SEC Filing | Saratoga Investment Corp

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Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

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

For the Quarterly Period Ended November 30, 2019

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

Commission File No. 814-00732

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 Number)

535 Madison Avenue

New York, New York 10022

(Address of principal executive offices)

(212) 906-7800

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common Stock, par value $0.001 per share	SAR	The New York Stock Exchange
6.75% Notes due 2023	SAB	The New York Stock Exchange
6.25% Notes due 2025	SAF	The New York Stock Exchange

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

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files). Yes ☐ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

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

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

The number of outstanding common shares of the registrant as of January 7, 2020 was 11,181,863.

TABLE OF CONTENTS


		Page

PART I.	FINANCIAL INFORMATION		3

Item 1.	Consolidated Financial Statements		3

	Consolidated Statements of Assets and Liabilities as of November 30, 2019 (unaudited) and February 28, 2019		3

	Consolidated Statements of Operations for the three and nine months ended November 30, 2019 (unaudited) and November 30, 2018 (unaudited)		4

	Consolidated Schedules of Investments as of November 30, 2019 (unaudited) and February 28, 2019		5

	Consolidated Statements of Changes in Net Assets for the nine months ended November 30, 2019 (unaudited) and November 30, 2018 (unaudited)		7

	Consolidated Statements of Cash Flows for the nine months ended November 30, 2019 (unaudited) and November 30, 2018 (unaudited)		8

	Notes to Consolidated Financial Statements as of November 30, 2019 (unaudited)		9

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		41

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		71

Item 4.	Controls and Procedures		72

PART II.	OTHER INFORMATION		73

Item 1.	Legal Proceedings		73

Item 1A.	Risk Factors		73

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		73

Item 3.	Defaults Upon Senior Securities		73

Item 4.	Mine Safety Disclosures		73

Item 5.	Other Information		73

Item 6.	Exhibits		74

Signatures			76

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities


	November 30, 2019			February 28, 2019
	(unaudited)
ASSETS
Investments at fair value
Non-control/Non-affiliate investments (amortized cost of $377,733,313 and $307,136,188, respectively)	$	375,544,979		$	306,511,427
Affiliate investments (amortized cost of $23,949,601 and $18,514,716, respectively)		17,757,919			11,463,081
Control investments (amortized cost of $80,333,567 and $76,265,189, respectively)		93,728,061			84,045,212

Total investments at fair value (amortized cost of $482,016,481 and $401,916,093, respectively)		487,030,959			402,019,720
Cash and cash equivalents		51,646,844			30,799,068
Cash and cash equivalents, reserve accounts		29,465,785			31,295,326
Interest receivable (net of reserve of $1,322,308 and $647,210, respectively)		4,755,846			3,746,604
Due from affiliate (See Note 6)		—			1,673,747
Management and incentive fee receivable		286,720			542,094
Other assets		563,991			595,543
Receivable for shares sold		1,157,493			—

Total assets	$	574,907,638		$	470,672,102

LIABILITIES
Revolving credit facility	$	—		$	—
Deferred debt financing costs, revolving credit facility		(535,641	)		(605,189	)
SBA debentures payable		150,000,000			150,000,000
Deferred debt financing costs, SBA debentures payable		(2,710,922	)		(2,396,931	)
2023 Notes payable		74,450,500			74,450,500
Deferred debt financing costs, 2023 notes payable		(1,620,699	)		(1,919,620	)
2025 Notes payable		60,000,000			60,000,000
Deferred debt financing costs, 2025 notes payable		(2,139,398	)		(2,377,551	)
Base management and incentive fees payable		10,475,895			6,684,785
Deferred tax liability		1,061,640			739,716
Accounts payable and accrued expenses		1,453,345			1,615,443
Interest and debt fees payable		1,910,397			3,224,671
Directors fees payable		1,500			62,000
Due to manager		380,671			319,091

Total liabilities	$	292,727,288		$	289,796,915

Commitments and contingencies (See Note 8)
NET ASSETS
Common stock, par value $.001, 100,000,000 common shares authorized, 11,154,998 and 7,657,156 common shares issued and outstanding, respectively	$	11,155		$	7,657
Capital in excess of par value		289,744,224			203,552,800
Total distributable earnings (loss)		(7,575,029	)		(22,685,270	)

Total net assets		282,180,350			180,875,187

Total liabilities and net assets	$	574,907,638		$	470,672,102

NET ASSET VALUE PER SHARE	$	25.30		$	23.62

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)


	For the three months ended						For the nine months ended
	November 30, 2019			November 30, 2018			November 30, 2019			November 30, 2018
INVESTMENT INCOME
Interest from investments
Interest income:
Non-control/Non-affiliate investments	$	9,749,294		$	9,248,664		$	26,862,643		$	24,701,303
Affiliate investments		356,958			239,781			873,816			720,738
Control investments		1,300,923			941,942			4,627,395			3,340,180
Payment-in-kind interest income:
Non-control/Non-affiliate investments		198,984			260,440			530,728			621,462
Affiliate investments		42,397			41,269			123,812			110,898
Control investments		1,250,824			1,112,135			3,226,060			2,271,359

Total interest from investments		12,899,380			11,844,231			36,244,454			31,765,940
Interest from cash and cash equivalents		119,539			13,657			316,691			41,405
Management fee income		629,671			380,765			1,888,932			1,129,921
Incentive fee income		—			147,602			—			493,846
Other income		547,165			446,758			2,385,075			1,292,693

Total investment income		14,195,755			12,833,013			40,835,152			34,723,805

OPERATING EXPENSES
Interest and debt financing expenses		3,896,968			3,613,531			11,628,266			9,202,737
Base management fees		2,146,214			1,849,220			5,955,623			5,027,341
Incentive management fees		3,102,139			923,651			7,300,794			2,803,784
Professional fees		401,010			407,422			1,181,010			1,418,472
Administrator expenses		556,250			500,000			1,575,000			1,395,833
Insurance		63,936			62,197			193,174			189,916
Directors fees and expenses		60,000			60,000			217,500			230,500
General & administrative		395,024			354,029			1,036,498			908,174
Income tax benefit		(1,001,089	)		(75,978	)		(1,464,878	)		(684,520	)
Excise tax credit		—			—			—			(270	)
Other expense		—			—			—			21,021

Total operating expenses		9,620,452			7,694,072			27,622,987			20,512,988

NET INVESTMENT INCOME		4,575,303			5,138,941			13,212,165			14,210,817

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) from investments:
Non-control/Non-affiliate investments		10,739,678			(67,164	)		12,609,767			145,007

Net realized gain (loss) from investments		10,739,678			(67,164	)		12,609,767			145,007
Net change in unrealized appreciation (depreciation) on investments:
Non-control/Non-affiliate investments		(4,322,305	)		(1,645,666	)		(1,563,573	)		(2,428,123	)
Affiliate investments		(41,295	)		206,064			859,953			(1,125,240	)
Control investments		3,827,449			408,489			5,614,471			1,010,934

Net change in unrealized appreciation (depreciation) on investments		(536,151	)		(1,031,113	)		4,910,851			(2,542,429	)
Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments		(1,061,608	)		(371,581	)		(1,786,801	)		(1,159,581	)

Net realized and unrealized gain (loss) on investments		9,141,919			(1,469,858	)		15,733,817			(3,557,003	)

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	13,717,222		$	3,669,083		$	28,945,982		$	10,653,814

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	1.37		$	0.49		$	3.33		$	1.55
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED		10,036,086			7,480,134			8,702,190			6,887,544

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2019

(unaudited)


Company	Industry	Investment Interest Rate/ Maturity	Original Acquisition Date		Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliate investments—133.1% (b)
Apex Holdings Software Technologies, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+8.00%), 9.91% Cash, 9/21/2021		9/21/2016	$	18,000,000	$	17,943,620	$	17,546,400		6.2	%
Apex Holdings Software Technologies, LLC	Business Services	Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.91% Cash, 9/21/2021		10/1/2018	$	1,500,000		1,490,899		1,462,200		0.5	%
Avionte Holdings, LLC (h)	Business Services	Class A Units		1/8/2014		100,000		100,000		863,098		0.3	%
CLEO Communications Holding, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+8.00%), 9.91% Cash/2.00% PIK, 3/31/2022		3/31/2017	$	13,722,196		13,696,502		13,722,196		4.9	%
CLEO Communications Holding, LLC	Business Services	Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.91% Cash/2.00% PIK, 3/31/2022		3/31/2017	$	16,953,208		16,845,952		16,953,208		6.0	%
CoConstruct, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024		7/5/2019	$	4,200,000		4,160,120		4,158,000		1.5	%
CoConstruct, LLC (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024		7/5/2019	$	—		—		—		0.0	%
Davisware, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024		9/6/2019	$	3,000,000		2,970,557		2,970,000		1.0	%
Davisware, LLC (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024		9/6/2019	$	—		—		—		0.0	%
Destiny Solutions Inc. (d)	Business Services	First Lien Term Loan (3M USD LIBOR+7.25%), 9.25% Cash, 10/23/2024		5/16/2018	$	36,000,000		35,666,525		35,640,000		12.6	%
Destiny Solutions Inc. (h), (i)	Business Services	Limited Partner Interests		5/16/2018		2,342		2,468,464		2,784,182		1.0	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note (3M USD LIBOR+8.50%), 10.41% Cash, 1/23/2020		12/28/2012	$	3,300,000		3,299,991		3,300,000		1.2	%
Emily Street Enterprises, L.L.C. (h)	Business Services	Warrant Membership Interests Expires 12/28/2022		12/28/2012		49,318		400,000		485,289		0.2	%
Erwin, Inc. (d)	Business Services	Second Lien Term Loan (3M USD LIBOR+11.50%), 13.41% Cash/1.00% PIK, 8/28/2021		2/29/2016	$	16,008,892		15,940,695		16,008,892		5.7	%
FMG Suite Holdings, LLC (d)	Business Services	Second Lien Term Loan (1M USD LIBOR+8.00%), 9.70% Cash, 11/16/2023		5/16/2018	$	23,000,000		22,858,846		23,000,000		8.1	%
GDS Holdings US, Inc. (d)	Business Services	First Lien Term Loan (3M USD LIBOR+7.00%), 8.91% Cash, 8/23/2023		8/23/2018	$	7,500,000		7,441,214		7,495,500		2.6	%
GDS Holdings US, Inc. (d), (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.00%), 8.91% Cash, 8/23/2023		8/23/2018	$	1,000,000		990,384		999,400		0.4	%
GDS Software Holdings, LLC (h)	Business Services	Common Stock Class A Units		8/23/2018		250,000		250,000		349,092		0.1	%
Identity Automation Systems (h)	Business Services	Common Stock Class A Units		8/25/2014		232,616		232,616		720,398		0.3	%
Identity Automation Systems (d)	Business Services	First Lien Term Loan (3M USD LIBOR+9.24%), 11.15% Cash, 3/31/2021		8/25/2014	$	15,461,250		15,419,036		15,450,427		5.5	%
inMotionNow, Inc.	Business Services	First Lien Term Loan (3M USD LIBOR+7.25), 9.75% Cash, 5/15/2024		5/15/2019	$	12,200,000		12,088,502		12,195,120		4.3	%
inMotionNow, Inc. (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.25) 9.75% Cash, 5/15/2024		5/15/2019	$	—		—		—		0.0	%
Knowland Group, LLC	Business Services	Second Lien Term Loan (3M USD LIBOR+8.00%), 10.00% Cash, 5/9/2024		11/9/2018	$	15,000,000		15,000,000		14,914,500		5.3	%
National Waste Partners (d)	Business Services	Second Lien Term Loan 10.00% Cash, 2/13/2022		2/13/2017	$	9,000,000		8,954,732		8,954,100		3.2	%
Omatic Software, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+8.00%), 9.91% Cash, 5/29/2023		5/29/2018	$	5,500,000		5,457,178		5,526,950		1.9	%
Omatic Software, LLC (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.91% Cash, 5/29/2023		5/29/2018	$	—		—		—		0.0	%
Passageways, Inc.	Business Services	First Lien Term Loan (3M USD LIBOR+7.75%), 9.66% Cash, 7/5/2023		7/5/2018	$	5,000,000		4,958,735		5,028,000		1.8	%
Passageways, Inc. (h)	Business Services	Series A Preferred Stock		7/5/2018		2,027,205		1,000,000		1,739,546		0.6	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan 10.50% (9.00% Cash/1.50% PIK), 3/6/2022		3/6/2013	$	8,120,756		8,120,103		8,201,964		2.9	%
Vector Controls Holding Co., LLC (h)	Business Services	Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027		5/31/2015		343		—		2,492,010		0.9	%

		Total Business Services						217,754,671		222,960,472		79.0	%

Targus Holdings, Inc. (h)	Consumer Products	Common Stock		12/31/2009		210,456		1,589,630		403,875		0.1	%

		Total Consumer Products						1,589,630		403,875		0.1	%

My Alarm Center, LLC (k)	Consumer Services	Preferred Equity Class A Units 8.00% PIK		7/14/2017		2,227		2,357,879		—		0.0	%
My Alarm Center, LLC (h)	Consumer Services	Preferred Equity Class B Units		7/14/2017		1,797		1,796,880		—		0.0	%
My Alarm Center, LLC (h)	Consumer Services	Preferred Equity Class Z Units		9/12/2018		676		655,987		1,997,158		0.7	%
My Alarm Center, LLC (h)	Consumer Services	Common Stock		7/14/2017		96,224		—		—		0.0	%

		Total Consumer Services						4,810,746		1,997,158		0.7	%

C2 Educational Systems (d)	Education	First Lien Term Loan (3M USD LIBOR+7.00%), 8.91% Cash, 5/31/2020		5/31/2017	$	16,000,000		15,967,799		16,000,000		5.7	%
EMS LINQ, Inc.	Education	First Lien Term Loan (1M USD LIBOR+8.50%), 10.20% Cash, 8/9/2024		8/9/2019	$	14,962,500		14,811,797		14,808,386		5.3	%
Kev Software Inc. (a)	Education	First Lien Term Loan (1M USD LIBOR+8.63%), 10.33% Cash, 9/13/2023		9/13/2018	$	21,285,674		21,132,402		21,219,689		7.5	%
M/C Acquisition Corp., L.L.C. (h)	Education	Class A Common Stock		6/22/2009		544,761		30,241		—		0.0	%
M/C Acquisition Corp., L.L.C. (k)	Education	First Lien Term Loan 1.00% Cash, 3/31/2020		8/10/2004	$	2,315,090		1,189,177		6,260		0.0	%
Texas Teachers of Tomorrow, LLC (h), (i)	Education	Common Stock		12/2/2015		750,000		750,000		690,867		0.2	%
Texas Teachers of Tomorrow, LLC (d)	Education	First Lien Term Loan (3M USD LIBOR+7.25%), 9.75% Cash, 6/28/2024		12/2/2015	$	19,710,600		19,523,221		19,704,687		7.0	%


		Total Education						73,404,637		72,429,889		25.7	%


TMAC Acquisition Co., LLC (h), (k)	Food and Beverage	Unsecured Term Loan 8.00% PIK, 9/01/2023		3/1/2018	$	2,216,427		2,216,427		2,073,024		0.7	%


		Total Food and Beverage						2,216,427		2,073,024		0.7	%


Axiom Parent Holdings, LLC (h)	Healthcare Services	Common Stock Class A Units		6/19/2018		400,000		400,000		474,071		0.2	%
Axiom Purchaser, Inc. (d)	Healthcare Services	First Lien Term Loan (3M USD LIBOR+6.00%), 7.91% Cash, 6/19/2023		6/19/2018	$	10,000,000		9,932,342		9,984,000		3.5	%
Axiom Purchaser, Inc. (d), (j)	Healthcare Services	Delayed Draw Term Loan (3M USD LIBOR+6.00%), 7.91% Cash, 6/19/2023		6/19/2018	$	3,000,000		2,976,012		2,995,200		1.1	%
ComForCare Health Care	Healthcare Services	First Lien Term Loan (3M USD LIBOR+7.50%), 9.41% Cash, 1/31/2022		1/31/2017	$	15,000,000		14,918,932		14,983,500		5.3	%
HemaTerra Holding Company, LLC	Healthcare Services	First Lien Term Loan (3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024		4/15/2019	$	6,000,000		5,942,014		6,049,800		2.1	%
HemaTerra Holding Company, LLC (j)	Healthcare Services	Delayed Draw Term Loan (3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024		4/15/2019	$	10,000,000		9,907,821		10,083,000		3.6	%
TRC HemaTerra, LLC (h)	Healthcare Services	Class D Membership Interests		4/15/2019		2,000,000		2,000,000		2,000,000		0.7	%
Ohio Medical, LLC (h)	Healthcare Services	Common Stock		1/15/2016		5,000		500,000		528,000		0.2	%
Ohio Medical, LLC	Healthcare Services	Senior Subordinated Note 12.00% Cash, 7/15/2021		1/15/2016	$	7,300,000		7,271,152		7,300,000		2.6	%
PDDS Buyer, LLC	Healthcare Services	First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024		7/15/2019	$	12,000,000		11,884,014		11,880,000		4.2	%
PDDS Buyer, LLC (j)	Healthcare Services	Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024		7/15/2019	$	—		—		—		0.0	%
Roscoe Medical, Inc. (h)	Healthcare Services	Common Stock		3/26/2014		5,081		508,077		—		0.0	%
Roscoe Medical, Inc. (k)	Healthcare Services	Second Lien Term Loan 11.25% Cash, 3/28/2021		3/26/2014	$	4,200,000		4,200,000		1,887,060		0.7	%

		Total Healthcare Services						70,440,364		68,164,631		24.2	%

Village Realty Holdings LLC	Property Management	First Lien Term Loan (3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024		10/8/2019	$	7,250,000		7,178,609		7,177,500		2.6	%
Village Realty Holdings LLC (j)	Property Management	Delayed Draw Term Loan (3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024		10/8/2019	$	—		—		—		0.0	%
V Rental Holdings LLC (h)	Property Management	Class A-1 Membership Units		10/8/2019		116,700		338,229		338,430		0.1	%

		Total Property Management						7,516,838		7,515,930		2.7	%

Sub Total Non-control/Non-affiliate investments								377,733,313		375,544,979		133.1	%

Affiliate investments—6.3% (b)
Top Gun Pressure Washing, LLC (f)	Business Services	First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024		8/12/2019	$	5,000,000		4,951,267		4,992,000		1.8	%
Top Gun Pressure Washing, LLC (f), (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024		8/12/2019	$	—		—		—		0.0	%
TG Pressure Washing Holdings, LLC (f), (h)	Business Services	Preferred Equity		8//12/2019		350,000		350,000		350,000		0.1	%
GreyHeller LLC (f)	Business Services	First Lien Term Loan (3M USD LIBOR+11.00%), 12.91% Cash, 11/16/2021		11/17/2016	$	7,000,000		6,967,260		7,000,000		2.5	%
GreyHeller LLC (f), (h)	Business Services	Series A Preferred Units		11/17/2016		850,000		850,000		2,231,673		0.8	%

		Total Business Services						13,118,527		14,573,673		5.2	%

Elyria Foundry Company, L.L.C. (f), (h)	Metals	Common Stock		7/30/2010		60,000		9,685,028		2,038,200		0.7	%
Elyria Foundry Company, L.L.C. (d), (f)	Metals	Second Lien Term Loan 15.00% PIK, 8/10/2022		7/30/2010	$	1,146,046		1,146,046		1,146,046		0.4	%

		Total Metals						10,831,074		3,184,246		1.1	%

Sub Total Affiliate investments								23,949,601		17,757,919		6.3	%

Control investments—33.2% (b)
Easy Ice, LLC (g)	Business Services	Preferred Equity 10.00% PIK		2/3/2017		5,080,000		10,436,671		19,428,398		6.9	%
Easy Ice, LLC (d), (g)	Business Services	Second Lien Term Loan 7.03% Cash/5.97% PIK, 2/28/2023		3/29/2013	$	23,279,165		23,215,894		23,642,320		8.4	%
Easy Ice Masters, LLC (d), (g)	Business Services	Second Lien Term Loan 7.03% Cash/5.97% PIK, 2/28/2023		10/31/2018	$	4,180,484		4,169,121		4,245,700		1.5	%
Netreo Holdings, LLC (g)	Business Services	First Lien Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.00% PIK, 7/3/2023		7/3/2018	$	5,136,437		5,094,308		5,239,166		1.8	%
Netreo Holdings, LLC (g), (h)	Business Services	Common Stock Class A Unit		7/3/2018		3,150,000		3,150,000		6,865,992		2.4	%

		Total Business Services						46,065,994		59,421,576		21.0	%

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)	Structured Finance Securities	Other/Structured Finance Securities 16.28%, 1/20/2030		1/22/2008	$	69,500,000		24,267,573		24,496,985		8.7	%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Note (a), (g)	Structured Finance Securities	Other/Structured Finance Securities (3M USD LIBOR+8.75%), 10.66%, 1/20/2030		12/14/2018	$	2,500,000		2,500,000		2,452,000		0.9	%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Note (a), (g)	Structured Finance Securities	Other/Structured Finance Securities (3M USD LIBOR+10.00%), 11.91%, 1/20/2030		12/14/2018	$	7,500,000		7,500,000		7,357,500		2.6	%

		Total Structured Finance Securities						34,267,573		34,306,485		12.2	%

Sub Total Control investments								80,333,567		93,728,061		33.2	%

TOTAL INVESTMENTS—172.6% (b)							$	482,016,481	$	487,030,959		172.6	%


	Number of Shares		Cost		Fair Value		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts—28.7% (b)
U.S. Bank Money Market (l)		81,112,629	$	81,112,629	$	81,112,629		28.7	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts		81,112,629	$	81,112,629	$	81,112,629		28.7	%

(a)

Represents a non-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of November 30, 2019, non-qualifying assets represent 11.4% 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 $282,180,350 as of November 30, 2019. (c) Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements). (d) These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 7 to the consolidated financial statements). (e) This investment does not have a stated interest rate that is payable thereon. As a result, the 16.28% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment. (f) As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the nine months ended November 30, 2019 in which the issuer was an Affiliate are as follows:


Company	Purchases		Sales		Total Interest from Investments		Management Fee Income		Net Realized Gain (Loss) from Investments		Net Change in Unrealized Appreciation (Depreciation)
GreyHeller LLC	$	—	$	—	$	726,091	$	—	$	—	$	585,220
Elyria Foundry Company, L.L.C.		—		—		123,812		—		—		234,000
Top Gun Pressure Washing, LLC		4,950,000		—		147,725		—		—		40,733
TG Pressure Washing Holdings, LLC		350,000		—		—		—		—		—

Total	$	5,300,000	$	—	$	997,628	$	—	$	—	$	859,953

(g)

As defined in the Investment Company Act, we "Control" this portfolio company because we own more than 25% of the portfolio company's outstanding voting securities. Transactions during the nine months ended November 30, 2019 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:


Company	Purchases		Sales		Total Interest from Investments		Management Fee Income		Net Realized Gain (Loss) from Investments		Net Change in Unrealized Appreciation (Depreciation)
Easy Ice, LLC	$	—	$	—	$	2,894,007	$	—	$	—		5,601,543
Easy Ice Masters, LLC		—		—		382,067		—		—		25,143
Netreo Holdings, LLC		—		—		432,724		—		—		1,759,983
Saratoga Investment Corp. CLO 2013-1, Ltd.		—		—		3,219,531		1,888,932		—		(1,647,698	)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes		—		—		213,378		—		—		(31,500	)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes		—		—		711,748		—		—		(93,000	)

Total	$	—	$	—	$	7,853,455	$	1,888,932	$	—		5,614,471

(h)	Non-income producing at November 30, 2019.

(i)	Includes securities issued by an affiliate of the Company.

(j)	All or a portion of this investment has an unfunded commitment as of November 30, 2019. (see Note 8 to the consolidated financial statements).

(k)	As of November 30, 2019, the investment was on non-accrual status. The fair value of these investments was approximately $4.0 million, which represented 0.8% of the Company's portfolio (see Note 2 to the consolidated financial statements).

(l)

Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company's consolidated statements of assets and liabilities as of November 30, 2019. LIBOR—London Interbank Offered Rate 1M USD LIBOR—The 1 month USD LIBOR rate as of November 30, 2019 was 1.70%. 3M USD LIBOR—The 3 month USD LIBOR rate as of November 30, 2019 was 1.91%. PIK—Payment-in-Kind (see Note 2 to the consolidated financial statements).

1M USD LIBOR - The 1 month USD LIBOR rate as of November 30, 2019 was 1.70%.

3M USD LIBOR - The 3 month USD LIBOR rate as of November 30, 2019 was 1.91%.

PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements).

(See accompanying notes to the consolidated financial statements)

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2019


Company	Industry	Investment Interest Rate/ Maturity	Original Acquisition Date		Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliate investments - 169.5% (b)
Apex Holdings Software Technologies, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+8.00%), 10.62% Cash, 9/21/2021		9/21/2016	$	18,000,000	$	17,922,851	$	18,000,000		10.0	%
Apex Holdings Software Technologies, LLC	Business Services	Delayed Draw Term Loan (3M USD LIBOR+8.00%), 10.62% Cash, 9/21/2021		10/1/2018	$	1,000,000		992,183		1,000,000		0.6	%
Avionte Holdings, LLC (h)	Business Services	Class A Units		1/8/2014		100,000		100,000		635,781		0.4	%
CLEO Communications Holding, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+8.00%), 10.62% Cash/2.00% PIK, 3/31/2022		3/31/2017	$	13,514,320		13,437,153		13,514,320		7.5	%
CLEO Communications Holding, LLC	Business Services	Delayed Draw Term Loan (3M USD LIBOR+8.00%), 10.62% Cash/2.00% PIK, 3/31/2022		3/31/2017	$	12,142,015		12,040,280		12,142,015		6.7	%
Destiny Solutions Inc. (a)	Business Services	First Lien Term Loan (3M USD LIBOR+7.00%), 9.62% Cash, 5/16/2023		5/16/2018	$	8,500,000		8,426,441		8,489,800		4.7	%
Destiny Solutions Inc. (a), (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.62% Cash, 5/16/2023		5/16/2018	$	—		—		—		0.0	%
Destiny Solutions Inc. (a), (h), (i)	Business Services	Limited Partner Interests		5/16/2018		999,000		999,000		1,062,440		0.6	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note (3M USD LIBOR+8.50%), 11.12% Cash, 1/23/2020		12/28/2012	$	3,300,000		3,299,122		3,314,520		1.8	%
Emily Street Enterprises, L.L.C. (h)	Business Services	Warrant Membership Interests Expires 12/28/2022		12/28/2012		49,318		400,000		505,509		0.3	%
Erwin, Inc. (d)	Business Services	Second Lien Term Loan (3M USD LIBOR+11.50%), 14.12% Cash/1.00% PIK, 8/28/2021		2/29/2016	$	15,888,102		15,796,316		15,888,102		8.8	%
FMG Suite Holdings, LLC (d)	Business Services	Second Lien Term Loan (1M USD LIBOR+8.00%), 10.49% Cash, 11/16/2023		5/16/2018	$	23,000,000		22,844,123		23,000,000		12.7	%
GDS Holdings US, LLC (d)	Business Services	First Lien Term Loan (3M USD LIBOR+7.00%), 9.62% Cash, 8/23/2023		8/23/2018	$	7,500,000		7,430,649		7,495,500		4.0	%
GDS Holdings US, LLC (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.62% Cash, 8/23/2023		8/23/2018	$	—		—		—		0.0	%
GDS Software Holdings, LLC (h)	Business Services	Common Stock Class A Units		8/23/2018		250,000		250,000		277,139		0.2	%
Identity Automation Systems (h)	Business Services	Common Stock Class A Units		8/25/2014		232,616		232,616		629,555		0.3	%
Identity Automation Systems (d)	Business Services	First Lien Term Loan (3M USD LIBOR+9.00%), 11.62% Cash, 3/31/2021		8/25/2014	$	24,100,000		23,991,294		24,100,000		13.3	%
Knowland Group, LLC	Business Services	Second Lien Term Loan (3M USD LIBOR+8.00%), 10.62% Cash, 5/9/2024		11/9/2018	$	15,000,000		15,000,000		15,000,000		8.3	%
Microsystems Company	Business Services	Second Lien Term Loan (3M USD LIBOR+8.25%), 10.87% Cash, 7/1/2022		7/1/2016	$	18,000,000		17,889,554		17,881,200		9.9	%
National Waste Partners (d)	Business Services	Second Lien Term Loan 10.00% Cash, 2/13/2022		2/13/2017	$	9,000,000		8,942,155		8,864,100		4.9	%
Omatic Software, LLC	Business Services	First Lien Term Loan (3M USD LIBOR+8.00%), 10.62% Cash, 5/29/2023		5/29/2018	$	5,500,000		5,451,758		5,537,400		3.1	%
Omatic Software, LLC (j)	Business Services	Delayed Draw Term Loan (3M USD LIBOR+8.00%), 10.62% Cash, 5/29/2023		5/29/2018	$	—		—		—		0.0	%
Passageways, Inc.	Business Services	First Lien Term Loan (3M USD LIBOR+7.75%), 10.37% Cash, 7/5/2023		7/5/2018	$	5,000,000		4,955,204		5,063,500		2.8	%
Passageways, Inc. (h)	Business Services	Series A Preferred Stock		7/5/2018		2,027,205		1,000,000		1,339,705		0.7	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan 11.50% (9.75% Cash/1.75% PIK), 3/6/2022		3/6/2013	$	9,311,956		9,310,703		9,371,929		5.2	%
Vector Controls Holding Co., LLC (h)	Business Services	Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027		5/31/2015		343		—		2,210,149		1.2	%

		Total Business Services						190,711,402		195,322,664		108.0	%

Targus Holdings, Inc. (h)	Consumer Products	Common Stock		12/31/2009		210,456		1,713,605		505,094		0.3	%

		Total Consumer Products						1,713,605		505,094		0.3	%

My Alarm Center, LLC (k)	Consumer Services	Preferred Equity Class A Units 8.00% PIK		7/14/2017		2,227		2,357,879		1,112,543		0.6	%
My Alarm Center, LLC (h)	Consumer Services	Preferred Equity Class B Units		7/14/2017		1,797		1,796,880		—		0.0	%
My Alarm Center, LLC	Consumer Services	Preferred Equity Class Z Units 25.00% PIK		9/12/2018		676		655,987		2,053,514		1.1	%
My Alarm Center, LLC (h)	Consumer Services	Common Stock		7/14/2017		96,224		—		—		0.0	%

		Total Consumer Services						4,810,746		3,166,057		1.7	%

C2 Educational Systems (d)	Education	First Lien Term Loan (3M USD LIBOR+7.00%), 9.62% Cash, 5/31/2020		5/31/2017	$	16,000,000		15,929,485		16,032,000		8.9	%
Kev Software Inc. (a)	Education	First Lien Term Loan (1M USD LIBOR+8.63%), 11.12% Cash, 9/13/2023		9/13/2018	$	21,446,929		21,273,211		21,438,351		11.9	%
M/C Acquisition Corp., L.L.C. (h)	Education	Class A Common Stock		6/22/2009		544,761		30,241		—		0.0	%
M/C Acquisition Corp., L.L.C. (k)	Education	First Lien Term Loan 1.00% Cash, 3/31/2020		8/10/2004	$	2,315,090		1,189,177		6,260		0.0	%
Texas Teachers of Tomorrow, LLC (h), (i)	Education	Common Stock		12/2/2015		750,000		750,000		792,165		0.4	%
Texas Teachers of Tomorrow, LLC	Education	Second Lien Term Loan (3M USD LIBOR+9.75%), 12.37% Cash, 6/2/2021		12/2/2015	$	10,000,000		9,952,251		9,807,000		5.4	%

		Total Education						49,124,365		48,075,776		26.6	%

TMAC Acquisition Co., LLC (k)	Food and Beverage	Unsecured Term Loan 8.00% PIK, 9/01/2023		3/1/2018	$	2,216,427		2,216,427		2,100,286		1.2	%

		Total Food and Beverage						2,216,427		2,100,286		1.2	%

Axiom Parent Holdings, LLC (h)	Healthcare Services	Common Stock Class A Units		6/19/2018		400,000		400,000		402,990		0.2	%
Axiom Purchaser, Inc. (d)	Healthcare Services	First Lien Term Loan (3M USD LIBOR+6.00%), 8.62% Cash, 6/19/2023		6/19/2018	$	10,000,000		9,923,962		10,020,000		5.5	%
Axiom Purchaser, Inc. (j)	Healthcare Services	Delayed Draw Term Loan (3M USD LIBOR+6.00%), 8.62% Cash, 6/19/2023		6/19/2018	$	—		—		—		0.0	%
Censis Technologies, Inc.	Healthcare Services	First Lien Term Loan B (1M USD LIBOR+8.30%), 10.79% Cash, 9/27/2023		7/25/2014	$	19,950,000		19,877,861		19,991,895		11.1	%
Censis Technologies, Inc. (h), (i)	Healthcare Services	Limited Partner Interests		7/25/2014		999		999,000		2,387,705		1.3	%
ComForCare Health Care	Healthcare Services	First Lien Term Loan (3M USD LIBOR+7.50%), 10.12% Cash, 1/31/2022		1/31/2017	$	15,000,000		14,898,535		15,096,000		8.3	%
Ohio Medical, LLC (h)	Healthcare Services	Common Stock		1/15/2016		5,000		500,000		208,250		0.1	%
Ohio Medical, LLC	Healthcare Services	Senior Subordinated Note 12.00% Cash, 7/15/2021		1/15/2016	$	7,300,000		7,263,114		6,735,710		3.8	%
Roscoe Medical, Inc. (h)	Healthcare Services	Common Stock		3/26/2014		5,081		508,077		—		0.0	%
Roscoe Medical, Inc. (k)	Healthcare Services	Second Lien Term Loan 11.25% Cash, 3/28/2021		3/26/2014	$	4,200,000		4,189,094		2,499,000		1.4	%

		Total Healthcare Services						58,559,643		57,341,550		31.7	%

Sub Total Non-control/Non-affiliate investments								307,136,188		306,511,427		169.5	%

Affiliate investments - 6.3% (b)
GreyHeller LLC (f)	Business Services	First Lien Term Loan (3M USD LIBOR+11.00%), 13.62% Cash, 11/16/2021		11/17/2016	$	7,000,000		6,956,976		7,140,000		4.0	%
GreyHeller LLC (f), (h)	Business Services	Series A Preferred Units		11/17/2016		850,000		850,000		1,496,169		0.8	%

		Total Business Services						7,806,976		8,636,169		4.8	%

Elyria Foundry Company, L.L.C. (f), (h)	Metals	Common Stock		7/30/2010		60,000		9,685,028		1,804,200		1.0	%
Elyria Foundry Company, L.L.C. (d), (f)	Metals	Second Lien Term Loan 15.00% PIK, 8/10/2022		7/30/2010	$	1,022,712		1,022,712		1,022,712		0.5	%

		Total Metals						10,707,740		2,826,912		1.5	%

Sub Total Affiliate investments								18,514,716		11,463,081		6.3	%

Control investments - 46.5% (b)
Easy Ice, LLC (g)	Business Services	Preferred Equity 10.00% PIK		2/3/2017		5,080,000		9,683,612		13,357,444		7.4	%
Easy Ice, LLC (d), (g)	Business Services	Second Lien Term Loan 7.03% Cash/5.97% PIK, 2/28/2023		3/29/2013	$	21,184,063		21,126,021		21,268,799		11.8	%
Easy Ice Masters, LLC (d), (g)	Business Services	Second Lien Term Loan 7.03% Cash/5.97% PIK, 2/28/2023		10/31/2018	$	3,804,244		3,768,025		3,819,461		2.1	%
Netreo Holdings, LLC (g)	Business Services	First Lien Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.00% PIK, 7/3/2023		7/3/2018	$	5,067,057		5,021,133		5,092,899		2.8	%
Netreo Holdings, LLC (g), (h)	Business Services	Common Stock Class A Unit		7/3/2018		3,150,000		3,150,000		5,179,101		2.9	%

		Total Business Services						42,748,791		48,717,704		27.0	%

Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g)	Structured Finance Securities	Other/Structured Finance Securities 16.67%, 1/20/2030		1/22/2008	$	69,500,000		23,516,398		25,393,508		14.0	%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Note (a), (g)	Structured Finance Securities	Other/Structured Finance Securities (3M USD LIBOR+8.75%), 11.37%, 1/20/2030		12/14/2018	$	2,500,000		2,500,000		2,483,500		1.4	%
Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Note (a), (g)	Structured Finance Securities	Other/Structured Finance Securities (3M USD LIBOR+10.00%), 12.62%, 1/20/2030		12/14/2018	$	7,500,000		7,500,000		7,450,500		4.1	%

		Total Structured Finance Securities						33,516,398		35,327,508		19.5	%

Sub Total Control investments								76,265,189		84,045,212		46.5	%

TOTAL INVESTMENTS - 222.3% (b)							$	401,916,093	$	402,019,720		222.3	%


					Number of Shares		Cost		Fair Value		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 34.3% (b)
U.S. Bank Money Market (l)						62,094,394	$	62,094,394	$	62,094,394		34.3	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts						62,094,394	$	62,094,394	$	62,094,394		34.3	%

(a)

Represents a non-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of February 28, 2019, non-qualifying assets represent 16.5% 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 $180,875,187 as of February 28, 2019.

(c)

Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements).

(d)	These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 7 to the consolidated financial statements).

(e)

This investment does not have a stated interest rate that is payable thereon. As a result, the 16.67% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.

(f)	As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the year ended February 28, 2019 in which the issuer was an Affiliate are as follows:


Company	Purchases		Sales		Total Interest from Investments		Management and Incentive Fee Income		Net Realized Gain (Loss) from Investments		Net Change in Unrealized Appreciation (Depreciation)
GreyHeller LLC	$	—	$	—	$	963,289	$	—	$	—	$	776,012
Elyria Foundry Company, L.L.C.		—		—		150,284		—		—		(1,629,600	)

Total	$	—	$	—	$	1,113,573	$	—	$	—	$	(853,588	)

(g)

As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 28, 2019 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:


Company	Purchases		Sales			Total Interest from Investments		Management and Incentive Fee Income		Net Realized Gain (Loss) from Investments		Net Change in Unrealized Appreciation (Depreciation)
Easy Ice, LLC	$	1,684,448	$	—		$	3,424,369	$	—	$	—	$	1,720,004
Easy Ice Masters, LLC		3,629,682		—			161,468		—		—		51,436
Netreo Holdings, LLC		8,100,000		—			374,843		—		—		2,100,867
Saratoga Investment Corp. CLO 2013-1, Ltd.		14,268,609		(48,083	)		2,922,372		2,355,412		—		(701,722	)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F Note		—		(4,500,000	)		412,069		—		—		900
Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes		2,500,000		—			61,761		—		—		(16,500	)
Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes		7,500,000		—			205,333		—		—		(49,500	)
Saratoga Investment Corp. CLO 2013-1 Warehouse, Ltd.		20,000,000		(20,000,000	)		511,731		—		—		—

Total	$	57,682,739	$	(24,548,083	)	$	8,073,946	$	2,355,412	$	—	$	3,105,485

(h)	Non-income producing at February 28, 2019.

(i)	Includes securities issued by an affiliate of the Company.

(j)	All or a portion of this investment has an unfunded commitment as of February 28, 2019. (see Note 8 to the consolidated financial statements).

(k)	As of February 28, 2019, the investment was on non-accrual status. The fair value of these investments was approximately $5.7 million, which represented 1.4% of the Company’s portfolio (see Note 2 to the consolidated financial statements).

(l)	Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of February 28, 2019.

LIBOR - London Interbank Offered Rate

1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2019 was 2.49%.

3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2019 was 2.62%.

PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements).

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)


	For the nine months ended
	November 30, 2019			November 30, 2018
INCREASE FROM OPERATIONS:
Net investment income	$	13,212,165		$	14,210,817
Net realized gain from investments		12,609,767			145,007
Net change in unrealized appreciation (depreciation) on investments		4,910,851			(2,542,429	)
Net change in provision for deferred taxes on unrealized appreciation on investments		(1,786,801	)		(1,159,581	)

Net increase in net assets resulting from operations		28,945,982			10,653,814

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:
Total distributions to shareholders		(13,835,741	)		(10,208,577	)

Net decrease in net assets from shareholder distributions		(13,835,741	)		(10,208,577	)

CAPITAL SHARE TRANSACTIONS:
Proceeds from issuance of common stock		85,228,325			28,991,238
Stock dividend distribution		2,188,811			1,594,506
Offering costs		(1,222,214	)		(1,387,957	)

Net increase in net assets from capital share transactions		86,194,922			29,197,787

Total increase in net assets		101,305,163			29,643,024
Net assets at beginning of period, as previously reported		180,875,187			143,691,367
Cumulative effect of the adoption of ASC 606 (See Note 2)		—			(65,300	)

Net assets at beginning of period, as adjusted		180,875,187			143,626,067

Net assets at end of period	$	282,180,350		$	173,269,091

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)


	For the nine months ended
	November 30, 2019			November 30, 2018
Operating activities
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	28,945,982		$	10,653,814
ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH USED IN OPERATING ACTIVITIES:
Payment-in-kind and other adjustments to cost		(3,082,715	)		(2,914,989	)
Net accretion of discount on investments		(888,292	)		(793,588	)
Amortization of deferred debt financing costs		1,037,764			820,836
Net deferred income taxes		—			(684,520	)
Net realized gain from investments		(12,609,767	)		(145,007	)
Net change in unrealized (appreciation) depreciation on investments		(4,910,851	)		2,542,429
Net change in provision for deferred taxes on unrealized appreciation on investments		1,786,801			1,159,581
Proceeds from sales and repayments of investments		97,152,448			60,854,504
Purchases of investments		(160,672,062	)		(160,661,533	)
(Increase) decrease in operating assets:
Interest receivable		(1,009,242	)		(1,654,449	)
Due from affiliate		1,673,747			—
Management and incentive fee receivable		255,374			65,806
Cumulative effect of the adoption of ASC 606 (See Note 2)		—			(65,300	)
Other assets		826			(155,841	)
Deferred tax asset		(1,464,878	)		—
Receivable from unsettled trades		—			(6,463	)
Increase (decrease) in operating liabilities:
Base management and incentive fees payable		3,791,110			30,718
Accounts payable and accrued expenses		(162,098	)		569,632
Interest and debt fees payable		(1,314,274	)		(314,276	)
Directors fees payable		(60,500	)		(41,500	)
Due to manager		61,580			(27,276	)

NET CASH USED IN OPERATING ACTIVITIES		(51,469,047	)		(90,767,422	)

Financing activities
Borrowings on debt		20,200,000			45,590,000
Paydowns on debt		(20,200,000	)		(21,500,000	)
Issuance of notes		—			40,000,000
Payments of deferred debt financing costs		(745,133	)		(1,940,910	)
Proceeds from issuance of common stock		84,064,237			28,991,238
Payments of cash dividends		(11,646,930	)		(8,614,071	)
Payments of offering costs		(1,184,892	)		(1,293,382	)

NET CASH PROVIDED BY FINANCING ACTIVITIES		70,487,282			81,232,875

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS		19,018,235			(9,534,547	)
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD		62,094,394			13,777,491

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD	$	81,112,629		$	4,242,944

Supplemental information:
Interest paid during the period	$	11,904,776		$	8,696,177
Cash paid for taxes		18,153			61,569
Supplemental non-cash information:
Payment-in-kind interest income	$	3,082,715		$	2,914,989
Net accretion of discount on investments		888,292			793,588
Amortization of deferred debt financing costs		1,037,764			820,836
Stock dividend distribution		2,188,811			1,594,506

See accompanying notes to consolidated financial statements.

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2019

(unaudited)

Note 1. Organization

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

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

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

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

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

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

On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC LP (“SBIC LP”), received a Small Business Investment Company (“SBIC”) license from the Small Business Administration (“SBA”). On August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. The new license will provide up to $175.0 million in additional long-term capital in the form of SBA debentures.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SBIC II LP, SIA-Avionte, Inc., SIA-Easy Ice, LLC, SIA-GH, Inc., SIA-HT, Inc., SIA-MAC, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise.

The Company, SBIC LP and SBIC II LP are all considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services — Investment Companies” (“ASC 946”). There have been no changes to the Company, SBIC LP or SBIC II LP’s status as investment companies during the nine months ended November 30, 2019.

Use of Estimates in the Preparation of Financial Statements

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

Cash and Cash Equivalents

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

•

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

•

we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets, except as allowed pursuant to Rule 12d1-1 of Section 12(d)(1) of the 1940 Act which is designed to permit “cash sweep” arrangements rather than investments directly in short-term instruments; or

•

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

As of November 30, 2019, the Company did not exceed any of these limitations.

Cash and Cash Equivalents, Reserve Accounts

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

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

The statements of cash flows explain the change during the period in the total of cash, cash equivalents and amounts generally described as restricted cash and restricted cash equivalents when reconciling the beginning-of-period and end-of-period total amounts.

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


	November 30, 2019		November 30, 2018
Cash and cash equivalents	$	51,646,844	$	322,116
Cash and cash equivalents, reserve accounts		29,465,785		3,920,828

Total cash and cash equivalents and cash and cash equivalents, reserve accounts	$	81,112,629	$	4,242,944

Investment Classification

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

Investment Valuation

The Company accounts for its investments at fair value in accordance with the FASB ASC Topic 820, Fair Value Measurement (“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 or its liabilities are to be transferred at the balance sheet date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.

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

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

•

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

•

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

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

•

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

•

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

The Company’s investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

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

Derivative Financial Instruments

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

Investment Transactions and Income Recognition

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

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. At November 30, 2019, certain investments in four portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $4.0 million, or 0.8% of the fair value of our portfolio. At February 28, 2019, certain investments in four portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $5.7 million, or 1.4% of the fair value of our portfolio.

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325, Investments-Other, Beneficial Interests in Securitized Financial Assets, (“ASC 325”), 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.

Adoption of ASC 606

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASC 606”), which supersedes the revenue recognition requirements in Revenue Recognition (ASC 605). In May 2016, ASU 2016-12 amended ASU 2014-09 and deferred the effective period for annual periods beginning after December 15, 2017.

Under the new guidance, the Company recognizes revenue in a way that depicts the transfer of promised goods or services to customers in an amount that reflects the consideration to which the Company expects to be entitled in exchange for those goods or services. Under this standard, revenue is based on a contract with a determinable transaction price and distinct performance obligations with probable collectability. Revenues cannot be recognized until the performance obligation(s) are satisfied and control is transferred to the customer. Management has concluded that the majority of its revenues associated with financial instruments are scoped out of ASC 606, and has concluded that the only significant impact relates to the timing of the recognition of the CLO incentive fee income. The adoption of ASC 606 did not have an impact on the Company’s management fee income or investment income.

The Company adopted ASC 606 to all applicable contracts under the modified retrospective approach using the practical expedient provided for within paragraph 606-10-65-1(f)(4); therefore, the presentation of prior year periods has not been adjusted. The Company recognized the cumulative effect of initially adopting ASC 606 as an adjustment to the opening balance of components of equity as of March 1, 2018.

Incentive Fee Income

Incentive fee income is recognized based on the performance of Saratoga CLO during the period, subject to the achievement of minimum return levels in accordance with the terms set out in the investment management agreement between the Company and Saratoga CLO. Incentive fee income is realized in cash on a quarterly basis. Once realized, such fees are no longer subject to reversal.

Upon the adoption of ASC 606, the Company recognizes incentive fee income only when the amount is realized and no longer subject to reversal. Therefore, the Company no longer recognizes unrealized incentive fee income in the consolidated financial statements. The adoption of ASC 606 results in the delayed recognition of unrealized incentive fee income in the consolidated financial statements until it becomes realized at the end of the measurement period and all uncertainties are eliminated, which is typically quarterly.

The Company adopted ASC 606 for incentive fee income using the modified retrospective approach with an effective date of March 1, 2018. The cumulative effect of the adoption resulted in the reversal of $0.07 million of unrealized incentive fee income and is presented as a reduction to the opening balances of components of equity as of March 1, 2018.

In conjunction with the third refinancing and issuance of the Saratoga CLO’s 2013-1 Reset CLO Notes (the “2013-1 Reset CLO Notes”) on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. See Note 4 for additional information. Prior to the refinancing, the Company reported $0.1 million and $0.5 million in incentive fees from the Saratoga CLO for the three and nine months ended November 30, 2018, respectively, and is reported as incentive fee income on the Company’s consolidated statement of operations.

The following table presents the impact of incentive fees on the consolidated statement of assets and liabilities upon the adoption of ASC 606 effective March 1, 2018:

Consolidated Statement of Assets and Liabilities


	February 28, 2018
	As Reported		Adjustments⁽¹⁾			As Adjusted for Adoption of ASC 606
Management and incentive fee receivable	$	233,024	$	(65,300	)	$	167,724
Total assets		360,336,361		(65,300	)		360,271,061
Cumulative effect adjustment for Adoption of ASC 606		—		(65,300	)		(65,300	)
Total net assets		143,691,367		(65,300	)		143,626,067
NET ASSET VALUE PER SHARE	$	22.96	$	(0.01	)	$	22.95

⁽¹⁾	Unrealized incentive fees receivable balance as of February 28, 2018.

Without the adoption of ASC 606, there was no impact to either the consolidated statements of assets and liabilities as of November 30, 2019 and February 28, 2019 or the consolidated statement of operations for the three and nine months ended November 30, 2019.

For the three and nine months ended November 30, 2018, the impact on the consolidated statement of operations without the adoption of ASC 606 is shown in the tables below:

Consolidated Statement of Operations


	For the three months ended November 30, 2018							For the nine months ended November 30, 2018
	As Reported		Adjustments			Without Adoption of ASC 606		As Reported		Adjustments		Without Adoption of ASC 606
Incentive fee income	$	147,602	$	(1,382	)	$	146,220	$	493,846	$	3,581	$	497,427
Total investment income		12,833,013		(1,382	)		12,831,631		34,723,805		3,581		34,727,386
NET INVESTMENT INCOME		5,138,941		(1,382	)		5,137,559		14,210,817		3,581		14,214,398
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		3,669,083		(1,382	)		3,667,701		10,653,814		3,581		10,657,395
WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	0.49	$	—		$	0.49	$	1.55	$	—	$	1.55

Other Income

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

Payment-in-Kind Interest

The Company holds debt and preferred equity 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. The Company stops accruing PIK interest if it is expected that the issuer will not be able to pay all principal and interest when due.

Deferred Debt Financing Costs

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

The Company presents deferred debt financing costs on the balance sheet as a contra-liability as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts.

Contingencies

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

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

Income Taxes

The Company has elected to be treated for tax purposes as a RIC under the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes, except as related to the Taxable Blockers when applicable.

In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least

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

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

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

The Company may utilize wholly-owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet its source-of-income requirements as a RIC. Taxable Blockers are consolidated in the Company’s U.S. GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likely than-not that some portion or all of the deferred tax assets will not be realized.

FASB ASC Topic 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2019, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2016, 2017 and 2018 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 2019 and February 28, 2019, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.

Dividends

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

We have adopted a dividend reinvestment plan (“DRIP”) that provides for reinvestment of our dividend distributions on behalf of our stockholders unless a stockholder elects to receive cash. As a result, if our board of directors authorizes, and we declare, a cash dividend, then our stockholders who have not “opted out” of the DRIP by the dividend record date will have their cash dividends 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 the Manager when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time.

The actual incentive fee payable to the Company’s Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains net of realized and unrealized losses for the period.

Regulatory Matters

In August 2018, the SEC issued Final Rule Release No.33-10532, Disclosure Update and Simplification, which in part amends certain disclosure requirements of Regulation S-X that have become redundant, duplicative, overlapping, outdated, or superseded, in light of other Commission disclosure requirements, U.S. GAAP or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The effective date for these disclosures was November 5, 2018. Management has adopted these amendments as currently required and these are reflected in the Company’s consolidated financial statements and related disclosures. The presentation of certain prior year information has been adjusted to conform with these amendments.

New Accounting Pronouncements

In August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Management has assessed these changes and does not believe they would have a material impact on the Company’s consolidated financial statements and 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—Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments which are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed.

•

Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. These inputs into the determination of fair value may require significant management judgment or estimation. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation methodology.

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

The following table presents fair value measurements of investments, by major class, as of November 30, 2019 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
First lien term loans	$	—	$	—	$	302,773	$	302,773
Second lien term loans		—		—		101,099		101,099
Unsecured term loans		—		—		2,073		2,073
Structured finance securities		—		—		34,306		34,306
Equity interests		—		—		46,780		46,780

Total	$	—	$	—	$	487,031	$	487,031

The following table presents fair value measurements of investments, by major class, as of February 28, 2019 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
First lien term loans	$	—	$	—	$	202,846	$	202,846
Second lien term loans		—		—		125,786		125,786
Unsecured term loans		—		—		2,100		2,100
Structured finance securities		—		—		35,328		35,328
Equity interests		—		—		35,960		35,960

Total	$	—	$	—	$	402,020	$	402,020

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, 2019 (dollars in thousands):


	First lien term loans			Second lien term loans			Unsecured term loans			Structured finance securities			Equity interests			Total
Balance as of February 28, 2019	$	202,846		$	125,786		$	2,100		$	35,328		$	35,960		$	402,020
Payment-in-kind and other adjustments to cost		488			2,716			—			751			(872	)		3,083
Net accretion of discount on investments		641			247			—			—			—			888
Net change in unrealized appreciation (depreciation) on investments		(672	)		350			(27	)		(1,773	)		7,033			4,911
Purchases		155,588			—			—			—			5,084			160,672
Sales and repayments		(56,178	)		(28,000	)		—			—			(12,975	)		(97,153	)
Net realized gain (loss) from investments		60			—			—			—			12,550			12,610

Balance as of November 30, 2019	$	302,773		$	101,099		$	2,073		$	34,306		$	46,780		$	487,031

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period	$	(558	)	$	196		$	(27	)	$	(1,773	)	$	8,422		$	6,260

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

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no restructures in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2019.

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, 2018 (dollars in thousands):


	Syndicated loans			First lien term loans			Second lien term loans			Unsecured term loans			Structured finance securities			Equity interests		Total
Balance as of February 28, 2018	$	4,106		$	197,359		$	95,075		$	—		$	16,374		$	29,780	$	342,694
Payment-in-kind and other adjustments to cost		—			413			1,739			—			—			763		2,915
Net accretion of discount on investments		73			498			223			—			—			—		794
Net change in unrealized appreciation (depreciation) on investments		(73	)		(1,082	)		(1,404	)		(135	)		(1,287	)		1,439		(2,542	)
Purchases		—			83,871			47,844			22,216			275			6,455		160,661
Sales and repayments		(4,106	)		(42,701	)		(14,000	)		—			(48	)		—		(60,855	)
Net realized gain from investments		—			145			—			—			—			—		145

Balance as of November 30, 2018	$	—		$	238,503		$	129,477		$	22,081		$	15,314		$	38,437	$	443,812

Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period	$	—		$	(1,154	)	$	(1,312	)	$	(135	)	$	(1,287	)	$	1,439	$	(2,449	)

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2019 were as follows (dollars in thousands):

Fair Value

Valuation Technique

Unobservable Input

Range

Weighted Average*

First lien term loans

302,773

Market Comparables

Market Yield (%)

8.0% - 12.9%

10.2%

EBITDA Multiples (x)

3.0x

Second lien term loans

101,099

Market Comparables

Market Yield (%)

9.7% - 83.7%

12.9%

EBITDA Multiples (x)

5.0x

Unsecured term loans

2,073

Market Comparables

Market Yield (%)

20.8%

EBITDA Multiples (x)

5.2x

Structured finance securities

34,306

Discounted Cash Flow

Discount Rate (%)

9.75% - 18.0%

15.9%

Recovery Rate (%)

70.0%

Prepayment Rate (%)

20.0%

Equity interests

46,780

Market Comparables

EBITDA Multiples (x)

4.0x - 14.0x

7.2x

Revenue Multiples (x)

0.6x - 43.2x

7.5x

Total

487,031

*	The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2019 were as follows (dollars in thousands):

Fair Value

Valuation Technique

Unobservable Input

Range

Weighted Average*

First lien term loans

202,846

Market Comparables

Market Yield (%)

8.6% - 13.2%

11.0%

EBITDA Multiples (x)

3.0x

Second lien term loans

125,786

Market Comparables

Market Yield (%)

10.5% - 41.1%

12.8%

EBITDA Multiples (x)

5.0x

Unsecured term loans

2,100

Market Comparables

Market Yield (%)

15.00%

15.0%

EBITDA Multiples (x)

4.8x

Structured finance securities

35,328

Discounted Cash Flow

Discount Rate (%)

9.0% - 15.0%

13.6%

Recovery Rate (%)

70.0%

Prepayment Rate (%)

20.0%

Equity interests

35,960

Market Comparables

EBITDA Multiples (x)

4.0x - 14.7x

6.7x

Revenue Multiples (x)

0.6x - 39.6x

10.1x

Total

402,020

*	The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

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 earnings before interest, tax, depreciation and amortization (“EBITDA”) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate and prepayment rate, in isolation, would result in a significantly lower (higher) fair value measurement while a significant increase (decrease) in recovery rate, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a market quote in deriving a value, a significant increase (decrease) in the market quote, in isolation, would result in a significantly higher (lower) fair value measurement.

The composition of our investments as of November 30, 2019 at amortized cost and fair value was as follows (dollars in thousands):


	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
First lien term loans	$	302,926		62.8	%	$	302,773		62.2	%
Second lien term loans		102,756		21.3			101,099		20.8
Unsecured term loans		2,216		0.5			2,073		0.4
Structured finance securities		34,268		7.1			34,306		7.0
Equity interests		39,850		8.3			46,780		9.6

Total	$	482,016		100.0	%	$	487,031		100.0	%

The composition of our investments as of February 28, 2019 at amortized cost and fair value was as follows (dollars in thousands):


	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
First lien term loans	$	202,328		50.3	%	$	202,846		50.5	%
Second lien term loans		127,793		31.8			125,786		31.3
Unsecured term loans		2,217		0.6			2,100		0.5
Structured finance securities		33,516		8.3			35,328		8.8
Equity interests		36,062		9.0			35,960		8.9

Total	$	401,916		100.0	%	$	402,020		100.0	%

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

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

Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. In connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at November 30, 2019. The inputs at November 30, 2019 for the valuation model include:

•

Default rate: 2.0%

•

Recovery rate: 35-70%

•

Discount rate: 18.0%

•

Prepayment rate: 20.0%

•

Reinvestment rate / price: L+370bps / $99.50

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

On January 22, 2008, the Company entered into a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, the Company completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.

On August 7, 2018, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse, Ltd (“CLO 2013-1 Warehouse”), a wholly-owned subsidiary of Saratoga CLO, pursuant to which CLO 2013-1 Warehouse may borrow from time to time up to $20 million from the Company in order to provide capital necessary to support warehouse activities. The CLO 2013-1 Warehouse Loan, which expires on February 7, 2020, bears interest at an annual rate of 3M USD LIBOR + 7.5%. Interest accrued on the investment in the CLO 2013-1 Warehouse Loan is included in interest income on the Company’s consolidated statement of operations. During the year ended February 28, 2019, the maximum amount invested by the Company in the CLO 2013-1 Warehouse Loan amounted to $20.0 million.

On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period ending January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of LIBOR plus 8.75% and LIBOR plus 10.00%, respectively. As part of this refinancing, the Company also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par.

The Saratoga CLO remains 100.0% owned and managed by the Company. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

For the three months ended November 30, 2019 and November 30, 2018, we accrued management fee income of $0.6 million and $0.4 million, respectively, and interest income of $1.0 million and $0.5 million, respectively, from the Saratoga CLO. For the three months ended November 30, 2018, we accrued $0.1 million related to the incentive management fee from Saratoga CLO.

For the nine months ended November 30, 2019 and November 30, 2018, we accrued management fee income of $1.9 million and $1.1 million, respectively, and interest income of $3.2 million and $2.0 million, respectively, from the Saratoga CLO. For the nine months ended November 30, 2018, we accrued $0.5 million related to the incentive management fee from Saratoga CLO.

As of November 30, 2019, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $24.5 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of November 30, 2019, the fair value of its investment in the Class F-R-2 Notes and G-R-2 Notes of Saratoga CLO was $2.5 million and $7.4 million, respectively. As of November 30, 2019, Saratoga CLO had investments with a principal balance of $510.9 million and a weighted average spread over LIBOR of 4.08% and had debt with a principal balance of $470.0 million with a weighted average spread over LIBOR of 2.0%. 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. As of November 30, 2019, the present value of the projected future cash flows of the subordinated notes was approximately $24.9 million, using a 18.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $43.8 million, which is comprised of the initial investment of $30.0 million in January 2008 plus the additional investment of $13.8 million in December 2018, and to date the Company has since received distributions of $58.7 million, management fees of $21.5 million and incentive fees of $1.2 million. In conjunction with the third refinancing of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO.

As of February 28, 2019, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $25.4 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. As of February 28, 2019, the fair value of its investment in the Class F-R-2 Notes and G-R-2 Notes of Saratoga CLO was $2.5 million and $7.5 million, respectively. As of February 28, 2019, Saratoga CLO had investments with a principal balance of $510.3 million and a weighted average spread over LIBOR of 4.0% and had debt with a principal balance of $470.0 million with a weighted average spread over LIBOR of 2.3%. As of February 28, 2019, the present value of the projected future cash flows of the subordinated notes was approximately $26.6 million, using a 15.0% discount rate.

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2019 (unaudited) and February 28, 2019 and for the three and nine months ended November 30, 2019 (unaudited) and November 30, 2018 (unaudited).

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities


	November 30, 2019			February 28, 2019
	(unaudited)
ASSETS
Investments at fair value
Loans at fair value (amortized cost of $505,796,917 and $506,145,483, respectively)	$	485,195,070		$	498,389,369
Equities at fair value (amortized cost of $2,566,752 and $3,531,218, respectively)		151			15,691

Total investments at fair value (amortized cost of $508,363,669 and $509,676,701, respectively)		485,195,221			498,405,060
Cash and cash equivalents		18,983,511			18,495,653
Receivable from open trades		4,326,089			7,855,309
Interest receivable (net of reserve of $488,210 and $168,443, respectively)		1,560,238			2,104,495

Total assets	$	510,065,059		$	526,860,517

LIABILITIES
Interest payable	$	2,259,612		$	4,963,472
Payable from open trades		26,007,050			26,232,247
Accrued base management fee		57,344			108,419
Accrued subordinated management fee		229,376			433,675
Due to affiliate		—			1,673,747
Accounts payable and accrued expenses		95,650			1,221,110
Saratoga Investment Corp. CLO 2013-1, Ltd. Notes:
Class A-1FL-R-2 Senior Secured Floating Rate Notes		255,000,000			255,000,000
Class A-1FXD-R-2 Senior Secured Fixed Rate Notes		25,000,000			25,000,000
Class-A-2-R-2 Senior Secured Floating Rate Notes		40,000,000			40,000,000
Class B-R-2 Senior Secured Floating Rate Notes		59,500,000			59,500,000
Class C-R-2 Deferrable Mezzanine Floating Rate Notes		22,500,000			22,500,000
Discount on Class C-R-2 Notes		(544,026	)		(585,059	)
Class D-R-2 Deferrable Mezzanine Floating Rate Notes		31,000,000			31,000,000
Discount on Class D-R-2 Notes		(989,967	)		(1,064,636	)
Class E-1-R-2 Deferrable Mezzanine Floating Rate Notes		27,000,000			27,000,000
Class E-2-R-2 Deferrable Mezzanine Fixed Rate Notes		—			—
Class F-R-2 Deferrable Junior Floating Rate Notes		2,500,000			2,500,000
Class G-R-2 Deferrable Junior Floating Rate Notes		7,500,000			7,500,000
Deferred debt financing costs		(2,295,245	)		(2,465,897	)
Subordinated Notes		69,500,000			69,500,000
Discount on Subordinated Notes		(23,485,495	)		(25,256,892	)

Total liabilities	$	540,834,299		$	544,760,186

NET ASSETS
Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 issued and outstanding, respectively	$	250		$	250
Total distributable earnings (loss)		(30,769,490	)		(17,899,919	)

Total net assets (deficit)		(30,769,240	)		(17,899,669	)

Total liabilities and net assets	$	510,065,059		$	526,860,517

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)


	For the three months ended						For the nine months ended
	November 30, 2019			November 30, 2018			November 30, 2019			November 30, 2018
INVESTMENT INCOME
Interest from investments	$	8,052,668		$	5,797,031		$	24,560,867		$	15,686,270
Interest from cash and cash equivalents		39,788			4,502			73,591			12,591
Other income		54,333			182,243			235,301			355,414

Total investment income		8,146,789			5,983,776			24,869,759			16,054,275

EXPENSES
Interest and debt financing expenses		8,136,345			4,826,166			21,303,661			12,926,780
Base management fee		125,934			76,153			377,786			225,984
Subordinated management fee		503,737			304,612			1,511,146			903,937
Incentive fees		—			146,220			—			497,427
Professional fees		37,967			136,219			250,679			249,665
Trustee expenses		56,810			15,396			194,825			76,092
Miscellaneous fee expense		(1,606	)		6,885			42,128			36,692

Total expenses		8,859,187			5,511,651			23,680,225			14,916,577

NET INVESTMENT INCOME (LOSS)		(712,398	)		472,125			1,189,534			1,137,698

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) on investments		—			11,948			(2,162,298	)		(1,143,744	)
Net change in unrealized appreciation (depreciation) on investments		(7,516,752	)		(4,467,273	)		(11,896,807	)		(5,017,702	)

Net realized and unrealized gain (loss) on investments		(7,516,752	)		(4,455,325	)		(14,059,105	)		(6,161,446	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(8,229,150	)	$	(3,983,200	)	$	(12,869,571	)	$	(5,023,748	)

Saratoga Investment Corp. CLO 2013-1, Ltd.

Schedule of Investments

November 30, 2019

(unaudited)


Issuer Name	Industry	Asset Name	Asset Type		Reference Rate/Spread				LIBOR Floor			Current Rate (All In)			Maturity Date		Principal/ Number of Shares		Cost		Fair Value
Education Management II LLC	Services: Consumer	Education Management II A-2 Preferred Shares		Equity		—	0.00	%		0.00	%		0.00	%		—		1,897,538	$	1,897,538	$	17
Education Management II LLC	Services: Consumer	Education Management II A-1 Preferred Shares		Equity		—	0.00	%		0.00	%		0.00	%		—		6,692		669,214		134
1011778 B.C. Unlimited Liability Company	Beverage Food & Tobacco	Term Loan B4		Loan		1M USD LIBOR+	1.75	%		0.00	%		3.45	%		11/19/2026	$	500,000		498,750		499,750
24 Hour Fitness Worldwide Inc.	Services: Consumer	Term Loan (5/18)		Loan		1M USD LIBOR+	3.50	%		0.00	%		5.20	%		5/30/2025		2,967,462		2,956,896		2,192,213
ABB Con-Cise Optical Group LLC	Consumer goods: Non-durable	Term Loan B		Loan		6M USD LIBOR+	5.00	%		1.00	%		6.89	%		6/15/2023		2,087,306		2,066,066		1,967,286
Acosta Inc. (a)	Media: Advertising Printing & Publishing	Term Loan B (1st Lien)		Loan		Prime+	0.00	%		0.00	%		4.75	%		9/27/2021		1,905,425		1,900,726		336,422
ADMI Corp.	Services: Consumer	Term Loan B		Loan		1M USD LIBOR+	2.75	%		0.00	%		4.45	%		4/30/2025		1,975,000		1,966,906		1,952,781
Advantage Sales & Marketing Inc.	Services: Business	First Lien Term Loan		Loan		1M USD LIBOR+	3.25	%		1.00	%		4.95	%		7/23/2021		2,377,387		2,376,188		2,238,310
Advantage Sales & Marketing Inc.	Services: Business	Term Loan B Incremental		Loan		1M USD LIBOR+	3.25	%		1.00	%		4.95	%		7/23/2021		491,206		486,073		461,940
Aegis Toxicology Sciences Corporation	Healthcare & Pharmaceuticals	Term Loan		Loan		3M USD LIBOR+	5.50	%		1.00	%		7.41	%		5/9/2025		3,960,000		3,928,328		3,766,950
Agiliti Health Inc.	Healthcare & Pharmaceuticals	Term Loan (1/19)		Loan		1M USD LIBOR+	3.00	%		0.00	%		4.70	%		1/5/2026		497,500		497,503		496,256
Agrofresh Inc.	Beverage Food & Tobacco	Term Loan		Loan		1M USD LIBOR+	4.75	%		1.00	%		6.45	%		7/30/2021		2,897,051		2,893,850		2,513,192
AI Mistral (Luxembourg) Subco Sarl	High Tech Industries	Term Loan		Loan		1M USD LIBOR+	3.00	%		1.00	%		4.70	%		3/11/2024		487,500		487,500		382,995
AIS Holdco LLC	Services: Business	Term Loan		Loan		3M USD LIBOR+	5.00	%		0.00	%		6.91	%		8/15/2025		2,437,500		2,426,780		2,291,250
Albertson’s LLC	Retail	Term Loan B7 (08/19)		Loan		1M USD LIBOR+	2.75	%		0.75	%		4.45	%		11/17/2025		1,572,385		1,565,059		1,582,778
Alchemy US Holdco 1 LLC	Metals & Mining	Term Loan		Loan		1M USD LIBOR+	5.50	%		0.00	%		7.20	%		10/10/2025		1,962,500		1,936,691		1,929,393
Alera Group Intermediate Holdings Inc.	Banking Finance Insurance & Real Estate	Term Loan B		Loan		1M USD LIBOR+	4.50	%		0.00	%		6.20	%		8/1/2025		495,000		493,961		496,237
Alion Science and Technology Corporation	Aerospace & Defense	Term Loan B (1st Lien)		Loan		1M USD LIBOR+	4.50	%		1.00	%		6.20	%		8/19/2021		3,607,276		3,602,472		3,607,276
Allen Media LLC	Media: Diversified & Production	Term Loan B		Loan		3M USD LIBOR+	6.50	%		1.00	%		8.41	%		8/30/2023		2,885,693		2,828,522		2,755,837
Altisource S.a r.l.	Banking Finance Insurance & Real Estate	Term Loan B (03/18)		Loan		3M USD LIBOR+	4.00	%		1.00	%		5.91	%		4/3/2024		1,454,005		1,445,993		1,377,670
Altra Industrial Motion Corp.	Capital Equipment	Term Loan		Loan		1M USD LIBOR+	2.00	%		0.00	%		3.70	%		10/1/2025		1,805,969		1,801,994		1,800,894
American Dental Partners Inc.	Healthcare & Pharmaceuticals	Term Loan B		Loan		3M USD LIBOR+	4.25	%		1.00	%		6.16	%		3/24/2023		992,500		983,902		977,613
American Greetings Corporation	Media: Advertising Printing & Publishing	Term Loan		Loan		1M USD LIBOR+	4.50	%		1.00	%		6.20	%		4/5/2024		4,944,799		4,941,922		4,774,846
American Residential Services LLC	Services: Consumer	Term Loan B		Loan		1M USD LIBOR+	4.00	%		1.00	%		5.70	%		6/30/2022		3,936,046		3,925,777		3,827,805
Amynta Agency Borrower Inc.	Banking Finance Insurance & Real Estate	Term Loan		Loan		1M USD LIBOR+	4.50	%		0.00	%		6.20	%		2/28/2025		3,471,143		3,432,963		3,228,163
Anastasia Parent LLC	Consumer goods: Non-durable	Term Loan		Loan		1M USD LIBOR+	3.75	%		0.00	%		5.45	%		8/11/2025		990,000		985,752		805,197
Anchor Glass Container Corporation	Containers Packaging & Glass	Term Loan (07/17)		Loan		1M USD LIBOR+	2.75	%		1.00	%		4.45	%		12/7/2023		486,306		484,707		336,310
Api Group DE Inc	Services: Business	Term Loan B		Loan		1M USD LIBOR+	2.50	%		0.00	%		4.20	%		10/1/2026		1,000,000		995,052		1,004,380
Arctic Glacier U.S.A. Inc.	Beverage Food & Tobacco	Term Loan (3/18)		Loan		1M USD LIBOR+	3.50	%		1.00	%		5.20	%		3/20/2024		3,350,967		3,331,589		3,163,883
Aretec Group Inc.	Banking Finance Insurance & Real Estate	Term Loan (10/18)		Loan		1M USD LIBOR+	4.25	%		0.00	%		5.95	%		10/1/2025		1,985,000		1,980,601		1,877,076
Arnott’s Biscuits Limited	Beverage Food & Tobacco	Term Loan		Loan		3M USD LIBOR+	4.00	%		0.00	%		5.91	%		10/16/2026		1,000,000		990,000		998,130
ASG Technologies Group Inc.	High Tech Industries	Term Loan		Loan		1M USD LIBOR+	3.50	%		1.00	%		5.20	%		7/31/2024		490,022		488,249		483,284
AssetMark Financial Holdings Inc.	Banking Finance Insurance & Real Estate	Term Loan		Loan		3M USD LIBOR+	3.25	%		0.00	%		5.16	%		11/14/2025		1,237,500		1,235,491		1,243,688
Astoria Energy LLC	Energy: Electricity	Term Loan		Loan		1M USD LIBOR+	4.00	%		1.00	%		5.70	%		12/24/2021		1,394,701		1,388,193		1,393,390
Asurion LLC	Banking Finance Insurance & Real Estate	Term Loan B-4 (Replacement)		Loan		1M USD LIBOR+	3.00	%		0.00	%		4.70	%		8/4/2022		1,882,889		1,877,550		1,886,033
Asurion LLC	Banking Finance Insurance & Real Estate	Term Loan B6		Loan		1M USD LIBOR+	3.00	%		0.00	%		4.70	%		11/3/2023		494,068		490,915		494,607
Athenahealth Inc.	Healthcare & Pharmaceuticals	Term Loan B		Loan		3M USD LIBOR+	4.50	%		0.00	%		6.41	%		2/11/2026		1,990,000		1,953,563		1,986,020
Avaya Inc.	Telecommunications	Term Loan B		Loan		1M USD LIBOR+	4.25	%		0.00	%		5.95	%		12/16/2024		3,169,156		3,137,037		3,010,698
Avison Young (Canada) Inc.	Services: Business	Term Loan		Loan		3M USD LIBOR+	5.00	%		0.00	%		6.91	%		1/30/2026		3,485,000		3,425,613		3,412,407
B&G Foods Inc.	Beverage Food & Tobacco	Term Loan		Loan		1M USD LIBOR+	2.50	%		0.00	%		4.20	%		10/10/2026		250,000		248,767		251,458
Ball Metalpack Finco LLC	Containers Packaging & Glass	Term Loan		Loan		3M USD LIBOR+	4.50	%		0.00	%		6.41	%		7/31/2025		3,954,950		3,937,748		3,355,103
Bausch Health Companies Inc.	Healthcare & Pharmaceuticals	Term Loan B (05/18)		Loan		1M USD LIBOR+	3.00	%		0.00	%		4.70	%		6/2/2025		25,765		25,677		25,872
Berry Global Inc.	Chemicals Plastics & Rubber	Term Loan U		Loan		1M USD LIBOR+	2.50	%		0.00	%		4.20	%		7/1/2026		4,987,500		4,975,486		5,007,749
Blount International Inc.	Forest Products & Paper	Term Loan B (09/18)		Loan		6M USD LIBOR+	3.75	%		1.00	%		5.64	%		4/12/2023		3,462,525		3,459,415		3,461,452
Blucora Inc.	Services: Consumer	Term Loan (11/17)		Loan		1M USD LIBOR+	3.00	%		1.00	%		4.70	%		5/22/2024		956,667		954,009		957,862
Bombardier Recreational Products Inc.	Consumer goods: Durable	Incremental Term Loan B2		Loan		1M USD LIBOR+	2.50	%		0.00	%		4.20	%		5/23/2025		997,500		987,909		998,498
Boxer Parent Company Inc.	Services: Business	Term Loan		Loan		1M USD LIBOR+	4.25	%		0.00	%		5.95	%		10/2/2025		2,481,250		2,459,852		2,382,000
Bracket Intermediate Holding Corp.	Healthcare & Pharmaceuticals	Term Loan		Loan		3M USD LIBOR+	4.25	%		0.00	%		6.16	%		9/5/2025		990,000		985,761		972,675
Broadstreet Partners Inc.	Banking Finance Insurance & Real Estate	Term Loan B2		Loan		1M USD LIBOR+	3.25	%		1.00	%		4.95	%		11/8/2023		1,027,255		1,025,361		1,025,971
Brookfield WEC Holdings Inc.	Energy: Electricity	Term Loan		Loan		1M USD LIBOR+	3.50	%		0.75	%		5.20	%		8/1/2025		498,744		497,531		499,058
Buckeye Partners L.P.	Utilities: Oil & Gas	Term Loan		Loan		1M USD LIBOR+	2.75	%		0.00	%		4.45	%		11/2/2026		1,000,000		995,080		1,007,500
BW Gas & Convenience Holdings LLC	Beverage Food & Tobacco	Term Loan		Loan		1M USD LIBOR+	6.25	%		0.00	%		7.95	%		11/18/2024		3,000,000		2,880,000		2,917,500
Cable & Wireless Communications Limited	Telecommunications	Term Loan B4		Loan		1M USD LIBOR+	3.25	%		0.00	%		4.95	%		1/30/2026		2,186,667		2,184,527		2,190,778
Calceus Acquisition Inc.	Consumer goods: Non-durable	Term Loan B		Loan		1M USD LIBOR+	5.50	%		0.00	%		7.20	%		2/12/2025		981,250		970,154		978,797
Callaway Golf Company	Retail	Term Loan B		Loan		1M USD LIBOR+	4.50	%		0.00	%		6.20	%		1/2/2026		699,375		686,170		705,495
Canyon Valor Companies Inc.	Media: Advertising Printing & Publishing	Term Loan B		Loan		3M USD LIBOR+	2.75	%		0.00	%		4.66	%		6/16/2023		931,691		929,520		932,045
CareerBuilder LLC	Services: Business	Term Loan		Loan		3M USD LIBOR+	6.75	%		1.00	%		8.66	%		7/31/2023		2,266,211		2,229,942		2,246,382
CareStream Health Inc.	High Tech Industries	Term Loan		Loan		1M USD LIBOR+	5.50	%		1.00	%		7.20	%		2/28/2021		2,369,831		2,362,759		2,297,266
Casa Systems Inc.	Telecommunications	Term Loan		Loan		1M USD LIBOR+	4.00	%		1.00	%		5.70	%		12/20/2023		1,458,750		1,449,364		1,152,413
CCS-CMGC Holdings Inc.	Healthcare & Pharmaceuticals	Term Loan		Loan		3M USD LIBOR+	5.50	%		0.00	%		7.41	%		10/1/2025		2,481,250		2,459,195		2,378,898
Cengage Learning Inc.	Media: Advertising Printing & Publishing	Term Loan		Loan		1M USD LIBOR+	4.25	%		1.00	%		5.95	%		6/7/2023		1,451,208		1,438,133		1,326,448
CenturyLink Inc.	Telecommunications	Term Loan B		Loan		1M USD LIBOR+	2.75	%		0.00	%		4.45	%		1/31/2025		3,939,924		3,919,349		3,939,373
Citadel Securities LP	Banking Finance Insurance & Real Estate	Term Loan B		Loan		1M USD LIBOR+	3.50	%		0.00	%		5.20	%		2/27/2026		995,000		993,778		998,731
Clarios Global LP	Automotive	Term Loan B		Loan		1M USD LIBOR+	3.50	%		0.00	%		5.20	%		4/30/2026		1,500,000		1,485,484		1,499,070
Compass Power Generation L.L.C.	Utilities: Electric	Term Loan B (08/18)		Loan		1M USD LIBOR+	3.50	%		1.00	%		5.20	%		12/20/2024		1,938,014		1,933,301		1,936,405
Compuware Corporation	High Tech Industries	Term Loan (08/18)		Loan		1M USD LIBOR+	4.00	%		0.00	%		5.70	%		8/22/2025		496,250		495,170		498,111
Concentra Inc.	Healthcare & Pharmaceuticals	Term Loan B-1		Loan		6M USD LIBOR+	2.50	%		0.00	%		4.39	%		6/1/2022		250,000		248,839		249,895
Concordia International Corp.	Healthcare & Pharmaceuticals	Term Loan		Loan		1W USD LIBOR+	5.50	%		1.00	%		7.03	%		9/6/2024		1,189,720		1,134,822		1,102,573
Connect US Finco LLC	Telecommunications	Term Loan B		Loan		3M USD LIBOR+	4.50	%		1.00	%		6.41	%		9/23/2026		2,000,000		1,960,000		1,991,260
Consolidated Aerospace Manufacturing LLC	Aerospace & Defense	Term Loan (1st Lien)		Loan		1M USD LIBOR+	3.75	%		1.00	%		5.45	%		8/11/2022		2,414,796		2,409,385		2,399,703
Consolidated Communications Inc.	Telecommunications	Term Loan B		Loan		1M USD LIBOR+	3.00	%		1.00	%		4.70	%		10/5/2023		1,479,196		1,467,949		1,364,100
Covia Holdings Corporation	Metals & Mining	Term Loan		Loan		3M USD LIBOR+	4.00	%		1.00	%		5.91	%		6/2/2025		987,500		987,500		691,477
CPI Acquisition Inc.	Banking Finance Insurance & Real Estate	Term Loan B (1st Lien)		Loan		3M USD LIBOR+	4.50	%		1.00	%		6.41	%		8/17/2022		1,436,782		1,426,941		1,081,580
Crown Subsea Communications Holding Inc	Construction & Building	Term Loan		Loan		1M USD LIBOR+	6.00	%		0.00	%		7.70	%		11/3/2025		2,231,270		2,209,380		2,222,902
CSC Holdings LLC	Media: Broadcasting & Subscription	Term Loan B (03/17)		Loan		1M USD LIBOR+	2.25	%		0.00	%		3.95	%		7/17/2025		1,979,696		1,956,428		1,972,549
CSC Holdings LLC	Media: Broadcasting & Subscription	Term Loan B-5		Loan		1M USD LIBOR+	2.50	%		0.00	%		4.20	%		4/15/2027		500,000		500,000		500,250
CSC Holdings LLC	Media: Broadcasting & Subscription	Term Loan B		Loan		1M USD LIBOR+	2.25	%		0.00	%		3.95	%		1/15/2026		496,250		495,163		494,761
CT Technologies Intermediate Hldgs Inc.	Healthcare & Pharmaceuticals	New Term Loan		Loan		1M USD LIBOR+	4.25	%		1.00	%		5.95	%		12/1/2021		1,429,069		1,424,005		1,321,889
Daseke Companies Inc.	Transportation: Cargo	Replacement Term Loan		Loan		1M USD LIBOR+	5.00	%		1.00	%		6.70	%		2/27/2024		1,960,683		1,951,299		1,833,239
DaVita Inc.	High Tech Industries	Term Loan B		Loan		1M USD LIBOR+	2.25	%		0.00	%		3.95	%		8/12/2026		1,000,000		997,535		1,004,730
DCert Buyer Inc.	High Tech Industries	Term Loan		Loan		1M USD LIBOR+	4.00	%		0.00	%		5.70	%		10/16/2026		1,500,000		1,496,274		1,491,000
Dealer Tire LLC	Automotive	Term Loan B		Loan		1M USD LIBOR+	5.50	%		0.00	%		7.20	%		12/12/2025		2,985,000		2,880,466		2,981,269
Delek US Holdings Inc.	Utilities: Oil & Gas	Term Loan B		Loan		1M USD LIBOR+	2.25	%		0.00	%		3.95	%		3/31/2025		6,462,334		6,392,397		6,371,861
Dell International L.L.C.	High Tech Industries	Term Loan B-1		Loan		1M USD LIBOR+	2.00	%		0.75	%		3.70	%		9/19/2025		3,823,990		3,819,277		3,844,066
Delta 2 (Lux) SARL	Hotel Gaming & Leisure	Term Loan B		Loan		1M USD LIBOR+	2.50	%		1.00	%		4.20	%		2/1/2024		1,318,289		1,315,764		1,310,050
DHX Media Ltd.	Media: Broadcasting & Subscription	Term Loan		Loan		1M USD LIBOR+	4.25	%		1.00	%		5.95	%		12/29/2023		279,282		277,960		274,627
Diamond Sports Group LLC	Media: Broadcasting & Subscription	Term Loan		Loan		1M USD LIBOR+	3.25	%		0.00	%		4.95	%		8/24/2026		1,000,000		995,125		996,560
Digital Room Holdings Inc.	Media: Advertising Printing & Publishing	Term Loan		Loan		1M USD LIBOR+	5.00	%		0.00	%		6.70	%		5/21/2026		2,992,500		2,950,572		2,693,250
Dole Food Company Inc.	Beverage Food & Tobacco	Term Loan B		Loan		1M USD LIBOR+	2.75	%		1.00	%		4.45	%		4/8/2024		471,875		470,357		465,844
DRW Holdings LLC	Banking Finance Insurance & Real Estate	Term Loan B		Loan		1M USD LIBOR+	4.25	%		0.00	%		5.95	%		11/27/2026		5,000,000		4,950,000		4,962,500
DTZ U.S. Borrower LLC	Construction & Building	Term Loan B		Loan		1M USD LIBOR+	3.25	%		0.00	%		4.95	%		8/21/2025		3,955,038		3,938,212		3,959,981
DynCorp International Inc.	Aerospace & Defense	Term Loan B		Loan		1M USD LIBOR+	6.00	%		1.00	%		7.70	%		8/18/2025		3,000,000		2,912,737		2,970,000
Eagletree-Carbide Acquisition Corp.	Consumer goods: Durable	Term Loan		Loan		3M USD LIBOR+	4.25	%		1.00	%		6.16	%		8/28/2024		3,937,408		3,920,581		3,838,973
EIG Investors Corp.	High Tech Industries	Term Loan (06/18)		Loan		3M USD LIBOR+	3.75	%		1.00	%		5.66	%		2/9/2023		2,290,552		2,276,129		2,151,698
Encapsys LLC	Chemicals Plastics & Rubber	Term Loan		Loan		1M USD LIBOR+	3.50	%		1.00	%		5.20	%		11/7/2024		498,714		493,972		499,547
Endo Luxembourg Finance Company I S.a.r.l.	Healthcare & Pharmaceuticals	Term Loan B (4/17)		Loan		1M USD LIBOR+	4.25	%		0.75	%		5.95	%		4/29/2024		3,947,120		3,924,139		3,618,049
Energy Acquisition LP	Capital Equipment	Term Loan (6/18)		Loan		3M USD LIBOR+	4.25	%		0.00	%		6.16	%		6/26/2025		1,975,000		1,960,754		1,738,000
Envision Healthcare Corporation	Healthcare & Pharmaceuticals	Term Loan B (06/18)		Loan		1M USD LIBOR+	3.75	%		0.00	%		5.45	%		10/10/2025		4,962,500		4,951,919		3,877,648
FinCo I LLC	Banking Finance Insurance & Real Estate	2018 Term Loan B		Loan		1M USD LIBOR+	2.00	%		0.00	%		3.70	%		12/27/2022		360,538		359,875		361,338
First Eagle Holdings Inc.	Banking Finance Insurance & Real Estate	Term Loan B (10/18)		Loan		3M USD LIBOR+	2.75	%		0.00	%		4.66	%		12/2/2024		4,962,500		4,938,670		4,953,220
Fitness International LLC	Services: Consumer	Term Loan B (4/18)		Loan		1M USD LIBOR+	3.25	%		0.00	%		4.95	%		4/18/2025		2,205,656		2,193,336		2,185,673
Franklin Square Holdings L.P.	Banking Finance Insurance & Real Estate	Term Loan		Loan		1M USD LIBOR+	2.50	%		0.00	%		4.20	%		8/1/2025		4,455,000		4,424,012		4,474,513
Fusion Connect Inc.(a)	Telecommunications	Non-Consenting Term Loan B		Loan		Prime+	4.75	%		0.00	%		5.75	%		10/3/2019		2,031,731		1,975,959		1,069,688
Fusion Connect Inc.	Telecommunications	Term Loan		Loan		1M USD LIBOR+	10.00	%		0.00	%		11.70	%		10/3/2019		132,539		132,059		130,551
GBT Group Services B.V.	Hotel Gaming & Leisure	Term Loan		Loan		3M USD LIBOR+	2.50	%		0.00	%		4.41	%		8/13/2025		4,455,000		4,453,928		4,466,138
GC EOS Buyer Inc.	Automotive	Term Loan B (06/18)		Loan		1M USD LIBOR+	4.50	%		0.00	%		6.20	%		8/1/2025		2,970,000		2,947,515		2,871,634
General Nutrition Centers Inc.	Retail	Term Loan B2		Loan		2M USD LIBOR+	8.75	%		0.75	%		10.57	%		3/4/2021		930,446		928,627		885,673
General Nutrition Centers Inc.	Retail	FILO Term Loan		Loan		1M USD LIBOR+	7.00	%		0.00	%		8.70	%		1/3/2023		585,849		584,624		584,220
Genesee & Wyoming Inc.	Transportation: Cargo	Term Loan		Loan		3M USD LIBOR+	2.00	%		0.00	%		3.91	%		11/6/2026		1,500,000		1,492,500		1,509,915
GI Chill Acquisition LLC	Services: Business	Term Loan		Loan		3M USD LIBOR+	4.00	%		0.00	%		5.91	%		8/6/2025		2,475,000		2,464,298		2,437,875
GI Revelation Acquisition LLC	Services: Business	Term Loan		Loan		1M USD LIBOR+	5.00	%		0.00	%		6.70	%		4/16/2025		1,234,994		1,229,701		1,148,544
Gigamon Inc.	Services: Business	Term Loan B		Loan		1M USD LIBOR+	4.25	%		1.00	%		5.95	%		12/27/2024		1,965,000		1,949,434		1,940,438
Global Tel*Link Corporation	Telecommunications	Term Loan B		Loan		1M USD LIBOR+	4.25	%		0.00	%		5.95	%		11/28/2025		3,047,426		3,047,426		2,590,312
Go Wireless Inc.	Telecommunications	Term Loan		Loan		1M USD LIBOR+	6.50	%		1.00	%		8.20	%		12/22/2024		3,247,078		3,203,537		3,117,195
Goodyear Tire & Rubber Company The	Chemicals Plastics & Rubber	Second Lien Term Loan		Loan		3M USD LIBOR+	2.00	%		0.00	%		3.91	%		3/7/2025		2,000,000		2,000,000		1,985,000
Greenhill & Co. Inc.	Banking Finance Insurance & Real Estate	Term Loan B		Loan		1M USD LIBOR+	3.25	%		0.00	%		4.95	%		4/12/2024		3,825,000		3,784,189		3,691,125
Grosvenor Capital Management Holdings LLLP	Banking Finance Insurance & Real Estate	Term Loan B		Loan		1M USD LIBOR+	2.75	%		1.00	%		4.45	%		3/28/2025		898,530		894,749		901,342
Guidehouse LLP	Aerospace & Defense	Term Loan		Loan		1M USD LIBOR+	4.50	%		0.00	%		6.20	%		5/1/2025		3,975,000		3,951,121		3,890,531
Harland Clarke Holdings Corp.	Media: Advertising Printing & Publishing	Term Loan		Loan		3M USD LIBOR+	4.75	%		1.00	%		6.66	%		11/3/2023		1,750,615		1,742,814		1,304,208
HD Supply Waterworks Ltd.	Construction & Building	Term Loan		Loan		3M USD LIBOR+	2.75	%		1.00	%		4.66	%		8/1/2024		490,000		489,045		483,263
Helix Acquisition Holdings Inc.	Capital Equipment	Term Loan (2019 Incremental)		Loan		3M USD LIBOR+	3.75	%		0.00	%		5.66	%		9/30/2024		2,985,000		2,930,173		2,790,975
Helix Gen Funding LLC	Energy: Electricity	Term Loan B (02/17)		Loan		1M USD LIBOR+	3.75	%		1.00	%		5.45	%		6/3/2024		264,030		263,663		252,550
HLF Financing SaRL LLC	Consumer goods: Non-durable	Term Loan B (08/18)		Loan		1M USD LIBOR+	3.25	%		0.00	%		4.95	%		8/18/2025		3,960,000		3,944,544		3,973,187
Holley Purchaser Inc.	Automotive	Term Loan B		Loan		3M USD LIBOR+	5.00	%		0.00	%		6.91	%		10/24/2025		2,481,250		2,459,539		2,344,781
Hudson River Trading LLC	Banking Finance Insurance & Real Estate	Term Loan B (10/18)		Loan		1M USD LIBOR+	3.50	%		0.00	%		5.20	%		4/3/2025		4,447,587		4,426,283		4,444,830
Hyperion Refinance S.a.r.l.	Banking Finance Insurance & Real Estate	Tem Loan (12/17)		Loan		1M USD LIBOR+	3.50	%		1.00	%		5.20	%		12/20/2024		1,714,143		1,705,912		1,713,183
Idera Inc.	High Tech Industries	Term Loan B		Loan		1M USD LIBOR+	4.50	%		1.00	%		6.20	%		6/28/2024		2,947,277		2,926,110		2,933,779
IG Investments Holdings LLC	Services: Business	Term Loan		Loan		1M USD LIBOR+	4.00	%		1.00	%		5.70	%		5/23/2025		1,382,717		1,376,723		1,361,396
Inmar Inc.	Services: Business	Term Loan B		Loan		3M USD LIBOR+	4.00	%		1.00	%		5.91	%		5/1/2024		3,465,907		3,382,305		3,280,689
ION Media Networks Inc.	Media: Broadcasting & Subscription	Term Loan B		Loan		1M USD LIBOR+	3.00	%		0.00	%		4.70	%		12/18/2024		1,000,000		995,154		999,060

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