SEC Filing | Saratoga Investment Corp

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

View:

Download DOC

Download PDF

Download XLS

Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended November 30, 2015

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

Commission File Number: 001-33376

SARATOGA INVESTMENT CORP.

(Exact name of registrant as specified in its charter)


Maryland		20-8700615
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)


535 Madison Avenue New York, New York		10022
(Address of principal executive office)		(Zip Code)

(212) 906-7800

(Registrant’s telephone number, including area code)

Not applicable

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

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

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

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

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

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of January 13, 2016 was 5,695,144.

TABLE OF CONTENTS


		Page
PART I	FINANCIAL INFORMATION		3

Item 1.	Financial Statements		3

	Consolidated Statements of Assets and Liabilities as of November 30, 2015 (unaudited) and February 28, 2015		3

	Consolidated Statements of Operations for the three and nine months ended November 30, 2015 and November 30, 2014 (unaudited)		4

	Consolidated Schedules of Investments as of November 30, 2015 (unaudited) and February 28, 2015		5

	Consolidated Statements of Changes in Net Assets for the nine months ended November 30, 2015 and November 30, 2014 (unaudited)		11

	Consolidated Statements of Cash Flows for the nine months ended November 30, 2015 and November 30, 2014 (unaudited)		12

	Notes to Consolidated Financial Statements as of November 30, 2015 (unaudited)		13

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		36

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		58

Item 4.	Controls and Procedures		58

PART II	OTHER INFORMATION		59

Item 1.	Legal Proceedings		59

Item 1A.	Risk Factors		59

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		59

Item 3.	Defaults upon Senior Securities		59

Item 4.	Mine Safety Disclosures		59

Item 5.	Other Information		59

Item 6.	Exhibits		60

Signatures			61

PART I FINANCIAL INFORMATION

Item 1. Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities


	As of
	November 30, 2015			February 28, 2015
	(unaudited)
ASSETS
Investments at fair value
Non-control/non-affiliate investments (amortized cost of $225,051,428 and $222,505,383, respectively)	$	225,261,956		$	223,506,589
Control investments (cost of $13,667,666 and $15,953,001, respectively)		15,775,843			17,031,146

Total investments at fair value (amortized cost of $238,719,094 and $238,458,384, respectively)		241,037,799			240,537,735
Cash and cash equivalents		6,019,448			1,888,158
Cash and cash equivalents, reserve accounts		21,145,241			18,175,214
Interest receivable, (net of reserve of $537,847 and $309,498, respectively)		2,973,737			2,469,398
Management fee receivable		170,256			171,913
Other assets		396,659			317,637

Total assets	$	271,743,140		$	263,560,055

LIABILITIES
Revolving credit facility	$	—		$	9,600,000
Deferred debt financing costs, revolving credit facility		(535,533	)		(594,845	)
SBA debentures payable		79,000,000			79,000,000
Deferred debt financing costs, SBA debentures payable		(2,014,360	)		(2,340,894	)
Notes payable		61,374,525			48,300,000
Deferred debt financing costs, notes payable		(1,760,041	)		(1,847,564	)
Dividend payable		886,817			402,200
Base management and incentive fees payable		5,657,867			5,835,941
Accounts payable and accrued expenses		648,275			835,189
Interest and debt fees payable		850,362			1,405,466
Due to manager		361,862			365,820

Total liabilities	$	144,469,774		$	140,961,313

Commitments and contingencies (See Note 7)

NET ASSETS
Common stock, par value $.001, 100,000,000 common shares authorized, 5,634,115 and 5,401,899 common shares issued and outstanding, respectively	$	5,634		$	5,402
Capital in excess of par value		188,270,413			184,877,680
Distribution in excess of net investment income		(27,094,304	)		(23,905,603	)
Accumulated net realized loss from investments and derivatives		(36,227,082	)		(40,458,088	)
Accumulated net unrealized appreciation on investments and derivatives		2,318,705			2,079,351

Total net assets		127,273,366			122,598,742

Total liabilities and net assets	$	271,743,140		$	263,560,055

NET ASSET VALUE PER SHARE	$	22.59		$	22.70

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)


	For the three months ended November 30					For the nine months ended November 30
	2015		2014			2015			2014
INVESTMENT INCOME
Interest from investments
Non-control/Non-affiliate investments	$	5,435,083	$	5,038,877		$	16,961,744		$	14,794,342
Payment-in-kind interest income from Non-control/Non-affiliate investments		41,322		319,994			995,465			902,536
Control investments		750,605		694,641			2,020,301			1,996,010

Total interest income		6,227,010		6,053,512			19,977,510			17,692,888
Interest from cash and cash equivalents		1,307		1,024			2,774			2,738
Management fee income		369,388		383,012			1,121,286			1,150,505
Other income		338,219		867,409			1,153,838			1,078,239

Total investment income		6,935,924		7,304,957			22,255,408			19,924,370

EXPENSES
Interest and debt financing expenses		2,129,105		1,869,176			6,240,946			5,466,279
Base management fees		1,091,405		1,087,734			3,366,739			3,093,399
Professional fees		347,639		225,776			1,030,616			937,083
Administrator expenses		325,000		250,000			850,000			750,000
Incentive management fees		404,218		932,609			2,160,772			2,079,976
Insurance		85,262		83,388			259,895			252,002
Directors fees and expenses		51,000		51,000			153,000			159,761
General & administrative		351,875		176,293			738,244			400,487
Excise tax expense (credit)		—		—			(123,338	)		—

Total expenses		4,785,504		4,675,976			14,676,874			13,138,987

NET INVESTMENT INCOME		2,150,420		2,628,981			7,578,534			6,785,383

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from investments		447,813		2,761,558			4,231,006			3,203,399
Net unrealized appreciation/(depreciation) on investments		823,093		(2,005,072	)		239,354			(1,686,263	)

Net gain on investments		1,270,906		756,486			4,470,360			1,517,136

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	3,421,326	$	3,385,467		$	12,048,894		$	8,302,519

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	0.61	$	0.63		$	2.18		$	1.54
WEIGHTED AVERAGE COMMON STOCK OUTSTANDING - BASIC AND DILUTED		5,632,011		5,379,616			5,533,094			5,379,616

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2015

(unaudited)


Company	Industry	Investment Interest Rate / Maturity	Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliated investments - 177.0% (b)
National Truck Protection Co., Inc. (d), (g)	Automotive Aftermarket	Common Stock		1,116	$	1,000,000	$	1,314,811		1.0	%
National Truck Protection Co., Inc. (d)	Automotive Aftermarket	First Lien Term Loan 15.50% Cash, 9/13/2018	$	7,326,770		7,326,770		7,326,770		5.8	%
Take 5 Oil Change, L.L.C. (d), (g)	Automotive Aftermarket	Common Stock		7,128		480,535		2,149,805		1.7	%

		Total Automotive Aftermarket				8,807,305		10,791,386		8.5	%

Legacy Cabinets Holdings (d), (g)	Building Products	Common Stock Voting A-1		2,535		220,900		2,470,814		1.9	%
Legacy Cabinets Holdings (d), (g)	Building Products	Common Stock Voting B-1		1,600		139,424		1,559,488		1.2	%
Polar Holding Company, Ltd. (a), (i)	Building Products	First Lien Term Loan 10.00% Cash, 8/13/2016	$	1,000,000		1,000,000		1,000,000		0.8	%

		Total Building Products				1,360,324		5,030,302		3.9	%

BMC Software, Inc. (d)	Business Services	First Lien Term Loan 5.00% Cash, 9/10/2020	$	5,686,667		5,647,170		4,916,692		3.9	%
Dispensing Dynamics International (d)	Business Services	Senior Secured Note 12.50% Cash, 1/1/2018	$	12,000,000		12,028,177		11,820,000		9.3	%
Easy Ice, LLC (d)	Business Services	First Lien Term Loan 9.50% Cash, 1/15/2020	$	12,000,000		11,887,478		12,000,000		9.4	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note 10.00% Cash, 1/23/2020	$	8,400,000		8,293,649		8,566,320		6.7	%
Emily Street Enterprises, L.L.C. (g)	Business Services	Warrant Membership Interests		49,318		400,000		598,720		0.5	%
Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)	Business Services	First Lien Term Loan 6.25% Cash, 6/28/2019	$	5,000,000		4,901,162		4,894,000		3.8	%
Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)	Business Services	Second Lien Term Loan 10.50% Cash, 6/28/2020	$	3,000,000		2,910,645		2,910,000		2.3	%
Knowland Technology Holdings, L.L.C.	Business Services	First Lien Term Loan 11.00% Cash, 11/29/2017	$	5,259,171		5,218,435		5,259,171		4.1	%
Knowland Technology Holdings, L.L.C. (j), (k), (l)	Business Services	Delayed Draw Term Loan 11.00% Cash, 11/29/2017	$	—		—		—		0.0	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018	$	9,380,656		9,285,179		9,380,656		7.4	%
Vector Controls Holding Co., LLC (d), (g)	Business Services	Warrants to Purchase Limited Liability Company Interests		101		—		280,000		0.2	%

		Total Business Services				60,571,895		60,625,559		47.6	%

Advanced Air & Heat of Florida, LLC	Consumer Products	First Lien Term Loan 9.75% Cash, 7/17/2020	$	7,550,000		7,474,199		7,550,000		5.9	%
Advanced Air & Heat of Florida, LLC (j) (i)	Consumer Products	Delayed Draw Term Loan 9.75% Cash, 7/17/2020		—		—		—		0.0	%
Targus Group International, Inc. (d), (m)	Consumer Products	First Lien Term Loan, 14.75% (13.75% Cash/1.00 PIK), 5/24/2016	$	3,590,252		3,586,064		2,229,906		1.8	%
Targus Holdings, Inc. (d), (g)	Consumer Products	Common Stock		62,413		566,765		—		0.0	%
Targus Holdings, Inc. (d), (m)	Consumer Products	Unsecured Note 10.00% PIK, 6/14/2019	$	2,054,158		2,054,158		—		0.0	%
Targus Holdings, Inc. (d), (m)	Consumer Products	Unsecured Note 16.00% PIK, 10/26/2018	$	429,797		425,942		—		0.0	%

		Total Consumer Products				14,107,128		9,779,906		7.7	%

Expedited Travel L.L.C. (g)	Consumer Services	Common Stock		1,000,000		1,000,000		1,328,054		1.0	%
Expedited Travel L.L.C.	Consumer Services	First Lien Term Loan 10.00% Cash, 10/10/2019	$	11,902,135		11,814,773		12,096,140		9.5	%
My Alarm Center, LLC	Consumer Services	Second Lien Term Loan 12.00% Cash, 7/9/2019	$	7,500,000		7,500,000		7,500,000		5.9	%
PrePaid Legal Services, Inc. (d)	Consumer Services	First Lien Term Loan 6.50% Cash, 7/1/2019	$	1,600,977		1,589,991		1,592,972		1.3	%
PrePaid Legal Services, Inc. (d)	Consumer Services	Second Lien Term Loan 10.25% Cash, 7/1/2020	$	10,000,000		9,960,787		10,000,000		7.9	%
Prime Security Services, LLC	Consumer Services	Second Lien Term Loan 9.75% Cash, 7/1/2022	$	12,000,000		11,824,670		11,760,000		9.2	%

		Total Consumer Services				43,690,221		44,277,166		34.8	%

M/C Acquisition Corp., L.L.C. (d), (g)	Education	Class A Common Stock		544,761		30,241		—		0.0	%
M/C Acquisition Corp., L.L.C. (d)	Education	First Lien Term Loan 1.00% Cash, 3/31/2016	$	2,321,073		1,193,790		8,087		0.0	%

		Total Education				1,224,031		8,087		0.0	%


TM Restaurant Group L.L.C.	Food and Beverage	First Lien Term Loan 9.75% Cash, 7/16/2017	$	9,688,225		9,577,628		9,676,600	7.6	%

		Total Food and Beverage				9,577,628		9,676,600	7.6	%

Bristol Hospice, LLC	Healthcare Services	Senior Secured Note 11.00% (10.00% Cash/1.00% PIK), 11/29/2018	$	5,418,292		5,348,323		5,418,293	4.3	%
Roscoe Medical, Inc. (d), (g)	Healthcare Services	Common Stock		5,000		500,000		304,300	0.2	%
Roscoe Medical, Inc.	Healthcare Services	Second Lien Term Loan 11.25% Cash, 9/26/2019	$	4,200,000		4,138,622		3,891,300	3.1	%
Smile Brands Group Inc. (d)	Healthcare Services	First Lien Term Loan 9.00% (7.50% Cash/1.50% PIK), 8/16/2019	$	4,413,859		4,351,729		3,269,345	2.5	%
Surgical Specialties Corporation (US), Inc. (d)	Healthcare Services	First Lien Term Loan 7.25% Cash, 8/22/2018	$	2,201,191		2,187,850		2,168,173	1.7	%
Zest Holdings, LLC (d)	Healthcare Services	First Lien Term Loan 5.25% Cash, 8/16/2020	$	4,218,987		4,149,940		4,183,969	3.3	%

		Total Healthcare Services				20,676,464		19,235,380	15.1	%

HMN Holdco, LLC	Media	First Lien Term Loan 10.00% Cash, 5/16/2019	$	9,056,857		8,922,354		9,237,995	7.3	%
HMN Holdco, LLC	Media	First Lien Term Loan 10.00% Cash, 5/16/2020	$	1,600,000		1,571,690		1,632,000	1.3	%
HMN Holdco, LLC (j), (k)	Media	Deferred Draw Term Loan 10.00% Cash, 5/16/2020	$	—		—		48,000	0.0	%
HMN Holdco, LLC	Media	Class A Series		4,264		61,647		333,061	0.3	%
HMN Holdco, LLC	Media	Class A Warrant		30,320		438,353		2,031,137	1.6	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Common)		57,872		—		3,579,383	2.8	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests		8,139		—		560,940	0.4	%

		Total Media				10,994,044		17,422,516	13.7	%

Elyria Foundry Company, L.L.C.	Metals	Common Stock		35,000		9,217,564		3,265,500	2.6	%
Elyria Foundry Company, L.L.C.	Metals	Revolver 10.00% Cash, 12/31/2020	$	8,500,000		8,500,000		8,500,000	6.7	%

		Total Metals				17,717,564		11,765,500	9.3	%

Avionte Holdings, LLC (g)	Software as a Service	Common Stock		100,000		100,000		162,179	0.1	%
Avionte Holdings, LLC	Software as a Service	First Lien Term Loan 9.75% Cash, 1/8/2019	$	2,406,342		2,373,838		2,406,342	1.9	%
Censis Technologies, Inc.	Software as a Service	First Lien Term Loan B 11.00% Cash, 7/24/2019	$	11,625,000		11,441,860		11,549,437	9.1	%
Censis Technologies, Inc. (g), (h)	Software as a Service	Limited Partner Interests		999		999,000		933,306	0.7	%
Finalsite Holdings, Inc.	Software as a Service	Second Lien Term Loan 10.25% Cash, 11/21/2019	$	7,500,000		7,438,341		7,500,000	5.9	%
Identity Automation Systems (g)	Software as a Service	Common Stock Class A Units		232,616		232,616		239,594	0.2	%
Identity Automation Systems	Software as a Service	First Lien Term Loan 10.25% Cash, 8/25/2019	$	4,400,000		4,364,787		4,400,000	3.5	%
Mercury Network, LLC	Software as a Service	First Lien Term Loan 10.25% Cash, 4/20/2020	$	9,045,653		8,961,339		9,045,653	7.1	%
Mercury Network, LLC (g)	Software as a Service	Common Stock		413,043		413,043		413,043	0.3	%

		Total Software as a Service				36,324,824		36,649,554	28.8	%

Sub Total Non-control/Non-affiliated investments						225,051,428		225,261,956	177.0	%

Control investments - 12.4% (b)
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)	Structured Finance Securities	Other/Structured Finance Securities 21.81%, 10/17/2023	$	30,000,000		13,667,666		15,775,843	12.4	%

Sub Total Control investments						13,667,666		15,775,843	12.4	%

TOTAL INVESTMENTS - 189.4% (b)					$	238,719,094	$	241,037,799	189.4	%


	Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 21.3%
U.S. Bank Money Market (n)	$	27,164,689	$	27,164,689	$	27,164,689		21.3	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts	$	27,164,689	$	27,164,689	$	27,164,689		21.3	%

(a)	Represents a non-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 7.0% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.

(b)	Percentages are based on net assets of $127,273,366 as of November 30, 2015.

(c)	Because there is no readily available market value for these investments, the fair value of these investments is approved in good faith by our board of directors. (see Note 3 to the consolidated financial statements).

(d)	These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).

(e)

This investment does not have a stated interest rate that is payable thereon. As a result, the 21.81% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.

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


Company	Purchases		Redemptions		Sales (Cost)		Interest Income		Management Fee Income		Net Realized Gains/(Losses)		Net Unrealized Appreciation
Saratoga Investment Corp. CLO 2013-1, Ltd.	$	—	$	—	$	—	$	2,020,301	$	1,121,286	$	—	$	2,108,177

(g)	Non-income producing at November 30, 2015.

(h)	Includes securities issued by an affiliate of the company.

(i)	Non-U.S. company. The principal place of business for Polar Holding Company, Ltd. is Canada.

(j)	The investment has an unfunded commitment as of November 30, 2015 (See Note 7).

(k)	Includes an analysis of the fair value of any unfunded loan commitments.

(l)	The entire commitment was unfunded at November 30, 2015. As such, no interest is being earned on this investment.

(m)	The investment was on non-accrual status as of November 30, 2015

(n)	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, 2015.

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 28, 2015


Company	Industry	Investment Interest Rate / Maturity	Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliated investments - 182.3% (b)
National Truck Protection Co., Inc. (d), (g)	Automotive Aftermarket	Common Stock		1,116	$	1,000,000	$	1,769,432		1.4	%
National Truck Protection Co., Inc. (d)	Automotive Aftermarket	First Lien Term Loan 15.50% Cash, 9/13/2018	$	7,737,848		7,737,848		7,737,848		6.3	%
Take 5 Oil Change, L.L.C. (d), (g)	Automotive Aftermarket	Common Stock		7,128		480,535		1,472,502		1.2	%

		Total Automotive Aftermarket				9,218,383		10,979,782		8.9	%

Legacy Cabinets Holdings (d), (g)	Building Products	Common Stock Voting A-1		2,535		220,900		1,493,470		1.2	%
Legacy Cabinets Holdings (d), (g)	Building Products	Common Stock Voting B-1		1,600		139,424		942,624		0.8	%
Polar Holding Company, Ltd. (a), (i)	Building Products	First Lien Term Loan 10.00% Cash, 8/13/2016	$	1,000,000		1,000,000		1,000,000		0.8	%

		Total Building Products				1,360,324		3,436,094		2.8	%

BMC Software, Inc. (d)	Business Services	First Lien Term Loan 5.00% Cash, 9/10/2020	$	5,731,667		5,686,622		5,478,327		4.5	%
Dispensing Dynamics International (d)	Business Services	Senior Secured Note 12.50% Cash, 1/1/2018	$	7,000,000		6,910,112		7,350,000		6.0	%
Easy Ice, LLC (d)	Business Services	First Lien Term Loan 9.50% Cash, 1/15/2020	$	12,000,000		11,872,639		12,000,000		9.6	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note 10.00% Cash, 1/23/2020	$	8,400,000		8,260,787		8,400,000		6.9	%
Emily Street Enterprises, L.L.C. (g)	Business Services	Warrant Membership Interests		49,318		400,000		391,584		0.3	%
Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)	Business Services	First Lien Term Loan 5.50% Cash, 6/28/2019	$	1,955,051		1,941,417		1,925,725		1.6	%
Help/Systems Holdings, Inc.(Help/Systems, LLC) (d)	Business Services	Second Lien Term Loan 9.50% Cash, 6/28/2020	$	2,000,000		1,975,767		1,965,000		1.6	%
Knowland Technology Holdings, L.L.C.	Business Services	First Lien Term Loan 11.00% Cash, 11/29/2017	$	5,259,171		5,205,142		5,259,171		4.3	%
Knowland Technology Holdings, L.L.C. (j), (k), (l)	Business Services	Delayed Draw Term Loan 11.00% Cash, 11/29/2017	$	—		—		—		0.0	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018	$	9,436,991		9,312,095		9,295,437		7.6	%
Vector Controls Holding Co., LLC (d), (g)	Business Services	Warrants to Purchase Limited Liability Company Interests		101		—		62,341		0.1	%

		Total Business Services				51,564,581		52,127,585		42.5	%

Advanced Air & Heat of Florida, LLC	Consumer Products	First Lien Term Loan 10.00% Cash, 1/31/2019	$	5,955,441		5,881,694		5,955,441		5.0	%
Targus Group International, Inc. (d)	Consumer Products	First Lien Term Loan, 12.00% (11.00% Cash/1.00 PIK), 5/24/2016	$	3,569,127		3,537,732		3,283,597		2.7	%
Targus Holdings, Inc. (d), (g)	Consumer Products	Common Stock		62,413		566,765		—		0.0	%
Targus Holdings, Inc. (d), (g)	Consumer Products	Unsecured Note 10.00% PIK, 6/14/2019	$	2,054,158		2,054,158		—		0.0	%
Targus Holdings, Inc. (d), (g)	Consumer Products	Unsecured Note 16.00% PIK, 10/26/2018	$	429,797		425,227		—		0.0	%

		Total Consumer Products				12,465,576		9,239,038		7.7	%

CFF Acquisition L.L.C. (d)	Consumer Services	First Lien Term Loan 7.50% Cash, 7/31/2015	$	716,179		714,270		716,179		0.6	%
Expedited Travel L.L.C. (g)	Consumer Services	Common Stock		1,000,000		1,000,000		1,069,157		0.9	%
Expedited Travel L.L.C.	Consumer Services	First Lien Term Loan 10.00% Cash, 10/10/2019	$	13,750,000		13,609,579		13,750,000		11.2	%
PrePaid Legal Services, Inc. (d)	Consumer Services	First Lien Term Loan 6.25% Cash, 7/1/2019	$	3,709,677		3,680,863		3,652,919		3.0	%
PrePaid Legal Services, Inc. (d)	Consumer Services	Second Lien Term Loan 9.75% Cash, 7/1/2020	$	5,000,000		4,937,212		4,981,000		4.1	%

		Total Consumer Services				23,941,924		24,169,255		22.3	%

M/C Acquisition Corp., L.L.C. (d), (g)	Education	Class A Common Stock		544,761		30,241		—		0.0	%
M/C Acquisition Corp., L.L.C. (d)	Education	First Lien Term Loan 1.00% Cash, 3/31/2015	$	2,362,978		1,235,695		100,951		0.1	%

		Total Education				1,265,936		100,951		0.1	%

Group Dekko, Inc. (d)	Electronics	Second Lien Term Loan 11.00% (10.00% Cash/1.00% PIK), 5/1/2016	$	6,950,048		6,950,048		6,667,181		5.4	%

		Total Electronics				6,950,048		6,667,181		5.4	%


TB Corp. (d)	Food and Beverage	First Lien Term Loan 5.76% Cash, 6/19/2018	$	5,050,436	5,038,131	5,037,810		4.0	%
TB Corp. (d)	Food and Beverage	Unsecured Note 13.50% (12.00% Cash/1.50% PIK), 12/20/2018	$	2,546,121	2,512,732	2,546,121		2.1	%
TM Restaurant Group L.L.C.	Food and Beverage	First Lien Term Loan 7.75% Cash, 7/16/2017	$	2,791,595	2,791,595	2,763,679		2.3	%

		Total Food and Beverage			10,342,458	10,347,610		8.4	%

Bristol Hospice, LLC	Healthcare Services	Senior Secured Note 11.00% (10.00% Cash/1.00% PIK), 11/29/2018	$	5,459,134	5,374,249	5,459,134		4.4	%
Bristol Hospice, LLC (j), (l)	Healthcare Services	Delayed Draw Term Loan 11.00% (10.00% Cash/1.00% PIK), 11/29/2018	$	—	—	—		0.0	%
Roscoe Medical, Inc. (d), (g)	Healthcare Services	Common Stock		5,000	500,000	294,500		0.2	%
Roscoe Medical, Inc.	Healthcare Services	Second Lien Term Loan 11.25% Cash, 9/26/2019	$	4,200,000	4,129,704	3,990,000		3.3	%
Smile Brands Group Inc. (d)	Healthcare Services	First Lien Term Loan 7.50% Cash, 8/16/2019	$	4,443,750	4,373,369	4,159,350		3.4	%
Surgical Specialties Corporation (US), Inc. (d)	Healthcare Services	First Lien Term Loan 7.25% Cash, 8/22/2018	$	2,312,500	2,295,234	2,277,813		1.9	%
Zest Holdings, LLC (d)	Healthcare Services	First Lien Term Loan 5.25% Cash, 8/16/2020	$	4,443,919	4,361,438	4,460,806		3.6	%

		Total Healthcare Services			21,033,994	20,641,603		16.8	%

HMN Holdco, LLC	Media	First Lien Term Loan 14.00% (12.00% Cash/2.00% PIK), 5/16/2019	$	9,368,327	9,206,438	9,579,115		7.9	%
HMN Holdco, LLC	Media	First Lien Term Loan 12.00% Cash, 5/16/2020	$	1,600,000	1,569,149	1,576,000		1.3	%
HMN Holdco, LLC (j), (k)	Media	Deferred Draw Term Loan 12.00% Cash, 5/16/2020	$	—	—	(36,000	)	0.0	%
HMN Holdco, LLC (g)	Media	Class A Series		4,264	61,647	223,604		0.2	%
HMN Holdco, LLC (g)	Media	Class A Warrant		30,320	438,353	1,247,365		1.0	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Common)		57,872	—	2,085,128		1.7	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests		8,139	—	350,464		0.3	%

		Total Media			11,275,587	15,025,676		12.4	%

Elyria Foundry Company, L.L.C. (d), (g)	Metals	Common Stock		35,000	9,217,563	6,762,000		5.5	%
Elyria Foundry Company, L.L.C. (d)	Metals	Revolver 9.00% Cash, 12/31/2020	$	8,500,000	8,500,000	8,500,000		6.8	%

		Total Metals			17,717,563	15,262,000		12.3	%

Network Communications, Inc. (d), (g)	Publishing	Common Stock		380,572	—	300,652		0.2	%
Network Communications, Inc. (d)	Publishing	Unsecured Notes 8.60% PIK, 1/14/2020	$	2,732,976	2,374,260	1,684,118		1.4	%

		Total Publishing			2,374,260	1,984,770		1.6	%

Avionte Holdings, LLC (g)	Software as a Service	Common Stock		100,000	100,000	163,000		0.1	%
Avionte Holdings, LLC	Software as a Service	First Lien Term Loan 9.75% Cash, 1/8/2019	$	3,000,000	2,951,759	3,000,000		2.4	%
Avionte Holdings, LLC (j), (l)	Software as a Service	Delayed Draw Term Loan A 9.75% Cash, 1/8/2019	$	—	—	—		0.0	%
Censis Technologies, Inc.	Software as a Service	First Lien Term Loan B 11.00% Cash, 7/24/2019	$	11,850,000	11,634,939	11,850,000		9.7	%
Censis Technologies, Inc. (g), (h)	Software as a Service	Limited Partner Interests		999	999,000	981,627		0.8	%
Community Investors, Inc. (g)	Software as a Service	Common Stock		1,282	1,282	1,769		0.0	%
Community Investors, Inc.	Software as a Service	First Lien, Last Out Term Loan 11.78% Cash, 9/30/2019	$	12,000,000	12,000,000	12,000,000		9.7	%
Community Investors, Inc.	Software as a Service	First Lien Term Loan B 12.25% Cash, 12/31/2020	$	2,500,000	2,500,000	2,500,000		2.0	%
Community Investors, Inc. (g)	Software as a Service	Preferred Stock 10%		63,463	149,138	87,579		0.1	%
Community Investors, Inc.	Software as a Service	Preferred Stock - A2 10%		38,641	100,853	53,325		0.0	%
Community Investors, Inc. (g)	Software as a Service	Preferred Stock - A Shares 10%		135,584	135,584	187,106		0.2	%
Finalsite Holdings, Inc.	Software as a Service	Second Lien Term Loan 10.25% Cash, 11/21/2019	$	7,500,000	7,429,305	7,500,000		6.1	%
Identity Automation Systems (g)	Software as a Service	Common Stock Class A Units		232,616	232,616	225,638		0.2	%
Identity Automation Systems	Software as a Service	First Lien Term Loan 10.25% Cash, 8/25/2019	$	4,475,000	4,433,897	4,475,000		3.7	%
Pen-Link, Ltd. (d)	Software as a Service	Second Lien Term Loan 12.50% Cash, 5/26/2019	$	10,500,000	10,326,376	10,500,000		8.6	%

		Total Software as a Service			52,994,749	53,525,044		43.6	%

Sub Total Non-control/Non-affiliated investments					222,505,383	223,506,589		182.3	%


Control investments - 13.9% (b)
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)	Structured Finance Securities	Other/Structured Finance Securities 14.32%, 10/17/2023	$	30,000,000		15,953,001		17,031,146	13.9	%

Sub Total Control investments						15,953,001		17,031,146	13.9	%

TOTAL INVESTMENTS - 196.2% (b)					$	238,458,384	$	240,537,735	196.2	%


	Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 16.4%
U.S. Bank Money Market (m)	$	20,063,372	$	20,063,372	$	20,063,372		16.4	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts	$	20,063,372	$	20,063,372	$	20,063,372		16.4	%

(a)	Represents a non-qualifyng investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 7.5% 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 $122,598,742, as of February 28, 2015.

(c)	Because there is no readily available market value for these investments, the fair value of these investments is approved in good faith by our board of directors. (see Note 3 to the consolidated financial statements).

(d)	These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).

(e)

This investment does not have a stated interest rate that is payable thereon. As a result, the 14.32% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment.

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


Company	Purchases		Redemptions		Sales (Cost)		Interest Income		Management Fee Income		Net Realized Gains/(Losses)		Net Unrealized Appreciation
Saratoga Investment Corp. CLO 2013-1, Ltd.	$	—	$	—	$	—	$	2,707,230	$	1,520,205	$	—	$	1,078,145

(g)	Non-income producing at February 28, 2015.

(h)	Includes securities issued by an affiliate of the company.

(i)	Non-U.S. company. The principal place of business for Polar Holding Company, Ltd. is Canada.

(j)	The investment has an unfunded commitment as of February 28, 2015 (See Note 7).

(k)	Includes an analysis of the value of any unfunded loan commitments.

(l)	The entire commitment was unfunded at February 28, 2015. As such, no interest is being earned on this investment.

(m)	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, 2015.

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)


	For the nine months ended November 30, 2015			For the nine months ended November 30, 2014
INCREASE FROM OPERATIONS:
Net investment income	$	7,578,534		$	6,785,383
Net realized gain from investments		4,231,006			3,203,399
Net unrealized appreciation/(depreciation) on investments		239,354			(1,686,263	)

Net increase in net assets from operations		12,048,894			8,302,519

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:
Distributions		(10,767,093	)		(968,333	)

Net decrease in net assets from shareholder distributions		(10,767,093	)		(968,333	)

CAPITAL SHARE TRANSACTIONS:
Stock dividend distribution		3,778,630			—
Repurchases of common stock		(38,981	)		—
Offering costs		(346,826	)		—

Net increase in net assets from capital share transactions		3,392,823			—

Total increase in net assets		4,674,624			7,334,186
Net assets at beginning of period		122,598,742			113,427,929

Net assets at end of period	$	127,273,366		$	120,762,115

Net asset value per common share	$	22.59		$	22.45

Common shares outstanding at end of period		5,634,115			5,379,616

Distribution in excess of net investment income	$	(27,094,304	)	$	(25,306,616	)

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)


	For the nine months ended November 30, 2015			For the nine months ended November 30, 2014
Operating activities
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	12,048,894		$	8,302,519
ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:
Paid-in-kind interest income		(900,398	)		(566,776	)
Net accretion of discount on investments		(377,279	)		(435,222	)
Amortization of deferred debt financing costs		669,831			726,579
Net realized gain from investments		(4,231,006	)		(3,203,399	)
Net unrealized (appreciation) depreciation on investments		(239,354	)		1,686,263
Proceeds from sale and redemption of investments		62,676,779			51,175,739
Purchase of investments		(57,428,806	)		(83,985,346	)
(Increase) decrease in operating assets:
Cash and cash equivalents, reserve accounts		(2,970,027	)		(7,444,962	)
Interest receivable		(504,339	)		(599,123	)
Management fee receivable		1,657			(28,128	)
Other assets		(163,557	)		5,878
Increase (decrease) in operating liabilities:
Management and incentive fees payable		(178,074	)		751,827
Accounts payable and accrued expenses		(186,914	)		(274,003	)
Interest and debt fees payable		(555,104	)		(147,834	)
Due to manager		(3,958	)		(60,721	)

NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES		7,658,345			(34,096,709	)

Financing activities
Borrowings on debt		10,600,000			47,600,000
Paydowns on debt		(20,200,000	)		(13,700,000	)
Issuance of notes		13,074,525			—
Debt financing cost		(458,753	)		(1,639,800	)
Repurchases of common stock		(38,981	)		—
Payments of cash dividends		(6,503,846	)		(648,144	)

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES		(3,527,055	)		31,612,056

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS		4,131,290			(2,484,653	)
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD		1,888,158			3,293,898

CASH AND CASH EQUIVALENTS, END OF PERIOD	$	6,019,448		$	809,245

Supplemental information:
Interest paid during the period	$	6,126,220		$	4,887,477

Supplemental non-cash information:
Paid-in-kind interest income	$	900,398		$	566,776
Net accretion of discount on investments	$	377,279		$	435,222
Amortization of deferred debt financing costs	$	669,831		$	726,579
Stock dividend distribution	$	3,778,630		$	—

See accompanying notes to consolidated financial statements.

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 2015

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

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

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

On July 30, 2010, the Company changed its name from “GSC Investment Corp.” to “Saratoga Investment Corp.”.

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

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

On April 2, 2015, the SBA issued a “green light” or “go forth” letter inviting us to continue our application process to obtain a license to form and operate its second SBIC subsidiary. If approved, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue $75 million of additional SBA-guaranteed debentures in addition to the $150 million already approved under the first license. Receipt of a green light letter from the SBA does not assure an applicant that the SBA will ultimately issue an SBIC license and we have received no assurance or indication from the SBA that it will receive an SBIC license, or of the timeframe in which it would receive a license, should one be granted.

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”) and include the accounts of the Company and its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC). 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 subsidiary, except as stated otherwise.

The Company and SBIC LP are both considered to be investment companies for financial reporting purposes and have applied the guidance in Topic 946, “Financial Services — Investment Companies”. There have been no changes to the Company or SBIC LP’s status as investment companies during the nine months ended November 30, 2015.

Use of Estimates in the Preparation of Financial Statements

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

Cash and Cash Equivalents

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

•

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

•

we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets; or

•

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

As of November 30, 2015, 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 our $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility.

Investment Classification

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

Investment Valuation

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

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

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

•

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

•

An independent valuation firm engaged by our board of directors reviews approximately one quarter of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least annually.

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

•

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

•

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

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

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

Derivative Financial Instruments

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

Investment Transactions and Income Recognition

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

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

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325-40, Investments-Other, Beneficial Interests in Securitized Financial Assets, (“ASC 325-40”), based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/or re-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed.

Other Income

Other income includes dividends received, origination fees, structuring fees and advisory fees, and is recorded in income when earned.

Paid-in-Kind Interest

The Company holds debt investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due.

Deferred Debt Financing Costs

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

In April 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”). The amendments in this ASU require that debt issuance costs related to a recognized debt liability be presented on the consolidated statements of assets and liabilities as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected by the amendments in this ASU. The guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015, and early adoption is allowed, and is to be applied on a retrospective basis. The Company has adopted the provisions of ASU 2015-03 as of February 28, 2015, by reclassifying deferred debt financing costs from within total assets to within total liabilities as a contra-liability. The adoption of the provisions of ASU 2015-03 did not materially impact the Company’s consolidated financial position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.

Contingencies

In the ordinary course of its business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management feels that the likelihood of such an event is remote.

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

Income Taxes

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

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

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

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

ASC 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the consolidated statements of operations. During the fiscal year ended February 28, 2015, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2012, 2013 and 2014 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 2015 and February 28, 2015, there were no uncertain tax positions.

Dividends

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

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

Capital Gains Incentive Fee

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

New Accounting Pronouncements

In August 2015, the FASB issued ASU 2015-15, Interest—Imputation of Interest (Subtopic 835-30): Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements (“ASU 2015-15”). ASU 2015-15 updates the accounting guidance included in ASU 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs. The updated accounting guidance provided by ASU 2015-15 was the result of the Emerging Issues Task Force meeting, held on June 18, 2015, at which the SEC staff stated that the SEC would not object to an entity deferring and presenting costs related to revolving debt arrangements as an asset. As the Company previously adopted the provisions of ASU 2015-03 and reclassified all deferred debt financing costs from within total assets to within total liabilities as a contra-liability effective as of February 28, 2015, it has chosen not to avail itself of the updated accounting treatment provided by ASU 2015-15 and continues to include all deferred financing costs as a contra-liability within total liabilities.

In February 2015, the FASB issued ASU 2015-02, Consolidation (ASC Topic 810): Amendments to the Consolidation Analysis (“ASU 2015-02”). ASU 2015-02 significantly changes the consolidation analysis required under GAAP and ends the deferral granted to investment companies from applying the variable interest entity guidance. ASU 2015-02 is effective for interim and annual reporting periods in fiscal years that begin after December 15, 2015 and early adoption is permitted. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

In August 2014, the FASB issued new accounting guidance that requires management to assess an entity’s ability to continue as a going concern by incorporating and expanding upon certain principles that are currently in U.S. auditing standards. The amendments provide a definition of the term “substantial doubt” and include principles for considering the mitigating effect of management’s plans. The amendments also require an evaluation every reporting period, including interim periods for a period of one year after the date that the financial statements are issued (or available to be issued), and certain disclosures when substantial doubt is alleviated or not alleviated. The amendments in this update are effective for reporting periods ending after December 15, 2016. Management is currently evaluating the impact of adopting this new accounting guidance update on the Company’s consolidated financial statements.

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. This guidance is effective for annual and interim reporting periods beginning after December 15, 2016, and early application is not permitted. The Company is currently evaluating the impact this ASU will have on its consolidated financial statements.

Risk Management

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

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

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

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

Note 3. Investments

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

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

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

•

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

•

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

•

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

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

The following table presents fair value measurements of investments, by major class, as of November 30, 2015 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
Syndicated loans	$	—	$	—	$	14,538	$	14,538
First lien term loans		—		—		145,639		145,639
Second lien term loans		—		—		43,561		43,561
Unsecured notes		—		—		—		—
Structured finance securities		—		—		15,776		15,776
Equity interests		—		—		21,524		21,524

Total	$	—	$	—	$	241,038	$	241,038

The following table presents fair value measurements of investments, by major class, as of February 28, 2015 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
Syndicated loans	$	—	$	—	$	18,302	$	18,302
First lien term loans		—		—		145,207		145,207
Second lien term loans		—		—		35,603		35,603
Unsecured notes		—		—		4,230		4,230
Structured finance securities		—		—		17,031		17,031
Equity interests		—		—		20,165		20,165

Total	$	—	$	—	$	240,538	$	240,538

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, 2015 (dollars in thousands):


	Syndicated loans			First lien term loans			Second lien term loans			Unsecured notes			Structured finance securities			Common stock/ equities			Total
Balance as of February 28, 2015	$	18,302		$	145,207		$	35,603		$	4,230		$	17,031		$	20,165		$	240,538
Net unrealized appreciation/(depreciation) on investments		(1,442	)		(1,271	)		(67	)		656			1,030			1,333			239
Purchases and other adjustments to cost		30			30,254			27,341			669			—			413			58,707
Sales and redemptions		(2,370	)		(28,657	)		(19,502	)		(5,917	)		(2,285	)		(3,946	)		(62,677	)
Net realized gain from investments		18			106			186			261			—			3,660			4,231
Transfers in/out		—			—			—			101			—			(101	)		—

Balance as of November 30, 2015	$	14,538		$	145,639		$	43,561		$	—		$	15,776		$	21,524		$	241,038

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

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

The net change in unrealized appreciation/(depreciation) for the nine months ended November 30, 2015 on investments held as of November 30, 2015 is $(216,346) and is included in net unrealized appreciation/(depreciation) on investments in the consolidated statements of operations.

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2014 (dollars in thousands):


	Syndicated loans			First lien term loans			Second lien term loans			Unsecured notes		Structured finance securities			Common stock/ equities			Total
Balance as of February 28, 2014	$	32,390		$	110,278		$	27,804		$	5,471	$	19,570		$	10,332		$	205,845
Net unrealized appreciation/(depreciation) on investments		(485	)		(704	)		(379	)		355		35			(508	)		(1,686	)
Purchases and other adjustments to cost		44			62,903			18,630			147		—			3,263			84,987
Sales and redemptions		(7,462	)		(27,815	)		(9,500	)		—		(172	)		(6,227	)		(51,176	)
Net realized gain from investments		36			756			46			—		—			2,365			3,203

Balance as of November 30, 2014	$	24,523		$	145,418		$	36,601		$	5,973	$	19,433		$	9,225		$	241,173

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

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

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2015 were as follows (dollars in thousands):


	Fair Value		Valuation Technique	Unobservable Input	Range
Syndicated loans		14,538	Market Comparables	Third-Party Bid	74.5% - 99.2%
First lien term loans		145,639	Market Comparables	Market Yield (%)	6.5% - 15.5%
				EBITDA Multiples (x)	0.1x - 1.0x
				Third-Party Bid	71.8% - 99.5%
Second lien term loans		43,561	Market Comparables	Market Yield (%)	0.0% - 12.6%
				Third-Party Bid	97.0% - 100.0%
Unsecured notes		—	Market Comparables	Market Yield (%)	0.0% - 0.0%
Structured finance securities		15,776	Discounted Cash Flows	Discount Rate (%)	13.0%
Equity interests		21,524	Market Comparables	EBITDA Multiples (x)	5.0x - 12.8x

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2015 were as follows (dollars in thousands):


	Fair Value		Valuation Technique	Unobservable Input	Range
Syndicated loans		18,302	Market Comparables	Third-Party Bid	93.6% - 100.4%
First lien term loans		145,207	Market Comparables	Market Yield (%)	5.8% - 17.7%
				EBITDA Multiples (x)	3.0x
				Third-Party Bid	79.3 - 105.0
Second lien term loans		35,603	Market Comparables	Market Yield (%)	8.5% - 15.0%
				Third-Party Bid	98.3% - 98.3%
Unsecured notes		4,230	Market Comparables	Market Yield (%)	13.2% - 20.3%
Structured finance securities		17,031	Discounted Cash Flow	Discount Rate (%)	12.0%
Equity interests		20,165	Market Comparables	EBITDA Multiples (x)	5.0x - 12.1x

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

The composition of our investments as of November 30, 2015, at amortized cost and fair value were as follows (dollars in thousands):


	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
Syndicated loans	$	16,337		6.8	%	$	14,538		6.0	%
First lien term loans		146,661		61.4			145,639		60.4
Second lien term loans		43,773		18.4			43,561		18.1
Unsecured notes		2,480		1.1			—		—
Structured finance securities		13,668		5.7			15,776		6.6
Equity interests		15,800		6.6			21,524		8.9

Total	$	238,719		100.0	%	$	241,038		100.0	%

The composition of our investments as of February 28, 2015, at amortized cost and fair value were as follows (dollars in thousands):


	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
Syndicated loans	$	18,658		7.8	%	$	18,302		7.6	%
First lien term loans		144,959		60.8			145,207		60.3
Second lien term loans		35,748		15.0			35,603		14.8
Unsecured notes		7,366		3.1			4,230		1.8
Structured finance securities		15,953		6.7			17,031		7.1
Equity interests		15,774		6.6			20,165		8.4

Total	$	238,458		100.0	%	$	240,538		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 Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. For the quarter ended November 30, 2013, 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 flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at November 30, 2015. The significant inputs for the valuation model include:

•

Default rates: 2.0%

•

Recovery rates: 35-75%

•

Prepayment rate: 25.0%

•

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

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

On January 22, 2008, we invested $30 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by us that invests primarily in senior secured loans. Additionally, we entered into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was refinanced in October 2013 and its reinvestment period ends in October 2016. The Saratoga CLO remains 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.25% and a subordinated management fee of 0.25% of the Fee Basis Amount at the beginning of the Collection Period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of the remaining interest proceeds and principal proceeds, if any, after the subordinated notes have realized the incentive management fee target return of 12.0%, in accordance with the Priority of Payments after making the prior distributions on the relevant payment date. For the three months ended November 30, 2015 and November 30, 2014, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.8 million and $0.7 million in interest income, respectively, from Saratoga CLO. For the nine months ended November 30, 2015 and November 30, 2014, we accrued $1.1 million and $1.2 million in management fee income, respectively, and $2.0 million and $2.0 million in interest income, respectively, from Saratoga CLO. We did not accrue any amounts related to the incentive management fee as the 12.0% hurdle rate has not yet been achieved.

At November 30, 2015, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $15.8 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. At November 30, 2015, Saratoga CLO had investments with a principal balance of $297.4 million and a weighted average spread over LIBOR of 4.4%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 1.8%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At November 30, 2015, the total “spread”, or projected future cash flows of the subordinated notes, over the life of Saratoga CLO was $16.1 million, which had a present value of approximately $15.8 million, using an 13.0% discount rate.

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2015 (unaudited) and February 28, 2015 and for the three and nine months ended November 30, 2015 and November 30, 2014 (unaudited).

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities


	As of
	November 30, 2015			February 28, 2015
	(unaudited)
ASSETS
Investments
Fair Value Loans (amortized cost of $295,600,896 and $295,193,588, respectively)	$	285,300,231		$	294,621,817
Fair Value Other/Structured finance securities (amortized cost of $2,566,752 and $2,566,752, respectively)		26,803			617,451

Total investments at fair value (amortized cost of $298,167,648 and $297,760,340, respectively)		285,327,034			295,239,268
Cash and cash equivalents		6,521,096			5,831,797
Receivable from open trades		1,993,750			2,119,687
Interest receivable		1,619,994			1,290,637

Total assets	$	295,461,874		$	304,481,389

LIABILITIES
Interest payable	$	644,005		$	631,886
Payable from open trades		5,382,500			5,214,331
Accrued base management fee		85,128			85,957
Accrued subordinated management fee		85,128			85,957
Class A-1 Notes - SIC CLO 2013-1, Ltd.		170,000,000			170,000,000
Discount on Class A-1 Notes - SIC CLO 2013-1, Ltd.		(1,363,153	)		(1,495,802	)
Class A-2 Notes - SIC CLO 2013-1, Ltd.		20,000,000			20,000,000
Discount on Class A-2 Notes - SIC CLO 2013-1, Ltd.		(141,300	)		(155,050	)
Class B Notes - SIC CLO 2013-1, Ltd.		44,800,000			44,800,000
Discount on Class B Notes - SIC CLO 2013-1, Ltd.		(917,885	)		(1,007,205	)
Class C Notes - SIC CLO 2013-1, Ltd.		16,000,000			16,000,000
Discount on Class C Notes - SIC CLO 2013-1, Ltd.		(571,480	)		(627,091	)
Class D Notes - SIC CLO 2013-1, Ltd.		14,000,000			14,000,000
Discount on Class D Notes - SIC CLO 2013-1, Ltd.		(741,825	)		(814,013	)
Class E Notes - SIC CLO 2013-1, Ltd.		13,100,000			13,100,000
Discount on Class E Notes - SIC CLO 2013-1, Ltd.		(1,398,556	)		(1,534,650	)
Class F Notes - SIC CLO 2013-1, Ltd.		4,500,000			4,500,000
Discount on Class F Notes - SIC CLO 2013-1, Ltd.		(508,680	)		(558,180	)
Deferred debt financing costs, SIC CLO 2013-1, Ltd. Notes		(1,772,813	)		(1,941,595	)
Subordinated Notes		30,000,000			30,000,000

Total liabilities	$	311,181,069		$	310,284,545

Commitments and contingencies
NET ASSETS
Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 issued and outstanding, respectively	$	250		$	250
Accumulated loss		(5,803,411	)		(3,343,488	)
Net loss		(9,916,034	)		(2,459,918	)

Total net assets		(15,719,195	)		(5,803,156	)

Total liabilities and net assets	$	295,461,874		$	304,481,389

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)


	For the three months ended November 30						For the nine months ended November 30
	2015			2014			2015			2014
INVESTMENT INCOME
Interest from investments	$	3,559,889		$	3,353,937		$	10,711,063		$	9,834,775
Interest from cash and cash equivalents		158			344			663			1,182
Other income		14,064			55,362			248,057			196,292

Total investment income		3,574,111			3,409,643			10,959,783			10,032,249

EXPENSES
Interest expense		2,912,974			2,831,770			8,772,617			6,955,909
Professional fees		66,203			43,547			178,602			137,907
Miscellaneous fee expense		9,758			6,734			20,446			33,130
Base management fee		184,694			191,505			560,643			575,252
Subordinated management fee		184,694			191,505			560,643			575,252
Trustee expenses		26,528			36,314			94,549			90,242
Amortization expense		237,966			237,966			717,892			717,892

Total expenses		3,622,817			3,539,341			10,905,392			9,085,584

NET INVESTMENT INCOME (LOSS)		(48,706	)		(129,698	)		54,391			946,665

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments		217,472			104,158			349,117			632,728
Net unrealized depreciation on investments		(6,609,496	)		(2,167,924	)		(10,319,542	)		(5,046,535	)

Net loss on investments		(6,392,024	)		(2,063,766	)		(9,970,425	)		(4,413,807	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(6,440,730	)	$	(2,193,464	)	$	(9,916,034	)	$	(3,467,142	)

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

November 30, 2015

(unaudited)


Issuer Name	Industry	Asset Name	Asset Type	Current Rate			Maturity Date		Principal/ Number of Shares		Cost		Fair Value
Education Management II LLC	Leisure Goods/Activities/Movies	A-1 Preferred Shares	Equity		0.00	%				4,938	$	669,214	$	25,095
Education Management II LLC	Leisure Goods/Activities/Movies	A-2 Preferred Shares	Equity		0.00	%				19,801		1,897,538		1,708
24 Hour Holdings III LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%		5/28/2021	$	493,750		489,681		456,309
Acosta Holdco Inc.	Media	Term Loan B1	Loan		4.25	%		9/27/2021	$	1,980,050		1,966,424		1,898,017
Aspen Dental Management, Inc.	Healthcare & Pharmaceuticals	Term Loan Initial	Loan		5.50	%		4/27/2022	$	498,750		496,410		499,373
Advantage Sales & Marketing Inc.	Services: Business	Delayed Draw Term Loan	Loan		4.25	%		7/25/2021	$	2,477,487		2,474,204		2,399,372
AECOM Technology Corporation	Services: Business	Term Loan B	Loan		3.75	%		10/15/2021	$	233,293		232,291		233,149
ArgoFresh	Food Services	Term Loan	Loan		5.75	%		7/30/2021	$	1,995,000		1,985,302		1,962,581
Aegis Toxicology Science Corporation	Healthcare & Pharmaceuticals	Term B Loan	Loan		5.50	%		2/24/2021	$	987,500		987,500		809,750
Akorn, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		6.00	%		4/16/2021	$	495,000		493,207		472,725
Albertson’s LLC	Retailers (Except Food and Drugs)	Term Loan B-4	Loan		5.50	%		8/25/2021	$	3,385,028		3,367,440		3,376,160
Alere Inc. (fka IM US Holdings, LLC)	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		6/8/2022	$	929,595		927,359		917,445
Alion Science T/L B (1st Lien)	High Tech Industries	Term Loan B (First Lien)	Loan		5.50	%		8/13/2021	$	2,992,500		2,977,915		2,958,834
Alliance HealthCare T/L B	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		6/3/2019	$	997,428		992,619		986,207
Alliant Holdings T/L B (1st Lien)	Banking, Finance, Insurance & Real Estate	Term Loan B (First Lien)	Loan		4.50	%		8/12/2022	$	997,500		995,120		975,365
Alvogen Pharma US, Inc	Healthcare & Pharmaceuticals	Term Loan	Loan		6.00	%		4/2/2022	$	486,692		484,403		474,525
American Beacon Advisors, Inc.	Financial Intermediaries	Term Loan (First Lien)	Loan		5.50	%		4/30/2022	$	249,375		248,204		248,335
American Tire Distributors Inc	Automotive	Term Loan B	Loan		5.25	%		9/1/2021	$	494,004		491,534		494,212
Aramark Corporation	Food Products	LC-2 Facility	Loan		3.29	%		7/26/2016	$	34,803		34,797		34,455
Aramark Corporation	Food Products	LC-3 Facility	Loan		3.29	%		7/26/2016	$	19,321		19,321		19,128
Aramark Corporation	Food Products	U.S. Term F Loan	Loan		3.25	%		2/24/2021	$	3,158,439		3,158,439		3,124,897
Asurion, LLC (fka Asurion Corporation)	Insurance	Incremental Tranche B-1 Term Loan	Loan		5.00	%		5/24/2019	$	2,596,480		2,571,667		2,445,235
Asurion, LLC (fka Asurion Corporation)	Insurance	Term Loan B4 (First Lein)	Loan		5.00	%		7/29/2022	$	2,493,750		2,481,719		2,299,861
Auction.com	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		6.00	%		5/13/2019	$	1,994,987		2,001,912		1,975,038
Avantor Performance Materials Holdings, Inc.	Chemicals/Plastics	Term Loan	Loan		5.25	%		6/24/2017	$	2,832,629		2,827,999		2,804,303
AZ Chem US Inc.	Chemicals/Plastics	Term Loan	Loan		4.50	%		6/12/2021	$	436,301		434,420		434,910
Bass Pro Group, LLC	Retailers (Except Food and Drugs)	Term Loan	Loan		4.00	%		11/20/2019	$	1,492,500		1,489,570		1,394,562
Belmond Interfin Ltd.	Lodging & Casinos	Term Loan	Loan		4.00	%		3/19/2021	$	492,500		490,518		485,935
Berry Plastics Corporation	Chemicals/Plastics	Term E Loan	Loan		3.75	%		1/6/2021	$	1,314,499		1,304,646		1,298,370
BJ’s Wholesale Club, Inc.	Food/Drug Retailers	New 2013 (November) Replacement Loan (First Lien)	Loan		4.50	%		9/26/2019	$	1,479,961		1,479,073		1,445,552
Blue Coat Systems	Technology	Term Loan B	Loan		4.50	%		5/19/2022	$	1,000,000		997,615		971,880
BMC Software	Technology	Term Loan	Loan		5.00	%		9/10/2020	$	1,984,848		1,928,369		1,726,818
Brickman Group Holdings, Inc.	Brokers/Dealers/Investment Houses	Initial Term Loan (First Lien)	Loan		4.00	%		12/18/2020	$	1,479,968		1,469,034		1,438,352
Brock Holdings III, Inc.	Industrial Equipment	Term Loan (First Lien)	Loan		6.00	%		3/16/2017	$	1,922,502		1,931,098		1,754,283
Burlington Coat Factory Warehouse Corporation	Retailers (Except Food and Drugs)	Term B-2 Loan	Loan		4.25	%		8/13/2021	$	1,861,667		1,853,135		1,823,856
BWAY Holding Company	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%		8/14/2020	$	987,500		978,428		958,497
Caesars Entertainment Corp.	Lodging & Casinos	Term B-7 Loan	Loan		9.75	%		1/28/2018	$	995,000		990,604		845,750
Camp International Holding Company	Aerospace and Defense	2013 Replacement Term Loan (First Lien)	Loan		4.75	%		5/31/2019	$	1,945,095		1,946,507		1,905,589
Capital Automotive L.P.	Conglomerate	Tranche B-1 Term Loan Facility	Loan		4.00	%		4/10/2019	$	2,062,615		2,066,156		2,059,170
Catalent Pharma Solutions, Inc	Drugs	Initial Term B Loan	Loan		4.25	%		5/20/2021	$	493,751		491,723		488,196
Cengage Learning Acquisitions, Inc.	Publishing	Term Loan	Loan		7.00	%		3/31/2020	$	2,647,871		2,672,176		2,604,022
Charter Communications Operating, LLC	Cable and Satellite Television	Term F Loan	Loan		3.00	%		12/31/2020	$	2,635,524		2,627,722		2,591,590
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term G Loan	Loan		3.75	%		12/31/2019	$	1,025,139		995,752		1,001,519
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term H Loan	Loan		4.00	%		1/27/2021	$	1,886,228		1,830,797		1,852,690
Cinedigm Digital Funding I, LLC	Services: Business	Term Loan	Loan		3.75	%		2/28/2018	$	363,911		361,914		362,091
CITGO Petroleum Corporation	Oil & Gas	Term Loan B	Loan		4.50	%		7/29/2021	$	990,000		986,914		964,428
ClubCorp Club Operations, Inc.	Lodging & Casinos	Term Loan B	Loan		4.25	%		7/24/2020	$	500,000		496,250		497,710
Communications Sales & Leasing, Inc.	Telecommunications	Term Loan B (First Lien)	Loan		5.00	%		10/24/2022	$	1,995,000		1,983,253		1,841,644
CommScope, Inc.	Telecommunications	Term Loan B	Loan		3.75	%		5/27/2022	$	500,000		498,786		494,065
Consolidated Aerospace Manufacturing, LLC	Aerospace and Defense	Term Loan (First Lien)	Loan		4.75	%		8/11/2022	$	1,437,500		1,430,427		1,380,000
Concordia Healthcare Corp	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.25	%		10/21/2021	$	2,000,000		1,890,586		1,904,160
CPI Acquisition Inc.	Technology	Term Loan B (First Lien)	Loan		5.50	%		8/17/2022	$	1,482,759		1,460,694		1,474,426
CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)	Electronics/Electric	Term B Loan	Loan		4.25	%		11/17/2017	$	1,568,163		1,568,163		1,540,720
Crosby US Acquisition Corp.	Industrial Equipment	Initial Term Loan (First Lien)	Loan		4.00	%		11/23/2020	$	736,875		736,192		589,500
Crown Castle Operating Company	Telecommunications/Cellular	Extended Incremental Tranche B-2 Term Loan	Loan		3.00	%		1/31/2021	$	1,422,206		1,422,206		1,407,984
CT Technologies Intermediate Hldgs, Inc	Healthcare & Pharmaceuticals	Term Loan	Loan		5.25	%		12/1/2021	$	1,488,769		1,474,906		1,456,209
Culligan International Company	Conglomerate	Dollar Loan (First Lien)	Loan		6.25	%		12/19/2017	$	773,629		741,158		745,962
Culligan International Company	Conglomerate	Dollar Loan (Second Lien)	Loan		9.50	%		6/19/2018	$	783,162		751,324		754,288
Cumulus Media Holdings Inc.	Broadcast Radio and Television	Term Loan	Loan		4.25	%		12/23/2020	$	470,093		466,523		349,631
Custom Sensors & Technologies, Inc.	Industrial Equipment	Term Loan	Loan		4.50	%		9/30/2021	$	495,000		493,983		492,837
DAE Aviation (StandardAero)	Aerospace and Defense	Term Loan	Loan		5.25	%		7/7/2022	$	2,000,000		1,990,263		1,987,500
DaVita HealthCare Partners Inc. (fka DaVita Inc.)	Healthcare & Pharmaceuticals	Tranche B Term Loan	Loan		3.50	%		6/24/2021	$	493,750		491,719		490,575
DCS Business Services, Inc.	Financial Intermediaries	Term B Loan	Loan		7.25	%		3/19/2018	$	3,173,538		3,156,263		3,217,174
Dell International LLC	Technology	Term Loan B2	Loan		4.00	%		4/29/2020	$	2,912,306		2,898,985		2,894,104
Delta 2 (Lux) S.a.r.l.	Lodging & Casinos	Term Loan B-3	Loan		4.75	%		7/30/2021	$	1,000,000		995,646		972,810
Deluxe Entertainment Service Group, Inc.	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		6.50	%		2/28/2020	$	1,882,983		1,884,392		1,796,685
Diamond Resorts International	Lodging & Casinos	Term Loan	Loan		5.50	%		5/9/2021	$	926,971		923,036		915,384
Diamond Resorts International	Lodging & Casinos	Term Loan (Add-On)	Loan		5.50	%		5/9/2021	$	1,000,000		980,000		985,000
DJO Finance LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		4.25	%		6/8/2020	$	498,750		496,578		486,695
DPX Holdings B.V.	Healthcare & Pharmaceuticals	Term Loan 2015 Incr Dollar	Loan		4.25	%		3/11/2021	$	2,962,500		2,955,557		2,868,085
Drew Marine Group Inc.	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.25	%		11/19/2020	$	1,472,161		1,477,200		1,435,357
DTZ U.S. Borrower LLC	Construction & Building	Term Loan B Add-on	Loan		4.25	%		11/4/2021	$	2,992,500		2,977,838		2,945,129
Education Management LLC	Leisure Goods/Activities/Movies	Term Loan A	Loan		5.50	%		7/2/2020	$	501,970		484,491		130,156
Education Management LLC	Leisure Goods/Activities/Movies	Term Loan B (2.00% Cash/6.50% PIK)	Loan		8.50	%		7/2/2020	$	878,848		851,661		79,826
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%		8/1/2021	$	495,000		492,919		490,298
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (Second Lien)	Loan		7.75	%		8/1/2022	$	500,000		497,798		476,250
Emerald 2 Limited	Chemicals/Plastics	Term Loan B1A	Loan		5.00	%		5/14/2021	$	1,000,000		991,190		970,000
Endo International plc	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.75	%		6/24/2022	$	1,000,000		997,553		983,750
EnergySolutions, LLC	Environmental Industries	Term Loan B	Loan		6.75	%		5/29/2020	$	937,857		923,002		886,275
Evergreen Acqco 1 LP	Retailers (Except Food and Drugs)	New Term Loan	Loan		5.00	%		7/9/2019	$	967,575		965,746		787,364
EWT Holdings III Corp. (fka WTG Holdings III Corp.)	Industrial Equipment	Term Loan (First Lien)	Loan		4.75	%		1/15/2021	$	1,972,424		1,967,787		1,950,235
Federal-Mogul Corporation	Automotive	Tranche C Term Loan	Loan		4.75	%		4/15/2021	$	2,962,500		2,950,621		2,631,678
First Data Corporation	Financial Intermediaries	First Data Corp T/L (2018 New Dollar)	Loan		3.70	%		3/23/2018	$	2,790,451		2,743,456		2,764,639
First Data Corporation	Financial Intermediaries	First Data T/L Ext (2021)	Loan		4.20	%		3/24/2021	$	2,111,028		2,031,031		2,104,441
First Eagle Investment Management	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		4.75	%		10/31/2022	$	1,500,000		1,470,000		1,470,000
Fitness International, LLC	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%		7/1/2020	$	1,481,250		1,472,294		1,403,484
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)	Nonferrous Metals/Minerals	Loan	Loan		4.25	%		6/28/2019	$	1,967,406		1,967,426		1,600,307
Garda World Security Corporation	Services: Business	Term B Delayed Draw Loan	Loan		4.00	%		11/6/2020	$	199,630		198,865		193,391
Garda World Security Corporation	Services: Business	Term B Loan	Loan		4.00	%		11/6/2020	$	780,370		777,436		755,984
Gardner Denver, Inc.	High Tech Industries	Initial Dollar Term Loan	Loan		4.25	%		7/30/2020	$	2,457,406		2,449,912		2,252,532
Gates Global LLC	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		4.25	%		7/3/2021	$	495,000		490,050		462,295
Generac Power Systems, Inc.	Industrial Equipment	Term Loan B	Loan		3.50	%		5/29/2020	$	693,858		684,047		677,671
General Nutrition Centers, Inc.	Retailers (Except Food and Drugs)	Amended Tranche B Term Loan	Loan		3.25	%		3/4/2019	$	4,135,265		4,124,509		4,011,207
Global Tel*Link Corporation	Services: Business	Term Loan (First Lien)	Loan		5.00	%		5/26/2020	$	2,732,867		2,725,029		2,138,469
Goodyear Tire & Rubber Company, The	Chemicals/Plastics	Loan (Second Lien)	Loan		3.75	%		4/30/2019	$	3,333,333		3,302,675		3,330,567
Grosvenor Capital Management Holdings, LP	Brokers/Dealers/Investment Houses	Initial Term Loan	Loan		3.75	%		1/4/2021	$	1,307,462		1,302,474		1,264,969
GTCR Valor Companies, Inc.	Services: Business	Term Loan (First Lien)	Loan		6.00	%		6/1/2021	$	1,979,986		1,945,046		1,930,487
Harland Clarke Holdings Corp. (fka Clarke American Corp.)	Publishing	Tranche B-4 Term Loan	Loan		6.00	%		8/2/2019	$	478,125		476,402		466,970
HCA Inc.	Healthcare & Pharmaceuticals	Tranche B-4 Term Loan	Loan		3.03	%		5/1/2018	$	3,625,085		3,499,013		3,619,213
Headwaters Incorporated	Building & Development	Term Loan	Loan		4.50	%		3/24/2022	$	249,375		248,209		249,063
Hertz Corporation, The	Automotive	Tranche B-1 Term Loan	Loan		3.75	%		3/12/2018	$	2,917,500		2,943,662		2,910,819
Hoffmaster Group, Inc.	Containers/Glass Products	Term Loan	Loan		5.25	%		5/8/2020	$	1,975,000		1,959,329		1,950,313
Hostess Brand, LLC	Beverage, Food & Tobacco	Term Loan B (First Lien)	Loan		4.50	%		8/3/2022	$	1,000,000		997,620		995,420
Huntsman International LLC	Chemicals/Plastics	Term Loan B (First Lien)	Loan		3.24	%		4/19/2019	$	3,840,541		3,818,148		3,787,733
Husky Injection Molding Systems Ltd.	Services: Business	Term Loan B	Loan		4.25	%		6/30/2021	$	491,797		489,804		477,353
Infor (US), Inc. (fka Lawson Software Inc.)	Services: Business	Tranche B-5 Term Loan	Loan		3.75	%		6/3/2020	$	2,193,981		2,179,213		2,085,928
Insight Global	Services: Business	Term Loan	Loan		6.00	%		10/29/2021	$	1,984,694		1,976,851		1,974,155
Informatica Corporation	High Tech Industries	Term Loan B	Loan		4.50	%		8/5/2022	$	500,000		498,785		485,705
J. Crew Group, Inc.	Retailers (Except Food and Drugs)	Term B-1 Loan Retired 03/05/2014	Loan		4.00	%		3/5/2021	$	957,913		957,913		598,695
Jazz Acquisition, Inc	Aerospace and Defense	First Lien 6/14	Loan		4.50	%		6/19/2021	$	493,939		492,908		464,614
J.Jill Group, Inc.	Retailers (Except Food and Drugs)	Term Loan (First Lien)	Loan		6.00	%		5/9/2022	$	997,500		992,723		977,550
Kinetic Concepts, Inc.	Healthcare & Pharmaceuticals	Dollar Term D-1 Loan	Loan		4.50	%		5/4/2018	$	2,458,843		2,440,368		2,392,774
Koosharem, LLC	Services: Business	Term Loan	Loan		7.50	%		5/15/2020	$	2,972,538		2,949,120		2,903,812
LPL Holdings	Banking, Finance, Insurance & Real Estate	Term Loan B (2022)	Loan		4.75	%		11/21/2022	$	2,000,000		1,980,032		1,990,000
Mauser Holdings, Inc.	Containers/Glass Products	Term Loan	Loan		4.50	%		7/31/2021	$	495,000		492,925		483,452
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term B Loan	Loan		3.75	%		1/28/2020	$	487,500		487,500		482,279
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B-2	Loan		4.00	%		1/28/2020	$	1,481,250		1,475,374		1,470,141
Micro Holding Corp.	High Tech Industries	Term Loan	Loan		4.75	%		7/8/2021	$	994,964		990,193		979,214
Microsemi Corporation	Electronics/Electric	Incremental Term Loan	Loan		3.25	%		2/19/2020	$	2,122,318		2,118,346		2,104,639
Midas Intermediate Holdco II, LLC	Automotive	Term Loan (Initial)	Loan		4.50	%		8/18/2021	$	247,500		246,335		244,872
Millenium Laboratories, LLC	Drugs	Term Loan	Loan		5.25	%		4/16/2021	$	1,481,250		1,469,254		595,463
MPH Acquisition Holdings LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		3.75	%		3/31/2021	$	393,182		392,372		381,976
MSC Software Corp.	Services: Business	Term Loan	Loan		5.00	%		5/29/2020	$	987,500		979,731		968,984
National Veterinary Associates, Inc	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%		8/14/2021	$	990,022		986,662		987,547
National Vision, Inc.	Retailers (Except Food and Drugs)	Term Loan (Second Lien)	Loan		6.75	%		3/11/2022	$	250,000		249,728		240,000
Neptune Finco (CSC Holdings)	Cable and Satellite Television	Term Loan	Loan		5.00	%		10/7/2022	$	1,000,000		985,240		996,610
Newsday, LLC	Publishing	Term Loan	Loan		3.70	%		10/12/2016	$	2,215,385		2,214,802		2,209,846
Nortek, Inc.	Electronics/Electric	Term Loan B	Loan		3.50	%		10/30/2020	$	987,511		976,646		967,761
Novelis, Inc.	Conglomerate	Term Loan B	Loan		4.00	%		3/10/2017	$	4,783,045		4,760,569		4,635,823
Novetta Solutions	Aerospace and Defense	Term Loan (200MM)	Loan		6.00	%		10/16/2022	$	2,000,000		1,980,163		1,980,000
Novetta Solutions	Aerospace and Defense	Term Loan (2nd Lien)	Loan		9.50	%		9/29/2023	$	1,000,000		990,087		990,000
NPC International, Inc.	Food Services	Term Loan (2013)	Loan		4.00	%		12/28/2018	$	482,500		482,500		474,862
NRG Energy, Inc.	Utilities	Term Loan (2013)	Loan		2.75	%		7/2/2018	$	3,831,750		3,816,735		3,734,232
Numericable	Broadcast Radio and Television	Term Loan B-5	Loan		4.00	%		7/27/2022	$	1,000,000		997,592		975,160
NuSil Technology LLC.	Chemicals/Plastics	Term Loan	Loan		5.25	%		4/7/2017	$	791,281		791,281		782,181
Ollie’s Bargain Outlet, Inc	Retailers (Except Food and Drugs)	Term Loan	Loan		4.75	%		9/30/2019	$	645,138		642,652		638,686
Onex Carestream Finance LP	Healthcare & Pharmaceuticals	Term Loan (First Lien 2013)	Loan		5.00	%		6/7/2019	$	3,887,309		3,875,009		3,580,212
OnexYork Acquisition Co	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%		10/1/2021	$	495,000		491,772		472,725
OpenLink International LLC	Services: Business	Term B Loan	Loan		6.25	%		10/28/2017	$	2,952,164		2,950,848		2,942,953
P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)	Food/Drug Retailers	Term Borrowing	Loan		4.25	%		6/24/2019	$	1,436,538		1,430,514		1,364,711
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)	Services: Business	Term Loan (First Lien)	Loan		5.00	%		10/30/2020	$	982,500		978,471		935,831
Penn Products Terminal, LLC	Chemicals/Plastics	Term Loan B	Loan		4.75	%		4/13/2022	$	248,750		247,572		230,094
PetCo Animal Supplies Stores, Inc.	Retailers (Except Food and Drugs)	New Loans	Loan		4.00	%		11/24/2017	$	1,457,908		1,457,267		1,453,811
Petsmart, Inc. (Argos Merger Sub, Inc.)	Retailers (Except Food and Drugs)	Term Loan B1	Loan		4.25	%		3/11/2022	$	995,000		990,308		976,423
PGX Holdings, Inc.	Financial Intermediaries	Term Loan	Loan		5.75	%		9/29/2020	$	957,143		949,280		948,768
Pharmaceutical Product Development, Inc. (Jaguar Holdings, LLC)	Conglomerate	Term Loan	Loan		4.25	%		8/18/2022	$	1,925,674		1,916,334		1,872,718
Phillips-Medisize Corporation	Healthcare & Pharmaceuticals	Term Loan	Loan		4.75	%		6/16/2021	$	493,750		491,716		482,335
Physio-Control International, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.50	%		5/19/2022	$	500,000		497,538		491,250
Pinnacle Foods Finance LLC	Food Products	New Term Loan G	Loan		3.00	%		4/29/2020	$	2,581,332		2,577,136		2,549,065
Planet Fitness Holdings LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%		3/31/2021	$	2,423,378		2,416,078		2,393,086
PrePaid Legal Services, Inc.	Services: Business	Term Loan B	Loan		6.50	%		7/1/2019	$	737,083		733,666		730,177
Presidio, Inc.	Services: Business	Term Loan	Loan		5.25	%		2/2/2022	$	1,907,083		1,849,950		1,884,446
Prime Security Services (Protection One)	Services: Business	Term Loan	Loan		5.00	%		7/1/2021	$	2,000,000		1,990,000		1,975,000
Ranpak Holdings, Inc.	Services: Business	Term Loan	Loan		4.25	%		10/1/2021	$	966,488		964,072		955,209
Ranpak Holdings, Inc.	Services: Business	Term Loan (Second Lien)	Loan		8.25	%		9/30/2022	$	500,000		497,820		493,750
Redtop Acquisitions Limited	Electronics/Electric	Initial Dollar Term Loan (First Lien)	Loan		4.50	%		12/3/2020	$	491,250		488,593		487,158
Regal Cinemas Corporation	Services: Consumer	Term Loan	Loan		3.75	%		4/1/2022	$	498,750		497,545		497,583
Research Now Group, Inc	Media	Term Loan B	Loan		5.50	%		3/18/2021	$	497,500		495,214		490,038
Rexnord LLC/RBS Global, Inc.	Industrial Equipment	Term B Loan	Loan		4.00	%		8/21/2020	$	1,634,292		1,635,630		1,596,294
Reynolds Group Holdings Inc.	Industrial Equipment	Incremental U.S. Term Loan	Loan		4.50	%		12/1/2018	$	1,910,551		1,910,551		1,902,851
Riverbed Technology, Inc.	Technology	Term Loan B	Loan		6.00	%		2/25/2022	$	995,000		990,510		992,513
Rocket Software, Inc.	Services: Business	Term Loan (First Lien)	Loan		5.75	%		2/8/2018	$	1,906,781		1,893,186		1,901,213
Rovi Solutions Corporation / Rovi Guides, Inc.	Electronics/Electric	Tranche B-3 Term Loan	Loan		3.75	%		7/2/2021	$	1,481,250		1,475,158		1,385,502
Royal Adhesives and Sealants	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%		6/20/2022	$	498,750		496,347		494,137
Royal Adhesives and Sealants	Chemicals/Plastics	Term Loan (Second Lien)	Loan		8.50	%		6/19/2023	$	500,000		496,296		495,415
RPI Finance Trust	Financial Intermediaries	Term B-4 Term Loan	Loan		3.50	%		11/9/2020	$	5,168,211		5,168,211		5,119,785
SBP Holdings LP	Industrial Equipment	Term Loan (First Lien)	Loan		5.00	%		3/27/2021	$	985,000		980,996		810,163
Scientific Games International, Inc.	Electronics/Electric	Term Loan B2	Loan		6.00	%		10/1/2021	$	992,500		984,017		919,482
SCS Holdings (Sirius Computer)	High Tech Industries	Term Loan (First Lien)	Loan		6.00	%		10/30/2022	$	1,977,528		1,938,192		1,950,337
Seadrill Operating LP	Oil & Gas	Term Loan B	Loan		4.00	%		2/21/2021	$	989,924		919,233		491,389
Sensus USA Inc. (fka Sensus Metering Systems)	Utilities	Term Loan (First Lien)	Loan		4.50	%		5/9/2017	$	1,907,486		1,904,349		1,874,105
ServiceMaster Company, The	Conglomerate	Tranche B Term Loan	Loan		4.25	%		7/1/2021	$	1,980,000		1,963,607		1,967,011
Shearers Foods LLC	Food Services	Term Loan (First Lien)	Loan		4.50	%		6/30/2021	$	990,000		987,847		970,200
Sitel Worldwide	Telecommunications	Term Loan	Loan		6.50	%		8/20/2021	$	2,000,000		1,980,658		1,965,620
Sonneborn, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.75	%		12/10/2020	$	223,313		222,829		222,475
Sonneborn, LLC	Chemicals/Plastics	Initial US Term Loan	Loan		4.75	%		12/10/2020	$	1,265,438		1,262,699		1,260,692
Sophia, L.P.	High Tech Industries	Term Loan (Closing Date)	Loan		4.75	%		9/30/2022	$	2,000,000		1,990,212		1,980,320
SourceHOV LLC	Services: Business	Term Loan B (First Lien)	Loan		7.75	%		10/31/2019	$	1,962,500		1,913,505		1,766,250
SRAM, LLC	Industrial Equipment	Term Loan (First Lien)	Loan		4.00	%		4/10/2020	$	2,917,953		2,909,603		2,378,132
Staples, Inc.	Retailers (Except Food and Drugs)	Term Loan B	Loan		3.50	%		4/23/2021	$	1,000,000		995,000		986,670
Steak ‘n Shake Operations, Inc.	Food Services	Term Loan	Loan		4.75	%		3/19/2021	$	967,841		960,137		958,163
SuperMedia Inc. (fka Idearc Inc.)	Publishing	Loan	Loan		11.60	%		12/30/2016	$	222,900		219,333		106,323
Survey Sampling International	Services: Business	Term Loan B	Loan		6.00	%		12/16/2020	$	995,000		992,992		983,806
Sybil Finance BV	High Tech Industries	Term Loan	Loan		4.25	%		3/20/2020	$	1,288,452		1,286,944		1,280,400
Syniverse Holdings, Inc.	Telecommunications	Initial Term Loan	Loan		4.00	%		4/23/2019	$	479,913		476,719		367,134
TGI Friday’s Inc	Food Services	Term Loan B	Loan		5.25	%		7/15/2020	$	1,651,816		1,647,738		1,648,727
Townsquare Media, Inc.	Media	Term Loan B	Loan		4.25	%		4/1/2022	$	932,522		928,204		928,633
TPF II Power LLC and TPF II Covert Midco LLC	Utilities	Term Loan B	Loan		5.50	%		10/2/2021	$	493,067		490,077		485,824
TransUnion LLC	Financial Intermediaries	Term Loan B-2	Loan		3.75	%		4/9/2021	$	492,500		491,309		479,203
TransDigm, Inc.	Aerospace and Defense	Tranche C Term Loan	Loan		3.75	%		2/28/2020	$	4,288,318		4,295,268		4,179,309
Travel Leaders Group, LLC	Hotel, Gaming and Leisure	Term Loan B	Loan		7.00	%		12/7/2020	$	973,333		968,778		959,950
Tricorbraun, Inc. (fka Kranson Industries, Inc.)	Containers/Glass Products	Term Loan	Loan		4.00	%		5/3/2018	$	1,836,625		1,831,140		1,818,259
Truven Health Analytics Inc. (fka Thomson Reuters (Healthcare) Inc.)	Healthcare & Pharmaceuticals	New Tranche B Term Loan	Loan		4.50	%		6/6/2019	$	483,844		477,401		472,957
Twin River Management Group, Inc.	Lodging & Casinos	Term Loan B	Loan		5.25	%		7/10/2020	$	951,192		953,084		951,192
U.S. Security Associates Holdings, Inc.	Services: Business	Delayed Draw Loan	Loan		6.25	%		7/28/2017	$	157,295		156,652		157,098
U.S. Security Associates Holdings, Inc.	Services: Business	Term B Loan	Loan		6.25	%		7/28/2017	$	923,831		920,350		922,677
Univar Inc.	Chemicals/Plastics	Term B Loan	Loan		4.25	%		6/30/2017	$	3,000,000		2,985,653		2,908,140
Univision Communications Inc.	Telecommunications	Replacement First-Lien Term Loan	Loan		4.00	%		3/1/2020	$	2,924,279		2,910,874		2,874,566
Valeant Pharmaceuticals International, Inc.	Drugs	Series D2 Term Loan B	Loan		3.50	%		2/13/2019	$	2,545,589		2,538,841		2,399,217
Verint Systems Inc.	Services: Business	Term Loan	Loan		3.50	%		9/6/2019	$	1,014,058		1,011,033		1,009,241
Vertafore, Inc.	Services: Business	Term Loan (2013)	Loan		4.25	%		10/3/2019	$	2,484,603		2,484,603		2,476,329
Vouvray US Finance	Industrial Equipment	Term Loan	Loan		4.75	%		6/28/2021	$	493,750		491,699		487,168
Washington Inventory Service	Services: Business	U.S. Term Loan (First Lien)	Loan		5.75	%		12/20/2018	$	1,778,498		1,792,843		1,707,357
West Corporation	Telecommunications	Term B-10 Loan	Loan		3.25	%		6/30/2018	$	2,571,560		2,598,332		2,529,772
ZEP Inc.	Chemicals/Plastics	Term Loan B	Loan		5.75	%		6/27/2022	$	2,992,500		2,978,182		2,973,797

											$	298,167,648	$	285,327,034


									Principal/ Number of Shares		Cost		Fair Value
Cash and cash equivalents
U.S. Bank Money Market (a)									$	6,521,096	$	6,521,096	$	6,521,096

Total cash and cash equivalents									$	6,521,096	$	6,521,096	$	6,521,096

(a)	Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of November 30, 2015.

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

February 28, 2015


Issuer Name	Industry	Asset Name	Asset Type	Current Rate			Maturity Date	Principal/ Number of Shares		Cost		Fair Value
Education Management II LLC	Leisure Goods/Activities/Movies	A-1 Preferred Shares	Equity		0.00	%			6,692	$	669,214	$	437,188
Education Management II LLC	Leisure Goods/Activities/Movies	A-2 Preferred Shares	Equity		0.00	%			18,975		1,897,538		180,263
24 Hour Holdings III LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%	5/28/2021	$	497,500		493,004		492,276
Acosta Holdco Inc.	Media	Term Loan B	Loan		5.00	%	9/27/2021	$	1,995,000		1,981,328		2,004,416
Aderant North America, Inc.	Services: Business	Term Loan (First Lien)	Loan		5.25	%	12/20/2018	$	3,260,898		3,260,898		3,240,517
Advantage Sales & Marketing Inc.	Services: Business	Delayed Draw Term Loan	Loan		4.25	%	7/25/2021	$	1,995,000		1,993,940		1,984,287
AECOM Technology Corporation	Services: Business	Term Loan B	Loan		3.75	%	10/15/2021	$	319,903		318,380		321,304
Aegis Toxicology Science Corporation	Healthcare & Pharmaceuticals	Term B Loan	Loan		5.50	%	2/24/2021	$	995,000		995,000		997,488
Akorn, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.50	%	4/16/2021	$	498,750		496,691		500,411
Albertson’s LLC	Retailers (Except Food and Drugs)	Term Loan B-4	Loan		5.50	%	8/25/2021	$	3,410,000		3,389,632		3,437,723
Alere Inc. (fka IM US Holdings, LLC)	Healthcare & Pharmaceuticals	Incremental B-1 Term Loan	Loan		4.25	%	6/30/2017	$	1,529,610		1,529,610		1,529,610
American Tire Distributors Inc	Automotive	Term Loan	Loan		5.75	%	6/1/2018	$	496,487		496,486		497,108
Aramark Corporation	Food Products	LC-2 Facility	Loan		3.74	%	7/26/2016	$	79,187		79,178		78,395
Aramark Corporation	Food Products	LC-3 Facility	Loan		3.74	%	7/26/2016	$	43,961		43,961		43,521
Aramark Corporation	Food Products	U.S. Term F Loan	Loan		3.25	%	2/24/2021	$	3,182,489		3,182,489		3,168,581
ARG IH Corp	Food Services	Term Loan	Loan		4.75	%	11/15/2020	$	495,000		494,038		495,312
Asurion, LLC (fka Asurion Corporation)	Insurance	Incremental Tranche B-1 Term Loan	Loan		5.00	%	5/24/2019	$	5,412,086		5,370,590		5,424,642
Auction.Com, LLC	Services: Business	Term Loan A-4	Loan		4.40	%	2/28/2017	$	914,567		914,567		905,422
Avantor Performance Materials Holdings, Inc.	Chemicals/Plastics	Term Loan	Loan		5.25	%	6/24/2017	$	4,319,115		4,309,242		4,297,520
Avast Software	Electronics/Electric	Term Loan	Loan		4.75	%	3/20/2020	$	1,925,000		1,923,275		1,937,031
AZ Chem US Inc.	Chemicals/Plastics	Term Loan	Loan		5.25	%	6/12/2021	$	467,123		464,958		466,614
Bass Pro Group, LLC	Retailers (Except Food and Drugs)	New Term Loan	Loan		3.75	%	11/20/2019	$	493,623		493,111		492,236
Bayonne Energy Center	Oil & Gas	Term Loan B	Loan		5.00	%	8/19/2021	$	969,671		965,093		964,416
Belmond Hotels	Lodging & Casinos	Term Loan	Loan		4.00	%	3/19/2021	$	496,250		494,055		495,009
Berry Plastics Corporation	Chemicals/Plastics	Term E Loan	Loan		3.75	%	1/6/2021	$	1,814,499		1,802,403		1,812,648
Big Heart Pet Brands (fka Del Monte Corporation)	Food/Drug Retailers	Initial Term Loan	Loan		3.50	%	3/9/2020	$	2,977,500		2,996,769		2,971,307
Biomet, Inc.	Healthcare & Pharmaceuticals	Dollar Term B-2 Loan	Loan		3.65	%	7/25/2017	$	1,840,718		1,840,718		1,838,601
BJ’s Wholesale Club, Inc.	Food/Drug Retailers	New 2013 (November) Replacement Loan (First Lien)	Loan		4.50	%	9/26/2019	$	1,489,975		1,488,922		1,483,374
Bombardier Recreational Products Inc.	Leisure Goods/Activities/Movies	Term B Loan	Loan		4.00	%	1/30/2019	$	754,286		750,287		747,120
Brickman Group Holdings, Inc.	Brokers/Dealers/Investment Houses	Initial Term Loan (First Lien)	Loan		4.00	%	12/18/2020	$	1,491,237		1,478,800		1,478,935
Brock Holdings III, Inc.	Industrial Equipment	Term Loan (First Lien)	Loan		6.00	%	3/16/2017	$	1,938,503		1,952,391		1,904,580
Burlington Coat Factory Warehouse Corporation	Retailers (Except Food and Drugs)	Term B-2 Loan	Loan		4.25	%	8/13/2021	$	1,945,000		1,935,814		1,942,219
BWAY	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%	8/14/2020	$	995,000		985,881		998,423
Caesars Entertainment Corp.	Lodging & Casinos	Term B-7 Loan	Loan		9.75	%	1/28/2018	$	995,000		989,028		917,141
Camp International Holding Company	Aerospace and Defense	2013 Replacement Term Loan (First Lien)	Loan		4.75	%	5/31/2019	$	1,960,046		1,965,495		1,969,846
Capital Automotive L.P.	Conglomerate	Tranche B-1 Term Loan Facility	Loan		4.00	%	4/10/2019	$	2,079,313		2,083,783		2,084,511
Catalent Pharma Solutions, Inc	Drugs	Initial Term B Loan	Loan		4.25	%	5/20/2021	$	497,500		495,170		498,401
Celanese US Holdings LLC	Chemicals/Plastics	Dollar Term C-2 Commitment	Loan		2.49	%	10/31/2018	$	2,154,560		2,180,598		2,157,533
Cengage Learning	Publishing	Term Loan	Loan		7.00	%	3/31/2020	$	2,731,869		2,761,735		2,733,235
Charter Communications Operating, LLC	Cable and Satellite Television	Term F Loan	Loan		3.00	%	12/31/2020	$	2,655,745		2,646,932		2,646,344
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	2017 Term E Loan	Loan		3.49	%	1/25/2017	$	1,097,818		1,074,945		1,097,193
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	2021 Term D Loan	Loan		4.25	%	1/27/2021	$	2,926,052		2,844,886		2,935,210
Cinedigm Digital Funding I, LLC	Services: Business	Term Loan	Loan		3.75	%	2/28/2018	$	562,001		557,872		561,298
CITGO Petroleum	Oil & Gas	Term Loan B	Loan		4.50	%	7/29/2021	$	997,500		994,095		979,106
ClubCorp Club Operations, Inc.	Lodging & Casinos	Term Loan B	Loan		4.50	%	7/24/2020	$	500,000		496,250		500,315
CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)	Electronics/Electric	Term B Loan	Loan		4.25	%	11/17/2017	$	3,595,331		3,595,331		3,570,631
Crosby US Acquisition Corp.	Industrial Equipment	Initial Term Loan (First Lien)	Loan		3.75	%	11/23/2020	$	742,500		741,718		681,244
Crown Castle Operating Company	Telecommunications/Cellular	Extended Incremental Tranche B-2 Term Loan	Loan		3.00	%	1/31/2021	$	2,435,594		2,433,546		2,430,723
CT Technologies Intermediate Hldgs, Inc	Healthcare & Pharmaceuticals	Term Loan (First Lien)	Loan		6.00	%	12/1/2021	$	1,500,000		1,485,423		1,505,625
Culligan International Company	Conglomerate	Dollar Loan (First Lien)	Loan		6.25	%	12/19/2017	$	779,642		736,275		765,998
Culligan International Company	Conglomerate	Dollar Loan (Second Lien)	Loan		9.50	%	6/19/2018	$	783,162		739,367		727,033
Cumulus Media Holdings Inc.	Broadcast Radio and Television	Term Loan	Loan		4.25	%	12/23/2020	$	470,093		466,100		466,863
Custom Sensors	Industrial Equipment	Term Loan	Loan		4.50	%	9/30/2021	$	498,750		497,651		498,750
DaVita HealthCare Partners Inc. (fka DaVita Inc.)	Healthcare & Pharmaceuticals	Tranche B Term Loan	Loan		3.50	%	6/24/2021	$	497,500		495,228		498,062
DCS Business Services, Inc.	Financial Intermediaries	Term B Loan	Loan		7.25	%	3/19/2018	$	3,460,027		3,436,485		3,413,835
Dealertrack Technologies, Inc.	Leisure Goods/Activities/Movies	Term B Loan	Loan		3.25	%	2/26/2021	$	477,011		475,991		474,230
Dell International LLC	Retailers (Except Food and Drugs)	Term B Loan	Loan		4.50	%	4/29/2020	$	2,969,962		2,957,576		2,980,684
Delos Finance SARL	Financial Intermediaries	Term Loan	Loan		3.50	%	3/6/2021	$	500,000		497,835		499,790
Delta 2 (Lux) S.a.r.l.	Lodging & Casinos	Term Loan B-3	Loan		4.75	%	7/30/2021	$	1,000,000		995,314		995,630
Deluxe Entertainment Service Group, Inc.	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		6.50	%	2/28/2020	$	1,882,983		1,884,624		1,835,908
Devix US, Inc.	Chemicals/Plastics	Term Loan	Loan		4.25	%	5/2/2021	$	250,000		247,710		250,938
Devix US, Inc.	Chemicals/Plastics	Term Loan (Second Lien)	Loan		8.00	%	5/2/2022	$	497,500		495,324		497,500
Diamond Resorts International	Lodging & Casinos	Term Loan	Loan		5.50	%	5/9/2021	$	995,000		990,370		999,975
Dollar Tree	Retail	Term Loan B (3950MM)	Loan		4.25	%	3/9/2022	$	1,000,000		995,000		1,007,500
DPX Holdings B.V.	Healthcare & Pharmaceuticals	Term Loan	Loan		4.25	%	3/11/2021	$	2,985,000		2,978,605		2,962,075
Drew Marine Group Inc.	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%	11/19/2020	$	1,489,975		1,495,721		1,473,213
Education Management LLC	Leisure Goods/Activities/Movies	Term Loan A	Loan		5.50	%	7/2/2020	$	501,970		482,120		457,295
Education Management LLC	Leisure Goods/Activities/Movies	Term Loan B	Loan		8.50% (2.00% Cash/ 6.50% PIK)		7/2/2020	$	836,617		805,283		672,882
EIG Investors Corp.	Services: Business	Term Loan	Loan		5.00	%	11/8/2019	$	987,500		983,552		989,969
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%	8/1/2021	$	498,750		496,403		496,102
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (Second Lien)	Loan		7.75	%	8/1/2022	$	500,000		497,553		484,845
EnergySolutions, LLC	Oil & Gas	Term Loan B	Loan		6.75	%	5/29/2020	$	937,857		921,126		942,546
Enviromental Resources Management	Services: Business	Term Loan	Loan		5.00	%	5/14/2021	$	1,000,000		990,000		985,000
Evergreen Acqco 1 LP	Retailers (Except Food and Drugs)	New Term Loan	Loan		5.00	%	7/9/2019	$	975,056		972,887		955,555
EWT Holdings III Corp. (fka WTG Holdings III Corp.)	Industrial Equipment	Term Loan (First Lien)	Loan		4.75	%	1/15/2021	$	1,987,481		1,982,274		1,972,575
Federal-Mogul Corporation	Automotive	Tranche C Term Loan	Loan		4.75	%	4/15/2021	$	2,985,000		2,971,883		2,975,687
First Data Corporation	Financial Intermediaries	2017 Second New Dollar Term Loan	Loan		3.74	%	3/23/2018	$	2,790,451		2,729,399		2,785,568
First Data Corporation	Financial Intermediaries	2018 Dollar Term Loan	Loan		4.24	%	3/24/2021	$	2,111,028		2,021,476		2,115,777
Fitness International, LLC	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%	7/1/2020	$	1,492,500		1,482,322		1,421,606
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)	Nonferrous Metals/Minerals	Loan	Loan		3.75	%	6/28/2019	$	1,982,462		1,982,212		1,835,423
Four Seasons Holdings Inc.	Lodging & Casinos	Term Loan (First Lien)	Loan		3.50	%	6/27/2020	$	493,750		493,750		491,281
Garda World Security Corporation	Services: Business	Term B Delayed Draw Loan	Loan		4.00	%	11/6/2020	$	201,157		200,308		199,146
Garda World Security Corporation	Services: Business	Term B Loan	Loan		4.00	%	11/6/2020	$	786,343		783,060		778,479
Gardner Denver, Inc.	Oil & Gas	Initial Dollar Term Loan	Loan		4.25	%	7/30/2020	$	2,476,212		2,467,608		2,377,164
Gates Global LLC	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		4.25	%	7/3/2021	$	498,750		493,763		494,885
Generac Power Systems, Inc.	Industrial Equipment	Term Loan B	Loan		3.25	%	5/29/2020	$	802,956		789,932		797,182
General Nutrition Centers, Inc.	Retailers (Except Food and Drugs)	Amended Tranche B Term Loan	Loan		3.25	%	3/4/2019	$	4,724,136		4,709,712		4,649,353
Global Tel*Link Corporation	Services: Business	Term Loan (First Lien)	Loan		5.00	%	5/26/2020	$	2,755,515		2,747,025		2,719,914
Goodyear Tire & Rubber Company, The	Chemicals/Plastics	Loan (Second Lien)	Loan		4.75	%	4/30/2019	$	3,333,333		3,296,753		3,347,933
Grosvenor Capital Management Holdings, LP	Brokers/Dealers/Investment Houses	Initial Term Loan	Loan		3.75	%	1/4/2021	$	3,395,892		3,381,240		3,353,443
GTCR Valor Companies, Inc.	Services: Business	Term Loan (First Lien)	Loan		6.00	%	6/1/2021	$	1,995,000		1,981,582		1,965,075
Harland Clarke Holdings Corp. (fka Clarke American Corp.)	Publishing	Tranche B-4 Term Loan	Loan		6.00	%	8/2/2019	$	487,500		485,460		488,963
HCA Inc.	Healthcare & Pharmaceuticals	Tranche B-4 Term Loan	Loan		2.99	%	5/1/2018	$	5,663,006		5,409,534		5,658,872
Hertz Corporation, The	Automotive	Tranche B-1 Term Loan	Loan		4.00	%	3/12/2018	$	2,940,000		2,975,234		2,927,152
Hoffmaster Group, Inc.	Containers/Glass Products	Term Loan	Loan		5.25	%	5/8/2020	$	1,990,000		1,972,040		1,999,950
Huntsman International LLC	Chemicals/Plastics	Extended Term B Loan	Loan		2.69	%	4/19/2017	$	3,880,270		3,866,113		3,872,199
Husky Injection	Services: Business	Term Loan B	Loan		4.25	%	6/30/2021	$	498,099		495,886		495,818
Ikaria, Inc.	Healthcare & Pharmaceuticals	Initial Term Loan (First Lien)	Loan		5.00	%	2/12/2021	$	435,702		433,809		434,251
Infor (US), Inc. (fka Lawson Software Inc.)	Services: Business	Tranche B-5 Term Loan	Loan		3.75	%	6/3/2020	$	2,211,036		2,194,068		2,190,650
Insight Global	Services: Business	Term Loan	Loan		6.00	%	10/29/2021	$	2,000,000		1,990,539		1,993,760
J. Crew Group, Inc.	Retailers (Except Food and Drugs)	Term B-1 Loan Retired 03/05/2014	Loan		4.00	%	3/5/2021	$	965,206		965,206		906,493
Jazz Acquisition, Inc	Aerospace and Defense	First Lien 6/14	Loan		4.50	%	6/19/2021	$	497,576		496,332		492,913
Kinetic Concepts, Inc.	Healthcare & Pharmaceuticals	Dollar Term D-1 Loan	Loan		4.00	%	5/4/2018	$	2,477,613		2,453,687		2,477,167
Koosharem, LLC	Services: Business	Term Loan	Loan		7.50	%	5/15/2020	$	2,995,000		2,968,450		2,961,306
La Quinta Holdings, Inc.	Lodging & Casinos	Term Loan (First Lien)	Loan		4.00	%	4/14/2021	$	451,283		449,626		450,719
Level 3 Financing, Inc.	Telecommunications	Term Loan B	Loan		4.50	%	1/31/2022	$	500,000		496,541		502,085
Mauser Holdings, Inc.	Containers/Glass Products	Term Loan	Loan		4.50	%	7/31/2021	$	498,750		496,409		491,269
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term B Loan	Loan		3.75	%	1/28/2020	$	491,250		491,250		488,258
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B-2	Loan		4.00	%	1/28/2020	$	1,492,500		1,485,638		1,488,769
Microsemi Corporation	Electronics/Electric	Incremental Term Loan	Loan		3.50	%	2/19/2020	$	2,393,981		2,389,500		2,381,509
Microsemi Corporation	Electronics/Electric	Term Loan	Loan		3.75	%	2/19/2020	$	172,170		172,170		171,309
Midas Intermediate Holdco II, LLC	Automotive	Delayed Draw Term Loan	Loan		4.75	%	8/18/2021	$	25,253		25,253		25,364
Midas Intermediate Holdco II, LLC	Automotive	Term Loan B	Loan		4.75	%	8/18/2021	$	224,122		223,063		225,103
Millenium Laboratories, LLC	Drugs	Term Loan	Loan		5.25	%	4/16/2021	$	1,492,500		1,479,041		1,489,396
Mitel US Holdings, Inc.	Telecommunications	Term Loan	Loan		5.25	%	1/31/2020	$	196,558		195,710		196,411
MPH Acquisition Holdings LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		3.75	%	3/31/2021	$	445,455		444,453		442,033
MSC Software Corp.	Services: Business	Term Loan	Loan		5.00	%	5/29/2020	$	995,000		986,186		996,244
National CineMedia, LLC	Leisure Goods/Activities/Movies	Term Loan (2013)	Loan		2.95	%	11/26/2019	$	1,086,207		1,058,933		1,067,198
National Veterinary Associates, Inc	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%	8/14/2021	$	997,500		992,907		996,253
National Vision, Inc.	Retailers (Except Food and Drugs)	Term Loan (Second Lien)	Loan		6.75	%	3/11/2022	$	250,000		249,730		240,418
Newsday, LLC	Publishing	Term Loan	Loan		3.69	%	10/12/2016	$	2,215,385		2,214,305		2,201,538
Nortek, Inc.	Electronics/Electric	Term B Loan	Loan		3.75	%	10/30/2020	$	995,000		992,803		986,921
Novelis, Inc.	Conglomerate	Initial Term Loan	Loan		3.75	%	3/10/2017	$	4,807,530		4,817,740		4,799,502
NPC International, Inc.	Food Services	Term Loan (2013)	Loan		4.00	%	12/28/2018	$	486,250		486,250		480,780
NRG Energy, Inc.	Utilities	Term Loan (2013)	Loan		2.75	%	7/2/2018	$	3,861,225		3,842,164		3,850,761
NuSil Technology LLC.	Chemicals/Plastics	Term Loan	Loan		5.25	%	4/7/2017	$	797,986		797,986		791,004
Ollie’s Bargain Outlet, Inc	Retailers (Except Food and Drugs)	Term Loan	Loan		4.75	%	9/30/2019	$	977,052		972,882		962,396
On Assignment, Inc.	Services: Business	Initial Term B Loan	Loan		3.50	%	5/15/2020	$	1,311,364		1,303,451		1,301,528
Onex Carestream Finance LP	Healthcare & Pharmaceuticals	Term Loan (First Lien 2013)	Loan		5.00	%	6/7/2019	$	4,074,401		4,059,378		4,078,842
OnexYork Acquisition Co	Healthcare & Pharmaceuticals	Delayed Draw Term Loan	Loan		4.75	%	10/1/2021	$	—		—		—
OnexYork Acquisition Co	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%	10/1/2021	$	498,750		495,208		496,466
OpenLink International LLC	Services: Business	Term B Loan	Loan		6.25	%	10/28/2017	$	970,000		970,000		957,875
Orbitz Worldwide, Inc.	Services: Business	Term Loan (First Lien)	Loan		4.50	%	4/15/2021	$	1,494,994		1,492,711		1,494,755
P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)	Food/Drug Retailers	Term Borrowing	Loan		4.25	%	6/24/2019	$	1,447,901		1,440,712		1,406,274
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)	Services: Business	Term Loan (First Lien)	Loan		5.00	%	10/30/2020	$	990,000		985,444		947,925
Par Pharmaceutical	Healthcare & Pharmaceuticals	Term Loan B3	Loan		4.25	%	9/28/2019	$	500,000		497,502		499,065
PetCo Animal Supplies Stores, Inc.	Retailers (Except Food and Drugs)	New Loans	Loan		4.00	%	11/24/2017	$	1,469,388		1,468,520		1,467,066
PetSmart	Retail	Term Loan B	Loan		5.00	%	3/11/2022	$	1,000,000		995,000		1,007,050
PGX Holdings, Inc.	Financial Intermediaries	Term Loan	Loan		6.25	%	9/29/2020	$	993,750		984,482		993,750
Pharmaceutical Product Development, Inc. (Jaguar Holdings, LLC)	Conglomerate	2013 Term Loan	Loan		4.00	%	12/5/2018	$	1,940,400		1,918,409		1,935,898
Phillips-Medisize Corporation	Healthcare & Pharmaceuticals	Term Loan	Loan		4.75	%	6/16/2021	$	497,500		495,245		495,948
Pinnacle Foods Finance LLC	Food Products	New Term Loan G	Loan		3.00	%	4/29/2020	$	2,581,332		2,576,466		2,565,560
Planet Fitness Holdings LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%	3/31/2021	$	1,488,750		1,482,052		1,488,750
Polymer Group, Inc.	Chemicals/Plastics	Initial Loan	Loan		5.25	%	12/19/2019	$	495,000		492,860		495,619
Presidio	Services: Business	Term Loan B	Loan		6.25	%	2/2/2022	$	2,000,000		1,940,655		1,973,760
Prestige Brands, Inc.	Drugs	Term B-1 Loan	Loan		4.13	%	1/31/2019	$	344,697		341,112		344,697
Prestige Brands, Inc.	Leisure Goods/Activities/Movies	Term Loan	Loan		4.50	%	9/3/2021	$	1,861,111		1,858,280		1,860,534
QoL Meds, LLC	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.50	%	7/15/2020	$	1,995,000		1,985,909		1,990,013
Quintiles Transnational Corp.	Conglomerate	Term B-3 Loan	Loan		3.75	%	6/8/2018	$	3,627,678		3,600,425		3,628,802
Ranpak Holdings, Inc.	Services: Business	Term Loan	Loan		4.75	%	10/1/2021	$	997,500		995,145		996,882
Ranpak Holdings, Inc.	Services: Business	Term Loan (Second Lien)	Loan		8.25	%	9/30/2022	$	500,000		497,672		496,250
Redtop Acquisitions Limited	Electronics/Electric	Initial Dollar Term Loan (First Lien)	Loan		4.50	%	12/3/2020	$	495,000		491,974		494,381
Rexnord LLC/RBS Global, Inc.	Industrial Equipment	Term B Loan	Loan		4.00	%	8/21/2020	$	1,646,799		1,648,172		1,642,172
Reynolds Group Holdings Inc.	Industrial Equipment	Incremental U.S. Term Loan	Loan		4.00	%	12/1/2018	$	1,960,200		1,960,200		1,965,767
Riverbed Technology	Technology	Term Loan B	Loan		6.00	%	2/25/2022	$	1,000,000		995,000		1,007,500
Rocket Software, Inc.	Services: Business	Term Loan (First Lien)	Loan		5.75	%	2/8/2018	$	1,916,674		1,898,764		1,906,285
Rovi Solutions Corporation / Rovi Guides, Inc.	Electronics/Electric	Tranche B-3 Term Loan	Loan		3.75	%	7/2/2021	$	1,492,500		1,485,607		1,479,441
RPI Finance Trust	Drugs	Term B-2 Term Loan	Loan		3.25	%	5/9/2018	$	5,207,431		5,188,396		5,219,147
SBP Holdings LP	Industrial Equipment	Term Loan (First Lien)	Loan		5.00

Large Accelerated Filer

Accelerated Filer

Non-Accelerated Filer

Smaller Reporting Company