Saratoga Investment Corp.
SARATOGA INVESTMENT CORP. (Form: 10-Q, Received: 01/14/2015 16:07:59)
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM 10-Q

 

 

 

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

For the Quarterly Period Ended November 30, 2014

 

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

Commission File Number: 1-33376

 

 

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    x      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 or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (check one):

 

Large Accelerated Filer   ¨    Accelerated Filer   ¨
Non-Accelerated Filer   x    Smaller Reporting Company   ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes   ¨     No   x

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of January 14, 2015 was 5,401,899.

 

 

 


Table of Contents

TABLE OF CONTENTS

 

 

 

         Page  

PART I

  FINANCIAL INFORMATION   

Item 1.

  Financial Statements      3   
  Consolidated Statements of Assets and Liabilities as of November 30, 2014 (unaudited) and February 28, 2014      3   
  Consolidated Statements of Operations for the three and nine months ended November 30, 2014 and November 30, 2013 (unaudited)      4   
  Consolidated Schedules of Investments as of November 30, 2014 (unaudited) and February 28, 2014      5   
  Consolidated Statements of Changes in Net Assets for the nine months ended November 30, 2014 and November 30, 2013 (unaudited)      11   
  Consolidated Statements of Cash Flows for the nine months ended November 30, 2014 and November 30, 2013 (unaudited)      12   
  Notes to Consolidated Financial Statements as of November 30, 2014 (unaudited)      13   

Item 2.

  Management’s Discussion and Analysis of Financial Condition and Results of Operations      33   

Item 3.

  Quantitative and Qualitative Disclosures About Market Risk      52   

Item 4.

  Controls and Procedures      52   

PART II

  OTHER INFORMATION      52   

Item 1.

  Legal Proceedings      52   

Item 1A.

  Risk Factors      53   

Item 2.

  Unregistered Sales of Equity Securities and Use of Proceeds      53   

Item 3.

  Defaults upon Senior Securities      53   

Item 4.

  Mine Safety Disclosures      53   

Item 5.

  Other Information      53   

Item 6.

  Exhibits      53   

Signatures

       54   


Table of Contents

PART I FINANCIAL INFORMATION

Item 1. Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities

 

     As of  
     November 30, 2014     February 28, 2014  
     (unaudited)        

ASSETS

    

Investments at fair value

    

Non-control/non-affiliate investments (amortized cost of $222,452,952 and $185,266,607, respectively)

   $ 221,740,190      $ 186,275,106   

Control investments (cost of $16,384,467 and $16,555,808, respectively)

     19,433,253        19,569,596   
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $238,837,419 and $201,822,415, respectively)

     241,173,443        205,844,702   

Cash and cash equivalents

     809,245        3,293,898   

Cash and cash equivalents, reserve accounts

     10,738,075        3,293,113   

Interest receivable, (net of reserve of $411,334 and $150,058, respectively)

     3,170,976        2,571,853   

Deferred debt financing costs, net

     4,921,925        4,008,704   

Management fee receivable

     178,234        150,106   

Other assets

     8,583        14,461   
  

 

 

   

 

 

 

Total assets

   $ 261,000,481      $ 219,176,837   
  

 

 

   

 

 

 

LIABILITIES

    

Revolving credit facility

   $ 4,900,000      $ —     

SBA debentures payable

     79,000,000        50,000,000   

Notes payable

     48,300,000        48,300,000   

Dividend payable

     320,189        —     

Management and incentive fees payable

     4,551,236        3,856,962   

Accounts payable and accrued expenses

     550,565        824,568   

Interest and debt fees payable

     725,301        873,135   

Due to manager

     337,433        398,154   
  

 

 

   

 

 

 

Total liabilities

   $ 138,684,724      $ 104,252,819   
  

 

 

   

 

 

 

Commitments and contingencies (See Note 7)

    

NET ASSETS

    

Common stock, par value $.001, 100,000,000 common shares authorized, 5,379,616 and 5,379,616 common shares issued and outstanding, respectively

   $ 5,380      $ 5,380   

Capital in excess of par value

     184,851,154        184,851,154   

Distribution in excess of net investment income

     (23,752,974     (29,627,578

Accumulated net realized loss from investments and derivatives

     (41,123,827     (44,327,225

Net unrealized appreciation on investments and derivatives

     2,336,024        4,022,287   
  

 

 

   

 

 

 

Total net assets

     122,315,757        114,924,018   
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 261,000,481      $ 219,176,837   
  

 

 

   

 

 

 

NET ASSET VALUE PER SHARE

   $ 22.74      $ 21.36   
  

 

 

   

 

 

 

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
    For the nine months ended
November 30
 
     2014     2013     2014     2013  

INVESTMENT INCOME

        

Interest from investments

        

Non-control/Non-affiliate investments

   $ 5,038,877      $ 4,279,445      $ 14,794,342      $ 11,534,271   

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

     319,994        161,485        902,536        634,408   

Control investments

     694,641        556,291        1,996,010        2,791,830   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total interest income

     6,053,512        4,997,221        17,692,888        14,960,509   

Interest from cash and cash equivalents

     1,024        1,316        2,738        7,181   

Management fee income

     383,012        421,198        1,150,505        1,400,039   

Other income

     867,409        381,480        1,078,239        838,956   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     7,304,957        5,801,215        19,924,370        17,206,685   
  

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

        

Interest and debt financing expenses

     1,869,176        1,611,221        5,466,279        4,342,657   

Base management fees

     1,087,734        876,345        3,093,399        2,424,167   

Professional fees

     225,776        312,992        937,083        879,247   

Administrator expenses

     250,000        250,000        750,000        750,000   

Incentive management fees

     851,806        (561,539     2,022,423        219,813   

Insurance

     83,388        117,955        252,002        357,184   

Directors fees and expenses

     51,000        35,978        159,761        131,978   

General & administrative

     176,293        251,058        400,487        440,844   

Other expense

     —          9,172        —          21,207   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     4,595,173        2,903,182        13,081,434        9,567,097   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME

     2,709,784        2,898,033        6,842,936        7,639,588   
  

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain from investments

     2,761,558        82,882        3,203,399        1,157,824   

Net unrealized depreciation on investments

     (2,005,072     (1,713,025     (1,686,263     (3,770,968
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain/(loss) on investments

     756,486        (1,630,143     1,517,136        (2,613,144
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 3,466,270      $ 1,267,890      $ 8,360,072      $ 5,026,444   
  

 

 

   

 

 

   

 

 

   

 

 

 

WEIGHTED AVERAGE—BASIC AND DILUTED EARNINGS PER COMMON SHARE

   $ 0.64      $ 0.26      $ 1.55      $ 1.05   

WEIGHTED AVERAGE COMMON STOCK OUTSTANDING—BASIC AND DILUTED

     5,379,616        4,851,451        5,379,616        4,770,267   

See accompanying notes to consolidated financial statements.

 

4


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2014

(unaudited)

 

Company

  Industry  

Investment Interest Rate /
Maturity

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

Non-control/Non-affiliated investments—181.3% (b)

       

National Truck Protection Co.,
Inc. (d), (g)

  Automotive Aftermarket   Common Stock     1,116      $ 1,000,000      $ 1,631,710        1.3

National Truck Protection Co., Inc. (d)

  Automotive Aftermarket   First Lien Term Loan 15.50% Cash, 9/13/2018   $ 7,737,848        7,737,848        7,737,848        6.3

Take 5 Oil Change, L.L.C. (d), (g)

  Automotive Aftermarket   Common Stock     7,128        480,536        1,347,406        1.2
       

 

 

   

 

 

   

 

 

 
    Total Automotive Aftermarket       9,218,384        10,716,964        8.8
       

 

 

   

 

 

   

 

 

 

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting A-1     2,535        220,900        1,468,475        1.2

Legacy Cabinets Holdings (d), (g)

  Building Products   Common Stock Voting B-1     1,600        139,425        926,848        0.8
       

 

 

   

 

 

   

 

 

 
    Total Building Products       360,325        2,395,323        2.0
       

 

 

   

 

 

   

 

 

 

BMC Software, Inc. (d)

  Business Services   First Lien Term Loan 5.00% Cash, 9/10/2020   $ 5,746,667        5,699,544        5,650,123        4.6

Dispensing Dynamics International (d)

  Business Services   Senior Secured Note 12.50% Cash, 1/1/2018   $ 7,000,000        6,903,658        7,490,000        6.1

Easy Ice, LLC (d)

  Business Services   First Lien Term Loan 14.00% (11.00% Cash/3.00% PIK), 3/29/2018   $ 7,661,668        7,588,434        7,661,669        6.3

Emily Street Enterprises, L.L.C.

  Business Services   Senior Secured Note 12.00% (11.00% Cash/1.00% PIK), 12/28/2017   $ 5,807,354        5,711,778        5,807,354        4.7

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

  Business Services   Warrant Membership Interests     49,318        400,000        375,310        0.3

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

  Business Services   First Lien Term Loan 5.50% Cash, 6/28/2019   $ 1,960,000        1,945,399        1,940,400        1.6

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

  Business Services   Second Lien Term Loan 9.50% Cash, 6/28/2020   $ 2,000,000        1,974,499        1,990,000        1.6

Knowland Technology Holdings, L.L.C.

  Business Services   First Lien Term Loan 11.00% Cash, 11/29/2017   $ 5,259,171        5,212,134        5,259,171        4.3

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 9,387,880        9,255,555        9,387,880        7.7

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

  Business Services   Warrants to Purchase Limited Liability Company Interests     100        —          34,373        0.0
       

 

 

   

 

 

   

 

 

 
    Total Business Services       44,691,001        45,596,280        37.2
       

 

 

   

 

 

   

 

 

 

Targus Group International, Inc. (d)

  Consumer Products   First Lien Term Loan 11.00% Cash, 5/24/2016   $ 3,622,544        3,581,235        3,443,590        2.8

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

  Consumer Products   Common Stock     62,413        566,765        —          0.0

Targus Holdings, Inc. (d)

  Consumer Products   Unsecured Note 10.00% PIK, 6/14/2019   $ 2,054,158        2,054,158        1,473,654        1.2

Targus Holdings, Inc. (d)

  Consumer Products   Unsecured Note 16.00% Cash, 10/26/2018   $ 437,547        425,624        394,352        0.3
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       6,627,782        5,311,596        4.3
       

 

 

   

 

 

   

 

 

 

Avionte Holdings, LLC (g)

  Consumer Services   Common Stock     100,000        100,000        142,000        0.1

Avionte Holdings, LLC

  Consumer Services   First Lien Term Loan 8.25% Cash, 1/8/2019   $ 3,000,000        2,948,818        3,000,000        2.5

CFF Acquisition L.L.C. (d)

  Consumer Services   First Lien Term Loan 7.50% Cash, 7/31/2015   $ 824,554        821,089        824,554        0.7

Expedited Travel L.L.C. (g)

  Consumer Services   Common Stock     1,000,000        1,000,000        1,000,000        0.8

Expedited Travel L.L.C.

  Consumer Services   First Lien Term Loan 10.00% Cash, 10/10/2019   $ 14,000,000        13,845,224        14,000,000        11.4

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan 6.25% Cash, 7/1/2019   $ 3,870,968        3,839,277        3,870,968        3.2

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan 9.75% Cash, 7/1/2020   $ 5,000,000        4,934,739        5,025,000        4.1
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       27,489,147        27,862,522        22.8
       

 

 

   

 

 

   

 

 

 

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, 3/31/2015   $ 2,362,978        1,235,695        100,951        0.1
       

 

 

   

 

 

   

 

 

 
    Total Education       1,265,936        100,951        0.1
       

 

 

   

 

 

   

 

 

 

Group Dekko, Inc. (d)

  Electronics   Second Lien Term Loan 11.00% (10.00% Cash/1.00% PIK), 5/1/2016   $ 6,954,060        6,954,060        6,470,753        5.3
       

 

 

   

 

 

   

 

 

 
    Total Electronics       6,954,060        6,470,753        5.3
       

 

 

   

 

 

   

 

 

 

 

5


Table of Contents

TB Corp. (d)

   Food and Beverage   

First Lien Term Loan

5.75% Cash, 6/19/2018

   $ 5,063,319         5,052,788         5,027,876         4.1

TB Corp. (d)

   Food and Beverage   

Unsecured Note

13.50% (12.00% Cash/1.50% PIK), 12/20/2018

   $ 2,546,121         2,517,643         2,546,121         2.1

TM Restaurant Group L.L.C.

   Food and Beverage    First Lien Term Loan 7.75% Cash, 7/16/2017    $ 2,799,893         2,799,893         2,794,573         2.3
           

 

 

    

 

 

    

 

 

 
      Total Food and Beverage         10,370,324         10,368,570         8.5
           

 

 

    

 

 

    

 

 

 

Bristol Hospice, LLC

   Healthcare Services   

Senior Secured Note

11.00%(10.00% Cash/1.00% PIK),

11/29/2018

   $ 5,472,816         5,384,210         5,472,816         4.4

IDOC, LLC

   Healthcare Services   

First Lien Term Loan

9.75% Cash, 8/2/2017

   $ 13,644,083         13,659,669         13,644,083         11.1

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

   Healthcare Services    Common Stock      5,000         500,000         190,500         0.2

Roscoe Medical, Inc.

   Healthcare Services   

Second Lien Term Loan

11.25% Cash, 9/26/2019

   $ 4,200,000         4,125,576         4,115,580         3.4

Smile Brands Group Inc. (d)

   Healthcare Services   

First Lien Term Loan

7.50% Cash, 8/16/2019

   $ 4,455,000         4,385,708         4,232,250         3.5

Surgical Specialties Corporation (US), Inc. (d)

   Healthcare Services    First Lien Term Loan 7.25% Cash, 8/22/2018    $ 2,343,750         2,325,095         2,320,312         1.9

Zest Holdings, LLC (d)

   Healthcare Services   

First Lien Term Loan

6.50% Cash, 8/16/2020

   $ 4,455,084         4,369,027         4,455,084         3.6
           

 

 

    

 

 

    

 

 

 
      Total Healthcare Services         34,749,285         34,430,625         28.1
           

 

 

    

 

 

    

 

 

 

Distribution International, Inc. (d)

   Manufacturing   

First Lien Term Loan

7.50% Cash, 7/16/2019

   $ 5,925,000         5,876,718         5,925,000         4.8
           

 

 

    

 

 

    

 

 

 
      Total Manufacturing         5,876,718         5,925,000         4.8
           

 

 

    

 

 

    

 

 

 

HMN Holdco, LLC

   Media   

First Lien Term Loan

14.00% Cash, 5/16/2019

   $ 9,438,047         9,267,197         9,343,666         7.6

HMN Holdco, LLC (g)

   Media    Warrants to Purchase Limited Liability Company Interests (Common)      57,872         —           394,108         0.3

HMN Holdco, LLC (g)

   Media    Warrants to Purchase Limited Liability Company Interests      8,139         —           106,214         0.1
           

 

 

    

 

 

    

 

 

 
      Total Media         9,267,197         9,843,988         8.0
           

 

 

    

 

 

    

 

 

 

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

   Metals   

Senior Secured Note

17.00% (13.00% Cash/4.00% PIK), 1/31/2015

   $ 8,859,616         8,859,614         6,020,268         4.9

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

   Metals    Warrants to Purchase Limited Liability Company Interests (2008)      7,000         20         —           0.0

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

   Metals    Warrants to Purchase Limited Liability Company Interests (2013)      18,227         —           —           0.0
           

 

 

    

 

 

    

 

 

 
      Total Metals         8,859,634         6,020,268         4.9
           

 

 

    

 

 

    

 

 

 

Network Communications, Inc. (d), (g)

   Publishing    Common Stock      380,572         —           —           0.0

Network Communications, Inc. (d)

   Publishing   

Unsecured Notes

8.60% PIK, 1/14/2020

   $ 2,657,971         2,299,254         1,559,269         1.3
           

 

 

    

 

 

    

 

 

 
      Total Publishing         2,299,254         1,559,269         1.3
           

 

 

    

 

 

    

 

 

 

Censis Technologies, Inc.

   Software   

First Lien Term Loan B

11.00% Cash, 7/24/2019

   $ 11,925,000         11,695,936         11,925,000         9.7

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

   Software    Limited Partner Interests      999         999,000         999,000         0.8

Community Investors, Inc. (g)

   Software    Common Stock      1,282         1,282         1,602         0.0

Community Investors, Inc.

   Software   

First Lien, Last Out Term Loan

11.83% Cash, 9/30/2019

   $ 12,000,000         12,000,000         12,000,000         9.8

Community Investors, Inc. (g)

   Software    Preferred Stock      63,463         149,138         79,329         0.1

Community Investors, Inc. (g)

   Software    Preferred Stock—A Shares      135,584         135,584         169,480         0.1

Finalsite Holdings, Inc.

   Software   

Second Lien Term Loan

10.25% Cash, 11/21/2019

   $ 7,500,000         7,425,157         7,500,000         6.2

Identity Automation Systems (g)

   Software    Common Stock Class A Units      232,616         232,616         358,229         0.3

Identity Automation Systems

   Software    First Lien Term Loan 10.25% Cash, 8/25/2019    $ 4,500,000         4,456,885         4,500,000         3.7

Pen-Link, Ltd. (d)

   Software    Second Lien Term Loan 12.50% Cash, 5/26/2019    $ 11,500,000         11,302,271         11,500,000         9.5
           

 

 

    

 

 

    

 

 

 
      Total Software         48,397,869         49,032,640         40.2
           

 

 

    

 

 

    

 

 

 

Advanced Air & Heat of Florida, LLC

   Utilities    First Lien Term Loan 10.00% Cash, 1/31/2019    $ 6,105,441         6,026,036         6,105,441         5.0
           

 

 

    

 

 

    

 

 

 
      Total Utilities         6,026,036         6,105,441         5.0
           

 

 

    

 

 

    

 

 

 

Sub Total Non-control/Non-affiliated investments

        222,452,952         221,740,190         181.3
           

 

 

    

 

 

    

 

 

 

 

6


Table of Contents

Control investments—15.9% (b)

            

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

  Structured Finance Securities   Other/Structured Finance Securities 17.89%, 10/17/2023   $ 30,000,000        16,384,467        19,433,253         15.9
       

 

 

   

 

 

    

 

 

 

Sub Total Control investments

          16,384,467        19,433,253         15.9
       

 

 

   

 

 

    

 

 

 

TOTAL INVESTMENTS—197.2% (b)

        $ 238,837,419      $ 241,173,443         197.2
       

 

 

   

 

 

    

 

 

 

 

(a) Represents a non-qualifyng investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 8.1% 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 $122,315,757 as of November 30, 2014.
(c) Because there is no readily available market value for these investments, the fair value of these investments is 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 17.89% interest rate in the table above represents the 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 period in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

   Purchases      Redemptions      Sales
(cost)
     Interest
Income
     Management
fee income
     Net Realized
gains/(losses)
     Net Unrealized
gain
 

Saratoga Investment Corp. CLO 2013-1, Ltd.

   $ —         $ —         $ —         $ 1,996,010       $ 1,150,505       $ —         $ 3,048,786   

 

(g) Non-income producing at November 30, 2014.
(h) Includes securities issued by an affiliate of the company.

 

7


Table of Contents

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2014

 

Company

  Industry  

Investment Interest Rate /
Maturity

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

Non-control/Non-affiliated investments—162.1% (b)

       

PATS Aircraft, LLC

  Aerospace   Common Stock     51,813      $ 89,636      $ 89,636        0.1

PATS Aircraft, LLC

  Aerospace   First Lien Term Loan 8.50% Cash, 10/6/2016   $ 254,598        254,598        254,598        0.2
       

 

 

   

 

 

   

 

 

 
    Total Aerospace       344,234        344,234        0.3
       

 

 

   

 

 

   

 

 

 

National Truck Protection Co., Inc. (d, g)

  Automotive Aftermarket   Common Stock     1,116        1,000,000        1,152,531        1.0

National Truck Protection Co., Inc. (d)

  Automotive Aftermarket   First Lien Term Loan 15.50% (13.50% Cash/2.00% PIK), 9/13/2018   $ 8,250,000        8,250,000        8,250,000        7.2

Take 5 Oil Change, L.L.C. (d, g)

  Automotive Aftermarket   Common Stock     7,128        712,800        1,217,747        1.1
       

 

 

   

 

 

   

 

 

 
    Total Automotive Aftermarket       9,962,800        10,620,278        9.3
       

 

 

   

 

 

   

 

 

 

Legacy Cabinets Holdings (d, g)

  Building Products   Common Stock Voting A-1     2,535        220,900        552,351        0.5

Legacy Cabinets Holdings (d, g)

  Building Products   Common Stock Voting B-1     1,600        139,424        348,624        0.3
       

 

 

   

 

 

   

 

 

 
    Total Building Products       360,324        900,975        0.8
       

 

 

   

 

 

   

 

 

 

ARSloane Acquistion, LLC

  Business Services   First Lien Term Loan 7.50% Cash, 10/1/2019   $ 997,500        988,200        1,004,981        0.9

BMC Software, Inc. (d)

  Business Services   First Lien Term Loan 5.00% Cash, 9/10/2020   $ 6,000,000        5,943,801        6,013,800        5.2

Dispensing Dynamics International (d)

  Business Services   Senior Secured Note 12.50% Cash, 1/1/2018   $ 7,000,000        6,882,278        7,525,000        6.5

Easy Ice, LLC (d)

  Business Services   First Lien Term Loan 14.00% (11.00% Cash/3.00% PIK), 3/29/2018   $ 7,507,024        7,387,970        7,507,024        6.5

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

  Business Services   Senior Secured Note 12.00% (11.00% Cash/1.00% PIK), 12/28/2017   $ 5,767,983        5,680,703        5,767,983        5.0

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

  Business Services   Warrant Membership Interests     49,318        400,000        601,679        0.5

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

  Business Services   First Lien Term Loan 5.50% Cash, 6/28/2019   $ 3,990,000        3,954,385        3,960,075        3.5

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

  Business Services   Second Lien Term Loan 9.50% Cash, 6/28/2020   $ 2,000,000        1,972,758        2,000,000        1.7

Knowland Technology Holdings, L.L.C. (d)

  Business Services   First Lien Term Loan 11.00% Cash, 11/29/2017   $ 6,200,000        6,107,034        6,200,000        5.4

Trinet HR Corporation (SOI Holdings, Inc.) (d)

  Business Services   First Lien Term Loan 5.00% Cash, 8/20/2020   $ 4,987,500        4,941,335        5,018,921        4.4

Trinet HR Corporation (SOI Holdings, Inc.) (d)

  Business Services   Second Lien Term Loan 8.75% Cash, 2/20/2021   $ 2,500,000        2,453,145        2,518,750        2.2

Vector Controls Holding Co., LLC (d)

  Business Services   First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018   $ 9,261,074        9,115,415        9,075,853        7.9

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

  Business Services   Warrants to Purchase Limited Liability Company Interests     101        —          136,217        0.1
       

 

 

   

 

 

   

 

 

 
    Total Business Services       55,827,024        57,330,283        49.8
       

 

 

   

 

 

   

 

 

 

Targus Group International, Inc. (d)

  Consumer Products   First Lien Term Loan 11.00% Cash, 5/24/2016   $ 3,738,369        3,704,766        3,663,602        3.2

Targus Holdings, Inc. (d, g)

  Consumer Products   Common Stock     62,413        566,765        730,232        0.6

Targus Holdings, Inc. (d)

  Consumer Products   Unsecured Note 10.00% PIK, 6/14/2019   $ 2,054,158        2,054,158        1,387,848        1.2

Targus Holdings, Inc. (d)

  Consumer Products   Unsecured Note 16.00% Cash, 10/26/2018   $ 384,577        379,471        336,505        0.3
       

 

 

   

 

 

   

 

 

 
    Total Consumer Products       6,705,160        6,118,187        5.3
       

 

 

   

 

 

   

 

 

 

Avionte Holdings, LLC

  Consumer Services   Common Stock   $ 100,000        100,000        100,000        0.1

Avionte Holdings, LLC

  Consumer Services   First Lien Term Loan 9.75% Cash, 1/8/2019   $ 3,000,000        2,940,000        3,000,000        2.6

CFF Acquisition L.L.C. (d)

  Consumer Services   First Lien Term Loan 7.50% Cash, 7/31/2015   $ 1,319,891        1,273,596        1,319,891        1.1

Expedited Travel L.L.C. (d)

  Consumer Services   First Lien Term Loan 9.00% Cash, 12/28/2017   $ 4,580,000        4,501,104        4,580,000        4.0

PrePaid Legal Services, Inc. (d)

  Consumer Services   First Lien Term Loan 6.25% Cash, 12/31/2016   $ 4,274,194        4,236,035        4,247,694        3.7

PrePaid Legal Services, Inc. (d)

  Consumer Services   Second Lien Term Loan 9.75% Cash, 7/1/2020   $ 5,000,000        4,931,888        5,044,000        4.4
       

 

 

   

 

 

   

 

 

 
    Total Consumer Services       17,982,623        18,291,585        15.9
       

 

 

   

 

 

   

 

 

 

 

8


Table of Contents

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, 3/13/14   $ 2,512,184        1,358,250        90,128        0.1
       

 

 

   

 

 

   

 

 

 
    Total Education       1,388,491        90,128        0.1
       

 

 

   

 

 

   

 

 

 

Group Dekko, Inc. (d)

  Electronics   Second Lien Term Loan 11.00% (10.00% Cash/1.00% PIK), 5/1/2016   $ 6,901,547        6,901,547        6,741,431        5.9
       

 

 

   

 

 

   

 

 

 
    Total Electronics       6,901,547        6,741,431        5.9
       

 

 

   

 

 

   

 

 

 

USS Parent Holding Corp. (d, g)

  Environmental   Non Voting Common Stock     765        133,002        220,992        0.2

USS Parent Holding Corp. (d, g)

  Environmental   Voting Common Stock     17,396        3,025,798        5,027,574        4.4
       

 

 

   

 

 

   

 

 

 
    Total Environmental       3,158,800        5,248,566        4.6
       

 

 

   

 

 

   

 

 

 

DS Waters of America, Inc. (d)

  Food and
Beverage
  First Lien Term Loan 5.25% Cash, 8/30/2020   $ 2,493,750        2,470,506        2,531,156        2.2

HOA Restaurant Group, L.L.C. (d)

  Food and
Beverage
  Senior Secured Note 11.25% Cash, 4/1/2017   $ 4,000,000        3,918,437        4,240,000        3.7

TB Corp. (d)

  Food and
Beverage
  First Lien Term Loan 5.75% Cash, 6/19/2018   $ 5,101,971        5,082,013        5,127,481        4.5

TB Corp. (d)

  Food and
Beverage
  Unsecured Note 13.50% (12.00% Cash/1.50% PIK), 12/20/2018   $ 2,543,154        2,513,130        2,555,870        2.2

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

  Food and
Beverage
  First Lien Term Loan 7.75% Cash, 7/16/2017   $ 2,845,690        2,831,271        2,831,462        2.5
       

 

 

   

 

 

   

 

 

 
    Total Food and Beverage       16,815,357        17,285,969        15.1
       

 

 

   

 

 

   

 

 

 

Bristol Hospice, LLC

  Healthcare
Services
  Senior Secured Note 11.00%(10.00% Cash/1.00% PIK), 11/29/2018   $ 5,509,782        5,405,325        5,509,782        4.8

Oceans Acquisition, Inc. (d)

  Healthcare
Services
  First Lien Term A Loan 10.75% Cash, 12/27/2017   $ 6,373,113        6,273,020        6,373,113        5.6

Oceans Acquisition, Inc. (d)

  Healthcare
Services
  First Lien Term B Loan 10.75% Cash, 12/27/2017   $ 500,000        490,224        500,000        0.4

Smile Brands Group Inc. (d)

  Healthcare
Services
  First Lien Term Loan 7.50% Cash, 8/16/2019   $ 4,488,750        4,406,559        4,488,750        3.9

Surgical Specialties Corporation (US), Inc. (d)

  Healthcare
Services
  First Lien Term Loan 7.25% Cash, 8/22/2018   $ 2,437,500        2,415,591        2,449,688        2.1

Zest Holdings, LLC (d)

  Healthcare
Services
  First Lien Term Loan 6.50% Cash, 8/16/2020   $ 4,488,750        4,405,073        4,488,750        3.9
       

 

 

   

 

 

   

 

 

 
    Total Healthcare Services       23,395,792        23,810,083        20.7
       

 

 

   

 

 

   

 

 

 

McMillin Companies L.L.C. (d, g, h)

  Homebuilding   Senior Secured Note 0% Cash, 12/31/2013   $ 550,000        558,434        344,355        0.3
       

 

 

   

 

 

   

 

 

 
    Total Homebuilding       558,434        344,355        0.3
       

 

 

   

 

 

   

 

 

 

Distribution International, Inc.. (d)

  Manufacturing   First Lien Term Loan 7.50% Cash, 7/16/2019   $ 5,970,000        5,916,094        5,970,000        5.2
       

 

 

   

 

 

   

 

 

 
    Total Manufacturing       5,916,094        5,970,000        5.2
       

 

 

   

 

 

   

 

 

 

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

  Metals   Senior Secured Note 17.00% (13.00% Cash/4.00% PIK), 9/14/2014   $ 8,859,614        8,859,614        6,644,711        5.8

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

  Metals   Warrants to Purchase Limited Liability Company Interests (2008)     7,000        20        —          0.0

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

  Metals   Warrants to Purchase Limited Liability Company Interests (2013)     18,227        —          —          0.0
       

 

 

   

 

 

   

 

 

 
    Total Metals       8,859,634        6,644,711        5.8
       

 

 

   

 

 

   

 

 

 

Network Communications, Inc. (d, g)

  Publishing   Common Stock     380,572        —          —          0.0

Network Communications, Inc. (d)

  Publishing   Unsecured Notes 8.60% PIK, 1/14/2020   $ 2,601,736        2,202,168        1,190,888        1.0
       

 

 

   

 

 

   

 

 

 
    Total Publishing       2,202,168        1,190,888        1.0
       

 

 

   

 

 

   

 

 

 

Community Investors, Inc. (d, g)

  Software   Common Stock     1,282        1,282        1,449        0.0

Community Investors, Inc. (d)

  Software   First Lien Term Loan 9.75% Cash, 5/9/2018   $ 6,983,333        6,863,915        6,983,333        6.1

Community Investors, Inc. (d)

  Software   Revolver   $ 166,667        —          —          0.0

Community Investors, Inc. (d, g)

  Software   Preferred Stock     135,584        135,584        153,210        0.1

Pen-Link, Ltd.

  Software   Second Lien Term Loan 12.50% Cash, 5/26/2019   $ 11,500,000        11,280,887        11,500,000        10.0
       

 

 

   

 

 

   

 

 

 
    Total Software       18,281,668        18,637,992        16.2
       

 

 

   

 

 

   

 

 

 

 

9


Table of Contents

Advanced Air & Heat of Florida, LLC

  Utilities   First Lien Term Loan 10.00% Cash, 1/31/2019   $ 6,705,441        6,606,457        6,705,441        5.8
       

 

 

   

 

 

   

 

 

 
    Total Utilities       6,606,457        6,705,441        5.8
       

 

 

   

 

 

   

 

 

 

Sub Total Non-control/Non-affiliated investments

      185,266,607        186,275,106        162.1
       

 

 

   

 

 

   

 

 

 

Control investments—17.0% (b)

           

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

  Structured Finance Securities   Other/Structured Finance Securities 15.16%, 10/17/2023   $ 30,000,000        16,555,808        19,569,596        17.0
       

 

 

   

 

 

   

 

 

 

Sub Total Control investments

          16,555,808        19,569,596        17.0
       

 

 

   

 

 

   

 

 

 

TOTAL INVESTMENTS—179.1% (b)

      $ 201,822,415      $ 205,844,702        179.1
       

 

 

   

 

 

   

 

 

 

 

(a) Represents a non-qualifyng investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 8.5% 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 $114,924,018 as of February 28, 2014.
(c) Because there is no readily available market value for these investments, the fair value of these investments is 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 15.16% interest rate in the table above represents the 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 period in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 

Company

   Purchases      Redemptions      Sales
(cost)
     Interest
Income
     Management
fee income
     Net Realized
gains/(losses)
     Net Unrealized
gains/(losses)
 

Saratoga Investment Corp. CLO 2013-1, Ltd.

   $ —         $ —         $ —         $ 3,410,868       $ 1,775,141       $ —         $ 3,013,788   

 

(g) Non-income producing at February 28, 2014.
(h) In connection with the restructuring of this investment, the Company agreed to forego the receipt of any interest payments thereon.

 

10


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)

 

     For the nine months ended
November 30, 2014
    For the nine months ended
November 30, 2013
 

INCREASE FROM OPERATIONS:

    

Net investment income

   $ 6,842,936      $ 7,639,588   

Net realized gain from investments

     3,203,399        1,157,824   

Net unrealized depreciation on investments

     (1,686,263     (3,770,968
  

 

 

   

 

 

 

Net increase in net assets from operations

     8,360,072        5,026,444   
  

 

 

   

 

 

 

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:

    

Distributions declared

     (968,333     (12,534,807
  

 

 

   

 

 

 

Net decrease in net assets from shareholder distributions

     (968,333     (12,534,807
  

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

    

Stock dividend distribution

     —          10,027,695   
  

 

 

   

 

 

 

Net increase in net assets from capital share transactions

     —          10,027,695   
  

 

 

   

 

 

 

Total increase in net assets

     7,391,739        2,519,332   

Net assets at beginning of period

     114,924,018        108,686,761   
  

 

 

   

 

 

 

Net assets at end of period

   $ 122,315,757      $ 111,206,093   
  

 

 

   

 

 

 

Net asset value per common share

   $ 22.74      $ 20.67   

Common shares outstanding at end of period

     5,379,616        5,379,616   

Distribution in excess of net investment income

   $ (23,752,974   $ (29,418,170

See accompanying notes to consolidated financial statements.

 

11


Table of Contents

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)

 

     For the nine months ended
November 30, 2014
    For the nine months ended
November 30, 2013
 

Operating activities

    

NET INCREASE IN NET ASSETS FROM OPERATIONS

   $ 8,360,072      $ 5,026,444   

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

    

Paid-in-kind interest income

     (566,776     (634,408

Net accretion of discount on investments

     (435,222     (543,999

Amortization of deferred debt financing costs

     726,579        660,568   

Net realized gain from investments

     (3,203,399     (1,157,824

Net unrealized depreciation on investments

     1,686,263        3,770,968   

Proceeds from sale and redemption of investments

     51,175,739        64,989,332   

Purchase of investments

     (83,985,346     (110,122,464

(Increase) decrease in operating assets:

    

Cash and cash equivalents, reserve accounts

     (7,444,962     10,487,010   

Interest receivable

     (599,123     138,220   

Due from manager

     —          (4,929

Management fee receivable

     (28,128     49,171   

Other assets

     5,878        (16,190

Receivable from unsettled trades

     —          1,817,074   

Increase (decrease) in operating liabilities:

    

Management and incentive fees payable

     694,274        (922,261

Accounts payable and accrued expenses

     (274,003     (53,553

Interest and debt fees payable

     (147,834     256,537   

Due to manager

     (60,721     50,570   
  

 

 

   

 

 

 

NET CASH USED BY OPERATING ACTIVITIES

     (34,096,709     (26,209,734
  

 

 

   

 

 

 

Financing activities

    

Borrowings on debt

     47,600,000        8,000,000   

Paydowns on debt

     (13,700,000     (24,300,000

Issuance of notes

     —          48,300,000   

Debt financing cost

     (1,639,800     (2,579,308

Payments of cash dividends

     (648,144     —     
  

 

 

   

 

 

 

NET CASH PROVIDED BY FINANCING ACTIVITIES

     31,612,056        29,420,692   
  

 

 

   

 

 

 

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS

     (2,484,653     3,210,958   

CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD

     3,293,898        149,025   
  

 

 

   

 

 

 

CASH AND CASH EQUIVALENTS, END OF PERIOD

   $ 809,245      $ 3,359,983   
  

 

 

   

 

 

 

Supplemental information:

    

Interest paid during the period

   $ 4,887,477      $ 3,425,552   

Supplemental non-cash information:

    

Paid-in-kind interest income

   $ 566,776      $ 634,408   

Net accretion of discount on investments

   $ 435,222      $ 543,999   

Amortization of deferred debt financing costs

   $ 726,579      $ 660,568   

Stock dividend distribution

   $ —        $ 10,027,695   

Cash dividend payable

   $ —        $ 2,507,112   

See accompanying notes to consolidated financial statements.

 

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SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2014

(unaudited)

Note 1. Organization and Basis of Presentation

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”). We commenced operations on March 23, 2007 as GSC Investment Corp. and completed our initial public offering (“IPO”) on March 28, 2007. We have elected to be treated as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code (the “Code”). We expect to continue to qualify and to elect to be treated for tax purposes as a RIC. Our investment objective is to generate current income and, to a lesser extent, capital appreciation from our 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.”.

We are externally managed and advised by our investment adviser, Saratoga Investment Advisors, LLC (the “Manager”), pursuant an investment advisory and management agreement dated July 30, 2010 (the “Management Agreement”). Prior to July 30, 2010, we were managed and advised by GSCP (NJ), L.P.

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”).

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and include the accounts of the Company its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC) and SBIC LP. 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.

Note 2. Summary of Significant Accounting Policies

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; 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.

 

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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 our $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.

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 Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Company to assume that its investments are to be sold at the statement of assets and liabilities 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.

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

 

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

 

    An independent valuation firm engaged by our board of directors reviews approximately one quarter 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 annually.

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

 

    The audit committee of our board of directors reviews 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.

 

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Our 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 rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. Our 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.

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 amortizations of premium 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 income when earned.

Paid-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.

Deferred Debt Financing Costs

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

Contingencies

In the ordinary course of its 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.

 

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

Income Taxes

The Company has filed an election to be treated for tax purposes as a RIC under Subchapter M of 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 Treasury regulations and private letter rulings issued by the Internal Revenue Service, 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 in the consolidated statements of operations. During the fiscal year ended February 28, 2014, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2011, 2012 and 2013 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 2014 and February 28, 2014, there were no uncertain tax positions.

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 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 unrealized gains on its investments exceed all realized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the investment adviser if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Company’s investment adviser related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains for the period.

 

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New Accounting Pronouncements

In June 2014, the FASB issued ASU 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, (“ASU 2014-11”). ASU 2014-11 makes limited changes to the accounting for repurchase agreements, clarifies when repurchase agreements and securities lending transactions should be accounted for as secured borrowings, and requires additional disclosures regarding these types of transactions. The guidance is effective for fiscal years beginning on or after December 15, 2014, and for interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statement disclosures.

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.

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 disclaimer would result in classification as 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 Company’s valuation policy, we evaluate the source of inputs, including any markets in which our investments are trading, in determining fair value.

 

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Table of Contents

The following table presents fair value measurements of investments, by major class, as of November 30, 2014 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —        $ —         $ 24,523       $ 24,523   

First lien term loans

     —           —           120,627         120,627   

Second lien term loans

     —           —           36,601         36,601   

Senior secured notes

     —           —           24,791         24,791   

Unsecured notes

     —           —           5,973         5,973   

Structured finance securities

     —           —           19,433         19,433   

Equity interest

     —           —           9,225         9,225   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —         $ 241,173       $ 241,173   
  

 

 

    

 

 

    

 

 

    

 

 

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2014 (dollars in thousands), according to the fair value hierarchy:

 

     Fair Value Measurements  
     Level 1      Level 2      Level 3      Total  

Syndicated loans

   $ —         $ —         $ 32,390       $ 32,390   

First lien term loans

     —           —           80,246         80,246   

Second lien term loans

     —           —           27,804         27,804   

Senior secured notes

     —           —           30,032         30,032   

Unsecured notes

     —           —           5,471         5,471   

Structured finance securities

     —           —           19,570         19,570   

Equity interest

     —           —           10,332         10,332   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —         $ —        $ 205,845       $ 205,845   
  

 

 

    

 

 

    

 

 

    

 

 

 

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, 2014 (dollars in thousands):

 

     Syndicated
loans
    First lien
term loans
    Second lien
term loans
    Senior
secured
notes
    Unsecured
notes
     Structured
finance
securities
    Common
stock/
equities
    Total  

Balance as of February 28, 2014

   $ 32,390      $ 80,246      $ 27,804      $ 30,032      $ 5,471       $ 19,570      $ 10,332      $ 205,845   

Net unrealized gains (losses)

     (485     92        (379     (796     355         35        (508     (1,686

Purchases and other adjustments to cost

     44        62,812        18,630        91        147         —          3,263        84,987   

Sales and redemptions

     (7,462     (23,027     (9,500     (4,788     —           (172     (6,227     (51,176

Net realized gains from investments

     36        504        46        252        —           —          2,365        3,203   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2014

   $ 24,523      $ 120,627      $ 36,601      $ 24,791      $ 5,973       $ 19,433      $ 9,225      $ 241,173   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

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, 2013 (dollars in thousands):

 

     Syndicated
loans
    First
lien term
loans
    Second lien
term loans
    Senior
secured
notes
    Unsecured
notes
     Structured
finance
securities
    Common
stock/
equities
    Total  

Balance as of February 28, 2013

   $ —        $ 83,792      $ 9,571      $ 23,305      $ 4,874       $ 25,517      $ 8,021      $ 155,080   

Net unrealized gains (losses)

     396        (452     120        (23     339         (4,109     (42     (3,771

Purchases and other adjustments to cost

     37,031        38,305        20,693        14,366        166         —          740        111,301   

Sales and redemptions

     (46     (51,667     (3,031     (7,728     —           (2,389     (128     (64,989

Net realized gains from investments

     —          659        371        —          —           —          128        1,158   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2013

   $ 37,381      $ 70,637      $ 27,724      $ 29,920      $ 5,379       $ 19,019      $ 8,719      $ 198,779   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

   

 

 

   

 

 

 

 

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

The net change in unrealized gain/(loss) for the nine months ended November 30, 2014 and 2013, on investments held as of November 30, 2014 and 2013, was $573,734 and $(3,890,205), respectively, and is included in net unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2014 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input   Range    Weighted
Average Yield
 

Syndicated loans

   $ 24,523       Market Comparables    Third-Party Bid   95.0 - 100.0      98.6%   

First lien term loans

     120,627       Market Comparables    Market Yield (%)   5.5% - 15.6%      10.9%   
         EBITDA Multiples (x)   3.0x      3.0x   
         Third-Party Bid   83.7 - 100.0      92.3%   

Second lien term loans

     36,601       Market Comparables    Market Yield (%)   9.8% - 16.7%      12.3%   
         Third-Party Bid   99.5 — 100.5      100.2%   

Senior secured notes

     24,791       Market Comparables    Market Yield (%)   11.0% - 12.0%      11.5%   
         EBITDA Multiples (x)   5.0x      5.0x   
         Third-Party Bid   107.0      107.0%   

Unsecured notes

     5,973       Market Comparables    Market Yield (%)   13.2% - 21.2%      17.0%   

Structured finance securities

     19,433       Discounted Cash Flow    Discount Rate (%)   10.0%      10.0%   

Equity interests

     9,225       Market Comparables    EBITDA Multiples (x)   2.2x — 11.1x      7.1x   

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2014 were as follows (dollars in thousands):

 

     Fair Value      Valuation Technique    Unobservable Input   Range    Weighted
Average Yield
 

Syndicated loans

   $ 32,390       Market Comparables    Third-Party Bid   99.5 - 100.6      100.1%   

First lien term loans

     80,246       Market Comparables    Market Yield (%)   5.1% - 15.5%      10.4%   
         EBITDA Multiples (x)   3.0x      3.0x   
         Third-Party Bid   83.3 - 101.5      97.0%   

Second lien term loans

     27,804       Market Comparables    Market Yield (%)   9.6% - 12.5%      11.7%   
         Third-Party Bid   100.0 — 101.8      101.1%   

Senior secured notes

     30,032       Market Comparables    Market Yield (%)   11.0% - 42.5%      12.4%   
         EBITDA Multiples (x)   5.0x      5.0x   
         Third-Party Bid   106.0 - 107.5      107.0%   

Unsecured notes

     5,471       Market Comparables    Market Yield (%)   12.8% - 20.3%      16.5%   

Structured finance securities

     19,570       Discounted Cash Flow    Discount Rate (%)   9.0%      9.0%   

Equity interests

     10,332       Market Comparables    EBITDA Multiples (x)   6.3x — 12.0x      7.8x   

 

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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 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.

The composition of the Company’s investments as of November 30, 2014, at amortized cost and fair value were 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

   $ 24,602         10.3   $ 24,523         10.2

First lien term loans

     121,024         50.7        120,627         50.0   

Second lien term loans

     36,716         15.4        36,601         15.2   

Senior secured notes

     26,859         11.2        24,791         10.3   

Unsecured notes

     7,297         3.0        5,973         2.5   

Structured finance securities

     16,384         6.9        19,433         8.0   

Equity interest

     5,955         2.5        9,225         3.8   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 238,837         100.0   $ 241,173         100.0
  

 

 

    

 

 

   

 

 

    

 

 

 

The composition of the Company’s investments as of February 28, 2014, at amortized cost and fair value were 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

   $ 31,983         15.8   $ 32,390         15.7

First lien term loans

     80,734         40.0        80,246         39.0   

Second lien term loans

     27,540         13.6        27,804         13.5   

Senior secured notes

     31,304         15.6        30,032         14.6   

Unsecured notes

     7,149         3.5        5,471         2.7   

Structured finance securities

     16,556         8.2        19,570         9.5   

Equity interest

     6,556         3.3        10,332         5.0   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total

   $ 201,822         100.0   $ 205,845         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

 

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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. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at November 30, 2014. The significant inputs for the valuation model include:

 

    Default rates: 2.0%

 

    Recovery rates: 35-75%

 

    Prepayment rate: 25.0%

 

    Reinvestment rate / price: L+375bps / $99.75

The Company and SBIC are both considered to be investment companies for financial reporting purposes and have applied the guidance in Topic 946, “Financial Services — Investment Companies”. There have been no changes to the Company or SBIC’s status as investment companies during the quarterly period ended November 30, 2014.

Note 4. Investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”)

On January 22, 2008, we 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 us that invests primarily in senior secured loans. Additionally, we 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 refinanced in October 2013 and its reinvestment period ends in October 2016. The Saratoga CLO remains 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.25% and a subordinated management fee of 0.25% of the Fee Basis Amount at the beginning of the Collection Period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of the remaining interest proceeds and principal proceeds, if any, after the subordinated notes have realized the incentive management fee target return of 12.0%, in accordance with the Priority of Payments after making the prior distributions on the relevant payment date. For the three months ended November 30, 2014 and November 30, 2013, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.7 million and $0.6 million in interest income, respectively, from Saratoga CLO. For the nine months ended November 30, 2014 and November 30, 2013, we accrued $1.2 million and $1.4 million in management fee income, respectively, and $2.0 million and $2.8 million in interest income, respectively, from Saratoga CLO. We did not accrue any amounts related to the incentive management fee as the 12.0% hurdle rate has not yet been achieved.

At November 30, 2014, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $19.4 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. At November 30, 2014, Saratoga CLO had investments with a principal balance of $302.6 million and a weighted average spread over LIBOR of 4.2%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 1.8%. 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, 2014, the total “spread”, or projected future cash flows of the subordinated notes, over the life of Saratoga CLO was $23.7 million, which had a present value of approximately $19.8 million, using a 10.0% discount rate.

Below is certain financial information from the separate unaudited financial statements of Saratoga CLO as of November 30, 2014 and February 28, 2014, pursuant to Rule 3-09 of SEC rules Regulation S-X, and for the three and nine months ended November 30, 2014 and November 30, 2013.

 

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Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities

 

     As of  
     November 30, 2014     February 28, 2014  
     (unaudited)        

ASSETS

    

Investments

    

Fair value loans (amortized cost of $300,731,616 and $299,137,566, respectively)

   $ 297,038,596      $ 300,491,077   
  

 

 

   

 

 

 

Total investments at fair value (amortized cost of $300,731,616 and $299,137,566, respectively)

     297,038,596        300,491,077   

Cash and cash equivalents

     1,942,404        8,018,933   

Receivable from open trades

     6,091,525        1,801,266   

Interest receivable

     1,437,136        1,450,952   

Deferred debt financing costs, net

     1,997,854        2,166,633   

Other assets

     91,335        91,336   
  

 

 

   

 

 

 

Total assets

   $ 308,598,850      $ 314,020,197   
  

 

 

   

 

 

 

LIABILITIES

    

Interest payable

   $ 666,488      $ 622,476   

Payable from open trades

     8,536,209        9,445,000   

Accrued base management fee

     89,117        75,053   

Accrued subordinated management fee

     89,117        75,053   

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

     —          1,666,666   

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

     170,000,000        170,000,000   

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

     (1,539,214     (1,671,864

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

     20,000,000        20,000,000   

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

     (159,550     (173,300

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

     44,800,000        44,800,000   

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

     (1,036,437     (1,125,757

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

     16,000,000        16,000,000   

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

     (645,291     (700,902

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

     14,000,000        14,000,000   

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

     (837,638     (909,825

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

     13,100,000        13,100,000   

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

     (1,579,190     (1,715,285

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

     4,500,000        4,500,000   

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

     (574,380     (623,880

Subordinated Notes

     30,000,000        30,000,000   
  

 

 

   

 

 

 

Total liabilities

   $ 315,409,231      $ 317,363,435   
  

 

 

   

 

 

 

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 gain/(loss)

     (3,343,489     838,567   

Net loss

     (3,467,142     (4,182,055
  

 

 

   

 

 

 

Total net assets

     (6,810,381     (3,343,238
  

 

 

   

 

 

 

Total liabilities and net assets

   $ 308,598,850      $ 314,020,197   
  

 

 

   

 

 

 

 

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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
 
     2014     2013     2014     2013  

INVESTMENT INCOME

        

Interest from investments

   $ 3,353,937      $ 3,552,429      $ 9,834,775      $ 12,160,257   

Interest from cash and cash equivalents

     344        2,030        1,182        6,481   

Other income

     55,362        214,092        196,292        891,358   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     3,409,643        3,768,551        10,032,249        13,058,096   
  

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

        

Interest expense

     2,831,770        6,906,431        6,955,909        9,944,427   

Professional fees

     43,547        62,452        137,907        387,380   

Miscellaneous fee expense

     6,734        4,198        33,130        164,989   

Base management fee

     191,505        134,244        575,252        330,012   

Subordinated management fee

     191,505        286,953        575,252        1,070,026   

Trustee expenses

     36,314        21,012        90,242        69,383   

Amortization expense

     237,966        3,692,220        717,892        4,201,074   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     3,539,341        11,107,510        9,085,584        16,167,291   
  

 

 

   

 

 

   

 

 

   

 

 

 

NET INVESTMENT INCOME (LOSS)

     (129,698     (7,338,959     946,665        (3,109,195
  

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain/(loss) on investments

     104,158        (9,292,595     632,728        (8,840,995

Net unrealized appreciation/(depreciation) on investments

     (2,167,924     10,367,981        (5,046,535     6,868,170   
  

 

 

   

 

 

   

 

 

   

 

 

 

Net gain/(loss) on investments

     (2,063,766     1,075,386        (4,413,807     (1,972,825
  

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ (2,193,464   $ (6,263,573   $ (3,467,142   $ (5,082,020
  

 

 

   

 

 

   

 

 

   

 

 

 

 

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Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

November 30, 2014

(unaudited)

 

Issuer Name

 

Industry

 

Asset Name

 

Asset Type

  Current Rate     Maturity Date     Principal     Cost     Fair Value  

24 Hour Holdings III LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     3.75     5/28/2021      $ 498,750      $ 494,092      $ 492,206   

Acosta Holdco Inc.

  Media   Term Loan B   Loan     5.00     8/13/2021        2,000,000        1,985,464        2,005,320   

Aderant North America, Inc.

  Business Equipment and Services   Term Loan (First Lien)   Loan     5.25     12/20/2018        3,260,898        3,260,898        3,228,289   

Advantage Sales & Marketing Inc.

  Business Equipment and Services   Term Loan   Loan     4.25     7/25/2021        64,516        64,536        63,847   

Advantage Sales & Marketing Inc.

  Business Equipment and Services   Delayed Draw Term Loan   Loan     4.25     7/25/2021        1,935,484        1,934,254        1,915,432   

AECOM Technology Corporation

  Business Equipment and Services   Term Loan B   Loan     3.75     10/15/2021        319,903        318,328        320,303   

Aegis Toxicology Science Corporation

  Healthcare   Term B Loan   Loan     5.50     2/24/2021        997,500        997,500        997,500   

Akorn, Inc.

  Healthcare   Term Loan B   Loan     4.50     4/16/2021        500,000        497,853        501,250   

Albertson’s LLC

  Retailers (Except Food and Drugs)   Term Loan B-4   Loan     5.50     8/25/2021        410,000        407,969        409,827   

Albertson’s LLC

  Retailers (Except Food and Drugs)   Term Loan B-4   Loan     5.50     8/25/2021        3,000,000        2,981,665        2,998,740   

Alere Inc. (fka IM US Holdings, LLC)

  Healthcare   Incremental B-1 Term Loan   Loan     4.25     6/30/2017        1,944,987        1,944,987        1,938,296   

American Tire Distributors Inc

  Automotive   Term Loan   Loan     5.75     6/1/2018        497,738        497,738        496,806   

Anchor Glass

  Containers/Glass Products   Term Loan   Loan     3.25     5/16/2021        2,000,000        1,995,153        1,986,500   

Applied Systems, Inc.

  Business Equipment and Services   Initial Term Loan (First Lien)   Loan     4.25     1/25/2021        496,250        495,146        493,521   

Aramark Corporation

  Food Products   LC-2 Facility   Loan     3.69     7/26/2016        79,187        79,180        78,494   

Aramark Corporation

  Food Products   LC-3 Facility   Loan     3.69     7/26/2016        43,961        43,961        43,576   

Aramark Corporation

  Food Products   U.S. Term F Loan   Loan     3.25     2/24/2021        3,190,505        3,190,505        3,145,965   

ARG IH Corp

  Food Services   Term Loan   Loan     4.75     11/15/2020        496,250        495,221        496,126   

Asurion, LLC (fka Asurion Corporation)

  Insurance   Incremental Tranche B-1 Term Loan   Loan     5.00     5/24/2019        5,452,971        5,408,975        5,427,069   

Auction.Com, LLC

  Business Equipment and Services   Term Loan A-4   Loan     4.40     2/28/2017        914,567        914,567        905,422   

Avantor Performance Materials Holdings, Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     6/26/2017        4,319,115        4,308,260        4,297,520   

Avast Software

  Electronics/Electric   Term Loan   Loan     4.00     3/20/2020        1,950,000        1,947,791        1,945,125   

AZ Chem US Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     12/22/2017        478,767        476,432        476,972   

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   New Term Loan   Loan     3.75     11/20/2019        494,899        494,382        491,805   

Bayonne Energy Center

  Oil & Gas   Term Loan B   Loan     4.50     8/19/2021        982,343        977,524        984,494   

Belmond Hotels

  Lodging & Casinos   Term Loan   Loan     4.00     3/19/2021        497,500        495,181        492,938   

Berry Plastics Corporation

  Chemicals/Plastics   Term E Loan   Loan     3.75     1/6/2021        1,814,499        1,801,846        1,786,465   

Big Heart Pet Brands (fka Del Monte Corporation)

  Food/Drug Retailers   Initial Term Loan   Loan     3.50     3/9/2020        2,985,000        3,004,996        2,880,525   

Biomet, Inc.

  Healthcare   Dollar Term B-2 Loan   Loan     3.65     7/25/2017        1,840,718        1,840,718        1,836,116   

BJ’s Wholesale Club, Inc.

  Food/Drug Retailers   New 2013 (November) Replacement Loan (First Lien)   Loan     4.50     9/26/2019        1,493,737        1,492,618        1,482,953   

Bombardier Recreational Products Inc.

  Leisure Goods/Activities/Movies   Term B Loan   Loan     4.00     1/30/2019        754,286        750,056        746,509   

Brickman Group Holdings, Inc.

  Brokers/Dealers/Investment Houses   Initial Term Loan (First Lien)   Loan     4.00     12/18/2020        1,494,994        1,482,074        1,477,143   

Brock Holdings III, Inc.

  Industrial Equipment   Term Loan (First Lien)   Loan     6.00     3/16/2017        1,943,837        1,959,132        1,846,645   

Burlington Coat Factory Warehouse Corporation

  Retailers (Except Food and Drugs)   Term B-2 Loan   Loan     4.25     2/23/2017        1,995,000        1,985,325        1,985,025   

BWAY

  Leisure Goods/Activities/Movies   Term Loan B   Loan     5.50     8/14/2020        997,500        987,910        998,747   

Caesars Entertainment Corp.

  Lodging & Casinos   Term B-7 Loan   Loan     6.25     3/1/2017        997,500        991,102        915,206   

Camp International Holding Company

  Aerospace and Defense   2013 Replacement Term Loan (First Lien)   Loan     4.75     5/31/2019        1,965,034        1,970,857        1,969,947   

Capital Automotive L.P.

  Conglomerate   Tranche B-1 Term Loan Facility   Loan     4.00     4/10/2019        2,084,879        2,089,597        2,079,021   

Catalent Pharma Solutions, Inc

  Drugs   Initial Term B Loan   Loan     3.50     9/15/2021        498,750        496,327        498,660   

Celanese US Holdings LLC

  Chemicals/Plastics   Dollar Term C-2 Commitment   Loan     2.25     10/31/2016        2,159,974        2,187,537        2,159,585   

Cengage Learning

  Publishing   Term Loan   Loan     7.00     3/31/2020        2,738,750        2,769,924        2,737,901   

Charter Communications Operating, LLC

  Cable and Satellite Television   Term F Loan   Loan     3.00     12/31/2020        2,662,486        2,653,171        2,624,226   

CHS/Community Health Systems, Inc.

  Healthcare   2017 Term E Loan   Loan     3.48     1/25/2017        1,100,591        1,074,787        1,098,390   

CHS/Community Health Systems, Inc.

  Healthcare   2021 Term D Loan   Loan     4.25     1/27/2021        2,933,441        2,849,143        2,936,492   

Cinedigm Digital Funding I, LLC

  Business Equipment and Services   Term Loan   Loan     3.75     2/28/2018        633,604        628,590        632,020   

CITGO Petroleum

  Oil & Gas   Term Loan B   Loan     4.50     7/29/2021        1,000,000        996,338        995,000   

ClubCorp Club Operations, Inc.

  Lodging & Casinos   Term Loan B   Loan     4.50     7/24/2020        500,000        496,250        498,125   

Covanta Energy Corporation

  Ecological Services and Equipment   Term Loan   Loan     3.25     3/28/2019        330,833        329,802        329,732   

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

  Electronics/Electric   Term B Loan   Loan     4.25     4/7/2021        3,604,388        3,604,388        3,562,324   

Crosby US Acquisition Corp.

  Industrial Equipment   Initial Term Loan (First Lien)   Loan     4.00     11/23/2020        744,375        743,561        716,461   

Crown Castle Operating Company

  Telecommunications/Cellular   Extended Incremental Tranche B-2 Term Loan   Loan     3.00     1/31/2021        2,441,744        2,439,592        2,431,074   

CT Technologies Intermediate Hldgs, Inc

  Healthcare   Term Loan (First Lien)   Loan     6.00     11/18/2021        1,500,000        1,485,000        1,492,500   

Culligan International Company

  Conglomerate   Dollar Loan (First Lien)   Loan     6.25     12/19/2017        783,162        729,780        732,257   

Culligan International Company

  Conglomerate   Dollar Loan (Second Lien)   Loan     9.50     6/19/2018        781,646        734,775        763,410   

Cumulus Media Holdings Inc.

  Broadcast Radio and Television   Term Loan   Loan     4.25     12/23/2020        482,438        478,143        474,599   

Custom Sensors

  Industrial Equipment   Term Loan   Loan     4.50     6/18/2021        500,000        498,799        498,750   

DaVita HealthCare Partners Inc. (fka DaVita Inc.)

  Healthcare   Tranche B Term Loan   Loan     4.50     10/20/2016        498,750        496,393        495,842   

DCS Business Services, Inc.

  Financial Intermediaries   Term B Loan   Loan     7.25     3/19/2018        3,468,917        3,443,130        3,418,930   

Dealertrack Technologies, Inc.

  Leisure Goods/Activities/Movies   Term B Loan   Loan     3.50     2/26/2021        477,011        475,946        471,645   

Dell International LLC

  Retailers (Except Food and Drugs)   Term B Loan   Loan     4.50     4/29/2020        2,977,481        2,964,580        2,979,595   

Delos Finance SARL

  Financial Intermediaries   Term Loan   Loan     3.50     3/6/2021        500,000        497,709        498,125   

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

  Lodging & Casinos   Term Loan B-3   Loan     4.75     7/30/2021        1,000,000        995,106        986,750   

Deluxe Entertainment Service Group, Inc.

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     6.50     2/28/2020        1,981,211        1,982,485        1,812,808   

Devix US, Inc.

  Chemicals/Plastics   Term Loan   Loan     4.25     4/30/2021        250,000        247,654        247,500   

Devix US, Inc.

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     8.00     5/2/2022        498,750        496,400        497,089   

Diamond Resorts International

  Lodging & Casinos   Term Loan   Loan     5.50     5/9/2021        997,500        992,639        999,994   

DPX Holdings B.V.

  Healthcare   Term Loan   Loan     4.25     3/11/2021        2,992,500        2,985,464        2,920,889   

Drew Marine Group Inc.

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     11/19/2020        1,493,737        1,499,009        1,476,933   

Dunkin’ Brands, Inc.

  Food Services   Term B-4 Loan   Loan     3.25     2/7/2021        3,942,384        3,933,806        3,870,593   

Education Management LLC

  Leisure Goods/Activities/Movies   Tranche C-2 Term Loan   Loan     4.25     6/1/2016        3,905,338        3,818,145        1,732,994   

EIG Investors Corp.

  Business Equipment and Services   Term Loan   Loan     5.00     11/8/2019        990,000        985,855        990,000   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     8/1/2021        500,000        497,576        495,940   

Emerald Performance Materials, LLC

  Chemicals/Plastics   Term Loan (Second Lien)   Loan     7.75     8/1/2022        500,000        497,511        491,875   

EnergySolutions, LLC

  Oil & Gas   Term Loan B   Loan     6.75     5/29/2020        997,500        979,024        1,004,981   

Enviromental Resources Management

  Business Equipment and Services   Term Loan   Loan     5.00     5/16/2021        1,000,000        990,000        995,830   

Evergreen Acqco 1 LP

  Retailers (Except Food and Drugs)   New Term Loan   Loan     5.00     7/9/2019        977,550        975,180        974,500   

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

  Industrial Equipment   Term Loan (First Lien)   Loan     4.75     1/15/2021        1,992,500        1,986,969        1,980,047   

Federal-Mogul Corporation

  Automotive   Tranche C Term Loan   Loan     4.75     4/15/2021        2,992,500        2,978,941        2,983,612   

First Data Corporation

  Financial Intermediaries   2017 Second New Dollar Term Loan   Loan     4.15     3/24/2017        2,790,451        2,724,831        2,749,766   

First Data Corporation

  Financial Intermediaries   2018 Dollar Term Loan   Loan     4.15     3/23/2018        2,111,028        2,018,373        2,098,362   

Fitness International, LLC

  Leisure Goods/Activities/Movies   Term Loan B   Loan     5.50     7/1/2020        1,496,250        1,485,504        1,470,694   

FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)

  Nonferrous Metals/Minerals   Loan   Loan     3.75     6/28/2019        1,987,481        1,987,131        1,848,775   

Four Seasons Holdings Inc.

  Lodging & Casinos   Term Loan (First Lien)   Loan     3.50     6/29/2020        495,000        495,000        490,877   

Garda World Security Corporation

  Business Equipment and Services   Term B Delayed Draw Loan   Loan     4.00     11/6/2020        201,667        200,778        198,894   

Garda World Security Corporation

  Business Equipment and Services   Term B Loan   Loan     4.00     11/6/2020        788,333        784,955        777,494   

Gardner Denver, Inc.

  Oil & Gas   Initial Dollar Term Loan   Loan     4.25     7/30/2020        2,482,481        2,473,377        2,379,036   

Gates Global LLC

  Leisure Goods/Activities/Movies   Term Loan (First Lien)   Loan     4.25     7/2/2021        500,000        495,000        494,500   

Generac Power Systems, Inc.

  Industrial Equipment   Term Loan B   Loan     3.25     5/29/2020        821,138        807,233        799,239   

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     3.25     3/4/2019        4,728,130        4,712,615        4,606,003   

Global Tel*Link Corporation

  Business Equipment and Services   Term Loan (First Lien)   Loan     5.00     5/26/2020        2,763,065        2,754,287        2,738,888   

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     4.75     4/30/2019        4,000,000        3,953,800        4,011,240   

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.75     1/4/2021        3,473,750        3,457,879        3,404,275   

GTCR Valor Companies, Inc.

  Business Equipment and Services   Term Loan (First Lien)   Loan     6.00     6/1/2021        2,000,000        1,960,000        1,947,500   

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

  Publishing   Tranche B-4 Term Loan   Loan     6.00     8/2/2019        490,625        488,469        491,699   

HCA Inc.

  Healthcare   Tranche B-4 Term Loan   Loan     2.94     5/1/2018        5,677,343        5,404,594        5,652,533   

Hertz Corporation, The

  Automotive   Tranche B-1 Term Loan   Loan     3.75     3/12/2018        2,947,500        2,985,385        2,909,418   

Hoffmaster Group, Inc.

  Containers/Glass Products   Term Loan   Loan     5.25     5/8/2020        1,995,000        1,976,131        1,987,519   

Hologic, Inc.

  Healthcare   Refinancing Tranche A Term Loan   Loan     2.15     8/1/2017        2,187,500        2,183,274        2,168,359   

Huntsman International LLC

  Chemicals/Plastics   Extended Term B Loan   Loan     2.69     4/19/2017        3,880,270        3,859,264        3,841,468   

Husky Injection

  Business Equipment and Services   Term Loan B   Loan     4.25     6/30/2021        498,099        495,778        491,125   

Ikaria, Inc.

  Healthcare   Initial Term Loan (First Lien)   Loan     5.00     2/12/2021        470,660        468,542        471,366   

Infor (US), Inc. (fka Lawson Software Inc.)

  Business Equipment and Services   Tranche B-5 Term Loan   Loan     3.75     6/30/2020        2,216,721        2,198,833        2,181,896   

J. Crew Group, Inc.

  Retailers (Except Food and Drugs)   Term B-1 Loan Retired 03/05/2014   Loan     4.00     3/5/2021        967,638        967,638        917,843   

Jazz Acquisition, Inc

  Aerospace and Defense   First Lien 6/14   Loan     4.50     6/19/2021        498,788        497,541        495,985   

Kinetic Concepts, Inc.

  Healthcare   Dollar Term D-1 Loan   Loan     4.00     5/4/2018        2,483,869        2,457,922        2,470,407   

Koosharem, LLC

  Business Equipment and Services   Term Loan   Loan     7.50     4/29/2020        997,500        990,756        982,537   

La Quinta Holdings, Inc.

  Lodging & Casinos   Term Loan (First Lien)   Loan     4.00     4/14/2021        461,938        460,169        459,281   

Level 3 Financing, Inc.

  Telecommunications   Term Loan B   Loan     4.50     1/31/2022        500,000        496,286        501,095   

Mauser Holdings, Inc.

  Containers/Glass Products   Term Loan   Loan     4.50     8/2/2021        500,000        497,582        496,875   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term B Loan   Loan     3.75     1/28/2020        492,500        492,500        487,851   

Michaels Stores, Inc.

  Retailers (Except Food and Drugs)   Term Loan B-2   Loan     3.75     1/28/2020        1,496,250        1,489,059        1,489,307   

Microsemi Corporation

  Electronics/Electric   Incremental Term Loan   Loan     3.50     2/19/2020        2,393,981        2,389,500        2,365,852   

Microsemi Corporation

  Electronics/Electric   Term Loan   Loan     3.75     2/19/2020        172,170        172,170        170,591   

Midas Intermediate Holdco II, LLC

  Automotive   Delayed Draw Term Loan   Loan     4.75     8/18/2021        25,316        25,316        25,356   

Midas Intermediate Holdco II, LLC

  Automotive   Term Loan B   Loan     4.75     8/18/2021        224,683        223,579        225,034   

Millenium Laboratories, LLC

  Drugs   Term Loan   Loan     5.25     4/16/2021        1,496,250        1,482,301        1,498,120   

Mitel US Holdings, Inc.

  Telecommunications   Term Loan   Loan     5.25     1/31/2020        214,164        213,211        214,164   

MPH Acquisition Holdings LLC

  Health Insurance   Term Loan   Loan     4.00     3/31/2021        463,636        462,528        455,773   

MSC Software Corp.

  Business Equipment and Services   Term Loan   Loan     4.00     5/29/2020        997,500        988,304        996,253   

National CineMedia, LLC

  Leisure Goods/Activities/Movies   Term Loan (2013)   Loan     2.95     11/26/2019        1,086,207        1,057,633        1,038,457   

National Veterinary Associates, Inc

  Healthcare   Term Loan B   Loan     4.75     8/14/2021        1,000,000        995,200        998,750   

National Vision, Inc.

  Retailers (Except Food and Drugs)   Term Loan (Second Lien)   Loan     6.75     3/11/2022        250,000        249,723        232,500   

Newsday, LLC

  Publishing   Term Loan   Loan     3.69     10/12/2016        2,215,385        2,214,135        2,198,769   

Nortek, Inc.

  Electronics/Electric   Term B Loan   Loan     3.75     10/30/2020        997,500        995,116        986,278   

Novelis, Inc.

  Conglomerate   Initial Term Loan   Loan     3.75     3/10/2017        4,820,028        4,831,154        4,807,978   

NPC International, Inc.

  Food Services   Term Loan (2013)   Loan     4.00     12/28/2018        487,500        487,500        468,000   

NRG Energy, Inc.

  Utilities   Term Loan (2013)   Loan     2.75     7/2/2018        3,871,050        3,850,443        3,822,662   

NuSil Technology LLC.

  Chemicals/Plastics   Term Loan   Loan     5.25     4/7/2017        800,222        800,222        791,971   

OEP Pearl Dutch Acquisition B.V.

  Chemicals/Plastics   Initial BV Term Loan   Loan     6.50     3/30/2018        136,022        134,681        135,938   

Ollie’s Bargain Outlet, Inc

  Retailers (Except Food and Drugs)   Term Loan   Loan     6.00     9/30/2019        979,576        975,079        969,781   

On Assignment, Inc.

  Business Equipment and Services   Initial Term B Loan   Loan     3.50     5/15/2020        1,311,364        1,303,108        1,298,250   

Onex Carestream Finance LP

  Healthcare   Term Loan (First Lien 2013)   Loan     5.00     6/7/2019        4,226,014        4,209,392        4,226,902   

OnexYork Acquisition Co

  Healthcare   Delayed Draw Term Loan   Loan     5.00     6/7/2019        —          —          —     

OnexYork Acquisition Co

  Healthcare   Term Loan B   Loan     5.00     6/7/2019        451,220        447,878        448,719   

OpenLink International LLC

  Business Equipment and Services   Term B Loan   Loan     6.25     10/27/2017        972,500        972,500        967,638   

Orbitz Worldwide, Inc.

  Business Equipment and Services   Term Loan (First Lien)   Loan     4.50     4/15/2021        1,498,750        1,496,379        1,492,006   

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

  Food/Drug Retailers   Term Borrowing   Loan     4.25     6/24/2019        1,451,689        1,444,063        1,409,953   

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

  Business Equipment and Services   Term Loan (First Lien)   Loan     5.00     10/30/2020        992,500        987,689        977,613   

Paragon Offshore Finance

  Oil & Gas   Term Loan B   Loan     3.75     7/18/2021        750,000        746,250        638,123   

PetCo Animal Supplies Stores, Inc.

  Retailers (Except Food and Drugs)   New Loans   Loan     4.00     11/24/2017        1,473,214        1,472,253        1,465,229   

PGX Holdings, Inc.

  Financial Intermediaries   Term Loan   Loan     6.25     9/9/2020        1,000,000        990,357        993,750   

Pharmaceutical Product Development, Inc. (Jaguar Holdings, LLC)

  Conglomerate   2013 Term Loan   Loan     4.00     12/5/2018        1,945,350        1,921,827        1,939,105   

Phillips-Medisize Corporation

  Healthcare   Term Loan   Loan     4.75     6/16/2021        498,750        496,414        498,127   

Pinnacle Foods Finance LLC

  Food Products   New Term Loan G   Loan     3.25     4/29/2020        2,581,332        2,576,266        2,541,399   

Planet Fitness Holdings LLC

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.75     3/31/2021        1,492,500        1,485,577        1,485,038   

Polymer Group, Inc.

  Chemicals/Plastics   Initial Loan   Loan     5.25     12/19/2019        496,250        493,975        496,870   

Prestige Brands, Inc.

  Drugs   Term B-1 Loan   Loan     3.75     1/31/2019        390,152        385,864        390,152   

Prestige Brands, Inc.

  Leisure Goods/Activities/Movies   Term Loan   Loan     4.50     9/3/2021        1,972,222        1,968,727        1,982,083   

Progressive Waste Solutions Ltd.

  Ecological Services and Equipment   Term B Loan   Loan     3.00     10/24/2019        494,962        494,962        496,407   

QoL Meds, LLC

  Healthcare   Term Loan B   Loan     5.50     7/15/2020        2,000,000        1,990,530        1,990,000   

Quintiles Transnational Corp.

  Conglomerate   Term B-3 Loan   Loan     3.75     6/8/2018        3,672,340        3,642,784        3,652,840   

Ranpak Holdings, Inc.

  Business Equipment and Services   Term Loan   Loan     4.75     10/1/2021        1,000,000        997,539        996,250   

Ranpak Holdings, Inc.

  Business Equipment and Services   Term Loan (Second Lien)   Loan     8.25     9/30/2022        500,000        497,617        499,585   

Redtop Acquisitions Limited

  Electronics/Electric   Initial Dollar Term Loan (First Lien)   Loan     4.50     12/3/2020        496,250        493,090        495,009   

Rexnord LLC/RBS Global, Inc.

  Industrial Equipment   Term B Loan   Loan     4.00     8/21/2020        1,650,968        1,652,341        1,637,893   

Reynolds Group Holdings Inc.

  Industrial Equipment   Incremental U.S. Term Loan   Loan     4.00     12/1/2018        1,965,150        1,965,150        1,955,501   

Rocket Software, Inc.

  Business Equipment and Services   Term Loan (First Lien)   Loan     5.75     2/8/2018        1,916,674        1,897,240        1,916,674   

Rovi Solutions Corporation / Rovi Guides, Inc.

  Electronics/Electric   Tranche B-3 Term Loan   Loan     3.50     3/29/2019        1,496,250        1,489,116        1,471,472   

RPI Finance Trust

  Drugs   Term B-2 Term Loan   Loan     3.25     5/9/2018        5,220,614        5,199,989        5,198,844   

SBP Holdings LP

  Industrial Equipment   Term Loan (First Lien)   Loan     5.00     3/27/2021        995,000        990,400        965,150   

Scientific Games International, Inc.

  Electronics/Electric   Term Loan B2   Loan     6.00     10/1/2021        1,000,000        990,176        983,630   

Scitor Corporation

  Business Equipment and Services   Term Loan   Loan     5.00     2/15/2017        463,977        462,198        458,758   

Seadrill

  Oil & Gas   Term Loan B   Loan     4.00     2/21/2021        1,000,000        917,500        870,710   

Sensata Technologies B.V./Sensata Technology Finance Company, LLC

  Industrial Equipment   Term Loan   Loan     3.25     5/13/2019        1,513,266        1,513,266        1,513,266   

Sensus USA Inc. (fka Sensus Metering Systems)

  Utilities   Term Loan (First Lien)   Loan     4.75     5/9/2017        1,930,054        1,925,009        1,886,628   

ServiceMaster Company, The

  Conglomerate   Tranche B Term Loan   Loan     4.40     1/31/2017        2,000,000        1,980,986        1,984,500   

Shearers Foods LLC

  Food Services   Term Loan (First Lien)   Loan     4.50     6/30/2021        1,000,000        997,512        996,880   

Sonneborn, LLC

  Chemicals/Plastics   Initial US Term Loan   Loan     5.50     12/10/2020        770,792        759,038        770,314   

Sophia, L.P.

  Electronics/Electric   Term B Loan   Loan     4.00     7/19/2018        888,561        879,534        882,786   

SourceHOV LLC

  Business Equipment and Services   Term Loan B (First Lien)   Loan     7.75     10/31/2019        2,000,000        1,940,000        1,939,160   

Southwire Company, LLC (f.k.a Southwire Company)

  Building and Development   Initial Term Loan   Loan     3.25     2/10/2021        497,500        496,388        483,998   

SRAM, LLC

  Industrial Equipment   Term Loan (First Lien)   Loan     5.25     4/10/2020        3,029,045        3,018,608        2,964,678   

SS&C Technologies Holdings Europe S.A.R.L.

  Business Equipment and Services   2013 Replacement Term B-2 Loan   Loan     3.25     6/7/2019        50,646        50,211        50,773   

SS&C Technologies, Inc., /Sunshine Acquisition II, Inc.

  Business Equipment and Services   2013 Replacement Term B-1 Loan   Loan     3.25     6/7/2019        489,581        485,413        490,804   

Steak ‘n Shake Operations, Inc.

  Food Services   Term Loan   Loan     4.75     3/19/2021        995,000        985,894        990,025   

STHI Holding

  Healthcare   Term Loan   Loan     4.50     8/6/2021        1,000,000        1,000,000        996,670   

SunGard Data Systems Inc. (Solar Capital Corp.)

  Conglomerate   Tranche C Term Loan   Loan     3.90     2/28/2017        285,352        282,854        284,639   

SunGard Data Systems Inc. (Solar Capital Corp.)

  Conglomerate   Tranche E Term Loan   Loan     4.00     3/9/2020        3,707,953        3,614,501        3,694,975   

SuperMedia Inc. (fka Idearc Inc.)

  Publishing   Loan   Loan     11.60     12/30/2016        246,572        239,414        199,518   

Syniverse Holdings, Inc.

  Telecommunications   Initial Term Loan   Loan     4.00     4/23/2019        479,913        475,914        470,915   

Taminco Global Chemical Corporation

  Chemicals/Plastics   Initial Tranche B-3 Dollar Term Loan   Loan     3.25     2/15/2019        1,462,809        1,454,095        1,455,948   

TGI Friday’s

  Food Services   Term Loan B   Loan     5.25     7/15/2020        981,136        976,588        979,910   

TPF II Power LLC and TPF II Covert Midco LLC

  Utilities   Term Loan B   Loan     5.50     10/2/2021        500,000        496,450        502,345   

TransDigm, Inc.

  Aerospace and Defense   Tranche C Term Loan   Loan     3.75     2/28/2020        4,859,419        4,869,067        4,814,858   

TransFirst

  Financial Intermediaries   Term Loan   Loan     5.50     11/12/2021        500,000        495,011        501,095   

TransUnion

  Financial Intermediaries   Term Loan   Loan     4.00     4/9/2021        497,500        496,320        492,649   

Tricorbraun, Inc. (fka Kranson Industries, Inc.)

  Containers/Glass Products   Term Loan   Loan     4.00     5/3/2018        1,902,083        1,894,387        1,882,264   

Truven Health Analytics Inc. (fka Thomson Reuters (Healthcare) Inc.)

  Healthcare   New Tranche B Term Loan   Loan     4.50     6/6/2019        488,806        480,655        478,214   

Twin River Management Group, Inc.

  Lodging & Casinos   Term Loan B   Loan     5.25     7/10/2020        997,500        999,865        1,003,734   

U.S. Security Associates Holdings, Inc.

  Business Equipment and Services   Delayed Draw Loan   Loan     6.00     7/28/2017        158,925        157,926        157,932   

U.S. Security Associates Holdings, Inc.

  Business Equipment and Services   Term B Loan   Loan     6.00     7/28/2017        933,452        928,045        927,618   

United Surgical Partners International, Inc.

  Healthcare   New Tranche B Term Loan   Loan     4.75     4/3/2019        2,437,937        2,413,454        2,436,425   

Univar Inc.

  Chemicals/Plastics   Term B Loan   Loan     5.00     6/30/2017        3,854,959        3,854,719        3,810,781   

Univision Communications Inc.

  Telecommunications   Replacement First-Lien Term Loan   Loan     4.00     3/1/2020        2,955,169        2,938,967        2,924,701   

Valeant Pharmaceuticals International, Inc.

  Drugs   Series D2 Term Loan B   Loan     3.75     2/13/2019        2,545,588        2,537,039        2,528,813   

Verint Systems Inc.

  Business Equipment and Services   Term Loan   Loan     3.50     9/6/2019        1,264,058        1,259,400        1,261,530   

Vertafore, Inc.

  Business Equipment and Services   Term Loan (2013)   Loan     4.25     10/3/2019        2,881,003        2,881,003        2,869,594   

Vouvray US Finance

  Industrial Equipment   Term Loan   Loan     5.00     6/28/2021        498,750        496,358        495,947   

Washington Inventory Service

  Business Equipment and Services   U.S. Term Loan (First Lien)   Loan     6.75     12/20/2018        1,832,876        1,853,317        1,803,092   

Wendy’s International, Inc

  Food Services   Term B Loan   Loan     3.25     5/15/2019        675,340        669,494        670,768   

West Corporation

  Telecommunications   Term B-10 Loan   Loan     3.25     6/30/2018        2,571,560        2,608,260        2,540,212   
             

 

 

   

 

 

 
              $ 300,731,616      $ 297,038,596   
             

 

 

   

 

 

 

 

24


Table of Contents

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

February 28, 2014

 

Issuer Name

 

Industry

 

Asset Name

 

Asset Type

  Current Rate     Maturity Date     Principal      Cost     Fair Value  

Academy, LTD.

  Retailers (Except Food and Drugs)   Initial Term Loan (2012)   Loan     4.50     8/3/2018      $ 1,960,187      $ 1,948,853      $ 1,969,969   

Acosta, Inc.

  Food Products   Term B Loan (2013)   Loan     4.25     3/2/2018        4,162,740        4,101,035        4,177,310   

Aderant North America, Inc.

  Business Equipment and Services   Term Loan (First Lien)   Loan     6.25     12/20/2018        3,473,750        3,470,186        3,482,434   

Aegis Toxicology Sciences Corporation

  Healthcare   Initial Term Loan (First Lien)   Loan     5.50     2/24/2021        1,000,000        990,000        990,000   

Aegis Toxicology Sciences Corporation

  Healthcare   Initial Term Loan (Second Lien)   Loan     9.50     8/24/2021        500,000        492,500        492,500   

Aeroflex Incorporated

  Aerospace and Defense   Tranche B-1 Term Loan   Loan     4.50     11/9/2019        3,208,854        3,194,690        3,223,550   

Akorn, Inc.

  Healthcare   Term Loan B   Loan     4.50     11/13/2020        500,000        497,500        503,125   

Alere Inc. (fka IM US Holdings, LLC)

  Healthcare   Incremental B-1 Term Loan   Loan     4.25     6/30/2017        1,960,000        1,930,566        1,968,173   

Applied Systems, Inc.

  Business Equipment and Services   Term Loan   Loan     4.25     12/8/2016        500,000        498,750        498,750   

Aramark Corporation

  Food Products   LC-2 Facility   Loan     3.69     7/26/2016        79,187        79,187        79,206   

Aramark Corporation

  Food Products   LC-3 Facility   Loan     3.69     7/26/2016        43,961        43,961        43,971   

Aramark Corporation

  Food Products   U.S. Term C Loan   Loan     3.25     7/26/2016        3,206,537        3,206,537        3,207,307   

Ardagh Holdings USA Inc. (Ardagh Packaging Finance S.A.)

  Containers/Glass Products   Dollar Term Loan   Loan     4.25     12/17/2019        1,000,000        995,109        1,002,500   

ARG IH Corporation

  Food Services   Term Loan   Loan     5.00     11/15/2020        500,000        498,797        502,500   

Asurion, LLC (fka Asurion Corporation)

  Insurance   Incremental Tranche B-1 Term Loan   Loan     4.50     5/24/2019        5,508,783        5,462,695        5,516,660   

Auction.Com, LLC

  Business Equipment and Services   Term Loan A-4   Loan     4.66     2/28/2017        980,651        979,812        970,845   

Autotrader.com, Inc.

  Automotive   Tranche B-1 Term Loan   Loan     4.00     12/15/2016        3,791,778        3,791,778        3,805,997   

Avantor Performance Materials Holdings, Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     6/24/2017        4,875,000        4,861,403        4,875,000   

AZ Chem US Inc.

  Chemicals/Plastics   Term Loan   Loan     5.25     12/22/2017        1,355,941        1,329,859        1,362,720   

Bass Pro Group, LLC

  Retailers (Except Food and Drugs)   New Term Loan   Loan     3.75     11/20/2019        498,725        498,126        500,715   

Berry Plastics Corporation

  Chemicals/Plastics   Term E Loan   Loan     3.75     1/6/2021        1,500,000        1,496,250        1,495,500   

Big Heart Pet Brands (fka Del Monte Corporation)

  Food/Drug Retailers   Initial Term Loan   Loan     3.50     3/9/2020        3,000,000        3,022,866        2,999,250   

Biomet, Inc.

  Healthcare   Dollar Term B-2 Loan   Loan     3.65     7/25/2017        1,970,137        1,970,137        1,972,797   

BJ’s Wholesale Club, Inc.

  Food/Drug Retailers   New 2013 (November) Replacement Loan (First Lien)   Loan     4.50     9/26/2019        500,000        497,592        502,750   

Bombardier Recreational Products Inc.

  Leisure Goods/Activities/Movies   Term B Loan   Loan     4.00     1/30/2019        754,286        748,080        756,647   

Brickman Group Ltd. LLC, The

  Brokers/Dealers/Investment Houses   Initial Term Loan (First Lien)   Loan     4.00     12/18/2020        250,000        248,750        250,937   

Brock Holdings III, Inc.

  Industrial Equipment   Term Loan (First Lien)   Loan     6.75     3/16/2017        1,959,839        1,976,826        1,967,188   

Burlington Coat Factory Warehouse Corporation

  Retailers (Except Food and Drugs)   Term B-2 Loan   Loan     4.25     2/23/2017        2,660,377        2,653,889        2,675,675   

C.H.I. Overhead Doors, Inc.

  Building and Development   Term Loan (First Lien)   Loan     5.50     3/18/2019        2,739,013        2,692,934        2,745,861   

Camp International Holding Company

  Aerospace and Defense   2013 Replacement Term Loan (First Lien)   Loan     4.75     5/31/2019        990,000        990,000        999,900   

Capital Automotive L.P.

  Conglomerate   Tranche B-1 Term Loan Facility   Loan     4.00     4/10/2019        2,137,369        2,141,920        2,142,712   

Capstone Logistics, LLC

  Business Equipment and Services   Term Note A   Loan     6.50     9/16/2016        2,658,626        2,637,550        2,618,899   

Capsugel Holdings US, Inc.

  Drugs   Initial Term Loan   Loan     3.50     8/1/2018        3,145,521        3,138,959        3,141,589   

Celanese US Holdings LLC

  Chemicals/Plastics   Dollar Term C-2 Commitment   Loan     2.25     10/31/2016        2,176,323        2,201,894        2,192,254   

Charter Communications Operating, LLC

  Cable and Satellite Television   Term F Loan   Loan     3.00     12/31/2020        2,682,707        2,672,727        2,666,369   

CHS/Community Health Systems, Inc.

  Healthcare   2017 Term E Loan   Loan     3.48     1/25/2017        1,108,908        1,082,718        1,113,987   

CHS/Community Health Systems, Inc.

  Healthcare   2021 Term D Loan   Loan     4.25     1/27/2017        2,955,608        2,862,024        2,980,228   

Cinedigm Digital Funding I, LLC

  Business Equipment and Services   Term Loan   Loan     3.75     2/28/2018        825,121        820,892        825,121   

Covanta Energy Corporation

  Ecological Services and Equipment   Term Loan   Loan     3.50     3/28/2019        491,250        489,468        492,788   

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

  Electronics/Electric   Term B Loan   Loan     5.00     2/13/2017        4,622,500        4,611,092        4,622,500   

Crosby US Acquisition Corp.

  Industrial Equipment   Initial Term Loan (First Lien)   Loan     4.00     11/23/2020        750,000        749,094        748,312   

Crown Castle Operating Company

  Telecommunications/Cellular   Extended Incremental Tranche B-2 Term Loan   Loan     3.25     1/31/2019        2,460,196        2,441,025        2,460,316   

Culligan International Company

  Conglomerate   Dollar Loan (First Lien)   Loan     6.25     12/19/2017        787,658        738,102        734,491   

Culligan International Company

  Conglomerate   Dollar Loan (Second Lien)   Loan     9.50     6/19/2018        783,162        732,061        657,856   

Cumulus Media Holdings Inc.

  Broadcast Radio and Television   Term Loan   Loan     4.25     12/23/2020        500,000        495,000        502,815   

DaVita HealthCare Partners Inc. (fka DaVita Inc.)

  Healthcare   Tranche B Term Loan   Loan     4.50     10/20/2016        3,909,320        3,909,320        3,927,655   

DCS Business Services, Inc.

  Financial Intermediaries   Term B Loan   Loan     7.25     3/19/2018        3,831,595        3,792,824        3,735,805   

DealerTrack Technologies, Inc.

  Computers & Electronics   Term Loan   Loan     3.50     2/28/2021        500,000        498,750        498,750   

Dell International LLC

  Retailers (Except Food and Drugs)   Term B Loan   Loan     4.50     4/29/2020        1,995,000        1,982,818        1,988,935   

Delos Finance

  Leasing   Loan   Loan     3.50     2/26/2021        500,000        497,500        497,500   

Deluxe Entertainment Services Group Inc.

  Media   Initial Term Loan   Loan     6.50     2/28/2020        1,000,000        1,000,000        1,000,000   

Digitalglobe, Inc.

  Ecological Services and Equipment   Term Loan   Loan     3.75     1/31/2020        248,125        248,125        247,815   

Drew Marine Group Inc.

  Chemicals/Plastics   Term Loan (First Lien)   Loan     4.50     11/19/2020        500,000        499,397        502,500   

Dunkin’ Brands, Inc.

  Food Services   Term B-4 Loan   Loan     3.25     2/14/2020        3,956,731        3,946,925        3,936,948   

DynCorp International Inc.

  Aerospace and Defense   Term Loan   Loan     6.25     7/7/2016        486,442        482,619        488,573   

Education Management LLC

  Leisure Goods/Activities/Movies   Tranche C-2 Term Loan   Loan     4.31     6/1/2016        3,882,152        3,746,734        3,544,405   

EIG Investors Corp.

  Business Equipment and Services   Term Loan   Loan     5.00     11/9/2019        997,500        992,713        1,003,734   

Energy Transfer Equity, L.P.

  Oil & Gas   Loan   Loan     3.25     12/2/2019        1,000,000        997,599        998,750   

Evergreen Acqco 1 LP

  Retailers (Except Food and Drugs)   New Term Loan   Loan     5.00     7/9/2019        492,516        488,615        493,900   

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

  Industrial Equipment   Term Loan (First Lien)   Loan     4.75     1/15/2021        1,000,000        995,084        1,002,500   

Federal-Mogul Corporation

  Automotive   Tranche B Term Loan   Loan     2.14     12/29/2014        2,220,981        2,187,068        2,202,747   

Federal-Mogul Corporation

  Automotive   Tranche C Term Loan   Loan     2.14     12/28/2015        1,307,032        1,270,847        1,296,301   

First Data Corporation

  Financial Intermediaries   2017 Second New Dollar Term Loan   Loan     4.20     3/24/2017        2,111,028        2,010,799        2,109,276   

First Data Corporation

  Financial Intermediaries   2018 Dollar Term Loan   Loan     4.20     3/23/2018        2,290,451        2,231,370        2,292,741   

FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)

  Nonferrous Metals/Minerals   Loan   Loan     4.25     6/28/2019        997,500        995,122        1,006,438   

Four Seasons Holdings Inc.

  Lodging & Casinos   Term Loan (First Lien)   Loan     3.50     6/27/2020        498,750        498,750        498,750   

Garda World Security Corporation

  Business Equipment and Services   Term B Delayed Draw Loan   Loan     4.00     11/6/2020        203,194        202,218        203,363   

Garda World Security Corporation

  Business Equipment and Services   Term B Loan   Loan     4.00     11/6/2020        794,306        790,489        794,965   

Gardner Denver, Inc.

  Oil & Gas   Initial Dollar Term Loan   Loan     4.25     7/30/2020        1,496,250        1,485,394        1,489,337   

Generac Power Systems, Inc.

  Industrial Equipment   Term Loan B   Loan     3.50     5/31/2020        868,414        852,908        868,258   

General Nutrition Centers, Inc.

  Retailers (Except Food and Drugs)   Amended Tranche B Term Loan   Loan     3.25     3/4/2019        4,740,112        4,722,664        4,725,892   

Global Tel*Link Corporation

  Business Equipment and Services   Term Loan (First Lien)   Loan     5.00     5/23/2020        1,920,175        1,915,905        1,900,014   

Goodyear Tire & Rubber Company, The

  Chemicals/Plastics   Loan (Second Lien)   Loan     4.75     4/30/2019        4,000,000        3,941,039        4,037,000   

Grosvenor Capital Management Holdings, LP

  Brokers/Dealers/Investment Houses   Initial Term Loan   Loan     3.75     1/4/2021        3,500,000        3,482,803        3,489,080   

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

  Publishing   Tranche B-4 Term Loan   Loan     6.00     8/4/2019        500,000        497,500        500,780   

HCA Inc.

  Healthcare   Tranche B-4 Term Loan   Loan     2.94     5/1/2018        5,720,353        5,390,148        5,713,947   

Hertz Corporation, The

  Automotive   Tranche B-1 Term Loan   Loan     3.75     3/11/2018        2,970,000        3,005,791        2,973,683   

Hologic, Inc.

  Healthcare   Refinancing Tranche A Term Loan   Loan     2.19     8/1/2017        2,312,500        2,307,973        2,313,425   

Hunter Defense Technologies, Inc.

  Aerospace and Defense   Term Loan   Loan     3.45     8/22/2014        3,470,285        3,460,723        3,262,068   

Huntsman International LLC

  Chemicals/Plastics   Extended Term B Loan   Loan     2.73     4/19/2017        3,920,000        3,892,467        3,919,020   

Ikaria, Inc.

  Healthcare   Initial Term Loan (First Lien)   Loan     5.00     2/12/2021        500,000        497,515        502,815   

Infor (US), Inc. (fka Lawson Software Inc.)

  Business Equipment and Services   Tranche B-5 Term Loan   Loan     3.75     6/3/2020        1,776,183        1,758,861        1,772,488   

Inventiv Health, Inc. (fka Ventive Health, Inc)