanA-2 15.00% PIK, 12/31/2019 $234,630  234,630  234,630  0.2

Targus Holdings, Inc. (d)

 Consumer Products Second Lien Term Loan B 15.00% PIK, 12/31/2019 $703,889  703,889  703,889  0.6 Consumer Products Second Lien Term Loan B 15.00% PIK, 12/31/2019 $703,889  703,889  703,889  0.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Consumer Products  2,729,761  967,760  0.8  Total Consumer Products  2,729,761  967,760  0.8
    

 

  

 

  

 

    

 

  

 

  

 

 

My Alarm Center, LLC

 Consumer Services Second Lien Term Loan (L+11.00%), 12.05% Cash, 7/9/2019 $9,375,000  9,359,492  7,061,250  5.6 Consumer Services Second Lien Term Loan (L+11.00%), 12.05% Cash, 7/9/2019 $9,375,000  9,359,492  7,061,250  5.6

PrePaid Legal Services, Inc. (d)

 Consumer Services First Lien Term Loan (L+5.25%), 6.50% Cash, 7/1/2019 $2,687,143  2,672,435  2,687,143  2.1 Consumer Services First Lien Term Loan (L+5.25%), 6.50% Cash, 7/1/2019 $2,687,143  2,672,435  2,687,143  2.1

PrePaid Legal Services, Inc. (d)

 Consumer Services Second Lien Term Loan (L+9.00%), 10.25% Cash, 7/1/2020 $11,000,000  10,966,188  11,000,000  8.6 Consumer Services Second Lien Term Loan (L+9.00%), 10.25% Cash, 7/1/2020 $11,000,000  10,966,188  11,000,000  8.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Consumer Services  22,998,115  20,748,393  16.3  Total Consumer Services  22,998,115  20,748,393  16.3
    

 

  

 

  

 

    

 

  

 

  

 

 

M/C Acquisition Corp., L.L.C. (d), (g)

 Education Class A Common Stock 544,761  30,241   —    0.0 Education Class A Common Stock 544,761  30,241   —    0.0

M/C Acquisition Corp., L.L.C. (d)

 Education First Lien Term Loan 1.0% Cash, 3/31/2018 $2,321,073  1,193,790  8,087  0.0 Education First Lien Term Loan 1.00% Cash, 3/31/2018 $2,321,073  1,193,790  8,087  0.0

Texas Teachers of Tomorrow, LLC (g), (h)

 Education Common Stock 750  750,000  919,680  0.7 Education Common Stock 750  750,000  919,680  0.7

Texas Teachers of Tomorrow, LLC

 Education Second Lien Term Loan (L+9.75%), 10.80% Cash, 6/2/2021 $10,000,000  9,918,572  10,000,000  7.9 Education Second Lien Term Loan (L+9.75%), 10.80% Cash, 6/2/2021 $10,000,000  9,918,572  10,000,000  7.9
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Education  11,892,603  10,927,767  8.6  Total Education  11,892,603  10,927,767  8.6
    

 

  

 

  

 

    

 

  

 

  

 

 

TM Restaurant Group L.L.C. (g)

 Food and Beverage First Lien Term Loan (L+8.50%), 9.75% Cash, 7/17/2017 $9,358,694  9,331,446  8,422,825  6.6 Food and Beverage First Lien Term Loan (L+8.50%), 9.75% Cash, 7/17/2017 $9,358,694  9,331,446  8,422,825  6.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Food and Beverage  9,331,446  8,422,825  6.6  Total Food and Beverage  9,331,446  8,422,825  6.6
    

 

  

 

  

 

    

 

  

 

  

 

 

Censis Technologies, Inc.

 Healthcare Services First Lien Term Loan B (L+10.00%), 11.05% Cash, 7/24/2019 $11,100,000  10,977,689  10,940,160  8.6 Healthcare Services First Lien Term Loan B (L+10.00%), 11.05% Cash, 7/24/2019 $11,100,000  10,977,689  10,940,160  8.6

Censis Technologies, Inc. (g), (h)

 Healthcare Services Limited Partner Interests 999  999,000  886,772  0.7 Healthcare Services Limited Partner Interests 999  999,000  886,772  0.7

ComForCare Health Care

 Healthcare Services First Lien Term Loan (L+8.50%), 9.55% Cash, 1/31/2022 $10,500,000  10,398,957  10,395,000  8.2 Healthcare Services First Lien Term Loan (L+8.50%), 9.55% Cash, 1/31/2022 $10,500,000  10,398,957  10,395,000  8.2

Roscoe Medical, Inc. (d), (g)

 Healthcare Services Common Stock 5,081  508,077  680,823  0.5 Healthcare Services Common Stock 5,081  508,077  680,823  0.5

Roscoe Medical, Inc.

 Healthcare Services Second Lien Term Loan 11.25% Cash, 9/26/2019 $4,200,000  4,155,827  4,179,000  3.3 Healthcare Services Second Lien Term Loan 11.25% Cash, 9/26/2019 $4,200,000  4,155,827  4,179,000  3.3

Ohio Medical, LLC (g)

 Healthcare Services Common Stock 5,000  500,000  288,800  0.2 Healthcare Services Common Stock 5,000  500,000  288,800  0.2

Ohio Medical, LLC

 Healthcare Services Senior Subordinated Note 12.00%, 7/15/2021 $7,300,000  7,238,831  6,989,750  5.5 Healthcare Services Senior Subordinated Note 12.00%, 7/15/2021 $7,300,000  7,238,831  6,989,750  5.5

Zest Holdings, LLC (d)

 Healthcare Services Syndicated Loan (L+4.75%), 5.80% Cash, 8/17/2020 $4,136,911  4,085,888  4,183,658  3.3 Healthcare Services Syndicated Loan (L+4.75%), 5.80% Cash, 8/17/2020 $4,136,911  4,085,888  4,183,658  3.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Healthcare Services  38,864,269  38,543,963  30.3  Total Healthcare Services  38,864,269  38,543,963  30.3
    

 

  

 

  

 

    

 

  

 

  

 

 

HMN Holdco, LLC

 Media First Lien Term Loan 12.00% Cash, 7/8/2021 $8,462,482  8,376,876  8,462,482  6.6 Media First Lien Term Loan 12.00% Cash, 7/8/2021 $8,462,482  8,376,876  8,462,482  6.6

HMN Holdco, LLC

 Media Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021 $4,800,000  4,751,258  4,800,000  3.8 Media Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021 $4,800,000  4,751,258  4,800,000  3.8

HMN Holdco, LLC (g)

 Media Class A Series, Expires 1/16/2025 4,264  61,647  294,770  0.2 Media Class A Series, Expires 1/16/2025 4,264  61,647  294,770  0.2

HMN Holdco, LLC (g)

 Media Class A Warrant, Expires 1/16/2025 30,320  438,353  1,706,410  1.3 Media Class A Warrant, Expires 1/16/2025 30,320  438,353  1,706,410  1.3

HMN Holdco, LLC (g)

 Media Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024 57,872   —    2,961,310  2.3 Media Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024 57,872   —    2,961,310  2.3

HMN Holdco, LLC (g)

 Media Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024 8,139   —    473,690  0.4 Media Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024 8,139   —    473,690  0.4
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Media  13,628,134  18,698,662  14.6  Total Media  13,628,134  18,698,662  14.6
    

 

  

 

  

 

     

 

  

 

  

 

 

Elyria Foundry Company, L.L.C. (d), (g)

 Metals Common Stock 35,000  9,217,564  413,350  0.3 Metals Common Stock 35,000  9,217,564  413,350  0.3

Elyria Foundry Company, L.L.C. (d)

 Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 $437,500  437,500  437,500  0.4 Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 $437,500  437,500  437,500  0.4
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Metals  9,655,064  850,850  0.7  Total Metals  9,655,064  850,850  0.7
    

 

  

 

  

 

     

 

  

 

  

 

 

Mercury Network, LLC

 Real Estate First Lien Term Loan (L+9.50%), 10.55% Cash, 8/24/2021 $15,773,875  15,644,382  15,773,875  12.4 Real Estate First Lien Term Loan (L+9.50%), 10.55% Cash, 8/24/2021 $15,773,875  15,644,382  15,773,875  12.4

Mercury Network, LLC (g)

 Real Estate Common Stock 413,043  413,043  1,065,651  0.8 Real Estate Common Stock 413,043  413,043  1,065,651  0.8
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Real Estate  16,057,425  16,839,526  13.2  Total Real Estate  16,057,425  16,839,526  13.2
    

 

  

 

  

 

     

 

  

 

  

 

 

Sub Total Non-control/Non-affiliated investments

Sub Total Non-control/Non-affiliated investments

  251,198,896  242,531,514  190.5

Sub TotalNon-control/Non-affiliated investments

  251,198,896  242,531,514  190.5
    

 

  

 

  

 

    

 

  

 

  

 

 

Control investments - 39.4% (b)

            

Easy Ice, LLC (g)

 Business Services Preferred Equity 5,080,000  8,000,000  8,000,000  6.3 Business Services Preferred Equity 5,080,000  8,000,000  8,000,000  6.3

Easy Ice, LLC (d), (f)

 Business Services First Lien Term Loan (L+10.25%), 11.02% Cash, 1/15/2020 $26,680,000  26,464,162  26,680,000  20.9 Business Services First Lien Term Loan (L+10.25%), 11.02% Cash, 1/15/2020 $26,680,000  26,464,162  26,680,000  20.9
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Business Services  34,464,162  34,680,000  27.2  Total Business Services  34,464,162  34,680,000  27.2
    

 

  

 

  

 

     

 

  

 

  

 

 

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)

 Structured Finance Securities Other/Structured Finance Securities 14.87%, 10/20/2025 $30,000,000  10,319,374  10,950,249  8.7 Structured Finance Securities Other/Structured Finance Securities 14.87%, 10/20/2025 $30,000,000  10,319,374  10,950,249  8.7

Saratoga Investment Corp. Class F Note (a), (d), (f)

 Structured Finance Securities Other/Structured Finance Securities (L+8.50%), 9.55%, 10/20/2025 $4,500,000  4,500,000  4,499,550  3.5 Structured Finance Securities Other/Structured Finance Securities (L+8.50%), 9.55%, 10/20/2025 $4,500,000  4,500,000  4,499,550  3.5
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Structured Finance Securities  14,819,374  15,449,799  12.2  Total Structured Finance Securities  14,819,374  15,449,799  12.2
    

 

  

 

  

 

     

 

  

 

  

 

 

Sub Total Control investments

    49,283,536  50,129,799  39.4

Sub Total Control investments

  49,283,536  50,129,799  39.4
    

 

  

 

  

 

     

 

  

 

  

 

 

TOTAL INVESTMENTS - 229.9% (b)

    $300,482,432  $292,661,313   229.9

TOTAL INVESTMENTS - 229.9% (b)

  $300,482,432  $292,661,313   229.9
    

 

  

 

  

 

     

 

  

 

  

 

 
   Principal Cost Fair Value % of
Net Assets
  Principal Cost Fair Value % of
Net Assets
 

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 17.4% (b)

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 17.4% (b)

    

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 17.4% (b)

    

U.S. Bank Money Market (k)

   $22,087,968  $22,087,968  $22,087,968  17.4   $22,087,968  $22,087,968  $22,087,968  17.4
   

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

 

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

 $22,087,968  $22,087,968  $22,087,968   17.4

Total cash and cash equivalents and cash and cash equivalents, reserve accounts

 $22,087,968  $22,087,968  $22,087,968   17.4
   

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

 

(a)Represents anon-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended.Non-qualifying assets represent 5.3% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio innon-qualifying assets.
(b)Percentages are based on net assets of $127,294,777 as of February 28, 2017.
(c)Because there is no readily available market value for these investments, the fair valuevalues of these investments iswere determined using significant unobservable inputs and approved in good faith by our board of directors (see Note 3 to the consolidated financial statements).
(d)These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).
(e)This investment does not have a stated interest rate that is payable thereon. As a result, the 14.87% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.
(f)As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the periodyear ended February 28, 2017 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

          Sales
(Cost)
   Interest
Income
   Management
Fee Income
   Net
Realized

Gains
(Losses)
   Net Unrealized
Appreciation
(Depreciation)
 

Company

  Purchases   Redemptions     Purchases   Redemptions   Sales   Interest
Income
   Management
Fee Income
   Net Realized
Gains
(Losses)
   Net Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

  $20,553,200   $—     $—     $217,362   $—     $—     $283,226   $20,553,200   $—     $—     $217,362   $—     $—     $283,226 

Saratoga Investment Corp. CLO 2013-1, Ltd.

  $—     $—     $—     $1,941,914   $1,499,001   $—     $833,646   $—     $—     $—     $1,941,914   $1,499,001   $—     $833,646 

Saratoga Investment Corp. Class F Note

  $4,500,000   $—     $—     $122,121   $—     $—     $(450  $4,500,000   $—     $—     $122,121   $—     $—     $(450
  

 

   

 

   

 

   

 

   

 

   

 

   

 

 

 

(g)Non-income producing at February 28, 2017.
(h)Includes securities issued by an affiliate of the company.
(i)The investment has an unfunded commitment as of February 28, 2017 (see Note 7 to the consolidated financial statements).
(j)The entire commitment was unfunded at February 28, 2017. As such, no interest is being earned on this investment.
(k)Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s Consolidated Statementsconsolidated statements of Assetsassets and Liabilitiesliabilities as of February 28, 2017.

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

  For the three months ended
May 31, 2017
 For the three months ended
May 31, 2016
   For the six months ended
August 31, 2017
 For the six months ended
August 31, 2016
 

INCREASE FROM OPERATIONS:

      

Net investment income

  $3,504,449  $2,538,549   $6,395,500  $5,142,330 

Net realized gain from investments

   95,589  6,102,905 

Net unrealized depreciation on investments

   (2,585,951 (5,353,867

Net realized gain (loss) from investments

   (5,679,265 12,039,655 

Net change in unrealized appreciation (depreciation) on investments

   7,167,711  (8,622,780
  

 

  

 

   

 

  

 

 

Net increase in net assets from operations

   1,014,087  3,287,587    7,883,946  8,559,205 
  

 

  

 

   

 

  

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

      

Distributions declared

   (2,665,516 (2,346,311   (5,457,810 (5,963,242
  

 

  

 

   

 

  

 

 

Net decrease in net assets from shareholder distributions

   (2,665,516 (2,346,311   (5,457,810 (5,963,242
  

 

  

 

   

 

  

 

 

CAPITAL SHARE TRANSACTIONS:

      

Proceeds from issuance of common stock

   1,367,168   —      2,639,413   —   

Stock dividend distribution

   622,088  1,750,901    1,147,536  2,700,351 

Repurchases of common stock

   —    (713,184   —    (1,882,567

Offering costs

   (23,951  —      (48,254  —   
  

 

  

 

   

 

  

 

 

Net increase in net assets from capital share transactions

   1,965,305  1,037,717    3,738,695  817,784 
  

 

  

 

   

 

  

 

 

Total increase in net assets

   313,876  1,978,993    6,164,831  3,413,747 

Net assets at beginning of period

   127,294,777  125,149,875    127,294,777  125,149,875 
  

 

  

 

   

 

  

 

 

Net assets at end of period

  $127,608,653  $127,128,868   $133,459,608  $128,563,622 
  

 

  

 

   

 

  

 

 

Net asset value per common share

  $21.69  $22.11   $22.37  $22.39 

Common shares outstanding at end of period

   5,884,475  5,750,222    5,967,272  5,740,810 

Distribution in excess of net investment income

  $(26,898,415 $(26,025,665  $(26,799,657 $(27,038,814

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

  For the three months ended
May 31, 2017
 For the three months ended
May 31, 2016
   For the six months ended
August 31, 2017
 For the six months ended
August 31, 2016
 

Operating activities

      

NET INCREASE IN NET ASSETS FROM OPERATIONS

  $1,014,087  $3,287,587   $7,883,946  $8,559,205 

ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:

      

Payment-in-kind interest income

   (261,677 (134,256   (606,978 (276,597

Net accretion of discount on investments

   (168,970 (136,568   (335,240 (254,323

Amortization of deferred debt financing costs

   236,124  262,663    491,135  528,850 

Net realized gain from investments

   (95,589 (6,102,905

Net unrealized depreciation on investments

   2,585,951  5,353,867 

Net realized (gain) loss from investments

   5,679,265  (12,039,655

Net change in unrealized (appreciation) depreciation on investments

   (7,167,711 8,622,780 

Proceeds from sales and repayments of investments

   5,876,640  20,588,570    43,784,914  70,867,907 

Purchase of investments

   (44,964,990  —      (81,662,750 (55,728,395

(Increase) decrease in operating assets:

      

Interest receivable

   (358,485 (246,128   (479,210 (198,008

Management and incentive fee receivable

   (105,378 (478   (84,028 (881

Other assets

   1,938  (9,834   (136,499 38,184 

Receivable from unsettled trades

   —    300,000    —    15,097 

Increase (decrease) in operating liabilities:

      

Base management and incentive fees payable

   (1,821,732 159,089    (757,698 689,563 

Accounts payable and accrued expenses

   64,171  82,384    390,245  (224,033

Interest and debt fees payable

   (958,745 (513,146   274,291  321,439 

Payable for repurchases of common stock

   —    15,930    —    (20,957

Directors fees payable

   —    22,500    9,000  13,500 

Due to manager

   (52,200 6,977    (44,119 115,759 
  

 

  

 

   

 

  

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

   (39,008,855 22,936,252    (32,761,437 21,029,435 
  

 

  

 

   

 

  

 

 

Financing activities

      

Borrowings on debt

   46,500,000   —      46,500,000   —   

Paydowns on debt

   (14,500,000  —   

Payments of deferred debt financing costs

   (1,108,645 (313,400   (1,204,517 (313,400

Proceeds from issuance of common stock

   1,367,168   —      2,639,413   —   

Payments of offering costs

   (20,504  —      (39,614  —   

Repurchases of common stock

   —    (713,184   —    (1,882,567

Payments of cash dividends

   (2,043,428 (1,471,009   (4,310,274 (2,987,429
  

 

  

 

   

 

  

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

   44,694,591  (2,497,593   29,085,008  (5,183,396
  

 

  

 

   

 

  

 

 

NET INCREASE IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS

   5,685,736  20,438,659 

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS

   (3,676,429 15,846,039 

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD

   22,087,968  7,034,783    22,087,968  7,034,783 
  

 

  

 

   

 

  

 

 

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD

  $27,773,704  $27,473,442   $18,411,539  $22,880,822 
  

 

  

 

   

 

  

 

 

Supplemental information:

      

Interest paid during the period

  $3,246,228  $2,618,539   $4,721,025  $3,887,472 

Cash paid for taxes

  $54,084  $140,029   $69,345  $140,029 

Supplemental non-cash information:

      

Payment-in-kind interest income

  $261,677  $134,256   $606,978  $276,597 

Net accretion of discount on investments

  $168,970  $136,568   $335,240  $254,323 

Amortization of deferred debt financing costs

  $236,124  $262,663   $491,135  $528,850 

Stock dividend distribution

  $622,088  $1,750,901   $1,147,536  $2,700,351 

See accompanying notes to consolidated financial statements.

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

MayAugust 31, 2017

(unaudited)

Note 1. Organization

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

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

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

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

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

The Company has established wholly-owned subsidiaries, SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH, Inc., SIA MAC, Inc., SIA Mercury, Inc., SIA TT, Inc., and SIA Vector, Inc., which are structured as Delaware entities, or tax blockers, to hold equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). Tax blockers are consolidated for accounting purposes, but are not consolidated for income tax purposes and may incur income tax expense as a result of their ownership of portfolio companies.

On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received a Small Business Investment Company (“SBIC”) license from the Small Business Administration (“SBA”).

On April 2, 2015, the SBA issued a “green light” letter inviting the Company to continue the application process to obtain a license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued review of our application for a second license, and in order to ensure that they were reviewing the most current information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this request, with which we are in the process of complying, the existing “green light” letter that the SBA issued to us has expired. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue up to $150.0 million of additionalSBA-guaranteed debentures in addition to the $150.0 million already approved under the first license.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company

and its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SIA Avionte, Inc., SIA Easy Ice, LLC, SIA GH, Inc., SIA MAC, Inc., SIA Mercury, Inc., SIA TT, Inc., and SIA Vector, Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.

The Company and SBIC LP are both considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946,Financial Services — Investment Companies (“ASC 946”). There have been no changes to the Company or SBIC LP’s status as investment companies during the threesix months ended MayAugust 31, 2017.

Use of Estimates in the Preparation of Financial Statements

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

Cash and Cash Equivalents

Cash and cash equivalents include short-term, liquid investments in a money market fund. Cash and cash equivalents are carried at cost which approximates fair value. Per section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another registered investment company such as, a money market fund if such investment would cause the Company to exceed any of the following limitations:

 

we were to own more than 3.0% of the total outstanding voting stock of the money market fund;

 

we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets, except as allowed pursuant to Rule12d1-1 of Section 12(d)(1) of the 1940 Act which is designed to permit “cash sweep” arrangements rather than investments directly in short-term instruments; or

 

we were to hold securities in money market funds and other registered investment companies and BDCs having an aggregate value in excess of 10.0% of the value of our total assets.

As of MayAugust 31, 2017, the Company did not exceed any of these limitations.

Cash and Cash Equivalents, Reserve Accounts

Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds, representing payments received on secured investments or other reserved amounts associated with the Company’s $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility.

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

In November 2016, the FASB issued Accounting Standards Update (“ASU”)2016-18, Statement of Cash Flows (Topic 230):Restricted Cash(“ASU2016-18”). ASU2016-18 requires that the statements of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling thebeginning-of-period andend-of-period total amounts shown on the statements of cash flows. The new guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, and early adoption is permitted and is to be applied on a retrospective basis. The Company has adopted the provisions of ASU2016-18 as of November 30, 2016. The adoption of the provisions of ASU2016-18 did not materially impact the Company’s consolidated financial position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.

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

  May 31,
2017
   May 31,
2016
   August 31,
2017
   August 31,
2016
 

Cash and cash equivalents

  $1,246,815   $1,309,111   $1,595,438   $12,707,273 

Cash and cash equivalents, reserve accounts

   26,526,889    26,164,331    16,816,101    10,173,549 
  

 

   

 

   

 

   

 

 

Total cash and cash equivalents, and cash and cash equivalents, reserve accounts

  $27,773,704   $27,473,442   $18,411,539   $22,880,822 
  

 

   

 

   

 

   

 

 

Investment Classification

The Company classifies its investments in accordance with the requirements of the 1940 Act. Under the 1940 Act, “Control Investments” are defined as investments in companies in which we own more than 25.0% of the voting securities or maintain greater than 50.0% of the board representation. Under the 1940 Act, “Affiliated Investments” are defined as thosenon-control investments in companies in which we own between 5.0% and 25.0% of the voting securities. Under the 1940 Act, “Non-affiliated“Non-affiliated Investments” are defined as investments that are neither Control Investments nor Affiliated Investments.

Investment Valuation

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

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third party independent valuation firm. Determinations of fair value may involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.

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

 

Each investment is initially valued by the responsible investment professionals of Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and

 

An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year.

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

 

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

 

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

The Company’s investment in Saratoga Investment Corp. CLO2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for

equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and

recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

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

Derivative Financial Instruments

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

Investment Transactions and Income Recognition

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

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

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic325-40,Investments-Other, Beneficial Interests in Securitized Financial Assets, (“ASC325-40”), based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/orre-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

Other Income

Other income includes dividends received, origination fees, structuring fees and advisory fees, and is recorded in the consolidated statements of operations when earned.

Payment-in-Kind Interest

The Company holds debt investments in its portfolio that contain apayment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due. At August 31, 2017, certain investments in two portfolio companies were onnon-accrual status with a combined fair value of approximately $8.4 million, or 2.5% of the fair value of our portfolio.

Deferred Debt Financing Costs

Financing costs incurred in connection with our credit facility and notes are deferred and amortized using the straight line method over the life of the respective facility and debt securities. Financing costs incurred in connection with our SBA debentures are deferred and amortized using the effective yield method over the life of the debentures.

ASU2015-03,Interest—Imputation of Interest (Subtopic835-30): Simplifying the Presentation of Debt Issuance Costs(“ASU2015-03”) requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The Company has adopted the provisions of ASU2015-03 as of February 28, 2015, by reclassifying deferred debt financing costs from within total assets to within total liabilities as a contra-liability. Prior period amounts were reclassified to conform to the current period presentation.

Contingencies

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

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

Income Taxes

The Company has filed an electionelected to be treated for tax purposes as a RIC under the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes.

In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least 90.0% of its investment company taxable income, as defined by the Code, for each fiscal tax year. The Company will be subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does not distribute at least 98.0% of its ordinary income in any calendar year and 98.2% of its capital gain net income for eachone-year period ending on October 31.

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

In accordance with certain applicable U.S. Treasury regulations and private letter rulings issued by the Internal Revenue Service (“IRS”), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution. If too many stockholders elect to receive cash, each stockholder electing to receive cash will receive a pro rata amount of cash (with the balance of the distribution paid in stock). In no event will any stockholder, electing to receive cash, receive less than 20.0% of his or her entire distribution in cash. If these and certain other requirements are met, for U.S federal income tax purposes, the amount of the dividend paid in stock will be equal to the amount of cash that could have been received instead of stock.

ASC 740,Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not”“more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not”“more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2017, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2014, 2015 and 2016 federal tax years for the Company remain subject to examination by the IRS. As of MayAugust 31, 2017 and February 28, 2017, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.

Dividends

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

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

Capital Gains Incentive Fee

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

New Accounting Pronouncements

In October 2016,March 2017, the U.S.FASB issued ASU2017-08,Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20),Premium Amortization on Purchased Callable Debt Securities (“ASU2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU2017-08 is effective for fiscal years, and Exchange Commission (“SEC”) adopted new rules and amended existing rules (together, “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017.interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-Xthese changes will have on the Company’s consolidated financial statements and related disclosures.

In August 2016, the FASB issued ASU2016-15,Statement of Cash Flows (Topic 230),Classification of Certain Cash Receipts and Cash Payments(“ASU2016-15”), which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The guidance is effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management is currently evaluating the impact ASU2016-15 will have on the Company’s consolidated financial statements and disclosures.

In February 2016, the FASB issued ASU2016-02,Amendments to the Leases(“ASU Topic 842”), which will require for all operating leases the recognition of aright-of-use asset and a lease liability, in the statement of financial position. The lease cost will be allocated over the lease term on a straight-line basis. This guidance is effective for annual and interim periods beginning after December 15, 2018. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

In January 2016, the FASB issued ASU2016-01,Financial Instruments — Overall (Subtopic825-10): Recognition and Measurement of Financial Assets and Financial Liabilities(“ASU2016-01”). ASU2016-01 retains many current requirements for the classification and measurement of financial instruments; however, it significantly revises an entity’s accounting related to (1) the classification and measurement of investments in equity securities and (2) the presentation of certain fair value changes for financial liabilities measured at fair value. ASU2016-01 also amends certain disclosure requirements associated with the fair value of financial instruments. This guidance is effective for annual and interim periods beginning after December 15, 2017, and early adoption is not permitted for public business entities. Management is currently evaluating the impact the adoption of this standard has on the Company’s consolidated financial statements and disclosures.

In May 2014, the FASB issued ASU2014-09,Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In May 2016, ASU2016-12 amended ASU2014-09 and deferred the effective period to December 15, 2017. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606. Management is currently evaluating the impact these changes will haveof the standard on certain other income earned by the Company’s consolidated financial statements and disclosures.Company.

Risk Management

In the ordinary course of its business, the Company manages a variety of risks, including market risk and credit risk. Market risk is the risk of potential adverse changes to the value of investments because of changes in market conditions such as interest rate movements and volatility in investment prices.

Credit risk is the risk of default ornon-performance by portfolio companies, equivalent to the investment’s carrying amount.

The Company is also exposed to credit risk related to maintaining all of its cash and cash equivalents, including those in reserve accounts, at a major financial institution and credit risk related to any of its derivative counterparties.

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

Note 3. Investments

As noted above, the Company values all investments in accordance with ASC 820. ASC 820 requires enhanced disclosures about assets and liabilities that are measured and reported at fair value. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

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

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

 

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

 

Level 2—Valuations based on inputs other than quoted prices in active markets, which are either directly or indirectly observable.

 

Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The inputs used in the determination of fair value may require significant management judgment or estimation. Such information may be the result of consensus pricing information or broker quotes which include a disclaimer that the broker would not be held to such a price in an actual transaction. Thenon-binding nature of consensus pricing and/or quotes accompanied by a disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence.

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

The following table presents fair value measurements of investments, by major class, as of MayAugust 31, 2017 (dollars in thousands), according to the fair value hierarchy:

 

   Fair Value Measurements 
   Level 1   Level 2   Level 3   Total 

Syndicated loans

  $—     $—     $9,068   $9,068 

First lien term loans

   —      —      186,015    186,015 

Second lien term loans

   —      —      95,975    95,975 

Structured finance securities

   —      —      16,111    16,111 

Equity interests

   —      —      22,521    22,521 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $329,690   $329,690 
  

 

 

   

 

 

   

 

 

   

 

 

 

   Level 1   Level 2   Level 3   Total 

Syndicated loans

  $—     $—     $8,980   $8,980 

First lien term loans

   —      —      182,781    182,781 

Second lien term loans

   —      —      97,462    97,462 

Structured finance securities

   —      —      16,537    16,537 

Equity interests

   —      —      27,210    27,210 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—     $—     $332,970   $332,970 
  

 

 

   

 

 

   

 

 

   

 

 

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2017 (dollars in thousands), according to the fair value hierarchy:

 

  Fair Value Measurements 
  Level 1   Level 2   Level 3   Total   Level 1   Level 2   Level 3   Total 

Syndicated loans

  $—     $—     $9,823   $9,823   $—     $—     $9,823   $9,823 

First lien term loans

   —      —      159,097    159,097    —      —      159,097    159,097 

Second lien term loans

   —      —      87,750    87,750    —      —      87,750    87,750 

Structured finance securities

   —      —      15,450    15,450    —      —      15,450    15,450 

Equity interests

   —      —      20,541    20,541    —      —      20,541    20,541 
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total

  $—     $—     $292,661   $292,661   $—     $—     $292,661   $292,661 
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the threesix months ended MayAugust 31, 2017 (dollars in thousands):

 

  Syndicated
loans
 First lien
term loans
 Second
lien
term loans
 Structured
finance
securities
 Equity
interests
 Total   Syndicated
loans
 First lien
term loans
 Second
lien
term loans
 Structured
finance
securities
 Equity
interests
 Total 

Balance as of February 28, 2017

  $9,823  $159,097  $87,750  $15,450  $20,541  $292,661   $9,823  $159,097  $87,750  $15,450  $20,541  $292,661 

Net unrealized appreciation (depreciation) on investments

   21  387  (5,855 1,460  1,401  (2,586   (48 255  1,799  2,084  3,078  7,168 

Purchases and other adjustments to cost

   6  43,738  1,073   —    579  45,396    10  78,571  1,560   —    2,464  82,605 

Sales and repayments

   (728 (1,440 (2,786 (799 (124 (5,877   (751 (12,680 (25,954 (997 (3,403 (43,785

Net realized gain (loss) from investments

   (54 7  19   —    124  96    (54 (8 (7,530  —    1,913  (5,679

Restructures in

   —     —    15,774   —     —    15,774    —     —    39,837   —    2,617  42,454 

Restructures out

   —    (15,774  —     —     —    (15,774   —    (42,454  —     —     —    (42,454
  

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Balance as of May 31, 2017

  $9,068  $186,015  $95,975  $16,111  $22,521  $329,690 

Balance as of August 31, 2017

  $8,980  $182,781  $97,462  $16,537  $27,210  $332,970 
  

 

  

 

  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period:

  $21  $387  $(5,855 $1,460  $1,401  $(2,586  $(48 $255  $1,928  $2,084  $3,731  $7,950 
  

 

  

 

  

 

  

 

  

 

  

 

 

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

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur.

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the threesix months ended MayAugust 31, 2016 (dollars in thousands):

 

  Syndicated
loans
 First lien
term loans
 Second
lien
term loans
   Structured
finance
securities
 Equity
interests
 Total   Syndicated
loans
 First lien
term loans
 Second
lien
term loans
 Structured
finance
securities
 Equity
interests
 Total 

Balance as of February 29, 2016

  $11,868  $144,643  $88,178   $12,828  $26,479  $283,996   $11,868  $144,643  $88,178  $12,828  $26,479  $283,996 

Net unrealized appreciation (depreciation) on investments

   1,242  (363 1,268    583  (8,084 (5,354   2,100  217  1,076  1,171  (13,187 (8,623

Purchases and other adjustments to cost

   26  164  73    —    8  271    51  44,689  10,899   —    620  56,259 

Sales and redemptions

   (95 (13,078  —      (959 (6,457 (20,589   (4,556 (36,518 (13,269 (2,082 (14,443 (70,868

Net realized gain from investments

   1  126   —      —    5,976  6,103    53  245  140   —    11,602  12,040 
  

 

  

 

  

 

   

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Balance as of May 31, 2016

  $13,042  $131,492  $89,519   $12,452  $17,922  $264,427 

Balance as of August 31, 2016

  $9,516  $153,276  $87,024  $11,917  $11,071  $272,804 
  

 

  

 

  

 

   

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period:

  $1,242  $(297 $1,268   $583  $(2,329 $467   $955  $594  $1,135  $1,171  $(2,083 $1,772 
  

 

  

 

  

 

   

 

  

 

  

 

   

 

  

 

  

 

  

 

  

 

  

 

 

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

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of MayAugust 31, 2017 were as follows (dollars in thousands):

 

  Fair Value   Valuation Technique  Unobservable Input  Range  Fair Value   Valuation Technique  Unobservable Input  Range

Syndicated loans

  $9,068   Market Comparables  Third-Party Bid (%)  100.5%  - 101.1%  $8,980   Market Comparables  Third-Party Bid (%)  99.1%  - 100.6%

First lien term loans

   186,015   Market Comparables  Market Yield (%)  6.4%  - 13.9%   182,781   Market Comparables  Market Yield (%)  5.8%  - 14.0%
      EBITDA Multiples (x)  3.0x  - 5.5x      EBITDA Multiples (x)  3.0x  - 5.5x
      Third-Party Bid (%)  100%  - 100.5%      Third-Party Bid (%)  100.3%  - 100.5%

Second lien term loans

   95,975   Market Comparables  Market Yield (%)  9.2%  - 90.3%   97,462   Market Comparables  Market Yield (%)  9.2%  - 16.0%
      Third-Party Bid (%)  97.6%  - 99.8%      Third-Party Bid (%)  97.9%  - 100.4%

Structured finance securities

   16,111   Discounted Cash Flow  Discount Rate (%)  8.0%  - 13.0%   16,537   Discounted Cash Flow  Discount Rate (%)  8.5%  - 14.0%

Equity interests

   22,521   Market Comparables  EBITDA Multiples (x)  3.7x  - 16.3x   27,210   Market Comparables  EBITDA Multiples (x)  3.7x  - 14.0x

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2017 were as follows (dollars in thousands):

 

  Fair Value   Valuation Technique  Unobservable Input  Range  Fair Value   Valuation Technique  Unobservable Input  Range

Syndicated loans

  $9,823   Market Comparables  Third-Party Bid (%)  100.5% - 101.1%  $9,823   Market Comparables  Third-Party Bid (%)  100.5%  - 101.1%

First lien term loans

   159,097   Market Comparables  Market Yield (%)  6.3% - 39.0%   159,097   Market Comparables  Market Yield (%)  6.3%  - 39.0%
      EBITDA Multiples (x)  3.0x - 10.3x      EBITDA Multiples (x)  3.0x  - 10.3x
      Third-Party Bid (%)  100.0% - 100.2%      Third-Party Bid (%)  100.0%  - 100.2%

Second lien term loans

   87,750   Market Comparables  Market Yield (%)  10.1% - 26.4%   87,750   Market Comparables  Market Yield (%)  10.1%  - 26.4%
      Third-Party Bid (%)  97.6% - 99.9%      Third-Party Bid (%)  97.6%  - 99.9%

Structured finance securities

   15,450   Discounted Cash Flow  Discount Rate (%)  8.5% - 13.0%   15,450   Discounted Cash Flow  Discount Rate (%)  8.5%  - 13.0%

Equity interests

   20,541   Market Comparables  EBITDA Multiples (x)  3.7x - 12.0x   20,541   Market Comparables  EBITDA Multiples (x)  3.7x  - 12.0x

For investments utilizing a market comparables valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the EBITDA or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. For investments utilizing a market quote in deriving a value, a significant increase (decrease) in the market quote, in isolation, would result in a significantly higher (lower) fair value measurement.

The composition of our investments as of MayAugust 31, 2017, at amortized cost and fair value was as follows (dollars in thousands):

 

  Investments at
Amortized Cost
   Amortized Cost
Percentage of

Total Portfolio
 Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
   Investments at
Amortized Cost
   Amortized Cost
Percentage of

Total Portfolio
 Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
 

Syndicated loans

  $8,892    2.6 $9,068    2.8  $8,874    2.7 $8,980    2.7

First lien term loans

   187,097    55.0  186,015    56.4    184,210    55.2  182,781    54.9

Second lien term loans

   104,605    30.8  95,975    29.1    98,223    29.4  97,462    29.2 

Structured finance securities

   14,020    4.1  16,111    4.9    13,822    4.1  16,537    5.0 

Equity interests

   25,483    7.5  22,521    6.8    28,494    8.6  27,210    8.2 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $340,097    100.0 $329,690    100.0  $333,623    100.0 $332,970    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

The composition of our investments as of February 28, 2017, at amortized cost and fair value was as follows (dollars in thousands):

 

   Investments at
Amortized Cost
   Amortized Cost
Percentage of
Total Portfolio
  Investments at
Fair Value
   Fair Value
Percentage of
Total Portfolio
 

Syndicated loans

  $9,669 ��  3.2 $9,823    3.4

First lien term loans

   160,436    53.4   159,097    54.3 

Second lien term loans

   90,655    30.2   87,750    30.0 

Structured finance securities

   14,819    4.9   15,450    5.3 

Equity interests

   24,903    8.3   20,541    7.0 
  

 

 

   

 

 

  

 

 

   

 

 

 

Total

  $300,482    100.0 $292,661    100.0
  

 

 

   

 

 

  

 

 

   

 

 

 

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

For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then waterfall the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. Fornon-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. We also take into account historical and anticipated financial results.

Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at

estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. In connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at MayAugust 31, 2017. The significant inputs at MayAugust 31, 2017 for the valuation model include:

 

Default rates: 2.0%

 

Recovery rates:35-70%

 

Discount rate: 13.0%14.0%

 

Prepayment rate: 20.0%

 

Reinvestment rate / price: L+350bps / $99.75.

Note 4. Investment in Saratoga Investment Corp. CLO2013-1, Ltd. (“Saratoga CLO”)

On January 22, 2008, the Company invested $30.0 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by the Company that invests primarily in senior secured loans. Additionally, the Company entered into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was initially refinanced in October 2013 and its reinvestment period ended in October 2016. On November 15, 2016, the Company completed the second refinancing of the Saratoga CLO. The Saratoga CLO refinancing, among other things, extended its reinvestment period to October 2018, and extended its legal maturity date to October 2025. Following the refinancing, the Saratoga CLO portfolio remained at the same size and with a similar capital structure of approximately $300.0 million in aggregate principal amount of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we also purchased $4.5 million in aggregate principal amount of the Class F notes tranche of the Saratoga CLO at par, with a coupon of LIBOR plus 8.5%.

The Saratoga CLO remains 100.0% owned and managed by Saratoga Investment Corp. Following the refinancing, the Company receives a base management fee of 0.10% and a subordinated management fee of 0.40% of the fee basis amount at the beginning of the collection period, paid quarterly to the extent of available proceeds. The Company is also entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%. For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.5$0.6 million and $0.5$0.6 million in interest income, respectively, from Saratoga CLO. For the six months ended August 31, 2017 and August 31, 2016, we accrued $0.8 million and $0.7 million in management fee income, respectively, and $1.0 million and $1.1 million in interest income, respectively, from Saratoga CLO. For the three and six months ended MayAugust 31, 2017, we accrued $0.1$0.2 million and $0.3 million, respectively, related to the incentive management fee from Saratoga CLO. For the three and six months ended MayAugust 31, 2016, we did not accrue any amounts related to the incentive management fee from Saratoga CLO as the 12.0% hurdle rate hashad not yet been achieved.

As of MayAugust 31, 2017, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $11.6$12.0 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of MayAugust 31, 2017, Saratoga CLO had investments with a principal balance of $299.3$300.1 million and a weighted average spread over LIBOR of 4.0%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 2.4%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At MayAugust 31, 2017, the present value of the projected future cash flows of the subordinated notes was approximately $11.8$12.3 million, using a 13.0%14.0% discount rate. Saratoga Investment Corp. invested $32.8 million into the CLO since January 2008, and to date has since received distributions of $50.6$51.4 million, and management fees of $16.9$17.2 million, and incentive fees of $0.2 million.

Below is certain financial information from the separate financial statements of Saratoga CLO as of MayAugust 31, 2017 (unaudited) and February 28, 2017 and for the three and six months ended MayAugust 31, 2017 (unaudited) and MayAugust 31, 2016 (unaudited).

Saratoga Investment Corp. CLO2013-1, Ltd.

Statements of Assets and Liabilities

 

  As of   As of 
  May 31, 2017 February 28, 2017   August 31, 2017 February 28, 2017 
  (unaudited)     (unaudited)   

ASSETS

      

Investments

      

Fair Value Loans (amortized cost of $296,570,507 and $294,270,284, respectively)

  $294,679,202  $292,437,930 

Fair Value Other/Structured finance securities (amortized cost of $3,531,218 and
$3,531,218, respectively)

   33,902  22,718 

Fair Value Loans (amortized cost of $297,693,136 and $294,270,284, respectively)

  $294,524,360  $292,437,930 

Fair Value Other/Structured finance securities (cost of $3,531,218 and $3,531,218, respectively)

   292  22,718 
  

 

  

 

   

 

  

 

 

Total investments at fair value (amortized cost of $300,101,725 and $297,801,502, respectively)

   294,713,104  292,460,648 

Total investments at fair value (amortized cost of $301,224,354 and $297,801,502 respectively)

   294,524,652  292,460,648 

Cash and cash equivalents

   7,039,670  13,046,555    7,475,599  13,046,555 

Receivable from open trades

   7,927,175  1,505,000    11,671,407  1,505,000 

Interest receivable

   1,337,584  1,443,865    1,287,219  1,443,865 

Other assets

   —    6,049    —    6,049 
  

 

  

 

   

 

  

 

 

Total assets

  $311,017,533  $308,462,117   $314,958,877  $308,462,117 
  

 

  

 

   

 

  

 

 

LIABILITIES

      

Interest payable

  $1,084,119  $1,031,457   $1,155,865  $1,031,457 

Payable from open trades

   11,603,306  9,431,552    16,017,662  9,431,552 

Accrued base management fee

   34,238  34,221    34,273  34,221 

Accrued subordinated management fee

   136,951  136,885    137,092  136,885 

Accrued incentive fee

   105,295   —      83,769   —   

Class A-1 Notes - SIC CLO 2013-1, Ltd.

   170,000,000  170,000,000    170,000,000  170,000,000 

Class A-2 Notes - SIC CLO 2013-1, Ltd.

   20,000,000  20,000,000    20,000,000  20,000,000 

Class B Notes - SIC CLO 2013-1, Ltd.

   44,800,000  44,800,000    44,800,000  44,800,000 

Class C Notes - SIC CLO 2013-1, Ltd.

   16,000,000  16,000,000    16,000,000  16,000,000 

Discount on Class C Notes - SIC CLO 2013-1, Ltd.

   (75,111 (77,383   (72,840 (77,383

Class D Notes - SIC CLO 2013-1, Ltd.

   14,000,000  14,000,000    14,000,000  14,000,000 

Discount on Class D Notes - SIC CLO 2013-1, Ltd.

   (348,703 (359,249   (338,157 (359,249

Class E Notes - SIC CLO 2013-1, Ltd.

   13,100,000  13,100,000    13,100,000  13,100,000 

Class F Notes - SIC CLO 2013-1, Ltd.

   4,500,000  4,500,000    4,500,000  4,500,000 

Deferred debt financing costs, SIC CLO 2013-1, Ltd. Notes

   (1,108,709 (1,161,590   (1,077,170 (1,161,590

Subordinated Notes

   30,000,000  30,000,000    30,000,000  30,000,000 
  

 

  

 

   

 

  

 

 

Total liabilities

  $323,831,386  $321,435,893   $328,340,494  $321,435,893 
  

 

  

 

   

 

  

 

 

Commitments and contingencies

      

NET ASSETS

      

Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 issued and outstanding, respectively

  $250  $250   $250  $250 

Accumulated loss

   (12,974,026 (21,557,618   (12,974,026 (21,557,618

Net gain

   159,923  8,583,592 

Net gain (loss)

   (407,841 8,583,592 
  

 

  

 

   

 

  

 

 

Total net assets

   (12,813,853 (12,973,776   (13,381,617 (12,973,776
  

 

  

 

   

 

  

 

 

Total liabilities and net assets

  $311,017,533  $308,462,117   $  314,958,877  $  308,462,117 
  

 

  

 

   

 

  

 

 

Saratoga Investment Corp. CLO2013-1, Ltd.

Statements of Operations

(unaudited)

 

  For the three months ended
May 31
   For the three months ended
August 31
 For the six months ended
August 31
 
  2017 2016   2017 2016 2017 2016 

INVESTMENT INCOME

        

Interest from investments

  $3,977,871  $3,788,336   $4,150,598  $4,028,665  $8,128,469  $7,817,001 

Interest from cash and cash equivalents

   5,083  771    4,343  1,938  9,426  2,709 

Other income

   160,614  243,301    84,556  189,836  245,170  433,137 
  

 

  

 

   

 

  

 

  

 

  

 

 

Total investment income

   4,143,568  4,032,408    4,239,497  4,220,439  8,383,065  8,252,847 
  

 

  

 

   

 

  

 

  

 

  

 

 

EXPENSES

        

Interest expense

   3,623,558  3,281,015    3,312,058  3,608,788  6,935,616  6,889,803 

Professional fees

   34,551  18,482    18,556  20,944  53,107  39,426 

Miscellaneous fee expense

   10,126  8,244    19,833  14,147  29,959  22,391 

Base management fee

   75,136  186,842    75,192  187,329  150,328  374,171 

Subordinated management fee

   300,545  186,842    300,765  187,329  601,310  374,171 

Incentive fees

   105,295   —      162,358   —    267,653   —   

Trustee expenses

   36,168  26,688    38,547  37,839  74,715  64,527 

Amortization expense

   44,357  239,963    44,357  239,963  88,714  479,926 
  

 

  

 

   

 

  

 

  

 

  

 

 

Total expenses

   4,229,736  3,948,076    3,971,666  4,296,339  8,201,402  8,244,415 
  

 

  

 

   

 

  

 

  

 

  

 

 

NET INVESTMENT INCOME (LOSS)

   (86,168 84,332    267,831  (75,900 181,663  8,432 
  

 

  

 

   

 

  

 

  

 

  

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain on investments

   293,858  55,562    475,486  165,854  769,344  221,416 

Net unrealized appreciation (depreciation) on investments

   (47,767 9,320,673    (1,311,081 467,724  (1,358,848 9,788,397 
  

 

  

 

   

 

  

 

  

 

  

 

 

Net gain on investments

   246,091  9,376,235 

Net gain (loss) on investments

   (835,595 633,578  (589,504 10,009,813 
  

 

  

 

   

 

  

 

  

 

  

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $159,923  $9,460,567 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $(567,764 $557,678  $(407,841 $10,018,245 
  

 

  

 

   

 

  

 

  

 

  

 

 

Saratoga Investment Corp. CLO2013-1 Ltd.

Schedule of Investments

MayAugust 31, 2017

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Spread LIBOR
Floor
 PIK Current
Rate
(All In)
 Maturity
Date
 Principal/
Number
of Shares
 Cost Fair Value  

Industry

 

Asset Name

 Asset
Type
 Spread LIBOR
Floor
 PIK Current
Rate
(All In)
 Maturity
Date
 Principal/
Number of
Shares
 Cost Fair Value 

Education Management II, LLC

 Leisure Goods/Activities/Movies A-1 Preferred Shares Equity 0.00 0.00 0.00 0.00  6,692  $669,214  $13,384  Leisure Goods/Activities/Movies A-1 Preferred Shares Equity 0.00 0.00 0.00 0.00  6,692  $669,214  $134 

Education Management II, LLC

 Leisure Goods/Activities/Movies A-2 Preferred Shares Equity 0.00 0.00 0.00 0.00  18,975  1,897,538  76  Leisure Goods/Activities/Movies A-2 Preferred Shares Equity 0.00 0.00 0.00 0.00  18,975  1,897,538  1 

New Millennium Holdco, Inc.

 Healthcare & Pharmaceuticals Common Stock Equity 0.00 0.00 0.00 0.00  14,813  964,466  20,442  Healthcare & Pharmaceuticals Common Stock Equity 0.00 0.00 0.00 0.00  14,813  964,466  157 

24 Hour Holdings III, LLC

 Leisure Goods/Activities/Movies Term Loan Loan 3.75 1.00 0.00 4.90 5/28/2021  $486,250  483,268  483,211  Leisure Goods/Activities/Movies Term Loan Loan 3.75 1.00 0.00 5.05 5/28/2021  $485,000  482,182  483,487 

ABB Con-Cise Optical Group, LLC

 Healthcare & Pharmaceuticals Term Loan B Loan 5.00 1.00 0.00 6.10 6/15/2023  $1,990,000  1,970,291  2,007,413  Healthcare & Pharmaceuticals Term Loan B Loan 5.00 1.00 0.00 6.25 6/15/2023  1,985,000  1,965,383  1,987,481 

Acosta Holdco, Inc.

 Media Term Loan B1 Loan 3.25 1.00 0.00 4.29 9/26/2021  $1,940,025  1,929,835  1,806,997  Media Term Loan B1 Loan 3.25 1.00 0.00 4.49 9/26/2021  1,940,025  1,930,380  1,732,171 

Advantage Sales & Marketing, Inc.

 Services: Business Delayed Draw Term Loan Loan 3.25 1.00 0.00 4.29 7/25/2021  $2,439,950  2,437,594  2,412,061  Services: Business Delayed Draw Term Loan Loan 3.25 1.00 0.00 4.55 7/25/2021  2,433,693  2,431,479  2,339,388 

Aegis Toxicology Science Corporation

 Healthcare & Pharmaceuticals Term B Loan Loan 4.50 1.00 0.00 5.66 2/24/2021  $2,457,233  2,337,953  2,440,843  Healthcare & Pharmaceuticals Term B Loan Loan 4.50 1.00 0.00 5.79 2/24/2021  2,450,916  2,338,540  2,431,015 

Agrofresh, Inc.

 Food Services Term Loan Loan 4.75 1.00 0.00 5.90 7/30/2021  $1,965,000  1,957,975  1,953,957  Food Services Term Loan Loan 4.75 1.00 0.00 6.05 7/30/2021  1,960,000  1,953,244  1,942,850 

AI MISTRAL T/L (V. GROUP)

 Utilities Term Loan Loan 3.00 1.00 0.00 4.18 3/11/2024  $500,000  500,000  499,375  Utilities Term Loan Loan 3.00 1.00 0.00 4.24 3/11/2024  498,750  498,750  493,763 

Akorn, Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.31 4/16/2021  $398,056  397,016  402,534  Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.50 4/16/2021  398,056  397,084  402,534 

Albertson’s LLC

 Retailers (Except Food and Drugs) Term Loan B-4 Loan 3.00 0.75 0.00 4.04 8/25/2021  $2,888,953  2,873,134  2,904,120  Retailers (Except Food and Drugs) Term LoanB-4 Loan 2.75 0.75 0.00 3.99 8/25/2021  2,667,653  2,651,990  2,582,848 

Alere Inc. (fka IM US Holdings, LLC)

 Healthcare & Pharmaceuticals Term Loan B Loan 3.25 1.00 0.00 4.30 6/20/2022  $915,616  913,895  919,050  Healthcare & Pharmaceuticals Term Loan B Loan 3.25 1.00 0.00 4.49 6/20/2022  913,287  911,647  911,286 

Alion Science and Technology Corporation

 High Tech Industries Term Loan B (First Lien) Loan 4.50 1.00 0.00 5.54 8/19/2021  $2,947,500  2,936,726  2,945,054  High Tech Industries Term Loan B (First Lien) Loan 4.50 1.00 0.00 5.74 8/19/2021  2,940,000  2,929,838  2,935,090 

Alliance Healthcare Services, Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 3.25 1.00 0.00 4.36 6/3/2019  $981,997  978,851  979,542  Healthcare & Pharmaceuticals Term Loan B Loan 3.25 1.00 0.00 4.55 6/3/2019  979,425  976,609  974,528 

Almonde, Inc. (Misys)

 High Tech Industries Term Loan B Loan 3.50 1.00 0.00 4.82 4/26/2024  1,000,000  995,131  1,004,120 

ALPHA 3 T/L B1 (ATOTECH)

 Chemicals/Plastics Term Loan B 1 Loan 3.00 1.00 0.00 4.15 1/31/2024  $250,000  249,380  251,173  Chemicals/Plastics Term Loan B 1 Loan 3.00 1.00 0.00 4.30 1/31/2024  250,000  249,381  250,000 

Almonde, Inc. (Misys)

 High Tech Industries Term Loan B Loan 3.50 1.00 0.00 4.50 4/26/2024  $1,000,000  995,000  1,001,920 

Anchor Glass T/L (11/16)

 Containers/Glass Products Term Loan Loan 3.25 1.00 0.00 4.25 12/7/2023  $498,750  496,452  502,047  Containers/Glass Products Term Loan Loan 2.75 1.00 0.00 4.01 12/7/2023  497,500  495,075  498,351 

APCO Holdings, Inc.

 Automotive Term Loan Loan 6.00 1.00 0.00 7.00 1/31/2022  $1,896,081  1,851,847  1,848,679  Automotive Term Loan Loan 6.00 1.00 0.00 7.24 1/31/2022  1,883,581  1,841,381  1,836,492 

Aramark Corporation

 Food Products U.S. Term F Loan Loan 2.00 0.00 0.00 3.05 3/28/2024  $2,000,000  2,000,000  2,013,120  Food Products U.S. Term F Loan Loan 2.00 0.00 0.00 3.24 3/28/2024  1,995,000  1,995,000  1,999,988 

Arctic Glacier U.S.A., Inc.

 Beverage, Food & Tobacco Term Loan B Loan 4.25 1.00 0.00 5.30 3/20/2024  $500,000  497,543  505,940  Beverage, Food & Tobacco Term Loan B Loan 4.25 1.00 0.00 5.49 3/20/2024  498,750  496,338  500,620 

ASG Technologies Group, Inc.

 High Tech Industries Term Loan Loan 4.75 1.00 0.00 6.06 7/31/2024  500,000  497,515  502,500 

Aspen Dental Management, Inc.

 Healthcare & Pharmaceuticals Term Loan Initial Loan 3.75 1.00 0.00 4.92 4/29/2022  $1,979,905  1,975,830  1,998,477  Healthcare & Pharmaceuticals Term Loan Initial Loan 3.75 1.00 0.00 5.07 4/29/2022  1,974,867  1,970,938  1,994,616 

Astoria Energy T/L B

 Utilities Term Loan Loan 4.00 1.00 0.00 5.15 12/24/2021  $1,495,307  1,480,752  1,491,569  Utilities Term Loan Loan 4.00 1.00 0.00 5.24 12/24/2021  1,458,457  1,445,001  1,461,199 

Asurion, LLC (fka Asurion Corporation)

 Insurance Replacement Term Loan B-2 Loan 3.25 0.75 0.00 4.29 7/8/2020  $522,122  518,066  525,495  Insurance Term Loan B4 (First Lien) Loan 2.75 0.00 0.00 3.99 8/4/2022  2,385,687  2,373,815  2,390,912 

Asurion, LLC (fka Asurion Corporation)

 Insurance Term Loan B4 (First Lien) Loan 3.25 1.00 0.00 4.29 8/4/2022  $2,391,773  2,380,910  2,405,430  Insurance Term Loan B5 Loan 3.00 1.00 0.00 4.24 11/3/2023  520,817  516,172  522,770 

Auction.com, LLC

 Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.05 5/13/2019  $2,711,717  2,711,519  2,728,665  Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.24 5/13/2019  2,704,799  2,704,613  2,698,037 

Avantor Performance Materials Holdings, Inc.

 Chemicals/Plastics Term Loan Loan 4.00 1.00 0.00 5.05 3/8/2024  $3,000,000  2,992,568  3,006,000  Chemicals/Plastics Term Loan Loan 4.00 1.00 0.00 5.24 3/8/2024  2,992,500  2,985,020  2,991,243 

AVOLON TLB BORROWER 1 LUXEMBOURG S.A.R.L.

 Capital Equipment Term Loan B-2 Loan 2.75 0.75 0.00 3.76 3/20/2022  $1,000,000  995,342  1,012,430  Capital Equipment Term LoanB-2 Loan 2.75 0.75 0.00 3.98 3/20/2022  1,000,000  995,395  1,002,720 

Bass Pro Group, LLC

 Retailers (Except Food and Drugs) Term Loan Loan 3.25 0.75 0.00 4.24 6/5/2020  $1,470,000  1,468,053  1,468,163  Retailers (Except Food and Drugs) Term Loan Loan 3.25 0.75 0.00 4.48 6/5/2020  1,466,250  1,464,471  1,457,702 

Belmond Interfin Ltd.

 Lodging & Casinos Term Loan Loan 3.00 1.00 0.00 4.15 3/19/2021  $2,473,003  2,476,208  2,476,094 

Blackboard T/L B4

 High Tech Industries Term Loan B4 Loan 5.00 1.00 0.00 6.16 6/30/2021  $2,985,000  2,963,237  2,990,612  High Tech Industries Term Loan B4 Loan 5.00 1.00 0.00 6.30 6/30/2021  2,977,500  2,956,964  2,929,116 

Blucora, Inc.

 High Tech Industries Term Loan B Loan 3.75 1.00 0.00 4.76 5/22/2024  $1,000,000  995,075  1,007,500  High Tech Industries Term Loan B Loan 3.75 1.00 0.00 5.04 5/22/2024  960,000  955,376  969,600 

BMC Software

 Technology Term Loan Loan 4.00 1.00 0.00 5.16 9/12/2022  $1,946,210  1,888,314  1,947,436  Technology Term Loan Loan 4.00 1.00 0.00 5.30 9/12/2022  1,941,323  1,885,799  1,934,043 

BMC Software T/L US

 Technology Term Loan Loan 4.00 1.00 0.00 5.16 9/12/2022  $588,449  578,390  591,056  Technology Term Loan Loan 4.00 1.00 0.00 5.24 9/12/2022  586,972  577,295  588,686 

Brickman Group Holdings, Inc.

 Brokers/Dealers/Investment Houses Initial Term Loan (First Lien) Loan 3.00 1.00 0.00 4.04 12/18/2020  $1,431,702  1,421,385  1,432,246  Brokers/Dealers/Investment Houses Initial Term Loan (First Lien) Loan 3.00 1.00 0.00 4.24 12/18/2020  1,427,946  1,418,213  1,432,230 

BWAY Holding Company

 Leisure Goods/Activities/Movies Term Loan B Loan 3.25 0.00 0.00 4.25 4/3/2024  $1,000,000  995,071  998,540 

Cable One, Inc.

 Telecommunications Term Loan B Loan 2.25 1.00 0.00 3.43 5/1/2024  $500,000  499,375  503,125  Telecommunications Term Loan B Loan 2.25 0.00 0.00 3.57 5/1/2024  500,000  499,375  501,250 

Candy Intermediate Holdings, Inc.

 Beverage, Food & Tobacco Term Loan Loan 4.50 1.00 0.00 5.65 6/15/2023  $496,250  494,152  470,197  Beverage, Food & Tobacco Term Loan Loan 4.50 1.00 0.00 5.80 6/15/2023  495,000  492,981  479,224 

Canyon Valor Companies, Inc.

 High Tech Industries Term Loan B Loan 4.25 0.00 0.00 5.50 6/16/2023  1,000,000  997,500  1,007,140 

Capital Automotive L.P.

 Conglomerate Tranche B-1 Term Loan Facility Loan 3.00 1.00 0.00 4.03 3/25/2024  $500,000  497,547  503,905  Conglomerate TrancheB-1 Term Loan Facility Loan 3.00 1.00 0.00 4.24 3/25/2024  490,301  487,934  492,404 

Caraustar Industries Inc.

 Forest Products & Paper Term Loan B Loan 5.50 1.00 0.00 6.65 3/14/2022  $500,000  498,761  501,625  Forest Products & Paper Term Loan B Loan 5.50 1.00 0.00 6.80 3/14/2022  498,750  497,514  493,264 

CareerBuilder, LLC

 Services: Business Term Loan Loan 6.75 1.00 0.00 8.01 7/31/2023  2,500,000  2,427,878  2,443,750 

CASA SYSTEMS T/L

 Telecommunications Term Loan Loan 4.00 1.00 0.00 5.04 12/20/2023  $1,496,250  1,482,060  1,499,991  Telecommunications Term Loan Loan 4.00 1.00 0.00 5.30 12/20/2023  1,492,500  1,478,808  1,499,963 

Catalent Pharma Solutions, Inc

 Drugs Initial Term B Loan Loan 2.75 1.00 0.00 3.79 5/20/2021  $423,560  422,273  427,854  Drugs Initial Term B Loan Loan 2.75 1.00 0.00 3.99 5/20/2021  422,298  421,090  424,232 

Cengage Learning Acquisitions, Inc.

 Publishing Term Loan Loan 4.25 1.00 0.00 5.25 6/7/2023  $1,488,750  1,473,865  1,401,107  Publishing Term Loan Loan 4.25 1.00 0.00 5.48 6/7/2023  1,464,371  1,449,727  1,359,419 

CenturyLink, Inc.

 Telecommunications Term Loan B Loan 2.75 0.00 0.00 2.75 1/31/2025  3,000,000  2,992,505  2,932,500 

CH HOLD (CALIBER COLLISION) T/L

 Automotive Term Loan Loan 3.00 0.00 0.00 4.04 2/1/2024  $227,273  226,761  228,789  Automotive Term Loan Loan 3.00 0.00 0.00 4.24 2/1/2024  247,917  247,406  248,742 

Charter Communications Operating, LLC

 Cable and Satellite Television Term F Loan Loan 2.00 0.00 0.00 3.05 1/3/2021  $1,605,364  1,599,826  1,614,193  Cable and Satellite Television Term F Loan Loan 2.00 0.00 0.00 3.24 1/3/2021  1,601,194  1,595,956  1,604,749 

CHS/Community Health Systems, Inc.

 Healthcare & Pharmaceuticals Term G Loan Loan 2.75 1.00 0.00 3.95 12/31/2019  $922,719  901,552  923,181  Healthcare & Pharmaceuticals Term G Loan Loan 2.75 1.00 0.00 4.07 12/31/2019  719,623  707,383  717,198 

CHS/Community Health Systems, Inc.

 Healthcare & Pharmaceuticals Term H Loan Loan 3.00 1.00 0.00 4.20 1/27/2021  $1,697,791  1,644,603  1,697,859  Healthcare & Pharmaceuticals Term H Loan Loan 3.00 1.00 0.00 4.32 1/27/2021  1,328,771  1,289,676  1,321,410 

CITGO Petroleum Corporation

 Oil & Gas Term Loan B Loan 3.50 1.00 0.00 4.65 7/29/2021  $1,959,849  1,942,358  1,960,338  Oil & Gas Term Loan B Loan 3.50 1.00 0.00 4.80 7/29/2021  1,954,823  1,938,276  1,952,380 

Communications Sales & Leasing, Inc.

 Telecommunications Term Loan B (First Lien) Loan 3.00 1.00 0.00 4.04 10/24/2022  $1,965,137  1,954,120  1,974,609  Telecommunications Term Loan B (First Lien) Loan 3.00 1.00 0.00 4.24 10/24/2022  1,960,212  1,949,526  1,897,113 

Concordia Healthcare Corporation

 Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.28 10/21/2021  $1,967,500  1,883,686  1,421,519  Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.48 10/21/2021  1,955,000  1,875,901  1,385,880 

Consolidated Aerospace Manufacturing, LLC

 Aerospace and Defense Term Loan (First Lien) Loan 3.75 1.00 0.00 4.80 8/11/2022  $1,418,750  1,413,095  1,369,094  Aerospace and Defense Term Loan (First Lien) Loan 3.75 1.00 0.00 4.99 8/11/2022  1,418,750  1,413,340  1,390,375 

Consolidated Communications, Inc.

 Telecommunications Term Loan B-2 Loan 3.00 1.00 0.00 4.00 10/5/2023  $500,000  497,500  502,395  Telecommunications Term LoanB-2 Loan 3.00 1.00 0.00 4.24 10/5/2023  500,000  497,515  490,355 

CPI Acquisition Inc.

 Technology Term Loan B (First Lien) Loan 4.50 1.00 0.00 5.83 8/17/2022  $1,436,782  1,419,495  1,250,000  Technology Term Loan B (First Lien) Loan 4.50 1.00 0.00 5.96 8/17/2022  1,436,782  1,420,218  933,908 

CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)

 Electronics/Electric Term B Loan Loan 3.25 1.00 0.00 4.30 4/7/2021  $2,462,342  2,461,788  2,462,342 

Crosby US Acquisition Corporation

 Industrial Equipment Initial Term Loan (First Lien) Loan 3.00 1.00 0.00 4.17 11/23/2020  $725,625  725,152  661,044  Industrial Equipment Initial Term Loan (First Lien) Loan 3.00 1.00 0.00 4.32 11/23/2020  723,750  723,313  659,517 

CT Technologies Intermediate Hldgs, Inc

 Healthcare & Pharmaceuticals Term Loan Loan 4.25 1.00 0.00 5.29 12/1/2021  $1,466,381  1,455,744  1,449,884  Healthcare & Pharmaceuticals Term Loan Loan 4.25 1.00 0.00 5.49 12/1/2021  1,462,650  1,452,569  1,463,571 

Cypress Intermediate Holdings III, Inc.

 Services: Business Term Loan B Loan 3.00 1.00 0.00 4.04 4/29/2024  $500,000  498,776  498,500 

Culligan InternationalCompany-T/L

 Conglomerate Term Loan Loan 4.00 1.00 0.00 5.00 12/13/2023  2,039,750  2,039,843  2,053,784 

Culligan International Company-T/L

 Conglomerate Term Loan Loan 4.00 1.00 0.00 5.00 12/13/2023  $2,044,875  2,045,149  2,056,388  Utilities Incremental Term Loan B Loan 3.25 1.00 0.00 4.49 12/13/2023  500,000  499,375  500,940 

Cumulus Media Holdings Inc.

 Broadcast Radio and Television Term Loan Loan 3.25 1.00 0.00 4.30 12/23/2020  $470,093  467,518  372,548  Broadcast Radio and Television Term Loan Loan 3.25 1.00 0.00 4.49 12/23/2020  448,889  446,593  366,742 

Cypress Intermediate Holdings III, Inc.

 Services: Business Term Loan B Loan 3.00 1.00 0.00 4.24 4/29/2024  500,000  498,811  498,875 

DAE Aviation (StandardAero)

 Aerospace and Defense Term Loan Loan 3.75 1.00 0.00 4.79 7/7/2022  $2,470,000  2,460,059  2,488,525  Aerospace and Defense Term Loan Loan 3.75 1.00 0.00 4.99 7/7/2022  2,463,731  2,454,251  2,482,825 

DAE Aviation (StandardAero)

 Aerospace and Defense Term Loan Loan 3.75 1.00 0.00 4.99 7/7/2022  1,000,000  998,750  1,002,500 

Daseke Companies, Inc.

 Transportation Term Loan Loan 7.44 1.00 0.00 8.75 2/27/2024  105,143  105,143  105,800 

DASEKE T/L (HENNESSY CAPITAL)

 Transportation Term Loan Loan 5.50 1.00 0.00 6.54 2/27/2024  $827,143  820,224  832,313  Transportation Term Loan Loan 5.50 1.00 0.00 6.74 2/27/2024  825,075  818,348  830,232 

DCS Business Services, Inc.

 Financial Intermediaries Term B Loan Loan 7.25 1.50 0.00 8.75 3/19/2018  $1,782,727  1,778,648  1,782,727 

DELL INTERNATIONAL 1ST LIEN T/L

 High Tech Industries Term Loan (01/17) Loan 2.50 0.75 0.00 3.74 9/7/2023  995,000  993,947  998,691 

Delta 2 (Lux) S.a.r.l.

 Lodging & Casinos Term Loan B-3 Loan 3.25 1.00 0.00 4.57 2/1/2024  $1,000,000  996,775  1,000,680  Lodging & Casinos Term LoanB-3 Loan 3.25 1.00 0.00 4.49 2/1/2024  1,500,000  1,496,964  1,508,745 

DELL INTERNATIONAL 1ST LIEN T/L

 High Tech Industries Term Loan (01/17) Loan 2.50 0.75 0.00 3.55 9/7/2023  $997,500  996,476  1,003,146 

Deluxe Entertainment Service Group, Inc.

 Leisure Goods/Activities/Movies Term Loan (First Lien) Loan 5.50 1.00 0.00 6.62 2/28/2020  $2,849,297  2,821,745  2,845,735 

DEX MEDIA, INC.

 Media Term Loan (07/16) Loan 10.00 1.00 0.00 11.04 7/29/2021  $35,702  35,702  36,505  Media Term Loan (07/16) Loan 10.00 1.00 0.00 11.24 7/29/2021  35,702  35,702  36,684 

DHX Media Ltd.

 Media Term Loan Loan 3.25 1.00 0.00 4.49 12/29/2023  500,000  497,556  501,875 

Diamond (BC) B.V.

 Consumer Goods:Non-Durable Term Loan Loan 3.00 0.00 0.00 4.32 7/25/2024  500,000  498,750  496,565 

DIGITALGLOBE T/L B (12/16)

 Aerospace and Defense Term Loan B Loan 2.75 0.75 0.00 3.79 1/15/2024  $498,750  497,631  499,373  Aerospace and Defense Term Loan B Loan 2.75 0.75 0.00 3.99 1/15/2024  497,500  496,388  496,878 

DJO Finance, LLC

 Healthcare & Pharmaceuticals Term Loan Loan 3.25 1.00 0.00 4.25 6/8/2020  $491,250  489,802  485,601  Healthcare & Pharmaceuticals Term Loan Loan 3.25 1.00 0.00 4.49 6/8/2020  490,000  488,672  487,447 

Dole Food Company, Inc.

 Beverage, Food & Tobacco Term Loan B Loan 3.00 1.00 0.00 4.18 4/8/2024  $500,000  497,548  501,965  Beverage, Food & Tobacco Term Loan B Loan 2.75 1.00 0.00 4.01 4/8/2024  500,000  497,596  501,015 

DPX Holdings B.V.

 Healthcare & Pharmaceuticals Term Loan 2015 Incr Dollar Loan 3.25 1.00 0.00 4.41 4/22/2024  $2,917,500  2,912,750  2,929,170 

Drew Marine Group, Inc.

 Chemicals/Plastics Term Loan (First Lien) Loan 3.25 1.00 0.00 4.40 11/19/2020  $2,863,470  2,839,806  2,852,731  Chemicals/Plastics Term Loan (First Lien) Loan 3.50 1.00 0.00 4.74 11/19/2020  2,863,470  2,841,317  2,856,311 

DTZ U.S. Borrower, LLC

 Construction & Building Term Loan B Add-on Loan 3.25 1.00 0.00 4.40 11/4/2021  $1,957,576  1,948,917  1,962,019  Construction & Building Term Loan BAdd-on Loan 3.25 1.00 0.00 4.57 11/4/2021  1,952,594  1,944,254  1,955,738 

DUKE FINANCE (OM GROUP/VECTRA) T/L

 Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.15 2/21/2024  $1,500,000  1,399,164  1,514,370  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.25 1.00 0.00 5.51 2/21/2024  1,481,288  1,378,582  1,484,991 

Edelman Financial Group, Inc.

 Banking, Finance, Insurance & Real Estate Term Loan Loan 5.50 1.00 0.00 6.66 12/19/2022  $1,474,728  1,450,390  1,475,952  Banking, Finance, Insurance & Real Estate Term Loan Loan 5.50 1.00 0.00 6.81 12/19/2022  1,474,728  1,451,180  1,474,728 

Education Management II, LLC

 Leisure Goods/Activities/Movies Term Loan A Loan 4.50 1.00 0.00 5.66 7/2/2020  $501,970  489,732  221,494  Leisure Goods/Activities/Movies Term Loan A Loan 4.50 1.00 0.00 5.80 7/2/2020  501,970  490,615  220,867 

Education Management II, LLC

 Leisure Goods/Activities/Movies Term Loan B (2.00% Cash/6.50% PIK) Loan 1.00 1.00 6.50 8.66 7/2/2020  $954,307  935,402  11,929  Leisure Goods/Activities/Movies Term Loan B (2.00% Cash/6.50% PIK) Loan 1.00 1.00 6.50 8.80 7/2/2020  954,307  936,841  10,736 

EIG Investors Corp.

 High Tech Industries Term Loan Loan 4.00 1.00 0.00 5.32 2/9/2023  496,027  494,787  500,883 

Emerald 2 Limited

 Chemicals/Plastics Term Loan B1A Loan 4.00 1.00 0.00 5.30 5/14/2021  1,000,000  993,668  977,500 

Emerald Performance Materials, LLC

 Chemicals/Plastics Term Loan (First Lien) Loan 3.50 1.00 0.00 4.54 8/1/2021  $480,602  479,081  485,009  Chemicals/Plastics Term Loan (First Lien) Loan 3.50 1.00 0.00 4.74 8/1/2021  480,448  479,012  482,452 

Emerald Performance Materials, LLC

 Chemicals/Plastics Term Loan (Second Lien) Loan 7.75 1.00 0.00 8.79 8/1/2022  $500,000  498,224  498,595  Chemicals/Plastics Term Loan (Second Lien) Loan 7.75 1.00 0.00 8.99 8/1/2022  500,000  498,295  498,750 

Emerald 2 Limited

 Chemicals/Plastics Term Loan B1A Loan 4.00 1.00 0.00 5.15 5/14/2021  $1,000,000  993,241  948,330 

Endo International plc

 Healthcare & Pharmaceuticals Term Loan B Loan 4.25 0.75 0.00 5.31 4/29/2024  $1,000,000  995,089  1,016,880  Healthcare & Pharmaceuticals Term Loan B Loan 4.25 0.75 0.00 5.50 4/29/2024  1,000,000  995,135  1,006,560 

Engility Corporation

 Aerospace and Defense Term Loan B-1 Loan 3.25 0.00 0.00 4.29 8/12/2020  $237,500  236,554  239,222  Aerospace and Defense Term LoanB-1 Loan 2.75 0.00 0.00 3.99 8/12/2020  231,250  230,388  231,974 

Engineered Machinery Holdings, Inc.

 Capital Equipment Delayed Draw Term Loan Loan 5.19 1.00 0.00 6.50 7/19/2024  44,248  44,248  44,192 

Engineered Machinery Holdings, Inc.

 Capital Equipment Term Loan B Loan 3.25 1.00 0.00 4.56 7/19/2024  442,478  441,372  441,925 

Equian, LLC

 Services: Business Term Loan B Loan 3.75 1.00 0.00 5.07 5/20/2024  1,529,412  1,519,629  1,542,794 

Equian, LLC

 Services: Business Term Loan B Loan 3.75 1.00 0.00 4.93 5/20/2024  $1,529,412  1,519,428  1,533,235  Services: Business Delayed Draw Term Loan Loan 3.75 1.00 0.00 5.05 5/20/2024  235,294  235,294  237,353 

Evergreen Acqco 1 LP

 Retailers (Except Food and Drugs) New Term Loan Loan 3.75 1.25 0.00 5.00 7/9/2019  $952,613  951,841  869,259  Retailers (Except Food and Drugs) New Term Loan Loan 3.75 1.25 0.00 5.06 7/9/2019  950,119  946,962  883,135 

EWT Holdings III Corp. (fka WTG Holdings III Corp.)

 Industrial Equipment Term Loan (First Lien) Loan 3.75 1.00 0.00 4.90 1/15/2021  $1,942,311  1,939,288  1,949,595  Industrial Equipment Term Loan (First Lien) Loan 3.75 1.00 0.00 5.05 1/15/2021  3,210,537  3,197,956  3,242,642 

EWT Holdings III Corp.

 Capital Equipment Term Loan Loan 4.50 1.00 0.00 5.65 1/15/2021  $990,000  982,363  996,188 

Extreme Reach, Inc.

 Media Term Loan B Loan 6.25 1.00 0.00 7.30 2/7/2020  $2,831,250  2,806,680  2,873,719  Media Term Loan B Loan 6.25 1.00 0.00 7.55 2/7/2020  2,775,000  2,753,177  2,768,063 

Federal-Mogul Corporation

 Automotive Tranche C Term Loan Loan 3.75 1.00 0.00 4.75 4/15/2021  $2,917,500  2,906,685  2,926,369  Automotive Tranche C Term Loan Loan 3.75 1.00 0.00 4.98 4/15/2021  2,296,974  2,289,914  2,304,163 

FinCo I LLC

 Banking, Finance, Insurance & Real Estate Term Loan B Loan 1.38 0.00 0.00 1.38 6/14/2022  500,000  498,793  504,000 

First Data Corporation

 Financial Intermediaries First Data T/L Ext (2021) Loan 2.50 0.00 0.00 3.53 4/26/2024  $1,886,914  1,809,171  1,896,651  Financial Intermediaries First Data T/L Ext (2021) Loan 2.50 0.00 0.00 3.74 4/26/2024  1,864,542  1,792,211  1,864,933 

First Eagle Investment Management

 Banking, Finance, Insurance & Real Estate Term Loan Loan 3.50 0.75 0.00 4.66 12/1/2022  $2,481,250  2,452,109  2,512,266  Banking, Finance, Insurance & Real Estate Term Loan Loan 3.50 0.75 0.00 4.80 12/1/2022  2,481,250  2,453,237  2,505,293 

Fitness International, LLC

 Leisure Goods/Activities/Movies Term Loan B Loan 4.25 1.00 0.00 5.40 7/1/2020  $1,624,755  1,604,627  1,643,716  Leisure Goods/Activities/Movies Term Loan B Loan 4.25 1.00 0.00 5.49 7/1/2020  1,624,755  1,606,031  1,638,566 

Gardner Denver, Inc.

 High Tech Industries Initial Dollar Term Loan Loan 3.25 1.00 0.00 4.57 7/30/2020  $2,054,505  2,051,123  2,058,614 

Gates Global LLC

 Leisure Goods/Activities/Movies Term Loan (First Lien) Loan 3.25 1.00 0.00 4.41 4/1/2024  $349,886  346,468  351,233  Leisure Goods/Activities/Movies Term Loan (First Lien) Loan 3.25 1.00 0.00 4.55 4/1/2024  349,011  345,699  349,964 

General Nutrition Centers, Inc.

 Retailers (Except Food and Drugs) Amended Tranche B Term Loan Loan 2.50 0.75 0.00 3.55 3/4/2019  $2,047,169  2,044,152  1,841,715  Retailers (Except Food and Drugs) Amended Tranche B Term Loan Loan 2.50 0.75 0.00 3.74 3/4/2019  2,047,169  2,044,530  1,930,317 

Global Tel*Link Corporation

 Services: Business Term Loan (First Lien) Loan 4.00 1.25 0.00 5.30 5/26/2020  3,134,046  3,128,201  3,154,417 

GLOBALLOGIC HOLDINGS INC TERM LOAN B

 Services: Business Term Loan B Loan 4.50 1.00 0.00 5.65 6/20/2022  $500,000  495,340  503,125  Services: Business Term Loan B Loan 4.50 1.00 0.00 5.80 6/20/2022  498,750  494,304  499,997 

Global Tel*Link Corporation

 Services: Business Term Loan (First Lien) Loan 3.75 1.25 0.00 5.00 5/26/2020  $2,641,595  2,635,582  2,640,486 

Goodyear Tire & Rubber Company, The

 Chemicals/Plastics Loan (Second Lien) Loan 2.00 0.00 0.00 3.00 4/30/2019  $1,833,333  1,822,047  1,844,792  Chemicals/Plastics Loan (Second Lien) Loan 2.00 0.00 0.00 3.23 4/30/2019  1,833,333  1,823,483  1,835,625 

Grosvenor Capital Management Holdings, LP

 Brokers/Dealers/Investment Houses Initial Term Loan Loan 3.00 1.00 0.00 4.04 8/18/2023  $1,000,000  995,091  1,002,500  Brokers/Dealers/Investment Houses Initial Term Loan Loan 3.00 1.00 0.00 4.24 8/18/2023  997,481  992,679  999,975 

GTCR Valor Companies, Inc.

 Services: Business Term Loan B Loan 6.00 1.00 0.00 7.15 6/16/2023  $1,488,751  1,434,934  1,498,800 

Hargray Communications Group, Inc.

 Media Term Loan B Loan 3.00 1.00 0.00 4.24 2/9/2022  1,000,000  997,535  1,000,000 

Harland Clarke Holdings Corp. (fka Clarke American Corp.)

 Publishing Tranche B-4 Term Loan Loan 5.50 1.00 0.00 6.65 2/9/2022  $2,162,357  2,105,279  2,160,195  Publishing TrancheB-4 Term Loan Loan 5.50 1.00 0.00 6.80 2/9/2022  2,148,828  2,094,599  2,155,554 

Hargray Communications Group, Inc.

 Media Term Loan B Loan 3.00 1.00 0.00 4.03 2/9/2022  $1,000,000  997,509  1,001,500 

HD Supply Waterworks, Ltd.

 Construction & Building Term Loan Loan 3.00 1.00 0.00 4.46 8/1/2024  500,000  498,758  500,625 

Heartland Dental, LLC

 Services: Consumer Term Loan Loan 4.75 1.00 0.00 6.06 7/31/2023  3,000,000  2,985,015  3,000,000 

Helix Gen Funding, LLC

 Utilities Term Loan B Loan 3.75 1.00 0.00 4.96 5/3/2024  $479,104  476,709  479,104  Utilities Term Loan B Loan 3.75 1.00 0.00 4.96 5/3/2024  479,104  476,900  483,349 

Highline Aftermarket Acquisition, LLC

 Automotive Term Loan B Loan 4.25 1.00 0.00 5.31 3/15/2024  $1,000,000  995,000  1,005,000 

Help/Systems Holdings, Inc.

 High Tech Industries Term Loan Loan 5.25 1.00 0.00 6.40 10/8/2021  $1,481,250  1,432,668  1,482,479  High Tech Industries Term Loan Loan 4.50 1.00 0.00 5.80 10/8/2021  1,349,392  1,298,024  1,352,766 

Hemisphere Media Holdings, LLC

 Media Term Loan B Loan 3.50 0.00 0.00 4.54 2/14/2024  $2,493,750  2,506,145  2,496,867  Media Term Loan B Loan 3.50 0.00 0.00 4.74 2/14/2024  2,487,500  2,499,377  2,490,609 

Herbalife T/L B (HLF Financing)

 Drugs Term Loan B Loan 5.50 0.75 0.00 6.54 2/15/2023  $2,000,000  1,985,640  2,010,840  Drugs Term Loan B Loan 5.50 0.75 0.00 6.74 2/15/2023  1,962,500  1,949,117  1,971,096 

Hercules Achievement Holdings, Inc.

 Retailers (Except Food and Drugs) Term Loan B Loan 4.00 1.00 0.00 5.00 12/10/2021  $246,222  244,291  247,497  Retailers (Except Food and Drugs) Term Loan B Loan 3.50 1.00 0.00 4.74 12/10/2021  245,592  243,758  246,820 

Highline Aftermarket Acquisition, LLC

 Automotive Term Loan B Loan 4.25 1.00 0.00 5.56 3/15/2024  997,500  992,512  1,002,488 

Hoffmaster Group, Inc.

 Containers/Glass Products Term Loan Loan 4.50 1.00 0.00 5.54 11/21/2023  $997,500  1,001,241  1,008,722  Containers/Glass Products Term Loan Loan 4.50 1.00 0.00 5.80 11/21/2023  995,000  998,513  1,002,463 

Hostess Brand, LLC

 Beverage, Food & Tobacco Term Loan B (First Lien) Loan 2.50 0.75 0.00 3.54 8/3/2022  $1,486,275  1,482,559  1,496,619  Beverage, Food & Tobacco Term Loan B (First Lien) Loan 2.50 0.75 0.00 3.74 8/3/2022  1,486,275  1,482,613  1,489,619 

HUB International Limited

 Banking, Finance, Insurance & Real Estate Term Loan B Loan 3.25 1.00 0.00 4.42 10/2/2022  $748,072  748,072  751,932  Banking, Finance, Insurance & Real Estate Term Loan B Loan 3.00 1.00 0.00 4.31 10/2/2022  746,144  746,144  748,367 

Huntsman International LLC

 Chemicals/Plastics Term Loan B (First Lien) Loan 3.00 0.70 0.00 4.04 4/19/2019  $1,021,487  1,017,292  1,027,023 

Husky Injection Molding Systems Ltd.

 Services: Business Term Loan B Loan 3.25 1.00 0.00 4.29 6/30/2021  $449,208  447,231  452,690  Services: Business Term Loan B Loan 3.25 1.00 0.00 4.49 6/30/2021  445,844  443,968  447,516 

Hyland Software, Inc.

 High Tech Industries Term Loan B Loan 3.25 0.75 0.00 4.00 7/1/2022  $1,000,000  997,500  1,000,000  High Tech Industries Term Loan B Loan 3.25 0.75 0.00 4.49 7/1/2022  1,000,000  997,506  1,007,500 

Hyperion Refinance T/L

 Banking, Finance, Insurance & Real Estate Term Loan Loan 4.00 1.00 0.00 5.06 4/29/2022  $1,881,998  1,859,264  1,881,998  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.00 1.00 0.00 5.25 4/29/2022  1,877,293  1,856,318  1,899,820 

ICSH Parent, Inc.

 Containers/Glass Products Term Loan Loan 4.00 1.00 0.00 5.18 4/29/2024  $847,059  842,847  844,941  Containers/Glass Products Term Loan Loan 4.00 1.00 0.00 5.32 4/29/2024  847,059  842,999  847,059 

ICSH Parent, Inc.

 Containers/Glass Products Delayed Draw Term Loan Loan 4.00 1.00 0.00 5.32 4/29/2024  46,353  46,353  46,353 

Idera, Inc.

 High Tech Industries Term Loan B Loan 5.00 1.00 0.00 6.00 6/28/2024  1,690,909  1,674,000  1,690,909 

IG Investments Holdings, LLC

 Services: Business Term Loan Loan 4.00 1.00 0.00 5.08 10/29/2021  $3,441,142  3,425,616  3,466,950  Services: Business Term Loan Loan 4.00 1.00 0.00 5.30 10/29/2021  3,432,539  3,419,826  3,452,551 

Imagine! Print Solutions, Inc.

 Media Term Loan B Loan 6.00 1.00 0.00 7.15 3/30/2022  $495,000  488,876  495,619 

Infor US (Lawson) T/L B-6

 Services: Business Term Loan B-6 Loan 2.75 1.00 0.00 3.90 2/1/2022  $1,609,802  1,596,120  1,605,986  Services: Business Term LoanB-6 Loan 2.75 1.00 0.00 4.05 2/1/2022  1,605,777  1,592,693  1,601,265 

Informatica Corporation

 High Tech Industries Term Loan B Loan 3.50 1.00 0.00 4.65 8/5/2022  $485,671  484,711  485,215  High Tech Industries Term Loan B Loan 3.50 1.00 0.00 4.80 8/5/2022  484,433  483,517  484,738 

Inmar, Inc.

 Services: Business Term Loan B Loan 3.50 1.00 0.00 4.67 5/1/2024  $500,000  495,040  500,625  Services: Business Term Loan B Loan 3.50 1.00 0.00 4.76 5/1/2024  500,000  495,138  500,315 

ION Media T/L B

 Media Term Loan B Loan 3.50 1.00 0.00 4.50 12/18/2020  $500,000  497,761  505,000 

J. Crew Group, Inc.

 Retailers (Except Food and Drugs) Term B-1 Loan Retired 03/05/2014 Loan 3.00 1.00 0.00 4.00 3/5/2021  $943,325  943,325  642,131  Retailers (Except Food and Drugs) TermB-1 Loan Retired 03/05/2014 Loan 3.22 1.00 0.00 4.52 3/5/2021  834,971  834,971  486,629 

J.Jill Group, Inc.

 Retailers (Except Food and Drugs) Term Loan (First Lien) Loan 5.00 1.00 0.00 6.32 5/9/2022  876,934  873,747  857,203 

Jazz Acquisition, Inc

 Aerospace and Defense First Lien 6/14 Loan 3.50 1.00 0.00 4.65 6/19/2021  $486,667  485,937  472,067  Aerospace and Defense First Lien 6/14 Loan 3.50 1.00 0.00 4.80 6/19/2021  485,455  484,729  471,294 

J.Jill Group, Inc.

 Retailers (Except Food and Drugs) Term Loan (First Lien) Loan 5.00 1.00 0.00 6.18 5/9/2022  $948,238  944,632  923,745 

Kinetic Concepts, Inc.

 Healthcare & Pharmaceuticals Term Loan F-1 Loan 3.25 1.00 0.00 4.40 2/2/2024  $2,400,000  2,389,073  2,366,256  Healthcare & Pharmaceuticals Term LoanF-1 Loan 3.25 1.00 0.00 4.55 2/2/2024  2,400,000  2,389,238  2,373,000 

Koosharem, LLC

 Services: Business Term Loan Loan 6.50 1.00 0.00 7.54 5/15/2020  $2,927,613  2,911,567  2,710,969  Services: Business Term Loan Loan 6.50 1.00 0.00 7.80 5/15/2020  2,920,125  2,905,387  2,737,617 

Kraton Polymers, LLC

 Chemicals/Plastics Term Loan (Initial) Loan 4.00 1.00 0.00 5.05 1/6/2022  $1,733,177  1,592,433  1,754,703 

Lannett Company T/L A

 Healthcare & Pharmaceuticals Term Loan A Loan 4.75 1.00 0.00 5.79 11/25/2020  $986,842  959,754  976,974 

Lannett Company, Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 5.38 1.00 0.00 6.42 11/25/2022  $1,875,000  1,820,609  1,860,938  Healthcare & Pharmaceuticals Term Loan B Loan 5.38 1.00 0.00 6.62 11/25/2022  2,850,000  2,798,349  2,821,500 

LEARFIELD COMMUNICATIONS INITIAL T/L (A-L PARENT)

 Healthcare & Pharmaceuticals Initial Term Loan (A-L Parent) Loan 3.25 1.00 0.00 4.30 12/1/2023  $498,750  496,523  504,361  Healthcare & Pharmaceuticals Initial Term Loan(A-L Parent) Loan 3.25 1.00 0.00 4.49 12/1/2023  497,500  495,311  499,679 

Lightstone Generation T/L B

 Utilities Term Loan B Loan 4.50 1.00 0.00 5.54 1/30/2024  $57,971  56,838  56,667  Utilities Term Loan C Loan 4.50 1.00 0.00 5.74 1/30/2024  57,971  56,866  57,699 

Lightstone Generation T/L C

 Utilities Term Loan C Loan 4.50 1.00 0.00 5.54 1/30/2024  $939,674  921,338  918,531  Utilities Term Loan B Refinancing Loan 4.50 1.00 0.00 5.74 1/30/2024  930,362  912,678  925,999 

Limetree Bay Terminals T/L (01/17)

 Oil & Gas Term Loan Loan 5.00 1.00 0.00 6.00 2/15/2024  $500,000  495,258  504,375  Oil & Gas Term Loan Loan 4.00 1.00 0.00 5.23 2/15/2024  498,750  494,192  505,608 

Liquidnet Holdings, Inc.

 Banking, Finance, Insurance & Real Estate Term Loan B Loan 4.25 1.00 0.00 5.48 7/15/2024  500,000  495,020  500,000 

LPL Holdings

 Banking, Finance, Insurance & Real Estate Term Loan B (2022) Loan 2.50 0.00 0.00 3.61 3/11/2024  $1,750,000  1,745,678  1,757,665  Banking, Finance, Insurance & Real Estate Term Loan B (2022) Loan 2.50 0.00 0.00 3.73 3/11/2024  1,745,625  1,741,382  1,748,540 

McGraw-Hill Global Education Holdings, LLC

 Publishing Term Loan Loan 4.00 1.00 0.00 5.04 5/4/2022  $992,500  988,527  980,878  Publishing Term Loan Loan 4.00 1.00 0.00 5.24 5/4/2022  990,000  986,218  970,448 

MHVC Acquisition Corp.

 Aerospace and Defense Term Loan Loan 5.25 1.00 0.00 6.30 4/29/2024  $2,000,000  1,990,154  2,013,760  Aerospace and Defense Term Loan Loan 5.25 1.00 0.00 6.49 4/29/2024  2,000,000  1,990,197  2,025,000 

Michaels Stores, Inc.

 Retailers (Except Food and Drugs) Term Loan B1 Loan 2.75 1.00 0.00 3.79 1/30/2023  $1,675,147  1,669,900  1,673,053  Retailers (Except Food and Drugs) Term Loan B1 Loan 2.75 1.00 0.00 3.99 1/30/2023  1,670,514  1,665,413  1,666,856 

Micro Holding Corporation

 High Tech Industries Term Loan Loan 3.75 1.00 0.00 4.79 7/8/2021  $322,700  321,911  325,524  High Tech Industries Term Loan Loan 3.75 1.00 0.00 4.99 7/8/2021  1,475,684  1,471,584  1,471,626 

Micro Holding Corporation

 High Tech Industries Term Loan Loan 3.75 1.00 0.00 4.79 7/8/2021  $979,860  976,399  988,130 

Microsemi Corporation

 Electronics/Electric Term Loan B Loan 2.25 0.00 0.00 3.33 1/17/2023  $829,180  808,580  832,173 

Midas Intermediate Holdco II, LLC

 Automotive Term Loan (Initial) Loan 2.75 1.00 0.00 3.90 8/18/2021  $243,764  242,937  244,373  Automotive Term Loan (Initial) Loan 2.75 1.00 0.00 4.05 8/18/2021  243,153  242,374  242,647 

Midwest Physician Administrative Services LLC

 Healthcare & Pharmaceuticals Term Loan Loan 3.00 0.75 0.00 4.32 8/15/2024  1,000,000  995,097  997,500 

Milacron T/L B

 Capital Equipment Term Loan B Loan 3.00 0.00 0.00 4.04 9/28/2023  $997,500  994,134  999,994  Capital Equipment Term Loan B Loan 3.00 0.00 0.00 4.24 9/28/2023  995,000  991,655  997,905 

Milk Specialties Company

 Beverage, Food & Tobacco Term Loan Loan 4.00 1.00 0.00 5.15 8/16/2023  $995,000  985,645  1,002,463  Beverage, Food & Tobacco Term Loan Loan 4.00 1.00 0.00 5.30 8/16/2023  992,500  983,390  999,944 

Mister Car Wash T/L

 Automotive Term Loan Loan 4.25 1.00 0.00 5.30 8/20/2021  $1,495,312  1,489,711  1,497,182  Automotive Term Loan Loan 3.75 1.00 0.00 5.03 8/20/2021  1,491,470  1,486,113  1,493,961 

MWI Holdings, Inc.

 Capital Equipment Term Loan (First Lien) Loan 5.50 1.00 0.00 6.65 6/29/2020  $2,977,500  2,951,521  2,999,831  Capital Equipment Term Loan (First Lien) Loan 5.50 1.00 0.00 6.80 6/29/2020  2,970,000  2,946,207  2,970,000 

National Vision, Inc.

 Retailers (Except Food and Drugs) Term Loan (Second Lien) Loan 5.75 1.00 0.00 6.79 3/11/2022  $250,000  249,802  242,813 

New Media Holdings II T/L (NEW)

 Retailers (Except Food and Drugs) Term Loan Loan 6.25 1.00 0.00 7.29 6/4/2020  $3,160,034  3,147,716  3,136,334  Retailers (Except Food and Drugs) Term Loan Loan 6.25 1.00 0.00 7.49 6/4/2020  4,151,952  4,130,494  4,138,998 

New Millennium Holdco, Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 6.50 1.00 0.00 7.54 12/21/2020  $1,925,088  1,784,595  1,138,208  Healthcare & Pharmaceuticals Term Loan Loan 6.50 1.00 0.00 7.74 12/21/2020  1,920,070  1,791,552  1,056,039 

Novetta Solutions

 Aerospace and Defense Term Loan (200MM) Loan 5.00 1.00 0.00 6.15 10/16/2022  $1,975,000  1,959,035  1,881,188  Aerospace and Defense Term Loan (200MM) Loan 5.00 1.00 0.00 6.30 10/16/2022  1,970,000  1,954,718  1,896,125 

Novetta Solutions

 Aerospace and Defense Term Loan (2nd Lien) Loan 8.50 1.00 0.00 9.50 10/16/2023  $1,000,000  991,479  941,250  Aerospace and Defense Term Loan (2nd Lien) Loan 8.50 1.00 0.00 9.80 10/16/2023  1,000,000  991,731  940,000 

NPC International, Inc.

 Food Services Term Loan (2013) Loan 3.50 1.00 0.00 4.51 4/19/2024  $500,000  499,408  503,335  Food Services Term Loan (2013) Loan 3.50 1.00 0.00 4.74 4/19/2024  500,000  499,388  502,500 

NVA Holdings (National Veterinary) T/L B2

 Services: Consumer Term Loan B2 Loan 3.50 1.00 0.00 4.65 8/14/2021  $1,261,425  1,256,849  1,275,616  Services: Consumer Term Loan B2 Loan 3.50 1.00 0.00 4.80 8/14/2021  1,507,950  1,503,536  1,513,605 

NXT Capital T/L (11/16)

 Banking, Finance, Insurance & Real Estate Term Loan Loan 4.50 1.00 0.00 5.65 11/23/2022  $1,247,500  1,242,663  1,264,653  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.50 1.00 0.00 5.74 11/23/2022  1,244,373  1,239,598  1,263,039 

Onex Carestream Finance LP

 Healthcare & Pharmaceuticals Term Loan (First Lien 2013) Loan 4.00 1.00 0.00 5.15 6/7/2019  $3,558,804  3,552,314  3,475,777  Healthcare & Pharmaceuticals Term Loan (First Lien 2013) Loan 4.00 1.00 0.00 5.30 6/7/2019  3,504,053  3,494,910  3,496,940 

OnexYork Acquisition Co

 Healthcare & Pharmaceuticals Term Loan B Loan 3.75 1.00 0.00 4.90 10/1/2021  $487,500  485,121  476,044  Healthcare & Pharmaceuticals Term Loan B Loan 3.75 1.00 0.00 4.99 10/1/2021  486,250  483,977  478,499 

OpenLink International, LLC

 Services: Business Term B Loan Loan 6.50 1.25 0.00 7.75 7/29/2019  $2,906,156  2,905,864  2,915,834  Services: Business Term B Loan Loan 6.50 1.25 0.00 7.81 7/29/2019  2,898,488  2,898,374  2,893,068 

P.F. Chang’s China Bistro, Inc.

 Food/Drug Retailers Term B Loan Loan 3.25 1.00 0.00 4.48 6/24/2019  589,978  572,278  572,278 

P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)

 Food/Drug Retailers Term Borrowing Loan 3.25 1.00 0.00 4.54 6/24/2019  $1,413,810  1,410,322  1,403,207  Food/Drug Retailers Term B Loan Loan 3.25 1.00 0.00 4.48 6/24/2019  1,410,022  1,406,954  1,404,735 

P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)

 Services: Business Term Loan (First Lien) Loan 4.00 1.00 0.00 5.18 10/30/2020  $967,500  964,621  945,731  Services: Business Term Loan (First Lien) Loan 4.00 1.00 0.00 5.32 10/30/2020  965,000  962,318  942,487 

Petsmart, Inc. (Argos Merger Sub, Inc.)

 Retailers (Except Food and Drugs) Term Loan B1 Loan 3.00 1.00 0.00 4.01 3/11/2022  $980,000  975,713  940,898  Retailers (Except Food and Drugs) Term Loan B1 Loan 3.00 1.00 0.00 4.24 3/11/2022  977,500  973,373  857,404 

PGX Holdings, Inc.

 Financial Intermediaries Term Loan Loan 5.25 1.00 0.00 6.30 9/29/2020  $2,871,499  2,857,322  2,873,308  Financial Intermediaries Term Loan Loan 5.25 1.00 0.00 6.49 9/29/2020  2,851,534  2,838,455  2,853,331 

Pike Corporation

 Construction & Building Term Loan B Loan 3.75 1.00 0.00 4.99 3/8/2024  498,750  496,459  503,428 

Planet Fitness Holdings LLC

 Leisure Goods/Activities/Movies Term Loan Loan 3.00 0.75 0.00 4.15 3/31/2021  $2,386,345  2,379,828  2,390,831  Leisure Goods/Activities/Movies Term Loan Loan 3.00 0.75 0.00 4.24 3/31/2021  2,380,349  2,374,116  2,395,226 

Polycom Term Loan (9/16)

 Telecommunications Term Loan Loan 5.25 1.00 0.00 6.25 9/27/2023  $1,804,333  1,780,636  1,821,023  Telecommunications Term Loan Loan 5.25 1.00 0.00 6.49 9/27/2023  1,733,167  1,711,253  1,754,398 

Pike Corporation

 Construction & Building Term Loan B Loan 3.75 1.00 0.00 4.80 3/8/2024  $500,000  497,661  504,375 

PrePaid Legal Services, Inc.

 Services: Business Term Loan B Loan 5.25 1.25 0.00 6.50 7/1/2019  $3,169,278  3,172,153  3,184,142  Services: Business Term Loan B Loan 5.25 1.25 0.00 6.50 7/1/2019  3,103,532  3,106,156  3,120,012 

Presidio, Inc.

 Services: Business Term Loan Loan 3.25 1.00 0.00 4.40 2/2/2022  $2,101,767  2,040,643  2,119,505  Services: Business Term Loan Loan 3.25 1.00 0.00 4.55 2/2/2022  1,997,270  1,941,849  2,003,921 

Prestige Brands T/L B4

 Drugs Term Loan B4 Loan 2.75 0.75 0.00 3.79 1/26/2024  $477,225  476,160  481,005  Drugs Term Loan B4 Loan 2.75 0.75 0.00 3.99 1/26/2024  456,202  455,187  456,699 

Prime Security Services (Protection One)

 Services: Business Term Loan Loan 3.25 1.00 0.00 4.29 5/2/2022  $1,980,062  1,970,177  1,995,982  Services: Business Term Loan Loan 2.75 1.00 0.00 3.99 5/2/2022  1,980,062  1,970,444  1,988,735 

Project Leopard Holdings, Inc.

 High Tech Industries Term Loan Loan 5.50 1.00 0.00 6.76 7/7/2023  500,000  498,765  502,500 

Project Silverback Holdings Corp.

 High Tech Industries Term Loan B Loan 4.00 1.00 0.00 5.32 8/21/2024  1,000,000  997,500  1,000,000 

Radio Systems Corporation

 Leisure Goods/Activities/Movies Term Loan Loan 3.50 1.00 0.00 4.54 5/2/2024  $1,500,000  1,500,000  1,505,625  Leisure Goods/Activities/Movies Term Loan Loan 3.50 1.00 0.00 4.74 5/2/2024  1,500,000  1,500,000  1,511,250 

Ranpak Holdings, Inc.

 Services: Business Term Loan Loan 3.25 1.00 0.00 4.29 10/1/2021  $913,716  911,432  914,858  Services: Business Term Loan Loan 3.25 1.00 0.00 4.49 10/1/2021  911,385  909,107  911,385 

Ranpak Holdings, Inc.

 Services: Business Term Loan (Second Lien) Loan 7.25 1.00 0.00 8.25 10/3/2022  $311,111  310,001  309,556 

Redtop Acquisitions Limited

 Electronics/Electric Initial Dollar Term Loan (First Lien) Loan 3.50 1.00 0.00 4.67 12/3/2020  $483,778  481,891  485,592  Electronics/Electric Initial Dollar Term Loan (First Lien) Loan 3.50 1.00 0.00 4.81 12/3/2020  482,537  480,782  482,841 

RGIS Services, LLC

 Services: Business Term Loan Loan 7.50 1.00 0.00 8.65 3/31/2023  $500,000  492,623  497,815 

Research Now Group, Inc

 Media Term Loan B Loan 4.50 1.00 0.00 5.65 3/18/2021  $2,004,470  1,996,990  1,979,414  Media Term Loan B Loan 4.50 1.00 0.00 5.80 3/18/2021  2,004,470  1,997,380  1,994,448 

Resolute Investment Managers, Inc.

 Banking, Finance, Insurance & Real Estate Term Loan Loan 4.25 1.00 0.00 5.40 4/30/2022  $728,517  727,070  729,733  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.25 1.00 0.00 5.55 4/30/2022  726,591  725,217  733,856 

Rexnord LLC/RBS Global, Inc.

 Industrial Equipment Term B Loan Loan 2.75 1.00 0.00 3.90 8/21/2023  $1,370,341  1,370,341  1,375,480 

Reynolds Group Holdings Inc.

 Industrial Equipment Incremental U.S. Term Loan Loan 3.00 0.00 0.00 4.04 2/3/2023  $1,756,731  1,756,731  1,765,111  Industrial Equipment Incremental U.S. Term Loan Loan 3.00 0.00 0.00 4.24 2/3/2023  1,752,329  1,752,329  1,753,485 

RGIS Services, LLC

 Services: Business Term Loan Loan 7.50 1.00 0.00 8.80 3/31/2023  498,750  491,591  455,109 

Robertshaw US Holding Corp.

 Consumer Goods: Durable Term Loan Loan 4.50 1.00 0.00 5.75 8/12/2024  500,000  496,250  502,815 

Rovi Solutions Corporation / Rovi Guides, Inc.

 Electronics/Electric Tranche B-3 Term Loan Loan 2.50 0.75 0.00 3.55 7/2/2021  $1,458,750  1,454,281  1,460,880  Electronics/Electric TrancheB-3 Term Loan Loan 2.50 0.75 0.00 3.74 7/2/2021  1,455,000  1,450,798  1,456,557 

Royal Adhesives and Sealants

 Chemicals/Plastics Term Loan (Second Lien) Loan 7.50 1.00 0.00 8.65 6/19/2023  $275,862  274,177  275,172 

Royal Holdings T/L (02/17)

 Chemicals/Plastics Term Loan (Second Lien) Loan 3.25 1.00 0.00 4.40 6/17/2022  $541,607  539,264  547,364  Chemicals/Plastics Term Loan (Second Lien) Loan 3.25 1.00 0.00 4.55 6/17/2022  540,253  537,980  542,954 

Russell Investment Management T/L B

 Banking, Finance, Insurance & Real Estate Term Loan B Loan 5.75 1.00 0.00 6.79 6/1/2023  $2,234,372  2,123,883  2,267,887  Banking, Finance, Insurance & Real Estate Term Loan B Loan 4.25 1.00 0.00 5.49 6/1/2023  2,228,744  2,123,972  2,238,506 

Sable International Finance Ltd

 Telecommunications Term Loan B2 Loan 3.50 0.00 0.00 4.54 1/31/2025  $1,500,000  1,492,500  1,505,250  Telecommunications Term Loan B2 Loan 3.50 0.00 0.00 4.74 1/31/2025  2,500,000  2,487,515  2,485,950 

Sally Holdings, LLC

 Retail Term Loan B1 Loan 2.50 0.00 0.00 3.75 7/5/2024  1,000,000  995,057  996,250 

Sally Holdings, LLC

 Retail Term Loan (Fixed) Loan 4.50 0.00 0.00 4.50 7/5/2024  1,000,000  995,002  1,005,000 

SBP Holdings LP

 Industrial Equipment Term Loan (First Lien) Loan 4.00 1.00 0.00 5.04 3/27/2021  $970,000  967,121  887,550  Industrial Equipment Term Loan (First Lien) Loan 4.00 1.00 0.00 5.24 3/27/2021  967,500  964,802  888,291 

Scientific Games International, Inc.

 Electronics/Electric Term Loan B2 Loan 4.00 0.75 0.00 5.01 10/1/2021  $769,549  762,015  781,092 

SCS Holdings (Sirius Computer)

 High Tech Industries Term Loan (First Lien) Loan 4.25 1.00 0.00 5.29 10/31/2022  $1,871,532  1,837,243  1,887,327  High Tech Industries Term Loan (First Lien) Loan 4.25 1.00 0.00 5.49 10/31/2022  1,852,332  1,819,756  1,863,131 

Seadrill Operating LP

 Oil & Gas Term Loan B Loan 3.00 1.00 0.00 4.15 2/21/2021  $974,811  923,318  667,746  Oil & Gas Term Loan B Loan 3.00 1.00 0.00 4.30 2/21/2021  972,292  924,066  624,698 

SG Acquisition, Inc. (Safe Guard)

 Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.30 3/29/2024  1,987,500  1,968,665  1,972,594 

Shearers Foods LLC

 Food Services Term Loan (First Lien) Loan 3.94 1.00 0.00 5.09 6/30/2021  $975,000  973,500  971,344  Food Services Term Loan (First Lien) Loan 3.94 1.00 0.00 5.24 6/30/2021  972,500  971,037  972,092 

SG Acquisition, Inc. (Safe Guard)

 Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.15 3/29/2024  $2,000,000  1,980,387  1,985,000 

Sitel Worldwide

 Telecommunications Term Loan Loan 5.50 1.00 0.00 6.69 9/18/2021  $1,970,000  1,955,355  1,962,120  Telecommunications Term Loan Loan 5.50 1.00 0.00 6.81 9/18/2021  1,965,000  1,951,088  1,961,325 

SMB Shipping Logistics T/L B (REP WWEX Acquisition)

 Transportation Term Loan B Loan 4.50 1.00 0.00 5.67 2/2/2024  $1,000,000  995,503  1,002,080  Transportation Term Loan B Loan 4.50 1.00 0.00 5.95 2/2/2024  997,500  993,052  999,166 

Sonneborn, LLC

 Chemicals/Plastics Term Loan (First Lien) Loan 3.75 1.00 0.00 4.79 12/10/2020  $207,451  207,127  209,007  Chemicals/Plastics Term Loan (First Lien) Loan 3.75 1.00 0.00 4.99 12/10/2020  206,920  206,619  207,954 

Sonneborn, LLC

 Chemicals/Plastics Initial US Term Loan Loan 3.75 1.00 0.00 4.79 12/10/2020  $1,175,553  1,173,719  1,184,370  Chemicals/Plastics Initial US Term Loan Loan 3.75 1.00 0.00 4.99 12/10/2020  1,172,545  1,170,841  1,178,408 

Sophia, L.P.

 Electronics/Electric Term Loan (Closing Date) Loan 3.25 1.00 0.00 4.40 9/30/2022  $1,935,931  1,927,068  1,929,155  Electronics/Electric Term Loan (Closing Date) Loan 3.25 1.00 0.00 4.55 9/30/2022  1,935,931  1,927,351  1,932,601 

SourceHOV LLC

 Services: Business Term Loan B (First Lien) Loan 6.75 1.00 0.00 7.90 10/31/2019  $1,812,500  1,782,852  1,703,750 

SRAM, LLC

 Industrial Equipment Term Loan (First Lien) Loan 3.50 1.00 0.00 4.58 3/15/2024  $2,677,652  2,655,727  2,684,346  Industrial Equipment Term Loan (First Lien) Loan 3.50 1.00 0.00 4.76 3/15/2024  2,600,800  2,579,942  2,613,804 

Steak ’n Shake Operations, Inc.

 Food Services Term Loan Loan 3.75 1.00 0.00 4.80 3/19/2021  $852,491  847,501  843,966 

Staples, Inc.

 Retail Term Loan B Loan 4.00 1.00 0.00 5.31 8/15/2024  2,000,000  1,995,000  1,989,540 

Steak ‘n Shake Operations, Inc.

 Food Services Term Loan Loan 3.75 1.00 0.00 4.99 3/19/2021  849,991  845,318  824,491 

Survey Sampling International

 Services: Business Term Loan B Loan 5.00 1.00 0.00 6.15 12/16/2020  $2,714,821  2,701,862  2,711,427  Services: Business Term Loan B Loan 5.00 1.00 0.00 6.30 12/16/2020  2,707,893  2,695,815  2,667,274 

Sybil Finance BV

 High Tech Industries Term Loan B Loan 3.25 1.00 0.00 4.40 9/29/2023  $987,500  983,249  1,000,091  High Tech Industries Term Loan B Loan 3.25 1.00 0.00 4.50 9/29/2023  975,156  971,083  980,237 

Syncsort Incorporated

 High Tech Industries Term Loan B Loan 5.00 1.00 0.00 6.00 8/16/2024  2,000,000  1,980,000  1,980,500 

Syniverse Holdings, Inc.

 Telecommunications Initial Term Loan Loan 3.00 1.00 0.00 4.17 4/23/2019  $468,409  466,632  445,377  Telecommunications Initial Term Loan Loan 3.00 1.00 0.00 4.31 4/23/2019  468,409  466,861  448,501 

Tennessee Merger T/L (Team Health)

 Healthcare & Pharmaceuticals Term Loan Loan 2.75 1.00 0.00 3.79 2/6/2024  $1,000,000  997,601  994,060 

Townsquare Media, Inc.

 Media Term Loan B Loan 3.00 1.00 0.00 4.04 4/1/2022  $911,712  907,481  914,374  Media Term Loan B Loan 3.00 1.00 0.00 4.30 4/1/2022  911,712  907,640  911,712 

TPF II Power LLC and TPF II Covert Midco LLC

 Utilities Term Loan B Loan 4.00 1.00 0.00 5.04 10/2/2023  $1,413,873  1,367,114  1,403,566 

TransDigm, Inc.

 Aerospace and Defense Tranche C Term Loan Loan 3.00 0.75 0.00 4.15 2/28/2020  $4,222,175  4,227,281  4,238,219  Aerospace and Defense Tranche C Term Loan Loan 3.00 0.75 0.00 4.26 2/28/2020  4,211,151  4,218,677  4,214,898 

Travel Leaders Group, LLC

 Hotel, Gaming and Leisure Term Loan B Loan 5.25 0.00 0.00 6.29 1/25/2024  $2,000,000  1,990,390  2,018,760  Hotel, Gaming and Leisure Term Loan B Loan 4.50 0.00 0.00 5.81 1/25/2024  1,995,000  1,985,216  2,009,125 

TRC Companies, Inc.

 Services: Business Term Loan Loan 4.00 1.00 0.00 5.23 6/21/2024  3,000,000  2,985,204  3,007,500 

Truck Hero, Inc. (Tectum Holdings)

 Transportation Term Loan B Loan 4.00 1.00 0.00 5.16 4/22/2024  $2,000,000  1,980,000  2,000,000  Transportation Term Loan B Loan 4.00 1.00 0.00 5.23 4/22/2024  2,000,000  1,980,517  1,997,500 

Trugreen Limited Partnership

 Services: Business Term Loan B Loan 5.50 1.00 0.00 6.50 4/13/2023  $496,250  489,897  500,592  Services: Business Term Loan B Loan 4.00 1.00 0.00 5.23 4/13/2023  495,000  487,643  499,950 

Twin River Management Group, Inc.

 Lodging & Casinos Term Loan B Loan 3.50 1.00 0.00 4.65 7/10/2020  $792,846  794,051  796,810  Lodging & Casinos Term Loan B Loan 3.50 1.00 0.00 4.80 7/10/2020  790,346  791,422  794,796 

Univar Inc.

 Chemicals/Plastics Term B Loan Loan 2.75 0.00 0.00 3.79 7/1/2022  $2,955,094  2,941,679  2,966,175  Chemicals/Plastics Term B Loan Loan 2.75 0.00 0.00 3.99 7/1/2022  2,947,688  2,934,692  2,949,987 

Univision Communications Inc.

 Telecommunications Replacement First-Lien Term Loan Loan 2.75 1.00 0.00 3.99 3/15/2024  2,870,189  2,852,951  2,845,849 

UOS, LLC (Utility One Source)

 Capital Equipment Term Loan B Loan 5.50 1.00 0.00 6.53 4/18/2023  $500,000  495,062  509,375  Capital Equipment Term Loan B Loan 5.50 1.00 0.00 6.80 4/18/2023  500,000  495,186  509,065 

Univision Communications Inc.

 Telecommunications Replacement First-Lien Term Loan Loan 2.75 1.00 0.00 3.79 3/15/2024  $2,877,927  2,860,288  2,852,746 

Valeant Pharmaceuticals International, Inc.

 Drugs Series D2 Term Loan B Loan 4.75 0.75 0.00 5.75 4/1/2022  $1,689,182  1,689,182  1,718,743  Drugs Series D2 Term Loan B Loan 4.75 0.75 0.00 5.99 4/1/2022  1,482,063  1,482,063  1,507,080 

Verint Systems Inc.

 Services: Business Term Loan Loan 2.75 0.75 0.00 3.92 9/6/2019  $1,003,684  1,001,096  1,010,790 

Virtus Investment Partners, Inc.

 Banking, Finance, Insurance & Real Estate Term Loan B Loan 3.75 0.75 0.00 4.95 6/3/2024  $500,000  497,542  507,500  Banking, Finance, Insurance & Real Estate Term Loan B Loan 3.75 0.75 0.00 4.95 6/3/2024  500,000  497,580  505,625 

Vistra Operations Company T/L B (12/16)

 Utilities Term Loan B Loan 3.25 0.75 0.00 4.28 12/13/2023  $498,750  497,576  498,940 

Vizient Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 3.50 1.00 0.00 4.54 2/13/2023  $879,853  857,810  890,121  Healthcare & Pharmaceuticals Term Loan Loan 3.50 1.00 0.00 4.74 2/13/2023  879,853  858,575  888,651 

Washington Inventory Service

 High Tech Industries Revolver Loan 5.50 0.00 0.00 9.50 7/14/2017  $31,390  31,390  30,919  High Tech Industries U.S. Term Loan (First Lien) Loan 0.00 0.00 6.00 7.22 12/20/2018  1,108,260  1,121,429  978,039 

Washington Inventory Service

 High Tech Industries U.S. Term Loan (First Lien) Loan 0.00 0.00 5.75 7.50 12/20/2018  $1,738,077  1,745,574  1,425,223 

Western Dental Services, Inc.

 Retail Term Loan B Loan 5.25 1.00 0.00 6.49 6/30/2023  2,000,000  1,980,073  2,000,000 

Western Digital Corporation

 High Tech Industries Term Loan B (USD) Loan 2.75 0.75 0.00 3.78 4/28/2023  $1,588,020  1,541,984  1,601,661  High Tech Industries Term Loan B (USD) Loan 2.75 0.75 0.00 3.98 4/28/2023  1,584,040  1,539,726  1,591,517 

Windstream Services, LLC

 Telecommunications Term Loan B6 Loan 4.00 0.75 0.00 5.01 3/29/2021  $996,870  987,502  998,116  Telecommunications Term Loan B6 Loan 4.00 0.75 0.00 5.27 3/29/2021  994,366  985,495  905,867 

Xerox Business Services T/L B (Conduent)

 Services: Business Term Loan Loan 4.00 0.00 0.00 4.99 12/7/2023  $748,125  736,442  759,534  Services: Business Term Loan Loan 4.00 0.00 0.00 5.24 12/7/2023  746,250  734,919  752,220 

ZEP, Inc.

 Chemicals/Plastics Term Loan B Loan 4.00 1.00 0.00 5.04 6/27/2022  $2,947,500  2,934,504  2,954,869  Chemicals/Plastics Term Loan B Loan 4.00 1.00 0.00 5.23 6/27/2022  2,500,000  2,487,507  2,502,075 

Zest Holdings 1st Lien T/L (2014 Replacement)

 Healthcare & Pharmaceuticals Term Loan Loan 4.25 1.00 0.00 5.40 8/16/2023  $1,000,000  995,336  1,006,250  Healthcare & Pharmaceuticals Term Loan Loan 4.25 1.00 0.00 5.49 8/16/2023  997,500  992,766  1,003,315 
          

 

  

 

           

 

  

 

 
          $300,101,725  $294,713,104           $301,224,354  $294,524,652 
          

 

  

 

           

 

  

 

 
           Principal Cost Fair Value            Principal Cost Fair Value 

Cash and cash equivalents

           

Cash and cash equivalents

          

U.S. Bank Money Market (a)

         $7,039,670  $7,039,670  $7,039,670 

U.S. Bank Money Market (a)

        $7,475,599  $7,475,599  $7,475,599 
         

 

  

 

  

 

          

 

  

 

  

 

 

Total cash and cash equivalents

Total cash and cash equivalents

        $7,039,670  $7,039,670  $7,039,670 

Total cash and cash equivalents

        $7,475,599  $7,475,599  $7,475,599 
         

 

  

 

  

 

          

 

  

 

  

 

 

(a)    Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of MayAugust 31, 2017.

Saratoga Investment Corp. CLO2013-1 Ltd.

Schedule of Investments

February 28, 2017

 

Issuer Name

 

Industry

 

Asset Name

 Asset
Type
 Spread LIBOR
Floor
 PIK Current
Rate
(All In)
 Maturity
Date
 Principal/
Number
of Shares
 Cost Fair Value  

Industry

 

Asset Name

 Asset
Type
 Spread LIBOR
Floor
 PIK Current
Rate
(All In)
 Maturity
Date
 Principal/
Number of
Shares
 Cost Fair Value 

Education Management II, LLC

 Leisure Goods/Activities/Movies A-1 Preferred Shares  Equity  0.00 0.00 0.00 0.00  6,692  $669,214  $6,725  Leisure Goods/Activities/Movies A-1 Preferred Shares Equity 0.00 0.00 0.00 0.00  6,692  $669,214  $6,725 

Education Management II, LLC

 Leisure Goods/Activities/Movies A-2 Preferred Shares  Equity  0.00 0.00 0.00 0.00  18,975  1,897,538  247  Leisure Goods/Activities/Movies A-2 Preferred Shares Equity 0.00 0.00 0.00 0.00  18,975  1,897,538  247 

New Millennium Holdco, Inc.

 Healthcare & Pharmaceuticals Common Stock  Equity  0.00 0.00 0.00 0.00  14,813  964,466  15,746  Healthcare & Pharmaceuticals Common Stock Equity 0.00 0.00 0.00 0.00  14,813  964,466  15,746 

24 Hour Holdings III, LLC

 Leisure Goods/Activities/Movies Term Loan  Loan  3.75 1.00 0.00 4.75 5/28/2021  $487,500  484,284  476,127  Leisure Goods/Activities/Movies Term Loan Loan 3.75 1.00 0.00 4.75 5/28/2021  $487,500  484,284  476,127 

ABB Con-Cise Optical Group, LLC

 Healthcare & Pharmaceuticals Term Loan B  Loan  5.00 1.00 0.00 6.00 6/15/2023  $1,995,000  1,975,193  2,009,963  Healthcare & Pharmaceuticals Term Loan B Loan 5.00 1.00 0.00 6.00 6/15/2023  1,995,000  1,975,193  2,009,963 

Acosta Holdco, Inc.

 Media Term Loan B1  Loan  3.25 1.00 0.00 4.29 9/26/2021  $1,940,025  1,929,297  1,893,348  Media Term Loan B1 Loan 3.25 1.00 0.00 4.29 9/26/2021  1,940,025  1,929,297  1,893,348 

Advantage Sales & Marketing, Inc.

 Services: Business Delayed Draw Term Loan  Loan  3.25 1.00 0.00 4.25 7/25/2021  $2,446,206  2,443,710  2,438,574  Services: Business Delayed Draw Term Loan Loan 3.25 1.00 0.00 4.25 7/25/2021  2,446,206  2,443,710  2,438,574 

Aegis Toxicology Science Corporation

 Healthcare & Pharmaceuticals Term B Loan  Loan  4.50 1.00 0.00 5.50 2/24/2021  $2,463,550  2,337,204  2,412,234  Healthcare & Pharmaceuticals Term B Loan Loan 4.50 1.00 0.00 5.50 2/24/2021  2,463,550  2,337,204  2,412,234 

Agrofresh, Inc.

 Food Services Term Loan  Loan  4.75 1.00 0.00 5.75 7/30/2021  $1,970,000  1,962,367  1,898,587  Food Services Term Loan Loan 4.75 1.00 0.00 5.75 7/30/2021  1,970,000  1,962,367  1,898,587 

AI MISTRAL T/L (V. GROUP)

 Utilities Term Loan  Loan  3.00 1.00 0.00 4.00 3/11/2024  $500,000  500,000  500,940  Utilities Term Loan Loan 3.00 1.00 0.00 4.00 3/11/2024  500,000  500,000  500,940 

Akorn, Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan  4.25 1.00 0.00 5.25 4/16/2021  $398,056  396,948  403,529  Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.25 4/16/2021  398,056  396,948  403,529 

Albertson’s LLC

 Retailers (Except Food and Drugs) Term Loan B-4  Loan  3.00 0.75 0.00 3.78 8/25/2021  $2,896,193  2,879,009  2,931,179  Retailers (Except Food and Drugs) Term LoanB-4 Loan 3.00 0.75 0.00 3.78 8/25/2021  2,896,193  2,879,009  2,931,179 

Alere Inc. (fka IM US Holdings, LLC)

 Healthcare & Pharmaceuticals Term Loan B  Loan  3.25 1.00 0.00 4.25 6/20/2022  $917,946  916,144  919,479  Healthcare & Pharmaceuticals Term Loan B Loan 3.25 1.00 0.00 4.25 6/20/2022  917,946  916,144  919,479 

Alion Science and Technology Corporation

 High Tech Industries Term Loan B (First Lien)  Loan  4.50 1.00 0.00 5.50 8/19/2021  $2,955,000  2,943,621  2,951,306  High Tech Industries Term Loan B (First Lien) Loan 4.50 1.00 0.00 5.50 8/19/2021  2,955,000  2,943,621  2,951,306 

Alliance Healthcare Services, Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan  3.25 1.00 0.00 4.29 6/3/2019  $984,570  981,094  977,184  Healthcare & Pharmaceuticals Term Loan B Loan 3.25 1.00 0.00 4.29 6/3/2019  984,570  981,094  977,184 

ALPHA 3 T/L B1 (ATOTECH)

 Chemicals/Plastics Term Loan B 1  Loan  3.00 1.00 0.00 4.00 1/31/2024  $250,000  249,377  252,500  Chemicals/Plastics Term Loan B 1 Loan 3.00 1.00 0.00 4.00 1/31/2024  250,000  249,377  252,500 

Anchor Glass T/L (11/16)

 Containers/Glass Products Term Loan  Loan  3.25 1.00 0.00 4.25 12/7/2023  $500,000  497,626  505,780  Containers/Glass Products Term Loan Loan 3.25 1.00 0.00 4.25 12/7/2023  500,000  497,626  505,780 

APCO Holdings, Inc.

 Automotive Term Loan  Loan  6.00 1.00 0.00 7.00 1/31/2022  $1,933,919  1,887,037  1,885,571  Automotive Term Loan Loan 6.00 1.00 0.00 7.00 1/31/2022  1,933,919  1,887,037  1,885,571 

Aramark Corporation

 Food Products U.S. Term F Loan  Loan  2.50 0.75 0.00 3.50 2/24/2021  $3,118,358  3,118,358  3,147,327  Food Products U.S. Term F Loan Loan 2.50 0.75 0.00 3.50 2/24/2021  3,118,358  3,118,358  3,147,327 

Aspen Dental Management, Inc.

 Healthcare & Pharmaceuticals Term Loan Initial  Loan  4.25 1.00 0.00 5.25 4/29/2022  $1,484,941  1,481,061  1,491,446  Healthcare & Pharmaceuticals Term Loan Initial Loan 4.25 1.00 0.00 5.25 4/29/2022  1,484,941  1,481,061  1,491,446 

Astoria Energy T/L B

 Utilities Term Loan  Loan  4.00 1.00 0.00 5.00 12/24/2021  $1,495,307  1,480,354  1,499,045  Utilities Term Loan Loan 4.00 1.00 0.00 5.00 12/24/2021  1,495,307  1,480,354  1,499,045 

Asurion, LLC (fka Asurion Corporation)

 Insurance Replacement Term Loan B-2  Loan  3.25 0.75 0.00 4.03 7/8/2020  $531,422  526,976  537,024  Insurance Replacement Term LoanB-2 Loan 3.25 0.75 0.00 4.03 7/8/2020  531,422  526,976  537,024 

Asurion, LLC (fka Asurion Corporation)

 Insurance Term Loan B4 (First Lien)  Loan  3.25 1.00 0.00 4.25 8/4/2022  $2,434,375  2,422,950  2,463,661  Insurance Term Loan B4 (First Lien) Loan 3.25 1.00 0.00 4.25 8/4/2022  2,434,375  2,422,950  2,463,661 

Auction.com, LLC

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  5.00 1.00 0.00 6.00 5/13/2019  $2,718,634  2,718,434  2,739,024  Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.00 5/13/2019  2,718,634  2,718,434  2,739,024 

Avantor Performance Materials Holdings, Inc.

 Chemicals/Plastics Term Loan  Loan  5.00 1.00 0.00 6.00 6/21/2022  $2,784,429  2,760,689  2,819,234  Chemicals/Plastics Term Loan Loan 5.00 1.00 0.00 6.00 6/21/2022  2,784,429  2,760,689  2,819,234 

AVOLON TLB BORROWER 1 LUXEMBOURG S.A.R.L.

 Capital Equipment Term Loan B-2  Loan  2.75 0.75 0.00 3.50 3/20/2022  $1,000,000  995,000  1,017,300  Capital Equipment Term LoanB-2 Loan 2.75 0.75 0.00 3.50 3/20/2022  1,000,000  995,000  1,017,300 

Bass Pro Group, LLC

 Retailers (Except Food and Drugs) Term Loan  Loan  3.25 0.75 0.00 4.02 6/5/2020  $1,473,750  1,471,637  1,411,116  Retailers (Except Food and Drugs) Term Loan Loan 3.25 0.75 0.00 4.02 6/5/2020  1,473,750  1,471,637  1,411,116 

Belmond Interfin Ltd.

 Lodging & Casinos Term Loan  Loan  3.00 1.00 0.00 4.00 3/19/2021  $2,481,122  2,484,502  2,488,888  Lodging & Casinos Term Loan Loan 3.00 1.00 0.00 4.00 3/19/2021  2,481,122  2,484,502  2,488,888 

BJ’s Wholesale Club, Inc.

 Food/Drug Retailers New 2013 (November) Replacement Loan (First Lien)  Loan  3.75 1.00 0.00 4.75 2/2/2024  $1,500,000  1,496,335  1,487,385  Food/Drug Retailers New 2013 (November) Replacement Loan (First Lien) Loan 3.75 1.00 0.00 4.75 2/2/2024  1,500,000  1,496,335  1,487,385 

Blackboard T/L B4

 High Tech Industries Term Loan B4  Loan  5.00 1.00 0.00 6.02 6/30/2021  $2,992,500  2,969,529  3,008,390  High Tech Industries Term Loan B4 Loan 5.00 1.00 0.00 6.02 6/30/2021  2,992,500  2,969,529  3,008,390 

BMC Software

 Technology Term Loan  Loan  4.00 1.00 0.00 5.00 9/10/2020  $1,959,596  1,917,256  1,965,729  Technology Term Loan Loan 4.00 1.00 0.00 5.00 9/10/2020  1,959,596  1,917,256  1,965,729 

BMC Software T/L US

 Technology Term Loan  Loan  4.00 1.00 0.00 5.00 9/10/2020  $676,193  665,400  679,607  Technology Term Loan Loan 4.00 1.00 0.00 5.00 9/10/2020  676,193  665,400  679,607 

Brickman Group Holdings, Inc.

 Brokers/Dealers/Investment Houses Initial Term Loan (First Lien)  Loan  3.00 1.00 0.00 4.00 12/18/2020  $1,461,186  1,451,382  1,467,952  Brokers/Dealers/Investment Houses Initial Term Loan (First Lien) Loan 3.00 1.00 0.00 4.00 12/18/2020  1,461,186  1,451,382  1,467,952 

BWAY Holding Company

 Leisure Goods/Activities/Movies Term Loan B  Loan  3.25 0.00 0.00 4.75 8/14/2023  $1,189,327  1,179,242  1,189,826  Leisure Goods/Activities/Movies Term Loan B Loan 3.25 0.00 0.00 4.75 8/14/2023  1,189,327  1,179,242  1,189,826 

Candy Intermediate Holdings, Inc.

 Beverage, Food & Tobacco Term Loan  Loan  4.50 1.00 0.00 5.50 6/15/2023  $497,500  495,317  500,609  Beverage, Food & Tobacco Term Loan Loan 4.50 1.00 0.00 5.50 6/15/2023  497,500  495,317  500,609 

Capital Automotive L.P.

 Conglomerate Tranche B-1 Term Loan Facility  Loan  3.00 1.00 0.00 4.00 4/10/2019  $1,487,353  1,489,058  1,500,829  Conglomerate TrancheB-1 Term Loan Facility Loan 3.00 1.00 0.00 4.00 4/10/2019  1,487,353  1,489,058  1,500,829 

CASA SYSTEMS T/L

 Telecommunications Term Loan  Loan  4.00 1.00 0.00 5.00 12/20/2023  $1,500,000  1,485,318  1,500,000  Telecommunications Term Loan Loan 4.00 1.00 0.00 5.00 12/20/2023  1,500,000  1,485,318  1,500,000 

Catalent Pharma Solutions, Inc

 Drugs Initial Term B Loan  Loan  2.75 1.00 0.00 3.75 5/20/2021  $424,821  423,456  429,953  Drugs Initial Term B Loan Loan 2.75 1.00 0.00 3.75 5/20/2021  424,821  423,456  429,953 

Cengage Learning Acquisitions, Inc.

 Publishing Term Loan  Loan  4.25 1.00 0.00 5.25 6/7/2023  $1,492,500  1,477,575  1,411,965  Publishing Term Loan Loan 4.25 1.00 0.00 5.25 6/7/2023  1,492,500  1,477,575  1,411,965 

CH HOLD (CALIBER COLLISION) T/L

 Automotive Term Loan  Loan  3.00 0.00 0.00 4.00 2/1/2024  $227,273  226,758  229,545  Automotive Term Loan Loan 3.00 0.00 0.00 4.00 2/1/2024  227,273  226,758  229,545 

Charter Communications Operating, LLC

 Cable and Satellite Television Term F Loan  Loan  2.00 0.00 0.00 2.79 1/3/2021  $1,609,533  1,603,525  1,617,130  Cable and Satellite Television Term F Loan Loan 2.00 0.00 0.00 2.79 1/3/2021  1,609,533  1,603,525  1,617,130 

CHS/Community Health Systems, Inc.

 Healthcare & Pharmaceuticals Term G Loan  Loan  2.75 1.00 0.00 3.80 12/31/2019  $981,177  960,939  972,866  Healthcare & Pharmaceuticals Term G Loan Loan 2.75 1.00 0.00 3.80 12/31/2019  981,177  960,939  972,866 

CHS/Community Health Systems, Inc.

 Healthcare & Pharmaceuticals Term H Loan  Loan  3.00 1.00 0.00 4.05 1/27/2021  $1,805,352  1,763,950  1,773,940  Healthcare & Pharmaceuticals Term H Loan Loan 3.00 1.00 0.00 4.05 1/27/2021  1,805,352  1,763,950  1,773,940 

CITGO Petroleum Corporation

 Oil & Gas Term Loan B  Loan  3.50 1.00 0.00 4.50 7/29/2021  $1,964,874  1,946,245  1,976,172  Oil & Gas Term Loan B Loan 3.50 1.00 0.00 4.50 7/29/2021  1,964,874  1,946,245  1,976,172 

Communications Sales & Leasing, Inc.

 Telecommunications Term Loan B (First Lien)  Loan  3.00 1.00 0.00 4.00 10/24/2022  $1,970,062  1,958,282  1,980,405  Telecommunications Term Loan B (First Lien) Loan 3.00 1.00 0.00 4.00 10/24/2022  1,970,062  1,958,282  1,980,405 

Concordia Healthcare Corporation

 Healthcare & Pharmaceuticals Term Loan B  Loan  4.25 1.00 0.00 5.25 10/21/2021  $1,980,000  1,891,488  1,615,522  Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.25 10/21/2021  1,980,000  1,891,488  1,615,522 

Consolidated Aerospace Manufacturing, LLC

 Aerospace and Defense Term Loan (First Lien)  Loan  3.75 1.00 0.00 4.75 8/11/2022  $1,418,750  1,412,839  1,365,547  Aerospace and Defense Term Loan (First Lien) Loan 3.75 1.00 0.00 4.75 8/11/2022  1,418,750  1,412,839  1,365,547 

Consolidated Communications, Inc.

 Telecommunications Term Loan B-2  Loan  3.00 1.00 0.00 4.00 10/5/2023  $500,000  497,500  502,890  Telecommunications Term LoanB-2 Loan 3.00 1.00 0.00 4.00 10/5/2023  500,000  497,500  502,890 

CPI Acquisition Inc.

 Technology Term Loan B (First Lien)  Loan  4.50 1.00 0.00 5.83 8/17/2022  $1,436,782  1,418,783  1,289,511  Technology Term Loan B (First Lien) Loan 4.50 1.00 0.00 5.83 8/17/2022  1,436,782  1,418,783  1,289,511 

CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)

 Electronics/Electric Term B Loan  Loan  3.25 1.00 0.00 4.25 11/17/2017  $2,462,342  2,461,490  2,457,934  Electronics/Electric Term B Loan Loan 3.25 1.00 0.00 4.25 11/17/2017  2,462,342  2,461,490  2,457,934 

Crosby US Acquisition Corporation

 Industrial Equipment Initial Term Loan (First Lien)  Loan  3.00 1.00 0.00 4.05 11/23/2020  $727,500  726,911  667,329  Industrial Equipment Initial Term Loan (First Lien) Loan 3.00 1.00 0.00 4.05 11/23/2020  727,500  726,911  667,329 

CT Technologies Intermediate Hldgs, Inc

 Healthcare & Pharmaceuticals Term Loan  Loan  4.25 1.00 0.00 5.25 12/1/2021  $1,470,113  1,458,924  1,389,256  Healthcare & Pharmaceuticals Term Loan Loan 4.25 1.00 0.00 5.25 12/1/2021  1,470,113  1,458,924  1,389,256 

Culligan International Company-T/L

 Conglomerate Term Loan  Loan  4.00 1.00 0.00 5.00 12/13/2023  $2,050,000  2,049,738  2,083,313  Conglomerate Term Loan Loan 4.00 1.00 0.00 5.00 12/13/2023  2,050,000  2,049,738  2,083,313 

Cumulus Media Holdings Inc.

 Broadcast Radio and Television Term Loan  Loan  3.25 1.00 0.00 4.25 12/23/2020  $470,093  467,345  342,580  Broadcast Radio and Television Term Loan Loan 3.25 1.00 0.00 4.25 12/23/2020  470,093  467,345  342,580 

DAE Aviation (StandardAero)

 Aerospace and Defense Term Loan  Loan  4.25 1.00 0.00 5.25 7/7/2022  $1,975,000  1,967,190  1,987,838  Aerospace and Defense Term Loan Loan 4.25 1.00 0.00 5.25 7/7/2022  1,975,000  1,967,190  1,987,838 

DASEKE T/L (HENNESSY CAPITAL)

 Transportation Term Loan  Loan  5.50 1.00 0.00 6.50 2/27/2024  $714,286  707,143  717,857  Transportation Term Loan Loan 5.50 1.00 0.00 6.50 2/27/2024  714,286  707,143  717,857 

DCS Business Services, Inc.

 Financial Intermediaries Term B Loan  Loan  7.25 1.50 0.00 8.75 3/19/2018  $2,101,458  2,096,045  2,101,458  Financial Intermediaries Term B Loan Loan 7.25 1.50 0.00 8.75 3/19/2018  2,101,458  2,096,045  2,101,458 

Delta 2 (Lux) S.a.r.l.

 Lodging & Casinos Term Loan B-3  Loan  3.75 1.00 0.00 5.07 7/30/2021  $1,000,000  996,568  1,002,920  Lodging & Casinos Term LoanB-3 Loan 3.75 1.00 0.00 5.07 7/30/2021  1,000,000  996,568  1,002,920 

DELL INTERNATIONAL 1ST LIEN T/L

 High Tech Industries Term Loan (01/17)  Loan  2.50 0.75 0.00 3.25 9/7/2023  $1,000,000  998,850  1,006,480  High Tech Industries Term Loan (01/17) Loan 2.50 0.75 0.00 3.25 9/7/2023  1,000,000  998,850  1,006,480 

Deluxe Entertainment Service Group, Inc.

 Leisure Goods/Activities/Movies Term Loan (Incremental)  Loan  6.00 1.00 0.00 7.04 2/28/2020  $1,000,000  972,672  997,500  Leisure Goods/Activities/Movies Term Loan (Incremental) Loan 6.00 1.00 0.00 7.04 2/28/2020  1,000,000  972,672  997,500 

Deluxe Entertainment Service Group, Inc.

 Leisure Goods/Activities/Movies Term Loan (First Lien)  Loan  5.50 1.00 0.00 6.54 2/28/2020  $1,868,084  1,869,141  1,864,199  Leisure Goods/Activities/Movies Term Loan (First Lien) Loan 5.50 1.00 0.00 6.54 2/28/2020  1,868,084  1,869,141  1,864,199 

DEX MEDIA, INC.

 Media Term Loan (07/16)  Loan  10.00 1.00 0.00 11.00 7/29/2021  $43,444  43,444  44,041  Media Term Loan (07/16) Loan 10.00 1.00 0.00 11.00 7/29/2021  43,444  43,444  44,041 

Diebold, Inc.

 High Tech Industries Term Loan B  Loan  4.50 0.75 0.00 5.31 11/6/2023  $398,750  395,190  404,731  High Tech Industries Term Loan B Loan 4.50 0.75 0.00 5.31 11/6/2023  398,750  395,190  404,731 

DIGITALGLOBE T/L B (12/16)

 Aerospace and Defense Term Loan B  Loan  2.75 0.75 0.00 3.53 1/15/2024  $500,000  498,815  502,030  Aerospace and Defense Term Loan B Loan 2.75 0.75 0.00 3.53 1/15/2024  500,000  498,815  502,030 

DJO Finance, LLC

 Healthcare & Pharmaceuticals Term Loan  Loan  3.25 1.00 0.00 4.25 6/8/2020  $492,500  490,933  483,388  Healthcare & Pharmaceuticals Term Loan Loan 3.25 1.00 0.00 4.25 6/8/2020  492,500  490,933  483,388 

DPX Holdings B.V.

 Healthcare & Pharmaceuticals Term Loan 2015 Incr Dollar  Loan  3.25 1.00 0.00 4.25 3/11/2021  $2,925,000  2,919,916  2,937,431  Healthcare & Pharmaceuticals Term Loan 2015 Incr Dollar Loan 3.25 1.00 0.00 4.25 3/11/2021  2,925,000  2,919,916  2,937,431 

Drew Marine Group, Inc.

 Chemicals/Plastics Term Loan (First Lien)  Loan  3.25 1.00 0.00 4.25 11/19/2020  $2,950,591  2,923,591  2,928,461  Chemicals/Plastics Term Loan (First Lien) Loan 3.25 1.00 0.00 4.25 11/19/2020  2,950,591  2,923,591  2,928,461 

DTZ U.S. Borrower, LLC

 Construction & Building Term Loan B Add-on  Loan  3.25 1.00 0.00 4.30 11/4/2021  $1,962,557  1,954,741  1,973,703  Construction & Building Term Loan BAdd-on Loan 3.25 1.00 0.00 4.30 11/4/2021  1,962,557  1,954,741  1,973,703 

DUKE FINANCE (OM GROUP/VECTRA) T/L

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  5.00 1.00 0.00 6.00 2/21/2024  $1,500,000  1,395,987  1,511,250  Banking, Finance, Insurance & Real Estate Term Loan Loan 5.00 1.00 0.00 6.00 2/21/2024  1,500,000  1,395,987  1,511,250 

Edelman Financial Group, Inc.

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  5.50 1.00 0.00 6.51 12/19/2022  $1,485,000  1,459,535  1,487,317  Banking, Finance, Insurance & Real Estate Term Loan Loan 5.50 1.00 0.00 6.51 12/19/2022  1,485,000  1,459,535  1,487,317 

Education Management II, LLC

 Leisure Goods/Activities/Movies Term Loan A  Loan  4.50 1.00 0.00 5.51 7/2/2020  $501,970  488,778  177,446  Leisure Goods/Activities/Movies Term Loan A Loan 4.50 1.00 0.00 5.51 7/2/2020  501,970  488,778  177,446 

Education Management II, LLC

 Leisure Goods/Activities/Movies Term Loan B (2.00% Cash/6.50% PIK)  Loan  1.00 1.00 6.50 8.51 7/2/2020  $954,307  934,189  77,938  Leisure Goods/Activities/Movies Term Loan B (2.00% Cash/6.50% PIK) Loan 1.00 1.00 6.50 8.51 7/2/2020  954,307  934,189  77,938 

Emerald Performance Materials, LLC

 Chemicals/Plastics Term Loan (First Lien)  Loan  3.50 1.00 0.00 4.50 8/1/2021  $480,756  479,151  483,308  Chemicals/Plastics Term Loan (First Lien) Loan 3.50 1.00 0.00 4.50 8/1/2021  480,756  479,151  483,308 

Emerald Performance Materials, LLC

 Chemicals/Plastics Term Loan (Second Lien)  Loan  7.75 1.00 0.00 8.75 8/1/2022  $500,000  498,153  498,595  Chemicals/Plastics Term Loan (Second Lien) Loan 7.75 1.00 0.00 8.75 8/1/2022  500,000  498,153  498,595 

Emerald 2 Limited

 Chemicals/Plastics Term Loan B1A  Loan  4.00 1.00 0.00 5.00 5/14/2021  $1,000,000  994,172  950,000  Chemicals/Plastics Term Loan B1A Loan 4.00 1.00 0.00 5.00 5/14/2021  1,000,000  994,172  950,000 

Endo International plc

 Healthcare & Pharmaceuticals Term Loan B  Loan  3.00 0.75 0.00 3.81 9/26/2022  $990,000  987,999  994,247  Healthcare & Pharmaceuticals Term Loan B Loan 3.00 0.75 0.00 3.81 9/26/2022  990,000  987,999  994,247 

EnergySolutions, LLC

 Environmental Industries Term Loan B  Loan  5.75 1.00 0.00 6.75 5/29/2020  $795,000  785,654  799,969  Environmental Industries Term Loan B Loan 5.75 1.00 0.00 6.75 5/29/2020  795,000  785,654  799,969 

Engility Corporation

 Aerospace and Defense Term Loan B-1  Loan  4.25 0.70 0.00 4.03 8/12/2020  $243,750  242,680  245,503  Aerospace and Defense Term LoanB-1 Loan 4.25 0.70 0.00 4.03 8/12/2020  243,750  242,680  245,503 

Evergreen Acqco 1 LP

 Retailers (Except Food and Drugs) New Term Loan  Loan  3.75 1.25 0.00 5.00 7/9/2019  $955,106  954,175  846,224  Retailers (Except Food and Drugs) New Term Loan Loan 3.75 1.25 0.00 5.00 7/9/2019  955,106  954,175  846,224 

EWT Holdings III Corp. (fka WTG Holdings III Corp.)

 Industrial Equipment Term Loan (First Lien)  Loan  3.75 1.00 0.00 4.75 1/15/2021  $1,947,330  1,943,904  1,954,632  Industrial Equipment Term Loan (First Lien) Loan 3.75 1.00 0.00 4.75 1/15/2021  1,947,330  1,943,904  1,954,632 

EWT Holdings III Corp.

 Capital Equipment Term Loan  Loan  4.50 1.00 0.00 5.50 1/15/2021  $992,500  984,248  997,463  Capital Equipment Term Loan Loan 4.50 1.00 0.00 5.50 1/15/2021  992,500  984,248  997,463 

Extreme Reach, Inc.

 Media Term Loan B  Loan  6.25 1.00 0.00 7.25 2/7/2020  $2,887,500  2,860,092  2,905,547  Media Term Loan B Loan 6.25 1.00 0.00 7.25 2/7/2020  2,887,500  2,860,092  2,905,547 

Federal-Mogul Corporation

 Automotive Tranche C Term Loan  Loan  3.75 1.00 0.00 4.75 4/15/2021  $2,925,000  2,915,873  2,894,434  Automotive Tranche C Term Loan Loan 3.75 1.00 0.00 4.75 4/15/2021  2,925,000  2,915,873  2,894,434 

First Data Corporation

 Financial Intermediaries First Data T/L Ext (2021)  Loan  3.00 0.70 0.00 3.78 3/24/2021  $1,886,914  1,804,119  1,904,010  Financial Intermediaries First Data T/L Ext (2021) Loan 3.00 0.70 0.00 3.78 3/24/2021  1,886,914  1,804,119  1,904,010 

First Eagle Investment Management

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  4.00 0.75 0.00 5.00 12/1/2022  $1,485,000  1,460,081  1,493,361  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.00 0.75 0.00 5.00 12/1/2022  1,485,000  1,460,081  1,493,361 

Fitness International, LLC

 Leisure Goods/Activities/Movies Term Loan B  Loan  5.00 1.00 0.00 6.00 7/1/2020  $1,929,311  1,905,661  1,947,793  Leisure Goods/Activities/Movies Term Loan B Loan 5.00 1.00 0.00 6.00 7/1/2020  1,929,311  1,905,661  1,947,793 

FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)

 Nonferrous Metals/Minerals Loan  Loan  2.75 1.00 0.00 3.75 6/28/2019  $801,502  802,865  806,279  Nonferrous Metals/Minerals Loan Loan 2.75 1.00 0.00 3.75 6/28/2019  801,502  802,865  806,279 

Garda World Security Corporation

 Services: Business Term B Delayed Draw Loan  Loan  3.00 1.00 0.00 4.00 11/6/2020  $197,083  196,509  197,822  Services: Business Term B Delayed Draw Loan Loan 3.00 1.00 0.00 4.00 11/6/2020  197,083  196,509  197,822 

Garda World Security Corporation

 Services: Business Term B Loan  Loan  3.00 1.00 0.00 4.00 11/6/2020  $770,417  768,226  773,306  Services: Business Term B Loan Loan 3.00 1.00 0.00 4.00 11/6/2020  770,417  768,226  773,306 

Gardner Denver, Inc.

 High Tech Industries Initial Dollar Term Loan  Loan  3.25 1.00 0.00 4.57 7/30/2020  $2,426,061  2,421,316  2,420,263  High Tech Industries Initial Dollar Term Loan Loan 3.25 1.00 0.00 4.57 7/30/2020  2,426,061  2,421,316  2,420,263 

Gates Global LLC

 Leisure Goods/Activities/Movies Term Loan (First Lien)  Loan  3.25 1.00 0.00 4.25 7/5/2021  $481,656  476,839  481,478  Leisure Goods/Activities/Movies Term Loan (First Lien) Loan 3.25 1.00 0.00 4.25 7/5/2021  481,656  476,839  481,478 

General Nutrition Centers, Inc.

 Retailers (Except Food and Drugs) Amended Tranche B Term Loan  Loan  2.50 0.75 0.00 3.29 3/4/2019  $2,121,102  2,117,573  1,765,817  Retailers (Except Food and Drugs) Amended Tranche B Term Loan Loan 2.50 0.75 0.00 3.29 3/4/2019  2,121,102  2,117,573  1,765,817 

GLOBALLOGIC HOLDINGS INC TERM LOAN B

 Services: Business Term Loan B  Loan  4.50 1.00 0.00 5.50 6/20/2022  $500,000  495,133  501,250  Services: Business Term Loan B Loan 4.50 1.00 0.00 5.50 6/20/2022  500,000  495,133  501,250 

Global Tel*Link Corporation

 Services: Business Term Loan (First Lien)  Loan  3.75 1.25 0.00 5.00 5/26/2020  $2,667,633  2,661,035  2,654,962  Services: Business Term Loan (First Lien) Loan 3.75 1.25 0.00 5.00 5/26/2020  2,667,633  2,661,035  2,654,962 

Goodyear Tire & Rubber Company, The

 Chemicals/Plastics Loan (Second Lien)  Loan  3.00 0.75 0.00 3.78 4/30/2019  $1,333,333  1,320,613  1,333,747  Chemicals/Plastics Loan (Second Lien) Loan 3.00 0.75 0.00 3.78 4/30/2019  1,333,333  1,320,613  1,333,747 

Grosvenor Capital Management Holdings, LP

 Brokers/Dealers/Investment Houses Initial Term Loan  Loan  2.75 1.00 0.00 3.75 1/4/2021  $1,014,560  1,011,573  1,010,755  Brokers/Dealers/Investment Houses Initial Term Loan Loan 2.75 1.00 0.00 3.75 1/4/2021  1,014,560  1,011,573  1,010,755 

GTCR Valor Companies, Inc.

 Services: Business Term Loan B  Loan  6.00 1.00 0.00 7.00 6/16/2023  $1,492,500  1,436,528  1,501,201  Services: Business Term Loan B Loan 6.00 1.00 0.00 7.00 6/16/2023  1,492,500  1,436,528  1,501,201 

Harland Clarke Holdings Corp. (fka Clarke American Corp.)

 Publishing Tranche B-4 Term Loan  Loan  5.50 1.00 0.00 6.50 2/9/2022  $2,176,889  2,117,378  2,190,495  Publishing TrancheB-4 Term Loan Loan 5.50 1.00 0.00 6.50 2/9/2022  2,176,889  2,117,378  2,190,495 

Headwaters Incorporated

 Building & Development Term Loan  Loan  3.00 1.00 0.00 4.00 3/24/2022  $242,058  241,141  242,784  Building & Development Term Loan Loan 3.00 1.00 0.00 4.00 3/24/2022  242,058  241,141  242,784 

Help/Systems Holdings, Inc.

 High Tech Industries Term Loan  Loan  5.25 1.00 0.00 6.25 10/8/2021  $1,485,000  1,433,886  1,485,000  High Tech Industries Term Loan Loan 5.25 1.00 0.00 6.25 10/8/2021  1,485,000  1,433,886  1,485,000 

Hemisphere Media Holdings, LLC

 Media Term Loan B  Loan  3.50 0.00 0.00 4.27 2/14/2024  $2,500,000  2,512,500  2,493,750  Media Term Loan B Loan 3.50 0.00 0.00 4.27 2/14/2024  2,500,000  2,512,500  2,493,750 

Herbalife T/L B (HLF Financing)

 Drugs Term Loan B  Loan  5.50 0.75 0.00 6.28 2/15/2023  $2,000,000  1,985,000  2,001,660  Drugs Term Loan B Loan 5.50 0.75 0.00 6.28 2/15/2023  2,000,000  1,985,000  2,001,660 

Hercules Achievement Holdings, Inc.

 Retailers (Except Food and Drugs) Term Loan B  Loan  4.00 1.00 0.00 5.00 12/10/2021  $246,851  244,820  250,431  Retailers (Except Food and Drugs) Term Loan B Loan 4.00 1.00 0.00 5.00 12/10/2021  246,851  244,820  250,431 

Hoffmaster Group, Inc.

 Containers/Glass Products Term Loan  Loan  4.50 1.00 0.00 5.50 11/21/2023  $1,000,000  1,003,734  1,013,750  Containers/Glass Products Term Loan Loan 4.50 1.00 0.00 5.50 11/21/2023  1,000,000  1,003,734  1,013,750 

Hostess Brand, LLC

 Beverage, Food & Tobacco Term Loan B (First Lien)  Loan  3.00 1.00 0.00 4.00 8/3/2022  $1,490,000  1,486,482  1,507,508  Beverage, Food & Tobacco Term Loan B (First Lien) Loan 3.00 1.00 0.00 4.00 8/3/2022  1,490,000  1,486,482  1,507,508 

Huntsman International LLC

 Chemicals/Plastics Term Loan B (First Lien)  Loan  3.00 0.70 0.00 3.78 4/19/2019  $1,518,031  1,510,811  1,525,150  Chemicals/Plastics Term Loan B (First Lien) Loan 3.00 0.70 0.00 3.78 4/19/2019  1,518,031  1,510,811  1,525,150 

Husky Injection Molding Systems Ltd.

 Services: Business Term Loan B  Loan  3.25 1.00 0.00 4.25 6/30/2021  $469,398  467,182  472,158  Services: Business Term Loan B Loan 3.25 1.00 0.00 4.25 6/30/2021  469,398  467,182  472,158 

Hyperion Refinance T/L

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  4.50 1.00 0.00 5.50 4/29/2022  $1,994,924  1,971,849  1,998,675  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.50 1.00 0.00 5.50 4/29/2022  1,994,924  1,971,849  1,998,675 

Imagine! Print Solutions, Inc.

 Media Term Loan B  Loan  6.00 1.00 0.00 7.00 3/30/2022  $496,250  489,837  499,972  Media Term Loan B Loan 6.00 1.00 0.00 7.00 3/30/2022  496,250  489,837  499,972 

Infor US (Lawson) T/L B-6

 Services: Business Term Loan B-6  Loan  2.75 1.00 0.00 3.75 2/1/2022  $1,609,802  1,595,316  1,610,945  Services: Business Term LoanB-6 Loan 2.75 1.00 0.00 3.75 2/1/2022  1,609,802  1,595,316  1,610,945 

Informatica Corporation

 High Tech Industries Term Loan B  Loan  3.50 1.00 0.00 4.50 8/5/2022  $493,750  492,732  490,664  High Tech Industries Term Loan B Loan 3.50 1.00 0.00 4.50 8/5/2022  493,750  492,732  490,664 

Insight Global

 Services: Business Term Loan  Loan  5.00 1.00 0.00 6.00 10/29/2021  $3,450,126  3,434,977  3,471,690  Services: Business Term Loan Loan 5.00 1.00 0.00 6.00 10/29/2021  3,450,126  3,434,977  3,471,690 

ION Media T/L B

 Media Term Loan B  Loan  3.50 1.00 0.00 4.50 12/18/2020  $500,000  497,615  506,875  Media Term Loan B Loan 3.50 1.00 0.00 4.50 12/18/2020  500,000  497,615  506,875 

J. Crew Group, Inc.

 Retailers (Except Food and Drugs) Term B-1 Loan Retired 03/05/2014  Loan  3.00 1.00 0.00 4.00 3/5/2021  $945,756  945,756  540,660  Retailers (Except Food and Drugs) TermB-1 Loan Retired 03/05/2014 Loan 3.00 1.00 0.00 4.00 3/5/2021  945,756  945,756  540,660 

Jazz Acquisition, Inc

 Aerospace and Defense First Lien 6/14  Loan  3.50 1.00 0.00 4.50 6/19/2021  $487,879  487,106  471,208  Aerospace and Defense First Lien 6/14 Loan 3.50 1.00 0.00 4.50 6/19/2021  487,879  487,106  471,208 

J.Jill Group, Inc.

 Retailers (Except Food and Drugs) Term Loan (First Lien)  Loan  5.00 1.00 0.00 6.04 5/9/2022  $950,648  946,877  935,200  Retailers (Except Food and Drugs) Term Loan (First Lien) Loan 5.00 1.00 0.00 6.04 5/9/2022  950,648  946,877  935,200 

Kinetic Concepts, Inc.

 Healthcare & Pharmaceuticals Term Loan F-1  Loan  4.00 1.00 0.00 4.28 2/2/2024  $2,400,000  2,388,246  2,399,496  Healthcare & Pharmaceuticals Term LoanF-1 Loan 4.00 1.00 0.00 4.28 2/2/2024  2,400,000  2,388,246  2,399,496 

Koosharem, LLC

 Services: Business Term Loan  Loan  6.50 1.00 0.00 7.50 5/15/2020  $2,935,100  2,917,778  2,730,259  Services: Business Term Loan Loan 6.50 1.00 0.00 7.50 5/15/2020  2,935,100  2,917,778  2,730,259 

Kraton Polymers, LLC

 Chemicals/Plastics Term Loan (Initial)  Loan  5.00 1.00 0.00 5.00 1/6/2022  $2,500,000  2,286,776  2,533,825  Chemicals/Plastics Term Loan (Initial) Loan 5.00 1.00 0.00 5.00 1/6/2022  2,500,000  2,286,776  2,533,825 

Lannett Company T/L A

 Healthcare & Pharmaceuticals Term Loan A  Loan  4.75 1.00 0.00 5.75 11/25/2020  $1,000,000  970,576  985,000  Healthcare & Pharmaceuticals Term Loan A Loan 4.75 1.00 0.00 5.75 11/25/2020  1,000,000  970,576  985,000 

Lannett Company, Inc.

 Healthcare & Pharmaceuticals Term Loan B  Loan  5.38 1.00 0.00 6.38 11/25/2022  $1,900,000  1,842,852  1,885,750  Healthcare & Pharmaceuticals Term Loan B Loan 5.38 1.00 0.00 6.38 11/25/2022  1,900,000  1,842,852  1,885,750 

LEARFIELD COMMUNICATIONS INITIAL T/L (A-L PARENT)

 Healthcare & Pharmaceuticals Initial Term Loan (A-L Parent)  Loan  3.25 1.00 0.00 4.25 12/1/2023  $500,000  497,713  505,625  Healthcare & Pharmaceuticals Initial Term Loan(A-L Parent) Loan 3.25 1.00 0.00 4.25 12/1/2023  500,000  497,713  505,625 

Lightstone Generation T/L B

 Utilities Term Loan B  Loan  5.50 1.00 0.00 6.54 1/30/2024  $913,043  894,897  925,981  Utilities Term Loan B Loan 5.50 1.00 0.00 6.54 1/30/2024  913,043  894,897  925,981 

Lightstone Generation T/L C

 Utilities Term Loan C  Loan  5.50 1.00 0.00 6.54 1/30/2024  $86,957  85,236  88,189  Utilities Term Loan C Loan 5.50 1.00 0.00 6.54 1/30/2024  86,957  85,236  88,189 

Limetree Bay Terminals T/L (01/17)

 Oil & Gas Term Loan  Loan  5.00 1.00 0.00 6.04 2/15/2024  $500,000  495,000  503,125  Oil & Gas Term Loan Loan 5.00 1.00 0.00 6.04 2/15/2024  500,000  495,000  503,125 

LPL Holdings

 Banking, Finance, Insurance & Real Estate Term Loan B (2022)  Loan  4.00 0.75 0.00 4.78 11/21/2022  $1,980,000  1,963,355  2,007,225  Banking, Finance, Insurance & Real Estate Term Loan B (2022) Loan 4.00 0.75 0.00 4.78 11/21/2022  1,980,000  1,963,355  2,007,225 

Mauser Holdings, Inc.

 Containers/Glass Products Term Loan  Loan  3.50 1.00 0.00 4.50 7/31/2021  $488,750  487,123  488,647  Containers/Glass Products Term Loan Loan 3.50 1.00 0.00 4.50 7/31/2021  488,750  487,123  488,647 

McGraw-Hill Global Education Holdings, LLC

 Publishing Term Loan  Loan  4.00 1.00 0.00 5.00 5/4/2022  $995,000  990,840  977,468  Publishing Term Loan Loan 4.00 1.00 0.00 5.00 5/4/2022  995,000  990,840  977,468 

Michaels Stores, Inc.

 Retailers (Except Food and Drugs) Term Loan B1  Loan  2.75 1.00 0.00 3.75 1/30/2023  $1,679,779  1,674,140  1,674,673  Retailers (Except Food and Drugs) Term Loan B1 Loan 2.75 1.00 0.00 3.75 1/30/2023  1,679,779  1,674,140  1,674,673 

Micro Holding Corporation

 High Tech Industries Term Loan  Loan  3.75 1.00 0.00 4.75 7/8/2021  $982,378  978,629  985,079  High Tech Industries Term Loan Loan 3.75 1.00 0.00 4.75 7/8/2021  982,378  978,629  985,079 

Microsemi Corporation

 Electronics/Electric Term Loan B  Loan  2.25 0.00 0.00 3.03 1/17/2023  $868,445  845,882  874,593  Electronics/Electric Term Loan B Loan 2.25 0.00 0.00 3.03 1/17/2023  868,445  845,882  874,593 

Midas Intermediate Holdco II, LLC

 Automotive Term Loan (Initial)  Loan  3.50 1.00 0.00 3.75 8/18/2021  $244,375  243,499  246,005  Automotive Term Loan (Initial) Loan 3.50 1.00 0.00 3.75 8/18/2021  244,375  243,499  246,005 

Milacron T/L B

 Capital Equipment Term Loan B  Loan  3.00 0.00 0.00 3.78 9/28/2023  $1,000,000  996,250  1,004,380  Capital Equipment Term Loan B Loan 3.00 0.00 0.00 3.78 9/28/2023  1,000,000  996,250  1,004,380 

Milk Specialties Company

 Beverage, Food & Tobacco Term Loan  Loan  5.00 1.00 0.00 5.00 8/16/2023  $997,500  987,646  1,004,562  Beverage, Food & Tobacco Term Loan Loan 5.00 1.00 0.00 5.00 8/16/2023  997,500  987,646  1,004,562 

Mister Car Wash T/L

 Automotive Term Loan  Loan  4.25 1.00 0.00 5.25 8/20/2021  $831,203  825,179  832,931  Automotive Term Loan Loan 4.25 1.00 0.00 5.25 8/20/2021  831,203  825,179  832,931 

MSC Software Corporation

 Services: Business Term Loan  Loan  4.00 1.00 0.00 5.00 5/29/2020  $1,969,898  1,931,995  1,972,360  Services: Business Term Loan Loan 4.00 1.00 0.00 5.00 5/29/2020  1,969,898  1,931,995  1,972,360 

MWI Holdings, Inc.

 Capital Equipment Term Loan (First Lien)  Loan  5.50 1.00 0.00 6.50 6/29/2020  $2,985,000  2,956,823  3,007,388  Capital Equipment Term Loan (First Lien) Loan 5.50 1.00 0.00 6.50 6/29/2020  2,985,000  2,956,823  3,007,388 

National Veterinary Associates, Inc

 Healthcare & Pharmaceuticals Term Loan B  Loan  3.50 1.00 0.00 4.50 8/14/2021  $977,543  974,893  982,430  Healthcare & Pharmaceuticals Term Loan B Loan 3.50 1.00 0.00 4.50 8/14/2021  977,543  974,893  982,430 

National Vision, Inc.

 Retailers (Except Food and Drugs) Term Loan (Second Lien)  Loan  5.75 1.00 0.00 6.75 3/11/2022  $250,000  249,793  242,750  Retailers (Except Food and Drugs) Term Loan (Second Lien) Loan 5.75 1.00 0.00 6.75 3/11/2022  250,000  249,793  242,750 

New Media Holdings II T/L (NEW)

 Retailers (Except Food and Drugs) Term Loan  Loan  6.25 1.00 0.00 7.25 6/4/2020  $3,168,116  3,154,983  3,140,395  Retailers (Except Food and Drugs) Term Loan Loan 6.25 1.00 0.00 7.25 6/4/2020  3,168,116  3,154,983  3,140,395 

New Millennium Holdco, Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan  6.50 1.00 0.00 7.50 12/21/2020  $1,930,106  1,777,976  980,494  Healthcare & Pharmaceuticals Term Loan Loan 6.50 1.00 0.00 7.50 12/21/2020  1,930,106  1,777,976  980,494 

Novetta Solutions

 Aerospace and Defense Term Loan (200MM)  Loan  5.00 1.00 0.00 6.00 10/16/2022  $1,980,000  1,963,361  1,890,900  Aerospace and Defense Term Loan (200MM) Loan 5.00 1.00 0.00 6.00 10/16/2022  1,980,000  1,963,361  1,890,900 

Novetta Solutions

 Aerospace and Defense Term Loan (2nd Lien)  Loan  8.50 1.00 0.00 9.50 10/16/2023  $1,000,000  991,237  930,000  Aerospace and Defense Term Loan (2nd Lien) Loan 8.50 1.00 0.00 9.50 10/16/2023  1,000,000  991,237  930,000 

NPC International, Inc.

 Food Services Term Loan (2013)  Loan  3.75 1.00 0.00 4.75 12/28/2018  $476,250  476,250  477,241  Food Services Term Loan (2013) Loan 3.75 1.00 0.00 4.75 12/28/2018  476,250  476,250  477,241 

NVA Holdings (National Veterinary) T/L B2

 Services: Consumer Term Loan B2  Loan  3.50 1.00 0.00 4.50 8/14/2021  $129,601  129,601  130,897  Services: Consumer Term Loan B2 Loan 3.50 1.00 0.00 4.50 8/14/2021  129,601  129,601  130,897 

NVA Holdings, Inc.

 Services: Consumer Term Loan B1  Loan  3.50 1.00 0.00 4.50 8/14/2021  $157,443  157,108  158,034  Services: Consumer Term Loan B1 Loan 3.50 1.00 0.00 4.50 8/14/2021  157,443  157,108  158,034 

NXT Capital T/L (11/16)

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  4.50 1.00 0.00 5.50 11/23/2022  $1,000,000  995,240  1,013,750  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.50 1.00 0.00 5.50 11/23/2022  1,000,000  995,240  1,013,750 

ON Semiconductor Corporation

 High Tech Industries Term Loan B  Loan  3.25 0.70 0.00 4.03 3/31/2023  $498,750  491,370  503,204  High Tech Industries Term Loan B Loan 3.25 0.70 0.00 4.03 3/31/2023  498,750  491,370  503,204 

Onex Carestream Finance LP

 Healthcare & Pharmaceuticals Term Loan (First Lien 2013)  Loan  4.00 1.00 0.00 5.00 6/7/2019  $3,613,555  3,606,228  3,490,297  Healthcare & Pharmaceuticals Term Loan (First Lien 2013) Loan 4.00 1.00 0.00 5.00 6/7/2019  3,613,555  3,606,228  3,490,297 

OnexYork Acquisition Co

 Healthcare & Pharmaceuticals Term Loan B  Loan  3.75 1.00 0.00 4.75 10/1/2021  $488,750  486,195  475,554  Healthcare & Pharmaceuticals Term Loan B Loan 3.75 1.00 0.00 4.75 10/1/2021  488,750  486,195  475,554 

OpenLink International, LLC

 Services: Business Term B Loan  Loan  6.50 1.25 0.00 7.75 7/29/2019  $2,913,824  2,913,362  2,938,096  Services: Business Term B Loan Loan 6.50 1.25 0.00 7.75 7/29/2019  2,913,824  2,913,362  2,938,096 

P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)

 Food/Drug Retailers Term Borrowing  Loan  3.25 1.00 0.00 4.54 6/24/2019  $1,417,598  1,413,680  1,389,245  Food/Drug Retailers Term Borrowing Loan 3.25 1.00 0.00 4.54 6/24/2019  1,417,598  1,413,680  1,389,245 

P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)

 Services: Business Term Loan (First Lien)  Loan  4.00 1.00 0.00 5.25 10/30/2020  $970,000  966,928  933,625  Services: Business Term Loan (First Lien) Loan 4.00 1.00 0.00 5.25 10/30/2020  970,000  966,928  933,625 

Petsmart, Inc. (Argos Merger Sub, Inc.)

 Retailers (Except Food and Drugs) Term Loan B1  Loan  3.00 1.00 0.00 4.00 3/11/2022  $982,500  977,998  967,183  Retailers (Except Food and Drugs) Term Loan B1 Loan 3.00 1.00 0.00 4.00 3/11/2022  982,500  977,998  967,183 

PGX Holdings, Inc.

 Financial Intermediaries Term Loan  Loan  5.25 1.00 0.00 6.25 9/29/2020  $2,891,464  2,876,188  2,889,671  Financial Intermediaries Term Loan Loan 5.25 1.00 0.00 6.25 9/29/2020  2,891,464  2,876,188  2,889,671 

Planet Fitness Holdings LLC

 Leisure Goods/Activities/Movies Term Loan  Loan  3.50 0.75 0.00 4.28 3/31/2021  $2,392,341  2,385,223  2,407,293  Leisure Goods/Activities/Movies Term Loan Loan 3.50 0.75 0.00 4.28 3/31/2021  2,392,341  2,385,223  2,407,293 

Polycom Term Loan (9/16)

 Telecommunications Term Loan  Loan  5.25 1.00 0.00 6.25 9/27/2023  $1,894,167  1,868,863  1,907,426  Telecommunications Term Loan Loan 5.25 1.00 0.00 6.25 9/27/2023  1,894,167  1,868,863  1,907,426 

PrePaid Legal Services, Inc.

 Services: Business Term Loan B  Loan  5.25 1.25 0.00 6.50 7/1/2019  $3,328,536  3,330,285  3,335,825  Services: Business Term Loan B Loan 5.25 1.25 0.00 6.50 7/1/2019  3,328,536  3,330,285  3,335,825 

Presidio, Inc.

 Services: Business Term Loan  Loan  3.50 1.00 0.00 4.50 2/2/2022  $2,297,698  2,248,964  2,314,930  Services: Business Term Loan Loan 3.50 1.00 0.00 4.50 2/2/2022  2,297,698  2,248,964  2,314,930 

Prestige Brands T/L B4

 Drugs Term Loan B4  Loan  2.75 0.75 0.00 3.53 1/26/2024  $500,000  498,779  506,040  Drugs Term Loan B4 Loan 2.75 0.75 0.00 3.53 1/26/2024  500,000  498,779  506,040 

Prime Security Services (Protection One)

 Services: Business Term Loan  Loan  3.25 1.00 0.00 4.25 5/2/2022  $1,985,025  1,975,632  2,003,645  Services: Business Term Loan Loan 3.25 1.00 0.00 4.25 5/2/2022  1,985,025  1,975,632  2,003,645 

Ranpak Holdings, Inc.

 Services: Business Term Loan  Loan  3.25 1.00 0.00 4.25 10/1/2021  $916,047  913,757  918,337  Services: Business Term Loan Loan 3.25 1.00 0.00 4.25 10/1/2021  916,047  913,757  918,337 

Ranpak Holdings, Inc.

 Services: Business Term Loan (Second Lien)  Loan  7.25 1.00 0.00 8.25 10/3/2022  $500,000  498,149  475,000  Services: Business Term Loan (Second Lien) Loan 7.25 1.00 0.00 8.25 10/3/2022  500,000  498,149  475,000 

Redtop Acquisitions Limited

 Electronics/Electric Initial Dollar Term Loan (First Lien)  Loan  3.50 1.00 0.00 4.54 12/3/2020  $485,019  483,001  486,634  Electronics/Electric Initial Dollar Term Loan (First Lien) Loan 3.50 1.00 0.00 4.54 12/3/2020  485,019  483,001  486,634 

Regal Cinemas Corporation

 Services: Consumer Term Loan  Loan  2.50 0.75 0.00 3.28 4/1/2022  $495,009  493,772  499,573  Services: Consumer Term Loan Loan 2.50 0.75 0.00 3.28 4/1/2022  495,009  493,772  499,573 

Research Now Group, Inc

 Media Term Loan B  Loan  4.50 1.00 0.00 5.50 3/18/2021  $2,037,705  2,029,696  2,002,045  Media Term Loan B Loan 4.50 1.00 0.00 5.50 3/18/2021  2,037,705  2,029,696  2,002,045 

Resolute Investment Managers, Inc.

 Banking, Finance, Insurance & Real Estate Term Loan  Loan  4.25 1.00 0.00 5.25 4/30/2022  $240,815  239,883  241,518  Banking, Finance, Insurance & Real Estate Term Loan Loan 4.25 1.00 0.00 5.25 4/30/2022  240,815  239,883  241,518 

Rexnord LLC/RBS Global, Inc.

 Industrial Equipment Term B Loan  Loan  2.75 1.00 0.00 3.75 8/21/2023  $732,374  732,374  736,497  Industrial Equipment Term B Loan Loan 2.75 1.00 0.00 3.75 8/21/2023  732,374  732,374  736,497 

Rexnord LLC/RBS Global, Inc.

 Industrial Equipment Term B Loan  Loan  2.75 1.00 0.00 3.75 8/21/2023  $641,402  641,402  645,013  Industrial Equipment Term B Loan Loan 2.75 1.00 0.00 3.75 8/21/2023  641,402  641,402  645,013 

Reynolds Group Holdings Inc.

 Industrial Equipment Incremental U.S. Term Loan  Loan  3.00 0.00 0.00 3.78 2/3/2023  $1,761,134  1,761,134  1,773,603  Industrial Equipment Incremental U.S. Term Loan Loan 3.00 0.00 0.00 3.78 2/3/2023  1,761,134  1,761,134  1,773,603 

Rovi Solutions Corporation / Rovi Guides, Inc.

 Electronics/Electric Tranche B-3 Term Loan  Loan  2.50 0.75 0.00 3.29 7/2/2021  $1,462,500  1,457,765  1,467,984  Electronics/Electric TrancheB-3 Term Loan Loan 2.50 0.75 0.00 3.29 7/2/2021  1,462,500  1,457,765  1,467,984 

Royal Adhesives and Sealants

 Chemicals/Plastics Term Loan (Second Lien)  Loan  7.50 1.00 0.00 8.50 6/19/2023  $275,862  274,109  276,552  Chemicals/Plastics Term Loan (Second Lien) Loan 7.50 1.00 0.00 8.50 6/19/2023  275,862  274,109  276,552 

Royal Holdings T/L (02/17)

 Chemicals/Plastics Term Loan (Second Lien)  Loan  3.25 1.00 0.00 4.25 6/17/2022  $541,607  539,167  544,992  Chemicals/Plastics Term Loan (Second Lien) Loan 3.25 1.00 0.00 4.25 6/17/2022  541,607  539,167  544,992 

RPI Finance Trust

 Financial Intermediaries Term B-4 Term Loan  Loan  2.50 0.00 0.00 3.50 10/14/2022  $2,554,764  2,554,764  2,580,848  Financial Intermediaries TermB-4 Term Loan Loan 2.50 0.00 0.00 3.50 10/14/2022  2,554,764  2,554,764  2,580,848 

Russell Investment Management T/L B

 Banking, Finance, Insurance & Real Estate Term Loan B  Loan  5.75 1.00 0.00 6.75 6/1/2023  $2,240,000  2,127,043  2,259,600  Banking, Finance, Insurance & Real Estate Term Loan B Loan 5.75 1.00 0.00 6.75 6/1/2023  2,240,000  2,127,043  2,259,600 

Sable International Finance Ltd

 Telecommunications Term Loan B2  Loan  4.75 0.75 0.00 5.53 12/30/2022  $1,500,000  1,470,825  1,521,570  Telecommunications Term Loan B2 Loan 4.75 0.75 0.00 5.53 12/30/2022  1,500,000  1,470,825  1,521,570 

SBP Holdings LP

 Industrial Equipment Term Loan (First Lien)  Loan  4.00 1.00 0.00 5.00 3/27/2021  $972,500  969,442  870,388  Industrial Equipment Term Loan (First Lien) Loan 4.00 1.00 0.00 5.00 3/27/2021  972,500  969,442  870,388 

Scientific Games International, Inc.

 Electronics/Electric Term Loan B2  Loan  4.00 0.75 0.00 4.85 10/1/2021  $769,549  762,102  781,416  Electronics/Electric Term Loan B2 Loan 4.00 0.75 0.00 4.85 10/1/2021  769,549  762,102  781,416 

SCS Holdings (Sirius Computer)

 High Tech Industries Term Loan (First Lien)  Loan  4.25 1.00 0.00 5.25 10/31/2022  $1,972,528  1,934,960  1,991,030  High Tech Industries Term Loan (First Lien) Loan 4.25 1.00 0.00 5.25 10/31/2022  1,972,528  1,934,960  1,991,030 

Seadrill Operating LP

 Oil & Gas Term Loan B  Loan  3.00 1.00 0.00 4.00 2/21/2021  $977,330  922,444  729,635  Oil & Gas Term Loan B Loan 3.00 1.00 0.00 4.00 2/21/2021  977,330  922,444  729,635 

Shearers Foods LLC

 Food Services Term Loan (First Lien)  Loan  3.94 1.00 0.00 4.94 6/30/2021  $977,500  975,832  979,944  Food Services Term Loan (First Lien) Loan 3.94 1.00 0.00 4.94 6/30/2021  977,500  975,832  979,944 

Sitel Worldwide

 Telecommunications Term Loan  Loan  5.50 1.00 0.00 6.56 9/18/2021  $1,975,000  1,959,274  1,961,432  Telecommunications Term Loan Loan 5.50 1.00 0.00 6.56 9/18/2021  1,975,000  1,959,274  1,961,432 

SMB Shipping Logistics T/L B (REP WWEX Acquisition)

 Transportation Term Loan B  Loan  4.50 1.00 0.00 5.53 2/2/2024  $1,000,000  995,095  1,008,330  Transportation Term Loan B Loan 4.50 1.00 0.00 5.53 2/2/2024  1,000,000  995,095  1,008,330 

Sonneborn, LLC

 Chemicals/Plastics Term Loan (First Lien)  Loan  3.75 1.00 0.00 4.75 12/10/2020  $207,981  207,633  208,501  Chemicals/Plastics Term Loan (First Lien) Loan 3.75 1.00 0.00 4.75 12/10/2020  207,981  207,633  208,501 

Sonneborn, LLC

 Chemicals/Plastics Initial US Term Loan  Loan  3.75 1.00 0.00 4.75 12/10/2020  $1,178,561  1,176,588  1,181,508  Chemicals/Plastics Initial US Term Loan Loan 3.75 1.00 0.00 4.75 12/10/2020  1,178,561  1,176,588  1,181,508 

Sophia, L.P.

 Electronics/Electric Term Loan (Closing Date)  Loan  3.25 1.00 0.00 4.25 9/30/2022  $1,960,897  1,951,404  1,967,761  Electronics/Electric Term Loan (Closing Date) Loan 3.25 1.00 0.00 4.25 9/30/2022  1,960,897  1,951,404  1,967,761 

SourceHOV LLC

 Services: Business Term Loan B (First Lien)  Loan  6.75 1.00 0.00 7.75 10/31/2019  $1,837,500  1,804,647  1,808,412  Services: Business Term Loan B (First Lien) Loan 6.75 1.00 0.00 7.75 10/31/2019  1,837,500  1,804,647  1,808,412 

SRAM, LLC

 Industrial Equipment Term Loan (First Lien)  Loan  3.00 1.00 0.00 4.00 4/10/2020  $2,725,103  2,719,454  2,718,289  Industrial Equipment Term Loan (First Lien) Loan 3.00 1.00 0.00 4.00 4/10/2020  2,725,103  2,719,454  2,718,289 

Steak ‘n Shake Operations, Inc.

 Food Services Term Loan  Loan  3.75 1.00 0.00 4.75 3/19/2021  $923,173  917,444  930,097  Food Services Term Loan Loan 3.75 1.00 0.00 4.75 3/19/2021  923,173  917,444  930,097 

Survey Sampling International

 Services: Business Term Loan B  Loan  5.00 1.00 0.00 6.00 12/16/2020  $2,721,749  2,707,531  2,721,749  Services: Business Term Loan B Loan 5.00 1.00 0.00 6.00 12/16/2020  2,721,749  2,707,531  2,721,749 

Sybil Finance BV

 High Tech Industries Term Loan B  Loan  4.00 1.00 0.00 5.00 9/30/2022  $987,500  982,957  1,002,006  High Tech Industries Term Loan B Loan 4.00 1.00 0.00 5.00 9/30/2022  987,500  982,957  1,002,006 

Syniverse Holdings, Inc.

 Telecommunications Initial Term Loan  Loan  3.00 1.00 0.00 4.04 4/23/2019  $468,977  466,972  427,473  Telecommunications Initial Term Loan Loan 3.00 1.00 0.00 4.04 4/23/2019  468,977  466,972  427,473 

TaxACT, Inc.

 Services: Business Term Loan B  Loan  6.00 1.00 0.00 7.00 1/3/2023  $1,200,000  1,168,727  1,206,000  Services: Business Term Loan B Loan 6.00 1.00 0.00 7.00 1/3/2023  1,200,000  1,168,727  1,206,000 

Tectum Holdings, Inc.

 Transportation Delayed Draw Term Loan (Initial)  Loan  4.75 1.00 0.00 5.80 8/24/2023  $997,500  988,185  1,004,981  Transportation Delayed Draw Term Loan (Initial) Loan 4.75 1.00 0.00 5.80 8/24/2023  997,500  988,185  1,004,981 

Tennessee Merger T/L (Team Health)

 Healthcare & Pharmaceuticals Term Loan  Loan  2.75 1.00 0.00 3.75 2/6/2024  $1,000,000  997,518  996,880  Healthcare & Pharmaceuticals Term Loan Loan 2.75 1.00 0.00 3.75 2/6/2024  1,000,000  997,518  996,880 

TGI Friday’s, Inc.

 Food Services Term Loan B  Loan  4.25 1.00 0.00 5.25 7/15/2020  $1,651,817  1,648,856  1,646,316  Food Services Term Loan B Loan 4.25 1.00 0.00 5.25 7/15/2020  1,651,817  1,648,856  1,646,316 

Townsquare Media, Inc.

 Media Term Loan B  Loan  3.00 1.00 0.00 4.00 4/1/2022  $932,522  927,933  937,185  Media Term Loan B Loan 3.00 1.00 0.00 4.00 4/1/2022  932,522  927,933  937,185 

TPF II Power LLC and TPF II Covert Midco LLC

 Utilities Term Loan B  Loan  4.00 1.00 0.00 5.00 10/2/2021  $1,413,873  1,364,619  1,426,683  Utilities Term Loan B Loan 4.00 1.00 0.00 5.00 10/2/2021  1,413,873  1,364,619  1,426,683 

TransDigm, Inc.

 Aerospace and Defense Tranche C Term Loan  Loan  3.00 0.75 0.00 3.78 2/28/2020  $4,233,198  4,238,155  4,249,920  Aerospace and Defense Tranche C Term Loan Loan 3.00 0.75 0.00 3.78 2/28/2020  4,233,198  4,238,155  4,249,920 

Travel Leaders Group, LLC

 Hotel, Gaming and Leisure Term Loan B  Loan  5.25 0.00 0.00 6.03 1/25/2024  $2,000,000  1,990,095  2,025,000  Hotel, Gaming and Leisure Term Loan B Loan 5.25 0.00 0.00 6.03 1/25/2024  2,000,000  1,990,095  2,025,000 

Trugreen Limited Partnership

 Services: Business Term Loan B  Loan  5.50 1.00 0.00 6.50 4/13/2023  $497,500  490,931  503,719  Services: Business Term Loan B Loan 5.50 1.00 0.00 6.50 4/13/2023  497,500  490,931  503,719 

Twin River Management Group, Inc.

 Lodging & Casinos Term Loan B  Loan  3.50 1.00 0.00 4.50 7/10/2020  $809,438  810,684  819,556  Lodging & Casinos Term Loan B Loan 3.50 1.00 0.00 4.50 7/10/2020  809,438  810,684  819,556 

Univar Inc.

 Chemicals/Plastics Term B Loan  Loan  2.75 0.00 0.00 3.61 7/1/2022  $2,962,500  2,948,361  2,971,565  Chemicals/Plastics Term B Loan Loan 2.75 0.00 0.00 3.61 7/1/2022  2,962,500  2,948,361  2,971,565 

Univision Communications Inc.

 Telecommunications Replacement First-Lien Term Loan  Loan  3.00 1.00 0.00 4.00 3/1/2020  $2,885,666  2,876,319  2,896,949  Telecommunications Replacement First-Lien Term Loan Loan 3.00 1.00 0.00 4.00 3/1/2020  2,885,666  2,876,319  2,896,949 

Valeant Pharmaceuticals International, Inc.

 Drugs Series D2 Term Loan B  Loan  4.25 0.75 0.00 5.03 2/13/2019  $2,445,056  2,437,788  2,456,890  Drugs Series D2 Term Loan B Loan 4.25 0.75 0.00 5.03 2/13/2019  2,445,056  2,437,788  2,456,890 

Verint Systems Inc.

 Services: Business Term Loan  Loan  2.75 0.75 0.00 3.53 9/6/2019  $1,006,278  1,003,396  1,010,554  Services: Business Term Loan Loan 2.75 0.75 0.00 3.53 9/6/2019  1,006,278  1,003,396  1,010,554 

Vistra Operations Company T/L B (12/16)

 Utilities Term Loan B  Loan  3.25 0.75 0.00 4.02 12/13/2023  $500,000  498,784  502,970  Utilities Term Loan B Loan 3.25 0.75 0.00 4.02 12/13/2023  500,000  498,784  502,970 

Vizient Inc.

 Healthcare & Pharmaceuticals Term Loan  Loan  4.00 1.00 0.00 5.00 2/13/2023  $879,853  856,884  891,405  Healthcare & Pharmaceuticals Term Loan Loan 4.00 1.00 0.00 5.00 2/13/2023  879,853  856,884  891,405 

Vouvray US Finance

 Industrial Equipment Term Loan  Loan  3.75 1.00 0.00 4.75 6/27/2021  $487,500  485,889  486,891  Industrial Equipment Term Loan Loan 3.75 1.00 0.00 4.75 6/27/2021  487,500  485,889  486,891 

Washington Inventory Service

 Services: Business U.S. Term Loan (First Lien)  Loan  0.00 0.00 5.75 5.75 12/20/2018  $1,735,292  1,743,798  1,418,601  Services: Business U.S. Term Loan (First Lien) Loan 0.00 0.00 5.75 5.75 12/20/2018  1,735,292  1,743,798  1,418,601 

Western Digital Corporation

 High Tech Industries Term Loan B (USD)  Loan  3.75 0.75 0.00 4.53 5/1/2023  $1,592,000  1,547,312  1,602,396  High Tech Industries Term Loan B (USD) Loan 3.75 0.75 0.00 4.53 5/1/2023  1,592,000  1,547,312  1,602,396 

Windstream Services, LLC

 Telecommunications Term Loan B6  Loan  4.00 0.75 0.00 4.78 3/29/2021  $999,375  989,489  1,006,121  Telecommunications Term Loan B6 Loan 4.00 0.75 0.00 4.78 3/29/2021  999,375  989,489  1,006,121 

Xerox Business Services T/L B (Conduent)

 Services: Business Term Loan  Loan  5.50 0.75 0.00 6.28 12/7/2023  $750,000  737,850  761,955  Services: Business Term Loan Loan 5.50 0.75 0.00 6.28 12/7/2023  750,000  737,850  761,955 

Zekelman Industries (JMC Steel) T/L (01/17)

 Nonferrous Metals/Minerals Term Loan  Loan  3.75 1.00 0.00 4.75 6/14/2021  $500,000  501,250  506,040  Nonferrous Metals/Minerals Term Loan Loan 3.75 1.00 0.00 4.75 6/14/2021  500,000  501,250  506,040 

ZEP, Inc.

 Chemicals/Plastics Term Loan B  Loan  4.00 1.00 0.00 5.00 6/27/2022  $2,955,000  2,941,390  2,984,550  Chemicals/Plastics Term Loan B Loan 4.00 1.00 0.00 5.00 6/27/2022  2,955,000  2,941,390  2,984,550 

Zest Holdings 1st Lien T/L (2014 Replacement)

 Healthcare & Pharmaceuticals Term Loan  Loan  4.75 1.00 0.00 5.75 8/17/2020  $1,000,000  995,523  1,012,500  Healthcare & Pharmaceuticals Term Loan Loan 4.75 1.00 0.00 5.75 8/17/2020  1,000,000  995,523  1,012,500 
          

 

  

 

           

 

  

 

 
        $297,801,502  $292,460,648           $297,801,502  $292,460,648 
          

 

  

 

           

 

  

 

 
           Principal Cost Fair Value            Principal Cost Fair Value 

Cash and cash equivalents

          

Cash and cash equivalents

          

U.S. Bank Money Market (a)

U.S. Bank Money Market (a)

       $13,046,555  $13,046,555  $13,046,555 

U.S. Bank Money Market (a)

        $13,046,555  $13,046,555  $13,046,555 
         

 

  

 

  

 

          

 

  

 

  

 

 

Total cash and cash equivalents

Total cash and cash equivalents

       $13,046,555  $13,046,555  $13,046,555 

Total cash and cash equivalents

        $13,046,555  $13,046,555  $13,046,555 
         

 

  

 

  

 

          

 

  

 

  

 

 

(a)    Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of February 28, 2017.

Note 5. Agreements and Related Party Transactions

On July 30, 2010, the Company entered into the Management Agreement with our Manager. The initial term of the Management Agreement was two years, with automatic,one-year renewals at the end of each year, subject to certain approvals by our board of directors and/or the Company’s stockholders. On July 11, 2017, our board of directors approved the renewal of the Management Agreement for an additionalone-year term. Pursuant to the Management Agreement, our Manager implements our business strategy on aday-to-day basis and performs certain services for us, subject to oversight by our board of directors. Our Manager is responsible for, among other duties, determining investment criteria, sourcing, analyzing and executing investments transactions, asset sales, financings and performing asset management duties. Under the Management Agreement, we have agreed to pay our Manager a management fee for investment advisory and management services consisting of a base management fee and an incentive fee.

The base management fee of 1.75% is calculated based on the average value of our gross assets (other than cash or cash equivalents, but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters.

The incentive fee consists of the following two parts:

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

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

For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, the Company incurred $1.4$1.5 million and $1.2 million in base management fees, respectively. For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, the Company incurred $0.7$0.9 million and $0.6$0.8 million in incentive fees related topre-incentive fee net investment income, respectively. For the three months ended MayAugust 31, 2017 there was a reduction ofand August 31, 2016, the Company accrued $0.8 million and $0.4 million in incentive fees related to capital gains, respectively. For the six months ended August 31, 2017 and August 31, 2016, the Company incurred $2.9 million and $2.4 million in base management fees, respectively. For the six months ended August 31, 2017 and August 31, 2016, the Company incurred $1.7 million and $1.4 million in incentive fees related topre-incentive fee net investment income, respectively. For the six months ended August 31, 2017 and August 31, 2016, the Company accrued $0.2 million and $0.5 million in incentive fees related to capital gains. For the three months ended May 31, 2016, the Company accrued $0.1 million in incentive fees related to capital gains.gains, respectively. The accrual is calculated using both realized and unrealized capital gains for the period. The actual incentive fee related to capital gains will be determined and payable in arrears at the end of the fiscal year and will include only realized capital gains for the period. As of MayAugust 31, 2017, the base management fees accrual was $1.4$1.5 million and the incentive fees accrual was $2.6$3.6 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 28, 2017, the base management fees accrual was $1.2 million and the incentive fees accrual was $4.6 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities.

On July 30, 2010, the Company entered into a separate administration agreement (the “Administration Agreement”) with our Manager, pursuant to which our Manager, as our administrator, has agreed to furnish us with the facilities and administrative services necessary to conduct ourday-to-day operations and provide managerial assistance on our behalf to those portfolio companies to which we are required to provide such assistance. The initial term of the Administration Agreement was two years, with automatic,one-year renewals at the end of each year subject to certain approvals by our board of directors and/or our stockholders. The amount of expenses payable or reimbursable thereunder by the Company was capped at $1.0 million for the initial two year term of the

Administration Agreement and subsequent renewals. On July 8, 2015, our board of directors approved the renewal of the

Administration Agreement for an additionalone-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company thereunder, which had not been increased since the inception of the agreement, to $1.3 million. On October 5, 2016, our board of directors determined to increase the cap on the payment or reimbursement of expenses by the Company under the Administration Agreement, from $1.3 million to $1.5 million, effective November 1, 2016. On July 11, 2017, our board of directors approved the renewal of the Administration Agreement for an additionalone-year term, and determined to increase the cap on the payment or reimbursement of expenses by the Company from $1.5 million to $1.75 million, effective August 1, 2017.

For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we recognized $0.4 million and $0.3 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent and other overhead related expenses. For the six months ended August 31, 2017 and August 31, 2016, we recognized $0.8 million and $0.7 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent and other overhead related expenses. As of MayAugust 31, 2017, $0.3$0.4 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. As of February 28, 2017, $0.4 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. For the threesix months ended MayAugust 31, 2017 and MayAugust 31, 2016, the Company neither bought nor sold any investments from the Saratoga CLO.

Note 6. Borrowings

Credit Facility

As a BDC, we are only allowed to employ leverage to the extent that our asset coverage, as defined in the 1940 Act, equals at least 200.0% after giving effect to such leverage. The amount of leverage that we employ at any time depends on our assessment of the market and other factors at the time of any proposed borrowing. Our asset coverage ratio, as defined in the 1940 Act, was 258.0% as of August 31, 2017 and 271.0% as of February 28, 2017.

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

In March 2009, we amended the Revolving Facility to increase the portion of the portfolio that could be invested in “CCC” rated investments in return for an increased interest rate and expedited amortization. As a result of these transactions, we expected to have additional cushion under our borrowing base under the Revolving Facility that would allow us to better manage our capital in times of declining asset prices and market dislocation.

On July 30, 2009, we exceeded the permissible borrowing limit under the Revolving Facility for 30 consecutive days, resulting in an event of default under the Revolving Facility. As a result of this event of default, our lender had the right to accelerate repayment of the outstanding indebtedness under the Revolving Facility and to foreclose and liquidate the collateral pledged thereunder. Acceleration of the outstanding indebtedness and/or liquidation of the collateral could have had a material adverse effect on our liquidity, financial condition and operations.

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

On February 24, 2012, we amended our senior secured revolving credit facility with Madison Capital Funding LLC to, among other things:

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

 

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

 

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

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

 

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

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

 

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

 

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

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

 

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

 

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

 

reduce the floor on base rate borrowings from 2.25% to 2.0%;

 

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

 

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

As of MayAugust 31, 2017 and February 28, 2017, there was $24.5$10.0 million and $0.0, respectively, of outstanding borrowings under the Credit Facility and the Company was in compliance with all of the limitations and requirements of the Credit Facility. Financing costs of $3.1 million related to the Credit Facility have been capitalized and are being amortized over the term of the facility. For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we recorded $0.1$0.4 million and $0.1 million of interest expense, respectively. For the six months ended August 31, 2017 and August 31, 2016, we recorded $0.5 million and $0.2 million of interest expense, respectively. For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we recorded $0.02 million and $0.02 million of amortization of deferred financing costs related to the Credit Facility and Revolving Facility, respectively. For the six months ended August 31, 2017 and August 31, 2016, we recorded $0.04 million and $0.04 million of amortization of deferred financing costs related to the Credit Facility and Revolving Facility, respectively. The weighted average interest raterates during the three and six months ended MayAugust 31, 2017 on the outstanding borrowings under the Credit Facility was 5.83%.were 5.92% and 5.94%, respectively. During the three and six months ended MayAugust 31, 2017, and May 31, 2016, the average dollar amount of outstanding borrowings under the Credit Facility was $0.5$21.3 million and $0.0,$10.9 million, respectively. During the three and six months ended August 31, 2016, there were no outstanding borrowings under the Credit Facility.

The Credit Facility contains limitations as to how borrowed funds may be used, such as restrictions on industry concentrations, asset size, weighted average life, currency denomination and collateral interests. The Credit Facility also includes certain requirements relating to portfolio performance, the violation of which could result in the limit of further advances and, in some cases, result in an event of default, allowing the lenders to accelerate repayment of amounts owed thereunder. The Credit Facility has an eight year term, consisting of a three year period (the “Revolving Period”), under which the Company may make and repay borrowings, and a final maturity five years from the end of the Revolving Period. Availability on the Credit Facility will be subject to a borrowing base calculation, based on, among other things, applicable advance rates (which vary from 50.0% to 75.0% of par or fair value depending on the type of loan asset) and the value of certain “eligible” loan assets included as part of the Borrowing Base. Funds may be borrowed at the greater of the prevailing LIBOR rate and 1.00%, plus an applicable margin of 4.75%. At the Company’s option, funds may be borrowed based on an alternative base rate, which in no event will be less than 2.00%, and the applicable margin over such alternative base rate is 3.75%. In addition, the Company will pay the lenders a commitment fee of 0.75% per year (or 0.50% if the ratio of advances outstanding to aggregate commitments is greater than or equal to 50%) on the unused amount of the Credit Facility for the duration of the Revolving Period.

Our borrowing base under the Credit Facility was $45.0$34.0 million subject to the Credit Facility cap of $45.0 million at MayAugust 31, 2017. For purposes of determining the borrowing base, most assets are assigned the values set forth in our most recent Annual Report onForm 10-K or Quarterly Report onForm 10-Q filed with the SEC. Accordingly, the MayAugust 31, 2017 borrowing base relies upon the valuations set forth in the AnnualQuarterly Report onForm 10-K10-Q for the yearperiod ended February 28,May 31, 2017, as filed with the SEC on July 12, 2017. The valuations presented in this Quarterly Report onForm 10-Q will not be incorporated into the borrowing base until after this Quarterly Report onForm 10-Q is filed with the SEC.

SBA Debentures

SBIC LP is able to borrow funds from the SBA against regulatory capital (which approximates equity capital) that is paid in and is subject to customary regulatory requirements including but not limited to an examination by the SBA. As of MayAugust 31, 2017, we have funded SBIC LP with $75.0 million of equity capital, and have $134.7 million ofSBA-guaranteed debentures outstanding. SBA debentures arenon-recourse to us, have a10-year maturity, and may be prepaid at any time without penalty. The interest rate of SBA debentures is fixed at the time of issuance, often referred to as pooling, at a market-driven spread over10-year U.S. Treasury Notes. SBA current regulations limit the amount that SBIC LP may borrow to a maximum of $150.0 million, which is up to twice its potential regulatory capital.

SBICs are designed to stimulate the flow of private equity capital to eligible small businesses. Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the equity securities of small businesses. Under present SBA regulations, eligible small businesses include businesses that have a tangible net worth not exceeding $19.5 million and have average annual fully taxed net income not exceeding $6.5 million for the two most recent fiscal years. In addition, an SBIC must devote 25.0% of its investment activity to ‘‘smaller’’ concerns as defined by the SBA. A smaller concern is one that has a tangible net worth not exceeding $6.0 million and has average annual fully taxed net income not exceeding $2.0 million for the two most recent fiscal years. SBA regulations also provide alternative size standard criteria to determine eligibility, which depend on the industry in which the business is engaged and are based on such factors as the number of employees and gross sales. According to SBA regulations, SBICs may make long-term loans to small businesses, invest in the equity securities of such businesses and provide them with consulting and advisory services.

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

The Company received exemptive relief from the SEC to permit it to exclude the debt of SBIC LP guaranteed by the SBA from the definition of senior securities in the 200.0% asset coverage test under the 1940 Act. This allows the Company increased flexibility under the 200.0% asset coverage test by permitting it to borrow up to $150.0 million more than it would otherwise be able to absent the receipt of this exemptive relief.

As of MayAugust 31, 2017 and February 28, 2017, there was $134.7 million and $112.7 million outstanding of SBA debentures, respectively. The carrying amount of the amount outstanding of SBA debentures approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage, $4.6 million, of financing costs related to the SBA debentures, have been capitalized and are being amortized over the term of the commitment and drawdown.

For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we recorded $0.9$1.0 million and $0.8 million of interest expense related to the SBA debentures, respectively. For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we recorded $0.1 million and $0.1 million of amortization of deferred financing costs related to the SBA debentures, respectively. The weighted average interest rate during the three months ended MayAugust 31, 2017 and MayAugust 31, 2016 on the outstanding borrowings of the SBA debentures was 3.18%3.06% and 3.09%3.19%, respectively. For the six months ended August 31, 2017 and August 31, 2016, we recorded $2.0 million and $1.7 million of interest expense related to the SBA debentures, respectively. For the six months ended August 31, 2017 and August 31, 2016, we recorded $0.2 million and $0.3 million of amortization of deferred financing costs related to the SBA debentures, respectively. The weighted average interest rate during the six months ended August 31, 2017 and August 31, 2016 on the outstanding borrowings of the SBA debentures was 3.11% and 3.14%, respectively. During the three and six months ended MayAugust 31, 2017, the average dollar amount of SBA debentures outstanding was $134.7 million and May$124.4 million, respectively. During the three and six months ended August 31, 2016, the average dollar amount of SBA debentures outstanding was $114.2 million and $103.7 million, respectively.million.

In December 2015, the 2016 omnibus spending bill approved by Congress and signed into law by the President increased the amount ofSBA-guaranteed debentures that affiliated SBIC funds can have outstanding from $225.0 million to $350.0 million, subject to SBA approval. SBA regulations currently limit the amount ofSBA-guaranteed debentures that an SBIC may issue to $150.0 million when it has at least $75.0 million in regulatory capital. Affiliated SBICs are permitted to issue up to a combined maximum amount of $350.0 million inSBA-guaranteed debentures when they have at least $175.0 million in combined regulatory capital.

On April 2, 2015, the SBA issued a “green light” letter inviting the Company to continue the application process to obtain a license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued review of our application for a second license, and in order to ensure that they were reviewing the most current information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this request, with which we are in the process of complying, the existing “green light” letter that the SBA issued to us has expired. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue up to $150.0 million of additionalSBA-guaranteed debentures in addition to the $150.0 million already approved under the first license.

Notes

On May 10, 2013, the Company issued $42.0 million in aggregate principal amount of 7.50% fixed-rate notes due 2020 (the “2020 Notes”). The 2020 Notes will mature on May 31, 2020, and since May 31, 2016, may be redeemed in whole or in part at any time or from time to time at the Company’s option. Interest will be payable quarterly beginning August 15, 2013.

On May 17, 2013, the Company closed an additional $6.3 million in aggregate principal amount of the 2020 Notes, pursuant to the full exercise of the underwriters’ option to purchase additional 2020 Notes. On May 29, 2015, the Company entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. through which the Company may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through anAt-the-Market (“ATM”) offering. As of MayAugust 31, 2017, the Company sold 539,725 bonds with a principal of $13,493,125 at an average price of $25.31 for aggregate net proceeds of $13,385,766 (net of transaction costs).

On December 21, 2016, the Company issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate notes due 2023 (the “2023 Notes”) for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The issuance included the exercise of substantially all of the underwriters’ option to purchase an additional $9.8 million aggregate principal amount of 2023 Notes within 30 days. Interest on the 2023 Notes is paid quarterly in arrears on March 15, June 15, September 15 and December 15, at a rate of 6.75% per year, beginning March 30, 2017. The 2023 Notes mature on December 30, 2023, and commencing December 21, 2019, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used to repay all of the outstanding indebtedness under the 2020 Notes, which amounted to $61.8 million, and for general corporate purposes in accordance with our investment objective and strategies. The 2023 Notes are listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per share. The remaining unamortized deferred debt financing costs of $1.5 million (including underwriting commissions and net of issuance premiums), was recorded within loss on debt extinguishment in the consolidated statements of operations in the fourth quarter of the fiscal year ended February 28, 2017, when the related 2020 Notes were extinguished. As of MayAugust 31, 2017, $2.8 million of financing costs related to the 2023 Notes have been capitalized and are being amortized over the term of the 2023 Notes.

As of MayAugust 31, 2017, the carrying amount and fair value of the 2023 Notes was $74.5 million and $78.1$77.9 million, respectively. The fair value of the 2023 Notes, which are publicly traded, is based upon closing market quotes as of the measurement date and would be classified as a Level 1 liability within the fair value hierarchy. For the three and six months ended MayAugust 31, 2017, we recorded $1.3 million and $2.5 million, respectively, of interest expense and $0.1 million and $0.2 million, respectively, of amortization of deferred financing costs related to the 2023 Notes. As of February 28, 2017, the carrying amount and fair value of the 2023 Notes was $74.5 million and $77.1 million, respectively. For the three and six months ended MayAugust 31, 2016, we recorded $1.2 million and $2.3 million, respectively, of interest expense and $0.1 million and $0.2 million, respectively, of amortization of deferred financing costs related to the 2020 Notes. During the three and six months ended MayAugust 31, 2017, the average dollar amount of 2023 Notes outstanding was $74.5 million. During the three and six months ended MayAugust 31, 2016, the average dollar amount of 2020 Notes outstanding was $61.8 million.

Note 7. Commitments and contingencies

Contractual obligations

The following table shows our payment obligations for repayment of debt and other contractual obligations at MayAugust 31, 2017:

 

       Payment Due by Period 
   Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 

Long-Term Debt Obligations

  $233,611   $—    $—    $—     $233,611 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

       Payment Due by Period 
   Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 

Long-Term Debt Obligations

  $219,111   $—     $—     $—     $219,111 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Off-balance sheet arrangements

The Company’soff-balance sheet arrangements consisted of $7.0$5.0 million and $2.0 million of unfunded commitments to provide debt financing to its portfolio companies or to fund limited partnership interests as of MayAugust 31, 2017 and February 28, 2017, respectively. Such commitments are generally up to the Company’s discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Company’s consolidated statements of assets and liabilities and are not reflected in the Company’s consolidated statements of assets and liabilities.

A summary of the composition of the unfunded commitments as of MayAugust 31, 2017 and February 28, 2017 is shown in the table below (dollars in thousands):

 

 As of   As of 
 May 31, 2017 February 28, 2017   August 31, 2017   February 28, 2017 

CLEO Communications Holding, LLC

 $5,000  $—     $3,000   $—   

GreyHeller LLC

 2,000  2,000    2,000    2,000 

TM Restaurant Group L.L.C.

 17  —   
 

 

  

 

   

 

   

 

 

Total

 $7,017  $2,000   $5,000   $2,000 
 

 

  

 

   

 

   

 

 

Note 8. Directors Fees

The independent directors receive an annual fee of $40,000. They also receive $2,500 plus reimbursement of reasonableout-of- pocket expenses incurred in connection with attending each board meeting and receive $1,000 plus reimbursement of reasonableout-of- pocket expenses incurred in connection with attending each committee meeting. In addition, the chairman of the Audit Committee receives an annual fee of $5,000 and the chairman of each other committee receives an annual fee of $2,000 for their additional services in these capacities. In addition, we have purchased directors’ and officers’ liability insurance on behalf of our directors and officers. Independent directors have the option to receive their directors’ fees in the form of our common stock issued at a price per share equal to the greater of net asset value or the market price at the time of payment. No compensation is paid to directors who are “interested persons” of the Company (as such term is defined in the 1940 Act). For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we incurred $0.05$0.06 million and $0.07$0.06 million for directors’ fees and expenses, respectively. For the six months ended August 31, 2017 and August 31, 2016, we incurred $0.1 million and $0.1 million for directors’ fees and expenses, respectively. As of MayAugust 31, 2017 and February 28, 2017, $0.05$0.06 million and $0.05 million in directors’ fees and expenses were accrued and unpaid, respectively. As of MayAugust 31, 2017, we had not issued any common stock to our directors as compensation for their services.

Note 9. Stockholders’ Equity

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

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

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

On November 13, 2009, we declared a dividend of $18.25 per share payable on December 31, 2009. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.1 million or $2.50 per share. Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 of newly issued shares of common stock.

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

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

On November 12, 2010, we declared a dividend of $4.40 per share payable on December 29, 2010. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $1.2 million or $0.44 per share. Based on shareholder elections, the dividend consisted of approximately $1.2 million in cash and 596,235 shares of common stock.

On November 15, 2011, we declared a dividend of $3.00 per share payable on December 30, 2011. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $2.0 million or $0.60 per share. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 599,584 shares of common stock.

On November 9, 2012, the Company declared a dividend of $4.25 per share payable on December 31, 2012. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $3.3 million or $0.85 per share. Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash and 853,455 shares of common stock.

On October 30, 2013, the Company declared a dividend of $2.65 per share payable on December 27, 2013. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $2.5 million or $0.53 per share. Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock.

On September 24, 2014, the Company declared a dividend of $0.18 per share payable on November 28, 2014. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock pursuant to the Company’s DRIP. Based on shareholder elections, the dividend consisted of approximately $0.6 million in cash and 22,283 newly issued shares of common stock.

On September 24, 2014, the Company declared a dividend of $0.22 per share payable on February 27, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $0.8 million in cash and 26,858 newly issued shares of common stock.

On April 9, 2015, the Company declared a dividend of $0.27 per share payable on May 29, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $0.9 million in cash and 33,766 newly issued shares of common stock.

On May 14, 2015, the Company declared a special dividend of $1.00 per share payable on June 5, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 126,230 newly issued shares of common stock.

On July 8, 2015, the Company declared a dividend of $0.33 per share payable on August 31, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common stock.

On October 7, 2015, the Company declared a dividend of $0.36 per share payable on November 30, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 61,029 newly issued shares of common stock.

On January 12, 2016, the Company declared a dividend of $0.40 per share payable on February 29, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.4 million in cash and 66,765 newly issued shares of common stock.

On March 31, 2016, the Company declared a dividend of $0.41 per share payable on April 27, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 56,728 newly issued shares of common stock.

On July 7, 2016, the Company declared a dividend of $0.43 per share payable on August 9, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,167 newly issued shares of common stock.

On August 8, 2016, the Company declared a special dividend of $0.20 per share payable on September 5, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $0.7 million in cash and 24,786 newly issued shares of common stock.

On October 5, 2016, the Company declared a dividend of $0.44 per share payable on November 9, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,548 newly issued shares of common stock.

On January 12, 2017, the Company declared a dividend of $0.45 per share payable on February 9, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.6 million in cash and 50,453 newly issued shares of common stock.

On February 28, 2017, the Company declared a dividend of $0.46 per share payable on March 28, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 29,096 newly issued shares of common stock.

On May 30, 2017, the Company declared a dividend of $0.47 per share payable on June 27, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash and 26,222 newly issued shares of common stock.

On August 28, 2017, the Company declared a dividend of $0.48 per share payable on September 26, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $2.2 million in cash and 33,551 newly issued shares of common stock.

On September 24, 2014, the Company announced the approval of an open market share repurchase plan that allowed it to repurchase up to 200,000 shares of its common stock at prices below its NAV as reported in its then most recently published consolidated financial statements. On October 7, 2015, the Company’s board of directors extended the open market share repurchase plan for another year and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 400,000 shares of its common stock. On October 5, 2016, the Company’s board of directors extended the open market share repurchase plan for another year to October 15, 2017 and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of its common stock. On October 10, 2017, the Company’s board of directors extended the open market share repurchase plan for another year to October 15, 2018, leaving the number of shares unchanged at 600,000 shares of its common stock. As of MayAugust 31, 2017, the Company purchased 218,491 shares of common stock, at the average price of $16.87 for approximately $3.7 million pursuant to this repurchase plan.

On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. As of MayAugust 31, 2017, the Company sold 60,779117,354 shares for gross proceeds of $1.4$2.6 million at an average price of $22.49 for aggregate net proceeds of $1.3$2.6 million (net of transaction costs).

Note 10. Summarized Financial Information of Our Unconsolidated Subsidiary

In accordance with SEC RegulationS-X Rules3-09 and4-08(g), the Company must determine which of its unconsolidated controlled portfolio companies, if any, are considered “significant subsidiaries.” After performing this analysis, the Company determined that one of its portfolio companies, Easy Ice, LLC (“Easy Ice”) is not a significant subsidiary for the three months ended MayAugust 31, 2017 under at least one of the significance conditions of Rule4-08(g) of SEC RegulationS-X, but was a significant subsidiary for the year ended February 28, 2017. Accordingly, audited financial information for the year ended December 31, 2016 and as of December 31, 2016 has been included as follows (in thousands):

   As of 
Balance Sheet – Easy Ice, LLC  December 31, 2016 

Current assets

  $1,058 

Noncurrent assets

  $18,245 

Current liabilities

  $3,473 

Noncurrent liabilities

  $23,113 

Total deficit

  $(7,283

 

  For the year ended   For the year ended 

Statement of Operations – Easy Ice, LLC

  December 31, 2016 
Statements of Operations – Easy Ice, LLC  December 31, 2016 

Rental income

  $14,463   $14,463 

Rental expenses

  $8,463   $8,463 

Gross margin

  $6,000   $6,000 

Operating expenses

  $5,123   $5,123 

Income from operations

  $877   $877 

Net loss

  $(1,356  $(1,356

Note 11. Earnings Per Share

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

The following information sets forth the computation of the weighted average basic and diluted net increase in net assets per share from operations for the three and six months ended MayAugust 31, 2017 and MayAugust 31, 2016 (dollars in thousands except share and per share amounts):

 

  For the three months ended   For the three months ended   For the six months ended 

Basic and diluted

  May 31,
2017
   May 31,
2016
   August 31,
2017
   August 31,
2016
   August 31,
2017
   August 31,
2016
 

Net increase in net assets from operations

  $1,014   $3,288   $6,870   $5,272   $7,884   $8,559 

Weighted average common shares outstanding

   5,861,654    5,737,496    5,955,251    5,740,816    5,908,453    5,739,157 

Weighted average earnings per common share

  $0.17   $0.57   $1.15   $0.92   $1.33   $1.49 

Note 12. Dividend

On May 30, 2017, the Company declared a dividend of $0.47 per share which was paid on June 27, 2017, to common stockholders of record as of June 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.

Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash and 26,222 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.04 per share, which equaled the volume weighted average trading price per share of the common stock on June 14, 15, 16, 19, 20, 21, 22, 23, 26 and 27, 2017.

On February 28, 2017, the Company declared a dividend of $0.46 per share which was paid on March 28, 2017, to common stockholders of record as of March 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to our DRIP.

Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 29,096 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.38 per share, which equaled the volume weighted average trading price per share of the common stock on March 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2017.

The following table summarizes dividends declared for the threesix months ended MayAugust 31, 2017 (dollars in thousands except per share amounts):

Date Declared

  Record Date   Payment Date   Amount
Per Share*
   Total
Amount
   Record Date   Payment Date   Amount
Per Share*
   Total
Amount
 

May 30, 2017

   June 15, 2017    June 27, 2017   $0.47   $2,792 

February 28, 2017

   March 15, 2017    March 28, 2017   $0.46   $2,666    March 15, 2017    March 28, 2017   $0.46   $2,666 
      

 

   

 

       

 

   

 

 

Total dividends declared

      $0.46   $2,666       $0.93   $5,458 
      

 

   

 

       

 

   

 

 

 

*Amount per share is calculated based on the number of shares outstanding at the date of declaration.

The following table summarizes dividends declared for the threesix months ended MayAugust 31, 2016 (dollars in thousands except per share amounts):

 

Date Declared

  Record Date   Payment Date   Amount
Per Share*
   Total
Amount
   Record Date   Payment Date   Amount
Per Share*
   Total
Amount
 

August 8, 2016

   August 24, 2016    September 5, 2016   $0.20   $1,151 

July 7, 2016

   July 29, 2016    August 9, 2016   $0.43   $2,466 

March 31, 2016

   April 15, 2016    April 27, 2016   $0.41   $2,346    April 15, 2016    April 27, 2016   $0.41   $2,346 
      

 

   

 

       

 

   

 

 

Total dividends declared

      $0.41   $2,346       $1.04   $5,963 
      

 

   

 

       

 

   

 

 

 

*Amount per share is calculated based on the number of shares outstanding at the date of declaration.

Note 13. Financial Highlights

The following is a schedule of financial highlights for the threesix months ended MayAugust 31, 2017 and MayAugust 31, 2016:

 

  May 31, 2017 May 31, 2016  August 31, 2017 August 31, 2016 

Per share data:

   

Net asset value at beginning of period

  $21.97  $22.06  $21.97  $22.06 

Net investment income(1)

   0.60  0.44  1.08  0.90 

Net realized and unrealized gains and losses on investments

   (0.43 0.13  0.25  0.59 
  

 

  

 

  

 

  

 

 

Net increase in net assets from operations

   0.17  0.57  1.33  1.49 

Distributions declared from net investment income

   (0.46 (0.41 (0.93 (1.04
  

 

  

 

  

 

  

 

 

Total distributions to stockholders

   (0.46 (0.41 (0.93 (1.04

Dilution(4)

   0.01  (0.11  —    (0.12

Net asset value at end of period

  $21.69  $22.11  $22.37  $22.39 

Net assets at end of period

  $127,608,653  $127,128,868  $133,459,608  $128,563,622 

Shares outstanding at end of period

   5,884,475  5,750,222  5,967,272  5,740,810 

Per share market value at end of period

  $22.13  $16.39  $21.95  $17.93 

Total return based on market value(2)

   (0.59)%  19.71 0.92 34.41

Total return based on net asset value(3)

   0.85 4.10 6.45 8.19

Ratio/Supplemental data:

   

Ratio of net investment income to average net assets(8)

   11.29 7.98 11.27 9.53

Ratio of operating expenses to average net assets(7)

   7.77 7.15 7.99 7.09

Ratio of incentive management fees to average
net assets(6)

   0.14 0.58 1.46 1.52

Ratio of interest and debt financing expenses to average net assets(7)

   7.84 7.44 8.44 7.40

Ratio of total expenses to average net assets(8)

   15.75 15.17 17.88 16.01

Portfolio turnover rate(5)

   2.00 N/A  14.21 20.98

Asset coverage ratio per unit(6)

   2,290  3,057  2,580  3,081 

Average market value per unit:

    

Credit Facility(9)

   N/A  N/A  N/A  N/A 

SBA Debentures(9)

   N/A  N/A  N/A  N/A 

2020 Notes

   N/A  25.02  N/A  25.26 

2023 Notes

   26.04  N/A  26.09  N/A 

 

(1)Net investment income per share is calculated using the weighted average shares outstanding during the period.
(2)Total investment return is calculated assuming a purchase of common shares at the current market value on the first day and a sale at the current market value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Company’s DRIP. Total investment return does not reflect brokerage commissions. Total investment returns covering less than a full period are not annualized.
(3)Total investment return is calculated assuming a purchase of common shares at the current net asset value on the first day and a sale at the current net asset value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Company’s DRIP. Total investment return does not reflect brokerage commissions.

(4)Represents the dilutive effect of issuing common stock below net asset value per share during the period in connection with the satisfaction of the Company’s annual RIC distribution requirement. See Note 12, Dividend.
(5)Portfolio turnover rate is calculated using the lesser ofyear-to-date sales oryear-to-date purchases over the average of the invested assets at fair value.
(6)Ratios are not annualized.
(7)Ratios are annualized.
(8)Ratios are annualized. Incentive management fees included within the ratio are not annualized.
(9)The Credit Facility and SBA Debentures are not registered for public trading.

Note 14. Subsequent Events

The Company has evaluated subsequent events through the filing of this Form10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s disclosures in the consolidated financial statements except for the following:

On May 30,August 28, 2017, the Company declared a dividend of $0.47$0.48 per share payable on June 27,September 26, 2017, to common stockholders of record on JuneSeptember 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant the Company’s DRIP. Based on shareholder elections, the dividend consisted of approximately $2.3$2.2 million in cash and 26,22233,551 newly issued shares of common stock, or 0.4%0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.04$20.19 per share, which equaled the volume weighted average trading price per share of the common stock on JuneSeptember 13, 14, 15, 16,18, 19, 20, 21, 22, 23,25 and 26, and 27, 2017.

ITEM 2. MANAGEMENT’S2.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion should be read in conjunction with our consolidated financial statements and related notes and other financial information appearing elsewhere in this Quarterly Report onForm 10-Q. In addition to historical information, the following discussion and other parts of this Quarterly Report contain forward-looking information that involves risks and uncertainties. Our actual results could differ materially from those anticipated by such forward-looking information due to the factors discussed under Part I. Item 1A in our Annual Report on Form10-K for the fiscal year ended February 28, 2017.

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

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

 

our future operating results;

 

our business prospects and the prospects of our portfolio companies;

 

the impact of investments that we expect to make;

 

our contractual arrangements and relationships with third parties;

 

the dependence of our future success on the general economy and its impact on the industries in which we invest;

 

the ability of our portfolio companies to achieve their objectives;

 

our expected financings and investments;

 

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

 

the adequacy of our cash resources and working capital;

 

the timing of cash flows, if any, from the operations of our portfolio companies; and

 

the ability of our investment adviser to locate suitable investments for us and to monitor and effectively administer our investments.

You should not place undue reliance on these forward-looking statements. The forward-looking statements made in this Quarterly Report onForm 10-Q relate only to events as of the date on which the statements are made. We undertake no obligation to update any forward-looking statement to reflect events or circumstances occurring after the date of this Quarterly Report onForm 10-Q.

OVERVIEW

We are a Maryland corporation that has elected to be treated as a BDC under the Investment Company Act of 1940 (the“1940 Act”). Our investment objective is to generate current income and, to a lesser extent, capital appreciation from our investments. We invest primarily in leveraged loans and mezzanine debt issued by private U.S. middle market companies, which we define as companies having EBITDA of between $2 million and $50 million, both through direct lending and through participation in loan syndicates. We may also invest up to 30.0% of the portfolio in opportunistic investments in order to seek to enhance returns to

stockholders. Such investments may include investments in distressed debt, which may include securities of companies in bankruptcy, foreign debt, private equity, securities of public companies that are not thinly traded and structured finance vehicles such as collateralized loan obligation funds. Although we have no current intention to do so, to the extent we invest in private equity funds, we will limit our investments in entities that are excluded from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the 1940 Act, which includes private equity funds, to no more than 15.0% of its net assets. We have elected and qualified to be treated as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).

Corporate History and Recent Developments

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

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

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

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

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

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

On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received an SBIC license from the Small Business Administration (“SBA”).

In May 2013, we issued $48.3 million in aggregate principal amount of our 7.50% unsecured notes due 2020 (the “2020 Notes”) for net proceeds of $46.1 million after deducting underwriting commissions of $1.9 million and offering costs of $0.3 million. The proceeds included the underwriters’ full exercise of their overallotment option. Interest on these 2020 Notes is paid quarterly in arrears on February 15, May 15, August 15 and November 15, at a rate of 7.50% per year, beginning August 15, 2013. The 2020 Notes mature on May 31, 2020 and since May 31, 2016, may be redeemed in whole or in part at any time or from time to time at our option. The 2020 Notes were listed on the NYSE under the trading symbol “SAQ” with a par value of $25.00 per share. The 2020 Notes were redeemed in full on January 13, 2017.

On May 29, 2015, we entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. through which we may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through anAt-the-Market (“ATM”) offering. As of MayAugust 31, 2017, the Company sold 539,725 bonds with a principal of $13,493,125 at an average price of $25.31 for aggregate net proceeds of $13,385,766 (net of transaction costs).

On December 21, 2016, we issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate notes due 2023 (the “2023 Notes”) for net proceeds of $72.1 million after deducting underwriting commissions of approximately $2.0 million and offering costs of approximately $0.5 million. The issuance included the exercise of substantially all of the underwriters’ option to purchase an additional $9.8 million aggregate principal amount of 2023 Notes within 30 days. Interest on the 2023 Notes is paid quarterly in arrears on March 15, June 15, September 15 and December 15, at a rate of 6.75% per year, beginning March 30, 2017. The 2023 Notes mature on December 20, 2023, and commencing December 21, 2019, may be redeemed in whole or in part at any time or from time to time at our option. The 2023 Notes are listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per share.

On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. As of MayAugust 31, 2017, the Company sold 60,779117,354 shares for gross proceeds of $1.4$2.6 million at an average price of $22.49 for aggregate net proceeds of $1.3$2.6 million (net of transaction costs).

Critical Accounting Policies

Basis of Presentation

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

Investment Valuation

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

Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from Saratoga Investment Advisers, the audit committee of our board of directors and a third party independent valuation firm. Determinations of fair value may involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.

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

 

Each investment is initially valued by the responsible investment professionals of Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and

An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year.

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

 

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

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

Our investment in Saratoga Investment Corp. CLO2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment,re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by SIA and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

Revenue Recognition

Income Recognition

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

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

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic325-40,Investments-Other, Beneficial Interests in Securitized Financial Assets, based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/orre-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

Payment-in-Kind Interest

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

Capital Gains Incentive Fee

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

Revenues

We generate revenue in the form of interest income and capital gains on the debt investments that we hold and capital gains, if any, on equity interests that we may acquire. We expect our debt investments, whether in the form of leveraged loans or mezzanine debt, to have terms of up to ten years, and to bear interest at either a fixed or floating rate. Interest on debt will be payable generally either quarterly or semi-annually. In some cases, our debt investments may provide for a portion of the interest to be PIK. To the extent interest ispaid-in-kind, it will be payable through the increase of the principal amount of the obligation by the amount of interest due on the then-outstanding aggregate principal amount of such obligation. The principal amount of the debt and any accrued

but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of commitment, origination, structuring or diligence fees, fees for providing managerial assistance or investment management services and possibly consulting fees. Any such fees will be generated in connection with our investments and recognized as earned. We may also invest in preferred equity securities that pay dividends on a current basis.

On January 22, 2008, we entered into a collateral management agreement with Saratoga CLO, pursuant to which we act as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 and its reinvestment period ended in October 2016. On November 15, 2016, we completed the second refinancing of the Saratoga CLO. The Saratoga CLO refinancing, among other things, extended its reinvestment period to October 2018, and extended its legal maturity date to October 2025. Following the refinancing, the Saratoga CLO portfolio remained at the same size and with a similar capital structure of approximately $300.0 million in aggregate principal amount of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we also purchased $4.5 million in aggregate principal amount of the Class F notes tranche of the Saratoga CLO at par, with a coupon of LIBOR plus 8.5%.

The Saratoga CLO remains effectively 100% owned and managed by Saratoga Investment Corp. Following the refinancing, we receive a base management fee of 0.10% and a subordinated management fee of 0.40% of the fee basis amount at the beginning of the collection period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

We recognize interest income on our investment in the subordinated notes of Saratoga CLO using the effective interest method, based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/orre-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

Expenses

Our primary operating expenses include the payment of investment advisory and management fees, professional fees, directors and officers insurance, fees paid to independent directors and administrator expenses, including our allocable portion of our administrator’s overhead. Our investment advisory and management fees compensate our investment adviser for its work in identifying, evaluating, negotiating, closing and monitoring our investments. We bear all other costs and expenses of our operations and transactions, including those relating to:

 

organization;

 

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

 

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

 

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

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

 

offerings of our common stock and other securities;

 

investment advisory and management fees;

 

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

 

transfer agent and custodial fees;

 

federal and state registration fees;

 

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

 

federal, state and local taxes;

 

independent directors’ fees and expenses;

 

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

 

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

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

 

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

 

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

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

The incentive fee had two parts:

 

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

 

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

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

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

 

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

 

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

 

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

To the extent that any of our leveraged loans are denominated in a currency other than U.S. Dollars, we may enter into currency hedging contracts to reduce our exposure to fluctuations in currency exchange rates. We may also enter into interest rate hedging agreements. Such hedging activities, which will be subject to compliance with applicable legal requirements, may include the use of interest rate caps, futures, options and forward contracts. Costs incurred in entering into or settling such contracts will be borne by us.

New Accounting Pronouncements

In October 2016,March 2017, the SEC adopted new rulesFASB issued Accounting Standards Update (“ASU”)2017-08,Receivables— Nonrefundable Fees and amended existing rules (together, “final rules”Other Costs (Subtopic310-20),Premium Amortization on Purchased Callable Debt Securities (“ASU2017-08”) intended which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to modernize the reportingearliest call date. ASU2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU2017-08 is effective for fiscal years, and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017.interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-Xthese changes will have on the Company’s consolidated financial statements and related disclosures.

In August 2016, the FASB issued Accounting Standards Update (“ASU”) ASU2016-15,Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments (“ASU2016-15”), which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The guidance is effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management is currently evaluating the impact ASU2016-15 will have on the Company’s consolidated financial statements and disclosures.

In February 2016, the FASB issued ASU2016-02,Amendments to the Leases (“ASU Topic 842”), which will require for all operating leases the recognition of aright-of-use asset and a lease liability, in the statement of financial position. The lease cost will be allocated over the lease term on a straight-line basis. This guidance is effective for annual and interim periods beginning after December 15, 2018. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

In January 2016, the FASB issued ASU2016-01,Financial Instruments — Overall (Subtopic825-10): Recognition and Measurement of Financial Assets and Financial Liabilities(“ASU2016-01”). ASU2016-01 retains many current requirements for the classification and measurement of financial instruments; however, it significantly revises an entity’s accounting related to (1) the classification and measurement of investments in equity securities and (2) the presentation of certain fair value changes for financial liabilities measured at fair value. ASU2016-01 also amends certain disclosure requirements associated with the fair value of financial instruments. This guidance is effective for annual and interim periods beginning after December 15, 2017, and early adoption is not permitted for public business entities. Management is currently evaluating the impact the adoption of this standard has on our consolidated financial statements and disclosures.

In May 2014, the FASB issued ASU2014-09,Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In May 2016, ASU2016-12 amended ASU2014-09 and deferred the effective period to December 15, 2017. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606. Management is currently evaluating the impact these changes will haveof the standard on certain other income earned by the Company’s consolidated financial statements and disclosures.Company.

Portfolio and investment activity

Corporate Debt Portfolio Overview

 

  At May 31,
2017
   At February 28,
2017
   At August 31,
2017
   At February 28,
2017
 
  ($ in millions)   ($ in millions)   ($ in millions)   ($ in millions) 

Number of investments(1)

   57    52    57    52 

Number of portfolio companies(3)

   31    28    31    28 

Average investment size(1)

  $5.6   $5.4   $5.6   $5.4 

Weighted average maturity(1)

   3.7 yrs    3.8 yrs    3.8 yrs    3.8 yrs 

Number of industries(3)

   9    9    9    9 

Average investment per portfolio company(1)

  $9.9   $9.7   $10.4   $9.7 

Non-performing or delinquent investments

  $11.3   $8.4   $8.4   $8.4 

Fixed rate debt (% of interest bearing portfolio)(2)

  $44.0(14.9%)   $44.2(16.9%)   $46.0(15.6%)   $44.2(16.9%) 

Weighted average current coupon(2)

   11.9%    11.4%    11.3%    11.4% 

Floating rate debt (% of interest bearing portfolio)(2)

  $  252.2(85.1%)   $  217.6(83.1%)   $  250.0(84.4%)   $  217.6(83.1%) 

Weighted average current spread over LIBOR(2)(4)

   9.3%    9.3%    9.4%    9.3% 

 

(1)Excludes our investment in the subordinated notes of Saratoga CLO.
(2)Excludes our investment in the subordinated notes of Saratoga CLO and equity interests.
(3)Excludes our investment in the subordinated notes of Saratoga CLO and Class F notes tranche of Saratoga CLO.
(4)Calculation uses either1-month or3-month LIBOR, depending on the contractual turns,terms, and after factoring in any existing LIBOR floors.

During the three months ended MayAugust 31, 2017, we invested $45.0$36.7 million in new or existing portfolio companies and had $5.9$37.9 million in aggregate amount of exits and repayments resulting in net repayments of $1.2 million for the period. During the three months ended August 31, 2016, we invested $55.7 million in new or existing portfolio companies and had $50.3 million in aggregate amount of exits and repayments resulting in net investments of $39.1$5.4 million for the period.

During the threesix months ended MayAugust 31, 2016,2017, we did not investinvested $81.7 million in any new or existing portfolio companies and had $20.6$43.8 million in aggregate amount of exits and repayments resulting in net investments of $37.9 million for the period. During the six months ended August 31, 2016, we invested $55.7 million in new or existing portfolio companies and had $70.9 million in aggregate amount of exits and repayments resulting in net investments of $20.6$15.2 million for the period.

Our portfolio composition at MayAugust 31, 2017 and February 28, 2017 at fair value was as follows:

Portfolio composition

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 
  Percentage
of Total
Portfolio
 Weighted
Average
Current
Yield
 Percentage
of Total
Portfolio
 Weighted
Average
Current
Yield
   Percentage
of Total
Portfolio
 Weighted
Average
Current
Yield
 Percentage
of Total
Portfolio
 Weighted
Average
Current
Yield
 

Syndicated loans

   2.8 5.3 3.4 5.3   2.7 5.4 3.4 5.3

First lien term loans

   56.4  10.8  54.3  10.5    54.9  10.7  54.3  10.5 

Second lien term loans

   29.1  12.5  30.0  11.7    29.2  12.0  30.0  11.7 

Structured finance securities

   4.9  16.0  5.3  12.7    5.0  18.8  5.3  12.7 

Equity interests

   6.8  4.0  7.0  0.4    8.2  3.6  7.0  0.4 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total

   100.0 11.4 100.0 10.9   100.0 11.2 100.0 10.9
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Our investment in the subordinated notes of Saratoga CLO represents a first loss position in a portfolio that, at MayAugust 31, 2017 and February 28, 2017 was composed of $299.3$300.1 million and $297.1 million, respectively, in aggregate principal amount of

predominantly senior secured first lien term loans. This investment is subject to unique risks. (See “Risk Factors—Our investment in Saratoga CLO constitutes a leveraged investment in a portfolio of predominantly senior secured first lien term loans and is subject to additional risks and volatility” in our Annual Report on Form10-K for the fiscal year ended February 28, 2017). We do not consolidate the Saratoga CLO portfolio in our consolidated financial statements. Accordingly, the metrics below do not include the

underlying Saratoga CLO portfolio investments. However, at MayAugust 31, 2017, $290.2$289.4 million or 98.5%98.3% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and there was onewere no Saratoga CLO portfolio investmentinvestments in default with a fair value of $1.4 million.default. At February 28, 2017, $288.5 million or 98.7% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and one Saratoga CLO portfolio investment was in default with a fair value of $1.4 million.

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

The CMR distribution of our investments at MayAugust 31, 2017 and February 28, 2017 was as follows:

Portfolio CMR distribution

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 

Color Score

  Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
  ($ in thousands)   ($ in thousands) 

Green

  $284,624    86.3 $245,678    83.9  $285,721    85.8 $245,678    83.9

Yellow

   8,280    2.5  8,423    2.9    7,996    2.4  8,423    2.9 

Red

   2,702    0.8  7,069    2.4    6    0.0  7,069    2.4 

N/A(1)

   34,084    10.4  31,491    10.8    39,247    11.8  31,491    10.8 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $329,690    100.0 $292,661    100.0  $332,970    100.0 $292,661    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

 

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

The change in reserve from $0.2 million as of February 28, 2017 to $0.8$0.9 million as of MayAugust 31, 2017 primarily related to the increase in reserve for the quartersix months on two thenon-performing and delinquent investments,investment, TM Restaurant Group L.L.C and My Alarm Center, LLC.L.L.C.

The CMR distribution of Saratoga CLO investments at MayAugust 31, 2017 and February 28, 2017 was as follows:

Portfolio CMR distribution

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 

Color Score

  Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
  ($ in thousands)   ($ in thousands) 

Green

  $270,009    91.6 $266,449    91.1  $265,782    90.3 $266,449    91.1

Yellow

   20,194    6.9  22,064    7.6    23,657    8.0  22,064    7.6 

Red

   4,476    1.5  3,925    1.3    5,086    1.7  3,925    1.3 

N/A(1)

   34    0.0  23    0.0    —      0.0  23    0.0 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $294,713    100.0 $292,461    100.0  $294,525    100.0 $292,461    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

 

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

Portfolio composition by industry grouping at fair value

The following table shows our portfolio composition by industry grouping at fair value at MayAugust 31, 2017 and February 28, 2017:

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 
  Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
  ($ in thousands)   ($ in thousands) 

Business Services

  $187,407    56.8 $161,212    55.1  $188,121    56.5 $161,212    55.1

Healthcare Services

   37,836    11.5  38,544    13.2    38,121    11.4  38,544    13.2 

Education

   26,725    8.1  10,928    3.7    26,768    8.0  10,928    3.7 

Media

   18,106    5.5  18,698    6.4    17,902    5.4  18,698    6.4 

Consumer Services

   16,217    4.9  20,748    7.1    17,569    5.3  20,748    7.1 

Structured Finance Securities(1)

   16,111    4.9  15,450    5.3 

Real Estate

   15,749    4.8  16,839    5.7 

Structured Finance Securities (1)

   16,537    5.0  15,450    5.3 

Building Products

   14,850    4.5   —      —   

Food and Beverage

   8,646    2.6  8,423    2.9    8,350    2.5  8,423    2.9 

Metals

   1,896    0.6  851    0.3    3,463    1.0  851    0.3 

Consumer Products

   997    0.3  968    0.3    1,289    0.4  968    0.3 

Real Estate

   —      —    16,839    5.7 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $329,690    100.0 $292,661    100.0  $332,970    100.0 $292,661    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

 

(1)Comprised of our investment in the subordinated notes and Class F Note of Saratoga CLO.

The following table shows Saratoga CLO’s portfolio composition by industry grouping at fair value at MayAugust 31, 2017 and February 28, 2017:

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 
  Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
  ($ in thousands)   ($ in thousands) 

Services: Business

  $37,393    12.7 $40,675    13.9  $38,697    13.2 $40,675    13.9

Healthcare & Pharmaceuticals

   32,381    11.0  33,002    11.3    28,699    9.8  33,002    11.3 

High Tech Industries

   21,233    7.2  17,851    6.1    25,751    8.8  17,851    6.1 

Banking, Finance, Insurance & Real Estate

   20,277    6.9  14,752    5.0 

Telecommunications

   17,723    6.0  13,704    4.7 

Chemicals/Plastics

   20,805    7.1  21,492    7.4    17,273    5.9  21,492    7.4 

Banking, Finance, Insurance & Real Estate

   19,378    6.6  14,752    5.0 

Aerospace and Defense

   15,152    5.2  11,643    4.0 

Retailers (Except Food and Drugs)

   14,890    5.1  14,706    5.0    15,108    5.1  14,706    5.0 

Aerospace and Defense

   14,143    4.8  11,643    4.0 

Telecommunications

   14,065    4.8  13,704    4.7 

Media

   12,110    4.1  11,283    3.9    11,435    3.9  11,283    3.9 

Industrial Equipment

   9,158    3.1  9,853    3.4 

Automotive

   7,128    2.4  6,088    2.1 

Leisure Goods/Activities/Movies

   10,466    3.6  9,627    3.3    6,610    2.2  9,627    3.3 

Industrial Equipment

   9,323    3.2  9,853    3.4 

Electronics/Electric

   7,951    2.7  8,036    2.7 

Automotive

   7,750    2.6  6,088    2.1 

Retail

   5,991    2.0   —      —   

Capital Equipment

   5,966    2.0  6,026    2.1 

Financial Intermediaries

   6,553    2.2  9,476    3.2    4,718    1.6  9,476    3.2 

Capital Equipment

   6,518    2.2  6,026    2.1 

Utilities

   5,348    1.8  4,944    1.7 

Services: Consumer

   4,514    1.5  788    0.3 

Publishing

   4,485    1.5  4,580    1.6 

Drugs

   4,638    1.6  5,394    1.8    4,359    1.5  5,394    1.8 

Publishing

   4,542    1.5  4,580    1.6 

Lodging and Casinos

   4,274    1.4  4,311    1.5 

Food Services

   4,273    1.4  5,932    2.0    4,242    1.4  5,932    2.0 

Beverage, Food & Tobacco

   3,977    1.3  3,013    1.0    3,970    1.3  3,013    1.0 

Transportation

   3,834    1.3  2,731    0.9    3,933    1.3  2,731    0.9 

Utilities

   3,923    1.3  4,944    1.7 

Electronics/Electric

   3,872    1.3  8,036    2.7 

Technology

   3,788    1.3  3,935    1.3    3,457    1.2  3,935    1.3 

Oil & Gas

   3,132    1.1  3,209    1.1    3,083    1.0  3,209    1.1 

Construction & Building

   2,960    1.0  1,974    0.7 

Insurance

   2,931    1.0  3,001    1.0    2,914    1.0  3,001    1.0 

Conglomerate

   2,560    0.9  3,584    1.2    2,546    0.9  3,584    1.2 

Construction & Building

   2,466    0.8  1,974    0.7 

Brokers/Dealers/Investment Houses

   2,435    0.8  2,479    0.8    2,432    0.8  2,479    0.8 

Containers/Glass Products

   2,356    0.8  2,008    0.7    2,394    0.8  2,008    0.7 

Lodging and Casinos

   2,304    0.8  4,311    1.5 

Hotel, Gaming and Leisure

   2,019    0.7  2,025    0.7    2,009    0.7  2,025    0.7 

Food Products

   2,013    0.7  3,147    1.1    2,000    0.7  3,147    1.1 

Food/Drug Retailers

   1,977    0.7  2,877    1.0 

Cable and Satellite Television

   1,614    0.5  1,617    0.6    1,605    0.5  1,617    0.6 

Food/Drug Retailers

   1,403    0.5  2,877    1.0 

Services: Consumer

   1,276    0.4  788    0.3 

Consumer Goods: Durable

   503    0.2   —      —   

Consumer Goods:Non-Durable

   497    0.2   —      —   

Forest Products & Paper

   502    0.2   —      —      493    0.2   —      —   

Broadcast Radio and Television

   373    0.1  343    0.1    367    0.1  343    0.1 

Nonferrous Metals/Minerals

   —      —    1,312    0.4    —      —    1,312    0.4 

Environmental Industries

   —      —    800    0.3    —      —    800    0.3 

Building and Development

   —      —    243    0.1    —      —    243    0.1 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $294,713    100.0 $292,461    100.0  $294,525    100.0 $292,461    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Portfolio composition by geographic location at fair value

The following table shows our portfolio composition by geographic location at fair value at MayAugust 31, 2017 and February 28, 2017. The geographic composition is determined by the location of the corporate headquarters of the portfolio company.

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 
  Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
   Investments
at
Fair Value
   Percentage
of Total
Portfolio
 Investments
at
Fair Value
   Percentage
of Total
Portfolio
 
  ($ in thousands)   ($ in thousands) 

Southeast

  $144,013    43.7 $116,186    39.7  $149,968    45.0 $116,186    39.7

Midwest

   88,586    26.9  75,154    25.7    83,949    25.2  75,154    25.7 

Northeast

   35,108    10.6  38,880    13.3 

Southwest

   34,018    10.3  34,060    11.6    34,183    10.3  34,060    11.6 

Northeast

   33,952    10.3  38,880    13.3 

Other(1)

   16,111    4.9  15,450    5.3 

Other (1)

   16,537    5.0  15,450    5.3 

Northwest

   7,850    2.4  7,780    2.6    7,785    2.3  7,780    2.6 

West

   5,160    1.5  5,151    1.8    5,440    1.6  5,151    1.8 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $329,690    100.0 $292,661    100.0  $332,970    100.0 $292,661    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

 

(1)Comprised of our investment in the subordinated notes and Class F Note of Saratoga CLO.

Results of operations

Operating results for the three and six months ended MayAugust 31, 2017 and MayAugust 31, 2016 were as follows:

 

  For the three months ended   For the three months ended 
  May 31,
2017
   May 31,
2016
   August 31,
2017
   August 31,
2016
 
  ($ in thousands)   ($ in thousands) 

Total investment income

  $8,707   $7,908   $10,254   $8,448 

Total expenses

   5,203    5,369 

Total operating expenses

   7,363    5,844 
  

 

   

 

   

 

   

 

 

Net investment income

   3,504    2,539    2,891    2,604 

Net realized gains from investments

   96    6,103 

Net unrealized depreciation on investments

   (2,586   (5,354

Net realized gains (losses) from investments

   (5,775   5,937 

Net change in unrealized appreciation (depreciation) on investments

   9,754    (3,269
  

 

   

 

   

 

   

 

 

Net increase in net assets resulting from operations

  $1,014   $3,288   $6,870   $5,272 
  

 

   

 

   

 

   

 

 
  For the six months ended 
  August 31,
2017
   August 31,
2016
 
  ($ in thousands) 

Total investment income

  $18,961   $16,356 

Total operating expenses

   12,566    11,214 
  

 

   

 

 

Net investment income

   6,395    5,142 

Net realized gains (losses) from investments

   (5,679   12,040 

Net change in unrealized appreciation (depreciation) on investments

   7,168    (8,623
  

 

   

 

 

Net increase in net assets resulting from operations

  $7,884   $8,559 
  

 

   

 

 

Investment income

The composition of our investment income for the three and six months ended MayAugust 31, 2017 and MayAugust 31, 2016 was as follows:

 

  For the three months ended   For the three months ended 
  May 31,
2017
   May 31,
2016
   August 31,
2017
   August 31,
2016
 
  ($ in thousands)   ($ in thousands) 

Interest from investments

  $7,741   $7,281   $9,187   $7,303 

Management fee income

   376    374    376    375 

Incentive fee income

   105    —      162    —   

Interest from cash and cash equivalents and other income

   485    253    529    770 
  

 

   

 

   

 

   

 

 

Total

  $8,707   $7,908 

Total investment income

  $10,254   $8,448 
  

 

   

 

   

 

   

 

 
  For the six months ended 
  August 31,
2017
   August 31,
2016
 
  ($ in thousands) 

Interest from investments

  $16,927   $14,585 

Management fee income

   752    748 

Incentive fee income

   268    —   

Interest from cash and cash equivalents and other income

   1,014    1,023 
  

 

   

 

 

Total investment income

  $18,961   $16,356 
  

 

   

 

 

For the three months ended MayAugust 31, 2017, total investment income of $8.7$10.3 million increased $0.8$1.9 million, or 10.1%21.4% compared to $7.9$8.4 million for the three months ended MayAugust 31, 2016. Interest income from investments increased $0.4$1.9 million, or 6.3%25.8%, to $7.7$9.2 million for the three months ended MayAugust 31, 2017 from $7.3 million for the three months ended MayAugust 31, 2016. This reflects an

increase of 24.7%22.1% in total investments to $329.7$333.0 million at MayAugust 31, 2017 from $264.4$272.8 million at MayAugust 31, 2016, with some of the new investments being towards the end of the period.2016. The increase was offset by the weighted average current coupon decreasing from 11.5%11.9% to 11.4%11.2%.

For the six months ended August 31, 2017, total investment income of $19.0 million increased $2.6 million, or 15.9% compared to $16.4 million for the six months ended August 31, 2016. Interest income from investments increased $2.3 million, or 16.1%, to $16.9 million for the six months ended August 31, 2017 from $14.6 million for the six months ended August 31, 2016. This reflects an increase of 22.1% in total investments to $333.0 million at August 31, 2017 from $272.8 million at August 31, 2016. The increase was offset by the weighted average current coupon decreasing from 11.9% to 11.2%.

For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, total PIK income was $0.5 million and $0.1$0.2 million, respectively. For the six months ended August 31, 2017 and August 31, 2016, total PIK income was $1.0 million and $0.3 million, respectively.

For the three and six months ended MayAugust 31, 2017, incentive fee income of $0.1$0.2 million and $0.3 million, respectively, was recognized related to the Saratoga CLO, reflecting the 12.0% hurdle rate that has been achieved.

Operating expenses

The composition of our operating expenses for the three and six months ended MayAugust 31, 2017 and MayAugust 31, 2016 was as follows:

Operating Expenses

 

  For the three months ended   For the three months ended 
  May 31,
2017
   May 31,
2016
   August 31,
2017
   August 31,
2016
 
  ($ in thousands)   ($ in thousands) 

Interest and debt financing expenses

  $2,524   $2,368   $2,963   $2,370 

Base management fees

   1,391    1,227    1,482    1,203 

Professional fees

   384    359    407    302 

Administrator expenses

   375    325    396    325 

Incentive management fees

   176    728    1,710    1,208 

Insurance

   66    71    66    71 

Directors fees and expenses

   51    66    60    60 

General and administrative and other expenses

   236    225    294    305 

Excise tax expense (credit)

   (15   —   
  

 

   

 

   

 

   

 

 

Total expenses

  $5,203   $5,369 

Total operating expenses

  $7,363   $5,844 
  

 

   

 

   

 

   

 

 
  For the six months ended 
  August 31,
2017
   August 31,
2016
 
  ($ in thousands) 

Interest and debt financing expenses

  $5,486   $4,738 

Base management fees

   2,873    2,430 

Professional fees

   792    662 

Administrator expenses

   771    650 

Incentive management fees

   1,886    1,937 

Insurance

   132    141 

Directors fees and expenses

   111    126 

General and administrative and other expenses

   530    530 

Excise tax expense (credit)

   (15   —   
  

 

   

 

 

Total operating expenses

  $12,566   $11,214 
  

 

   

 

 

For the three months ended MayAugust 31, 2017, total operating expenses decreased $0.2increased $1.5 million, or 3.1%26.0% compared to the three months ended MayAugust 31, 2016. For the six months ended August 31, 2017, total operating expenses increased $1.4 million, or 12.1% compared to the six months ended August 31, 2016.

For the three and six months ended MayAugust 31, 2017 and MayAugust 31, 2016, the increase in interest and debt financing expenses is primarily attributable to an increase in outstanding debt as compared to the prior year, with increased levels of outstanding SBA debentures, as well as additional notes being issued.issued and our Credit Facility having an outstanding balance thisquarter-end. Our SBA debentures increased from $103.7 million at MayAugust 31, 2016 to $134.7 million at MayAugust 31, 2017, while the 2020 Notes were repaid and the 2023 Notes issued, increasing the notes payable from $61.8 million outstanding to $74.5 million outstanding for these same periods. For the three months ended MayAugust 31, 2017, the weighted average interest rate on our outstanding indebtedness was 4.59%4.52% compared to 4.74%4.80% for the three months ended MayAugust 31, 2016. ThisFor the six months ended August 31, 2017, the weighted average interest rate on our outstanding indebtedness was 4.55% compared to 4.77% for the six months ended August 31, 2016. For both periods, the decrease was primarily driven by an increase in SBA debentures that carry a lower interest rate as well as the notes payable interest rate decreasing from 7.50% to 6.75% following the refinancing of the 2020 Notes. SBA debentures decreased from 62.7% of overall debt as of MayAugust 31, 2016 to 57.6%61.5% as of MayAugust 31, 2017, primarily due to $24.5the increase in notes issued and the $10.0 million outstanding on the Credit Facility, which was drawn towards the end of the quarter.Facility.

For the three months ended MayAugust 31, 2017, base management fees increased $0.2$0.3 million, or 13.4%23.2% compared to the three months ended MayAugust 31, 2016. For the six months ended August 31, 2017, base management fees increased $0.4 million, or 18.2% compared to the six months ended August 31, 2016. The increase in base management fees results from the 13.4%23.2% increase in the average value of our total assets, less cash and cash equivalents, from $278.2$272.7 million as of MayAugust 31, 2016 to $315.4$335.9 million as of MayAugust 31, 2017.

For the three and six months ended MayAugust 31, 2017, professional fees increased $0.03$0.1 million, or 7.0%34.8%, and increased $0.1 million, or 19.7%, respectively, compared to the three and six months ended MayAugust 31, 2016.

For the three months ended MayAugust 31, 2017, incentive management fees decreased $0.6increased $0.5 million, or 75.8%41.5%, compared to the three months ended MayAugust 31, 2016. The first part of the incentive management fees increased this year from $0.65$0.76 million to $0.74$0.92 million as higher average total assets of 13.4%23.2% has led to increased net investment income above the hurdle rate pursuant to the investment advisory and management agreement. In addition, the incentive management fees related to capital gains increased from incentive fees of $0.4 million for the three months ended August 31, 2016 to $0.8 million for the quarter ended August 31, 2017, reflecting the $4.0 million net gain on investments for the three months ended August 31, 2017.

For the six months ended August 31, 2017, incentive management fees decreased $0.1 million, or 2.6%, compared to the six months ended August 31, 2016. The first part of the incentive management fees increased this year from $1.4 million to $1.7 million as higher average total assets of 23.2% has led to increased net investment income above the hurdle rate pursuant to the investment advisory and management agreement. However, for the threesix months ended MayAugust 31, 2017, incentive management fees in total decreased $0.6$0.1 million as the incentive management fees related to capital gains decreased from incentive fees of $0.1$0.5 million for the threesix months ended MayAugust 31, 2016 to a reduction in incentive fees of $0.6$0.2 million, reflecting the $2.5lower $1.5 million net lossgain on investments for the threesix months ended MayAugust 31, 2017.2017 as compared to the $3.4 million net gain on investments for the six months ended August 31, 2016.

As discussed above, the increase in interest and debt financing expenses for the three and six months ended MayAugust 31, 2017 as compared to the three and six months ended MayAugust 31, 2016 is primarily attributable to an increase in the amount of outstanding debt. For the three months ended MayAs of August 31, 2017, there was also $24.5$10.0 million of outstanding borrowings under the Credit Facility. For the three months ended May 31, 2016,Facility, whereas there were no outstanding borrowings under the Credit Facility.Facility as of August 31, 2016. For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.18%3.06% and 3.09%3.19%, respectively. For the six months ended August 31, 2017 and August 31, 2016, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.11% and 3.14%, respectively.

Net realized gains (losses) on sales of investments

For the three months ended MayAugust 31, 2017, the Company had $5.9$37.9 million of sales, repayments, exits or restructurings resulting in $0.1$5.8 million of net realized losses. For the six months ended August 31, 2017, the Company had $43.8 million of sales, repayments, exits or restructurings resulting in $5.7 million of net realized losses. The most significant realized gains (losses) during the six months ended August 31, 2017 were as follows (dollars in thousands):

Six Months ended August 31, 2017

Issuer

  Asset Type  Gross
Proceeds
   Cost   Net
Realized
Gain (Loss)
 

My Alarm Center, LLC

  Second Lien Term Loan  $2,617   $10,330   $(7,713

Mercury Funding, LLC

  Common Stock   2,631    858    1,773 

The $7.7 million of realized loss on our investment in My Alarm Center, LLC, was due to the completion of a sales transaction, following increasing leverage levels combined with declining market conditions in the sector.

The $1.8 million of realized gain on our investment in Mercury Funding, LLC, was driven by the completion of a sales transaction with a strategic acquirer.

For the three months ended August 31, 2016, the Company had $50.3 million of sales, repayments, exits or restructurings resulting in $5.9 million of net realized gains. For the six months ended August 31, 2016, the Company had $70.9 million of sales, repayments, exits or restructurings resulting in $12.0 million of net realized gains. The most significant realized gains during the threesix months ended May 31, 2017 were as follows (dollars in thousands):

Three Months ended May 31, 2017

Issuer

  Asset Type   Gross
Proceeds
   Cost   Net
Realized
Gain
 

Take 5 Oil Change, L.L.C

   Common Stock   $124   $—     $124 

Mercury Funding

   Second Lien Term Loan    2,786    2,767    19 

For the three months ended May 31, 2016, the Company had $20.6 million of sales, repayments, exits or restructurings resulting in $6.1 million of net realized gains. The most significant realized gains during the three months ended MayAugust 31, 2016 were as follows (dollars in thousands):

ThreeSix Months ended MayAugust 31, 2016

 

Issuer

  Asset Type   Gross
Proceeds
   Cost   Net
Realized
Gain
   Asset Type  Gross
Proceeds
   Cost   Net
Realized
Gain
 

Take 5 Oil Change, L.L.C

   Common Stock   $6,457   $481   $5,976   Common Stock  $6,457   $481   $5,976 

Advanced Air & Heat of Florida, LLC

   First Lien Term Loan    7,100    7,037    63 

Legacy Cabinets, Inc.

  Common Stock Voting A-1   2,320    221    2,099 

Legacy Cabinets, Inc.

  Common Stock VotingB-1   1,464    139    1,325 

The $6.0 million of realized gain on our investment in Take 5 Oil Change, L.L.C. was due to the completion of a sales transaction with a strategic acquirer.

The $3.4 million of realized gains on our investments in Legacy Cabinets, Inc. were due to a period of steadily improving performance, leading up to our sale of shares in Legacy Cabinets, Inc.

Net change in unrealized appreciation (depreciation) on investments

For the three months ended MayAugust 31, 2017, our investments had net unrealized depreciationappreciation of $2.6$9.8 million versus net unrealized depreciation of $5.4$3.3 million for the three months ended MayAugust 31, 2016. For the six months ended August 31, 2017, our investments had net unrealized appreciation of $7.2 million versus net unrealized depreciation of $8.6 million for the six months ended August 31, 2016. The most significant cumulative changes in unrealized appreciation and depreciation for the threesix months ended MayAugust 31, 2017, were the following (dollars in thousands):

ThreeSix Months ended MayAugust 31, 2017

 

Issuer

 Asset Type Cost Fair
Value
 Total
Unrealized
Appreciation
(Depreciation)
 YTD Change
in Unrealized
Appreciation
(Depreciation)
   Asset Type  Cost   Fair
Value
   Total
Unrealized
Appreciation
(Depreciation)
   YTD Change
in Unrealized
Appreciation
(Depreciation)
 

Saratoga Investment Corp. CLO 2013-1, Ltd

 Structured Finance Securities  $9,520  $11,563  $2,043  $1,412 

Mercury Network, LLC

 Common Stock  858 2,631 1,773  1,120 

My Alarm Center, LLC

  Second Lien Term Loan  $—     $—     $—     $2,298 

Easy Ice, LLC

  Preferred Equity   8,124    10,212    2,088    2,088 

Saratoga Investment Corp. CLO2013-1 Ltd.

  Structured Finance Securities   9,322    12,038    2,716    2,085 

Elyria Foundry Company, L.L.C.

 Common Stock  9,218  1,458 (7,760 1,044   Common Stock   9,685    2,672    (7,013   1,791 

Ohio Medical, LLC

 Second Lien Term Loan  7,241  6,396  (846 (597

My Alarm Center, LLC

 Second Lien Term Loan  10,330  2,696  (7,634 (5,336

Mercury Funding, LLC

  Common Stock   —      —      —      (653

The $1.1$2.3 million of change in unrealized appreciation in our investment in Mercury Network,My Alarm Center, LLC was driven by the completion of a sales transaction withtransaction. In recognizing this loss as a result of the sale, unrealized depreciation was adjusted to zero, which resulted in a $2.3 million change in unrealized appreciation for the six months.

The $2.1 million of change in unrealized appreciation in our investment in Easy Ice, LLC was driven by the completion of a strategic acquirer.acquisition that increased the scale and earnings of the business.

The $1.0$2.1 million of change in unrealized appreciation in our investment in Saratoga Investment Corp. CLO2013-1 Ltd. was driven by continued improved performance of the Saratoga CLO.

The $1.8 million of change in unrealized appreciation in our investment in Elyria Foundry Company, L.L.C. was driven by an increase in oil and gas end markets sinceyear-end, positively impacting the Company’scompany’s performance.

The $5.3 million of change in unrealized depreciation in our investment in My Alarm Center, LLC was driven by increasing leverage levels combined with declining market conditions in the sector.

The most significant cumulative changes in unrealized appreciation and depreciation for the threesix months ended MayAugust 31, 2016, were the following (dollars in thousands):

ThreeSix Months ended MayAugust 31, 2016

 

Issuer

 Asset Type Cost Fair
Value
 Total
Unrealized
Appreciation
(Depreciation)
   YTD Change
in Unrealized
Appreciation
(Depreciation)
   Asset Type  Cost   Fair
Value
   Total
Unrealized
Appreciation
(Depreciation)
   YTD Change
in Unrealized
Appreciation
(Depreciation)
 

Take 5 Oil Change, L.L.C

 Common Stock $—   $—   $—    $(5,755  Common Stock  $—     $—     $—     $(5,755

Elyria Foundry Company, L.L.C

 Common Stock 9,218  583  (8,635   (1,443

Prime Security Services, LLC

 Second Lien Term Loan 11,835  12,092  257    1,106 

Legacy Cabinets, Inc.

  Common Stock Voting A-1   —      —      —      (2,456

Legacy Cabinets, Inc.

  Common Stock VotingB-1   —      —      —      (1,550

Elyria Foundry Company, L.L.C.

  Common Stock   9,217    314    (8,903   (1,712

The $5.8 million of change in unrealized depreciation in our investment in Take 5 Oil Change, L.L.C. was driven by the completion of a sales transaction with a strategic acquirer. In realizing this gain as a result of the sale, unrealized appreciation was adjusted to zero, which resulted in a $5.8 million change in unrealized depreciation for the quarter.

The $1.4$4.0 million of change in unrealized depreciation in our investments in Legacy Cabinets, Inc. were driven by the completion of a sales transaction. In realizing these gains as a result of the sale, unrealized appreciation was adjusted to zero, which resulted in a $4.0 million change in unrealized depreciation for the period.

The $1.7 million of change in unrealized depreciation in our investment in Elyria Foundry Company, L.L.C. was driven by a continued decline in oil and gas end markets since quarter end,year-end, negatively impacting the company’s performance.

The $1.1 million of change in unrealized appreciation in our investment in Prime Security Services, LLC was driven by a narrowing of credit spreads since quarter end.

Changes in net assets resulting from operations

For the three months ended MayAugust 31, 2017 and MayAugust 31, 2016, we recorded a net increase in net assets resulting from operations of $1.0$6.9 million and $3.3$5.3 million, respectively. Based on 5,861,6545,955,251 weighted average common shares outstanding as of MayAugust 31, 2017, our per share net increase in net assets resulting from operations was $0.17$1.15 for the three months ended MayAugust 31, 2017. This compares to a per share net increase in net assets resulting from operations of $0.57$0.92 for the three months ended MayAugust 31, 2016 based on 5,737,4965,740,816 weighted average common shares outstanding as of MayAugust 31, 2016.

For the six months ended August 31, 2017 and August 31, 2016, we recorded a net increase in net assets resulting from operations of $7.9 million and $8.6 million, respectively. Based on 5,908,453 weighted average common shares outstanding as of August 31, 2017, our per share net increase in net assets resulting from operations was $1.33 for the six months ended August 31, 2017. This compares to a per share net increase in net assets resulting from operations of $1.49 for the six months ended August 31, 2016 based on 5,739,157 weighted average common shares outstanding as of August 31, 2016.

FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

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

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

In addition, we intend to distribute to our stockholders substantially all of our taxable income in order to satisfy the distribution requirement applicable to RICs under the Code. In satisfying this distribution requirement, we have in the past relied on Internal Revenue Service (“IRS”) issued private letter rulings concluding that a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution. We may rely on these IRS private letter rulings in future periods to satisfy our RIC distribution requirement.

Also, as a BDC, we generally are required to meet a coverage ratio of total assets, less liabilities and indebtedness not represented by senior securities, to total senior securities, which include all of our borrowings and any outstanding preferred stock, of at least 200.0%. This requirement limits the amount that we may borrow. Our asset coverage ratio, as defined in the 1940 Act, was 229.0%258.0% as of MayAugust 31, 2017 and 271.0% as of February 28, 2017. To fund growth in our investment portfolio in the future, we anticipate needing to raise additional capital from various sources, including the equity markets and other debt-related markets, which may or may not be available on favorable terms, if at all.

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

Madison revolving credit facility

Below is a summary of the terms of the senior secured revolving credit facility we entered into with Madison Capital Funding LLC (the “Credit Facility”) on June 30, 2010.2010, which was most recently amended on May 18, 2017.

Availability. The Company can draw up to the lesser of (i) $40.0 million (the “Facility Amount”) and (ii) the product of the applicable advance rate (which varies from 50.0% to 75.0% depending on the type of loan asset) and the value, determined in accordance with the Credit Facility (the “Adjusted Borrowing Value”), of certain “eligible” loan assets pledged as security for the loan (the “Borrowing Base”), in each case less (a) the amount of any undrawn funding commitments the Company has under any loan asset and which are not covered by amounts in the Unfunded Exposure Account referred to below (the “Unfunded Exposure Amount”) and outstanding borrowings. Each loan asset held by the Company as of the date on which the Credit Facility was closed was valued as of that date and each loan asset that the Company acquires after such date will be valued at the lowest of its fair value, its face value (excluding accrued interest) and the purchase price paid for such loan asset. Adjustments to the value of a loan asset will be made to reflect, among other things, changes in its fair value, a default by the obligor on the loan asset, insolvency of the obligor, acceleration of the loan asset, and certain modifications to the terms of the loan asset.

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

Collateral.The Credit Facility is secured by substantially all of the assets of the Company (other than assets held by our SBIC subsidiary) and includes the subordinated notes (“CLO Notes”) issued by Saratoga CLO and the Company’s rights under the CLO Management Agreement (as defined below).

Interest Rate and Fees. Under the Credit Facility, funds are borrowed from or through certain lenders at the greater of the

prevailingtheprevailing LIBOR rate and 1.00%, plus an applicable margin of 4.75%. At the Company’s option, funds may be borrowed based on an alternative base rate, which in no event will be less than 2.00%, and the applicable margin over such alternative base rate is 3.75%. In addition, the Company pays the lenders a commitment fee of 0.75% per year on the unused amount of the Credit Facility for the duration of the Revolving Period (defined below). Accrued interest and commitment fees are payable monthly. The Company was also obligated to pay certain other fees to the lenders in connection with the closing of the Credit Facility.

Revolving Period and Maturity Date. The Company may make and repay borrowings under the Credit Facility for a period of three years following the closing of the Credit Facility (the “Revolving Period”). The Revolving Period may be terminated at an earlier time by the Company or, upon the occurrence of an event of default, by action of the lenders or automatically. All borrowings and other amounts payable under the Credit Facility are due and payable in full five years after the end of the Revolving Period.

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

 

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

 

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

 

  Weighted Average FMV Test.The aggregate adjusted or weighted value of “eligible” pledged loan assets as a percentage of the aggregate outstanding principal balance of “eligible” pledged loan assets must be equal to or greater than 72.0% and 80.0% during theone-year periods prior to the first and second anniversary of the closing date, respectively, and 85.0% at all times thereafter.

The Credit Facility also requires payment of outstanding borrowings or replacement of pledged loan assets upon the Company’s breach of its representation and warranty that pledged loan assets included in the Borrowing Base are “eligible” loan assets. Such payments or replacements must equal the lower of the amount by which the Borrowing Base is overstated as a result of such breach or any deficiency under the Collateral Tests at the time of repayment or replacement. Compliance with the Collateral Tests is also a condition to the discretionary sale of pledged loan assets by the Company.

Priority of Payments. During the Revolving Period, the priority of payments provisions of the Credit Facility require, after payment of specified fees and expenses and any necessary funding of the Unfunded Exposure Account, that collections of principal from the loan assets and, to the extent that these are insufficient, collections of interest from the loan assets, be applied on each payment date to payment of outstanding borrowings if the Borrowing Base Test, the Overcollateralization Ratio and the Interest Coverage Ratio would not otherwise be met. Similarly, following termination of the Revolving Period, collections of interest are required to be applied, after payment of certain fees and expenses, to cure any deficiencies in the Borrowing Base Test, the Interest Coverage Ratio and the Overcollateralization Ratio as of the relevant payment date.

Reserve Account.The Credit Facility requires the Company to set aside an amount equal to the sum of accrued interest, commitment fees and administrative agent fees due and payable on the next succeeding three payment dates (or corresponding to three payment periods). If for any monthly period during which fees and other payments accrue, the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets which do not pay cash interest at least quarterly exceeds 15.0% of the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets, the Company is required to set aside such interest and fees due and payable on the next succeeding six payment dates. Amounts in the reserve account can be applied solely to the payment of administrative agent fees, commitment fees, accrued and unpaid interest and any breakage costs payable to the lenders.

Unfunded Exposure Account. With respect to revolver or delayed draw loan assets, the Company is required to set aside in a designated account (the “Unfunded Exposure Account”) 100.0% of its outstanding and undrawn funding commitments with respect to such loan assets. The Unfunded Exposure Account is funded at the time the Company acquires a revolver or delayed draw loan asset and requests a related borrowing under the Credit Facility. The Unfunded Exposure Account is funded through a combination of proceeds of the requested borrowing and other Company funds, and if for any reason such amounts are insufficient, through application of the priority of payment provisions described above.

Operating Expenses. The priority of payments provision of the Credit Facility provides for the payment of certain operating expenses of the Company out of collections on principal and interest during the Revolving Period and out of collections on interest following the termination of the Revolving Period in accordance with the priority established in such provision. The operating expenses payable pursuant to the priority of payment provisions is limited to $350,000 for each monthly payment date or $2.5 million for the immediately preceding period of twelve consecutive monthly payment dates. This ceiling can be increased by the lesser of

5.0% or the percentage increase in the fair market value of all the Company’s assets only on the first monthly payment date to occur after eachone-year anniversary following the closing of the Credit Facility. Upon the occurrence of a Manager Event (described below), the consent of the administrative agent is required in order to pay operating expenses through the priority of payments provision.

Events of Default. The Credit Facility contains certain negative covenants, customary representations and warranties and affirmative covenants and events of default. The Credit Facility does not contain grace periods for breach by the Company of certain covenants, including, without limitation, preservation of existence, negative pledge, change of name or jurisdiction and separate legal entity status of the Company covenants and certain other customary covenants. Other events of default under the Credit Facility include, among other things, the following:

 

an Interest Coverage Ratio of less than 150.0%;

 

an Overcollateralization Ratio of less than 175.0%;

 

the filing of certain ERISA or tax liens;

 

the occurrence of certain “Manager Events” such as:

 

failure by Saratoga Investment Advisors and its affiliates to maintain collectively, directly or indirectly, a cash equity investment in the Company in an amount equal to at least $5.0 million at any time prior to the third anniversary of the closing date;

 

failure of the Management Agreement between Saratoga Investment Advisors and the Company to be in full force and effect;

 

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

 

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

 

occurrence of any event constituting “cause” under the Collateral Management Agreement between the Company and Saratoga CLO (the “CLO Management Agreement”), delivery of a notice under Section 12(c) of the CLO Management Agreement with respect to the removal of the Company as collateral manager or the Company ceases to act as collateral manager under the CLO Management Agreement.

Conditions to Acquisitions and Pledges of Loan Assets. The Credit Facility imposes certain additional conditions to the acquisition and pledge of additional loan assets. Among other things, the Company may not acquire additional loan assets without the prior written consent of the administrative agent until such time that the administrative agent indicates in writing its satisfaction with Saratoga Investment Advisors’ policies, personnel and processes relating to the loan assets.

Fees and Expenses. The Company paid certain fees and reimbursed Madison Capital Funding LLC for the aggregate amount of all documented,out-of-pocket costs and expenses, including the reasonable fees and expenses of lawyers, incurred by Madison Capital Funding LLC in connection with the Credit Facility and the carrying out of any and all acts contemplated thereunder up to and as of the date of closing of the stock purchase transaction with Saratoga Investment Advisors and certain of its affiliates. These amounts totaled $2.0 million.

On February 24, 2012, we amended our senior secured revolving credit facility with Madison Capital Funding LLC to, among other things:

 

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

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

 

remove the condition that we may not acquire additional loan assets without the prior written consent of the administrative agent.

On September 17, 2014, we entered into a second amendment to the Revolving Facility with Madison Capital Funding LLC to, among other things:

 

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

 

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

 

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

 

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

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

 

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

 

extend the final maturity date of the Credit Facility from September 17, 2022 to September 17, 2025;

 

reduce the floor on base rate borrowings from 2.25% to 2.0%;

 

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

 

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

As of MayAugust 31, 2017, we had $24.5$10.0 million of outstanding borrowings under the Credit Facility and $134.7 million ofSBA-guaranteed debentures outstanding (which are discussed below). As of February 28, 2017, we had no outstanding borrowings under the Credit Facility and $112.7 millionSBA-guaranteed debentures outstanding. Our borrowing base under the Credit Facility at MayAugust 31, 2017 and February 28, 2017 was $45.0$34.0 million and $24.7 million, respectively.

Our asset coverage ratio, as defined in the 1940 Act, was 229.0%258.0% as of MayAugust 31, 2017 and 271.0% as of February 28, 2017.

SBA-guaranteed debentures

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

The SBIC license allows our SBIC subsidiary to obtain leverage by issuingSBA-guaranteed debentures.SBA-guaranteed debentures arenon-recourse, interest only debentures with interest payable semi-annually and have a ten year maturity. The principal amount ofSBA-guaranteed debentures is not required to be paid prior to maturity but may be prepaid at any time without penalty. The interest rate ofSBA-guaranteed debentures is fixed on a semi-annual basis at a market-driven spread over U.S. Treasury Notes with10-year maturities.

SBA regulations currently limit the amount that our SBIC subsidiary may borrow to a maximum of $150.0 million when it has at least $75.0 million in regulatory capital, receives a capital commitment from the SBA and has been through an examination by the SBA subsequent to licensing. As of MayAugust 31, 2017, our SBIC subsidiary had $75.0 million in regulatory capital and $134.7 millionSBA-guaranteed debentures outstanding.

We received exemptive relief from the SEC to permit us to exclude the debt of our SBIC subsidiary guaranteed by the SBA

from the definition of senior securities in the 200.0% asset coverage test under the 1940 Act. This allows us increased flexibility under the 200.0% asset coverage test by permitting us to borrow up to $150.0 million more than we would otherwise be able to absent the receipt of this exemptive relief.

On April 2, 2015, the SBA issued a “green light” letter inviting the Company to continue our application process to obtain a license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued review of our application for a second license, and in order to ensure that they were reviewing the most current information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this request, with which we are in the process of complying, the existing “green light” letter that the SBA issued to us has expired. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue up to $150.0 million of additionalSBA-guaranteed debentures in addition to the $150.0 million already approved under the first license.

Unsecured notes

In May 2013, we issued $48.3 million in aggregate principal amount of our 2020 Notes for net proceeds of $46.1 million after deducting underwriting commissions of $1.9 million and offering costs of $0.3 million. The proceeds included the underwriters’ full exercise of their overallotment option. Interest on these 2020 Notes is paid quarterly in arrears on February 15, May 15, August 15 and November 15, at a rate of 7.50% per year, beginning August 15, 2013. The 2020 Notes mature on May 31, 2020 and since May 31, 2016, may be redeemed in whole or in part at any time or from time to time at our option. In connection with the issuance of the 2020 Notes, we agreed to the following covenants for the period of time during which the 2020 Notes are outstanding:

 

we will not violate (whether or not we are subject to) Section 18(a)(1)(A) as modified by Section 61(a)(1) of the 1940 Act or any successor provisions, but giving effect to any exemptive relief granted to us by the SEC. Currently, these provisions generally prohibit us from making additional borrowings, including through the issuance of additional debt or the sale of additional debt securities, unless our asset coverage, as defined in the 1940 Act, equals at least 200.0% after such borrowings.

 

we will not violate (regardless of whether we are subject to) Section 18(a)(1)(B) as modified by Section 61(a)(1) of the 1940 Act or any successor provisions, but giving effect to (i) any exemptive relief granted to us by the SEC and(ii) no-action relief granted by the SEC to another BDC (or to the Company if it determines to seek such similarno-action or other relief) permitting the BDC to declare any cash dividend or distribution notwithstanding the prohibition contained in Section 18(a) (1)(B) as modified by Section 61(a)(1) of the 1940 Act in order to maintain the BDC’s status as a regulated investment companyRIC under the Code. Currently these provisions generally prohibit us from declaring any cash dividend or distribution upon any class of our capital stock, or purchasing any such capital stock if our asset coverage, as defined in the 1940 Act, is below 200.0% at the time of the declaration of the dividend or distribution or the purchase and after deducting the amount of such dividend, distribution or purchase.

The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the NYSE.

On May 29, 2015, we entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. through which we may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an ATM offering. As of MayAugust 31, 2017, the Company sold 539,725 bonds with a principal of $13,493,125 at an average price of $25.31 for aggregate net proceeds of $13,385,766 (net of transaction costs).

On December 21, 2016, we issued $74.5 million in aggregate principal amount of our 2023 Notes for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The issuance included the exercise of substantially all of the underwriters’ option to purchase an additional $9.8 million aggregate principal amount of 2023 Notes within 30 days. Interest on the 2023 Notes is paid quarterly in arrears on March 15, June 15, September 15 and December 15, at a rate of 6.75% per year, beginning March 30, 2017. The 2023 Notes mature on December 30, 2023, and commencing December 21, 2019, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used to repay all of the outstanding indebtedness under the 2020 Notes on January 13, 2017, which amounts to $61.8 million, and for general corporate purposes in accordance with our investment objective and strategies. The 2020 Notes were redeemed in full on January 13, 2017. The 2023 Notes are listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per share. In connection with the issuance of the 2023 Notes, we agreed to the following covenants for the period of time during which the notes are outstanding:

 

we will not violate (whether or not we are subject to) Section 18(a)(1)(A) as modified by Section 61(a)(1) of the 1940

Act or any successor provisions, but giving effect to any exemptive relief granted to us by the SEC. Currently, these provisions generally prohibit us from making additional borrowings, including through the issuance of additional debt or the sale of additional debt securities, unless our asset coverage, as defined in the 1940 Act, equals at least 200% after such borrowings.

Act or any successor provisions, but giving effect to any exemptive relief granted to us by the SEC. Currently, these provisions generally prohibit us from making additional borrowings, including through the issuance of additional debt or the sale of additional debt securities, unless our asset coverage, as defined in the 1940 Act, equals at least 200% after such borrowings.

 

if, at any time, we are not subject to the reporting requirements of Sections 13 or 15(d) of the Securities Exchange Act of 1934, or the Exchange Act, to file any periodic reports with the SEC, we agree to furnish to holders of the 2023 Notes and the Trustee, for the period of time during which the 2023 Notes are outstanding, our audited annual consolidated financial statements, within 90 days of our fiscal year end, and unaudited interim consolidated financial statements, within 45 days of our fiscal quarter end (other than our fourth fiscal quarter). All such financial statements will be prepared, in all material respects, in accordance with applicable United States generally accepted accounting principles.

At MayAugust 31, 2017 and February 28, 2017, the fair value of investments, cash and cash equivalents and cash and cash equivalents, reserve accounts were as follows:

 

  At May 31, 2017 At February 28, 2017   At August 31, 2017 At February 28, 2017 
  Fair Value   Percentage
of
Total
 Fair Value   Percentage
of
Total
   Fair Value   Percentage
of
Total
 Fair Value   Percentage
of
Total
 
  ($ in thousands)   ($ in thousands) 

Cash and cash equivalents

  $1,247    0.4 $9,307    3.0  $1,595    0.5 $9,307    3.0

Cash and cash equivalents, reserve accounts

   26,527    7.4  12,781    4.1    16,816    4.8  12,781    4.1 

Syndicated loans

   9,068    2.5  9,823    3.1    8,980    2.6  9,823    3.1 

First lien term loans

   186,015    52.0  159,097    50.5    182,781    52.0  159,097    50.5 

Second lien term loans

   95,975    26.9  87,750    27.9    97,462    27.7  87,750    27.9 

Structured finance securities

   16,111    4.5  15,450    4.9    16,537    4.7  15,450    4.9 

Equity interests

   22,521    6.3  20,541    6.5    27,210    7.7  20,541    6.5 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $357,464    100.0 $314,749    100.0  $351,381    100.0 $314,749    100.0
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. As of MayAugust 31, 2017, the Company sold 60,779117,354 shares for gross proceeds of $1.4$2.6 million at an average price of $22.49 for aggregate net proceeds of $1.3$2.6 million (net of transaction costs).

On September 24, 2014, we announced the approval of an open market share repurchase plan that allows it to repurchase up to 200,000 shares of our common stock at prices below our NAV as reported in its then most recently published consolidated financial statements, which was subsequently increased to 400,000 shares of our common stock. On October 5, 2016, our board of directors extended the open market share repurchase plan for another year to October 15, 2017 and increased the number of shares we are permitted to repurchase at prices below our NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of our common stock. On October 10, 2017, the Company’s board of directors extended the open market share repurchase plan for another year to October 15, 2018, leaving the number of shares unchanged at 600,000 shares of its common stock. As of MayAugust 31, 2017, we purchased 218,491 shares of common stock, at the average price of $16.87 for approximately $3.7 million pursuant to this repurchase plan.

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

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

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

On January 12, 2017, our board of directors declared a dividend of $0.45 per share, which was paid on February 9, 2017, to common stockholders of record as of January 31, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.6

$1.6 million in cash and 50,453 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.25 per share, which equaled the volume weighted average trading price per share of the common stock on January 27, 30, 31 and February 1, 2, 3, 6, 7, 8 and 9, 2017.

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

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

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

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

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

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

On July 8, 2015, our board of directors declared a dividend of $0.33 per share, which was paid on August 31, 2015, to common stockholders of record as of August 3, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares

of common stock, pursuant our DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common stock, or 0.9% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.28 per share, which equaled the volume weighted average trading price per share of the common stock on August 18, 19, 20, 21, 24, 25, 26, 27, 28 and 31, 2015.

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

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

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

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

On October 30, 2013, our board of directors declared a dividend of $2.65 per share, which was paid on December 27, 2013, to common stockholders of record as of November 13, 2013. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $2.5 million or $0.53 per share. This dividend was declared in reliance on certain private letter rulings issued by the IRS concluding that a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution.

Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock, or 13.7% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.439 per share, which equaled the volume weighted average trading price per share of the common stock on December 11, 13, and 16, 2013.

On November 9, 2012, our board of directors declared a dividend of $4.25 per share, which was paid on December 31, 2012, to common stockholders of record as of November 20, 2012. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $3.3 million or $0.85 per share.

Based on shareholder elections, the dividend consisted of $3.3 million in cash and 853,455 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash

limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.444 per share, which equaled the volume weighted average trading price per share of the common stock on December 14, 17 and 19, 2012.

On November 15, 2011, our board of directors declared a dividend of $3.00 per share, which was paid on December 30, 2011, to common stockholders of record as of November 25, 2011. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.0 million or $0.60 per share.

Based on shareholder elections, the dividend consisted of $2.0 million in cash and 599,584 shares of common stock, or 18.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $13.117067 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011.

On November 12, 2010, our board of directors declared a dividend of $4.40 per share to shareholders payable in cash or shares of our common stock, in accordance with the provisions of the IRS Revenue Procedure2010-12, which allows a publicly-traded regulated investment company to satisfy its distribution requirements with a distribution paid partly in common stock provided that at least 10.0% of the distribution is payable in cash. The dividend was paid on December 29, 2010 to common shareholders of record on November 19, 2010.

Based on shareholder elections, the dividend consisted of $1.2 million in cash and 596,235 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 10.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.8049 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2010.

On November 13, 2009, our board of directors declared a dividend of $18.25 per share, which was paid on December 31, 2009, to common stockholders of record as of November 25, 2009. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.1 million or $0.25 per share.

Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 shares of common stock, or 104.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 13.7% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $1.5099 per share, which equaled the volume weighted average trading price per share of the common stock on December 24 and 28, 2009.

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

Contractual obligations

The following table shows our payment obligations for repayment of debt and other contractual obligations at MayAugust 31, 2017:

 

       Payment Due by Period 
   Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 

Long-Term Debt Obligations

  $233,611   $—     $—     $—     $233,611 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

       Payment Due by Period 
   Total   Less Than
1 Year
   1 - 3
Years
   3 - 5
Years
   More Than
5 Years
 
   ($ in thousands) 

Long-Term Debt Obligations

  $219,111   $—     $—     $—     $219,111 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Off-balance sheet arrangements

The Company’soff-balance sheet arrangements consisted of $7.0$5.0 million and $2.0 million of unfunded commitments to provide debt financing to its portfolio companies or to fund limited partnership interests as of MayAugust 31, 2017 and February 28, 2017, respectively. Such commitments are generally up to the Company’s discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Company’s consolidated statements of assets and liabilities and are not reflected in the Company’s consolidated statements of assets and liabilities.

A summary of the composition of the unfunded commitments as of MayAugust 31, 2017 and February 28, 2017 is shown in the table below (dollars in thousands):

 

  As of   As of 
  May 31, 2017   February 28, 2017   August 31, 2017   February 28, 2017 

CLEO Communications Holding, LLC

  $5,000   $—     $3,000   $—   

GreyHeller LLC

   2,000    2,000    2,000    2,000 

TM Restaurant Group L.L.C.

   17   —   
  

 

   

 

   

 

   

 

 

Total

  $7,017   $2,000   $5,000   $2,000 
  

 

   

 

   

 

   

 

 

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Our business activities contain elements of market risk. We consider our principal market risk to be the fluctuation in interest rates. Managing this risk is essential to our business. Accordingly, we have systems and procedures designed to identify and analyze our risks, to establish appropriate policies and thresholds and to continually monitor this risk and thresholds by means of administrative and information technology systems and other policies and processes.

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

Our investment income is affected by fluctuations in various interest rates, including LIBOR and the prime rate. A large portion of our portfolio is, and we expect will continue to be, comprised of floating rate investments that utilize LIBOR. Our interest expense is affected by fluctuations in LIBOR only on our revolving credit facility. At MayAugust 31, 2017, we had $233.6$219.1 million of borrowings outstanding, of which $24.5$10.0 million was outstanding on the revolving credit facility.

We have analyzed the potential impact of changes in interest rates on interest income from investments. Assuming that our investments as of MayAugust 31, 2017 were to remain constant for a full fiscal year and no actions were taken to alter the existing interest rate terms, a hypothetical change of 1.0% in interest rates would cause a corresponding increase of approximately $2.5$2.3 million to our interest income.

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

ITEM 4. CONTROLS AND PROCEDURES

 

(a)As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our management, including our chief executive officer and our chief financial officer, of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule13a-15(e) and15d-15(e) of the Securities Exchange Act of 1934). Based on that evaluation, our chief executive officer and our chief financial officer have concluded that our current disclosure controls and procedures are effective in facilitating timely decisions regarding required disclosure of any material information relating to us that is required to be disclosed by us in the reports we file or submit under the Securities Exchange Act of 1934.

 

(b)There have been no changes in our internal control over financial reporting that occurred during the quarter ended MayAugust 31, 2017 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

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

Item 1A. Risk Factors

In addition to information set forth in this report, you should carefully consider the “Risk Factors” discussed in our Annual Report on Form10-K for the year ended February 28, 2017, which could materially affect our business, financial condition and/or operating results. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial condition and/or operating results.

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

Not applicable.

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

Not applicable.

ITEM 6. EXHIBITS

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

 

Exhibit

Number

 

Description of Document

3.1(a) Articles of Incorporation of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Form 10-Q for the quarterly period ended May 31, 2007, File No. 001-33376).
3.1(b) Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed August 3, 2010).
3.1(c) Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed August 13, 2010).
3.2 Amended and Restated Bylaws of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on March 5, 2008).
4.1 Specimen certificate of Saratoga Investment Corp.’s common stock, par value $0.001 per share. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-169135, filed on September 1, 2010).
4.2 Registration Rights Agreement dated July  30, 2010 between GSC Investment Corp., GSC CDO III L.L.C., and the investors party thereto (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form  8-K filed on August 3, 2010).
4.3 Dividend Reinvestment Plan (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form8-K filed on September 24, 2014).
4.4 Form  of Indenture by and between the Company and U.S. Bank National Association, as trustee (incorporated by reference to Saratoga Investment Corp.’sPre-Effective Amendment No.  1 to the Registration Statement on Form N-2, File No. 333-186323 filed April 30, 2013).
4.5 Form  of First Supplemental Indenture between the Company and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’sPre-Effective Amendment No.  1 to the Registration Statement on Form N-2, File No. 333-186323 filed April 30, 2013).
4.6 Form of Note (incorporated by reference to Exhibit 4.5 hereto, and Exhibit A therein).
4.7 Form of Second Supplemental Indenture between the Company and U.S. Bank National Association (incorporated by reference to Amendment No. 2 to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-214182, filed on December 12, 2016).
4.8 Form of Global Note (incorporated by reference to Exhibit 4.7 hereto, and Exhibit A therein).
4.9 Form of Articles Supplementary Establishing and Fixing the Rights and Preferences of Preferred Stock (incorporated by reference to Saratoga Investment Corp.’s registration statement on Form N-2 Pre-EffectiveN-2Pre-Effective Amendment No. 1, File No. 333-196526, filed on December 5, 2014).
10.1 Investment Advisory and Management Agreement dated July  30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August  3, 2010).
10.2 Custodian Agreement dated March  21, 2007 between GSC Investment LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Form 10-Q for the quarterly period ended May  31, 2007).
10.3 Administration Agreement dated July  30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August  3, 2010).
10.4 Trademark License Agreement dated July  30, 2010 between Saratoga Investment Advisors, LLC and GSC Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August  3, 2010).
10.5 Credit, Security and Management Agreement dated July  30, 2010 by and among GSC Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).

10.6  Form  of Indemnification Agreement between Saratoga Investment Corp. and each officer and director of Saratoga Investment Corp. (incorporated by reference to Amendment No.  2 to Saratoga Investment Corp.’s Registration Statement on Form N-2 filed on January 12, 2007).
10.7  Amendment No. 1 to Credit, Security and Management Agreement dated February  24, 2012 by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on February 29, 2012).
10.8  Indenture, dated as of January 22, 2008, among GSC Investment Corp. CLO 2007,  Ltd., GSC Investment Corp. CLO 2007, Inc. and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form  N-2, File No. 333-186323, filed on April 30, 2013).
10.9  Indenture, dated as of October  17, 2013, among Saratoga Investment Corp. CLO2013-1, Ltd., Saratoga Investment Corp. CLO2013-1, Inc. and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-196526, filed on December 5, 2014).
10.10  Amended and Restated Indenture, dated as of November 15, 2016, among Saratoga Investment Corp. CLO2013-1, Ltd., Saratoga Investment Corp. CLO2013-1, Inc. and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on FormN-2, File No. 333-216344, filed on February 28, 2017).
10.11  Amended and Restated Collateral Management Agreement, dated October  17, 2013, by and between Saratoga Investment Corp. and Saratoga Investment Corp. CLO2013-1, Ltd. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-196526, filed on December 5, 2014).
10.12  Investment Advisory and Management Agreement dated July  30, 2010 between Saratoga Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-196526, filed on December 5, 2014).
10.13  Amendment No. 2 to Credit, Security and Management Agreement dated September  17, 2014 by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on September 18, 2014).
10.14  Amendment No. 3 to Credit, Security and Management Agreement, dated May  18, 2017, by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on May 18, 2017).
10.15  Equity Distribution Agreement dated March  16, 2017, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc. and BB&T Capital Markets, a division of BB&T Securities, LLC (incorporated by reference to Saratoga Investment Corp.’s Post-Effective Amendment No. 1 to the Registration Statement on FormN-2, File No. 333-216344, filed on March 16, 2017).
11  Computation of Per Share Earnings (included in Note 12 to the consolidated financial statements contained in this report).
14  Code of Ethics of the Company adopted under Rule17j-1 (incorporated by reference to Amendment No.7 to Saratoga Investment Corp.’s Registration Statement on FormN-2, File No. 333-138051, filed on March 22, 2007).
21.1  List of Subsidiaries and jurisdiction of incorporation/organization: Saratoga Investment Funding LLC—Delaware; Saratoga Investment Corp. SBIC, LP—Delaware; and Saratoga Investment Corp. GP, LLC—Delaware.
31.1*  Certification of Chief Executive Officer Pursuant toRule 13a-14(a) under the Securities Exchange Act of 1934
31.2*  Certification of Chief Financial Officer Pursuant toRule 13a-14(a) under the Securities Exchange Act of 1934
32.1*  Certification of Chief Executive Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)
32.2*  Certification of Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)

 

*Submitted herewith.

SIGNATURES

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

 

  SARATOGA INVESTMENT CORP.
Date: July 12,October 11, 2017  By: 

/s/ CHRISTIAN L. OBERBECK

   Christian L. Oberbeck
   Chief Executive Officer
  By: 

/s/ HENRI J. STEENKAMP

   Henri J. Steenkamp
   Chief Financial Officer and Chief Compliance Officer

 

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