SEC Filing | Saratoga Investment Corp

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Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended August 31, 2016

¨	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 October 11, 2016 was 5,716,776.

TABLE OF CONTENTS


		Page
PART I.	FINANCIAL INFORMATION		3

Item 1.	Consolidated Financial Statements		3

	Consolidated Statements of Assets and Liabilities as of August 31, 2016 (unaudited) and February 29, 2016		3

	Consolidated Statements of Operations for the three and six months ended August 31, 2016 and August 31, 2015 (unaudited)		4

	Consolidated Schedules of Investments as of August 31, 2016 (unaudited) and February 29, 2016		5

	Consolidated Statements of Changes in Net Assets for the six months ended August 31, 2016 and August 31, 2015 (unaudited)		7

	Consolidated Statements of Cash Flows for the six months ended August 31, 2016 and August 31, 2015 (unaudited)		8

	Notes to Consolidated Financial Statements as of August 31, 2016 (unaudited)		9

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		33

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		56

Item 4.	Controls and Procedures		56

PART II.	OTHER INFORMATION		57

Item 1.	Legal Proceedings		57

Item 1A.	Risk Factors		57

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		57

Item 3.	Defaults Upon Senior Securities		57

Item 4.	Mine Safety Disclosures		57

Item 5.	Other Information		57

Item 6.	Exhibits		58

Signatures			59

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities


	As of
	August 31, 2016			February 29, 2016
	(unaudited)
ASSETS
Investments at fair value
Non-control/Non-affiliate investments (amortized cost of $267,658,535 and $268,145,090, respectively)	$	260,887,373		$	271,168,186
Control investments (cost of $10,948,369 and $13,030,751, respectively)		11,917,076			12,827,980

Total investments at fair value (amortized cost of $278,606,904 and $281,175,841, respectively)		272,804,449			283,996,166
Cash and cash equivalents		12,707,273			2,440,277
Cash and cash equivalents, reserve accounts		10,173,549			4,594,506
Interest receivable (net of reserve of $0 and $728,519, respectively)		3,393,927			3,195,919
Management fee receivable		170,897			170,016
Other assets		312,184			350,368
Receivable from unsettled trades		284,903			300,000

Total assets	$	299,847,182		$	295,047,252

LIABILITIES
Revolving credit facility	$	—		$	—
Deferred debt financing costs, revolving credit facility		(476,221	)		(515,906	)
SBA debentures payable		103,660,000			103,660,000
Deferred debt financing costs, SBA debentures payable		(2,527,859	)		(2,493,303	)
Notes payable		61,793,125			61,793,125
Deferred debt financing costs, notes payable		(1,484,265	)		(1,694,586	)
Dividend payable		1,151,061			875,599
Base management and incentive fees payable		6,283,519			5,593,956
Accounts payable and accrued expenses		631,840			855,873
Interest and debt fees payable		1,873,508			1,552,069
Payable for repurchases of common stock		—			20,957
Directors fees payable		45,000			31,500
Due to manager		333,852			218,093

Total liabilities	$	171,283,560		$	169,897,377

Commitments and contingencies (See Note 7)

NET ASSETS
Common stock, par value $.001, 100,000,000 common shares authorized, 5,740,810 and 5,672,227 common shares issued and outstanding, respectively	$	5,741		$	5,672
Capital in excess of par value		189,532,044			188,714,329
Distribution in excess of net investment income		(27,038,814	)		(26,217,902	)
Accumulated net realized loss from investments and derivatives		(28,132,894	)		(40,172,549	)
Accumulated net unrealized appreciation (depreciation) on investments and derivatives		(5,802,455	)		2,820,325

Total net assets		128,563,622			125,149,875

Total liabilities and net assets	$	299,847,182		$	295,047,252

NET ASSET VALUE PER SHARE	$	22.39		$	22.06

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)


	For the three months ended August 31						For the six months ended August 31
	2016			2015			2016			2015
INVESTMENT INCOME
Interest from investments
Non-control/Non-affiliate investments	$	6,561,838		$	5,877,682		$	13,181,951		$	11,526,661
Payment-in-kind interest income from Non-control/Non-affiliate investments		184,265			262,991			313,355			954,143
Control investments		557,200			678,706			1,089,326			1,269,696

Total interest income		7,303,303			6,819,379			14,584,632			13,750,500
Interest from cash and cash equivalents		6,401			731			10,187			1,467
Management fee income		374,657			373,152			748,341			751,898
Other income		763,633			565,055			1,013,229			815,619

Total investment income		8,447,994			7,758,317			16,356,389			15,319,484

EXPENSES
Interest and debt financing expenses		2,369,705			2,147,976			4,737,761			4,111,841
Base management fees		1,202,794			1,151,236			2,429,951			2,275,334
Professional fees		302,227			349,533			661,526			682,977
Administrator expenses		325,000			275,000			650,000			525,000
Incentive management fees		1,208,452			(41,279	)		1,936,732			1,756,554
Insurance		70,658			87,316			141,316			174,633
Directors fees and expenses		60,422			51,000			126,422			102,000
General & administrative		304,955			203,449			517,164			386,369
Excise tax expense (credit)		—			(123,338	)		—			(123,338	)
Other expense		—			—			13,187			—

Total expenses		5,844,213			4,100,893			11,214,059			9,891,370

NET INVESTMENT INCOME		2,603,781			3,657,424			5,142,330			5,428,114

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from investments		5,936,750			3,709,947			12,039,655			3,783,193
Net unrealized depreciation on investments		(3,268,913	)		(6,124,708	)		(8,622,780	)		(583,739	)

Net gain (loss) on investments		2,667,837			(2,414,761	)		3,416,875			3,199,454

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	5,271,618		$	1,242,663		$	8,559,205		$	8,627,568

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	0.92		$	0.22		$	1.49		$	1.57
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED		5,740,816			5,583,795			5,739,157			5,492,491

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Schedule of Investments

August 31, 2016

(unaudited)


Company	Industry	Investment Interest Rate / Maturity	Principal / Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliated investments - 202.9% (b)
CAMP International Systems (d)	Aerospace and Defense	Second Lien Term Loan 8.25% Cash, 8/18/2024	$	1,000,000		995,002		997,500		0.8	%

		Total Aerospace and Defense				995,002		997,500		0.8	%

Polar Holding Company, Ltd. (a), (d), (i)	Building Products	First Lien Term Loan 10.00% Cash, 9/30/2016	$	2,000,000		2,000,000		2,000,000		1.6	%

		Total Building Products				2,000,000		2,000,000		1.6	%

Avionte Holdings, LLC (g)	Business Services	Common Stock		100,000		100,000		247,782		0.2	%
Avionte Holdings, LLC	Business Services	First Lien Term Loan 9.75% Cash, 1/8/2019	$	2,279,278		2,255,168		2,287,483		1.8	%
Avionte Holdings, LLC (j), (k)	Business Services	Delayed Draw Term Loan A 9.75% Cash, 1/8/2019	$	—		—		—		0.0	%
BoardEffect, Inc.	Business Services	First Lien Term Loan 10.00% Cash, 6/17/2021	$	12,000,000		11,883,243		11,880,000		9.2	%
BoardEffect, Inc. (j), (k)	Business Services	Delayed Draw Term Loan B 10.00% Cash, 6/17/2021	$	—		—		—		0.0	%
BMC Software, Inc. (d)	Business Services	First Lien Term Loan 5.00% Cash, 9/10/2020	$	5,641,667		5,607,859		5,379,329		4.2	%
Courion Corporation	Business Services	Second Lien Term Loan 11.00% Cash, 6/1/2021	$	15,000,000		14,866,381		14,529,000		11.3	%
Dispensing Dynamics International (d)	Business Services	Senior Secured Note 12.50% Cash, 1/1/2018	$	12,000,000		12,018,538		11,530,800		9.0	%
Easy Ice, LLC (d)	Business Services	First Lien Term Loan 9.50% Cash, 1/15/2020	$	16,000,000		15,868,493		16,057,493		12.5	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note 10.00% Cash, 1/23/2020	$	3,300,000		3,272,264		3,355,372		2.6	%
Emily Street Enterprises, L.L.C. (g)	Business Services	Warrant Membership Interests		49,318		400,000		459,791		0.3	%
Help/Systems Holdings, Inc. (Help/Systems, LLC)	Business Services	First Lien Term Loan 6.25% Cash, 10/8/2021	$	4,975,000		4,887,402		4,919,031		3.8	%
Help/Systems Holdings, Inc. (Help/Systems, LLC)	Business Services	Second Lien Term Loan 10.50% Cash, 10/8/2022	$	3,000,000		2,917,626		2,850,000		2.2	%
Identity Automation Systems	Business Services	Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018		611,517		611,517		611,517		0.5	%
Identity Automation Systems (g)	Business Services	Common Stock Class A Units		232,616		232,616		495,686		0.4	%
Identity Automation Systems	Business Services	First Lien Term Loan 12.00% (10.25% Cash/1.75% PIK) 12/18/2020	$	10,203,683		10,121,194		10,171,110		7.9	%
Knowland Technology Holdings, L.L.C.	Business Services	First Lien Term Loan 9.75% Cash, 11/29/2017	$	17,777,730		17,637,107		17,652,317		13.7	%
Microsystems Company	Business Services	Second Lien Term Loan 11.00% Cash, 7/1/2022	$	8,000,000		7,922,051		7,920,000		6.2	%
PCF Number 4, Inc.	Business Services	Second Lien Term Loan 13.50% (12.50% Cash/1.00% PIK), 8/28/2021	$	13,044,083		12,918,979		13,044,083		10.1	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018	$	8,967,996		8,905,587		8,967,996		7.0	%
Vector Controls Holding Co., LLC (d), (g)	Business Services	Warrants to Purchase Limited Liability Company Interests		343		—		350,212		0.3	%

		Total Business Services				132,426,025		132,709,002		103.2	%

Targus Holdings, Inc. (d), (g)	Consumer Products	Common Stock		210,456		1,791,242		1,847		0.0	%
Targus Holdings, Inc. (d)	Consumer Products	Second Lien Term Loan A-2 15.00% PIK, 12/31/2019	$	220,644		220,644		220,644		0.2	%
Targus Holdings, Inc. (d)	Consumer Products	Second Lien Term Loan B 15.00% PIK, 12/31/2019	$	661,932		661,932		661,932		0.5	%

		Total Consumer Products				2,673,818		884,423		0.7	%

My Alarm Center, LLC	Consumer Services	Second Lien Term Loan 12.00% Cash, 7/9/2019	$	9,375,000		9,356,295		9,299,063		7.2	%
PrePaid Legal Services, Inc. (d)	Consumer Services	First Lien Term Loan 6.50% Cash, 7/1/2019	$	1,489,199		1,481,070		1,482,051		1.1	%
PrePaid Legal Services, Inc. (d)	Consumer Services	Second Lien Term Loan 10.25% Cash, 7/1/2020	$	10,000,000		9,966,163		9,846,000		7.7	%
Prime Security Services, LLC	Consumer Services	Second Lien Term Loan 9.75% Cash, 7/1/2022	$	6,230,769		6,138,694		6,268,416		4.9	%

		Total Consumer Services				26,942,222		26,895,530		20.9	%

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		1,193,791		8,087		0.0	%
Texas Teachers of Tomorrow, LLC (g), (h)	Education	Common Stock		750,000		750,000		933,960		0.7	%
Texas Teachers of Tomorrow, LLC	Education	Second Lien Term Loan 10.75% Cash, 6/2/2021	$	10,000,000		9,910,300		10,000,000		7.8	%

		Total Education				11,884,332		10,942,047		8.5	%

TM Restaurant Group L.L.C.	Food and Beverage	First Lien Term Loan 9.75% Cash, 7/16/2017	$	9,490,507		9,428,277		9,276,541		7.2	%

		Total Food and Beverage				9,428,277		9,276,541		7.2	%

Censis Technologies, Inc.	Healthcare Services	First Lien Term Loan B 11.00% Cash, 7/24/2019	$	11,400,000		11,251,423		10,962,652		8.5	%
Censis Technologies, Inc. (g), (h)	Healthcare Services	Limited Partner Interests		999		999,000		704,187		0.5	%
Roscoe Medical, Inc. (d), (g)	Healthcare Services	Common Stock		5,081		508,077		598,710		0.5	%
Roscoe Medical, Inc.	Healthcare Services	Second Lien Term Loan 11.25% Cash, 9/26/2019	$	4,200,000		4,148,231		4,113,761		3.2	%
Ohio Medical, LLC (g)	Healthcare Services	Common Stock		5,000		500,000		459,409		0.4	%
Ohio Medical, LLC	Healthcare Services	Senior Subordinated Note 12.00%, 7/15/2021	$	7,300,000		7,233,876		7,273,756		5.7	%
Zest Holdings, LLC (d)	Healthcare Services	First Lien Term Loan 5.25% Cash, 8/16/2020	$	4,136,911		4,078,941		4,136,911		3.2	%

		Total Healthcare Services				28,719,548		28,249,386		22.0	%

HMN Holdco, LLC	Media	First Lien Term Loan 10.00% Cash, 5/16/2019	$	8,700,232		8,594,607		8,700,232		6.8	%
HMN Holdco, LLC	Media	Delayed Draw First Lien Term Loan 10.00% Cash, 5/16/2019	$	4,800,000		4,744,654		4,800,000		3.7	%
HMN Holdco, LLC	Media	Class A Series		4,264		61,647		283,044		0.2	%
HMN Holdco, LLC	Media	Class A Warrant		30,320		438,353		1,623,030		1.3	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Common)		57,872		—		2,802,162		2.2	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Preferred)		8,139		—		451,308		0.3	%

		Total Media				13,839,261		18,659,776		14.5	%

Elyria Foundry Company, L.L.C. (d)	Metals	Common Stock		35,000		9,217,564		314,300		0.2	%
Elyria Foundry Company, L.L.C. (d)	Metals	Revolver 10.00% Cash, 3/31/2017	$	8,500,000		8,500,000		8,500,000		6.6	%

		Total Metals				17,717,564		8,814,300		6.8	%

Mercury Network, LLC	Real Estate	First Lien Term Loan 10.50% Cash, 8/24/2021	$	20,808,696		20,619,443		20,724,932		16.1	%
Mercury Network, LLC (g)	Real Estate	Common Stock		413,043		413,043		733,936		0.6	%

		Total Real Estate				21,032,486		21,458,868		16.7	%

Sub Total Non-control/Non-affiliated investments						267,658,535		260,887,373		202.9	%

Control investments - 9.3% (b)
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)	Structured Finance Securities	Other/Structured Finance Securities 21.13%, 10/17/2023	$	30,000,000		10,948,369		11,917,076		9.3	%

Sub Total Control investments						10,948,369		11,917,076		9.3	%

TOTAL INVESTMENTS - 212.2% (b)					$	278,606,904	$	272,804,449		212.2	%


			Principal		Cost		Fair Value		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 17.8%
U.S. Bank Money Market (l)			$	22,880,822	$	22,880,822	$	22,880,822		17.8	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts			$	22,880,822	$	22,880,822	$	22,880,822		17.8	%

(a)	Represents a non-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 5.1% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets.

(b)	Percentages are based on net assets of $128,563,622 as of August 31, 2016.

(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 21.13% 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:


					Sales		Interest		Management		Net Realized		Net Unrealized
Company	Purchases		Redemptions		(Cost)		Income		Fee Income		Gains (Losses)		Appreciation
Saratoga Investment Corp. CLO 2013-1, Ltd.	$	—	$	—	$	—	$	1,089,326	$	748,341	$	—	$	1,171,478

(g)	Non-income producing at August 31, 2016.

(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 August 31, 2016 (see Note 7 to the consolidated financial statements).

(k)	The entire commitment was unfunded at August 31, 2016. As such, no interest is being earned on this investment.

(l)	Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s Consolidated Statements of Assets and Liabilities as of August 31, 2016.

Saratoga Investment Corp.

Consolidated Schedule of Investments

February 29, 2016


Company	Industry	Investment Interest Rate / Maturity	Principal / Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliated investments - 216.6% (b)
National Truck Protection Co., Inc. (d), (g)	Automotive Aftermarket	Common Stock		1,116	$	1,000,000	$	1,695,303		1.4	%
National Truck Protection Co., Inc. (d)	Automotive Aftermarket	First Lien Term Loan 15.50% Cash, 9/13/2018	$	6,776,770		6,776,770		6,776,770		5.4	%
Take 5 Oil Change, L.L.C. (d), (g)	Automotive Aftermarket	Common Stock		7,128		480,535		6,235,209		5.0	%

		Total Automotive Aftermarket				8,257,305		14,707,282		11.8	%

Legacy Cabinets Holdings (d), (g)	Building Products	Common Stock Voting A-1		2,535		220,900		2,676,909		2.1	%
Legacy Cabinets Holdings (d), (g)	Building Products	Common Stock Voting B-1		1,600		139,424		1,689,568		1.3	%
Polar Holding Company, Ltd. (a), (d), (i)	Building Products	First Lien Term Loan 10.00% Cash, 9/30/2016	$	2,000,000		2,000,000		2,000,000		1.6	%

		Total Building Products				2,360,324		6,366,477		5.0	%

Avionte Holdings, LLC (g)	Business Services	Common Stock		100,000		100,000		169,850		0.1	%
Avionte Holdings, LLC	Business Services	First Lien Term Loan 9.75% Cash, 1/8/2019	$	2,406,342		2,376,045		2,382,844		1.9	%
Avionte Holdings, LLC (j), (k)	Business Services	Delayed Draw Term Loan A 9.75% Cash, 1/8/2019	$	—		—		—		0.0	%
BMC Software, Inc. (d)	Business Services	Syndicated Loan 5.00% Cash, 9/10/2020	$	5,671,667		5,633,920		4,520,318		3.6	%
Courion Corporation	Business Services	Second Lien Term Loan 11.00% Cash, 6/1/2021	$	15,000,000		14,856,720		14,850,000		11.9	%
Dispensing Dynamics International (d)	Business Services	Senior Secured Note 12.50% Cash, 1/1/2018	$	12,000,000		12,025,101		10,950,000		8.8	%
Easy Ice, LLC (d)	Business Services	First Lien Term Loan 9.50% Cash, 1/15/2020	$	14,000,000		13,873,485		13,806,098		11.0	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note 10.00% Cash, 1/23/2020	$	8,400,000		8,305,033		8,568,000		6.8	%
Emily Street Enterprises, L.L.C. (g)	Business Services	Warrant Membership Interests		49,318		400,000		577,020		0.5	%
Finalsite Holdings, Inc.	Business Services	Second Lien Term Loan 10.25% Cash, 5/21/2020	$	7,500,000		7,440,729		7,500,000		6.0	%
Help/Systems Holdings, Inc. (Help/Systems, LLC)	Business Services	First Lien Term Loan 6.25% Cash, 10/8/2021	$	5,000,000		4,904,573		4,895,000		3.9	%
Help/Systems Holdings, Inc. (Help/Systems, LLC)	Business Services	Second Lien Term Loan 10.50% Cash, 10/8/2022	$	3,000,000		2,912,784		2,910,000		2.3	%
Identity Automation Systems (g)	Business Services	Common Stock Class A Units		232,616		232,616		427,409		0.3	%
Identity Automation Systems	Business Services	First Lien Term Loan 10.25% Cash, 12/18/2020	$	6,900,000		6,842,573		6,900,000		5.5	%
Identity Automation Systems (j), (k)	Business Services	Delayed Draw Term Loan 10.25% Cash, 12/18/2020	$	—		—		—		0.0	%
Knowland Technology Holdings, L.L.C.	Business Services	First Lien Term Loan 8.00% Cash, 11/29/2017	$	5,259,171		5,224,422		5,259,171		4.2	%
PCF Number 4, Inc.	Business Services	Second Lien Term Loan 13.50% (12.50% Cash/1.00% PIK), 8/28/2021	$	13,000,000		12,870,023		12,870,000		10.3	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018	$	9,035,515		8,952,442		9,035,515		7.2	%
Vector Controls Holding Co., LLC (d), (g)	Business Services	Warrants to Purchase Limited Liability Company Interests		343		—		354,819		0.3	%

		Total Business Services				106,950,466		105,976,044		84.6	%

Advanced Air & Heat of Florida, LLC	Consumer Products	First Lien Term Loan 9.50% Cash, 7/17/2020	$	6,800,000		6,733,661		6,800,000		5.4	%
Targus Holdings, Inc. (d), (g)	Consumer Products	Common Stock		210,456		1,791,242		—		0.0	%
Targus Holdings, Inc. (d)	Consumer Products	Second Lien Term Loan A-2 15.00% PIK, 12/31/2019	$	210,456		210,456		210,456		0.2	%
Targus Holdings, Inc. (d)	Consumer Products	Second Lien Term Loan B 15.00% PIK, 12/31/2019	$	631,369		631,369		631,369		0.5	%

		Total Consumer Products				9,366,728		7,641,825		6.1	%

Expedited Travel L.L.C. (g)	Consumer Services	Common Stock		1,000,000		1,000,000		1,647,767		1.3	%
Expedited Travel L.L.C.	Consumer Services	First Lien Term Loan 10.00% Cash, 10/10/2019	$	11,475,490		11,401,380		11,647,623		9.3	%
My Alarm Center, LLC	Consumer Services	Second Lien Term Loan 12.00% Cash, 7/9/2019	$	7,500,000		7,500,000		7,450,500		6.0	%
PrePaid Legal Services, Inc. (d)	Consumer Services	First Lien Term Loan 6.50% Cash, 7/1/2019	$	1,572,921		1,562,787		1,556,248		1.2	%
PrePaid Legal Services, Inc. (d)	Consumer Services	Second Lien Term Loan 10.25% Cash, 7/1/2020	$	10,000,000		9,962,104		9,827,000		7.9	%
Prime Security Services, LLC	Consumer Services	Second Lien Term Loan 9.75% Cash, 7/1/2022	$	12,000,000		11,829,030		10,980,000		8.8	%

		Total Consumer Services				43,255,301		43,109,138		34.5	%

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	%
Texas Teachers of Tomorrow, LLC (g), (h)	Education	Common Stock		750		750,000		785,475		0.6	%
Texas Teachers of Tomorrow, LLC	Education	Second Lien Term Loan 10.75% Cash, 6/2/2021	$	10,000,000		9,902,816		9,900,000		7.9	%

		Total Education				11,876,847		10,693,562		8.5	%

TM Restaurant Group L.L.C.	Food and Beverage	First Lien Term Loan 9.75% Cash, 7/16/2017	$	9,622,319		9,527,041		9,131,048		7.3	%

		Total Food and Beverage				9,527,041		9,131,048		7.3	%

Bristol Hospice, LLC	Healthcare Services	Senior Secured Note 11.00% (10.00% Cash/1.00% PIK), 11/29/2018	$	5,404,747		5,339,820		5,404,747		4.3	%
Censis Technologies, Inc.	Healthcare Services	First Lien Term Loan B 11.00% Cash, 7/24/2019	$	11,550,000		11,377,810		11,459,418		9.2	%
Censis Technologies, Inc. (g), (h)	Healthcare Services	Limited Partner Interests		999		999,000		810,642		0.7	%
Roscoe Medical, Inc. (d), (g)	Healthcare Services	Common Stock		5,000		500,000		334,000		0.3	%
Roscoe Medical, Inc.	Healthcare Services	Second Lien Term Loan 11.25% Cash, 9/26/2019	$	4,200,000		4,141,519		3,822,000		3.0	%
Ohio Medical, LLC (g)	Healthcare Services	Common Stock		5,000		500,000		500,000		0.4	%
Ohio Medical, LLC	Healthcare Services	Senior Subordinated Note 12.00%, 7/15/2021	$	7,300,000		7,228,452		7,227,000		5.8	%
Smile Brands Group Inc. (d)	Healthcare Services	Syndicated Loan 10.50% (9.00% Cash/1.50% PIK), 8/16/2019	$	4,420,900		4,362,266		3,216,647		2.6	%
Zest Holdings, LLC (d)	Healthcare Services	Syndicated Loan 5.25% Cash, 8/16/2020	$	4,207,821		4,142,093		4,130,692		3.3	%

		Total Healthcare Services				38,590,960		36,905,146		29.6	%

HMN Holdco, LLC	Media	First Lien Term Loan 10.00% Cash, 5/16/2019	$	8,937,982		8,812,479		8,937,983		7.1	%
HMN Holdco, LLC	Media	First Lien Term Loan 10.00% Cash, 5/16/2019	$	1,600,000		1,572,821		1,600,000		1.3	%
HMN Holdco, LLC	Media	Class A Series		4,264		61,647		314,683		0.3	%
HMN Holdco, LLC	Media	Class A Warrant		30,320		438,353		1,889,542		1.5	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Common)		57,872		—		3,309,121		2.6	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests		8,139		—		523,012		0.4	%

		Total Media				10,885,300		16,574,341		13.2	%

Elyria Foundry Company, L.L.C. (d)	Metals	Common Stock		35,000		9,217,564		2,026,150		1.6	%
Elyria Foundry Company, L.L.C. (d)	Metals	Revolver 10.00% Cash, 3/31/2017	$	8,500,000		8,500,000		8,500,000		6.8	%

		Total Metals				17,717,564		10,526,150		8.4	%

Mercury Network, LLC	Real Estate	First Lien Term Loan 9.75% Cash, 4/24/2020	$	9,025,000		8,944,211		9,025,000		7.2	%
Mercury Network, LLC (g)	Real Estate	Common Stock		413,043		413,043		512,173		0.4	%

		Total Real Estate				9,357,254		9,537,173		7.6	%

Sub Total Non-control/Non-affiliated investments						268,145,090		271,168,186		216.6	%

Control investments - 10.3% (b)
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)	Structured Finance Securities	Other/Structured Finance Securities 16.14%, 10/17/2023	$	30,000,000		13,030,751		12,827,980		10.3	%

Sub Total Control investments						13,030,751		12,827,980		10.3	%

TOTAL INVESTMENTS - 226.9% (b)					$	281,175,841	$	283,996,166		226.9	%


	Principal		Cost		Fair Value		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 5.6%
U.S. Bank Money Market (l)	$	7,034,783	$	7,034,783	$	7,034,783		5.6	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts	$	7,034,783	$	7,034,783	$	7,034,783		5.6	%

(a)	Represents a non-qualifying investment as defined under Section 55 (a) of the Investment Company Act of 1940, as amended. Non-qualifying assets represent 5.2% 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 $125,149,875 as of February 29, 2016.

(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 16.14% 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 Depreciation
Saratoga Investment Corp. CLO 2013-1, Ltd.	$	—	$	—	$	—	$	2,665,648	$	1,494,779	$	—	$	(1,280,916	)

(g)	Non-income producing at February 29, 2016.

(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 29, 2016 (see Note 7 to the consolidated financial statements).

(k)	The entire commitment was unfunded at February 29, 2016. As such, no interest is being earned on this investment.

(l)	Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s Consolidated Statements of Assets and Liabilities as of February 29, 2016.

Saratoga Investment Corp.

Consolidated Statements of Changes in Net Assets

(unaudited)


	For the six months ended August 31, 2016			For the six months ended August 31, 2015
INCREASE FROM OPERATIONS:
Net investment income	$	5,142,330		$	5,428,114
Net realized gain from investments		12,039,655			3,783,193
Net unrealized depreciation on investments		(8,622,780	)		(583,739	)

Net increase in net assets from operations		8,559,205			8,627,568

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:
Distributions declared		(5,963,242	)		(8,738,812	)

Net decrease in net assets from shareholder distributions		(5,963,242	)		(8,738,812	)

CAPITAL SHARE TRANSACTIONS:
Stock dividend distribution		2,700,351			3,047,190
Repurchases of common stock		(1,882,567	)		(38,981	)
Offering costs		—			(237,287	)

Net increase in net assets from capital share transactions		817,784			2,770,922

Total increase in net assets		3,413,747			2,659,678
Net assets at beginning of period		125,149,875			122,598,742

Net assets at end of period	$	128,563,622		$	125,258,420

Net asset value per common share	$	22.39		$	22.42

Common shares outstanding at end of period		5,740,810			5,586,254

Distribution in excess of net investment income	$	(27,038,814	)	$	(27,216,301	)

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)


	For the six months ended August 31, 2016			For the six months ended August 31, 2015
Operating activities
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	8,559,205		$	8,627,568
ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES:
Payment-in-kind interest income		(276,597	)		(828,420	)
Net accretion of discount on investments		(254,323	)		(273,250	)
Amortization of deferred debt financing costs		528,850			442,921
Amortization of premium on notes		—			(1,040	)
Net realized gain from investments		(12,039,655	)		(3,783,193	)
Net unrealized depreciation on investments		8,622,780			583,739
Proceeds from sales and redemptions of investments		70,867,907			34,772,774
Purchase of investments		(55,728,395	)		(42,118,806	)
(Increase) decrease in operating assets:
Cash and cash equivalents, reserve accounts		(5,579,043	)		6,086,197
Interest receivable		(198,008	)		(220,056	)
Management fee receivable		(881	)		(2,519	)
Other assets		38,184			(228,717	)
Receivable from unsettled trades		15,097			(100,000	)
Increase (decrease) in operating liabilities:
Base management and incentive fees payable		689,563			201,285
Accounts payable and accrued expenses		(224,033	)		(260,729	)
Interest and debt fees payable		321,439			139,806
Payable for repurchases of common stock		(20,957	)		—
Directors fees payable		13,500			(1,500	)
Due to manager		115,759			(13,141	)

NET CASH PROVIDED BY OPERATING ACTIVITIES		15,450,392			3,022,919

Financing activities
Borrowings on debt		—			10,600,000
Paydowns on debt		—			(18,200,000	)
Issuance of notes		—			8,945,175
Payments of deferred debt financing costs		(313,400	)		(350,607	)
Repurchases of common stock		(1,882,567	)		(38,981	)
Payments of cash dividends		(2,987,429	)		(5,362,381	)

NET CASH USED IN FINANCING ACTIVITIES		(5,183,396	)		(4,406,794	)

NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS		10,266,996			(1,383,875	)
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD		2,440,277			1,888,158

CASH AND CASH EQUIVALENTS, END OF PERIOD	$	12,707,273		$	504,283

Supplemental information:
Interest paid during the period	$	3,887,472		$	3,529,114

Supplemental non-cash information:
Payment-in-kind interest income	$	276,597		$	828,420
Net accretion of discount on investments	$	254,323		$	273,250
Amortization of deferred debt financing costs	$	528,850		$	442,921
Stock dividend distribution	$	2,700,351		$	3,047,190

See accompanying notes to consolidated financial statements.

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

August 31, 2016

(unaudited)

Note 1. Organization

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

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

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

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

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

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

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

On April 2, 2015, the SBA issued a “green light” letter inviting the Company to continue the application process to obtain a license to form and operate its second SBIC subsidiary. On September 27, 2016, the SBA informed us that as part of their continued review of our application for a second license, and in order to ensure that they were reviewing the most current information available, we would need to update all previously submitted materials and invited us to reapply. As a result of this request, with which we are in the process of complying, the existing “green light” letter that the SBA issued to us will expire. If approved in the future, a second SBIC license would provide us an incremental source of long-term capital by permitting us to issue up to $150.0 million of additional SBA-guaranteed debentures in addition to the $150.0 million already approved under the first license.

Note 2. Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its special purpose financing 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 subsidiaries, except as stated otherwise.

The Company and SBIC LP are both considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services — Investment Companies” (“ASC Topic 946”). There have been no changes to the Company or SBIC LP’s status as investment companies during the six months ended August 31, 2016.

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 August 31, 2016, 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.

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

Investment Classification

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

Investment Valuation

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

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

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

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

•

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

•

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

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

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 amortization of premiums on investments.

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

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

Other Income

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

Payment-in-Kind Interest

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

Deferred Debt Financing Costs

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

Accounting Standards Update (“ASU”) 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs (“ASU 2015-03”) requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. The Company has adopted the provisions of ASU 2015-03 as of February 28, 2015, by reclassifying deferred debt financing costs from within total assets to within total liabilities as a contra-liability. Prior period amounts were reclassified to conform to the current period presentation.

Contingencies

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

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

Income Taxes

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

ASC 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 29, 2016, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2013, 2014 and 2015 federal tax years for the Company remain subject to examination by the IRS. As of August 31, 2016 and February 29, 2016, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months.

Dividends

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

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

Capital Gains Incentive Fee

The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the consolidated statements of assets and liabilities, by the Company to 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 February 2016, the FASB issued ASU 2016-02, Amendments to the Leases (“ASC Topic 842”), which will require for all operating leases the recognition of a right-of-use asset and a lease liability, in the statement of financial position. The lease cost will be allocated over the lease term on a straight-line basis. This guidance is effective for annual and interim periods beginning after December 15, 2018. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

In January 2016, the FASB issued ASU 2016-01, Financial Instruments — Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). ASU 2016-01 retains many current requirements for the classification and measurement of financial instruments; however, it significantly revises an entity’s accounting related to (1) the

classification and measurement of investments in equity securities and (2) the presentation of certain fair value changes for financial liabilities measured at fair value. ASU 2016-01 also amends certain disclosure requirements associated with the fair value of financial instruments. This guidance is effective for annual and interim periods beginning after December 15, 2017, and early adoption is not permitted for public business entities. Management is currently evaluating the impact the adoption of this standard has on the Company’s consolidated financial statements and disclosures.

In 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 does not believe these changes will have a material impact on the Company’s consolidated financial statements and disclosures.

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Revenue Recognition (Topic 605). Under the new guidance, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. In May 2016, ASU 2016-12 amended ASU 2014-09 and deferred the effective period to December 15, 2017. Management is currently evaluating the impact these changes will have on the Company’s consolidated financial statements and disclosures.

Risk Management

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

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

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

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

Note 3. Investments

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

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

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

•

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

•

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

•

Level 3—Valuations based on inputs that are unobservable and significant to the overall fair value measurement. The inputs used in the determination of fair value may require significant management judgment or estimation. Such

information may be the result of consensus pricing information or broker quotes which include a disclaimer that the broker would not be held to such a price in an actual transaction. The non-binding nature of consensus pricing and/or quotes accompanied by a disclaimer would result in classification as a Level 3 asset, assuming no additional corroborating evidence.

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

The following table presents fair value measurements of investments, by major class, as of August 31, 2016 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
Syndicated loans	$	—	$	—	$	9,516	$	9,516
First lien term loans		—		—		153,276		153,276
Second lien term loans		—		—		87,024		87,024
Structured finance securities		—		—		11,917		11,917
Equity interests		—		—		11,071		11,071

Total	$	—	$	—	$	272,804	$	272,804

The following table presents fair value measurements of investments, by major class, as of February 29, 2016 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
Syndicated loans	$	—	$	—	$	11,868	$	11,868
First lien term loans		—		—		144,643		144,643
Second lien term loans		—		—		88,178		88,178
Structured finance securities		—		—		12,828		12,828
Equity interests		—		—		26,479		26,479

Total	$	—	$	—	$	283,996	$	283,996

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the six months ended August 31, 2016 (dollars in thousands):


	Syndicated loans			First lien term loans			Second lien term loans			Structured finance securities			Equity interests			Total
Balance as of February 29, 2016	$	11,868		$	144,643		$	88,178		$	12,828		$	26,479		$	283,996
Net unrealized appreciation (depreciation) on investments		2,100			217			1,076			1,171			(13,187	)		(8,623	)
Purchases and other adjustments to cost		51			44,689			10,899			—			620			56,259
Sales and redemptions		(4,556	)		(36,518	)		(13,269	)		(2,082	)		(14,443	)		(70,868	)
Net realized gain from investments		53			245			140			—			11,602			12,040

Balance as of August 31, 2016	$	9,516		$	153,276		$	87,024		$	11,917		$	11,071		$	272,804

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.

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur.

The net change in unrealized appreciation (depreciation) for the six months ended August 31, 2016 on investments still held as of August 31, 2016 was $1,772,281 and is included in net unrealized 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 six months ended August 31, 2015 (dollars in thousands):


	Syndicated loans			First lien term loans			Second lien term loans			Unsecured notes			Structured finance securities			Equity interests			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		(1,400	)		(726	)		76			656			1,372			(562	)		(584	)
Purchases and other adjustments to cost		20			25,217			16,901			668			—			413			43,219
Sales and redemptions		(356	)		(13,050	)		(10,673	)		(5,784	)		(1,649	)		(3,260	)		(34,772	)
Net realized gain from investments		5			94			164			261			—			3,260			3,784
Restructures in		—			—			—			101			—			—			101
Restructures out		—			—			—			—			—			(101	)		(101	)

Balance as of August 31, 2015	$	16,571		$	156,742		$	42,071		$	132		$	16,754		$	19,915		$	252,185

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur.

The net change in unrealized appreciation (depreciation) for the six months ended August 31, 2015 on investments still held as of August 31, 2015 was $(955,584) and was included in net unrealized 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 August 31, 2016 were as follows (dollars in thousands):


	Fair Value		Valuation Technique	Unobservable Input	Range
Syndicated loans		9,516	Market Comparables	Third-Party Bid (%)	0.0% - 100.0%
First lien term loans		153,276	Market Comparables	Market Yield (%)	6.3% - 15.8%
				EBITDA Multiples (x)	1.0x - 9.8x
				Third-Party Bid (%)	95.0% - 99.9%
Second lien term loans		87,024	Market Comparables	Market Yield (%)	8.3% - 15.0%
				Third-Party Bid (%)	95.0% - 101.4%
Structured finance securities		11,917	Discounted Cash Flow	Discount Rate (%)	18.0%
Equity interests		11,071	Market Comparables	EBITDA Multiples (x) Revenue Multiples (x)	2.5x - 11.4x 0.2x - 3.4x

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 29, 2016 were as follows (dollars in thousands):


	Fair Value		Valuation Technique	Unobservable Input	Range
Syndicated loans		11,868	Market Comparables	Third-Party Bid (%)	72.5% - 98.2%
First lien term loans		144,643	Market Comparables	Market Yield (%)	6.8% - 15.5%
				EBITDA Multiples (x)	1.0x
				Revenue Multiples Third-Party Bid (%)	91.3% - 98.9%
Second lien term loans		88,178	Market Comparables	Market Yield (%)	0.0% - 15.0%
				Third-Party Bid (%)	91.5% - 98.6%
Structured finance securities		12,828	Discounted Cash Flow	Discount Rate (%)	20.0%
Equity interests		26,479	Market Comparables	EBITDA Multiples (x) Revenue Multiples	6.8x - 16.4x

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

The composition of our investments as of August 31, 2016, 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	$	9,687		3.5	%	$	9,516		3.5	%
First lien term loans		154,662		55.5			153,276		56.2
Second lien term loans		87,256		31.3			87,024		31.9
Structured finance securities		10,948		3.9			11,917		4.4
Equity interests		16,054		5.8			11,071		4.0

Total	$	278,607		100.0	%	$	272,804		100.0	%

The composition of our investments as of February 29, 2016, 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	$	14,138		5.0	%	$	11,868		4.2	%
First lien term loans		146,246		52.0			144,643		50.9
Second lien term loans		89,486		31.9			88,178		31.1
Structured finance securities		13,031		4.6			12,828		4.5
Equity interests		18,275		6.5			26,479		9.3

Total	$	281,176		100.0	%	$	283,996		100.0	%

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

For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then waterfall the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio

company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. We also take into account historical and anticipated financial results.

Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. 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 flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at August 31, 2016. The significant inputs for the valuation model include:

•

Default rates: 2.0%

•

Recovery rates: 35-70%

•

Prepayment rate: 20.0%

•

Reinvestment rate / price: L+375bps / $99.50

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

On January 22, 2008, we invested $30.0 million in all of the outstanding subordinated notes of GSC Investment Corp. CLO 2007, Ltd., a collateralized loan obligation fund managed by us that invests primarily in senior secured loans. Additionally, we entered into a collateral management agreement with GSC Investment Corp. CLO 2007, Ltd. pursuant to which we act as collateral manager to it. The Saratoga CLO was refinanced in October 2013 and its reinvestment period ends in October 2016. The Saratoga CLO remains 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.25% and a subordinated management fee of 0.25% of the fee basis amount at the beginning of the collection period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of the remaining interest proceeds and principal proceeds, if any, after the subordinated notes have realized the incentive management fee target return of 12.0%, in accordance with the priority of payments after making the prior distributions on the relevant payment date. For the three months ended August 31, 2016 and August 31, 2015, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.6 million and $0.7 million in interest income, respectively, from Saratoga CLO. For the six months ended August 31, 2016 and August 31, 2015, we accrued $0.7 million and $0.8 million in management fee income, respectively, and $1.1 million and $1.3 million in interest income, respectively, from Saratoga CLO. We did not accrue any amounts related to the incentive management fee from Saratoga CLO as the 12.0% hurdle rate has not yet been achieved.

At August 31, 2016, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $11.9 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 August 31, 2016, Saratoga CLO had investments with a principal balance of $299.5 million and a weighted average spread over LIBOR of 4.41%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 1.84%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At August 31, 2016, the present value of the projected future cash flows of the subordinated notes was approximately $11.9 million, using an 18.0% discount rate. Saratoga Investment Corp. invested $32.8 million into the CLO since January 2008, and to date has since received distributions of $47.9 million and management fees of $15.7 million.

Below is certain financial information from the separate financial statements of Saratoga CLO as of August 31, 2016 (unaudited) and February 29, 2016 and for the three and six months ended August 31, 2016 and August 31, 2015 (unaudited).

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities


	As of
	August 31, 2016			February 29, 2016
	(unaudited)
ASSETS
Investments
Fair Value Loans (amortized cost of $296,436,508 and $300,112,538, respectively)	$	290,944,255		$	284,652,926
Fair Value Other/Structured finance securities (amortized cost of $3,531,218 and $3,531,218, respectively)		12,901			191,863

Total investments at fair value (amortized cost of $299,967,726 and $303,643,756, respectively)		290,957,156			284,844,789
Cash and cash equivalents		5,172,517			2,349,633
Receivable from open trades		2,242,500			2,691,831
Interest receivable		1,782,055			1,698,562

Total assets	$	300,154,228		$	291,584,815

LIABILITIES
Interest payable	$	836,806		$	626,040
Payable from open trades		4,983,454			7,123,854
Accrued base management fee		85,448			85,008
Accrued subordinated management fee		85,448			85,008
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.		(1,230,503	)		(1,319,258	)
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.		(127,550	)		(136,750	)
Class B Notes - SIC CLO 2013-1, Ltd.		44,800,000			44,800,000
Discount on Class B Notes - SIC CLO 2013-1, Ltd.		(828,565	)		(888,328	)
Class C Notes - SIC CLO 2013-1, Ltd.		16,000,000			16,000,000
Discount on Class C Notes - SIC CLO 2013-1, Ltd.		(515,869	)		(553,078	)
Class D Notes - SIC CLO 2013-1, Ltd.		14,000,000			14,000,000
Discount on Class D Notes - SIC CLO 2013-1, Ltd.		(669,638	)		(717,938	)
Class E Notes - SIC CLO 2013-1, Ltd.		13,100,000			13,100,000
Discount on Class E Notes - SIC CLO 2013-1, Ltd.		(1,262,461	)		(1,353,521	)
Class F Notes - SIC CLO 2013-1, Ltd.		4,500,000			4,500,000
Discount on Class F Notes - SIC CLO 2013-1, Ltd.		(459,180	)		(492,300	)
Deferred debt financing costs, SIC CLO 2013-1, Ltd. Notes		(1,604,034	)		(1,716,554	)
Subordinated Notes		30,000,000			30,000,000

Total liabilities	$	311,693,356		$	313,142,183

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		(21,557,623	)		(5,803,406	)
Net gain (loss)		10,018,245			(15,754,212	)

Total net assets		(11,539,128	)		(21,557,368	)

Total liabilities and net assets	$	300,154,228		$	291,584,815

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)


	For the three months ended August 31						For the six months ended August 31
	2016			2015			2016		2015
INVESTMENT INCOME
Interest from investments	$	4,028,665		$	3,638,587		$	7,817,001	$	7,151,174
Interest from cash and cash equivalents		1,938			215			2,709		505
Other income		189,836			69,878			433,137		233,993

Total investment income		4,220,439			3,708,680			8,252,847		7,385,672

EXPENSES
Interest expense		3,608,788			3,013,007			6,889,803		5,859,643
Professional fees		20,944			53,177			39,426		112,399
Miscellaneous fee expense		14,147			5,763			22,391		10,688
Base management fee		187,329			186,576			374,171		375,949
Subordinated management fee		187,329			186,576			374,171		375,949
Trustee expenses		37,839			36,737			64,527		68,021
Amortization expense		239,963			239,963			479,926		479,926

Total expenses		4,296,339			3,721,799			8,244,415		7,282,575

NET INVESTMENT INCOME (LOSS)		(75,900	)		(13,119	)		8,432		103,097

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments		165,854			89,084			221,416		131,645
Net unrealized appreciation (depreciation) on investments		467,724			(3,624,214	)		9,788,397		(3,710,046	)

Net gain (loss) on investments		633,578			(3,535,130	)		10,009,813		(3,578,401	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	557,678		$	(3,548,249	)	$	10,018,245	$	(3,475,304	)

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

August 31, 2016

(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	%				6,692	$	669,214	$	1,673
Education Management II, LLC	Leisure Goods/Activities/Movies	A-2 Preferred Shares	Equity		0.00	%				18,975		1,897,538		—
New Millennium Holdco, Inc.	Healthcare & Pharmaceuticals	Common Stock	Equity		0.00	%				14,813		964,466		11,228
24 Hour Holdings III, LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%		5/28/2021	$	490,000		486,449		475,912
ABB Con-Cise Optical Group, LLC	Healthcare & Pharmaceuticals	Term Loan B	Loan		6.00	%		5/28/2021	$	2,000,000		1,987,793		2,006,260
Acosta Holdco, Inc.	Media	Term Loan B1	Loan		4.25	%		9/26/2021	$	1,965,125		1,953,132		1,910,259
Aspen Dental Management, Inc.	Healthcare & Pharmaceuticals	Term Loan Initial	Loan		5.50	%		4/29/2022	$	1,492,481		1,488,165		1,502,749
Advantage Sales & Marketing, Inc.	Services: Business	Delayed Draw Term Loan	Loan		4.25	%		7/25/2021	$	2,458,719		2,455,834		2,438,434
Aegis Toxicology Science Corporation	Healthcare & Pharmaceuticals	Term B Loan	Loan		5.50	%		2/24/2021	$	2,476,183		2,336,688		2,228,565
Agrofresh, Inc.	Food Services	Term Loan	Loan		5.75	%		7/30/2021	$	1,980,000		1,971,495		1,950,300
Akorn, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.25	%		4/16/2021	$	398,056		396,816		401,539
Albertson’s LLC	Retailers (Except Food and Drugs)	Term Loan B-4	Loan		4.50	%		8/25/2021	$	2,903,452		2,893,319		2,915,327
Alere Inc. (fka IM US Holdings, LLC)	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		6/20/2022	$	922,606		920,608		911,073
Alion Science and Technology Corporation	High Tech Industries	Term Loan B (First Lien)	Loan		5.50	%		8/19/2021	$	2,970,000		2,957,287		2,821,500
Alliance Healthcare Services, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		6/3/2019	$	989,713		985,285		942,701
APCO Holdings, Inc.	Automotive	Term Loan	Loan		7.00	%		1/31/2022	$	1,987,500		1,934,566		1,937,813
American Beacon Advisors, Inc.	Financial Intermediaries	Term Loan (First Lien)	Loan		5.50	%		4/30/2022	$	242,065		241,040		239,192
Aramark Corporation	Food Products	U.S. Term F Loan	Loan		3.25	%		2/24/2021	$	3,134,390		3,134,390		3,143,198
Asurion, LLC (fka Asurion Corporation)	Insurance	Incremental Tranche B-1 Term Loan	Loan		5.00	%		5/24/2019	$	2,583,471		2,563,499		2,585,487
Asurion, LLC (fka Asurion Corporation)	Insurance	Term Loan B4 (First Lien)	Loan		5.00	%		8/4/2022	$	2,446,875		2,436,006		2,445,994
Auction.com, LLC	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		6.00	%		5/13/2019	$	2,732,469		2,732,115		2,725,638
Avantor Performance Materials Holdings, Inc.	Chemicals/Plastics	Term Loan	Loan		6.00	%		6/21/2022	$	2,000,000		1,993,354		1,996,260
Bass Pro Group, LLC	Retailers (Except Food and Drugs)	Term Loan	Loan		4.00	%		6/5/2020	$	1,481,250		1,478,758		1,473,222
Belmond Interfin Ltd.	Lodging & Casinos	Term Loan	Loan		4.00	%		3/19/2021	$	488,750		487,005		484,781
BJ’s Wholesale Club, Inc.	Food/Drug Retailers	New 2013 (November) Replacement Loan (First Lien)	Loan		4.50	%		9/26/2019	$	1,435,957		1,435,270		1,434,564
BMC Software	Technology	Term Loan	Loan		5.00	%		9/10/2020	$	1,969,697		1,921,390		1,874,501
Brickman Group Holdings, Inc.	Brokers/Dealers/Investment Houses	Initial Term Loan (First Lien)	Loan		4.00	%		12/18/2020	$	1,468,699		1,457,999		1,459,667
Brock Holdings III, Inc.	Industrial Equipment	Term Loan (First Lien)	Loan		6.00	%		3/16/2017	$	1,896,531		1,899,778		1,844,376
BWAY Holding Company	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%		8/14/2020	$	953,811		946,297		956,797
Camp International Holding Company	Aerospace and Defense	2013 Replacement Term Loan (First Lien)	Loan		4.75	%		5/31/2019	$	1,930,151		1,930,675		1,915,675
Candy Intermediate Holdings, Inc.	Beverage, Food & Tobacco	Term Loan	Loan		5.50	%		6/15/2023	$	500,000		497,577		499,065
Capital Automotive L.P.	Conglomerate	Tranche B-1 Term Loan Facility	Loan		4.00	%		4/10/2019	$	1,495,079		1,497,110		1,498,503
Catalent Pharma Solutions, Inc	Drugs	Initial Term B Loan	Loan		4.25	%		5/20/2021	$	490,001		488,239		492,540
Cengage Learning Acquisitions, Inc.	Publishing	Term Loan	Loan		5.25	%		6/7/2023	$	1,500,000		1,485,661		1,497,195
Charter Communications Operating, LLC	Cable and Satellite Television	Term F Loan	Loan		3.00	%		12/31/2020	$	1,617,873		1,613,777		1,618,989
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term G Loan	Loan		3.75	%		12/31/2019	$	1,017,431		993,225		976,520
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term H Loan	Loan		4.00	%		1/27/2021	$	1,872,045		1,824,244		1,793,813
Cinedigm Digital Funding I, LLC	Services: Business	Term Loan	Loan		3.75	%		2/28/2018	$	160,337		159,733		159,536
CITGO Petroleum Corporation	Oil & Gas	Term Loan B	Loan		4.50	%		7/29/2021	$	1,974,924		1,954,351		1,939,869
Communications Sales & Leasing, Inc.	Telecommunications	Term Loan B (First Lien)	Loan		5.00	%		10/24/2022	$	1,980,000		1,969,384		1,980,000
Consolidated Aerospace Manufacturing, LLC	Aerospace and Defense	Term Loan (First Lien)	Loan		4.75	%		8/11/2022	$	1,437,500		1,430,957		1,336,875
Concordia Healthcare Corporation	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.25	%		10/21/2021	$	1,990,000		1,892,925		1,881,485
CPI Acquisition Inc.	Technology	Term Loan B (First Lien)	Loan		5.50	%		8/17/2022	$	1,436,782		1,417,341		1,396,667
CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)	Electronics/Electric	Term B Loan	Loan		4.25	%		11/17/2017	$	1,556,222		1,556,222		1,536,769
Crosby US Acquisition Corporation	Industrial Equipment	Initial Term Loan (First Lien)	Loan		4.00	%		11/23/2020	$	731,250		730,594		597,343
CT Technologies Intermediate Hldgs, Inc	Healthcare & Pharmaceuticals	Term Loan	Loan		5.25	%		12/1/2021	$	1,477,575		1,465,276		1,448,024
Culligan International Company	Conglomerate	Dollar Loan (First Lien)	Loan		6.25	%		12/19/2017	$	3,767,616		3,716,501		3,692,264
Culligan International Company	Conglomerate	Dollar Loan (Second Lien)	Loan		9.50	%		6/19/2018	$	783,162		759,653		752,814
Cumulus Media Holdings Inc.	Broadcast Radio and Television	Term Loan	Loan		4.25	%		12/23/2020	$	470,093		467,008		326,324
DAE Aviation (StandardAero)	Aerospace and Defense	Term Loan	Loan		5.25	%		7/7/2022	$	1,985,000		1,976,439		1,990,459
DCS Business Services, Inc.	Financial Intermediaries	Term B Loan	Loan		8.75	%		3/19/2018	$	2,393,304		2,383,863		2,393,304
Dell International, LLC	Technology	Term Loan B2	Loan		4.00	%		4/29/2020	$	2,880,793		2,869,784		2,889,435
Delta 2 (Lux) S.a.r.l.	Lodging & Casinos	Term Loan B-3	Loan		4.75	%		7/30/2021	$	1,000,000		996,178		994,250
Deluxe Entertainment Service Group, Inc.	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		6.50	%		2/28/2020	$	1,882,982		1,884,133		1,835,908
Diamond Resorts International	Lodging & Casinos	Term Loan	Loan		5.50	%		5/7/2021	$	926,971		923,536		925,210
Diamond Resorts International	Lodging & Casinos	Term Loan (Add-On)	Loan		5.50	%		5/7/2021	$	1,000,000		982,323		996,250
Diebold, Inc.	High Tech Industries	Term Loan B	Loan		5.25	%		11/6/2023	$	500,000		495,193		501,875
DJO Finance, LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		4.25	%		6/8/2020	$	495,000		493,182		477,056
DPX Holdings B.V.	Healthcare & Pharmaceuticals	Term Loan 2015 Incr Dollar	Loan		4.25	%		3/11/2021	$	2,940,000		2,934,157		2,927,152
Drew Marine Group, Inc.	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.25	%		11/19/2020	$	2,456,135		2,432,203		2,400,872
DTZ U.S. Borrower, LLC	Construction & Building	Term Loan B Add-on	Loan		4.25	%		11/4/2021	$	1,972,519		1,963,587		1,962,045
Edelman Financial Group, Inc.	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		6.50	%		12/19/2022	$	1,492,500		1,464,947		1,495,306
Education Management II, LLC	Leisure Goods/Activities/Movies	Term Loan A	Loan		5.50	%		7/2/2020	$	501,970		487,043		126,331
Education Management II, LLC	Leisure Goods/Activities/Movies	Term Loan B (2.00% Cash/6.50% PIK)	Loan		8.50	%		7/2/2020	$	923,048		900,098		38,463
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%		8/1/2021	$	482,159		480,366		482,964
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (Second Lien)	Loan		7.75	%		8/1/2022	$	500,000		497,983		489,165
Emerald 2 Limited	Chemicals/Plastics	Term Loan B1A	Loan		5.00	%		5/14/2021	$	1,000,000		992,962		906,670
Endo International plc	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.75	%		9/26/2022	$	995,000		992,780		989,090
EnergySolutions, LLC	Environmental Industries	Term Loan B	Loan		6.75	%		5/29/2020	$	795,000		784,320		787,050
Engility Corporation	Aerospace and Defense	Term Loan B-1	Loan		4.88	%		8/12/2020	$	250,000		248,757		251,408
Evergreen Acqco 1 LP	Retailers (Except Food and Drugs)	New Term Loan	Loan		5.00	%		7/9/2019	$	960,094		958,777		834,321
EWT Holdings III Corp. (fka WTG Holdings III Corp.)	Industrial Equipment	Term Loan (First Lien)	Loan		4.75	%		1/15/2021	$	1,957,368		1,953,440		1,962,261
EWT Holdings III Corp.	Capital Equipment	Term Loan	Loan		5.50	%		1/15/2021	$	997,500		988,228		1,002,488
Extreme Reach, Inc.	Media	Term Loan B	Loan		7.25	%		2/7/2020	$	3,000,000		2,986,651		3,018,750
Federal-Mogul Corporation	Automotive	Tranche C Term Loan	Loan		4.75	%		4/15/2021	$	2,940,000		2,929,732		2,799,527
First Data Corporation	Financial Intermediaries	First Data T/L Ext (2021)	Loan		4.52	%		3/24/2021	$	2,021,537		1,954,630		2,030,149
First Eagle Investment Management	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		4.75	%		12/1/2022	$	1,492,500		1,465,494		1,481,306
Fitness International, LLC	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%		7/1/2020	$	1,934,146		1,907,268		1,927,376
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)	Nonferrous Metals/Minerals	Loan	Loan		3.75	%		6/28/2019	$	1,490,966		1,491,981		1,482,109
Garda World Security Corporation	Services: Business	Term B Delayed Draw Loan	Loan		4.00	%		11/6/2020	$	198,102		197,448		194,883
Garda World Security Corporation	Services: Business	Term B Loan	Loan		4.00	%		11/6/2020	$	774,398		771,902		761,814
Gardner Denver, Inc.	High Tech Industries	Initial Dollar Term Loan	Loan		4.25	%		7/30/2020	$	2,438,599		2,433,122		2,312,475
Gates Global LLC	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		4.25	%		7/5/2021	$	484,156		479,314		476,288
General Nutrition Centers, Inc.	Retailers (Except Food and Drugs)	Amended Tranche B Term Loan	Loan		3.25	%		3/4/2019	$	2,125,219		2,120,837		2,100,417
Global Tel*Link Corporation	Services: Business	Term Loan (First Lien)	Loan		5.00	%		5/26/2020	$	2,682,732		2,675,684		2,557,529
Goodyear Tire & Rubber Company, The	Chemicals/Plastics	Loan (Second Lien)	Loan		3.75	%		4/30/2019	$	2,000,000		1,976,471		2,001,500
Grosvenor Capital Management Holdings, LP	Brokers/Dealers/Investment Houses	Initial Term Loan	Loan		3.75	%		1/4/2021	$	1,014,560		1,011,209		1,003,572
GTCR Valor Companies, Inc.	Services: Business	Term Loan B	Loan		7.00	%		5/17/2023	$	1,500,000		1,440,274		1,423,125
Harland Clarke Holdings Corp. (fka Clarke American Corp.)	Publishing	Tranche B-4 Term Loan	Loan		6.99	%		8/2/2019	$	2,468,750		2,378,555		2,414,758
Headwaters Incorporated	Building & Development	Term Loan	Loan		4.50	%		3/24/2022	$	247,500		246,448		247,500
Help/Systems Holdings, Inc.	High Tech Industries	Term Loan	Loan		6.25	%		10/8/2021	$	1,492,500		1,436,471		1,475,709
Hemisphere Media Holdings, LLC	Media	Term Loan B	Loan		5.00	%		7/30/2020	$	2,500,000		2,506,310		2,493,750
Hercules Achievement Holdings, Inc.	Retailers (Except Food and Drugs)	Term Loan B	Loan		5.00	%		12/10/2021	$	248,111		245,876		248,731
Hoffmaster Group, Inc.	Containers/Glass Products	Term Loan	Loan		5.25	%		5/8/2020	$	1,960,000		1,947,036		1,953,885
Hostess Brand, LLC	Beverage, Food & Tobacco	Term Loan B (First Lien)	Loan		4.50	%		8/3/2022	$	992,500		990,343		997,214
Huntsman International LLC	Chemicals/Plastics	Term Loan B (First Lien)	Loan		3.52	%		4/19/2019	$	3,305,591		3,286,001		3,308,334
Husky Injection Molding Systems Ltd.	Services: Business	Term Loan B	Loan		4.25	%		6/30/2021	$	488,709		486,969		486,646
Imagine! Print Solutions, Inc.	Media	Term Loan B	Loan		7.00	%		3/30/2022	$	498,750		491,671		500,620
Infor (US), Inc. (fka Lawson Software Inc.)	Services: Business	Tranche B-5 Term Loan	Loan		3.75	%		6/3/2020	$	2,139,810		2,127,549		2,114,667
Insight Global	Services: Business	Term Loan	Loan		6.00	%		10/29/2021	$	2,468,096		2,456,476		2,471,798
Informatica Corporation	High Tech Industries	Term Loan B	Loan		4.50	%		8/5/2022	$	496,250		495,133		478,881
J. Crew Group, Inc.	Retailers (Except Food and Drugs)	Term B-1 Loan Retired 03/05/2014	Loan		4.00	%		3/5/2021	$	950,619		950,619		749,563
Jazz Acquisition, Inc	Aerospace and Defense	First Lien 6/14	Loan		4.50	%		6/19/2021	$	490,303		489,370		442,253
J.Jill Group, Inc.	Retailers (Except Food and Drugs)	Term Loan (First Lien)	Loan		6.00	%		5/9/2022	$	990,003		985,698		970,203
Kinetic Concepts, Inc.	Healthcare & Pharmaceuticals	Term Loan F-1	Loan		5.00	%		11/4/2020	$	2,440,214		2,432,629		2,449,365
Koosharem, LLC	Services: Business	Term Loan	Loan		7.50	%		5/15/2020	$	2,950,075		2,930,014		2,522,314
Kraton Polymers, LLC	Chemicals/Plastics	Term Loan (Initial)	Loan		6.00	%		1/6/2022	$	2,500,000		2,268,983		2,501,575
Lannett Company, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		6.38	%		11/25/2022	$	1,950,000		1,887,295		1,908,563
LPL Holdings	Banking, Finance, Insurance & Real Estate	Term Loan B (2022)	Loan		4.75	%		11/21/2022	$	1,990,000		1,971,963		2,001,204
McGraw-Hill Global Education Holdings, LLC	Publishing	Term Loan	Loan		5.00	%		5/4/2022	$	1,000,000		995,280		1,004,380
Mauser Holdings, Inc.	Containers/Glass Products	Term Loan	Loan		4.50	%		7/31/2021	$	491,250		489,428		489,201
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term B Loan	Loan		3.75	%		1/28/2020	$	483,750		483,750		485,496
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B-2	Loan		4.00	%		1/28/2020	$	1,205,294		1,201,088		1,212,610
Micro Holding Corporation	High Tech Industries	Term Loan	Loan		4.75	%		7/8/2021	$	987,411		983,240		983,708
Microsemi Corporation	Electronics/Electric	Term Loan B	Loan		3.75	%		1/17/2023	$	979,015		951,794		985,026
Midas Intermediate Holdco II, LLC	Automotive	Term Loan (Initial)	Loan		4.50	%		8/18/2021	$	245,625		244,644		246,239
Milk Specialties Company	Beverage, Food & Tobacco	Term Loan	Loan		6.00	%		8/16/2023	$	1,000,000		990,047		1,001,250
MSC Software Corporation	Services: Business	Term Loan	Loan		5.00	%		5/29/2020	$	1,980,000		1,937,888		1,960,200
MWI Holdings, Inc.	Capital Equipment	Term Loan (First Lien)	Loan		6.50	%		6/29/2020	$	3,000,000		2,976,771		2,992,500
National Veterinary Associates, Inc	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%		8/14/2021	$	982,534		979,601		980,893
National Vision, Inc.	Retailers (Except Food and Drugs)	Term Loan (Second Lien)	Loan		6.75	%		3/11/2022	$	250,000		249,761		232,033
Neptune Finco (CSC Holdings)	Cable and Satellite Television	Term Loan	Loan		5.00	%		10/7/2022	$	997,500		984,211		1,005,191
New Millennium Holdco, Inc.	Healthcare & Pharmaceuticals	Term Loan	Loan		7.50	%		12/21/2020	$	1,997,007		1,822,451		948,578
NorthStar Asset Management Group, Inc.	Banking, Finance, Insurance & Real Estate	Term Loan B	Loan		4.63	%		1/30/2023	$	1,995,000		1,929,403		1,986,681
Novelis, Inc.	Conglomerate	Term Loan B	Loan		4.00	%		6/2/2022	$	4,747,083		4,726,799		4,755,248
Novetta Solutions	Aerospace and Defense	Term Loan (200MM)	Loan		6.00	%		10/16/2022	$	1,990,000		1,971,971		1,885,525
Novetta Solutions	Aerospace and Defense	Term Loan (2nd Lien)	Loan		9.50	%		9/29/2023	$	1,000,000		990,712		920,000
NPC International, Inc.	Food Services	Term Loan (2013)	Loan		4.75	%		12/28/2018	$	477,298		477,298		477,097
Numericable U.S., LLC	Broadcast Radio and Television	Term Loan B-5	Loan		4.56	%		7/31/2022	$	992,500		990,344		992,679
NuSil Technology, LLC	Chemicals/Plastics	Term Loan	Loan		6.00	%		4/5/2019	$	2,782,343		2,767,725		2,776,556
NVA Holdings, Inc.	Services: Consumer	Term Loan B1	Loan		4.75	%		8/14/2021	$	249,375		248,759		249,375
Om Group	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		7.00	%		10/28/2021	$	997,494		901,636		980,038
ON Semiconductor Corporation	High Tech Industries	Term Loan B	Loan		5.25	%		3/31/2023	$	500,000		492,859		506,160
Onex Carestream Finance LP	Healthcare & Pharmaceuticals	Term Loan (First Lien 2013)	Loan		5.00	%		6/7/2019	$	3,723,057		3,713,318		3,534,596
OnexYork Acquisition Co	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%		10/1/2021	$	491,250		488,417		435,984
OpenLink International, LLC	Services: Business	Term B Loan	Loan		7.75	%		7/29/2019	$	2,929,160		2,928,277		2,912,083
P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)	Food/Drug Retailers	Term Borrowing	Loan		4.25	%		6/24/2019	$	1,425,174		1,420,371		1,389,545
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)	Services: Business	Term Loan (First Lien)	Loan		5.00	%		10/30/2020	$	975,000		971,514		909,188
Petsmart, Inc. (Argos Merger Sub, Inc.)	Retailers (Except Food and Drugs)	Term Loan B1	Loan		4.25	%		3/11/2022	$	987,500		983,257		988,734
PGX Holdings, Inc.	Financial Intermediaries	Term Loan	Loan		5.75	%		9/29/2020	$	949,643		942,884		946,481
Phillips-Medisize Corporation	Healthcare & Pharmaceuticals	Term Loan	Loan		4.75	%		6/16/2021	$	490,000		488,213		489,182
Planet Fitness Holdings LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.50	%		3/31/2021	$	2,404,597		2,396,951		2,419,626
PrePaid Legal Services, Inc.	Services: Business	Term Loan B	Loan		6.50	%		7/1/2019	$	3,393,480		3,397,685		3,389,239
Presidio, Inc.	Services: Business	Term Loan	Loan		5.25	%		2/2/2022	$	2,391,444		2,335,704		2,384,605
Prime Security Services (Protection One)	Services: Business	Term Loan	Loan		4.75	%		7/1/2021	$	1,990,000		1,981,620		2,006,915
Ranpak Holdings, Inc.	Services: Business	Term Loan	Loan		4.25	%		10/1/2021	$	933,627		931,293		920,398
Ranpak Holdings, Inc.	Services: Business	Term Loan (Second Lien)	Loan		8.25	%		10/3/2022	$	500,000		497,992		460,000
Redtop Acquisitions Limited	Electronics/Electric	Initial Dollar Term Loan (First Lien)	Loan		4.50	%		12/3/2020	$	487,500		485,218		486,891
Regal Cinemas Corporation	Services: Consumer	Term Loan	Loan		3.50	%		4/1/2022	$	496,250		495,132		497,987
Research Now Group, Inc	Media	Term Loan B	Loan		5.50	%		3/18/2021	$	2,048,075		2,039,131		1,986,633
Rexnord LLC/RBS Global, Inc.	Industrial Equipment	Term B Loan	Loan		4.00	%		8/21/2020	$	1,540,540		1,541,679		1,539,970
Reynolds Group Holdings Inc.	Industrial Equipment	Incremental U.S. Term Loan	Loan		4.25	%		2/6/2023	$	1,765,548		1,765,548		1,767,208
Rocket Software, Inc.	Services: Business	Term Loan (First Lien)	Loan		5.75	%		2/8/2018	$	1,891,942		1,883,013		1,894,307
Rovi Solutions Corporation / Rovi Guides, Inc.	Electronics/Electric	Tranche B-3 Term Loan	Loan		3.75	%		7/2/2021	$	1,470,000		1,464,686		1,460,195
Royal Adhesives and Sealants	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%		6/20/2022	$	495,000		492,827		496,084
Royal Adhesives and Sealants	Chemicals/Plastics	Term Loan (Second Lien)	Loan		8.50	%		6/19/2023	$	500,000		496,533		492,500
RPI Finance Trust	Financial Intermediaries	Term B-4 Term Loan	Loan		3.50	%		11/9/2020	$	3,134,220		3,134,220		3,151,207
Russell Investment Management T/L B	Banking, Finance, Insurance & Real Estate	Term Loan B	Loan		6.75	%		6/1/2023	$	2,000,000		1,880,801		1,883,340
Sable International Finance Ltd	Telecommunications	Term Loan B1	Loan		5.50	%		12/2/2022	$	825,000		809,076		829,472
Sable International Finance Ltd	Telecommunications	Term Loan B2	Loan		5.50	%		12/2/2022	$	675,000		661,971		678,659
SBP Holdings LP	Industrial Equipment	Term Loan (First Lien)	Loan		5.00	%		3/27/2021	$	977,500		974,042		762,450
Scientific Games International, Inc.	Electronics/Electric	Term Loan B2	Loan		6.00	%		10/1/2021	$	985,000		975,913		984,320
SCS Holdings (Sirius Computer)	High Tech Industries	Term Loan (First Lien)	Loan		6.00	%		10/30/2022	$	1,977,528		1,941,664		1,988,246
Seadrill Operating LP	Oil & Gas	Term Loan B	Loan		4.00	%		2/21/2021	$	982,368		921,146		470,721
Sensus USA Inc.	Utilities	Term Loan	Loan		6.50	%		4/5/2023	$	1,900,135		1,894,785		1,904,885
ServiceMaster Company, The	Conglomerate	Tranche B Term Loan	Loan		4.25	%		7/1/2021	$	1,965,000		1,950,684		1,976,790
Shearers Foods LLC	Food Services	Term Loan (First Lien)	Loan		4.94	%		6/30/2021	$	982,500		980,621		976,359
Sitel Worldwide	Telecommunications	Term Loan	Loan		6.50	%		9/18/2021	$	1,985,000		1,967,812		1,971,760
Sonneborn, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.75	%		12/10/2020	$	209,075		208,675		209,075
Sonneborn, LLC	Chemicals/Plastics	Initial US Term Loan	Loan		4.75	%		12/10/2020	$	1,184,756		1,182,493		1,184,757
Sophia, L.P.	Electronics/Electric	Term Loan (Closing Date)	Loan		4.75	%		9/30/2022	$	1,985,000		1,976,164		1,984,166
SourceHOV LLC	Services: Business	Term Loan B (First Lien)	Loan		7.75	%		10/31/2019	$	1,887,500		1,848,187		1,506,848
SRAM, LLC	Industrial Equipment	Term Loan (First Lien)	Loan		4.00	%		4/10/2020	$	2,833,435		2,826,700		2,713,014
Steak ‘n Shake Operations, Inc.	Food Services	Term Loan	Loan		4.75	%		3/19/2021	$	928,173		921,737		914,250
SuperMedia Inc. (fka Idearc Inc.)	Publishing	Loan	Loan		11.60	%		12/30/2016	$	200,478		200,451		77,812
Survey Sampling International	Services: Business	Term Loan B	Loan		6.00	%		12/16/2020	$	2,735,604		2,719,614		2,715,087
Sybil Finance BV	High Tech Industries	Term Loan B	Loan		5.00	%		8/3/2022	$	1,000,000		995,000		1,000,940
Sybil Finance BV	High Tech Industries	Term Loan	Loan		4.25	%		3/20/2020	$	1,239,524		1,238,443		1,241,073
Syniverse Holdings, Inc.	Telecommunications	Initial Term Loan	Loan		4.00	%		4/23/2019	$	468,977		466,513		415,927
TaxACT, Inc.	Services: Business	Term Loan B	Loan		7.00	%		1/3/2023	$	1,475,000		1,433,967		1,482,375
Tectum Holdings, Inc.	Transportation	Delayed Draw Term Loan (Initial)	Loan		5.75	%		8/24/2023	$	780,952		770,952		779,702
Texas Competitive Electric Holdings Company, LLC	Utilities	Term Loan B	Loan		5.00	%		10/31/2017	$	814,286		806,539		817,543
Texas Competitive Electric Holdings Company, LLC	Utilities	Term Loan C	Loan		5.00	%		10/31/2017	$	185,714		183,948		186,528
TGI Friday’s, Inc.	Food Services	Term Loan B	Loan		5.25	%		7/15/2020	$	1,651,816		1,648,391		1,643,557
Townsquare Media, Inc.	Media	Term Loan B	Loan		4.25	%		4/1/2022	$	932,522		928,672		932,522
TPF II Power LLC and TPF II Covert Midco LLC	Utilities	Term Loan B	Loan		5.00	%		10/2/2021	$	1,423,645		1,369,789		1,429,581
TransDigm, Inc.	Aerospace and Defense	Tranche C Term Loan	Loan		3.75	%		2/28/2020	$	4,255,246		4,265,475		4,245,076
Travel Leaders Group, LLC	Hotel, Gaming and Leisure	Term Loan B	Loan		7.00	%		12/7/2020	$	2,667,187		2,652,367		2,647,183
Tricorbraun, Inc. (fka Kranson Industries, Inc.)	Containers/Glass Products	Term Loan	Loan		4.00	%		5/3/2018	$	2,831,864		2,830,158		2,826,569
Trugreen Limited Partnership	Services: Business	Term Loan B	Loan		6.50	%		4/13/2023	$	500,000		492,927		503,125
Twin River Management Group, Inc.	Lodging & Casinos	Term Loan B	Loan		5.25	%		7/10/2020	$	866,521		867,991		869,233
Univar Inc.	Chemicals/Plastics	Term B Loan	Loan		4.25	%		7/1/2022	$	2,977,500		2,964,666		2,972,170
Univision Communications Inc.	Telecommunications	Replacement First-Lien Term Loan	Loan		4.00	%		3/1/2020	$	2,901,111		2,890,101		2,899,806
Valeant Pharmaceuticals International, Inc.	Drugs	Series D2 Term Loan B	Loan		5.00	%		2/13/2019	$	2,468,720		2,459,768		2,464,598
Verint Systems Inc.	Services: Business	Term Loan	Loan		3.50	%		9/6/2019	$	1,011,464		1,009,003		1,011,717
Vizient Inc.	Healthcare & Pharmaceuticals	Term Loan	Loan		6.25	%		2/13/2023	$	997,500		969,696		1,008,103
Vouvray US Finance	Industrial Equipment	Term Loan	Loan		4.75	%		6/27/2021	$	490,000		488,186		488,368
Washington Inventory Service	Services: Business	U.S. Term Loan (First Lien)	Loan		5.75	%		12/20/2018	$	1,736,393		1,747,098		1,085,246
Western Digital Corporation	High Tech Industries	Term Loan B (USD)	Loan		4.50	%		5/1/2023	$	1,600,000		1,568,172		1,608,288
Windstream Services, LLC	Telecommunications	Term Loan B6	Loan		5.75	%		3/29/2021	$	249,375		243,569		250,856
ZEP, Inc.	Chemicals/Plastics	Term Loan B	Loan		5.50	%		6/27/2022	$	2,970,000		2,957,142		2,971,871

											$	299,967,726	$	290,957,156


									Principal		Cost		Fair Value
Cash and cash equivalents
U.S. Bank Money Market (a)									$	5,172,517	$	5,172,517	$	5,172,517

Total cash and cash equivalents									$	5,172,517	$	5,172,517	$	5,172,517

(a)	Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of August 31, 2016.

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

February 29, 2016


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	$	1,673
Education Management II, LLC	Leisure Goods/Activities/Movies	A-2 Preferred Shares	Equity		0.00	%				18,975		1,897,538		95
New Millennium Holdco, Inc.	Healthcare & Pharmaceuticals	Common Stock	Equity		0.00	%				14,813		964,466		190,095
24 Hour Holdings III, LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%		5/28/2021	$	492,500		488,586		455,154
Acosta Holdco, Inc.	Media	Term Loan B1	Loan		4.25	%		9/26/2021	$	1,972,936		1,959,834		1,855,389
Aspen Dental Management, Inc.	Healthcare & Pharmaceuticals	Term Loan Initial	Loan		5.50	%		4/29/2022	$	497,500		495,228		495,221
Advantage Sales & Marketing, Inc.	Services: Business	Delayed Draw Term Loan	Loan		4.25	%		7/25/2021	$	2,471,231		2,468,039		2,342,826
Agrofresh, Inc.	Food Services	Term Loan	Loan		5.75	%		7/30/2021	$	1,990,000		1,980,704		1,935,275
Aegis Toxicology Science Corporation	Healthcare & Pharmaceuticals	Term B Loan	Loan		5.50	%		2/24/2021	$	985,000		985,000		797,850
Akorn, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		6.00	%		4/16/2021	$	398,056		396,681		396,066
Albertson’s LLC	Retailers (Except Food and Drugs)	Term Loan B-4	Loan		5.50	%		8/25/2021	$	3,384,425		3,367,410		3,302,623
Alere Inc. (fka IM US Holdings, LLC)	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		6/20/2022	$	927,265		925,091		925,365
Alion Science and Technology Corporation	High Tech Industries	Term Loan B (First Lien)	Loan		5.50	%		8/19/2021	$	2,985,000		2,971,074		2,824,555
Alliance Healthcare Services, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		6/3/2019	$	994,856		990,161		906,981
Alliant Holdings I, LLC	Banking, Finance, Insurance & Real Estate	Term Loan B (First Lien)	Loan		4.50	%		8/12/2022	$	995,000		992,679		960,921
Alvogen Pharma US, Inc	Healthcare & Pharmaceuticals	Term Loan	Loan		6.00	%		4/4/2022	$	480,447		478,240		456,425
American Beacon Advisors, Inc.	Financial Intermediaries	Term Loan (First Lien)	Loan		5.50	%		4/30/2022	$	248,749		247,612		244,190
Aramark Corporation	Food Products	LC-2 Facility	Loan		0.29	%		7/26/2016	$	9,447		9,445		9,305
Aramark Corporation	Food Products	LC-3 Facility	Loan		0.29	%		7/26/2016	$	5,244		5,244		5,166
Aramark Corporation	Food Products	U.S. Term F Loan	Loan		3.25	%		2/24/2021	$	3,150,423		3,150,423		3,126,133
Asurion, LLC (fka Asurion Corporation)	Insurance	Incremental Tranche B-1 Term Loan	Loan		5.00	%		5/24/2019	$	2,596,480		2,573,245		2,441,237
Asurion, LLC (fka Asurion Corporation)	Insurance	Term Loan B4 (First Lien)	Loan		5.00	%		8/4/2022	$	2,478,125		2,466,303		2,270,582
Auction.com, LLC	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		6.00	%		5/13/2019	$	2,522,992		2,522,722		2,491,455
Avantor Performance Materials Holdings, Inc.	Chemicals/Plastics	Term Loan	Loan		5.25	%		6/24/2017	$	2,156,953		2,153,896		2,135,384
Bass Pro Group, LLC	Retailers (Except Food and Drugs)	Term Loan	Loan		4.00	%		6/5/2020	$	1,488,750		1,485,895		1,397,564
Belmond Interfin Ltd.	Lodging & Casinos	Term Loan	Loan		4.00	%		3/19/2021	$	491,249		489,361		477,127
Berry Plastics Corporation	Chemicals/Plastics	Term E Loan	Loan		3.75	%		1/6/2021	$	1,314,499		1,305,069		1,291,903
BJ’s Wholesale Club, Inc.	Food/Drug Retailers	New 2013 (November) Replacement Loan (First Lien)	Loan		4.50	%		9/26/2019	$	1,476,196		1,475,409		1,401,161
Blue Coat Systems	Technology	Term Loan B	Loan		4.50	%		5/20/2022	$	997,500		995,159		945,131
BMC Software	Technology	Term Loan	Loan		5.00	%		9/10/2020	$	1,979,798		1,926,080		1,571,821
Brickman Group Holdings, Inc.	Brokers/Dealers/Investment Houses	Initial Term Loan (First Lien)	Loan		4.00	%		12/18/2020	$	1,476,212		1,464,327		1,426,390
Brock Holdings III, Inc.	Industrial Equipment	Term Loan (First Lien)	Loan		6.00	%		3/16/2017	$	1,917,168		1,924,101		1,802,138
Burlington Coat Factory Warehouse Corporation	Retailers (Except Food and Drugs)	Term B-2 Loan	Loan		4.25	%		8/13/2021	$	1,861,667		1,853,426		1,845,843
BWAY Holding Company	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%		8/14/2020	$	985,000		976,335		930,826
Caesars Entertainment Corp.	Lodging & Casinos	Term B-7 Loan	Loan		13.25	%		3/1/2017	$	995,000		991,037		814,656
Camp International Holding Company	Aerospace and Defense	2013 Replacement Term Loan (First Lien)	Loan		4.75	%		5/31/2019	$	1,940,113		1,940,984		1,806,730
Capital Automotive L.P.	Conglomerate	Tranche B-1 Term Loan Facility	Loan		4.00	%		4/10/2019	$	2,051,828		2,055,060		2,044,564
Catalent Pharma Solutions, Inc	Drugs	Initial Term B Loan	Loan		4.25	%		5/20/2021	$	492,501		490,549		487,271
Cengage Learning Acquisitions, Inc.	Publishing	Term Loan	Loan		7.00	%		3/31/2020	$	2,647,871		2,670,807		2,539,758
Charter Communications Operating, LLC	Cable and Satellite Television	Term F Loan	Loan		3.00	%		12/31/2020	$	2,628,783		2,621,343		2,566,823
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term G Loan	Loan		3.75	%		12/31/2019	$	1,022,569		994,876		974,212
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term H Loan	Loan		4.00	%		1/27/2021	$	1,881,500		1,828,566		1,785,920
Cinedigm Digital Funding I, LLC	Services: Business	Term Loan	Loan		3.75	%		2/28/2018	$	298,828		297,362		295,840
CITGO Petroleum Corporation	Oil & Gas	Term Loan B	Loan		4.50	%		7/29/2021	$	1,984,975		1,962,423		1,865,876
Communications Sales & Leasing, Inc.	Telecommunications	Term Loan B (First Lien)	Loan		5.00	%		10/24/2022	$	1,990,000		1,978,594		1,847,596
CommScope, Inc.	Telecommunications	Term Loan B	Loan		3.75	%		12/29/2022	$	498,750		497,568		494,176
Consolidated Aerospace Manufacturing, LLC	Aerospace and Defense	Term Loan (First Lien)	Loan		4.75	%		8/11/2022	$	1,437,500		1,430,556		1,329,688
Concordia Healthcare Corp	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.25	%		10/21/2021	$	2,000,000		1,894,483		1,920,000
CPI Acquisition Inc.	Technology	Term Loan B (First Lien)	Loan		5.50	%		8/17/2022	$	1,436,782		1,415,977		1,396,667
CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)	Electronics/Electric	Term B Loan	Loan		4.25	%		11/17/2017	$	1,564,182		1,564,182		1,501,615
Crosby US Acquisition Corp.	Industrial Equipment	Initial Term Loan (First Lien)	Loan		4.00	%		11/23/2020	$	735,000		734,245		536,550
CT Technologies Intermediate Hldgs, Inc	Healthcare & Pharmaceuticals	Term Loan	Loan		5.25	%		12/1/2021	$	1,485,038		1,471,665		1,433,061
Culligan International Company	Conglomerate	Dollar Loan (First Lien)	Loan		6.25	%		12/19/2017	$	771,625		742,910		721,469
Culligan International Company	Conglomerate	Dollar Loan (Second Lien)	Loan		9.50	%		6/19/2018	$	783,162		754,065		734,214
Cumulus Media Holdings Inc.	Broadcast Radio and Television	Term Loan	Loan		4.25	%		12/23/2020	$	470,093		466,690		304,973
DAE Aviation (StandardAero)	Aerospace and Defense	Term Loan	Loan		5.25	%		7/7/2022	$	1,995,000		1,985,759		1,970,063
DCS Business Services, Inc.	Financial Intermediaries	Term B Loan	Loan		8.75	%		3/19/2018	$	2,409,739		2,397,948		2,409,739
Dell International LLC	Technology	Term Loan B2	Loan		4.00	%		4/29/2020	$	2,904,989		2,892,348		2,889,854
Delta 2 (Lux) S.a.r.l.	Lodging & Casinos	Term Loan B-3	Loan		4.75	%		7/30/2021	$	1,000,000		995,870		925,000
Deluxe Entertainment Service Group, Inc.	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		6.50	%		2/28/2020	$	1,882,983		1,884,279		1,751,174
Diamond Resorts International	Lodging & Casinos	Term Loan	Loan		5.50	%		5/7/2021	$	926,971		923,222		897,614
Diamond Resorts International	Lodging & Casinos	Term Loan (Add-On)	Loan		5.50	%		5/7/2021	$	1,000,000		980,687		968,330
DJO Finance, LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		4.25	%		6/8/2020	$	497,500		495,435		478,222
DPX Holdings B.V.	Healthcare & Pharmaceuticals	Term Loan 2015 Incr Dollar	Loan		4.25	%		3/11/2021	$	2,955,000		2,948,456		2,799,863
Drew Marine Group, Inc.	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.25	%		11/19/2020	$	2,472,161		2,445,601		2,299,110
DTZ U.S. Borrower, LLC	Construction & Building	Term Loan B Add-on	Loan		4.25	%		11/4/2021	$	2,985,000		2,970,317		2,869,331
Edelman Financial Group, Inc.	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		6.50	%		12/19/2022	$	1,500,000		1,470,617		1,459,695
Education Management II, LLC	Leisure Goods/Activities/Movies	Term Loan A	Loan		5.50	%		7/2/2020	$	501,970		485,313		160,630
Education Management II, LLC	Leisure Goods/Activities/Movies	Term Loan B (2.00% Cash/6.50% PIK)	Loan		8.50	%		7/2/2020	$	893,447		867,647		56,582
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		4.50	%		8/1/2021	$	484,659		482,690		473,148
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (Second Lien)	Loan		7.75	%		8/1/2022	$	500,000		497,844		468,750
Emerald 2 Limited	Chemicals/Plastics	Term Loan B1A	Loan		5.00	%		5/14/2021	$	1,000,000		991,762		866,670
Endo International plc	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.75	%		9/26/2022	$	1,000,000		997,602		987,780
EnergySolutions, LLC	Environmental Industries	Term Loan B	Loan		6.75	%		5/29/2020	$	937,857		923,660		731,528
Evergreen Acqco 1 LP	Retailers (Except Food and Drugs)	New Term Loan	Loan		5.00	%		7/9/2019	$	965,081		963,406		719,951
EWT Holdings III Corp. (fka WTG Holdings III Corp.)	Industrial Equipment	Term Loan (First Lien)	Loan		4.75	%		1/15/2021	$	1,967,406		1,962,950		1,908,383
Federal-Mogul Corporation	Automotive	Tranche C Term Loan	Loan		4.75	%		4/15/2021	$	2,955,000		2,943,580		2,345,530
First Data Corporation	Financial Intermediaries	First Data Corp T/L (2018 New Dollar)	Loan		3.93	%		3/23/2018	$	2,790,451		2,748,229		2,752,780
First Data Corporation	Financial Intermediaries	First Data T/L Ext (2021)	Loan		4.43	%		3/24/2021	$	2,111,028		2,034,284		2,077,779
First Eagle Investment Management	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		4.75	%		12/1/2022	$	1,500,000		1,470,946		1,412,504
Fitness International, LLC	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.50	%		7/1/2020	$	1,976,234		1,945,935		1,850,249
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)	Nonferrous Metals/Minerals	Loan	Loan		4.25	%		6/28/2019	$	1,962,387		1,962,515		1,504,738
Garda World Security Corporation	Services: Business	Term B Delayed Draw Loan	Loan		4.00	%		11/6/2020	$	199,120		198,391		187,344
Garda World Security Corporation	Services: Business	Term B Loan	Loan		4.00	%		11/6/2020	$	778,380		775,586		732,346
Gardner Denver, Inc.	High Tech Industries	Initial Dollar Term Loan	Loan		4.25	%		7/30/2020	$	2,451,137		2,445,005		2,016,452
Gates Global LLC	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		4.25	%		7/5/2021	$	493,750		488,813		433,883
Generac Power Systems, Inc.	Industrial Equipment	Term Loan B	Loan		3.50	%		5/31/2020	$	693,858		684,537		676,511
General Nutrition Centers, Inc.	Retailers (Except Food and Drugs)	Amended Tranche B Term Loan	Loan		3.25	%		3/4/2019	$	4,131,271		4,121,165		4,012,497
Global Tel*Link Corporation	Services: Business	Term Loan (First Lien)	Loan		5.00	%		5/26/2020	$	2,725,318		2,717,647		2,237,023
Goodyear Tire & Rubber Company, The	Chemicals/Plastics	Loan (Second Lien)	Loan		3.75	%		4/30/2019	$	2,000,000		1,974,077		2,005,000
Grosvenor Capital Management Holdings, LP	Brokers/Dealers/Investment Houses	Initial Term Loan	Loan		3.75	%		1/4/2021	$	1,264,036		1,259,418		1,191,354
GTCR Valor Companies, Inc.	Services: Business	Term Loan (First Lien)	Loan		6.00	%		6/1/2021	$	1,974,982		1,941,456		1,959,340
Harland Clarke Holdings Corp. (fka Clarke American Corp.)	Publishing	Tranche B-4 Term Loan	Loan		6.00	%		8/2/2019	$	475,000		473,378		421,561
HCA Inc.	Healthcare & Pharmaceuticals	Tranche B-4 Term Loan	Loan		3.36	%		5/1/2018	$	2,119,664		2,053,127		2,116,294
Headwaters Incorporated	Building & Development	Term Loan	Loan		4.50	%		3/24/2022	$	248,750		247,628		248,285
Hercules Achievement Holdings, Inc.	Retailers (Except Food and Drugs)	Term Loan B	Loan		5.00	%		12/10/2021	$	249,370		246,940		244,929
Hertz Corporation, The	Automotive	Tranche B-1 Term Loan	Loan		3.75	%		3/12/2018	$	2,910,000		2,933,230		2,879,998
Hoffmaster Group, Inc.	Containers/Glass Products	Term Loan	Loan		5.25	%		5/8/2020	$	1,970,000		1,955,325		1,915,825
Hostess Brand, LLC	Beverage, Food & Tobacco	Term Loan B (First Lien)	Loan		4.50	%		8/3/2022	$	997,500		995,241		983,784
Huntsman International LLC	Chemicals/Plastics	Term Loan B (First Lien)	Loan		3.52	%		4/19/2019	$	3,840,541		3,814,577		3,727,245
Husky Injection Molding Systems Ltd.	Services: Business	Term Loan B	Loan		4.25	%		6/30/2021	$	491,196		489,277		465,757
Infor (US), Inc. (fka Lawson Software Inc.)	Services: Business	Tranche B-5 Term Loan	Loan		3.75	%		6/3/2020	$	2,188,296		2,174,333		2,015,049
Insight Global	Services: Business	Term Loan	Loan		6.00	%		10/29/2021	$	1,979,592		1,971,967		1,961,439
Informatica Corporation	High Tech Industries	Term Loan B	Loan		4.50	%		8/5/2022	$	498,750		497,554		468,411
J. Crew Group, Inc.	Retailers (Except Food and Drugs)	Term B-1 Loan Retired 03/05/2014	Loan		4.00	%		3/5/2021	$	955,481		955,481		639,379
Jazz Acquisition, Inc	Aerospace and Defense	First Lien 6/14	Loan		4.50	%		6/19/2021	$	492,727		491,745		434,832
J.Jill Group, Inc.	Retailers (Except Food and Drugs)	Term Loan (First Lien)	Loan		6.00	%		5/9/2022	$	995,000		990,362		925,350
Kinetic Concepts, Inc.	Healthcare & Pharmaceuticals	Dollar Term D-1 Loan	Loan		4.50	%		5/4/2018	$	2,452,586		2,436,004		2,392,645
Koosharem, LLC	Services: Business	Term Loan	Loan		7.50	%		5/15/2020	$	2,965,050		2,942,458		2,683,370
Kraton Polymers, LLC	Chemicals/Plastics	Term Loan (Initial)	Loan		6.00	%		1/6/2022	$	2,500,000		2,252,500		2,250,000
LPL Holdings	Banking, Finance, Insurance & Real Estate	Term Loan B (2022)	Loan		4.75	%		11/21/2022	$	2,000,000		1,980,543		1,900,000
Mauser Holdings, Inc.	Containers/Glass Products	Term Loan	Loan		4.50	%		7/31/2021	$	493,750		491,750		475,234
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term B Loan	Loan		3.75	%		1/28/2020	$	486,250		486,250		479,792
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B-2	Loan		4.00	%		1/28/2020	$	1,212,794		1,208,220		1,201,042
Micro Holding Corp.	High Tech Industries	Term Loan	Loan		4.75	%		7/8/2021	$	992,447		987,851		950,268
Microsemi Corporation	Electronics/Electric	Term Loan B	Loan		5.25	%		1/15/2023	$	2,183,824		2,119,162		2,180,177
Midas Intermediate Holdco II, LLC	Automotive	Term Loan (Initial)	Loan		4.50	%		8/18/2021	$	246,875		245,802		244,098
MPH Acquisition Holdings, LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		3.75	%		3/31/2021	$	376,136		375,400		366,500
MSC Software Corporation	Services: Business	Term Loan	Loan		5.00	%		5/29/2020	$	985,000		977,601		886,500
National Veterinary Associates, Inc	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%		8/14/2021	$	987,526		984,296		959,549
National Vision, Inc.	Retailers (Except Food and Drugs)	Term Loan (Second Lien)	Loan		6.75	%		3/11/2022	$	250,000		249,729		218,750
Neptune Finco (CSC Holdings)	Cable and Satellite Television	Term Loan	Loan		5.00	%		10/7/2022	$	1,000,000		985,784		989,750
New Millennium Holdco	Healthcare & Pharmaceuticals	Term Loan	Loan		7.50	%		12/21/2020	$	2,007,042		1,811,375		1,822,655
Nortek, Inc.	Electronics/Electric	Term Loan B	Loan		3.50	%		10/30/2020	$	985,022		974,747		939,464
NorthStar Asset Management Group Inc.	Banking, Finance, Insurance & Real Estate	Term Loan B	Loan		4.63	%		1/30/2023	$	2,000,000		1,930,000		1,950,000
Novelis, Inc.	Conglomerate	Term Loan B	Loan		4.00	%		6/2/2022	$	4,771,058		4,749,389		4,440,090
Novetta Solutions	Aerospace and Defense	Term Loan (200MM)	Loan		6.00	%		10/16/2022	$	2,000,000		1,980,636		1,940,000
Novetta Solutions	Aerospace and Defense	Term Loan (2nd Lien)	Loan		9.50	%		9/29/2023	$	1,000,000		990,269		950,000
NPC International, Inc.	Food Services	Term Loan (2013)	Loan		4.75	%		12/28/2018	$	481,250		481,250		472,829
NRG Energy, Inc.	Utilities	Term Loan (2013)	Loan		2.75	%		7/2/2018	$	3,821,925		3,808,282		3,751,449
Numericable	Broadcast Radio and Television	Term Loan B-5	Loan		4.56	%		7/31/2022	$	997,500		995,164		953,171
NuSil Technology LLC.	Chemicals/Plastics	Term Loan	Loan		5.25	%		4/7/2017	$	789,045		789,045		774,645
Onex Carestream Finance LP	Healthcare & Pharmaceuticals	Term Loan (First Lien 2013)	Loan		5.00	%		6/7/2019	$	3,832,558		3,821,232		3,244,912
OnexYork Acquisition Co	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.75	%		10/1/2021	$	493,749		490,644		459,435
OpenLink International, LLC	Services: Business	Term B Loan	Loan		6.25	%		10/30/2017	$	2,944,496		2,943,282		2,811,994
P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)	Food/Drug Retailers	Term Borrowing	Loan		4.25	%		6/24/2019	$	1,432,750		1,427,110		1,336,039
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)	Services: Business	Term Loan (First Lien)	Loan		5.00	%		10/30/2020	$	980,000		976,133		774,200
Penn Products Terminal, LLC	Chemicals/Plastics	Term Loan B	Loan		4.75	%		4/13/2022	$	248,125		246,994		218,350
PetCo Animal Supplies Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B-1	Loan		5.75	%		1/15/2023	$	1,000,000		980,217		978,590
PetCo Animal Supplies Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B-2	Loan		5.62	%		1/15/2023	$	1,000,000		980,216		978,960
Petsmart, Inc. (Argos Merger Sub, Inc.)	Retailers (Except Food and Drugs)	Term Loan B1	Loan		4.25	%		3/11/2022	$	992,500		987,862		961,176
PGX Holdings, Inc.	Financial Intermediaries	Term Loan	Loan		5.75	%		9/29/2020	$	954,643		947,123		941,917
Pharmaceutical Product Development, Inc. (Jaguar Holdings, LLC)	Conglomerate	Term Loan	Loan		4.25	%		8/18/2022	$	1,920,848		1,911,850		1,872,346
Phillips-Medisize Corporation	Healthcare & Pharmaceuticals	Term Loan	Loan		4.75	%		6/16/2021	$	492,500		490,535		458,025
Physio-Control International, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.50	%		6/6/2022	$	498,750		496,371		498,127
Pinnacle Foods Finance LLC	Food Products	New Term Loan G	Loan		3.00	%		4/29/2020	$	2,581,332		2,577,286		2,553,737
Planet Fitness Holdings LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		4.75	%		3/31/2021	$	2,417,118		2,410,079		2,368,776
PrePaid Legal Services, Inc.	Services: Business	Term Loan B	Loan		6.50	%		7/1/2019	$	724,167		721,080		716,020
Presidio, Inc.	Services: Business	Term Loan	Loan		5.25	%		2/2/2022	$	1,902,292		1,846,615		1,816,688
Prime Security Services (Protection One)	Services: Business	Term Loan	Loan		5.00	%		7/1/2021	$	1,995,000		1,985,640		1,924,178
Ranpak Holdings, Inc.	Services: Business	Term Loan	Loan		4.25	%		10/1/2021	$	938,354		936,008		886,745
Ranpak Holdings, Inc.	Services: Business	Term Loan (Second Lien)	Loan		8.25	%		10/3/2022	$	500,000		497,866		400,000
Redtop Acquisitions Limited	Electronics/Electric	Initial Dollar Term Loan (First Lien)

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