Supplement No. 4 to Prospectus Supplement
Table of Contents

Filed Pursuant to Rule 497
Securities Act File No. 333-216344

 

LOGO

Saratoga Investment Corp.

Supplement No. 4, dated January 11, 2018

to

Prospectus Supplement, dated March 16, 2017

This supplement contains information which amends, supplements or modifies certain information contained in the Prospectus of Saratoga Investment Corp. (the “Company”), dated March 13, 2017, as supplemented by the Prospectus Supplement dated March 16, 2017. Capitalized terms used but not defined herein shall have the same meaning given them in the Prospectus Supplement or Prospectus, as applicable.

You should carefully consider the “Risk Factors” beginning on page S-8 of the Prospectus Supplement and page 22 of the Prospectus before you decide to invest.

STATUS OF OUR OFFERING

On March 16, 2017, we established an at-the-market program to which this Supplement No. 4 dated January 11, 2018 and the Prospectus Supplement, dated March 16, 2017, relate and through which we may sell, from time to time and at our sole discretion, up to $30.0 million shares of our common stock. The gross proceeds raised, the related sales agent commission, the offering expenses and the average price at which these shares were issued from the period of March 16, 2017 through November 30, 2017 are as follows:

 

Fiscal Year Ending February 28, 2018 Issuance of Common Stock

   Number
of Shares
     Gross
Proceeds
     Sales Agent
Commission
     Average
Offering
Price
 

First Quarter

     60,779      $ 1,367,167      $ 20,474      $ 22.49  

Second Quarter

     56,575      $ 1,272,246      $ 19,084      $ 22.49  

Third Quarter

     148,759      $ 3,345,868      $ 20,102      $ 22.49  

Fourth Quarter (through January 11, 2018)

     82,010      $ 1,853,069      $ 18,505      $ 22.60  

FILING OF FORM 10-Q

On January 10, 2018, we filed our Quarterly Report on Form 10-Q (“Form 10-Q”) for the period ended November 30, 2017 with the Securities and Exchange Commission. We have attached the Form 10-Q to this supplement as Annex A.

RECENT DEVELOPMENTS

On January 11, 2018, we entered into Amendment No. 2 (“Amendment No. 2”) to the equity distribution agreement, dated March 13, 2017. Pursuant to Amendment No. 2 the equity distribution agreement, which previously provided for the Agents to be paid compensation “equal to 1.5%” of the gross sales price of the Shares, has been revised to provide that the Agents will be paid compensation equal to an amount “up to 4.0%” of the gross sales price of the Shares, as separately agreed to by the parties.


Table of Contents

ANNEX A


Table of Contents

 

 

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 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 Regulation S-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, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (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 in Rule 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 January 10, 2018 was 6,257,029.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

 

 

         Page  

PART I.

  FINANCIAL INFORMATION      3  
Item 1.   Consolidated Financial Statements      3  
  Consolidated Statements of Assets and Liabilities as of November 30, 2017 (unaudited) and February 28, 2017      3  
  Consolidated Statements of Operations for the three and nine months ended November 30, 2017 and November 30, 2016 (unaudited)      4  
  Consolidated Schedules of Investments as of November 30, 2017 (unaudited) and February 28, 2017      5  
  Consolidated Statements of Changes in Net Assets for the nine months ended November 30, 2017 and November 30, 2016 (unaudited)      7  
  Consolidated Statements of Cash Flows for the nine months ended November 30, 2017 and November 30, 2016 (unaudited)      8  
  Notes to Consolidated Financial Statements as of November 30, 2017 (unaudited)      9  
Item 2.   Management’s Discussion and Analysis of Financial Condition and Results of Operations      36  
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  

 

2


Table of Contents

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

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

ASSETS

    

Investments at fair value

    

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 $338,264,552 and $300,482,432, respectively)

     338,837,687       292,661,313  

Cash and cash equivalents

     680,065       9,306,543  

Cash and cash equivalents, reserve accounts

     8,037,715       12,781,425  

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

     3,288,960       3,294,450  

Management and incentive fee receivable

     266,005       171,106  

Other assets

     706,648       183,346  

Receivable from unsettled trades

     97,041       253,041  
  

 

 

   

 

 

 

Total assets

   $ 351,914,121     $ 318,651,224  
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facility

   $ 1,000,000     $ —    

Deferred debt financing costs, revolving credit facility

     (720,258     (437,183

SBA debentures payable

     134,660,000       112,660,000  

Deferred debt financing costs, SBA debentures payable

     (2,666,620     (2,508,280

Notes payable

     74,450,500       74,450,500  

Deferred debt financing costs, notes payable

     (2,414,200     (2,689,511

Base management and incentive fees payable

     5,194,845       5,814,692  

Accounts payable and accrued expenses

     1,200,514       852,987  

Interest and debt fees payable

     1,982,347       2,764,237  

Directors fees payable

     —         51,500  

Due to manager

     380,770       397,505  
  

 

 

   

 

 

 

Total liabilities

   $ 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, 6,149,582 and 5,794,600 common shares issued and outstanding, respectively

   $ 6,150     $ 5,795  

Capital in excess of par value

     198,211,630       190,483,931  

Distribution in excess of net investment income

     (26,649,881     (27,737,348

Accumulated net realized loss from investments and derivatives

     (33,294,811     (27,636,482

Accumulated net unrealized appreciation (depreciation) on investments and derivatives

     573,135       (7,821,119
  

 

 

   

 

 

 

Total net assets

     138,846,223       127,294,777  
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 351,914,121     $ 318,651,224  
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 22.58     $ 21.97  
  

 

 

   

 

 

 

See accompanying notes to consolidated financial statements.

 

3


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)

 

     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

   $ 7,036,743     $ 6,787,898     $ 20,140,933     $ 19,969,849  

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

     301,213       169,332       823,443       482,687  

Control investments

     1,017,821       498,599       3,849,287       1,587,925  

Payment-in-kind interest income from Control investments

     535,031       —         1,004,764       —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Total interest income

     8,890,808       7,455,829       25,818,427       22,040,461  

Interest from cash and cash equivalents

     6,777       6,239       20,351       16,426  

Management fee income

     376,446       375,218       1,128,084       1,123,559  

Incentive fee income

     209,434       —         477,087       —    

Other income

     42,265       605,009       1,042,895       1,618,238  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     9,525,730       8,442,295       28,486,844       24,798,684  
  

 

 

   

 

 

   

 

 

   

 

 

 

OPERATING EXPENSES

        

Interest and debt financing expenses

     2,758,900       2,369,108       8,245,350       7,106,869  

Base management fees

     1,485,415       1,219,916       4,358,230       3,649,867  

Professional fees

     388,210       330,197       1,179,913       991,723  

Administrator expenses

     437,500       341,667       1,208,333       991,667  

Incentive management fees

     1,054,618       394,509       2,940,350       2,331,241  

Insurance

     64,577       68,985       196,907       210,301  

Directors fees and expenses

     43,000       66,000       154,000       192,422  

General & administrative

     299,627       224,579       784,071       741,743  

Excise tax expense (credit)

     —         —         (14,738     —    

Other expense

     (21,628     8,460       23,417       21,647  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total operating expenses

     6,510,219       5,023,421       19,075,833       16,237,480  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME

     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

     20,770       260,244       (5,722,049     12,299,899  

Control investments

     166       —         63,720       —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain (loss) from investments

     20,936       260,244       (5,658,329     12,299,899  

Net change in unrealized appreciation (depreciation) on investments

        

Non-control/Non-affiliate investments

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

Control investments

     (398,142     (1,136,983     3,677,020       290,883  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments

     1,226,543       (2,105,342     8,394,254       (10,728,122
  

 

 

   

 

 

   

 

 

   

 

 

 

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

   $ 4,262,990     $ 1,573,776     $ 12,146,936     $ 10,132,981  
  

 

 

   

 

 

   

 

 

   

 

 

 

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE

   $ 0.71     $ 0.27     $ 2.04     $ 1.77  

WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED

     6,040,311       5,727,933       5,952,086       5,735,443  

See accompanying notes to consolidated financial statements.

 

4


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2017

(unaudited)

 

Company

 

Industry

 

Investment Interest Rate/

Maturity

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

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

       

Tile Redi Holdings, LLC (d)

  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       14,860,121       14,850,000       10.7
       

 

 

   

 

 

   

 

 

 

Apex Holdings Software Technologies, LLC

  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       418,000       0.3

BMC Software, Inc. (d)

  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%), 8.49% 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%), 8.49% 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%), 11.49% 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       3,298,364       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       469,507       0.3

Erwin, Inc.

  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       14,432,349       14,438,428       10.4

GreyHeller LLC

  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%), 12.49% Cash, 11/16/2021   $ —         —         —         0.0

GreyHeller LLC (g)

  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%), 5.99% 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       730,911       0.5

Identity Automation Systems

  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%), 10.24% 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%), 11.49% 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       8,922,021       9,000,000       6.5

Vector Controls Holding Co., LLC (d)

  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 (g)

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

 

 

   

 

 

   

 

 

 
    Total Business Services       163,321,387       165,772,365       119.3
       

 

 

   

 

 

   

 

 

 

Targus Holdings, Inc. (g)

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

 

 

   

 

 

   

 

 

 
    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       2,265,154       2,294,804       1.7

My Alarm Center, LLC (g)

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

My Alarm Center, LLC (g)

  Consumer Services   Common Stock     96,224       —         —         0.0

PrePaid Legal Services, Inc. (d)

  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%), 10.49% Cash, 7/1/2020   $ 11,000,000       10,972,589       11,003,300       7.9
       

 

 

   

 

 

   

 

 

 
    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       15,863,540       15,864,000       11.4

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

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

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       8,058       0.0

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

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

Texas Teachers of Tomorrow, LLC

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

 

 

   

 

 

   

 

 

 
    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, 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, 7/17/2017   $ 413,954       413,954       350,536       0.3
       

 

 

   

 

 

   

 

 

 
    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%), 11.49% 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       1,129,234       0.8

ComForCare Health Care

  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

Ohio Medical, LLC (g)

  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       7,247,321       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%), 5.74% Cash, 8/16/2023   $ 4,116,226       4,040,574       4,141,953       3.0
       

 

 

   

 

 

   

 

 

 
    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   $ 8,147,700       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       4,761,382       4,950,240       3.6

HMN Holdco, LLC (g)

  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       1,434,136       1.0

HMN Holdco, LLC (g)

  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       —         400,602       0.3
       

 

 

   

 

 

   

 

 

 
    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       3,494,400       2.5

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

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

 

 

   

 

 

   

 

 

 
    Total Metals       10,532,129       4,341,500       3.1
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

 

    299,321,359       295,371,210       212.7
       

 

 

   

 

 

   

 

 

 

Control investments - 31.3% (b)

           

Easy Ice, LLC (f)

  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   $ 16,817,328       16,708,812       16,817,328       12.1
       

 

 

   

 

 

   

 

 

 
    Total Business Services       25,251,497       27,153,121       19.6
       

 

 

   

 

 

   

 

 

 

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

 

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%), 9.99%, 10/20/2025   $ 4,500,000       4,500,000       4,499,100       3.2
       

 

 

   

 

 

   

 

 

 
    Total Structured Finance Securities       13,691,696       16,313,356       11.7
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

      38,943,193       43,466,477       31.3
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS - 244.0% (b)

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

 

 

   

 

 

   

 

 

 
            Principal     Cost     Fair Value     % of
Net Assets
 

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

       

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

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

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) Represents a non-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 4.8% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.
(b) Percentages are based on net assets of $138,846,223 as of 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 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 nine months ended 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
     Net Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

   $ —        $ —        $ (11,307,678   $ 2,814,092      $ —        $ 63,720      $ 1,685,785  

Saratoga Investment Corp. CLO 2013-1, Ltd.

   $ —        $ —        $ —       $ 1,719,744      $ 1,605,171      $ —        $ 1,991,685  

Saratoga Investment Corp. Class F Note

   $ —        $ —        $ —       $ 320,215      $ —        $ —        $ (450

 

(g) Non-income producing at November 30, 2017.
(h) Includes securities issued by an affiliate of the company.
(i) The investment has an unfunded commitment as of November 30, 2017 (see Note 7 to the consolidated financial statements).
(j) The entire commitment was unfunded at 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 November 30, 2017.

 

5


Table of Contents

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
 

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

Avionte Holdings, LLC (g)

   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

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

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

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

   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

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

GreyHeller LLC (i), (j)

   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

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

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

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

Identity Automation Systems (g)

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

Identity Automation Systems

   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

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

National Waste Partners

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

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

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
           

 

 

    

 

 

    

 

 

 
      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

Targus Holdings, Inc. (d)

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

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
           

 

 

    

 

 

    

 

 

 
      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

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

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
           

 

 

    

 

 

    

 

 

 
      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

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

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

   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
           

 

 

    

 

 

    

 

 

 
      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
           

 

 

    

 

 

    

 

 

 
      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

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

   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

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

   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

Ohio Medical, LLC (g)

   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

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
           

 

 

    

 

 

    

 

 

 
      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

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

HMN Holdco, LLC (g)

   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

HMN Holdco, LLC (g)

   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
           

 

 

    

 

 

    

 

 

 
      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

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
           

 

 

    

 

 

    

 

 

 
      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

Mercury Network, LLC (g)

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

 

 

    

 

 

    

 

 

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

 

 

    

 

 

    

 

 

 

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

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
           

 

 

    

 

 

    

 

 

 

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

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

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
           

 

 

    

 

 

    

 

 

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

 

 

    

 

 

    

 

 

 

Sub Total Control investments

           49,283,536        50,129,799        39.4
           

 

 

    

 

 

    

 

 

 

TOTAL INVESTMENTS - 229.9% (b)

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

 

 

    

 

 

    

 

 

 
               Principal      Cost      Fair Value      % of
Net Assets
 

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
        

 

 

    

 

 

    

 

 

    

 

 

 

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 a non-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 in non-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 Change in
Unrealized
Appreciation
(Depreciation)
 

Easy Ice, LLC

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

Saratoga Investment Corp. CLO 2013-1, Ltd.

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

Saratoga Investment Corp. Class F Note

  $ 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.

 

6


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

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

INCREASE FROM OPERATIONS:

    

Net investment income

   $ 9,411,011     $ 8,561,204  

Net realized gain (loss) from investments

     (5,658,329     12,299,899  

Net change in unrealized appreciation (depreciation) on investments

     8,394,254       (10,728,122
  

 

 

   

 

 

 

Net increase in net assets from operations

     12,146,936       10,132,981  
  

 

 

   

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

    

Distributions declared

     (8,323,545     (8,472,209
  

 

 

   

 

 

 

Net decrease in net assets from shareholder distributions

     (8,323,545     (8,472,209
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

    

Proceeds from issuance of common stock

     5,985,282       —    

Stock dividend distribution

     1,825,036       4,125,696  

Repurchases of common stock

     —         (3,256,613

Offering costs

     (82,263     —    
  

 

 

   

 

 

 

Net increase in net assets from capital share transactions

     7,728,055       869,083  
  

 

 

   

 

 

 

Total increase in net assets

     11,551,446       2,529,855  

Net assets at beginning of period

     127,294,777       125,149,875  
  

 

 

   

 

 

 

Net assets at end of period

   $ 138,846,223     $ 127,679,730  
  

 

 

   

 

 

 

Net asset value per common share

   $ 22.58     $ 22.21  
    

Common shares outstanding at end of period

     6,149,582       5,748,247  

Distribution in excess of net investment income

   $ (26,649,881   $ (26,128,907

See accompanying notes to consolidated financial statements.

 

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Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

     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

   $ 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

     (1,637,083     (433,609

Net accretion of discount on investments

     (481,356     (408,557

Amortization of deferred debt financing costs

     741,195       775,707  

Net realized (gain) loss from investments

     5,658,329       (12,299,899

Net change in unrealized (appreciation) depreciation on investments

     (8,394,254     10,728,122  

Proceeds from sales and repayments of investments

     45,554,971       94,691,232  

Purchase of investments

     (86,876,981     (85,850,895

(Increase) decrease in operating assets:

    

Interest receivable

     5,490       (788,833

Due from affiliate

     —         (46,078

Management and incentive fee receivable

     (94,899     (959

Other assets

     (389,811     106,195  

Receivable from unsettled trades

     156,000       15,097  

Increase (decrease) in operating liabilities:

    

Base management and incentive fees payable

     (619,847     338,491  

Accounts payable and accrued expenses

     491,660       (183,082

Interest and debt fees payable

     (781,890     (453,760

Payable for repurchases of common stock

     —         (20,957

Directors fees payable

     (51,500     19,500  

Due to manager

     (16,735     59,603  
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES

     (34,589,775     16,380,299  
  

 

 

   

 

 

 

Financing activities

    

Borrowings on debt

     46,500,000       9,000,000  

Paydowns on debt

     (23,500,000     —    

Payments of deferred debt financing costs

     (1,204,517     (644,845

Proceeds from issuance of common stock

     5,985,282       —    

Payments of offering costs

     (62,669     —    

Repurchases of common stock

     —         (3,256,613

Payments of cash dividends

     (6,498,509     (5,222,112
  

 

 

   

 

 

 

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

     21,219,587       (123,570
  

 

 

   

 

 

 

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

     (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  
  

 

 

   

 

 

 

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

   $ 8,717,780     $ 23,291,512  
  

 

 

   

 

 

 

Supplemental information:

    

Interest paid during the period

   $ 8,286,045     $ 6,784,922  

Cash paid for taxes

   $ 69,502     $ 158,294  

Supplemental non-cash information:

    

Payment-in-kind interest income

   $ 1,637,083     $ 433,609  

Net accretion of discount on investments

   $ 481,356     $ 408,557  

Amortization of deferred debt financing costs

   $ 741,195     $ 775,707  

Stock dividend distribution

   $ 1,825,036     $ 4,125,696  

See accompanying notes to consolidated financial statements.

 

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SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2017

(unaudited)

Note 1. Organization

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-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 additional SBA-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.

 

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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 nine months ended 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 Rule 12d1-1 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 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 (“ASU 2016-18”). ASU 2016-18 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 the beginning-of-period and end-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 ASU 2016-18 as of November 30, 2016. The adoption of the provisions of ASU 2016-18 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:

 

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     November 30,
2017
     November 30,
2016
 

Cash and cash equivalents

   $ 680,065      $ 5,770,230  

Cash and cash equivalents, reserve accounts

     8,037,715        17,521,282  
  

 

 

    

 

 

 

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

   $ 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 those non-control investments in companies in which we own between 5.0% and 25.0% of the voting securities. Under the 1940 Act, “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. CLO 2013-1, 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.

 

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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 on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-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 Topic 325-40, Investments-Other, Beneficial Interests in Securitized Financial Assets, (“ASC 325-40”), 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/or re-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 a payment-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 November 30, 2017, certain investments in two portfolio companies were on non-accrual status with a combined fair value of approximately $8.3 million, or 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.

ASU 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”) requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction

 

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from the carrying amount of that debt liability, consistent with debt discounts. The Company has adopted the provisions of ASU 2015-03 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 each one-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” of being sustained by the applicable tax authority. Tax positions deemed to meet a “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 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 the ex-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

 

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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 ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. ASU 2017-08 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 ASU 2016-15, Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”), 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 ASU 2016-15 will have on the Company’s consolidated financial statements and disclosures.

In February 2016, the FASB issued ASU 2016-02, Amendments to the Leases (“ASU Topic 842”), which will require for all operating leases the recognition of a right-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 ASU 2016-01, Financial Instruments — Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). ASU 2016-01 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. ASU 2016-01 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 ASU 2014-09, 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, ASU 2016-12 amended ASU 2014-09 and deferred the effective period for 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 or non-performance by portfolio companies, equivalent to the investment’s carrying amount.

 

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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. The non-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 November 30, 2017 (dollars in thousands), according to the fair value hierarchy:

 

     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —      $ —      $ 9,001      $ 9,001  

First lien term loans

     —        —        185,661        185,661  

Second lien term loans

     —        —        99,427        99,427  

Structured finance securities

     —        —        16,313        16,313  

Equity interests

     —        —        28,436        28,436  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —      $ —      $ 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  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

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Table of Contents

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, 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 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.

 

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Table of Contents

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

 

     Fair Value      Valuation Technique    Unobservable Input    Range

Syndicated loans

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

First lien term loans

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

Second lien term loans

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

Structured finance securities

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

Equity interests

     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

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 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
 

Syndicated loans

   $ 8,856        2.6   $ 9,001        2.7

First lien term loans

     187,030        55.3       185,661        54.8  

Second lien term loans

     99,736        29.5       99,427        29.3  

Structured finance securities

     13,692        4.0       16,313        4.8  

Equity interests

     28,951        8.6       28,436        8.4  
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 338,265        100.0   $ 338,838        100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

 

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Table of Contents

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. For non-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 November 30, 2017. The significant inputs at 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

 

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Table of Contents

Note 4. Investment in Saratoga Investment Corp. CLO 2013-1, 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 November 30, 2017 and November 30, 2016, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.7 million and $0.5 million in interest income, respectively, from Saratoga CLO. For the nine months ended November 30, 2017 and November 30, 2016, we accrued $1.1 million and $1.1 million in management fee income, respectively, and $1.7 million and $1.6 million in interest income, respectively, from Saratoga CLO. For the three and nine months ended November 30, 2017, we accrued $0.2 million and $0.5 million, respectively, related to the incentive management fee from Saratoga CLO. 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.

As of November 30, 2017, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $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 November 30, 2017, Saratoga CLO had investments with a principal balance of $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 November 30, 2017, the present value of the projected future cash flows of the subordinated notes was approximately $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 $52.2 million, management fees of $17.6 million, and incentive fees of $0.5 million.

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

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

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

ASSETS

    

Investments

    

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)

     4,316       22,718  
  

 

 

   

 

 

 

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

     4,971,935       13,046,555  

Receivable from open trades

     5,502,706       1,505,000  

Interest receivable

     1,372,574       1,443,865  

Other assets

     —         6,049  
  

 

 

   

 

 

 

Total assets

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

 

 

   

 

 

 

LIABILITIES

    

Interest payable

   $ 1,180,464     $ 1,031,457  

Payable from open trades

     15,409,509       9,431,552  

Accrued base management fee

     34,329       34,221  

Accrued subordinated management fee

     137,315       136,885  

Accrued incentive fee

     94,361       —    

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

     170,000,000       170,000,000  

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

     20,000,000       20,000,000  

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

     44,800,000       44,800,000  

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

     16,000,000       16,000,000  

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

     (70,593     (77,383

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

     14,000,000       14,000,000  

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

     (327,726     (359,249

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

     13,100,000       13,100,000  

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

     4,500,000       4,500,000  

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

     (1,045,630     (1,161,590

Subordinated Notes

     30,000,000       30,000,000  
  

 

 

   

 

 

 

Total liabilities

   $ 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  

Accumulated loss

     (12,974,026     (21,557,618

Net gain (loss)

     (296,841     8,583,592  
  

 

 

   

 

 

 

Total net assets

     (13,270,617     (12,973,776
  

 

 

   

 

 

 

Total liabilities and net assets

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

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)

 

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

INVESTMENT INCOME

        

Interest from investments

   $ 4,178,651     $ 4,006,052     $ 12,307,120     $ 11,823,053  

Interest from cash and cash equivalents

     3,113       3,095       12,539       5,804  

Other income

     117,791       82,239       362,961       515,376  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     4,299,555       4,091,386       12,682,620       12,344,233  
  

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

        

Interest expense

     3,461,049       2,457,705       10,396,665       9,347,508  

Professional fees

     78,048       39,694       131,155       79,120  

Miscellaneous fee expense

     36,350       25,974       66,309       48,365  

Base management fee

     75,289       167,592       225,617       541,763  

Subordinated management fee

     301,158       207,625       902,468       581,796  

Incentive fees

     209,434       —         477,087       —    

Trustee expenses

     41,025       30,871       115,740       95,398  

Amortization expense

     44,218       302,635       132,932       782,561  

Loss on extinguishment of debt

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

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     4,246,571       9,874,011       12,447,973       18,118,426  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME (LOSS)

     52,984       (5,782,625     234,647       (5,774,193
  

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain on investments

     260,872       130,337       1,030,216       351,753  

Net change in unrealized appreciation (depreciation) on investments

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

 

 

   

 

 

   

 

 

   

 

 

 

Net gain (loss) on investments

     58,016       1,056,844       (531,488     11,066,657  
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 111,000     $ (4,725,781   $ (296,841   $ 5,292,464  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

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  

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      $ 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        114  

New Millennium Holdco, Inc.

   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     1.34     5.09     5/28/2021      $ 1,979,884        1,979,013        1,978,241  

ABB Con-Cise Optical Group, LLC

   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     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     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     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     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     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     1.38     5.63     4/16/2021        398,056        397,150        399,051  

Albertson’s LLC

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

Alion Science and Technology Corporation

   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  

Almonde, Inc. (Misys)

   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     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     1.25     4.00     12/7/2023        496,250        493,924        495,982  

APCO Holdings, Inc.

   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     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     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     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     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     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     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     1.35     4.35     11/3/2023        519,512        515,048        521,377  

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 Loan B-2    Loan      2.25     0.75     1.28     3.53     3/21/2022        997,500        993,011        997,350  

Blackboard T/L B4

   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      3.00     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     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      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     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 Loan B-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     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     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     1.33     5.58     6/16/2023        1,000,000        997,500        1,011,880  

Capital Automotive L.P.

   Conglomerate    Tranche B-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     1.33     6.83     3/14/2022        497,500        496,321        496,570  

CareerBuilder, LLC

   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     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      2.25     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     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     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     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     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     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     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     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     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     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     1.35     5.10     8/11/2022        1,418,750        1,413,585        1,404,563  

Consolidated Communications, Inc.

   Telecommunications    Term Loan B-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     1.46     5.96     8/17/2022        1,436,782        1,420,943        1,020,115  

CT Technologies Intermediate Hldgs, Inc

   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 International Company-T/L

   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 International Company-T/L

   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     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     1.35     4.35     4/29/2024        498,750        497,567        499,373  

Daseke Companies, Inc.

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

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 Loan B-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     1.35     11.35     7/29/2021        33,047        33,047        33,874  

DHX Media Ltd.

   Media    Term Loan    Loan      3.75     1.00     1.35     5.10     12/29/2023        498,750        496,395        499,064  

DJO Finance, LLC

   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     1.31     4.06     4/8/2024        496,875        494,564        498,326  

Drew Marine Group, Inc.

   Chemicals/Plastics    Term Loan (First Lien)    Loan      3.25     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 B Add-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     1.33     5.58     2/21/2024        1,481,288        1,381,599        1,492,397  

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     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     7.50     7/2/2020        954,307        938,252        13,837  

EIG Investors Corp.

   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     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     1.35     4.85     8/1/2021        480,295        478,943        482,696  

Endo International plc

   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 Loan B-1    Loan      2.75     0.00     1.35     4.10     8/12/2020        225,000        224,206        226,246  

Equian, LLC

   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     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     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     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     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      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      2.25     0.00     1.31     3.56     4/26/2024        1,741,492        1,659,279        1,741,805  

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      3.50     1.00     1.35     4.85     7/1/2020        1,409,751        1,393,394        1,429,135  

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      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     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     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     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     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     1.35     4.35     2/9/2022        997,500        995,040        997,191  

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

   Publishing    Tranche B-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     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     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     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     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     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     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     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     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     1.33     5.83     11/21/2023        992,500        995,827        998,703  

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     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     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     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     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      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      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     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      3.50     1.00     1.39     4.89     10/29/2021        3,423,936        3,404,509        3,445,336  

Infor US (Lawson) T/L B-6

   Services: Business    Term Loan B-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     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     1.42     4.92     5/1/2024        498,750        493,978        499,583  

J. Crew Group, Inc.

   Retailers (Except Food and Drugs)    Term B-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     1.38     6.38     5/9/2022        874,524        871,494        807,841  

Kinetic Concepts, Inc.

   Healthcare & Pharmaceuticals    Term Loan F-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     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     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     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     1.35     5.85     1/30/2024        57,971        56,898        58,122  

Limetree Bay Terminals T/L (01/17)

   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     1.35     5.60     7/15/2024        493,750        488,964        494,984  

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     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     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     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     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     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     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      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     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     1.38     5.13     8/20/2021        1,487,628        1,482,563        1,491,347  

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     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     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     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     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     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     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      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     1.33     5.33     6/7/2019        3,037,274        3,032,894        3,040,129  

OpenLink International, LLC

   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      5.00     1.00     1.51     6.51     9/1/2022        2,000,000        1,983,021        1,860,000  

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

   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     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     1.35     6.60     9/29/2020        2,774,194        2,762,490        2,762,070  

Pike Corporation

   Construction & Building    Term Loan B    Loan      3.50     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     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     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     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     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     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     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     1.33     6.83     7/7/2023        500,000        498,773        503,125  

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     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     1.35     4.60     10/1/2021        909,054        906,782        913,600  

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     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      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     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     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     1.25     5.75     8/12/2024        500,000        496,355        503,125  

Rovi Solutions Corporation / Rovi Guides, Inc.

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

Russell Investment Management T/L B

   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     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     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     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     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     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     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     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     1.33     5.27     6/30/2021        970,000        968,536        963,938  

Sitel Worldwide

   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      4.00     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     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     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     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      3.25     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     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     1.35     5.10     3/19/2021        847,491        843,134        771,217  

Survey Sampling International

   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 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     1.36     6.36     8/16/2024        2,000,000        1,980,439        1,948,340  

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     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     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     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     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     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     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     1.33     4.83     7/10/2020        787,846        788,759        796,378  

Univar Inc.

   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     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     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      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      3.50     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     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      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     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      2.00     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     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      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     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     1.35     5.60     8/16/2023        995,000        990,405        1,001,219  
                         

 

 

    

 

 

 
                          $ 309,596,755      $ 302,694,197  
                         

 

 

    

 

 

 
                                                   Principal      Cost      Fair Value  

Cash and cash equivalents

                         

U.S. Bank Money Market (a)

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

 

 

    

 

 

    

 

 

 

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 statements of assets and liabilities as of November 30, 2017.    

 

22


Table of Contents

Saratoga Investment Corp. CLO 2013-1 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  

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  

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  

New Millennium Holdco, Inc.

  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  

ABB Con-Cise Optical Group, LLC

  Healthcare & Pharmaceuticals   Term Loan B   Loan     5.00     1.00     0.00     6.00     6/15/2023       1,995,000       1,975,193       2,009,963  

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  

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  

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  

Agrofresh, Inc.

  Food Services   Term Loan   Loan     4.75