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 August 31,November 30, 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 October 11, 2017January 10, 2018 was 6,003,834.6,257,029.

 

 

 


TABLE OF CONTENTS

 

 

 

     Page 

PART I.

 FINANCIAL INFORMATION   3 
Item 1. Consolidated Financial Statements   3 
 Consolidated Statements of Assets and Liabilities as of August 31,November 30, 2017 (unaudited) and February 28, 2017   3 
 Consolidated Statements of Operations for the three and sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 (unaudited)   4 
 Consolidated Schedules of Investments as of August 31,November 30, 2017 (unaudited) and February 28, 2017   5 
 Consolidated Statements of Changes in Net Assets for the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 (unaudited)   7 
 Consolidated Statements of Cash Flows for the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 (unaudited)   8 
 Notes to Consolidated Financial Statements as of August 31,November 30, 2017 (unaudited)   9 
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations   3536 
Item 3. Quantitative and Qualitative Disclosures About Market Risk   61 
Item 4. Controls and Procedures   61 
PART II. OTHER INFORMATION   62 
Item 1. Legal Proceedings   62 
Item 1A. Risk Factors   62 
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds   62 
Item 3. Defaults Upon Senior Securities   62 
Item 4. Mine Safety Disclosures   62 
Item 5. Other Information   62 
Item 6. Exhibits   63 
Signatures   65 

PART I. FINANCIAL INFORMATION

Item 1. Consolidated FinancialStatementsFinancial Statements

Saratoga Investment Corp.

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

  As of   As of 
  August 31, 2017 February 28, 2017   November 30, 2017 February 28, 2017 
  (unaudited)     (unaudited)   

ASSETS

      

Investments at fair value

      

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 

Non-control/Non-affiliate investments (amortized cost of $299,321,359 and $251,198,896, respectively)

  $295,371,210  $242,531,514 

Control investments (amortized cost of $38,943,193 and $49,283,536, respectively)

   43,466,477  50,129,799 
  

 

  

 

   

 

  

 

 

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

   332,969,813  292,661,313 

Total investments at fair value (amortized cost of $338,264,552 and $300,482,432, respectively)

   338,837,687  292,661,313 

Cash and cash equivalents

   1,595,438  9,306,543    680,065  9,306,543 

Cash and cash equivalents, reserve accounts

   16,816,101  12,781,425    8,037,715  12,781,425 

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

   3,773,660  3,294,450 

Interest receivable (net of reserve of $1,373,118 and $157,560, respectively)

   3,288,960  3,294,450 

Management and incentive fee receivable

   255,134  171,106    266,005  171,106 

Other assets

   464,291  183,346    706,648  183,346 

Receivable from unsettled trades

   253,041  253,041    97,041  253,041 
  

 

  

 

   

 

  

 

 

Total assets

  $356,127,478  $318,651,224   $351,914,121  $318,651,224 
  

 

  

 

   

 

  

 

 

LIABILITIES

      

Revolving credit facility

  $10,000,000  $—     $1,000,000  $—   

Deferred debt financing costs, revolving credit facility

   (743,272 (437,183   (720,258 (437,183

SBA debentures payable

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

Deferred debt financing costs, SBA debentures payable

   (2,794,750 (2,508,280   (2,666,620 (2,508,280

Notes payable

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

Deferred debt financing costs, notes payable

   (2,513,115 (2,689,511   (2,414,200 (2,689,511

Base management and incentive fees payable

   5,056,994  5,814,692    5,194,845  5,814,692 

Accounts payable and accrued expenses

   1,099,099  852,987    1,200,514  852,987 

Interest and debt fees payable

   3,038,528  2,764,237    1,982,347  2,764,237 

Directors fees payable

   60,500  51,500    —    51,500 

Due to manager

   353,386  397,505    380,770  397,505 
  

 

  

 

   

 

  

 

 

Total liabilities

  $222,667,870  $191,356,447   $213,067,898  $191,356,447 
  

 

  

 

   

 

  

 

 

Commitments and contingencies (See Note 7)

      

NET ASSETS

      

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 

Common stock, par value $.001, 100,000,000 common shares authorized, 6,149,582 and 5,794,600 common shares issued and outstanding, respectively

  $6,150  $5,795 

Capital in excess of par value

   194,222,453  190,483,931    198,211,630  190,483,931 

Distribution in excess of net investment income

   (26,799,657 (27,737,348   (26,649,881 (27,737,348

Accumulated net realized loss from investments and derivatives

   (33,315,747 (27,636,482   (33,294,811 (27,636,482

Accumulated net unrealized depreciation on investments and derivatives

   (653,408 (7,821,119

Accumulated net unrealized appreciation (depreciation) on investments and derivatives

   573,135  (7,821,119
  

 

  

 

   

 

  

 

 

Total net assets

   133,459,608  127,294,777    138,846,223  127,294,777 
  

 

  

 

   

 

  

 

 

Total liabilities and net assets

  $356,127,478  $318,651,224   $351,914,121  $318,651,224 
  

 

  

 

   

 

  

 

 

NET ASSET VALUE PER SHARE

  $22.37  $21.97   $22.58  $21.97 
  

 

  

 

   

 

  

 

 

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

 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
   For the three months
ended
November 30, 2017
 For the three months
ended
November 30, 2016
 For the nine months
ended
November 30, 2017
 For the nine months
ended
November 30, 2016
 

INVESTMENT INCOME

         

Interest from investments

         

Non-control/Non-affiliate investments

 $7,183,757  $6,561,838  $13,104,190  $13,181,951   $7,036,743  $6,787,898  $20,140,933  $19,969,849 

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

 298,957  184,265  522,230  313,355    301,213  169,332  823,443  482,687 

Control investments

 1,496,080  557,200  2,831,466  1,089,326    1,017,821  498,599  3,849,287  1,587,925 

Payment-in-kind interest income from Control investments

 207,624   —    469,733   —      535,031   —    1,004,764   —   
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total interest income

 9,186,418  7,303,303  16,927,619  14,584,632    8,890,808  7,455,829  25,818,427  22,040,461 

Interest from cash and cash equivalents

 6,493  6,401  13,574  10,187    6,777  6,239  20,351  16,426 

Management fee income

 375,957  374,657  751,638  748,341    376,446  375,218  1,128,084  1,123,559 

Incentive fee income

 162,358   —    267,653   —      209,434   —    477,087   —   

Other income

 522,440  763,633  1,000,630  1,013,229    42,265  605,009  1,042,895  1,618,238 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total investment income

 10,253,666  8,447,994  18,961,114  16,356,389    9,525,730  8,442,295  28,486,844  24,798,684 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

OPERATING EXPENSES

         

Interest and debt financing expenses

 2,962,844  2,369,705  5,486,450  4,737,761    2,758,900  2,369,108  8,245,350  7,106,869 

Base management fees

 1,481,788  1,202,794  2,872,815  2,429,951    1,485,415  1,219,916  4,358,230  3,649,867 

Professional fees

 407,372  302,227  791,703  661,526    388,210  330,197  1,179,913  991,723 

Administrator expenses

 395,833  325,000  770,833  650,000    437,500  341,667  1,208,333  991,667 

Incentive management fees

 1,709,636  1,208,452  1,885,732  1,936,732    1,054,618  394,509  2,940,350  2,331,241 

Insurance

 66,165  70,658  132,330  141,316    64,577  68,985  196,907  210,301 

Directors fees and expenses

 60,000  60,422  111,000  126,422    43,000  66,000  154,000  192,422 

General & administrative

 287,201  304,955  484,444  517,164    299,627  224,579  784,071  741,743 

Excise tax expense (credit)

 (14,738  —    (14,738  —      —     —    (14,738  —   

Other expense

 6,514   —    45,045  13,187    (21,628 8,460  23,417  21,647 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total operating expenses

 7,362,615  5,844,213  12,565,614  11,214,059    6,510,219  5,023,421  19,075,833  16,237,480 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

NET INVESTMENT INCOME

 2,891,051  2,603,781  6,395,500  5,142,330    3,015,511  3,418,874  9,411,011  8,561,204 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

         

Net realized gain (loss) from investments

         

Non-control/Non-affiliate investments

 (5,838,408 5,936,750  (5,742,819 12,039,655    20,770  260,244  (5,722,049 12,299,899 

Control investments

 63,554   —    63,554   —      166   —    63,720   —   
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net realized gain (loss) from investments

 (5,774,854 5,936,750  (5,679,265 12,039,655    20,936  260,244  (5,658,329 12,299,899 

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   1,624,685  (968,359 4,717,234  (11,019,005

Control investments

 2,623,880  588,897  4,075,162  1,171,478    (398,142 (1,136,983 3,677,020  290,883 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net change in unrealized appreciation (depreciation) on investments

 9,753,662  (3,268,913 7,167,711  (8,622,780   1,226,543  (2,105,342 8,394,254  (10,728,122
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net gain on investments

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

Net gain (loss) on investments

   1,247,479  (1,845,098 2,735,925  1,571,777 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

 $6,869,859  $5,271,618  $7,883,946  $8,559,205   $4,262,990  $1,573,776  $12,146,936  $10,132,981 
 

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

 $1.15  $0.92  $1.33  $1.49   $0.71  $0.27  $2.04  $1.77 

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED

 5,955,251  5,740,816  5,908,453  5,739,157    6,040,311  5,727,933  5,952,086  5,735,443 

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Schedule of Investments

August 31,November 30, 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 - 217.1% (b)

    

Non-control/Non-affiliated investments - 212.7% (b)

Non-control/Non-affiliated investments - 212.7% (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 Building Products First Lien Term Loan (L+10.00%), 11.49% Cash, 6/16/2022 $15,000,000  $14,860,121  $14,850,000   10.7
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Building Products  14,850,000  14,850,000  11.1  Total Building Products   14,860,121   14,850,000   10.7
    

 

  

 

  

 

     

 

  

 

  

 

 

Apex Holdings Software Technologies, LLC

 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 Business Services First Lien Term Loan (L+8.00%), 9.49% Cash, 9/21/2021 $18,000,000   17,876,123   18,000,000   13.0

Avionte Holdings, LLC (g)

 Business Services Common Stock 100,000  100,000  363,000  0.3 Business Services Common Stock  100,000   100,000   418,000   0.3

BMC Software, Inc. (d)

 Business Services Syndicated Loan (L+4.00%), 5.32% Cash, 9/10/2022 $4,871,232  4,825,630  4,829,339  3.6 Business Services Syndicated Loan (L+4.00%), 5.49% Cash, 9/10/2022 $4,858,971   4,815,474   4,858,971   3.5

CLEO Communications Holding, LLC

 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 Business Services First Lien Term Loan (L+7.00%), 8.49% Cash/2.00% PIK, 3/31/2022 $13,155,248   13,031,619   13,155,248   9.5

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 Business Services Delayed Draw Term Loan (L+7.00%), 8.49% Cash/2.00% PIK, 3/31/2022 $2,010,225   1,990,728   2,010,225   1.4

Courion Corporation

 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 Business Services Second Lien Term Loan (L+10.00%), 11.49% Cash, 6/1/2021 $15,000,000   14,896,990   14,827,500   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  3,292,667  3,321,450  2.5 Business Services Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020 $3,300,000   3,298,364   3,317,160   2.4

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

 Business Services Warrant Membership Interests Expires 12/28/2022 49,318  400,000  523,757  0.4 Business Services Warrant Membership Interests Expires 12/28/2022  49,318   400,000   469,507   0.3

Erwin, Inc.

 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 Business Services Second Lien Term Loan (L+11.50%), 12.99% Cash/1.00% PIK, 8/28/2021 $13,211,246   13,114,439   13,161,043   9.5

FranConnect LLC (d)

 Business Services First Lien Term Loan (L+7.00%), 8.50% Cash, 5/26/2022 $14,500,000  14,427,500  14,433,300  10.8 Business Services First Lien Term Loan (L+7.00%), 8.50% Cash, 5/26/2022 $14,500,000   14,432,349   14,438,428   10.4

GreyHeller LLC

 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 Business Services First Lien Term Loan (L+11.00%), 12.49% Cash, 11/16/2021 $7,000,000   6,941,430   7,000,000   5.0

GreyHeller LLC (j)

 Business Services Delayed Draw Term Loan B (L+11.00%), 12.32% Cash, 11/16/2021 $—     —     —    0.0 Business Services Delayed Draw Term Loan B (L+11.00%), 12.49% Cash, 11/16/2021 $—     —     —     0.0

GreyHeller LLC (g)

 Business Services Common Stock 850,000  850,000  784,426  0.6 Business Services Common Stock  850,000   850,000   729,000   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

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

 Business Services First Lien Term Loan (L+4.50%), 5.99% Cash, 10/8/2021 $5,390,651   5,302,560   5,404,127   3.9

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

 Business Services Second Lien Term Loan (L+9.50%), 10.99% Cash, 10/8/2022 $3,000,000   2,930,542   2,937,510   2.1

Identity Automation Systems (g)

 Business Services Common Stock Class A Units 232,616  232,616  578,283  0.4 Business Services Common Stock Class A Units  232,616   232,616   730,911   0.5

Identity Automation Systems

 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 Business Services First Lien Term Loan (L+9.50%), 10.99% Cash, 3/31/2021 $17,975,000   17,858,469   17,975,000   12.9

Knowland Technology Holdings, L.L.C.

 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 Business Services First Lien Term Loan (L+8.75%), 10.24% Cash, 7/20/2021 $16,888,731   16,863,690   16,888,731   12.2

Microsystems Company

 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 Business Services Second Lien Term Loan (L+10.00%), 11.49% Cash, 7/1/2022 $8,000,000   7,935,313   8,000,000   5.8

National Waste Partners (d)

 Business Services Second Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000  8,910,000  8,959,500  6.7 Business Services Second Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000   8,922,021   9,000,000   6.5

Vector Controls Holding Co., LLC (d)

 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 Business Services First Lien Term Loan 13.75% (12.00% Cash/1.75% PIK), 3/6/2022 $11,571,437   11,528,660   11,571,437   8.3

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

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

Vector Controls Holding Co., LLC (g)

 Business Services Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027  343   —     879,567   0.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Business Services  160,138,327  161,409,192  120.9  Total Business Services   163,321,387   165,772,365   119.3
    

 

  

 

  

 

     

 

  

 

  

 

 

Targus Holdings, Inc. (g)

 Consumer Products Common Stock 210,456  1,791,242  279,920  0.2 Consumer Products Common Stock  210,456   1,791,242   293,450   0.2

Targus Holdings, Inc. (d)

 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 $757,149  757,150  757,149  0.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Consumer Products  2,800,909  1,289,586  1.0  Total Consumer Products   1,791,242   293,450   0.2
    

 

  

 

  

 

     

 

  

 

  

 

 

My Alarm Center, LLC

 Consumer Services Preferred Equity Class A Units 8.00% PIK 2,227  2,226,560  2,250,310  1.7 Consumer Services Preferred Equity Class A Units 8.00% PIK  2,227   2,265,154   2,294,804   1.7

My Alarm Center, LLC (g)

 Consumer Services Preferred Equity Class B Units 1,797  1,796,880  1,773,130  1.3 Consumer Services Preferred Equity Class B Units  1,797   1,796,880   1,442,069   1.0

My Alarm Center, LLC (g)

 Consumer Services Common Stock 96,224   —     —    0.0 Consumer Services Common Stock  96,224   —     —     0.0

PrePaid Legal Services, Inc. (d)

 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 Consumer Services First Lien Term Loan (L+5.25%), 6.74% Cash, 7/1/2019 $2,480,695   2,471,520   2,486,153   1.8

PrePaid Legal Services, Inc. (d)

 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 Consumer Services Second Lien Term Loan (L+9.00%), 10.49% Cash, 7/1/2020 $11,000,000   10,972,589   11,003,300   7.9
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Consumer Services  17,489,310  17,569,061  13.2  Total Consumer Services   17,506,143   17,226,326   12.4
    

 

  

 

  

 

     

 

  

 

  

 

 

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 Education First Lien Term Loan (L+8.50%), 10.00% Cash, 5/31/2020 $16,000,000   15,863,540   15,864,000   11.4

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

 Education First Lien Term Loan 1.00% Cash, 3/31/2018 $2,318,121  1,190,838  6,320  0.0 Education First Lien Term Loan 1.00% Cash, 3/31/2018 $2,318,121   1,190,838   8,058   0.0

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

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

Texas Teachers of Tomorrow, LLC

 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 Education Second Lien Term Loan (L+9.75%), 11.24% Cash, 6/2/2021 $10,000,000   9,930,419   10,000,000   7.2
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Education  27,742,214  26,767,953  20.1  Total Education   27,765,038   26,782,491   19.3
    

 

  

 

  

 

     

 

  

 

  

 

 

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

 Food and Beverage First Lien Term Loan 14.50% PIK, 10/24/2017 $9,358,694  9,355,564  7,996,068  6.0 Food and Beverage First Lien Term Loan 14.50% PIK, 7/17/2017 $9,358,694   9,352,763   7,924,942   5.7

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 Food and Beverage Revolver 14.50% PIK, 7/17/2017 $413,954   413,954   350,536   0.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Food and Beverage  9,769,518  8,349,750  6.3  Total Food and Beverage   9,766,717   8,275,478   6.0
    

 

  

 

  

 

     

 

  

 

  

 

 

Censis Technologies, Inc.

 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 Healthcare Services First Lien Term Loan B (L+10.00%), 11.49% Cash, 7/24/2019 $10,575,000   10,491,748   10,575,000   7.6

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

 Healthcare Services Limited Partner Interests 999  999,000  1,092,307  0.8 Healthcare Services Limited Partner Interests  999   999,000   1,129,234   0.8

ComForCare Health Care

 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 Healthcare Services First Lien Term Loan (L+8.50%), 9.99% Cash, 1/31/2022 $10,500,000   10,409,140   10,500,000   7.6

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

 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  4,163,582  4,190,340  3.1

Ohio Medical, LLC (g)

 Healthcare Services Common Stock 5,000  500,000  246,350  0.2 Healthcare Services Common Stock  5,000   500,000   267,202   0.2

Ohio Medical, LLC

 Healthcare Services Senior Subordinated Note 12.00% Cash, 7/15/2021 $7,300,000  7,244,377  6,515,980  4.9 Healthcare Services Senior Subordinated Note 12.00% Cash, 7/15/2021 $7,300,000   7,247,321   6,601,686   4.7

Pathway Partners Vet Management Company LLC

 Healthcare Services Second Lien Term Loan (L+8.00%), 9.49% Cash, 10/10/2025 $2,083,333   2,062,715   2,062,500   1.5

Pathway Partners Vet Management Company LLC (j)

 Healthcare Services Delayed Draw Term Loan (L+8.00%), 9.49% Cash, 10/10/2025 $—     —     —     0.0

Roscoe Medical, Inc. (g)

 Healthcare Services Common Stock  5,081   508,077   507,987   0.4

Roscoe Medical, Inc.

 Healthcare Services Second Lien Term Loan 11.25% Cash, 9/26/2019 $4,200,000   4,167,542   4,168,500   3.0

Zest Holdings, LLC (d)

 Healthcare Services Syndicated Loan (L+4.25%), 5.57% Cash, 8/16/2023 $4,126,569  4,048,135  4,150,503  3.1 Healthcare Services Syndicated Loan (L+4.25%), 5.74% Cash, 8/16/2023 $4,116,226   4,040,574   4,141,953   3.0
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Healthcare Services  38,571,290  38,121,159  28.5  Total Healthcare Services   40,426,117   39,954,062   28.8
    

 

  

 

  

 

     

 

  

 

  

 

 

HMN Holdco, LLC

 Media First Lien Term Loan 12.00% Cash, 7/8/2021 $8,266,574  8,200,476  8,504,652  6.4 Media First Lien Term Loan 12.00% Cash, 7/8/2021 $8,147,700   8,091,083   8,392,131   6.0

HMN Holdco, LLC

 Media Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021 $4,800,000  4,757,943  4,938,240  3.7 Media Delayed Draw First Lien Term Loan 12.00% Cash, 7/8/2021 $4,800,000   4,761,382   4,950,240   3.6

HMN Holdco, LLC (g)

 Media Class A Series, Expires 1/16/2025 4,264  61,647  251,789  0.2 Media Class A Series, Expires 1/16/2025  4,264   61,647   255,073   0.2

HMN Holdco, LLC (g)

 Media Class A Warrant, Expires 1/16/2025 30,320  438,353  1,412,306  1.0 Media Class A Warrant, Expires 1/16/2025  30,320   438,353   1,434,136   1.0

HMN Holdco, LLC (g)

 Media Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024 57,872   —    2,399,952  1.8 Media Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024  57,872   —     2,443,356   1.8

HMN Holdco, LLC (g)

 Media Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024 8,139   —    394,742  0.3 Media Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024  8,139   —     400,602   0.3
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Media  13,458,419  17,901,681  13.4  Total Media   13,352,465   17,875,538   12.9
    

 

  

 

  

 

     

 

  

 

  

 

 

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

 Metals Common Stock 60,000  9,685,029  2,671,800  2.0 Metals Common Stock  60,000   9,685,029   3,494,400   2.5

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

 Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 $790,957  790,957  790,957  0.6 Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 $847,100   847,100   847,100   0.6
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Metals  10,475,986  3,462,757  2.6  Total Metals   10,532,129   4,341,500   3.1
    

 

  

 

  

 

     

 

  

 

  

 

 

Sub Total Non-control/Non-affiliated investments

Sub Total Non-control/Non-affiliated investments

  295,295,973  289,721,139  217.1

Sub Total Non-control/Non-affiliated investments

 

  299,321,359   295,371,210   212.7
    

 

  

 

  

 

     

 

  

 

  

 

 

Control investments - 32.4% (b)

      

Control investments - 31.3% (b)

      

Easy Ice, LLC (f)

 Business Services Preferred Equity 10.00% PIK 5,080,000  8,124,444  10,212,022  7.6 Business Services Preferred Equity 10.00% PIK  5,080,000   8,542,685   10,335,793   7.5

Easy Ice, LLC (d), (f)

 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 Business Services Second Lien Term Loan (L+11.00%), 5.44% Cash/7.56% PIK, 2/28/2023 $16,817,328   16,708,812   16,817,328   12.1
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Business Services  24,505,284  26,712,025  20.0  Total Business Services   25,251,497   27,153,121   19.6
    

 

  

 

  

 

     

 

  

 

  

 

 

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 

Structured Finance

Securities

 Other/Structured Finance Securities 29.48%, 10/20/2025 $30,000,000   9,191,696   11,814,256   8.5

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 Structured Finance Securities Other/Structured Finance Securities (L+8.50%), 9.99%, 10/20/2025 $4,500,000   4,500,000   4,499,100   3.2
    

 

  

 

  

 

     

 

  

 

  

 

 
  Total Structured Finance Securities  13,821,964  16,536,649  12.4  Total Structured Finance Securities   13,691,696   16,313,356   11.7
    

 

  

 

  

 

     

 

  

 

  

 

 

Sub Total Control investments

    38,327,248  43,248,674  32.4

Sub Total Control investments

   38,943,193   43,466,477   31.3
    

 

  

 

  

 

     

 

  

 

  

 

 

TOTAL INVESTMENTS - 249.5% (b)

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

TOTAL INVESTMENTS - 244.0% (b)

TOTAL INVESTMENTS - 244.0% (b)

  $338,264,552  $338,837,687   244.0
    

 

  

 

  

 

     

 

  

 

  

 

 
      
 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 - 13.8% (b)

    

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 6.3% (b)

Cash and cash equivalents and cash and cash equivalents, reserve accounts - 6.3% (b)

    

U.S. Bank Money Market (k)

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

U.S. Bank Money Market (k)

 $8,717,780  $8,717,780  $8,717,780   6.3
   

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

 

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

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

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

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

 $8,717,780  $8,717,780  $8,717,780   6.3
   

 

  

 

  

 

  

 

    

 

  

 

  

 

  

 

 

 

(a)Represents anon-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended.Non-qualifying assets represent 5.0%4.8% 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 $133,459,608$138,846,223 as of August 31,November 30, 2017.
(c)Because there is no readily available market value for these investments, the fair values of these investments were 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 28.54%29.48% 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 sixnine months ended August 31,November 30, 2017 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

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

Easy Ice, LLC

 $—    $—    $(10,180,000 $2,040,242  $—    $63,554  $1,990,902   $—     $—     $(11,307,678 $2,814,092   $—     $63,720   $1,685,785 

Saratoga Investment Corp. CLO2013-1, Ltd.

 $—    $—    $—    $1,048,973  $1,019,291  $—    $2,084,710   $—     $—     $—    $1,719,744   $1,605,171   $—     $1,991,685 

Saratoga Investment Corp. Class F Note

 $—    $—    $—    $211,984  $—    $—    $(450  $—     $—     $—    $320,215   $—     $—     $(450

 

(g)Non-income producing at August 31,November 30, 2017.
(h)Includes securities issued by an affiliate of the company.
(i)The investment has an unfunded commitment as of August 31,November 30, 2017 (see Note 7 to the consolidated financial statements).
(j)The entire commitment was unfunded at August 31,November 30, 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 statements of assets and liabilities as of August 31,November 30, 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  Second 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 Second Lien Term Loan 10.00% Cash, 2/13/2022 $9,000,000  8,910,000  8,910,000  7.0  Business Services  First 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 LoanA-2 15.00% PIK, 12/31/2019 $234,630  234,630  234,630  0.2  Consumer Products  Second Lien Term Loan A-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 1.00% 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 TotalNon-control/Non-affiliated investments

Sub TotalNon-control/Non-affiliated investments

  251,198,896  242,531,514  190.5

Sub Total Non-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

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
    

 

  

 

  

 

         

 

   

 

   

 

 
  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. CLO2013-1, 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

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)

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 values of these investments were 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 year ended February 28, 2017 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

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

Easy Ice, LLC

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

Saratoga Investment Corp. CLO2013-1, 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 statements of assets and liabilities as of February 28, 2017.

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

  For the six months ended
August 31, 2017
 For the six months ended
August 31, 2016
   For the nine months ended
November 30, 2017
 For the nine months ended 
November 30, 2016
 

INCREASE FROM OPERATIONS:

      

Net investment income

  $6,395,500  $5,142,330   $9,411,011  $8,561,204 

Net realized gain (loss) from investments

   (5,679,265 12,039,655    (5,658,329 12,299,899 

Net change in unrealized appreciation (depreciation) on investments

   7,167,711  (8,622,780   8,394,254  (10,728,122
  

 

  

 

   

 

  

 

 

Net increase in net assets from operations

   7,883,946  8,559,205    12,146,936  10,132,981 
  

 

  

 

   

 

  

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

      

Distributions declared

   (5,457,810 (5,963,242   (8,323,545 (8,472,209
  

 

  

 

   

 

  

 

 

Net decrease in net assets from shareholder distributions

   (5,457,810 (5,963,242   (8,323,545 (8,472,209
  

 

  

 

   

 

  

 

 

CAPITAL SHARE TRANSACTIONS:

      

Proceeds from issuance of common stock

   2,639,413   —      5,985,282   —   

Stock dividend distribution

   1,147,536  2,700,351    1,825,036  4,125,696 

Repurchases of common stock

   —    (1,882,567   —    (3,256,613

Offering costs

   (48,254  —      (82,263  —   
  

 

  

 

   

 

  

 

 

Net increase in net assets from capital share transactions

   3,738,695  817,784    7,728,055  869,083 
  

 

  

 

   

 

  

 

 

Total increase in net assets

   6,164,831  3,413,747    11,551,446  2,529,855 

Net assets at beginning of period

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

 

  

 

   

 

  

 

 

Net assets at end of period

  $133,459,608  $128,563,622   $138,846,223  $127,679,730 
  

 

  

 

   

 

  

 

 

Net asset value per common share

  $22.37  $22.39   $22.58  $22.21 
   

Common shares outstanding at end of period

   5,967,272  5,740,810    6,149,582  5,748,247 

Distribution in excess of net investment income

  $(26,799,657 $(27,038,814  $(26,649,881 $(26,128,907

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

  For the six months ended
August 31, 2017
 For the six months ended
August 31, 2016
   For the nine months ended 
November 30, 2017
 For the nine months ended 
November 30, 2016
 

Operating activities

      

NET INCREASE IN NET ASSETS FROM OPERATIONS

  $7,883,946  $8,559,205   $12,146,936  $10,132,981 

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

      

Payment-in-kind interest income

   (606,978 (276,597   (1,637,083 (433,609

Net accretion of discount on investments

   (335,240 (254,323   (481,356 (408,557

Amortization of deferred debt financing costs

   491,135  528,850    741,195  775,707 

Net realized (gain) loss from investments

   5,679,265  (12,039,655   5,658,329  (12,299,899

Net change in unrealized (appreciation) depreciation on investments

   (7,167,711 8,622,780    (8,394,254 10,728,122 

Proceeds from sales and repayments of investments

   43,784,914  70,867,907    45,554,971  94,691,232 

Purchase of investments

   (81,662,750 (55,728,395   (86,876,981 (85,850,895

(Increase) decrease in operating assets:

      

Interest receivable

   (479,210 (198,008   5,490  (788,833

Due from affiliate

   —    (46,078

Management and incentive fee receivable

   (84,028 (881   (94,899 (959

Other assets

   (136,499 38,184    (389,811 106,195 

Receivable from unsettled trades

   —    15,097    156,000  15,097 

Increase (decrease) in operating liabilities:

      

Base management and incentive fees payable

   (757,698 689,563    (619,847 338,491 

Accounts payable and accrued expenses

   390,245  (224,033   491,660  (183,082

Interest and debt fees payable

   274,291  321,439    (781,890 (453,760

Payable for repurchases of common stock

   —    (20,957   —    (20,957

Directors fees payable

   9,000  13,500    (51,500 19,500 

Due to manager

   (44,119 115,759    (16,735 59,603 
  

 

  

 

   

 

  

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

   (32,761,437 21,029,435    (34,589,775 16,380,299 
  

 

  

 

   

 

  

 

 

Financing activities

      

Borrowings on debt

   46,500,000   —      46,500,000  9,000,000 

Paydowns on debt

   (14,500,000  —      (23,500,000  —   

Payments of deferred debt financing costs

   (1,204,517 (313,400   (1,204,517 (644,845

Proceeds from issuance of common stock

   2,639,413   —      5,985,282   —   

Payments of offering costs

   (39,614  —      (62,669  —   

Repurchases of common stock

   —    (1,882,567   —    (3,256,613

Payments of cash dividends

   (4,310,274 (2,987,429   (6,498,509 (5,222,112
  

 

  

 

   

 

  

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

   29,085,008  (5,183,396   21,219,587  (123,570
  

 

  

 

   

 

  

 

 

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

   (3,676,429 15,846,039    (13,370,188 16,256,729 

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

  $18,411,539  $22,880,822   $8,717,780  $23,291,512 
  

 

  

 

   

 

  

 

 

Supplemental information:

      

Interest paid during the period

  $4,721,025  $3,887,472   $8,286,045  $6,784,922 

Cash paid for taxes

  $69,345  $140,029   $69,502  $158,294 

Supplementalnon-cash information:

      

Payment-in-kind interest income

  $606,978  $276,597   $1,637,083  $433,609 

Net accretion of discount on investments

  $335,240  $254,323   $481,356  $408,557 

Amortization of deferred debt financing costs

  $491,135  $528,850   $741,195  $775,707 

Stock dividend distribution

  $1,147,536  $2,700,351   $1,825,036  $4,125,696 

See accompanying notes to consolidated financial statements.

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

August 31,November 30, 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 sixnine months ended August 31,November 30, 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 August 31,November 30, 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:

  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 

Cash and cash equivalents

  $1,595,438   $12,707,273   $680,065   $5,770,230 

Cash and cash equivalents, reserve accounts

   16,816,101    10,173,549    8,037,715    17,521,282 
  

 

   

 

   

 

   

 

 

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

  $18,411,539   $22,880,822   $8,717,780   $23,291,512 
  

 

   

 

   

 

   

 

 

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,November 30, 2017, certain investments in two portfolio companies were onnon-accrual status with a combined fair value of approximately $8.4$8.3 million, or 2.5%2.4% of the total 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 elected 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 August 31,November 30, 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 March 2017, the 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 interim periods within those fiscal years, 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 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 tofor annual periods beginning after December 15, 2017. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606. Management is evaluating the impact of the standard on certain other income earned by the 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 August 31,November 30, 2017 (dollars in thousands), according to the fair value hierarchy:

 

  Level 1   Level 2   Level 3   Total   Level 1   Level 2   Level 3   Total 

Syndicated loans

  $—     $—     $8,980   $8,980   $—    $—    $9,001   $9,001 

First lien term loans

   —      —      182,781    182,781    —     —     185,661    185,661 

Second lien term loans

   —      —      97,462    97,462    —     —     99,427    99,427 

Structured finance securities

   —      —      16,537    16,537    —     —     16,313    16,313 

Equity interests

   —      —      27,210    27,210    —     —     28,436    28,436 
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

Total

  $—     $—     $332,970   $332,970   $—    $—    $338,838   $338,838 
  

 

   

 

   

 

   

 

   

 

   

 

   

 

   

 

 

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:

 

   Level 1   Level 2   Level 3   Total 

Syndicated loans

  $—    $—    $9,823   $9,823 

First lien term loans

   —     —     159,097    159,097 

Second lien term loans

   —     —     87,750    87,750 

Structured finance securities

   —     —     15,450    15,450 

Equity interests

   —     —     20,541    20,541 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total

  $—    $—    $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 six months ended August 31, 2017 (dollars in thousands):

   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 

Net unrealized appreciation (depreciation) on investments

   (48  255   1,799   2,084   3,078   7,168 

Purchases and other adjustments to cost

   10   78,571   1,560   —     2,464   82,605 

Sales and repayments

   (751  (12,680  (25,954  (997  (3,403  (43,785

Net realized gain (loss) from investments

   (54  (8  (7,530  —     1,913   (5,679

Restructures in

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

Restructures out

   —     (42,454  —     —     —     (42,454
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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:

  $(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 sixnine months ended August 31, 2016November 30, 2017 (dollars in thousands):

 

   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 

Net unrealized appreciation (depreciation) on investments

   2,100   217   1,076   1,171   (13,187  (8,623

Purchases and other adjustments to cost

   51   44,689   10,899   —     620   56,259 

Sales and redemptions

   (4,556  (36,518  (13,269  (2,082  (14,443  (70,868

Net realized gain from investments

   53   245   140   —     11,602   12,040 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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:

  $955  $594  $1,135  $1,171  $(2,083 $1,772 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 
   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 

Net change in unrealized appreciation (depreciation) on investments

   (9  315   2,250   1,991   3,847   8,394 

Purchases and other adjustments to cost

   14   81,918   4,143   —    2,921   88,996 

Sales and repayments

   (773  (13,228  (27,023  (1,128  (3,403  (45,555

Net realized gain (loss) from investments

   (54  13   (7,530  —    1,913   (5,658

Restructures in

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

Restructures out

   —    (42,454  —    —    —    (42,454
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Balance as of November 30, 2017

  $9,001  $185,661  $99,427  $16,313  $28,436  $338,838 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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:

  $(9 $452  $81  $1,991  $4,500  $7,015 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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 nine months ended November 30, 2016 (dollars in thousands):

   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 

Net change in unrealized appreciation (depreciation) on investments

   2,221   (174  290   20   (13,085  (10,728

Purchases and other adjustments to cost

   56   69,671   10,996   4,500   1,470   86,693 

Sales and redemptions

   (4,571  (54,033  (19,500  (2,082  (14,505  (94,691

Net realized gain from investments

   53   353   231   —    11,663   12,300 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Balance as of November 30, 2016

  $9,627  $160,460  $80,195  $15,266  $12,022  $277,570 
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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:

  $1,075  $204  $(500 $20  $(1,981 $(1,182
  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

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 August 31,November 30, 2017 were as follows (dollars in thousands):

 

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

Syndicated loans

  $8,980   Market Comparables  Third-Party Bid (%)  99.1%  - 100.6%  $9,001   Market Comparables  Third-Party Bid (%)  94.0% - 100.6%

First lien term loans

   182,781   Market Comparables  Market Yield (%)  5.8%  - 14.0%   185,661   Market Comparables  Market Yield (%)  5.9% - 13.4%
      EBITDA Multiples (x)  3.0x  - 5.5x      EBITDA Multiples (x)  3.0x - 5.5x
      Third-Party Bid (%)  100.3%  - 100.5%      Third-Party Bid (%)  100.1% - 100.3%

Second lien term loans

   97,462   Market Comparables  Market Yield (%)  9.2%  - 16.0%   99,427   Market Comparables  Market Yield (%)  9.2% - 15.5%
      Third-Party Bid (%)  97.9%  - 100.4%      Third-Party Bid (%)  97.9% - 99.9%
      EBITDA Multiples (x)  5.0x

Structured finance securities

   16,537   Discounted Cash Flow  Discount Rate (%)  8.5%  - 14.0%   16,313   Discounted Cash Flow  Discount Rate (%)  8.5% - 14.0%

Equity interests

   27,210   Market Comparables  EBITDA Multiples (x)  3.7x  - 14.0x   28,436   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

Syndicated loans

  $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%
      EBITDA Multiples (x)  3.0x  - 10.3x
      Third-Party Bid (%)  100.0%  - 100.2%

Second lien term loans

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

Structured finance securities

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

Equity interests

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

   Fair Value   Valuation Technique  Unobservable Input  Range

Syndicated loans

  $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%
      EBITDA Multiples (x)  3.0x - 10.3x
      Third-Party Bid (%)  100.0% - 100.2%

Second lien term loans

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

Structured finance securities

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

Equity interests

   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 August 31,November 30, 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

  $8,874    2.7 $8,980    2.7  $8,856    2.6 $9,001    2.7

First lien term loans

   184,210    55.2  182,781    54.9   187,030    55.3  185,661    54.8 

Second lien term loans

   98,223    29.4  97,462    29.2    99,736    29.5  99,427    29.3 

Structured finance securities

   13,822    4.1  16,537    5.0    13,692    4.0  16,313    4.8 

Equity interests

   28,494    8.6  27,210    8.2    28,951    8.6  28,436    8.4 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $333,623    100.0 $332,970    100.0  $338,265    100.0 $338,838    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 August 31,November 30, 2017. The significant inputs at August 31,November 30, 2017 for the valuation model include:

 

Default rates: 2.0%

 

Recovery rates:35-70%

 

Discount rate: 14.0%

 

Prepayment rate: 20.0%

 

Reinvestment rate / price: L+350bps / $99.75.$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 August 31,November 30, 2017 and August 31,November 30, 2016, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.6$0.7 million and $0.6$0.5 million in interest income, respectively, from Saratoga CLO. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we accrued $0.8$1.1 million and $0.7$1.1 million in management fee income, respectively, and $1.0$1.7 million and $1.1$1.6 million in interest income, respectively, from Saratoga CLO. For the three and sixnine months ended August 31,November 30, 2017, we accrued $0.2 million and $0.3$0.5 million, respectively, related to the incentive management fee from Saratoga CLO. For the three and sixnine months ended August 31,November 30, 2016, we did not accrue any amounts related to the incentive management fee from Saratoga CLO as the 12.0% hurdle rate had not yet been achieved.

As of August 31,November 30, 2017, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $12.0$11.8 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 August 31,November 30, 2017, Saratoga CLO had investments with a principal balance of $300.1$308.6 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 August 31,November 30, 2017, the present value of the projected future cash flows of the subordinated notes was approximately $12.3$12.1 million, using a 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 $51.4$52.2 million, management fees of $17.2$17.6 million, and incentive fees of $0.2$0.5 million.

Below is certain financial information from the separate financial statements of Saratoga CLO as of August 31,November 30, 2017 (unaudited) and February 28, 2017 and for the three and sixnine months ended August 31,November 30, 2017 (unaudited) and August 31,November 30, 2016 (unaudited).

Saratoga Investment Corp. CLO2013-1, Ltd.

Statements of Assets and Liabilities

 

  As of   As of 
  August 31, 2017 February 28, 2017   November 30, 2017 February 28, 2017 
  (unaudited)     (unaudited)   

ASSETS

      

Investments

      

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

  $294,524,360  $292,437,930 

Fair Value Loans (amortized cost of $306,065,537 and $294,270,284, respectively)

  $302,689,881  $292,437,930 

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

   292  22,718    4,316  22,718 
  

 

  

 

   

 

  

 

 

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

   294,524,652  292,460,648 

Total investments at fair value (amortized cost of $309,596,755 and $297,801,502 respectively)

   302,694,197  292,460,648 

Cash and cash equivalents

   7,475,599  13,046,555    4,971,935  13,046,555 

Receivable from open trades

   11,671,407  1,505,000    5,502,706  1,505,000 

Interest receivable

   1,287,219  1,443,865    1,372,574  1,443,865 

Other assets

   —    6,049    —    6,049 
  

 

  

 

   

 

  

 

 

Total assets

  $314,958,877  $308,462,117   $314,541,412  $308,462,117 
  

 

  

 

   

 

  

 

 

LIABILITIES

      

Interest payable

  $1,155,865  $1,031,457   $1,180,464  $1,031,457 

Payable from open trades

   16,017,662  9,431,552    15,409,509  9,431,552 

Accrued base management fee

   34,273  34,221    34,329  34,221 

Accrued subordinated management fee

   137,092  136,885    137,315  136,885 

Accrued incentive fee

   83,769   —      94,361   —   

Class A-1 Notes - SIC CLO2013-1, Ltd.

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

Class A-2 Notes - SIC CLO2013-1, Ltd.

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

Class B Notes - SIC CLO2013-1, Ltd.

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

Class C Notes - SIC CLO2013-1, Ltd.

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

Discount on Class C Notes - SIC CLO2013-1, Ltd.

   (72,840 (77,383   (70,593 (77,383

Class D Notes - SIC CLO2013-1, Ltd.

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

Discount on Class D Notes - SIC CLO2013-1, Ltd.

   (338,157 (359,249   (327,726 (359,249

Class E Notes - SIC CLO2013-1, Ltd.

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

Class F Notes - SIC CLO2013-1, Ltd.

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

Deferred debt financing costs, SIC CLO2013-1, Ltd. Notes

   (1,077,170 (1,161,590   (1,045,630 (1,161,590

Subordinated Notes

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

 

  

 

   

 

  

 

 

Total liabilities

  $328,340,494  $321,435,893   $327,812,029  $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 (loss)

   (407,841 8,583,592    (296,841 8,583,592 
  

 

  

 

   

 

  

 

 

Total net assets

   (13,381,617 (12,973,776   (13,270,617 (12,973,776
  

 

  

 

   

 

  

 

 

Total liabilities and net assets

  $  314,958,877  $  308,462,117   $  314,541,412  $  308,462,117 
  

 

  

 

   

 

  

 

 

Saratoga Investment Corp. CLO2013-1, Ltd.

Statements of Operations

(unaudited)

 

  For the three months ended
August 31
 For the six months ended
August 31
   For the three months ended
November 30
 For the nine months ended
November 30
 
  2017 2016 2017 2016   2017 2016 2017 2016 

INVESTMENT INCOME

          

Interest from investments

  $4,150,598  $4,028,665  $8,128,469  $7,817,001   $4,178,651  $4,006,052  $12,307,120  $11,823,053 

Interest from cash and cash equivalents

   4,343  1,938  9,426  2,709    3,113  3,095  12,539  5,804 

Other income

   84,556  189,836  245,170  433,137    117,791  82,239  362,961  515,376 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total investment income

   4,239,497  4,220,439  8,383,065  8,252,847    4,299,555  4,091,386  12,682,620  12,344,233 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

EXPENSES

          

Interest expense

   3,312,058  3,608,788  6,935,616  6,889,803    3,461,049  2,457,705  10,396,665  9,347,508 

Professional fees

   18,556  20,944  53,107  39,426    78,048  39,694  131,155  79,120 

Miscellaneous fee expense

   19,833  14,147  29,959  22,391    36,350  25,974  66,309  48,365 

Base management fee

   75,192  187,329  150,328  374,171    75,289  167,592  225,617  541,763 

Subordinated management fee

   300,765  187,329  601,310  374,171    301,158  207,625  902,468  581,796 

Incentive fees

   162,358   —    267,653   —      209,434   —    477,087   —   

Trustee expenses

   38,547  37,839  74,715  64,527    41,025  30,871  115,740  95,398 

Amortization expense

   44,357  239,963  88,714  479,926    44,218  302,635  132,932  782,561 

Loss on extinguishment of debt

   —    6,641,915   —    6,641,915 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total expenses

   3,971,666  4,296,339  8,201,402  8,244,415    4,246,571  9,874,011  12,447,973  18,118,426 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

NET INVESTMENT INCOME (LOSS)

   267,831  (75,900 181,663  8,432    52,984  (5,782,625 234,647  (5,774,193
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

          

Net realized gain on investments

   475,486  165,854  769,344  221,416    260,872  130,337  1,030,216  351,753 

Net unrealized appreciation (depreciation) on investments

   (1,311,081 467,724  (1,358,848 9,788,397 

Net change in unrealized appreciation (depreciation) on investments

   (202,856 926,507  (1,561,704 10,714,904 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Net gain (loss) on investments

   (835,595 633,578  (589,504 10,009,813    58,016  1,056,844  (531,488 11,066,657 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $(567,764 $557,678  $(407,841 $10,018,245   $111,000  $(4,725,781 $(296,841 $5,292,464 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Saratoga Investment Corp. CLO2013-1 Ltd.

Schedule of Investments

August 31,November 30, 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  $134   Leisure Goods/Activities/Movies  A-1 Preferred Shares  Equity   0.00  0.00  0.00  0.00    6,692   $669,214   $40 

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  1   Leisure Goods/Activities/Movies  A-2 Preferred Shares  Equity   0.00  0.00  0.00  0.00    18,975    1,897,538    114 

New Millennium Holdco, Inc.

 Healthcare & Pharmaceuticals Common Stock Equity 0.00 0.00 0.00 0.00  14,813  964,466  157   Healthcare & Pharmaceuticals  Common Stock  Equity   0.00  0.00  0.00  0.00    14,813    964,466    4,162 

24 Hour Holdings III, LLC

 Leisure Goods/Activities/Movies Term Loan Loan 3.75 1.00 0.00 5.05 5/28/2021  $485,000  482,182  483,487   Leisure Goods/Activities/Movies  Term Loan  Loan   3.75  1.00  1.34  5.09  5/28/2021   $1,979,884    1,979,013    1,978,241 

ABBCon-Cise Optical Group, LLC

 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   Healthcare & Pharmaceuticals  Term Loan B  Loan   5.00  1.00  1.32  6.32  6/15/2023    1,980,000    1,960,509    1,975,050 

Acosta Holdco, Inc.

 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   Media  Term Loan B1  Loan   3.25  1.00  1.35  4.60  9/26/2021    1,940,025    1,930,926    1,693,215 

Advantage Sales & Marketing, Inc.

 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   Services: Business  Delayed Draw Term Loan  Loan   3.25  1.00  1.38  4.63  7/25/2021    2,427,437    2,425,364    2,357,648 

Aegis Toxicology Science Corporation

 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   Healthcare & Pharmaceuticals  Term B Loan  Loan   4.50  1.00  1.33  5.83  2/24/2021    2,444,599    2,339,103    2,383,484 

Agrofresh, Inc.

 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   Food Services  Term Loan  Loan   4.75  1.00  1.34  6.09  7/30/2021    1,955,000    1,948,414    1,937,894 

AI MISTRAL T/L (V. GROUP)

 Utilities Term Loan Loan 3.00 1.00 0.00 4.24 3/11/2024  498,750  498,750  493,763   Utilities  Term Loan  Loan   3.00  1.00  1.35  4.35  3/11/2024    497,500    497,500    495,326 

Akorn, Inc.

 Healthcare & Pharmaceuticals Term Loan B Loan 4.25 1.00 0.00 5.50 4/16/2021  398,056  397,084  402,534   Healthcare & Pharmaceuticals  Term Loan B  Loan   4.25  1.00  1.38  5.63  4/16/2021    398,056    397,150    399,051 

Albertson’s LLC

 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   Retailers (Except Food and Drugs)  Term LoanB-4  Loan   2.75  0.75  1.35  4.10  8/25/2021    2,660,984    2,646,180    2,584,161 

Alere Inc. (fka IM US Holdings, LLC)

 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 5.74 8/19/2021  2,940,000  2,929,838  2,935,090   High Tech Industries  Term Loan B (First Lien)  Loan   4.50  1.00  1.35  5.85  8/19/2021    2,878,259    2,868,884    2,874,661 

Alliance Healthcare Services, Inc.

 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   High Tech Industries  Term Loan B  Loan   3.50  1.00  1.48  4.98  4/26/2024    997,500    992,816    996,522 

ALPHA 3 T/L B1 (ATOTECH)

 Chemicals/Plastics Term Loan B 1 Loan 3.00 1.00 0.00 4.30 1/31/2024  250,000  249,381  250,000   Chemicals/Plastics  Term Loan B 1  Loan   3.00  1.00  1.33  4.33  1/31/2024    249,375    248,786    250,934 

Anchor Glass T/L (11/16)

 Containers/Glass Products Term Loan Loan 2.75 1.00 0.00 4.01 12/7/2023  497,500  495,075  498,351   Containers/Glass Products  Term Loan  Loan   2.75  1.00  1.25  4.00  12/7/2023    496,250    493,924    495,982 

APCO Holdings, Inc.

 Automotive Term Loan Loan 6.00 1.00 0.00 7.24 1/31/2022  1,883,581  1,841,381  1,836,492   Automotive  Term Loan  Loan   6.00  1.00  1.35  7.35  1/31/2022    1,844,054    1,804,819    1,797,953 

Aramark Corporation

 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   Food Products  U.S. Term F Loan  Loan   2.00  0.00  1.35  3.35  3/28/2024    1,612,143    1,612,143    1,618,688 

Arctic Glacier U.S.A., Inc.

 Beverage, Food & Tobacco Term Loan B Loan 4.25 1.00 0.00 5.49 3/20/2024  498,750  496,338  500,620   Beverage, Food & Tobacco  Term Loan B  Loan   4.25  1.00  1.24  5.49  3/20/2024    497,500    495,187    502,475 

Argon Medical Devices, Inc.

  Healthcare & Pharmaceuticals  Term Loan  Loan   3.75  1.00  1.34  5.09  10/28/2024    1,000,000    997,500    1,004,380 

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   High Tech Industries  Term Loan  Loan   4.75  1.00  1.35  6.10  7/31/2024    500,000    497,550    505,000 

Aspen Dental Management, Inc.

 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   Healthcare & Pharmaceuticals  Term Loan Initial  Loan   3.75  1.00  1.48  5.23  4/29/2022    1,969,830    1,965,966    1,989,528 

Astoria Energy T/L B

 Utilities Term Loan Loan 4.00 1.00 0.00 5.24 12/24/2021  1,458,457  1,445,001  1,461,199   Utilities  Term Loan  Loan   4.00  1.00  1.35  5.35  12/24/2021    1,458,457    1,445,778    1,463,022 

Asurion, LLC (fka Asurion Corporation)

 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   Insurance  Term Loan B4 (First Lien)  Loan   2.75  0.00  1.35  4.10  8/4/2022    2,379,723    2,368,448    2,389,647 

Asurion, LLC (fka Asurion Corporation)

 Insurance Term Loan B5 Loan 3.00 1.00 0.00 4.24 11/3/2023  520,817  516,172  522,770   Insurance  Term Loan B5  Loan   3.00  1.00  1.35  4.35  11/3/2023    519,512    515,048    521,377 

Auction.com, LLC

 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 5.24 3/8/2024  2,992,500  2,985,020  2,991,243 

Avantor, Inc.

  Chemicals/Plastics  Term Loan  Loan   4.00  1.00  1.29  5.29  11/21/2024    2,000,000    1,970,000    2,002,920 

Avaya, Inc.

  Services: Business  Exit Term Loan  Loan   4.75  1.00  1.34  6.09  11/8/2024    1,000,000    990,000    985,540 

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

 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   Capital Equipment  Term LoanB-2  Loan   2.25  0.75  1.28  3.53  3/21/2022    997,500    993,011    997,350 

Bass Pro Group, LLC

 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 

Blackboard T/L B4

 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   High Tech Industries  Term Loan B4  Loan   5.00  1.00  1.35  6.35  6/30/2021    2,970,000    2,950,694    2,894,265 

Blount International, Inc.

  Forest Products & Paper  Term Loan B  Loan   4.25  1.00  1.24  5.49  4/12/2023    500,000    498,780    504,585 

Blucora, Inc.

 High Tech Industries Term Loan B Loan 3.75 1.00 0.00 5.04 5/22/2024  960,000  955,376  969,600   High Tech Industries  Term Loan B  Loan   3.00  1.00  1.41  4.41  5/22/2024    933,333    928,675    936,255 

BMC Software

 Technology Term Loan Loan 4.00 1.00 0.00 5.30 9/12/2022  1,941,323  1,885,799  1,934,043   Technology  Term Loan  Loan   4.00  1.00  1.33  5.33  9/12/2022    1,936,437    1,883,437    1,941,278 

BMC Software T/L US

 Technology Term Loan Loan 4.00 1.00 0.00 5.24 9/12/2022  586,972  577,295  588,686   Technology  Term Loan  Loan   3.75  1.00  1.35  5.10  9/12/2022    585,494    576,235    585,828 

Brickman Group Holdings, Inc.

 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   Brokers/Dealers/Investment Houses  Initial Term Loan (First Lien)  Loan   3.00  1.00  1.28  4.28  12/18/2020    1,424,189    1,415,112    1,430,242 

Broadstreet Partners, Inc.

  Banking, Finance, Insurance & Real Estate  Term LoanB-1  Loan   3.75  1.00  1.35  5.10  11/8/2023    1,000,000    997,500    1,004,380 

Cable One, Inc.

 Telecommunications Term Loan B Loan 2.25 0.00 0.00 3.57 5/1/2024  500,000  499,375  501,250   Telecommunications  Term Loan B  Loan   2.25  0.00  1.32  3.57  5/1/2024    498,750    498,187    498,750 

California Resources Corporation

  Oil & Gas  Term Loan  Loan   4.75  1.00  1.27  6.02  12/30/2022    1,000,000    980,000    982,760 

Candy Intermediate Holdings, Inc.

 Beverage, Food & Tobacco Term Loan Loan 4.50 1.00 0.00 5.80 6/15/2023  495,000  492,981  479,224   Beverage, Food & Tobacco  Term Loan  Loan   4.50  1.00  1.35  5.85  6/15/2023    493,750    491,811    492,669 

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   High Tech Industries  Term Loan B  Loan   4.25  0.00  1.33  5.58  6/16/2023    1,000,000    997,500    1,011,880 

Capital Automotive L.P.

 Conglomerate TrancheB-1 Term Loan Facility Loan 3.00 1.00 0.00 4.24 3/25/2024  490,301  487,934  492,404   Conglomerate  TrancheB-1 Term Loan Facility  Loan   2.50  1.00  1.35  3.85  3/25/2024    484,168    481,881    485,137 

Caraustar Industries Inc.

 Forest Products & Paper Term Loan B Loan 5.50 1.00 0.00 6.80 3/14/2022  498,750  497,514  493,264   Forest Products & Paper  Term Loan B  Loan   5.50  1.00  1.33  6.83  3/14/2022    497,500    496,321    496,570 

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   Services: Business  Term Loan  Loan   6.75  1.00  1.33  8.08  7/31/2023    2,500,000    2,429,964    2,418,750 

CASA SYSTEMS T/L

 Telecommunications Term Loan Loan 4.00 1.00 0.00 5.30 12/20/2023  1,492,500  1,478,808  1,499,963   Telecommunications  Term Loan  Loan   4.00  1.00  1.33  5.33  12/20/2023    1,488,750    1,475,555    1,498,055 

Catalent Pharma Solutions, Inc

 Drugs Initial Term B Loan Loan 2.75 1.00 0.00 3.99 5/20/2021  422,298  421,090  424,232   Drugs  Initial Term B Loan  Loan   2.25  1.00  1.35  3.60  5/20/2021    421,036    419,907    423,142 

Cengage Learning Acquisitions, Inc.

 Publishing Term Loan Loan 4.25 1.00 0.00 5.48 6/7/2023  1,464,371  1,449,727  1,359,419   Publishing  Term Loan  Loan   4.25  1.00  1.24  5.49  6/7/2023    1,464,371    1,449,727    1,392,441 

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   Telecommunications  Term Loan B  Loan   2.75  0.00  1.35  4.10  1/31/2025    3,000,000    2,992,778    2,872,500 

CH HOLD (CALIBER COLLISION) T/L

 Automotive Term Loan Loan 3.00 0.00 0.00 4.24 2/1/2024  247,917  247,406  248,742   Automotive  Term Loan  Loan   3.00  0.00  1.35  4.35  2/1/2024    247,348    246,862    249,359 

Charter Communications Operating, LLC

 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   Cable and Satellite Television  Term F Loan  Loan   2.00  0.00  1.35  3.35  1/3/2021    1,597,024    1,592,194    1,601,624 

CHS/Community Health Systems, Inc.

 Healthcare & Pharmaceuticals Term G Loan Loan 2.75 1.00 0.00 4.07 12/31/2019  719,623  707,383  717,198   Healthcare & Pharmaceuticals  Term G Loan  Loan   2.75  1.00  1.48  4.23  12/31/2019    612,172    602,823    595,448 

CHS/Community Health Systems, Inc.

 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   Healthcare & Pharmaceuticals  Term H Loan  Loan   3.00  1.00  1.48  4.48  1/27/2021    1,133,925    1,102,761    1,085,880 

CITGO Petroleum Corporation

 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   Oil & Gas  Term Loan B  Loan   3.50  1.00  1.34  4.84  7/29/2021    1,949,798    1,934,085    1,919,576 

Communications Sales & Leasing, Inc.

 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   Telecommunications  Term Loan B (First Lien)  Loan   3.00  1.00  1.35  4.35  10/24/2022    1,955,287    1,945,009    1,879,520 

Concordia Healthcare Corporation

 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   Healthcare & Pharmaceuticals  Term Loan B  Loan   4.25  1.00  1.35  5.60  10/21/2021    1,942,500    1,868,083    1,555,224 

Consolidated Aerospace Manufacturing, LLC

 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   Aerospace and Defense  Term Loan (First Lien)  Loan   3.75  1.00  1.35  5.10  8/11/2022    1,418,750    1,413,585    1,404,563 

Consolidated Communications, Inc.

 Telecommunications Term LoanB-2 Loan 3.00 1.00 0.00 4.24 10/5/2023  500,000  497,515  490,355   Telecommunications  Term LoanB-2  Loan   3.00  1.00  1.35  4.35  10/5/2023    499,385    496,966    490,541 

CPI Acquisition Inc.

 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   Technology  Term Loan B (First Lien)  Loan   4.50  1.00  1.46  5.96  8/17/2022    1,436,782    1,420,943    1,020,115 

Crosby US Acquisition Corporation

 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 5.49 12/1/2021  1,462,650  1,452,569  1,463,571   Healthcare & Pharmaceuticals  Term Loan  Loan   4.25  1.00  1.35  5.60  12/1/2021    1,458,919    1,449,392    1,457,708 

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   Conglomerate  Term Loan  Loan   3.50  1.00  1.35  4.85  12/13/2023    2,034,625    2,034,536    2,048,623 

Culligan InternationalCompany-T/L

 Utilities Incremental Term Loan B Loan 3.25 1.00 0.00 4.49 12/13/2023  500,000  499,375  500,940   Utilities  Incremental Term Loan B  Loan   3.50  1.00  1.35  4.85  12/13/2023    500,000    499,395    503,440 

Cumulus Media Holdings Inc.

 Broadcast Radio and Television Term Loan Loan 3.25 1.00 0.00 4.49 12/23/2020  448,889  446,593  366,742   Broadcast Radio and Television  Term Loan  Loan   3.25  1.00  1.35  4.60  12/23/2020    448,889    446,756    387,248 

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   Services: Business  Term Loan B  Loan   3.00  1.00  1.35  4.35  4/29/2024    498,750    497,567    499,373 

DAE Aviation (StandardAero)

 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   Transportation  Term Loan  Loan   5.00  1.00  1.41  6.41  2/27/2024    1,995,607    1,982,837    1,994,768 

DASEKE T/L (HENNESSY CAPITAL)

 Transportation Term Loan Loan 5.50 1.00 0.00 6.74 2/27/2024  825,075  818,348  830,232 

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 

Dell International L.L.C.

  High Tech Industries  Term Loan (01/17)  Loan   2.00  0.75  1.35  3.35  9/7/2023    1,500,000    1,498,865    1,500,105 

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

 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   Lodging & Casinos  Term LoanB-3  Loan   3.00  1.00  1.35  4.35  2/1/2024    1,500,000    1,497,143    1,507,185 

DEX MEDIA, INC.

 Media Term Loan (07/16) Loan 10.00 1.00 0.00 11.24 7/29/2021  35,702  35,702  36,684   Media  Term Loan (07/16)  Loan   10.00  1.00  1.35  11.35  7/29/2021    33,047    33,047    33,874 

DHX Media Ltd.

 Media Term Loan Loan 3.25 1.00 0.00 4.49 12/29/2023  500,000  497,556  501,875   Media  Term Loan  Loan   3.75  1.00  1.35  5.10  12/29/2023    498,750    496,395    499,064 

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 3.99 1/15/2024  497,500  496,388  496,878 

DJO Finance, LLC

 Healthcare & Pharmaceuticals Term Loan Loan 3.25 1.00 0.00 4.49 6/8/2020  490,000  488,672  487,447   Healthcare & Pharmaceuticals  Term Loan  Loan   3.25  1.00  1.35  4.60  6/8/2020    488,750    487,541    484,068 

Dole Food Company, Inc.

 Beverage, Food & Tobacco Term Loan B Loan 2.75 1.00 0.00 4.01 4/8/2024  500,000  497,596  501,015   Beverage, Food & Tobacco  Term Loan B  Loan   2.75  1.00  1.31  4.06  4/8/2024    496,875    494,564    498,326 

Drew Marine Group, Inc.

 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   Chemicals/Plastics  Term Loan (First Lien)  Loan   3.25  1.00  1.35  4.60  11/19/2020    2,863,470    2,842,651    2,854,535 

DTZ U.S. Borrower, LLC

 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   Construction & Building  Term Loan BAdd-on  Loan   3.25  1.00  1.48  4.73  11/4/2021    1,947,613    1,939,606    1,912,556 

DUKE FINANCE (OM GROUP/VECTRA) T/L

 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   Banking, Finance, Insurance & Real Estate  Term Loan  Loan   4.25  1.00  1.33  5.58  2/21/2024    1,481,288    1,381,599    1,492,397 

Edelman Financial Group, Inc.

 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 

Eagletree-Carbide Acquisition Corp.

  High Tech Industries  Term Loan  Loan   4.75  1.00  1.33  6.08  8/28/2024    2,000,000    1,980,464    2,005,000 

Education Management II, LLC

 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   Leisure Goods/Activities/Movies  Term Loan A  Loan   4.50  1.00  1.35  5.85  7/2/2020    423,861    415,001    175,110 

Education Management II, LLC

 Leisure Goods/Activities/Movies Term Loan B (2.00% Cash/6.50% PIK) Loan 1.00 1.00 6.50 8.80 7/2/2020  954,307  936,841  10,736   Leisure Goods/Activities/Movies  Term Loan B (2.00% Cash/6.50% PIK)  Loan   1.00  1.00  6.50  7.50  7/2/2020    954,307    938,252    13,837 

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   High Tech Industries  Term Loan  Loan   4.00  1.00  1.46  5.46  2/9/2023    492,054    490,824    495,129 

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   Chemicals/Plastics  Term Loan B1A  Loan   4.00  1.00  1.33  5.33  5/14/2021    991,628    985,743    987,494 

Emerald Performance Materials, LLC

 Chemicals/Plastics Term Loan (First Lien) Loan 3.50 1.00 0.00 4.74 8/1/2021  480,448  479,012  482,452   Chemicals/Plastics  Term Loan (First Lien)  Loan   3.50  1.00  1.35  4.85  8/1/2021    480,295    478,943    482,696 

Emerald Performance Materials, LLC

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

Endo International plc

 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   Healthcare & Pharmaceuticals  Term Loan B  Loan   4.25  0.75  1.38  5.63  4/29/2024    997,500    992,740    1,003,375 

Engility Corporation

 Aerospace and Defense Term LoanB-1 Loan 2.75 0.00 0.00 3.99 8/12/2020  231,250  230,388  231,974   Aerospace and Defense  Term LoanB-1  Loan   2.75  0.00  1.35  4.10  8/12/2020    225,000    224,206    226,246 

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 Delayed Draw Term Loan Loan 3.75 1.00 0.00 5.05 5/20/2024  235,294  235,294  237,353   Services: Business  Term Loan B  Loan   3.75  1.00  1.29  5.04  5/20/2024    1,995,000    1,982,980    2,007,469 

Evergreen Acqco 1 LP

 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   Retailers (Except Food and Drugs)  New Term Loan  Loan   3.75  1.25  1.36  5.11  7/9/2019    947,625    944,801    858,387 

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

 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   Industrial Equipment  Term Loan (First Lien)  Loan   3.75  1.00  1.33  5.08  1/15/2021    2,845,207    2,834,102    2,864,782 

Extreme Reach, Inc.

 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   Media  Term Loan B  Loan   6.25  1.00  1.34  7.59  2/7/2020    2,718,750    2,699,558    2,702,900 

Federal-Mogul Corporation

 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   Automotive  Tranche C Term Loan  Loan   3.75  1.00  1.35  5.10  4/15/2021    2,296,974    2,290,349    2,311,697 

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   Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   2.75  0.00  0.00  2.75  6/14/2022    500,000    498,848    505,250 

First Data Corporation

 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   Financial Intermediaries  First Data T/L Ext (2021)  Loan   2.25  0.00  1.31  3.56  4/26/2024    1,741,492    1,659,279    1,741,805 

First Eagle Investment Management

 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 

First Eagle Holdings, Inc.

  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   3.00  0.75  1.36  4.36  12/1/2022    1,475,047    1,465,760    1,486,110 

Fitness International, LLC

 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   Leisure Goods/Activities/Movies  Term Loan B  Loan   3.50  1.00  1.35  4.85  7/1/2020    1,409,751    1,393,394    1,429,135 

Gates Global LLC

 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 

Frontier Communications Corporation

  Telecommunications  Term Loan B  Loan   3.75  0.75  1.34  5.09  6/17/2024    1,995,000    1,904,428    1,899,001 

General Nutrition Centers, Inc.

 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   Retailers (Except Food and Drugs)  Amended Tranche B Term Loan  Loan   4.25  0.75  1.50  5.75  3/4/2019    2,047,169    2,044,907    1,897,050 

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   Services: Business  Term Loan (First Lien)  Loan   4.00  1.25  1.33  5.33  5/26/2020    3,125,063    3,119,213    3,128,001 

GLOBALLOGIC HOLDINGS INC TERM LOAN B

 Services: Business Term Loan B Loan 4.50 1.00 0.00 5.80 6/20/2022  498,750  494,304  499,997   Services: Business  Term Loan B  Loan   4.50  1.00  1.33  5.83  6/20/2022    497,500    493,267    497,500 

Goodyear Tire & Rubber Company, The

 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   Chemicals/Plastics  Loan (Second Lien)  Loan   2.00  0.00  1.27  3.27  4/30/2019    1,833,333    1,824,919    1,837,147 

Grosvenor Capital Management Holdings, LP

 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   Brokers/Dealers/Investment Houses  Initial Term Loan  Loan   3.00  1.00  1.35  4.35  8/18/2023    994,962    990,319    995,380 

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   Media  Term Loan B  Loan   3.00  1.00  1.35  4.35  2/9/2022    997,500    995,040    997,191 

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

 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   Publishing  TrancheB-4 Term Loan  Loan   4.75  1.00  1.32  6.07  11/3/2023    1,961,082    1,948,503    1,966,592 

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   Construction & Building  Term Loan  Loan   3.00  1.00  1.46  4.46  8/1/2024    500,000    498,803    502,815 

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   Services: Consumer  Term Loan  Loan   4.75  1.00  1.34  6.09  7/31/2023    3,000,000    2,985,324    3,039,390 

Helix Gen Funding, LLC

 Utilities Term Loan B Loan 3.75 1.00 0.00 4.96 5/3/2024  479,104  476,900  483,349   Utilities  Term Loan B  Loan   3.75  1.00  1.33  5.08  6/3/2024    475,821    473,827    478,557 

Helix Acquisition Holdings, Inc.

  Utilities  Term Loan B  Loan   4.00  1.00  1.33  5.33  9/30/2024    1,000,000    995,075    1,009,380 

Help/Systems Holdings, Inc.

 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   High Tech Industries  Term Loan  Loan   4.50  1.00  1.33  5.83  10/8/2021    1,345,968    1,297,550    1,349,332 

Hemisphere Media Holdings, LLC

 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   Media  Term Loan B  Loan   3.50  0.00  1.35  4.85  2/14/2024    2,481,250    2,492,514    2,360,289 

Herbalife T/L B (HLF Financing)

 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   Drugs  Term Loan B  Loan   5.50  0.75  1.24  6.74  2/15/2023    1,925,000    1,912,772    1,918,590 

Hercules Achievement Holdings, Inc.

 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   Retailers (Except Food and Drugs)  Term Loan B  Loan   3.50  1.00  1.24  4.74  12/10/2021    244,962    243,231    246,493 

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   Automotive  Term Loan B  Loan   4.25  1.00  1.38  5.63  3/15/2024    957,198    952,412    961,984 

Hoffmaster Group, Inc.

 Containers/Glass Products Term Loan Loan 4.50 1.00 0.00 5.80 11/21/2023  995,000  998,513  1,002,463   Containers/Glass Products  Term Loan  Loan   4.50  1.00  1.33  5.83  11/21/2023    992,500    995,827    998,703 

Hostess Brand, LLC

 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 

Hostess Brands, LLC

  Beverage, Food & Tobacco  Term Loan B (First Lien)  Loan   2.25  0.75  1.35  3.60  8/3/2022    1,482,559    1,478,894    1,484,101 

HUB International Limited

 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   Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   3.00  1.00  1.41  4.41  10/2/2022    216    216    217 

Husky Injection Molding Systems Ltd.

 Services: Business Term Loan B Loan 3.25 1.00 0.00 4.49 6/30/2021  445,844  443,968  447,516   Services: Business  Term Loan B  Loan   3.25  1.00  1.35  4.60  6/30/2021    418,923    417,231    421,253 

Hyland Software, Inc.

 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   High Tech Industries  Term Loan B  Loan   3.25  0.75  1.35  4.60  7/1/2022    997,494    995,010    1,006,222 

Hyperion Refinance T/L

 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   Banking, Finance, Insurance & Real Estate  Term Loan  Loan   4.00  1.00  1.38  5.38  4/29/2022    1,872,588    1,852,507    1,888,186 

ICSH Parent, Inc.

 Containers/Glass Products Term Loan Loan 4.00 1.00 0.00 5.32 4/29/2024  847,059  842,999  847,059   Containers/Glass Products  Term Loan  Loan   3.50  1.00  1.38  4.88  4/29/2024    847,059    843,042    850,235 

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   Containers/Glass Products  Delayed Draw Term Loan  Loan   3.50  1.00  1.48  4.98  4/29/2024    59,245    59,245    59,467 

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   High Tech Industries  Term Loan B  Loan   5.00  1.00  1.35  6.35  6/28/2024    1,686,682    1,669,815    1,686,682 

IG Investments Holdings, LLC

 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   Services: Business  Term Loan  Loan   3.50  1.00  1.39  4.89  10/29/2021    3,423,936    3,404,509    3,445,336 

Infor US (Lawson) T/LB-6

 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   Services: Business  Term LoanB-6  Loan   2.75  1.00  1.33  4.08  2/1/2022    1,601,753    1,589,416    1,599,750 

Informatica Corporation

 High Tech Industries Term Loan B Loan 3.50 1.00 0.00 4.80 8/5/2022  484,433  483,517  484,738   High Tech Industries  Term Loan B  Loan   3.50  1.00  1.33  4.83  8/5/2022    483,195    482,323    484,176 

Inmar, Inc.

 Services: Business Term Loan B Loan 3.50 1.00 0.00 4.76 5/1/2024  500,000  495,138  500,315   Services: Business  Term Loan B  Loan   3.50  1.00  1.42  4.92  5/1/2024    498,750    493,978    499,583 

J. Crew Group, Inc.

 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   Retailers (Except Food and Drugs)  TermB-1 Loan Retired 03/05/2014  Loan   3.22  1.00  1.35  4.57  3/5/2021    832,627    832,627    479,802 

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   Retailers (Except Food and Drugs)  Term Loan (First Lien)  Loan   5.00  1.00  1.38  6.38  5/9/2022    874,524    871,494    807,841 

Jazz Acquisition, Inc

 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 

Kinetic Concepts, Inc.

 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   Healthcare & Pharmaceuticals  Term LoanF-1  Loan   3.25  1.00  1.33  4.58  2/2/2024    2,394,000    2,383,432    2,385,525 

Koosharem, LLC

 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   Services: Business  Term Loan  Loan   6.50  1.00  1.33  7.83  5/15/2020    2,912,638    2,899,212    2,798,549 

Lannett Company, Inc.

 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   Healthcare & Pharmaceuticals  Term Loan B  Loan   5.38  1.00  1.35  6.72  11/25/2022    2,811,486    2,762,882    2,811,486 

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

 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   Healthcare & Pharmaceuticals  Initial Term Loan(A-L Parent)  Loan   3.25  1.00  1.35  4.60  12/1/2023    496,250    494,144    498,111 

Legalzoom.com, Inc.

  Services: Consumer  Term Loan B  Loan   4.50  1.00  1.44  5.94  11/21/2024    1,000,000    990,000    997,500 

Lighthouse Network

  Utilities  Term Loan C  Loan   4.50  1.00  1.35  5.85  1/30/2024    1,000,000    995,000    995,000 

Lightstone Generation T/L C

  Utilities  Term Loan B Refinancing  Loan   4.50  1.00  1.35  5.85  1/30/2024    930,362    913,161    932,781 

Lightstone Generation T/L B

 Utilities Term Loan C Loan 4.50 1.00 0.00 5.74 1/30/2024  57,971  56,866  57,699   Utilities  Term Loan C  Loan   4.50  1.00  1.35  5.85  1/30/2024    57,971    56,898    58,122 

Lightstone Generation T/L C

 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 4.00 1.00 0.00 5.23 2/15/2024  498,750  494,192  505,608   Oil & Gas  Term Loan  Loan   4.00  1.00  1.28  5.28  2/15/2024    497,500    492,585    490,660 

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   Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   4.25  1.00  1.35  5.60  7/15/2024    493,750    488,964    494,984 

LPL Holdings

 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 

LPL Holdings, Inc.

  Banking, Finance, Insurance & Real Estate  Term Loan B (2022)  Loan   2.25  0.00  1.33  3.58  9/23/2024    1,745,625    1,741,435    1,749,256 

McAfee, LLC

  Services: Business  Term Loan B  Loan   4.50  1.00  1.33  5.83  9/30/2024    2,000,000    1,980,354    2,008,760 

McGraw-Hill Global Education Holdings, LLC

 Publishing Term Loan Loan 4.00 1.00 0.00 5.24 5/4/2022  990,000  986,218  970,448   Publishing  Term Loan  Loan   4.00  1.00  1.35  5.35  5/4/2022    987,500    983,908    988,033 

MHVC Acquisition Corp.

 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   Aerospace and Defense  Term Loan  Loan   5.25  1.00  1.35  6.60  4/29/2024    1,995,000    1,985,319    2,013,713 

Michaels Stores, Inc.

 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   Retailers (Except Food and Drugs)  Term Loan B1  Loan   2.75  1.00  1.35  4.10  1/30/2023    2,665,882    2,653,444    2,643,675 

Micro Holding Corporation

 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   High Tech Industries  Term Loan  Loan   3.75  1.00  1.32  5.07  9/13/2024    1,475,684    1,469,848    1,468,305 

Midas Intermediate Holdco II, LLC

 Automotive Term Loan (Initial) Loan 2.75 1.00 0.00 4.05 8/18/2021  243,153  242,374  242,647   Automotive  Term Loan (Initial)  Loan   2.75  1.00  1.33  4.08  8/18/2021    242,542    241,810    242,695 

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   Healthcare & Pharmaceuticals  Term Loan  Loan   3.00  0.75  1.42  4.42  8/15/2024    1,000,000    995,768    1,001,250 

Milacron T/L B

 Capital Equipment Term Loan B Loan 3.00 0.00 0.00 4.24 9/28/2023  995,000  991,655  997,905   Capital Equipment  Term Loan B  Loan   2.75  0.00  1.35  4.10  9/28/2023    1,985,000    1,981,704    1,986,251 

Milk Specialties Company

 Beverage, Food & Tobacco Term Loan Loan 4.00 1.00 0.00 5.30 8/16/2023  992,500  983,390  999,944   Beverage, Food & Tobacco  Term Loan  Loan   4.00  1.00  1.33  5.33  8/16/2023    990,000    981,217    993,713 

Mister Car Wash T/L

 Automotive Term Loan Loan 3.75 1.00 0.00 5.03 8/20/2021  1,491,470  1,486,113  1,493,961   Automotive  Term Loan  Loan   3.75  1.00  1.38  5.13  8/20/2021    1,487,628    1,482,563    1,491,347 

MWI Holdings, Inc.

 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 

MRC Global (US) Inc.

  Metals & Mining  Term Loan B  Loan   3.50  1.00  1.35  4.85  9/20/2024    500,000    498,768    502,500 

Navistar, Inc.

  Automotive  Term Loan B  Loan   3.50  1.00  1.25  4.75  11/6/2024    2,000,000    1,990,063    2,005,840 

New Media Holdings II T/L (NEW)

 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   Retailers (Except Food and Drugs)  Term Loan  Loan   6.25  1.00  1.35  7.60  6/4/2020    4,141,573    4,121,968    4,144,182 

New Millennium Holdco, Inc.

 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   Healthcare & Pharmaceuticals  Term Loan  Loan   6.50  1.00  1.35  7.85  12/21/2020    1,915,053    1,798,718    749,264 

Novetta Solutions

 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   Aerospace and Defense  Term Loan (200MM)  Loan   5.00  1.00  1.34  6.34  10/16/2022    1,965,000    1,950,402    1,886,400 

Novetta Solutions

 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   Aerospace and Defense  Term Loan (2nd Lien)  Loan   8.50  1.00  1.34  9.84  10/16/2023    1,000,000    991,987    940,000 

NPC International, Inc.

 Food Services Term Loan (2013) Loan 3.50 1.00 0.00 4.74 4/19/2024  500,000  499,388  502,500   Food Services  Term Loan (2013)  Loan   3.50  1.00  1.34  4.84  4/19/2024    498,750    498,138    501,244 

NVA Holdings (National Veterinary) T/L B2

 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   Services: Consumer  Term Loan B2  Loan   3.50  1.00  1.33  4.83  8/14/2021    1,754,162    1,749,377    1,765,125 

NXT Capital T/L (11/16)

 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   Banking, Finance, Insurance & Real Estate  Term Loan  Loan   3.50  1.00  1.35  4.85  11/23/2022    1,241,247    1,236,607    1,252,108 

Office Depot, Inc.

  Retailers (Except Food and Drugs)  Term Loan B  Loan   7.00  1.00  1.24  8.24  11/8/2022    2,500,000    2,425,581    2,487,500 

Onex Carestream Finance LP

 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   Healthcare & Pharmaceuticals  Term Loan (First Lien 2013)  Loan   4.00  1.00  1.33  5.33  6/7/2019    3,037,274    3,032,894    3,040,129 

OnexYork Acquisition Co

 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 7.81 7/29/2019  2,898,488  2,898,374  2,893,068   Services: Business  Term B Loan  Loan   6.50  1.25  1.31  7.81  7/29/2019    2,890,820    2,889,135    2,901,661 

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   Food/Drug Retailers  Term B Loan  Loan   5.00  1.00  1.51  6.51  9/1/2022    2,000,000    1,983,021    1,860,000 

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

 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 5.32 10/30/2020  965,000  962,318  942,487   Services: Business  Term Loan (First Lien)  Loan   4.00  1.00  1.40  5.40  10/30/2020    962,500    960,014    940,045 

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

 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   Retailers (Except Food and Drugs)  Term Loan B1  Loan   3.00  1.00  1.34  4.34  3/11/2022    975,000    971,086    838,013 

PGX Holdings, Inc.

 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   Financial Intermediaries  Term Loan  Loan   5.25  1.00  1.35  6.60  9/29/2020    2,774,194    2,762,490    2,762,070 

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   Construction & Building  Term Loan B  Loan   3.50  1.00  1.35  4.85  9/20/2024    498,750    496,320    505,398 

Planet Fitness Holdings LLC

 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   Leisure Goods/Activities/Movies  Term Loan  Loan   3.00  0.75  1.35  4.35  3/31/2021    2,374,353    2,368,360    2,386,225 

Plastipak Packaging, Inc

  Containers/Glass Products  Term Loan B  Loan   2.75  1.00  1.27  4.02  10/14/2024    1,000,000    995,063    1,004,750 

Polycom Term Loan (9/16)

 Telecommunications Term Loan Loan 5.25 1.00 0.00 6.49 9/27/2023  1,733,167  1,711,253  1,754,398   Telecommunications  Term Loan  Loan   5.25  1.00  1.35  6.60  9/27/2023    1,587,333    1,568,052    1,599,238 

PrePaid Legal Services, Inc.

 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   Services: Business  Term Loan B  Loan   5.25  1.25  1.35  6.60  7/1/2019    3,072,812    3,074,884    3,074,748 

Presidio, Inc.

 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   Services: Business  Term Loan  Loan   3.25  1.00  1.35  4.60  2/2/2022    1,964,615    1,912,468    1,977,503 

Prestige Brands T/L B4

 Drugs Term Loan B4 Loan 2.75 0.75 0.00 3.99 1/26/2024  456,202  455,187  456,699   Drugs  Term Loan B4  Loan   2.75  0.75  1.35  4.10  1/26/2024    440,434    439,472    442,566 

Prime Security Services (Protection One)

 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   Services: Business  Term Loan  Loan   2.75  1.00  1.35  4.10  5/2/2022    1,975,112    1,966,007    1,988,484 

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   High Tech Industries  Term Loan  Loan   5.50  1.00  1.33  6.83  7/7/2023    500,000    498,773    503,125 

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 

Rackspace Hosting, Inc.

  High Tech Industries  Term Loan B  Loan   3.00  1.00  1.38  4.38  11/3/2023    500,000    498,755    499,220 

Radio Systems Corporation

 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   Leisure Goods/Activities/Movies  Term Loan  Loan   3.50  1.00  1.35  4.85  5/2/2024    1,496,250    1,496,250    1,501,861 

Ranpak Holdings, Inc.

 Services: Business Term Loan Loan 3.25 1.00 0.00 4.49 10/1/2021  911,385  909,107  911,385   Services: Business  Term Loan  Loan   3.25  1.00  1.35  4.60  10/1/2021    909,054    906,782    913,600 

Redtop Acquisitions Limited

 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 

Red Ventures, LLC

  High Tech Industries  Term Loan  Loan   4.00  0.00  1.33  5.33  11/8/2024    1,000,000    990,038    994,690 

Research Now Group, Inc

 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   Media  Term Loan B  Loan   4.50  1.00  1.33  5.83  3/18/2021    2,004,470    1,997,772    1,994,448 

Resolute Investment Managers, Inc.

 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   Banking, Finance, Insurance & Real Estate  Term Loan  Loan   3.25  1.00  1.33  4.58  4/29/2022    724,665    724,665    732,817 

Reynolds Group Holdings Inc.

 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   Industrial Equipment  Incremental U.S. Term Loan  Loan   3.00  0.00  1.35  4.35  2/3/2023    1,747,926    1,747,926    1,755,424 

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   Services: Business  Term Loan  Loan   7.50  1.00  1.33  8.83  3/31/2023    497,500    490,583    463,546 

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   Consumer Goods: Durable  Term Loan  Loan   4.50  1.00  1.25  5.75  8/12/2024    500,000    496,355    503,125 

Rovi Solutions Corporation / Rovi Guides, Inc.

 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   Electronics/Electric  TrancheB-3 Term Loan  Loan   2.50  0.75  1.35  3.85  7/2/2021    1,451,250    1,447,313    1,455,792 

Royal Holdings T/L (02/17)

 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 4.25 1.00 0.00 5.49 6/1/2023  2,228,744  2,123,972  2,238,506   Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   4.25  1.00  1.35  5.60  6/1/2023    2,223,116    2,122,032    2,243,968 

Sable International Finance Ltd

 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   Telecommunications  Term Loan B2  Loan   3.50  0.00  1.35  4.85  1/31/2025    2,500,000    2,487,907    2,501,950 

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   Retail  Term Loan B1  Loan   2.50  0.00  1.38  3.88  7/5/2024    1,000,000    995,155    997,500 

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   Retail  Term Loan (Fixed)  Loan   4.50  0.00  1.38  5.88  7/5/2024    1,000,000    995,164    997,500 

SBP Holdings LP

 Industrial Equipment Term Loan (First Lien) Loan 4.00 1.00 0.00 5.24 3/27/2021  967,500  964,802  888,291   Industrial Equipment  Term Loan (First Lien)  Loan   4.00  1.00  1.35  5.35  3/27/2021    965,000    962,482    911,124 

SCS Holdings (Sirius Computer)

 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   High Tech Industries  Term Loan (First Lien)  Loan   4.25  1.00  1.35  5.60  10/31/2022    2,352,332    2,319,885    2,360,166 

Seadrill Operating LP

 Oil & Gas Term Loan B Loan 3.00 1.00 0.00 4.30 2/21/2021  972,292  924,066  624,698   Oil & Gas  Term Loan B  Loan   3.00  1.00  1.33  4.33  2/21/2021    969,773    924,735    749,838 

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   Banking, Finance, Insurance & Real Estate  Term Loan  Loan   5.00  1.00  1.33  6.33  3/29/2024    1,975,000    1,956,875    1,960,187 

Shearers Foods LLC

 Food Services Term Loan (First Lien) Loan 3.94 1.00 0.00 5.24 6/30/2021  972,500  971,037  972,092   Food Services  Term Loan (First Lien)  Loan   3.94  1.00  1.33  5.27  6/30/2021    970,000    968,536    963,938 

Sitel Worldwide

 Telecommunications Term Loan Loan 5.50 1.00 0.00 6.81 9/18/2021  1,965,000  1,951,088  1,961,325   Telecommunications  Term Loan  Loan   5.50  1.00  1.38  6.88  9/18/2021    1,960,000    1,946,630    1,956,727 

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

 Transportation Term Loan B Loan 4.50 1.00 0.00 5.95 2/2/2024  997,500  993,052  999,166   Transportation  Term Loan B  Loan   4.00  1.00  1.48  5.48  2/2/2024    1,995,000    1,993,026    1,990,850 

Sonneborn, LLC

 Chemicals/Plastics Term Loan (First Lien) Loan 3.75 1.00 0.00 4.99 12/10/2020  206,920  206,619  207,954   Chemicals/Plastics  Term Loan (First Lien)  Loan   3.75  1.00  1.35  5.10  12/10/2020    206,389    206,111    207,163 

Sonneborn, LLC

 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   Chemicals/Plastics  Initial US Term Loan  Loan   3.75  1.00  1.35  5.10  12/10/2020    1,169,537    1,167,961    1,173,923 

Sophia, L.P.

 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   Electronics/Electric  Term Loan (Closing Date)  Loan   3.25  1.00  1.33  4.58  9/30/2022    1,935,910    1,927,542    1,935,097 

SRAM, LLC

 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   Industrial Equipment  Term Loan (First Lien)  Loan   3.25  1.00  1.44  4.69  3/15/2024    2,517,804    2,497,084    2,536,687 

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   Retail  Term Loan B  Loan   4.00  1.00  1.31  5.31  8/15/2024    2,000,000    1,995,041    1,913,580 

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   Food Services  Term Loan  Loan   3.75  1.00  1.35  5.10  3/19/2021    847,491    843,134    771,217 

Survey Sampling International

 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   Services: Business  Term Loan B  Loan   4.00  1.00  4.25  8.25  12/16/2020    2,700,965    2,689,404    2,700,965 

Sybil Finance BV

 High Tech Industries Term Loan B Loan 3.25 1.00 0.00 4.50 9/29/2023  975,156  971,083  980,237 

Sybil Software LLC

  High Tech Industries  Term Loan B  Loan   2.75  1.00  1.31  4.06  9/29/2023    962,813    958,108    968,676 

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   High Tech Industries  Term Loan B  Loan   5.00  1.00  1.36  6.36  8/16/2024    2,000,000    1,980,439    1,948,340 

Syniverse Holdings, Inc.

 Telecommunications Initial Term Loan Loan 3.00 1.00 0.00 4.31 4/23/2019  468,409  466,861  448,501 

Ten-X, LLC

  Banking, Finance, Insurance & Real Estate  Term Loan  Loan   4.00  1.00  1.35  5.35  9/30/2024    2,000,000    1,997,570    2,002,500 

Townsquare Media, Inc.

 Media Term Loan B Loan 3.00 1.00 0.00 4.30 4/1/2022  911,712  907,640  911,712   Media  Term Loan B  Loan   3.00  1.00  1.42  4.42  4/1/2022    911,712    907,766    911,429 

TransDigm, Inc.

 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   Aerospace and Defense  Tranche C Term Loan  Loan   3.00  0.75  1.35  4.35  2/28/2020    4,200,623    4,207,721    4,219,273 

Travel Leaders Group, LLC

 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   Hotel, Gaming and Leisure  Term Loan B  Loan   4.50  0.00  1.42  5.92  1/25/2024    1,990,013    1,981,185    2,019,863 

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   Services: Business  Term Loan  Loan   4.00  1.00  1.28  5.28  6/21/2024    3,000,000    2,985,656    3,001,890 

Truck Hero, Inc. (Tectum Holdings)

 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   Transportation  Term Loan B  Loan   4.00  1.00  1.33  5.33  4/22/2024    2,995,000    2,970,996    2,991,256 

Trugreen Limited Partnership

 Services: Business Term Loan B Loan 4.00 1.00 0.00 5.23 4/13/2023  495,000  487,643  499,950   Services: Business  Term Loan B  Loan   4.00  1.00  1.25  5.25  4/13/2023    495,000    487,926    501,806 

Twin River Management Group, Inc.

 Lodging & Casinos Term Loan B Loan 3.50 1.00 0.00 4.80 7/10/2020  790,346  791,422  794,796   Lodging & Casinos  Term Loan B  Loan   3.50  1.00  1.33  4.83  7/10/2020    787,846    788,759    796,378 

Univar Inc.

 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   Chemicals/Plastics  Term B Loan  Loan   2.50  0.00  1.34  3.84  7/1/2022    2,940,281    2,925,589    2,947,632 

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   Telecommunications  Replacement First-Lien Term Loan  Loan   2.75  1.00  1.35  4.10  3/15/2024    2,862,450    2,845,791    2,841,382 

UOS, LLC (Utility One Source)

 Capital Equipment Term Loan B Loan 5.50 1.00 0.00 6.80 4/18/2023  500,000  495,186  509,065   Capital Equipment  Term Loan B  Loan   5.50  1.00  1.35  6.85  4/18/2023    598,750    596,590    611,473 

UPC Broadband Holding B.V.

  Media, Broadcasting & Subscription  Term Loan  Loan   2.50  0.00  1.25  3.75  1/15/2026    1,000,000    998,760    1,000,830 

Valeant Pharmaceuticals International, Inc.

 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   Drugs  Series D2 Term Loan B  Loan   3.50  0.75  1.25  4.75  4/1/2022    976,339    976,339    989,275 

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  497,580  505,625   Banking, Finance, Insurance & Real Estate  Term Loan B  Loan   3.50  0.75  1.32  4.82  6/3/2024    498,750    496,430    503,738 

Vizient Inc.

 Healthcare & Pharmaceuticals Term Loan Loan 3.50 1.00 0.00 4.74 2/13/2023  879,853  858,575  888,651   Healthcare & Pharmaceuticals  Term Loan  Loan   3.50  1.00  1.35  4.85  2/13/2023    860,245    840,130    862,396 

Washington Inventory Service

 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   High Tech Industries  U.S. Term Loan (First Lien)  Loan   6.00  0.00  1.32  7.32  6/8/2020    1,111,056    1,123,172    980,507 

Weight Watchers International, Inc.

  Services: Consumer  Term Loan B  Loan   4.75  0.75  1.48  6.23  11/29/2024    2,000,000    1,960,000    1,966,880 

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   Retail  Term Loan B  Loan   5.25  1.00  1.35  6.60  6/30/2023    2,495,000    2,477,137    2,505,928 

Western Digital Corporation

 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   High Tech Industries  Term Loan B (USD)  Loan   2.00  0.75  1.31  3.31  4/28/2023    1,580,060    1,533,109    1,583,836 

Windstream Services, LLC

 Telecommunications Term Loan B6 Loan 4.00 0.75 0.00 5.27 3/29/2021  994,366  985,495  905,867   Telecommunications  Term Loan B6  Loan   4.00  0.75  1.27  5.27  3/29/2021    888,561    881,085    835,247 

Wirepath LLC

  Consumer Goods:Non-durable  Term Loan  Loan   5.25  1.00  1.33  6.58  8/5/2024    1,000,000    998,418    1,005,000 

Xerox Business Services T/L B (Conduent)

 Services: Business Term Loan Loan 4.00 0.00 0.00 5.24 12/7/2023  746,250  734,919  752,220   Services: Business  Term Loan  Loan   3.00  0.00  1.35  4.35  12/7/2023    744,375    733,437    748,566 

ZEP, Inc.

 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   Chemicals/Plastics  Term Loan B  Loan   4.00  1.00  1.38  5.38  6/27/2022    2,500,000    2,487,810    2,512,500 

Zest Holdings 1st Lien T/L (2014 Replacement)

 Healthcare & Pharmaceuticals Term Loan Loan 4.25 1.00 0.00 5.49 8/16/2023  997,500  992,766  1,003,315   Healthcare & Pharmaceuticals  Term Loan  Loan   4.25  1.00  1.35  5.60  8/16/2023    995,000    990,405    1,001,219 
          

 

  

 

                 

 

   

 

 
          $301,224,354  $294,524,652                 $309,596,755   $302,694,197 
          

 

  

 

                 

 

   

 

 
           Principal Cost Fair Value                        Principal   Cost   Fair Value 

Cash and cash equivalents

Cash and cash equivalents

          

Cash and cash equivalents

                

U.S. Bank Money Market (a)

U.S. Bank Money Market (a)

        $7,475,599  $7,475,599  $7,475,599 

U.S. Bank Money Market (a)

            $4,971,935   $4,971,935   $4,971,935 
         

 

  

 

  

 

               

 

   

 

   

 

 

Total cash and cash equivalents

Total cash and cash equivalents

        $7,475,599  $7,475,599  $7,475,599 

Total cash and cash equivalents

            $4,971,935   $4,971,935   $4,971,935 
         

 

  

 

  

 

               

 

   

 

   

 

 

(a) Included within cash and cash equivalents in Saratoga CLO’s Statementsstatements of Assetsassets and Liabilitiesliabilities as of August 31,November 30, 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 

ABBCon-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 LoanB-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 LoanB-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 LoanB-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 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  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 LoanB-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 InternationalCompany-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 LoanB-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 BAdd-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 LoanB-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 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  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/LB-6

 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  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) 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  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 LoanF-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 Loan F-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 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  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 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  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

          

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 Statementsstatements of Assetsassets and Liabilitiesliabilities 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 August 31,November 30, 2017 and August 31,November 30, 2016, the Company incurred $1.5 million and $1.2 million in base management fees, respectively. For the three months ended August 31,November 30, 2017 and August 31,November 30, 2016, the Company incurred $0.9$0.8 million and $0.8 million in incentive fees related topre-incentive fee net investment income, respectively. For the three months ended August 31,November 30, 2017, and August 31, 2016, the Company accrued $0.8$0.3 million andin incentive fees related to capital gains. For the three months ended November 30, 2016, there was a reduction of $0.4 million in incentive fees related to capital gains, respectively.gains. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, the Company incurred $2.9$4.4 million and $2.4$3.6 million in base management fees, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, the Company incurred $1.7$2.5 million and $1.4$2.2 million in incentive fees related topre-incentive fee net investment income, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, the Company accrued $0.2$0.4 million and $0.5$0.1 million in incentive fees related to capital 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 August 31,November 30, 2017, the base management fees accrual was $1.5 million and the incentive fees accrual was $3.6$3.7 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 August 31,November 30, 2017 and August 31,November 30, 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 sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recognized $0.8$1.2 million and $0.7$1.0 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 August 31,November 30, 2017, $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 sixnine months ended August 31,November 30, 2017 and August 31,November 30, 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%284.0% as of August 31,November 30, 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%.

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%2.00%;

 

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 August 31,November 30, 2017 and February 28, 2017, there was $10.0$1.0 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 August 31,November 30, 2017 and August 31,November 30, 2016, we recorded $0.4$0.2 million and $0.1 million of interest expense, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recorded $0.5$0.7 million and $0.2$0.3 million of interest expense, respectively. For the three months ended August 31,November 30, 2017 and August 31,November 30, 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 sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recorded $0.04$0.1 million and $0.04$0.1 million of amortization of deferred financing costs related to the Credit Facility and Revolving Facility, respectively. The weighted average interest rates during the three and sixnine months ended August 31,November 30, 2017 on the outstanding borrowings under the Credit Facility were 5.92%6.05% and 5.94%5.97%, respectively. During the three and sixnine months ended August 31,November 30, 2017, the average dollar amount of outstanding borrowings under the Credit Facility was $21.3$6.0 million and $10.9$9.3 million, respectively. During the three and sixnine months ended August 31,November 30, 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 $34.0$31.8 million subject to the Credit Facility cap of $45.0 million at August 31,November 30, 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 August 31,November 30, 2017 borrowing base relies upon the valuations set forth in the Quarterly Report onForm 10-Q for the period ended MayAugust 31, 2017, as filed with the SEC on July 12,October 11, 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 August 31,November 30, 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 August 31,November 30, 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 August 31,November 30, 2017 and August 31,November 30, 2016, we recorded $1.0$1.1 million and $0.8$0.9 million of interest expense related to the SBA debentures, respectively. For the three months ended August 31,November 30, 2017 and August 31,November 30, 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 August 31,November 30, 2017 and August 31,November 30, 2016 on the outstanding borrowings of the SBA debentures was 3.06%3.14% and 3.19%3.08%, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recorded $2.0$3.0 million and $1.7$2.5 million of interest expense related to the SBA debentures, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recorded $0.2$0.4 million and $0.3$0.4 million of amortization of deferred financing costs related to the SBA debentures, respectively. The weighted average interest rate during the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 on the outstanding borrowings of the SBA debentures was 3.11%3.12% and 3.14%3.12%, respectively. During the three and sixnine months ended August 31,November 30, 2017, the average dollar amount of SBA debentures outstanding was $134.7 million and $124.4$127.8 million, respectively. During the three and sixnine months ended August 31,November 30, 2016, the average dollar amount of SBA debentures outstanding was $103.7 million.$110.7 million and $106.0 million, respectively.

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 August 31,November 30, 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 August 31,November 30, 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 August 31,November 30, 2017, the carrying amount and fair value of the 2023 Notes was $74.5 million and $77.9$78.3 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 sixnine months ended August 31,November 30, 2017, we recorded $1.3 million and $2.5$3.8 million, respectively, of interest expense and $0.1 million and $0.2$0.3 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 sixnine months ended August 31,November 30, 2016, we recorded $1.2 million and $2.3$3.5 million, respectively, of interest expense and $0.1 million and $0.2$0.3 million, respectively, of amortization of deferred financing costs related to the 2020 Notes. During the three and sixnine months ended August 31,November 30, 2017, the average dollar amount of 2023 Notes outstanding was $74.5 million. During the three and sixnine months ended August 31,November 30, 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 August 31,November 30, 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

  $219,111   $—     $—     $—     $219,111 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
       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

  $210,111   $—    $—    $—    $210,111 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Off-balance sheet arrangements

The Company’soff-balance sheet arrangements consisted of $5.0$5.9 million and $2.0 million of unfunded commitments to provide debt financing to its portfolio companies or to fund limited partnership interests as of August 31,November 30, 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 August 31,November 30, 2017 and February 28, 2017 is shown in the table below (dollars in thousands):

 

  As of   As of 
  August 31, 2017   February 28, 2017   November 30, 2017   February 28, 2017 

CLEO Communications Holding, LLC

  $3,000   $—     $3,000   $—  

GreyHeller LLC

   2,000    2,000    2,000    2,000 

Pathway Partners Vet Management Company LLC

   917    —  
  

 

   

 

   

 

   

 

 

Total

  $5,000   $2,000   $5,917   $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 August 31,November 30, 2017 and August 31,November 30, 2016, we incurred $0.06$0.04 million and $0.06$0.07 million for directors’ fees and expenses, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we incurred $0.1$0.2 million and $0.1$0.2 million for directors’ fees and expenses, respectively. As of August 31,November 30, 2017 and February 28, 2017, $0.06 million$0.0 and $0.05 million in directors’ fees and expenses were accrued and unpaid, respectively. As of August 31,November 30, 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 August 31,November 30, 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 August 31,November 30, 2017, the Company sold 117,354266,113 shares for gross proceeds of $2.6$6.0 million at an average price of $22.49 for aggregate net proceeds of $2.6$5.9 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 August 31,November 30, 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

  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 
Statements of Operations – Easy Ice, LLC  December 31, 2016   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, “Earnings per 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 resulting from operations per share from operations for the three and sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 (dollars in thousands except share and per share amounts):

 

  For the three months ended   For the six months ended   For the three months ended   For the nine months ended 

Basic and diluted

  August 31,
2017
   August 31,
2016
   August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
   November 30,
2017
   November 30,
2016
 

Net increase in net assets from operations

  $6,870   $5,272   $7,884   $8,559 

Net increase in net assets resulting from operations

  $4,263   $1,574   $12,147   $10,133 

Weighted average common shares outstanding

   5,955,251    5,740,816    5,908,453    5,739,157    6,040,311    5,727,933    5,952,086    5,735,443 

Weighted average earnings per common share

  $1.15   $0.92   $1.33   $1.49   $0.71   $0.27   $2.04   $1.77 

Note 12. Dividend

On August 28, 2017, the Company declared a dividend of $0.48 per share which was paid on September 26, 2017, to common stockholders of record as of 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, 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 sixnine months ended August 31,November 30, 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
 

August 28, 2017

   September 15, 2017    September 26, 2017   $0.48   $2,866 

May 30, 2017

   June 15, 2017    June 27, 2017   $0.47   $2,792    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

      $0.93   $5,458       $1.41   $8,324 
      

 

   

 

       

 

   

 

 

 

*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 sixnine months ended August 31,November 30, 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
 

October 5, 2016

   October 31, 2016    November 9, 2016   $0.44   $2,509 

August 8, 2016

   August 24, 2016    September 5, 2016   $0.20   $1,151    August 24, 2016    September 5, 2016   $0.20   $1,151 

July 7, 2016

   July 29, 2016    August 9, 2016   $0.43   $2,466    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

      $1.04   $5,963       $1.48   $8,472 
      

 

   

 

       

 

   

 

 

 

*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 sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016:

 

 August 31, 2017 August 31, 2016   November 30, 2017 November 30, 2016 

Per share data:

   

Net asset value at beginning of period

 $21.97  $22.06   $21.97  $22.06 

Net investment income(1)

 1.08  0.90    1.58  1.49 

Net realized and unrealized gains and losses on investments

 0.25  0.59    0.46  0.28 
 

 

  

 

   

 

  

 

 

Net increase in net assets from operations

 1.33  1.49    2.04  1.77 

Distributions declared from net investment income

 (0.93 (1.04   (1.41 (1.48
 

 

  

 

   

 

  

 

 

Total distributions to stockholders

 (0.93 (1.04   (1.41 (1.48

Dilution(4)

  —    (0.12   (0.02 (0.14

Net asset value at end of period

 $22.37  $22.39   $22.58  $22.21 

Net assets at end of period

 $133,459,608  $128,563,622   $138,846,223  $127,679,730 

Shares outstanding at end of period

 5,967,272  5,740,810    6,149,582  5,748,247 

Per share market value at end of period

 $21.95  $17.93   $22.30  $20.18 

Total return based on market value(2)

 0.92 34.41   4.96 56.98

Total return based on net asset value(3)

 6.45 8.19   10.00 11.37

Ratio/Supplemental data:

   

Ratio of net investment income to average net assets(8)

 11.27 9.53   10.21 9.54

Ratio of operating expenses to average net assets(7)

 7.99 7.09   7.95 7.10

Ratio of incentive management fees to average net assets(6)

 1.46 1.52   2.23 1.83

Ratio of interest and debt financing expenses to average net assets(7)

 8.44 7.40   8.30 7.42

Ratio of total expenses to average net assets(8)

 17.88 16.01   18.48 16.35

Portfolio turnover rate(5)

 14.21 20.98   14.08 31.25

Asset coverage ratio per unit(6)

 2,580  3,081    2,840  3,066 

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  25.26    N/A  25.35 

2023 Notes

 26.09  N/A    26.10  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 August 28,November 29, 2017, the Company declared a dividend of $0.48$0.49 per share payable on September 26,December 27, 2017, to common stockholders of record on SeptemberDecember 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 $2.2$2.5 million in cash and 33,55125,435 newly issued shares of common stock, or 0.6%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 $20.19$21.14 per share, which equaled the volume weighted average trading price per share of the common stock on SeptemberDecember 13, 14, 15, 18, 19, 20, 21, 22, 2526 and 26,27, 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(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 August 31,November 30, 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 August 31,November 30, 2017, the Company sold 117,354266,113 shares for gross proceeds of $2.6$6.0 million at an average price of $22.49 for aggregate net proceeds of $2.6$5.9 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 March 2017, the FASB issued Accounting Standards Update (“ASU”)2017-08,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 interim periods within those fiscal years, 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 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 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 tofor annual periods beginning after December 15, 2017. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606. Management is evaluating the impact of the standard on certain other income earned by the Company.

Portfolio and investment activity

Corporate Debt Portfolio Overview

 

  At August 31,
2017
   At February 28,
2017
   At November 30,
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    32    28 

Average investment size(1)

  $5.6   $5.4   $5.7   $5.4 

Weighted average maturity(1)

   3.8 yrs    3.8 yrs    3.7 yrs    3.8 yrs 

Number of industries(3)

   9    9    9    9 

Average investment per portfolio company(1)

  $10.4   $9.7   $9.9   $9.7 

Non-performing or delinquent investments

  $8.4   $8.4   $8.3   $8.4 

Fixed rate debt (% of interest bearing portfolio)(2)

  $46.0(15.6%)   $44.2(16.9%)   $48.2(16.0%)   $44.2(16.9%) 

Weighted average current coupon(2)

   11.3%    11.4%    11.4%    11.4% 

Floating rate debt (% of interest bearing portfolio)(2)

  $  250.0(84.4%)   $  217.6(83.1%)   $  252.7(84.0%)   $  217.6(83.1%) 

Weighted average current spread over LIBOR(2)(4)

   9.4%    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 terms, and after factoring in any existing LIBOR floors.

During the three months ended August 31,November 30, 2017, we invested $36.7$5.2 million in new or existing portfolio companies and had $37.9$1.8 million in aggregate amount of exits and repayments resulting in net investments of $3.4 million for the period. During the three months ended November 30, 2016, we invested $30.1 million in new or existing portfolio companies and had $23.8 million in aggregate amount of exits and repayments resulting in net investments of $6.3 million for the period.

During the nine months ended November 30, 2017, we invested $86.9 million in new or existing portfolio companies and had $45.6 million in aggregate amount of exits and repayments resulting in net investments of $41.3 million for the period. During the nine months ended November 30, 2016, we invested $85.9 million in new or existing portfolio companies and had $94.7 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 $5.4 million for the period.

During the six months ended August 31, 2017, we invested $81.7 million in new or existing portfolio companies and had $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 $15.2$8.8 million for the period.

Our portfolio composition at August 31,November 30, 2017 and February 28, 2017 at fair value was as follows:

Portfolio composition

 

  At August 31, 2017 At February 28, 2017   At November 30, 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

   2.7 5.4 3.4 5.3   2.7 5.6 3.4 5.3

First lien term loans

   54.9  10.7  54.3  10.5    54.8  10.8  54.3  10.5 

Second lien term loans

   29.2  12.0  30.0  11.7    29.3  11.9  30.0  11.7 

Structured finance securities

   5.0  18.8  5.3  12.7    4.8  19.4  5.3  12.7 

Equity interests

   8.2  3.6  7.0  0.4    8.4  3.6  7.0  0.4 
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Total

   100.0 11.2 100.0 10.9   100.0 11.3 100.0 10.9
  

 

  

 

  

 

  

 

   

 

  

 

  

 

  

 

 

Our investment in the subordinated notes of Saratoga CLO represents a first loss position in a portfolio that, at August 31,November 30, 2017 and February 28, 2017 was composed of $300.1$308.6 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 August 31,November 30, 2017, $289.4$296.7 million or 98.3%98.0% 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 were noone Saratoga CLO portfolio investmentsinvestment was in default.default with a fair value of $1.6 million. 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 principal payment default and/or riskexpected loss of principal recovery.principal.

The CMR distribution of our investments at August 31,November 30, 2017 and February 28, 2017 was as follows:

Portfolio CMR distribution

 

  At August 31, 2017 At February 28, 2017   At November 30, 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

  $285,721    85.8 $245,678    83.9  $290,304    85.7 $245,678    83.9

Yellow

   7,996    2.4  8,423    2.9    8,276    2.4  8,423    2.9 

Red

   6    0.0  7,069    2.4    8    0.0  7,069    2.4 

N/A(1)

   39,247    11.8  31,491    10.8    40,250    11.9  31,491    10.8 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $332,970    100.0 $292,661    100.0  $338,838    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 $0.9$1.4 million as of August 31,November 30, 2017 primarily related to the increase in reserve for the sixnine months on thenon-performing and delinquent investment, TM Restaurant Group L.L.C.

The CMR distribution of Saratoga CLO investments at August 31,November 30, 2017 and February 28, 2017 was as follows:

Portfolio CMR distribution

 

  At August 31, 2017 At February 28, 2017   At November 30, 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

  $265,782    90.3 $266,449    91.1  $268,903    88.8 $266,449    91.1

Yellow

   23,657    8.0  22,064    7.6    27,819    9.2  22,064    7.6 

Red

   5,086    1.7  3,925    1.3    5,968    2.0  3,925    1.3 

N/A(1)

   —      0.0  23    0.0    4    0.0  23    0.0 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $294,525    100.0 $292,461    100.0  $302,694    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 August 31,November 30, 2017 and February 28, 2017:

 

  At August 31, 2017 At February 28, 2017   At November 30, 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

  $188,121    56.5 $161,212    55.1  $192,925    56.9 $161,212    55.1

Healthcare Services

   38,121    11.4  38,544    13.2    39,954    11.8  38,544    13.2 

Education

   26,768    8.0  10,928    3.7    26,783    7.9  10,928    3.7 

Media

   17,902    5.4  18,698    6.4    17,876    5.3  18,698    6.4 

Consumer Services

   17,569    5.3  20,748    7.1    17,226    5.1  20,748    7.1 

Structured Finance Securities (1)

   16,537    5.0  15,450    5.3 

Structured Finance Securities(1)

   16,313    4.8  15,450    5.3 

Building Products

   14,850    4.5   —      —      14,850    4.4   —      —   

Food and Beverage

   8,350    2.5  8,423    2.9    8,275    2.4  8,423    2.9 

Metals

   3,463    1.0  851    0.3    4,342    1.3  851    0.3 

Consumer Products

   1,289    0.4  968    0.3    294    0.1  968    0.3 

Real Estate

   —      —    16,839    5.7    —      —    16,839    5.7 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $332,970    100.0 $292,661    100.0  $338,838    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 August 31,November 30, 2017 and February 28, 2017:

 

  At August 31, 2017 At February 28, 2017   At November 30, 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

  $38,697    13.2 $40,675    13.9  $41,880    13.8 $40,675    13.9

High Tech Industries

   29,052    9.6  17,851    6.1 

Healthcare & Pharmaceuticals

   28,699    9.8  33,002    11.3    26,287    8.7  33,002    11.3 

High Tech Industries

   25,751    8.8  17,851    6.1 

Telecommunications

   18,873    6.2  13,704    4.7 

Banking, Finance, Insurance & Real Estate

   20,277    6.9  14,752    5.0    17,316    5.7  14,752    5.0 

Telecommunications

   17,723    6.0  13,704    4.7 

Retailers (Except Food and Drugs)

   16,987    5.6  14,706    5.0 

Chemicals/Plastics

   17,273    5.9  21,492    7.4    15,257    5.0  21,492    7.4 

Media

   11,192    3.7  11,283    3.9 

Aerospace and Defense

   15,152    5.2  11,643    4.0    10,690    3.5  11,643    4.0 

Retailers (Except Food and Drugs)

   15,108    5.1  14,706    5.0 

Media

   11,435    3.9  11,283    3.9 

Automotive

   9,061    3.0  6,088    2.1 

Industrial Equipment

   9,158    3.1  9,853    3.4    8,068    2.7  9,853    3.4 

Automotive

   7,128    2.4  6,088    2.1 

Services: Consumer

   7,769    2.6  788    0.3 

Leisure Goods/Activities/Movies

   6,610    2.2  9,627    3.3    7,484    2.5  9,627    3.3 

Transportation

   6,977    2.3  2,731    0.9 

Retail

   5,991    2.0   —      —      6,414    2.1   —     —  

Utilities

   5,936    2.0  4,944    1.7 

Financial Intermediaries

   4,504    1.5  9,476    3.2 

Publishing

   4,347    1.4  4,580    1.6 

Food Services

   4,174    1.4  5,932    2.0 

Oil & Gas

   4,143    1.4  3,209    1.1 

Beverage, Food & Tobacco

   3,971    1.3  3,013    1.0 

Drugs

   3,774    1.3  5,394    1.8 

Capital Equipment

   5,966    2.0  6,026    2.1    3,595    1.2  6,026    2.1 

Financial Intermediaries

   4,718    1.6  9,476    3.2 

Services: Consumer

   4,514    1.5  788    0.3 

Publishing

   4,485    1.5  4,580    1.6 

Drugs

   4,359    1.5  5,394    1.8 

Food Services

   4,242    1.4  5,932    2.0 

Beverage, Food & Tobacco

   3,970    1.3  3,013    1.0 

Transportation

   3,933    1.3  2,731    0.9 

Utilities

   3,923    1.3  4,944    1.7 

Technology

   3,547    1.2  3,935    1.3 

Containers/Glass Products

   3,409    1.1  2,008    0.7 

Electronics/Electric

   3,872    1.3  8,036    2.7    3,391    1.1  8,036    2.7 

Technology

   3,457    1.2  3,935    1.3 

Oil & Gas

   3,083    1.0  3,209    1.1 

Construction & Building

   2,960    1.0  1,974    0.7    2,921    1.0  1,974    0.7 

Insurance

   2,914    1.0  3,001    1.0    2,911    1.0  3,001    1.0 

Conglomerate

   2,546    0.9  3,584    1.2    2,534    0.8  3,584    1.2 

Brokers/Dealers/Investment Houses

   2,432    0.8  2,479    0.8    2,426    0.8  2,479    0.8 

Containers/Glass Products

   2,394    0.8  2,008    0.7 

Lodging and Casinos

   2,304    0.8  4,311    1.5    2,304    0.8  4,311    1.5 

Hotel, Gaming and Leisure

   2,009    0.7  2,025    0.7    2,020    0.7  2,025    0.7 

Food/Drug Retailers

   1,860    0.6  2,877    1.0 

Food Products

   2,000    0.7  3,147    1.1    1,619    0.5  3,147    1.1 

Food/Drug Retailers

   1,977    0.7  2,877    1.0 

Cable and Satellite Television

   1,605    0.5  1,617    0.6    1,602    0.5  1,617    0.6 

Consumer Goods: Durable

   503    0.2   —      —   

Consumer Goods:Non-Durable

   497    0.2   —      —      1,005    0.3   —     —  

Forest Products & Paper

   493    0.2   —      —      1,001    0.3   —     —  

Media, Broadcasting & Subscription

   1,001    0.3   —     —  

Consumer Goods: Durable

   503    0.2   —     —  

Metals & Mining

   502    0.2   —     —  

Broadcast Radio and Television

   367    0.1  343    0.1    387    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

  $294,525    100.0 $292,461    100.0  $302,694    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 August 31,November 30, 2017 and February 28, 2017. The geographic composition is determined by the location of the corporate headquarters of the portfolio company.

 

  At August 31, 2017 At February 28, 2017   At November 30, 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

  $149,968    45.0 $116,186    39.7  $153,313    45.2 $116,186    39.7

Midwest

   83,949    25.2  75,154    25.7    85,465    25.2  75,154    25.7 

Southwest

   36,800    10.9  34,060    11.6 

Northeast

   35,108    10.6  38,880    13.3    34,782    10.3  38,880    13.3 

Southwest

   34,183    10.3  34,060    11.6 

Other (1)

   16,537    5.0  15,450    5.3    16,313    4.8  15,450    5.3 

Northwest

   7,785    2.3  7,780    2.6    7,729    2.3  7,780    2.6 

West

   5,440    1.6  5,151    1.8    4,436    1.3  5,151    1.8 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $332,970    100.0 $292,661    100.0  $338,838    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 sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 were as follows:

 

  For the three months ended   For the three months ended 
  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 
  ($ in thousands)   ($ in thousands) 

Total investment income

  $10,254   $8,448   $9,526   $8,442 

Total operating expenses

   7,363    5,844    6,510    5,023 
  

 

   

 

   

 

   

 

 

Net investment income

   2,891    2,604    3,016    3,419 

Net realized gains (losses) from investments

   (5,775   5,937 

Net realized gains from investments

   21    260 

Net change in unrealized appreciation (depreciation) on investments

   9,754    (3,269   1,226    (2,105
  

 

   

 

   

 

   

 

 

Net increase in net assets resulting from operations

  $6,870   $5,272   $4,263   $1,574 
  

 

   

 

   

 

   

 

 
  For the six months ended   For the nine months ended 
  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 
  ($ in thousands)   ($ in thousands) 

Total investment income

  $18,961   $16,356   $28,487   $24,799 

Total operating expenses

   12,566    11,214    19,076    16,238 
  

 

   

 

   

 

   

 

 

Net investment income

   6,395    5,142    9,411    8,561 

Net realized gains (losses) from investments

   (5,679   12,040    (5,658   12,300 

Net change in unrealized appreciation (depreciation) on investments

   7,168    (8,623   8,394    (10,728
  

 

   

 

   

 

   

 

 

Net increase in net assets resulting from operations

  $7,884   $8,559   $12,147   $10,133 
  

 

   

 

   

 

   

 

 

Investment income

The composition of our investment income for the three and sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 waswere as follows:

 

  For the three months ended   For the three months ended 
  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 
  ($ in thousands)   ($ in thousands) 

Interest from investments

  $9,187   $7,303   $8,891   $7,456 

Management fee income

   376    375    376    375 

Incentive fee income

   162    —      209    —   

Interest from cash and cash equivalents and other income

   529    770    50    611 
  

 

   

 

   

 

   

 

 

Total investment income

  $10,254   $8,448   $9,526   $8,442 
  

 

   

 

   

 

   

 

 
  For the six months ended   For the nine months ended 
  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 
  ($ in thousands)   ($ in thousands) 

Interest from investments

  $16,927   $14,585   $25,818   $22,040 

Management fee income

   752    748    1,128    1,124 

Incentive fee income

   268    —      477    —   

Interest from cash and cash equivalents and other income

   1,014    1,023    1,064    1,635 
  

 

   

 

   

 

   

 

 

Total investment income

  $18,961   $16,356   $28,487   $24,799 
  

 

   

 

   

 

   

 

 

For the three months ended August 31,November 30, 2017, total investment income of $10.3$9.5 million increased $1.9$1.1 million, or 21.4%12.8% compared to $8.4 million for the three months ended August 31,November 30, 2016. Interest income from investments increased $1.9$1.4 million, or 25.8%19.2%, to $9.2$8.9 million for the three months ended August 31,November 30, 2017 from $7.3$7.5 million for the three months ended August 31,November 30, 2016. This reflects an increase of 22.1% in total investments to $333.0$338.8 million at August 31,November 30, 2017 from $272.8$277.6 million at August 31, 2016. The increase was offset byNovember 30, 2016, with the weighted average current coupon decreasingincreasing from 11.9%10.8% to 11.2%11.3%.

For the sixnine months ended August 31,November 30, 2017, total investment income of $19.0$28.5 million increased $2.6$3.7 million, or 15.9%14.9% compared to $16.4$24.8 million for the sixnine months ended August 31,November 30, 2016. Interest income from investments increased $2.3$3.8 million, or 16.1%17.1%, to $16.9$25.8 million for the sixnine months ended August 31,November 30, 2017 from $14.6$22.0 million for the sixnine months ended August 31,November 30, 2016. This reflects an increase of 22.1% in total investments to $333.0$338.8 million at August 31,November 30, 2017 from $272.8$277.6 million at August 31, 2016. The increase was offset byNovember 30, 2016, with the weighted average current coupon decreasingincreasing from 11.9%10.8% to 11.2%11.3%.

For the three months ended August 31,November 30, 2017 and August 31,November 30, 2016, total PIK income was $0.5$0.8 million and $0.2 million, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, total PIK income was $1.0$1.8 million and $0.3$0.5 million, respectively. The increase was primarily due to the investments in Easy Ice, LLC and My Alarm Center, LLC that increased PIK interest during these periods.

For the three and sixnine months ended August 31,November 30, 2017, incentive fee income of $0.2 million and $0.3$0.5 million, respectively, was recognized related to the Saratoga CLO, reflecting the 12.0% hurdle rate that has been achieved. For the three and nine months ended November 30, 2016, we did not accrue any amounts related to the incentive management fee from Saratoga CLO as the 12.0% hurdle rate had not yet been achieved.

Operating expenses

The composition of our operating expenses for the three and sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016 was as follows:

Operating Expenses

  For the three months ended   For the three months ended 
  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 
  ($ in thousands)   ($ in thousands) 

Interest and debt financing expenses

  $2,963   $2,370   $2,759   $2,369 

Base management fees

   1,482    1,203    1,485    1,220 

Professional fees

   407    302    388    330 

Administrator expenses

   396    325    438    342 

Incentive management fees

   1,710    1,208    1,055    395 

Insurance

   66    71    65    69 

Directors fees and expenses

   60    60    43    66 

General and administrative and other expenses

   294    305    277    232 

Excise tax expense (credit)

   (15   —      —      —   
  

 

   

 

   

 

   

 

 

Total operating expenses

  $7,363   $5,844   $6,510   $5,023 
  

 

   

 

   

 

   

 

 
  For the six months ended   For the nine months ended 
  August 31,
2017
   August 31,
2016
   November 30,
2017
   November 30,
2016
 
  ($ in thousands)   ($ in thousands) 

Interest and debt financing expenses

  $5,486   $4,738   $8,245   $7,107 

Base management fees

   2,873    2,430    4,358    3,650 

Professional fees

   792    662    1,180    992 

Administrator expenses

   771    650    1,208    992 

Incentive management fees

   1,886    1,937    2,940    2,331 

Insurance

   132    141    197    210 

Directors fees and expenses

   111    126    154    192 

General and administrative and other expenses

   530    530    809    764 

Excise tax expense (credit)

   (15   —      (15   —   
  

 

   

 

   

 

   

 

 

Total operating expenses

  $12,566   $11,214   $19,076   $16,238 
  

 

   

 

   

 

   

 

 

For the three months ended August 31,November 30, 2017, total operating expenses increased $1.5 million, or 26.0%29.6% compared to the three months ended August 31,November 30, 2016. For the sixnine months ended August 31,November 30, 2017, total operating expenses increased $1.4$2.8 million, or 12.1%17.5% compared to the sixnine months ended August 31,November 30, 2016.

For the three and sixnine months ended August 31,November 30, 2017 and August 31,November 30, 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, additional notes being issued and our Credit Facility having an outstanding balance thisquarter-end. Our SBA debentures increased from $103.7$112.7 million at August 31,November 30, 2016 to $134.7 million at August 31,November 30, 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 August 31,November 30, 2017, the weighted average interest rate on our outstanding indebtedness was 4.47% compared to 4.66% for the three months ended November 30, 2016. For the nine months ended November 30, 2017, the weighted average interest rate on our outstanding indebtedness was 4.52% compared to 4.80%4.73% for the threenine months ended August 31, 2016. For 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,November 30, 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%64.6% of overall debt as of August 31,November 30, 2016 to 61.5%64.1% as of August 31,November 30, 2017, primarily due to the increase in notes issued and the $10.0$1.0 million outstanding on the Credit Facility.

For the three months ended August 31,November 30, 2017, base management fees increased $0.3 million, or 23.2%21.8% compared to the three months ended August 31,November 30, 2016. For the sixnine months ended August 31,November 30, 2017, base management fees increased $0.4$0.7 million, or 18.2%19.4% compared to the sixnine months ended August 31,November 30, 2016. The increase in base management fees results from the 23.2%21.8% increase in the average value of our total assets, less cash and cash equivalents, from $272.7$279.6 million as of August 31,November 30, 2016 to $335.9$340.5 million as of August 31,November 30, 2017.

For the three and sixnine months ended August 31,November 30, 2017, professional fees increased $0.1 million, or 34.8%17.6%, and increased $0.1$0.2 million, or 19.7%19.0%, respectively, compared to the three and sixnine months ended August 31,November 30, 2016. This primarily relates to accounting fees from the current Sarbanes-Oxley Act implementation.

For the three months ended August 31,November 30, 2017, incentive management fees increased $0.5$0.7 million, or 41.5%167.3%, compared to the three months ended August 31,November 30, 2016. The first part of the incentive management fees increased this year from $0.76 million to $0.92$0.81 million as higher average total assets of 23.2%21.8% 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 a reduction of incentive fees of $0.4 million for the three months ended August 31,November 30, 2016 to $0.8an increase of $0.3 million for the quarterthree months ended August 31,November 30, 2017, reflecting the $4.0$1.2 million net gain on investments for the three months ended August 31, 2017.November 30, 2017 as compared to the $1.8 million net loss on investments for the three months ended November 30, 2016.

For the sixnine months ended August 31,November 30, 2017, incentive management fees decreased $0.1increased $0.6 million, or 2.6%26.1%, compared to the sixnine months ended August 31,November 30, 2016. The first part of the incentive management fees increased this year from $1.4$2.2 million to $1.7$2.5 million as higher average total assets of 23.2%21.8% has led to increased net investment income above the hurdle rate pursuant to the investment advisory and management agreement. However, for the six months ended August 31, 2017, incentive management fees in total decreased $0.1 million as theIn addition, incentive management fees related to capital gains decreasedincreased from incentive fees of $0.5$0.1 million for the sixnine months ended August 31,November 30, 2016 to $0.2$0.4 million, reflecting the lower $1.5higher $2.7 million net gain on investments for the sixnine months ended August 31,November 30, 2017 as compared to the $3.4$1.6 million net gain on investments for the sixnine months ended August 31,November 30, 2016.

As discussed above, the increase in interest and debt financing expenses for the three and sixnine months ended August 31,November 30, 2017 as compared to the three and sixnine months ended August 31,November 30, 2016 is primarily attributable to an increase in the amount of outstanding debt. As of August 31,November 30, 2017, there was $10.0$1.0 million of outstanding borrowings under the Credit Facility, whereas there were no outstanding borrowings under the Credit Facility as of August 31,November 30, 2016. For the three months ended August 31,November 30, 2017 and August 31,November 30, 2016, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.06%3.14% and 3.19%3.08%, respectively. For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 3.11%3.12% and 3.14%3.12%, respectively.

Net realized gains (losses) on sales of investments

For the three months ended August 31,November 30, 2017, the Company had $37.9$1.8 million of sales, repayments, exits or restructurings resulting in $5.8$0.02 million of net realized losses.gains. For the sixnine months ended August 31,November 30, 2017, the Company had $43.8$45.6 million of sales, repayments, exits or restructurings resulting in $5.7 million of net realized losses. The most significant realized gains (losses) during the sixnine months ended August 31,November 30, 2017 were as follows (dollars in thousands):

SixNine Months ended August 31,November 30, 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,November 30, 2016, the Company had $50.3$23.8 million of sales, repayments, exits or restructurings resulting in $5.9$0.3 million of net realized gains. For the sixnine months ended August 31,November 30, 2016, the Company had $70.9$94.7 million of sales, repayments, exits or restructurings resulting in $12.0$12.3 million of net realized gains. The most significant realized gains during the sixnine months ended August 31,November 30, 2016 were as follows (dollars in thousands):

SixNine Months ended August 31,November 30, 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  $6,505   $481   $6,024 

Legacy Cabinets, Inc.

  Common Stock Voting A-1   2,320    221    2,099   Common Stock Voting A-1   2,320    221    2,099 

Legacy Cabinets, Inc.

  Common Stock VotingB-1   1,464    139    1,325   Common Stock Voting B-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 August 31,November 30, 2017, our investments had net unrealized appreciation of $9.8$1.2 million versus net unrealized depreciation of $3.3$2.1 million for the three months ended August 31,November 30, 2016. For the sixnine months ended August 31,November 30, 2017, our investments had net unrealized appreciation of $7.2$8.4 million versus net unrealized depreciation of $8.6$10.7 million for the sixnine months ended August 31,November 30, 2016. The most significant cumulative changes in unrealized appreciation and depreciation for the sixnine months ended August 31,November 30, 2017, were the following (dollars in thousands):

SixNine Months ended August 31,November 30, 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
 

Elyria Foundry Company, L.L.C.

  Common Stock  $9,685  $3,494  $(6,191  $2,614 

My Alarm Center, LLC

  Second Lien Term Loan  $—     $—     $—     $2,298   Second Lien Term Loan   —     —     —     2,298 

Saratoga Investment Corp. CLO 2013-1 Ltd.

  Other/Structured Finance Securities   9,192    11,814    2,622    1,992 

Easy Ice, LLC

  Preferred Equity   8,124    10,212    2,088    2,088   Preferred Equity   8,543    10,336    1,793    1,793 

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   9,685    2,672    (7,013   1,791 

Mercury Funding, LLC

  Common Stock   —      —      —      (653

The $2.6 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 markets since year-end, positively impacting the company’s performance.

The $2.3 million of change in unrealized appreciation in our investment in My Alarm Center, LLC was driven by the completion of a sales transaction. 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 sixnine months.

The $2.1$2.0 million of change in unrealized appreciation in our investment in the Saratoga CLO was driven by continued improved performance of the Saratoga CLO.

The $1.8 million of change in unrealized appreciation in our investment in Easy Ice, LLC was driven by the completion of a strategic acquisition that increased the scale and earnings of the business.

The $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 markets sinceyear-end, positively impacting the company’s performance.

The most significant cumulative changes in unrealized appreciation and depreciation for the sixnine months ended August 31,November 30, 2016, were the following (dollars in thousands):

SixNine Months ended August 31,November 30, 2016

 

Issuer

  Asset Type  Cost   Fair
Value
   Total
Unrealized
Appreciation
(Depreciation)
   YTD Change
in Unrealized
Appreciation
(Depreciation)
   Asset Type  Cost   Fair
Value
   Total
Unrealized
Depreciation
   YTD Change
in Unrealized
Depreciation
 

Take 5 Oil Change, L.L.C

  Common Stock  $—     $—     $—     $(5,755

Take 5 Oil Change, L.L.C.

  Common Stock  $—    $—    $—    $(5,755

Legacy Cabinets, Inc.

  Common Stock Voting A-1   —      —      —      (2,456  Common Stock Voting A-1   —     —     —     (2,456

Legacy Cabinets, Inc.

  Common Stock VotingB-1   —      —      —      (1,550  Common Stock Voting B-1   —     —     —     (1,550

Elyria Foundry Company, L.L.C.

  Common Stock   9,217    314    (8,903   (1,712  Common Stock   9,217    357    (8,860   (1,669

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.period.

The $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 sinceyear-end, negatively impacting the company’s performance.

Changes in net assets resulting from operations

For the three months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recorded a net increase in net assets resulting from operations of $6.9$4.3 million and $5.3$1.6 million, respectively. Based on 5,955,2516,040,311 weighted average common shares outstanding as of August 31,November 30, 2017, our per share net increase in net assets resulting from operations was $1.15$0.71 for the three months ended August 31,November 30, 2017. This compares to a per share net increase in net assets resulting from operations of $0.92$0.27 for the three months ended August 31,November 30, 2016 based on 5,740,8165,727,933 weighted average common shares outstanding as of August 31,November 30, 2016.

For the sixnine months ended August 31,November 30, 2017 and August 31,November 30, 2016, we recorded a net increase in net assets resulting from operations of $7.9$12.1 million and $8.6$10.1 million, respectively. Based on 5,908,4535,952,086 weighted average common shares outstanding as of August 31,November 30, 2017, our per share net increase in net assets resulting from operations was $1.33$2.04 for the sixnine months ended August 31,November 30, 2017. This compares to a per share net increase in net assets resulting from operations of $1.49$1.77 for the sixnine months ended August 31,November 30, 2016 based on 5,739,1575,735,443 weighted average common shares outstanding as of August 31,November 30, 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 258.0%284.0% as of August 31,November 30, 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, 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 theprevailingthe 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 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 August 31,November 30, 2017, we had $10.0$1.0 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 August 31,November 30, 2017 and February 28, 2017 was $34.0$31.8 million and $24.7 million, respectively.

Our asset coverage ratio, as defined in the 1940 Act, was 258.0%284.0% as of August 31,November 30, 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 August 31,November 30, 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 RIC 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 August 31,November 30, 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.

 

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 August 31,November 30, 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 August 31, 2017 At February 28, 2017   At November 30, 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

  $1,595    0.5 $9,307    3.0  $680    0.2 $9,307    3.0

Cash and cash equivalents, reserve accounts

   16,816    4.8  12,781    4.1    8,038    2.3  12,781    4.1 

Syndicated loans

   8,980    2.6  9,823    3.1    9,001    2.6  9,823    3.1 

First lien term loans

   182,781    52.0  159,097    50.5    185,661    53.4  159,097    50.5 

Second lien term loans

   97,462    27.7  87,750    27.9    99,427    28.6  87,750    27.9 

Structured finance securities

   16,537    4.7  15,450    4.9    16,313    4.7  15,450    4.9 

Equity interests

   27,210    7.7  20,541    6.5    28,436    8.2  20,541    6.5 
  

 

   

 

  

 

   

 

   

 

   

 

  

 

   

 

 

Total

  $351,381    100.0 $314,749    100.0  $347,556    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 August 31,November 30, 2017, the Company sold 117,354266,113 shares for gross proceeds of $2.6$6.0 million at an average price of $22.49 for aggregate net proceeds of $2.6$5.9 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 August 31,November 30, 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 November 29, 2017, our board of directors declared a dividend of $0.49 per share payable on December 27, 2017, to common stockholders of record on December 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 $2.5 million in cash and 25,435 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 $21.14 per share, which equaled the volume weighted average trading price per share of the common stock on December 13, 14, 15, 18, 19, 20, 21, 22, 26 and 27, 2017.

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, our board of directors declared a dividend of $0.47 per share which 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 August 31,November 30, 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

  $219,111   $—     $—     $—     $219,111 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
       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

  $210,111   $ —     $ —     $ —     $210,111 
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Off-balance sheet arrangements

The Company’soff-balance sheet arrangements consisted of $5.0$5.9 million and $2.0 million of unfunded commitments to provide debt financing to its portfolio companies or to fund limited partnership interests as of August 31,November 30, 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 August 31,November 30, 2017 and February 28, 2017 is shown in the table below (dollars in thousands):

 

  As of   As of 
  August 31, 2017   February 28, 2017   November 30, 2017   February 28, 2017 

CLEO Communications Holding, LLC

  $3,000   $—     $3,000   $ —   

GreyHeller LLC

   2,000    2,000    2,000    2,000 

Pathway Partners Vet Management Company LLC

   917    —   
  

 

   

 

   

 

   

 

 

Total

  $5,000   $2,000   $5,917   $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 August 31,November 30, 2017, we had $219.1$210.1 million of borrowings outstanding, of which $10.0$1.0 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 August 31,November 30, 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 $2.3$2.4 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 August 31,November 30, 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, filed with the SEC on May 16, 2017, which could materially affect our business, financial condition and/or operating results. Other than as set forth below, there have been no material changes during the three months ended November 30, 2017 to the risk factors discussed in “Item 1A. Risk Factors” of our Annual Report on Form 10-K. 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.

The tax legislation signed into law on December 22, 2017 could have a negative effect on the Company

Legislative or other actions relating to taxes could have a negative effect on the Company. The rules dealing with U.S. federal income taxation are constantly under review by persons involved in the legislative process and by the IRS and the U.S. Treasury Department. The U.S. House of Representatives and U.S. Senate recently passed tax reform legislation, which was recently signed by the President. Such legislation will make many changes to the Internal Revenue Code, including significant changes to the taxation of business entities, the deductibility of interest expense, and the tax treatment of capital investment. We cannot predict with certainty how any changes in the tax laws might affect the Company, investors, or the Company’s portfolio investments. New legislation and any U.S. Treasury regulations, administrative interpretations or court decisions interpreting such legislation could significantly and negatively affect the Company’s ability to qualify for tax treatment as a RIC or the U.S. federal income tax consequences to the Company and its investors of such qualification, or could have other adverse consequences. Investors are urged to consult with their tax advisor regarding tax legislative, regulatory, or administrative developments and proposals and their potential effect on an investment in the Company’s securities.

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 FormN-2Pre-Effective N-2 Pre-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).
10.16Amendment No. 1 to the Equity Distribution Agreement dated October 12, 2017 by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc., BB&T Capital Markets, a division of BB&T Securities, LLC, and FBR Capital Markets & Co. (incorporated by reference to Saratoga Investment Corp.’s Post-Effective Amendment No. 2 to the Registration Statement on Form N-2, File No. 333-216344, filed on October 12, 2017).
11  Computation of Per Share Earnings (included in Note 1211 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: October 11, 2017January 10, 2018  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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