SEC Filing | Saratoga Investment Corp

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Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended November 30, 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 ☒ 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 ☒

The number of shares of the registrant’s common stock, $0.001 par value, outstanding as of January 10, 2017 was 5,744,147.

TABLE OF CONTENTS


		Page
PART I.	FINANCIAL INFORMATION		3

Item 1.	Consolidated Financial Statements		3

	Consolidated Statements of Assets and Liabilities as of November 30, 2016 (unaudited) and February 29, 2016		3

	Consolidated Statements of Operations for the three and nine months ended November 30, 2016 and November 30, 2015 (unaudited)		4

	Consolidated Schedules of Investments as of November 30, 2016 (unaudited) and February 29, 2016		5

	Consolidated Statements of Changes in Net Assets for the nine months ended November 30, 2016 and November 30, 2015 (unaudited)		7

	Consolidated Statements of Cash Flows for the nine months ended November 30, 2016 and November 30, 2015 (unaudited)		8

	Notes to Consolidated Financial Statements as of November 30, 2016 (unaudited)		9

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		35

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		58

Item 4.	Controls and Procedures		58

PART II.	OTHER INFORMATION		59

Item 1.	Legal Proceedings		59

Item 1A.	Risk Factors		59

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

Item 3.	Defaults Upon Senior Securities		59

Item 4.	Mine Safety Disclosures		59

Item 5.	Other Information		59

Item 6.	Exhibits		60

Signatures			61

PART I. FINANCIAL INFORMATION

Item 1. Consolidated Financial Statements

Saratoga Investment Corp.

Consolidated Statements of Assets and Liabilities


	As of
	November 30, 2016			February 29, 2016
	(unaudited)
ASSETS
Investments at fair value
Non-control/Non-affiliate investments (amortized cost of $270,029,200 and $268,145,090, respectively)	$	262,303,777		$	271,168,186
Control investments (cost of $15,448,369 and $13,030,751, respectively)		15,265,995			12,827,980

Total investments at fair value (amortized cost of $285,477,569 and $281,175,841, respectively)		277,569,772			283,996,166
Cash and cash equivalents		5,770,230			2,440,277
Cash and cash equivalents, reserve accounts		17,521,282			4,594,506
Interest receivable (net of reserve of $0 and $728,519, respectively)		3,984,752			3,195,919
Due from affiliate		46,078			—
Management fee receivable		170,975			170,016
Other assets		184,761			350,368
Receivable from unsettled trades		284,903			300,000

Total assets	$	305,532,753		$	295,047,252

LIABILITIES
Revolving credit facility	$	—		$	—
Deferred debt financing costs, revolving credit facility		(456,594	)		(515,906	)
SBA debentures payable		112,660,000			103,660,000
Deferred debt financing costs, SBA debentures payable		(2,622,206	)		(2,493,303	)
Notes payable		61,793,125			61,793,125
Deferred debt financing costs, notes payable		(1,553,545	)		(1,694,586	)
Dividend payable		—			875,599
Base management and incentive fees payable		5,932,447			5,593,956
Accounts payable and accrued expenses		672,791			855,873
Interest and debt fees payable		1,098,309			1,552,069
Payable for repurchases of common stock		—			20,957
Directors fees payable		51,000			31,500
Due to manager		277,696			218,093

Total liabilities	$	177,853,023		$	169,897,377

Commitments and contingencies (See Note 7)
NET ASSETS
Common stock, par value $.001, 100,000,000 common shares authorized, 5,748,247 and 5,672,227 common shares issued and outstanding, respectively	$	5,748		$	5,672
Capital in excess of par value		189,583,336			188,714,329
Distribution in excess of net investment income		(26,128,907	)		(26,217,902	)
Accumulated net realized loss from investments and derivatives		(27,872,650	)		(40,172,549	)
Accumulated net unrealized appreciation (depreciation) on investments and derivatives		(7,907,797	)		2,820,325

Total net assets		127,679,730			125,149,875

Total liabilities and net assets	$	305,532,753		$	295,047,252

NET ASSET VALUE PER SHARE	$	22.21		$	22.06

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Operations

(unaudited)


	For the three months ended November 30					For the nine months ended November 30
	2016			2015		2016			2015
INVESTMENT INCOME
Interest from investments
Non-control/Non-affiliate investments	$	6,787,898		$	5,435,083	$	19,969,849		$	16,961,744
Payment-in-kind interest income from Non-control/Non-affiliate investments		169,332			41,322		482,687			995,465
Control investments		498,599			750,605		1,587,925			2,020,301

Total interest income		7,455,829			6,227,010		22,040,461			19,977,510
Interest from cash and cash equivalents		6,239			1,307		16,426			2,774
Management fee income		375,218			369,388		1,123,559			1,121,286
Other income		605,009			338,219		1,618,238			1,153,838

Total investment income		8,442,295			6,935,924		24,798,684			22,255,408

EXPENSES
Interest and debt financing expenses		2,369,108			2,129,105		7,106,869			6,240,946
Base management fees		1,219,916			1,091,405		3,649,867			3,366,739
Professional fees		330,197			347,639		991,723			1,030,616
Administrator expenses		341,667			325,000		991,667			850,000
Incentive management fees		394,509			404,218		2,331,241			2,160,772
Insurance		68,985			85,262		210,301			259,895
Directors fees and expenses		66,000			51,000		192,422			153,000
General & administrative		224,579			351,875		741,743			738,244
Excise tax expense (credit)		—			—		—			(123,338	)
Other expense		8,460			—		21,647			—

Total expenses		5,023,421			4,785,504		16,237,480			14,676,874

NET INVESTMENT INCOME		3,418,874			2,150,420		8,561,204			7,578,534

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from investments		260,244			447,813		12,299,899			4,231,006
Net unrealized appreciation (depreciation) on investments		(2,105,342	)		823,093		(10,728,122	)		239,354

Net gain (loss) on investments		(1,845,098	)		1,270,906		1,571,777			4,470,360

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,573,776		$	3,421,326	$	10,132,981		$	12,048,894

WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER COMMON SHARE	$	0.27		$	0.61	$	1.77		$	2.18
WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED		5,727,933			5,632,011		5,735,443			5,533,094

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Schedule of Investments

November 30, 2016

(unaudited)


Company	Industry	Investment Interest Rate / Maturity	Principal/ Number of Shares		Cost		Fair Value (c)		% of Net Assets
Non-control/Non-affiliated investments - 205.4% (b)
CAMP International Systems (d)	Aerospace and Defense	Second Lien Term Loan (L+7.25%), 8.25% Cash, 8/18/2024	$	1,000,000	$	995,171	$	1,020,000		0.8	%

		Total Aerospace and Defense				995,171		1,020,000		0.8	%

Polar Holding Company, Ltd. (a), (d), (i)	Building Products	First Lien Term Loan (L+9.00%), 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	%

Apex Holdings Software Technologies, LLC	Business Services	First Lien Term Loan (L+8.00%), 9.00% Cash, 9/21/2021	$	18,000,000		17,848,031		17,842,500		14.0	%
Avionte Holdings, LLC (g)	Business Services	Common Stock		100,000		100,000		251,000		0.2	%
Avionte Holdings, LLC	Business Services	First Lien Term Loan (L+8.25%), 9.75% Cash, 1/8/2019	$	2,279,278		2,257,229		2,279,278		1.8	%
Avionte Holdings, LLC (j), (k)	Business Services	Delayed Draw Term Loan A (L+8.25%), 9.75% Cash, 1/8/2019	$	—		—		—		0.0	%
BMC Software, Inc. (d)	Business Services	First Lien Term Loan (L+4.00%), 5.00% Cash, 9/10/2020	$	5,626,667		5,594,987		5,493,315		4.3	%
Courion Corporation	Business Services	Second Lien Term Loan (L+10.00%), 11.00% Cash, 6/1/2021	$	15,000,000		14,872,231		13,932,000		10.9	%
Dispensing Dynamics International (d)	Business Services	Senior Secured Note 12.50% Cash, 1/1/2018	$	12,000,000		12,015,235		11,640,000		9.1	%
Easy Ice, LLC (d)	Business Services	First Lien Term Loan (L+8.75%), 9.50% Cash, 1/15/2020	$	16,000,000		15,876,901		16,080,000		12.6	%
Emily Street Enterprises, L.L.C.	Business Services	Senior Secured Note (L+8.50%), 10.00% Cash, 1/23/2020	$	3,300,000		3,277,195		3,318,810		2.6	%
Emily Street Enterprises, L.L.C. (g)	Business Services	Warrant Membership Interests, Expires 12/28/2022		49,318		400,000		476,541		0.3	%
Erwin, Inc.	Business Services	Second Lien Term Loan (L+11.50%), 13.50% (11.50% Cash/1.00% PIK), 8/28/2021	$	13,077,419		12,957,650		13,077,419		10.2	%
GreyHeller LLC	Business Services	First Lien Term Loan (L+11.00%), 12.00% Cash, 11/16/2021	$	7,000,000		6,930,320		6,930,000		5.4	%
GreyHeller LLC (j), (k)	Business Services	Delayed Draw Term Loan B (L+11.00%), 12.00% Cash, 11/16/2021	$	—		—		—		0.0	%
GreyHeller LLC (g)	Business Services	Common Stock		850,000		850,000		850,000		0.7	%
Help/Systems Holdings, Inc.(Help/Systems, LLC)	Business Services	First Lien Term Loan (L+5.25%), 6.25% Cash, 10/8/2021	$	4,962,500		4,878,301		4,921,311		3.9	%
Help/Systems Holdings, Inc.(Help/Systems, LLC)	Business Services	Second Lien Term Loan (L+9.50%), 10.50% Cash, 10/8/2022	$	3,000,000		2,919,579		2,820,000		2.2	%
Identity Automation Systems	Business Services	Convertible Promissory Note 13.50% (6.75% Cash/6.75% PIK), 8/18/2018		611,517		611,521		611,521		0.5	%
Identity Automation Systems (g)	Business Services	Common Stock Class A Units		232,616		232,616		549,258		0.4	%
Identity Automation Systems	Business Services	First Lien Term Loan (L+9.25%), 12.00% (9.25% Cash/1.75% PIK) 12/18/2020	$	10,248,887		10,172,877		10,248,887		8.0	%
Knowland Technology Holdings, L.L.C.	Business Services	First Lien Term Loan (L+8.75%), 9.75% Cash, 11/29/2017	$	17,777,730		17,664,387		17,777,730		13.9	%
Microsystems Company	Business Services	Second Lien Term Loan (L+10.00%), 11.00% Cash, 7/1/2022	$	8,000,000		7,924,524		7,920,000		6.2	%
Vector Controls Holding Co., LLC (d)	Business Services	First Lien Term Loan, 14.00% (12.00% Cash/2.00% PIK), 3/6/2018	$	8,877,910		8,826,316		8,877,910		7.0	%
Vector Controls Holding Co., LLC (d), (g)	Business Services	Warrants to Purchase Limited Liability Company Interests, Expires 5/31/2025		343		—		352,260		0.3	%

		Total Business Services				146,209,900		146,249,740		114.5	%

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	$	228,909		228,909		228,909		0.2	%
Targus Holdings, Inc. (d)	Consumer Products	Second Lien Term Loan B 15.00% PIK, 12/31/2019	$	686,726		686,726		558,171		0.4	%

		Total Consumer Products				2,706,877		787,080		0.6	%

My Alarm Center, LLC	Consumer Services	Second Lien Term Loan (L+11.00%), 12.00% Cash, 7/9/2019	$	9,375,000		9,357,973		9,345,938		7.3	%
PrePaid Legal Services, Inc. (d)	Consumer Services	First Lien Term Loan (L+5.25%), 6.50% Cash, 7/1/2019	$	1,488,754		1,483,515		1,487,266		1.1	%
PrePaid Legal Services, Inc. (d)	Consumer Services	Second Lien Term Loan (L+9.25%), 10.25% Cash, 7/1/2020	$	10,000,000		9,968,634		9,904,000		7.8	%

		Total Consumer Services				20,810,122		20,737,204		16.2	%

M/C Acquisition Corp., L.L.C. (d), (g)	Education	Class A Common Stock		544,761		30,241		—		0.0	%
M/C Acquisition Corp., L.L.C. (d)	Education	First Lien Term Loan 1.00% Cash, 3/31/2018	$	2,321,073		1,193,790		8,087		0.0	%
Teachers of Tomorrow, LLC (g), (h)	Education	Common Stock		750		750,000		910,545		0.8	%
Teachers of Tomorrow, LLC	Education	Second Lien Term Loan (L+9.75%), 10.75% Cash, 6/2/2021	$	10,000,000		9,914,485		10,000,000		7.8	%

		Total Education				11,888,516		10,918,632		8.6	%

TM Restaurant Group L.L.C.	Food and Beverage	First Lien Term Loan (L+8.50%), 9.75% Cash, 7/16/2017	$	9,358,694		9,313,879		8,422,825		6.6	%

		Total Food and Beverage				9,313,879		8,422,825		6.6	%

Censis Technologies, Inc.	Healthcare Services	First Lien Term Loan B (L+10.00%), 11.00% Cash, 7/24/2019	$	11,250,000		11,114,850		10,871,661		8.4	%
Censis Technologies, Inc. (g), (h)	Healthcare Services	Limited Partner Interests		999		999,000		725,936		0.6	%
Roscoe Medical, Inc. (d), (g)	Healthcare Services	Common Stock		5,081		508,077		678,931		0.5	%
Roscoe Medical, Inc.	Healthcare Services	Second Lien Term Loan 11.25% Cash, 9/26/2019	$	4,200,000		4,151,963		4,154,220		3.3	%
Ohio Medical, LLC (g)	Healthcare Services	Common Stock		5,000		500,000		329,096		0.3	%
Ohio Medical, LLC	Healthcare Services	Senior Subordinated Note 12.00%, 7/15/2021	$	7,300,000		7,235,173		7,234,300		5.7	%
Zest Holdings, LLC (d)	Healthcare Services	First Lien Term Loan (L+4.75%), 5.75% Cash, 8/16/2020	$	4,136,911		4,081,904		4,134,015		3.2	%

		Total Healthcare Services				28,590,967		28,128,159		22.0	%

HMN Holdco, LLC	Media	First Lien Term Loan 10.00% Cash, 5/16/2019	$	8,581,357		8,485,902		8,581,357		6.7	%
HMN Holdco, LLC	Media	Delayed Draw First Lien Term Loan 10.00% Cash, 5/16/2019	$	4,800,000		4,748,026		4,800,000		3.7	%
HMN Holdco, LLC (g)	Media	Class A Series, Expires 1/16/2025		4,264		61,647		282,106		0.2	%
HMN Holdco, LLC (g)	Media	Class A Warrant, Expires 1/16/2025		30,320		438,353		1,616,966		1.3	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024		57,872		—		2,791,745		2.2	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Preferred), Expires 5/16/2024		8,139		—		449,761		0.4	%

		Total Media				13,733,928		18,521,935		14.5	%

Elyria Foundry Company, L.L.C. (d), (g)	Metals	Common Stock		35,000		9,217,564		357,350		0.3	%
Elyria Foundry Company, L.L.C. (d)	Metals	Revolver (L+8.50%), 10.00% Cash, 3/31/2017	$	8,500,000		8,500,000		8,500,000		6.6	%

		Total Metals				17,717,564		8,857,350		6.9	%

Mercury Network, LLC	Real Estate	First Lien Term Loan 10.5% Cash, 8/24/2021	$	15,791,286		15,649,233		15,871,821		12.5	%
Mercury Network, LLC (g)	Real Estate	Common Stock		413,043		413,043		789,031		0.6	%

		Total Real Estate				16,062,276		16,660,852		13.1	%

Sub Total Non-control/Non-affiliated investments						270,029,200		262,303,777		205.4	%

Control investments - 12.0% (b)
Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (d), (e), (f)	Structured Finance Securities	Other/Structured Finance Securities 13.26%, 10/17/2025	$	30,000,000		10,948,369		10,986,945		8.6	%
Saratoga Investment Corp. Class F Note (a), (d), (f)	Structured Finance Securities	Other/Structured Finance Securities (L+8.50%), 9.22%, 10/20/2025	$	4,500,000		4,500,000		4,279,050		3.4	%

Sub Total Control investments						15,448,369		15,265,995		12.0	%

TOTAL INVESTMENTS - 217.4% (b)					$	285,477,569	$	277,569,772		217.4	%


			Principal		Cost		Fair Value		% of Net Assets
Cash and cash equivalents and cash and cash equivalents, reserve accounts - 18.2%
U.S. Bank Money Market (l)			$	23,291,512	$	23,291,512	$	23,291,512		18.2	%

Total cash and cash equivalents and cash and cash equivalents, reserve accounts			$	23,291,512	$	23,291,512	$	23,291,512		18.2	%

(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 6.2% 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 $127,679,730 as of November 30, 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 13.26% 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 (Cost)		Interest Income		Management Fee Income		Net Realized Gains (Losses)		Net Unrealized
Company	Purchases		Redemptions		Sales (Cost)		Interest Income		Management Fee Income		Net Realized Gains (Losses)		Appreciation (Depreciation)
Saratoga Investment Corp. CLO 2013-1, Ltd.	$	—	$	—	$	—	$	1,569,492	$	1,123,559	$	—	$	241,347
Saratoga Investment Corp. Class F Note	$	4,500,000	$	—	$	—	$	18,433	$	—	$	—	$	(220,950	)

(g)	Non-income producing at November 30, 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 November 30, 2016 (see Note 7 to the consolidated financial statements).

(k)	The entire commitment was unfunded at November 30, 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 November 30, 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 (L+9.00%), 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 (L+8.25%), 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 (L+8.25%), 9.75% Cash, 1/8/2019	$	—		—		—		0.0	%
BMC Software, Inc. (d)	Business Services	Syndicated Loan (L+4.00%), 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 (L+10.00%), 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 (L+8.75%), 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 (L+8.50%), 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, Expires 12/28/2022		49,318		400,000		577,020		0.5	%
Erwin, Inc.	Business Services	Second Lien Term Loan (L+11.50%), 13.50% (12.50% Cash/1.00% PIK), 8/28/2021	$	13,000,000		12,870,023		12,870,000		10.3	%
Finalsite Holdings, Inc.	Business Services	Second Lien Term Loan (L+9.00%), 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 (L+5.25%), 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 (L+9.50%), 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 (L+9.25%), 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	%
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, Expires 5/31/2025		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 (L+11.00%), 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 (L+5.25%), 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 (L+9.00%), 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 (L+8.75%), 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	%
Teachers of Tomorrow, LLC (g), (h)	Education	Common Stock		750		750,000		785,475		0.6	%
Teachers of Tomorrow, LLC	Education	Second Lien Term Loan (L+9.75%), 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 (L+8.50%), 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 (L+10.00%), 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 (L+7.75%), 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 (L+4.25%), 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 (g)	Media	Class A Series, Expires 1/16/2025		4,264		61,647		314,683		0.3	%
HMN Holdco, LLC (g)	Media	Class A Warrant, Expires 1/16/2025		30,320		438,353		1,889,542		1.5	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests (Common), Expires 5/16/2024		57,872		—		3,309,121		2.6	%
HMN Holdco, LLC (g)	Media	Warrants to Purchase Limited Liability Company Interests, Expires 5/16/2024		8,139		—		523,012		0.4	%

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

Elyria Foundry Company, L.L.C. (d), (g)	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 (L+9.25%), 10.25% 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:


							Interest		Management		Net Realized		Net Unrealized
Company	Purchases		Redemptions		Sales (Cost)		Income		Fee Income		Gains (Losses)		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 nine months ended November 30, 2016			For the nine months ended November 30, 2015
INCREASE FROM OPERATIONS:
Net investment income	$	8,561,204		$	7,578,534
Net realized gain from investments		12,299,899			4,231,006
Net unrealized appreciation (depreciation) on investments		(10,728,122	)		239,354

Net increase in net assets from operations		10,132,981			12,048,894

DECREASE FROM SHAREHOLDER DISTRIBUTIONS:
Distributions declared		(8,472,209	)		(10,767,093	)

Net decrease in net assets from shareholder distributions		(8,472,209	)		(10,767,093	)

CAPITAL SHARE TRANSACTIONS:
Stock dividend distribution		4,125,696			3,778,630
Repurchases of common stock		(3,256,613	)		(38,981	)
Offering costs		—			(346,826	)

Net increase in net assets from capital share transactions		869,083			3,392,823

Total increase in net assets		2,529,855			4,674,624
Net assets at beginning of period		125,149,875			122,598,742

Net assets at end of period	$	127,679,730		$	127,273,366

Net asset value per common share	$	22.21		$	22.59

Common shares outstanding at end of period		5,748,247			5,634,115

Distribution in excess of net investment income	$	(26,128,907	)	$	(27,094,304	)

See accompanying notes to consolidated financial statements.

Saratoga Investment Corp.

Consolidated Statements of Cash Flows

(unaudited)


	For the nine months ended November 30, 2016			For the nine months ended November 30, 2015
Operating activities
NET INCREASE IN NET ASSETS FROM OPERATIONS	$	10,132,981		$	12,048,894
ADJUSTMENTS TO RECONCILE NET INCREASE IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY OPERATING ACTIVITIES:
Payment-in-kind interest income		(433,609	)		(900,398	)
Net accretion of discount on investments		(408,557	)		(377,279	)
Amortization of deferred debt financing costs		775,707			669,831
Net realized gain from investments		(12,299,899	)		(4,231,006	)
Net unrealized (appreciation) depreciation on investments		10,728,122			(239,354	)
Proceeds from sales and repayments of investments		94,691,232			62,676,779
Purchase of investments		(85,850,895	)		(57,428,806	)
(Increase) decrease in operating assets:
Interest receivable		(788,833	)		(504,339	)
Due from affiliate		(46,078	)		—
Management fee receivable		(959	)		1,657
Other assets		106,195			(163,557	)
Receivable from unsettled trades		15,097			—
Increase (decrease) in operating liabilities:
Base management and incentive fees payable		338,491			(178,074	)
Accounts payable and accrued expenses		(183,082	)		(176,414	)
Interest and debt fees payable		(453,760	)		(555,104	)
Payable for repurchases of common stock		(20,957	)		—
Directors fees payable		19,500			(10,500	)
Due to manager		59,603			(3,958	)

NET CASH PROVIDED BY OPERATING ACTIVITIES		16,380,299			10,628,372

Financing activities
Borrowings on debt		9,000,000			10,600,000
Paydowns on debt		—			(20,200,000	)
Issuance of notes		—			13,074,525
Payments of deferred debt financing costs		(644,845	)		(458,753	)
Repurchases of common stock		(3,256,613	)		(38,981	)
Payments of cash dividends		(5,222,112	)		(6,503,846	)

NET CASH USED IN FINANCING ACTIVITIES		(123,570	)		(3,527,055	)

NET INCREASE IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS		16,256,729			7,101,317
CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD		7,034,783			20,063,372

CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD	$	23,291,512		$	27,164,689

Supplemental information:
Interest paid during the period	$	6,784,922		$	6,126,220

Supplemental non-cash information:
Payment-in-kind interest income	$	433,609		$	900,398
Net accretion of discount on investments	$	408,557		$	377,279
Amortization of deferred debt financing costs	$	775,707		$	669,831
Stock dividend distribution	$	4,125,696		$	3,778,630

See accompanying notes to consolidated financial statements.

SARATOGA INVESTMENT CORP.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

November 30, 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 GH, 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 nine months ended November 30, 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 November 30, 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.

In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash (“ASU 2016-18”). ASU 2016-18 requires that the statements of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statements of cash flows. The new guidance is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017, and early adoption is permitted and is to be applied on a retrospective basis. The Company has adopted the provisions of ASU 2016-18 as of November 30, 2016. The adoption of the provisions of ASU 2016-18 did not materially impact the Company’s consolidated financial position or results of operations. Prior period amounts were reclassified to conform to the current period presentation.

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


	November 30, 2016		November 30, 2015
Cash and cash equivalents	$	5,770,230	$	6,019,448
Cash and cash equivalents, reserve accounts		17,521,282		21,145,241

Total cash and cash equivalents, and cash and cash equivalents, reserve accounts	$	23,291,512	$	27,164,689

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:

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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

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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.

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 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, 2015 and 2016 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 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 August 2016, the FASB issued ASU 2016-15, Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”), which is intended to reduce the existing diversity in practice in how certain cash receipts and cash payments are presented and classified in the statement of cash flows. The guidance is effective for annual periods beginning after December 15, 2017, and interim periods therein. Early adoption is permitted. Management is currently evaluating the impact ASU 2016-15 will have on the Company’s consolidated financial statements and disclosures.

In February 2016, the FASB issued ASU 2016-02, Amendments to the Leases (“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:

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

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

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

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

The following table presents fair value measurements of investments, by major class, as of November 30, 2016 (dollars in thousands), according to the fair value hierarchy:


	Fair Value Measurements
	Level 1		Level 2		Level 3		Total
Syndicated loans	$	—	$	—	$	9,627	$	9,627
First lien term loans		—		—		160,460		160,460
Second lien term loans		—		—		80,195		80,195
Structured finance securities		—		—		15,266		15,266
Equity interests		—		—		12,022		12,022

Total	$	—	$	—	$	277,570	$	277,570

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 nine months ended November 30, 2016 (dollars in thousands):


	Syndicated loans			First lien term loans			Second lien term loans			Structured finance securities			Common stock/ equities			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		2,221			(174	)		290			20			(13,085	)		(10,728	)
Purchases and other adjustments to cost		56			69,671			10,996			4,500			1,470			86,693
Sales and repayments		(4,571	)		(54,033	)		(19,500	)		(2,082	)		(14,505	)		(94,691	)
Net realized gain from investments		53			353			231			—			11,663			12,300

Balance as of November 30, 2016	$	9,627		$	160,460		$	80,195		$	15,266		$	12,022		$	277,570

Unrealized gains (losses) for the period relating to those Level 3 assets that were still held by the Company at the end of the period:
Net change in unrealized gains (losses):	$	1,075		$	204		$	(500	)	$	20		$	(1,981	)	$	(1,182	)

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

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

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

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2015 (dollars in thousands):


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

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

Unrealized gains (losses) for the period relating to those Level 3 assets that were still held by the Company at the end of the period:
Net change in unrealized gains (losses):	$	(1,458	)	$	(1,270	)	$	(187	)	$	92		$	1,030		$	1,577		$	(216	)

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

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

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2016 were as follows (dollars in thousands):


	Fair Value		Valuation Technique	Unobservable Input	Range
Syndicated loans	$	9,627	Market Comparables	Third-Party Bid (%)	97.6% - 99.9%
First lien term loans		160,460	Market Comparables	Market Yield (%)	6.4% - 16.4%
				EBITDA Multiples (x)	1.0x - 6.8x
				Third-Party Bid (%)	96.0% - 99.9%
Second lien term loans		80,195	Market Comparables	Market Yield (%)	8.3% - 15.0%
				Third-Party Bid (%)	94.0% - 102.0%
Structured finance securities		15,266	Discounted Cash Flow	Discount Rate (%)	10.5% - 15.0%
Equity interests		12,022	Market Comparables	EBITDA Multiples (x)	2.9x - 11.9x

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 (x) 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 (x)	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 November 30, 2016, at amortized cost and fair value was as follows (dollars in thousands):


	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
Syndicated loans	$	9,677		3.4	%	$	9,627		3.5	%
First lien term loans		162,236		56.8			160,460		57.8
Second lien term loans		81,213		28.5			80,195		28.9
Structured finance securities		15,448		5.4			15,266		5.5
Equity interests		16,904		5.9			12,022		4.3

Total	$	285,478		100.0	%	$	277,570		100.0	%

The composition of our investments as of February 29, 2016, at amortized cost and fair value was as follows (dollars in thousands):


	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
Syndicated loans	$	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 November 30, 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 initially refinanced in October 2013 and its reinvestment period ended in October 2016. On November 15, 2016, we completed the second refinancing of the Saratoga CLO. The Saratoga CLO refinancing, among other things, extended its reinvestment period to October 2018, and extended its legal maturity date to October 2025. Following the refinancing, the Saratoga CLO portfolio remained at the same size and with a similar capital structure of approximately $300.0 million in aggregate principal amount of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we also purchased $4.5 million in aggregate principal amount of the Class F notes tranche of the Saratoga CLO at par, with a coupon of LIBOR plus 8.5%.

The Saratoga CLO remains 100% owned and managed by Saratoga Investment Corp. Following the refinancing, we receive a base management fee of 0.10% and a subordinated management fee of 0.40% of the fee basis amount at the beginning of the collection period, paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%. For the three months ended November 30, 2016 and November 30, 2015, we accrued $0.4 million and $0.4 million in management fee income, respectively, and $0.5 million and $0.8 million in interest income, respectively, from Saratoga CLO. For the nine months ended November 30, 2016 and November 30, 2015, we accrued $1.1 million and $1.1 million in management fee income, respectively, and $1.6 million and $2.0 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 November 30, 2016, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $11.0 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. At November 30, 2016, Saratoga CLO had investments with a principal balance of $297.5 million and a weighted average spread over LIBOR of 4.31%, and had debt with a principal balance of $282.4 million with a weighted average spread over LIBOR of 2.35%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other

operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At November 30, 2016, the present value of the projected future cash flows of the subordinated notes was approximately $11.0 million, using an 15.0% discount rate. Saratoga Investment Corp. invested $32.8 million into the CLO since January 2008, and to date has since received distributions of $48.5 million and management fees of $16.1 million.

Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2016 (unaudited) and February 29, 2016 and for the three and nine months ended November 30, 2016 and November 30, 2015 (unaudited).

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Assets and Liabilities


	As of
	November 30, 2016			February 29, 2016
	(unaudited)
ASSETS
Investments
Fair Value Loans (amortized cost of $294,551,697 and $300,112,538, respectively)	$	289,961,397		$	284,652,926
Fair Value Other/Structured finance securities (amortized cost of $3,531,218 and $3,531,218, respectively)		37,455			191,863

Total investments at fair value (amortized cost of $298,082,915 and $303,643,756, respectively)		289,998,852			284,844,789
Cash and cash equivalents		16,002,200			2,349,633
Receivable from open trades		2,500			2,691,831
Interest receivable		1,734,794			1,698,562

Total assets	$	307,738,346		$	291,584,815

LIABILITIES
Interest payable	$	883,263		$	626,040
Payable from open trades		11,925,775			7,123,854
Due to affiliate		46,078			—
Accrued base management fee		65,471			85,008
Accrued subordinated management fee		105,504			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.		—			(1,319,258	)
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.		—			(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.		—			(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.		(79,605	)		(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.		(369,566	)		(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.		—			(1,353,521	)
Class F Notes - SIC CLO 2013-1, Ltd.		4,500,000			4,500,000
Discount on Class F Notes - SIC CLO 2013-1, Ltd.		—			(492,300	)
Deferred debt financing costs, SIC CLO 2013-1, Ltd. Notes		(973,665	)		(1,716,554	)
Subordinated Notes		30,000,000			30,000,000

Total liabilities	$	324,003,255		$	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)		5,292,464			(15,754,212	)

Total net assets		(16,264,909	)		(21,557,368	)

Total liabilities and net assets	$	307,738,346		$	291,584,815

Saratoga Investment Corp. CLO 2013-1, Ltd.

Statements of Operations

(unaudited)


	For the three months ended November 30						For the nine months ended November 30
	2016			2015			2016			2015
INVESTMENT INCOME
Interest from investments	$	4,006,052		$	3,559,889		$	11,823,053		$	10,711,063
Interest from cash and cash equivalents		3,095			158			5,804			663
Other income		82,239			14,064			515,376			248,057

Total investment income		4,091,386			3,574,111			12,344,233			10,959,783

EXPENSES
Interest expense		2,457,705			2,912,974			9,347,508			8,772,617
Professional fees		39,694			66,203			79,120			178,602
Miscellaneous fee expense		25,974			9,758			48,365			20,446
Base management fee		167,592			184,694			541,763			560,643
Subordinated management fee		207,625			184,694			581,796			560,643
Trustee expenses		30,871			26,528			95,398			94,549
Amortization expense		302,635			237,966			782,561			717,892
Loss on extinguishment of debt		6,641,915			—			6,641,915			—

Total expenses		9,874,011			3,622,817			18,118,426			10,905,392

NET INVESTMENT INCOME (LOSS)		(5,782,625	)		(48,706	)		(5,774,193	)		54,391

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain on investments		130,337			217,472			351,753			349,117
Net unrealized appreciation (depreciation) on investments		926,507			(6,609,496	)		10,714,904			(10,319,542	)

Net gain (loss) on investments		1,056,844			(6,392,024	)		11,066,657			(9,970,425	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(4,725,781	)	$	(6,440,730	)	$	5,292,464		$	(9,916,034	)

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

November 30, 2016

(unaudited)


Issuer Name	Industry	Asset Name	Asset Type	Spread			LIBOR Floor			PIK			Current Rate (All In)			Maturity Date		Principal / Number of Shares		Cost		Fair Value
Education Management II, LLC	Leisure Goods/Activities/Movies	A-1 Preferred Shares	Equity		0.00	%		0.00	%		0.00	%		0.00	%				6,692	$	669,214	$	13,384
Education Management II, LLC	Leisure Goods/Activities/Movies	A-2 Preferred Shares	Equity		0.00	%		0.00	%		0.00	%		0.00	%				18,975		1,897,538		—
New Millennium Holdco, Inc.	Healthcare & Pharmaceuticals	Common Stock	Equity		0.00	%		0.00	%		0.00	%		0.00	%				14,813		964,466		24,071
24 Hour Holdings III, LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		5/28/2021	$	488,750		485,341		473,477
ABB Con-Cise Optical Group, LLC	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.00	%		1.00	%		0.00	%		6.00	%		5/28/2021	$	2,000,000		1,998,314		2,012,500
Acosta Holdco, Inc.	Media	Term Loan B1	Loan		3.25	%		1.00	%		0.00	%		4.25	%		9/26/2021	$	1,960,150		1,948,749		1,853,577
Aspen Dental Management, Inc.	Healthcare & Pharmaceuticals	Term Loan Initial	Loan		4.25	%		1.00	%		0.00	%		5.25	%		4/29/2022	$	1,488,710		1,484,608		1,497,092
Advantage Sales & Marketing, Inc.	Services: Business	Delayed Draw Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		7/25/2021	$	2,452,462		2,449,784		2,432,033
Aegis Toxicology Science Corporation	Healthcare & Pharmaceuticals	Term B Loan	Loan		4.50	%		1.00	%		0.00	%		5.50	%		2/24/2021	$	2,469,866		2,336,816		2,290,801
Agrofresh, Inc.	Food Services	Term Loan	Loan		4.75	%		1.00	%		0.00	%		5.75	%		7/30/2021	$	1,975,000		1,966,724		1,866,375
Akorn, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		1.00	%		0.00	%		5.25	%		4/16/2021	$	398,056		396,882		401,042
Albertson’s LLC	Retailers (Except Food and Drugs)	Term Loan B-4	Loan		3.50	%		1.00	%		0.00	%		4.50	%		8/25/2021	$	2,896,193		2,886,672		2,897,641
Alere Inc. (fka IM US Holdings, LLC)	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.25	%		1.00	%		0.00	%		4.25	%		6/20/2022	$	920,276		918,381		909,923
Alion Science and Technology Corporation	High Tech Industries	Term Loan B (First Lien)	Loan		4.50	%		1.00	%		0.00	%		5.50	%		8/19/2021	$	2,962,500		2,950,476		2,899,547
Alliance Healthcare Services, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.25	%		1.00	%		0.00	%		4.25	%		6/3/2019	$	987,141		983,080		962,462
Anchor Glass T/L (11/16)	Containers/Glass Products	Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		11/22/2023	$	500,000		497,511		502,190
APCO Holdings, Inc.	Automotive	Term Loan	Loan		6.00	%		1.00	%		0.00	%		7.00	%		1/31/2022	$	1,966,351		1,916,134		1,917,192
American Beacon Advisors, Inc.	Financial Intermediaries	Term Loan (First Lien)	Loan		4.25	%		1.00	%		0.00	%		5.25	%		4/30/2022	$	241,440		240,465		240,762
Aramark Corporation	Food Products	U.S. Term F Loan	Loan		2.50	%		0.75	%		0.00	%		3.25	%		2/24/2021	$	3,126,374		3,126,374		3,149,822
Astoria Energy T/L B	Utilities	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		12/24/2021	$	1,500,000		1,493,873		1,473,750
Asurion, LLC (fka Asurion Corporation)	Insurance	Incremental Tranche B-1 Term Loan	Loan		3.75	%		1.25	%		0.00	%		5.00	%		5/24/2019	$	531,422		527,619		533,915
Asurion, LLC (fka Asurion Corporation)	Insurance	Term Loan B4 (First Lien)	Loan		4.00	%		1.00	%		0.00	%		5.00	%		8/4/2022	$	2,440,625		2,430,001		2,454,048
Auction.com, LLC	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		5.00	%		1.00	%		0.00	%		6.00	%		5/13/2019	$	2,725,552		2,725,288		2,725,552
Avantor Performance Materials Holdings, Inc.	Chemicals/Plastics	Term Loan	Loan		5.00	%		1.00	%		0.00	%		6.00	%		6/21/2022	$	2,791,407		2,767,475		2,807,681
Bass Pro Group, LLC	Retailers (Except Food and Drugs)	Term Loan	Loan		3.25	%		0.75	%		0.00	%		4.00	%		6/5/2020	$	1,477,500		1,477,457		1,465,104
Belmond Interfin Ltd.	Lodging & Casinos	Term Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		3/19/2021	$	2,487,500		2,490,779		2,478,172
BJ’s Wholesale Club, Inc.	Food/Drug Retailers	New 2013 (November) Replacement Loan (First Lien)	Loan		3.50	%		1.00	%		0.00	%		4.50	%		9/26/2019	$	2,432,199		2,434,086		2,434,996
Blackboard T/L B4	High Tech Industries	Term Loan B4	Loan		5.00	%		1.00	%		0.00	%		6.00	%		6/30/2021	$	3,000,000		2,975,510		2,975,640
BMC Software	Technology	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		9/10/2020	$	1,964,646		1,919,231		1,917,495
BMC Software T/L US	Technology	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		9/10/2020	$	678,000		666,468		661,335
Brickman Group Holdings, Inc.	Brokers/Dealers/Investment Houses	Initial Term Loan (First Lien)	Loan		3.00	%		1.00	%		0.00	%		4.00	%		12/18/2020	$	1,464,943		1,454,843		1,464,254
BWAY Holding Company	Leisure Goods/Activities/Movies	Term Loan B	Loan		4.50	%		1.00	%		0.00	%		5.50	%		8/14/2020	$	942,307		935,335		944,267
Camp International Holding Company	Aerospace and Defense	2013 Replacement Term Loan (First Lien)	Loan		3.75	%		1.00	%		0.00	%		4.75	%		5/31/2019	$	1,930,150		1,930,627		1,928,954
Candy Intermediate Holdings, Inc.	Beverage, Food & Tobacco	Term Loan	Loan		4.50	%		1.00	%		0.00	%		5.50	%		6/15/2023	$	498,750		496,429		498,750
Capital Automotive L.P.	Conglomerate	Tranche B-1 Term Loan Facility	Loan		3.00	%		1.00	%		0.00	%		4.00	%		4/10/2019	$	1,491,216		1,493,090		1,501,282
Catalent Pharma Solutions, Inc	Drugs	Initial Term B Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		5/20/2021	$	488,752		487,090		489,885
Cengage Learning Acquisitions, Inc.	Publishing	Term Loan	Loan		4.25	%		1.00	%		0.00	%		5.25	%		6/7/2023	$	1,496,250		1,495,685		1,433,033
Charter Communications Operating, LLC	Cable and Satellite Television	Term F Loan	Loan		2.25	%		0.75	%		0.00	%		3.00	%		12/31/2020	$	1,613,703		1,609,776		1,616,624
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term G Loan	Loan		2.75	%		1.00	%		0.00	%		3.75	%		12/31/2019	$	1,014,862		992,398		959,683
CHS/Community Health Systems, Inc.	Healthcare & Pharmaceuticals	Term H Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		1/27/2021	$	1,867,318		1,822,085		1,763,458
CITGO Petroleum Corporation	Oil & Gas	Term Loan B	Loan		3.50	%		1.00	%		0.00	%		4.50	%		7/29/2021	$	1,969,899		1,950,189		1,964,974
Communications Sales & Leasing, Inc.	Telecommunications	Term Loan B (First Lien)	Loan		3.50	%		1.00	%		0.00	%		4.50	%		10/24/2022	$	1,975,000		1,964,807		1,984,381
Consolidated Aerospace Manufacturing, LLC	Aerospace and Defense	Term Loan (First Lien)	Loan		3.75	%		1.00	%		0.00	%		4.75	%		8/11/2022	$	1,437,500		1,431,231		1,322,500
Concordia Healthcare Corporation	Healthcare & Pharmaceuticals	Term Loan B	Loan		4.25	%		1.00	%		0.00	%		5.25	%		10/21/2021	$	1,985,000		1,892,204		1,660,175
CPI Acquisition Inc.	Technology	Term Loan B (First Lien)	Loan		4.50	%		1.00	%		0.00	%		5.50	%		8/17/2022	$	1,436,782		1,418,072		1,303,879
CPI International Acquisition, Inc. (f/k/a Catalyst Holdings, Inc.)	Electronics/Electric	Term B Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		11/17/2017	$	2,552,242		2,551,083		2,533,100
Crosby US Acquisition Corporation	Industrial Equipment	Initial Term Loan (First Lien)	Loan		3.00	%		1.00	%		0.00	%		4.00	%		11/23/2020	$	729,375		728,747		616,322
CT Technologies Intermediate Hldgs, Inc	Healthcare & Pharmaceuticals	Term Loan	Loan		4.25	%		1.00	%		0.00	%		5.25	%		12/1/2021	$	1,473,844		1,462,088		1,414,890
Culligan International Company-T/L	Conglomerate	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		11/17/2023	$	2,005,000		2,004,975		2,006,263
Culligan International Company	Conglomerate	Dollar Loan (First Lien)	Loan		4.75	%		1.50	%		0.00	%		6.25	%		12/19/2017	$	3,757,779		3,716,494		3,738,990
Culligan International Company	Conglomerate	Dollar Loan (Second Lien)	Loan		8.00	%		1.50	%		0.00	%		9.50	%		6/19/2018	$	783,162		762,650		780,225
Cumulus Media Holdings Inc.	Broadcast Radio and Television	Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		12/23/2020	$	470,093		467,173		283,231
DAE Aviation (StandardAero)	Aerospace and Defense	Term Loan	Loan		4.25	%		1.00	%		0.00	%		5.25	%		7/7/2022	$	1,980,000		1,971,835		1,980,495
DCS Business Services, Inc.	Financial Intermediaries	Term B Loan	Loan		7.25	%		1.50	%		0.00	%		8.75	%		3/19/2018	$	2,109,675		2,102,627		2,109,675
Delta 2 (Lux) S.a.r.l.	Lodging & Casinos	Term Loan B-3	Loan		3.75	%		1.00	%		0.00	%		4.75	%		7/30/2021	$	1,000,000		996,370		1,005,000
Deluxe Entertainment Service Group, Inc.	Leisure Goods/Activities/Movies	Term Loan (Incremental)	Loan		6.00	%		1.00	%		0.00	%		7.00	%		2/28/2020	$	1,000,000		970,592		971,250
Deluxe Entertainment Service Group, Inc.	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		5.50	%		1.00	%		0.00	%		6.50	%		2/28/2020	$	1,880,622		1,881,696		1,837,518
Diebold, Inc.	High Tech Industries	Term Loan B	Loan		4.50	%		0.75	%		0.00	%		5.25	%		11/6/2023	$	400,000		396,246		403,668
DJO Finance, LLC	Healthcare & Pharmaceuticals	Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		6/8/2020	$	493,750		492,061		472,766
DPX Holdings B.V.	Healthcare & Pharmaceuticals	Term Loan 2015 Incr Dollar	Loan		3.25	%		1.00	%		0.00	%		4.25	%		3/11/2021	$	2,932,500		2,927,036		2,936,166
Drew Marine Group, Inc.	Chemicals/Plastics	Term Loan (First Lien)	Loan		3.25	%		1.00	%		0.00	%		4.25	%		11/19/2020	$	2,956,135		2,927,349		2,882,232
DTZ U.S. Borrower, LLC	Construction & Building	Term Loan B Add-on	Loan		3.25	%		1.00	%		0.00	%		4.25	%		11/4/2021	$	1,967,538		1,959,096		1,957,700
Edelman Financial Group, Inc.	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		5.50	%		1.00	%		0.00	%		6.50	%		12/19/2022	$	1,488,750		1,462,163		1,489,986
Education Management II, LLC	Leisure Goods/Activities/Movies	Term Loan A	Loan		4.50	%		1.00	%		0.00	%		5.50	%		7/2/2020	$	501,970		487,866		115,453
Education Management II, LLC	Leisure Goods/Activities/Movies	Term Loan B (2.00% Cash/6.50% PIK)	Loan		1.00	%		1.00	%		6.50	%		8.50	%		7/2/2020	$	938,381		916,819		35,968
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		3.50	%		1.00	%		0.00	%		4.50	%		8/1/2021	$	480,909		479,214		482,712
Emerald Performance Materials, LLC	Chemicals/Plastics	Term Loan (Second Lien)	Loan		6.75	%		1.00	%		0.00	%		7.75	%		8/1/2022	$	500,000		498,071		497,710
Emerald 2 Limited	Chemicals/Plastics	Term Loan B1A	Loan		4.00	%		1.00	%		0.00	%		5.00	%		5/14/2021	$	1,000,000		993,485		925,000
Endo International plc	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.00	%		0.75	%		0.00	%		3.75	%		9/26/2022	$	992,500		990,394		984,749
EnergySolutions, LLC	Environmental Industries	Term Loan B	Loan		5.75	%		1.00	%		0.00	%		6.75	%		5/29/2020	$	795,000		784,985		800,963
Engility Corporation	Aerospace and Defense	Term Loan B-1	Loan		4.25	%		0.70	%		0.00	%		4.95	%		8/12/2020	$	250,000		248,811		251,770
Evergreen Acqco 1 LP	Retailers (Except Food and Drugs)	New Term Loan	Loan		3.75	%		1.25	%		0.00	%		5.00	%		7/9/2019	$	957,600		956,486		886,383
EWT Holdings III Corp. (fka WTG Holdings III Corp.)	Industrial Equipment	Term Loan (First Lien)	Loan		3.75	%		1.00	%		0.00	%		4.75	%		1/15/2021	$	1,952,349		1,948,532		1,954,789
EWT Holdings III Corp.	Capital Equipment	Term Loan	Loan		4.50	%		1.00	%		0.00	%		5.50	%		1/15/2021	$	995,000		986,153		996,662
Extreme Reach, Inc.	Media	Term Loan B	Loan		6.25	%		1.00	%		0.00	%		7.25	%		2/7/2020	$	2,943,750		2,914,312		2,969,508
Federal-Mogul Corporation	Automotive	Tranche C Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		4/15/2021	$	2,932,500		2,922,802		2,841,270
First Data Corporation	Financial Intermediaries	First Data T/L Ext (2021)	Loan		3.00	%		0.70	%		0.00	%		3.70	%		3/24/2021	$	1,909,673		1,821,389		1,917,140
First Eagle Investment Management	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		4.00	%		0.75	%		0.00	%		4.75	%		12/1/2022	$	1,488,750		1,462,691		1,493,871
Fitness International, LLC	Leisure Goods/Activities/Movies	Term Loan B	Loan		5.00	%		1.00	%		0.00	%		6.00	%		7/1/2020	$	1,934,146		1,908,664		1,934,146
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)	Nonferrous Metals/Minerals	Loan	Loan		2.75	%		1.00	%		0.00	%		3.75	%		6/28/2019	$	1,207,069		1,208,510		1,207,371
Garda World Security Corporation	Services: Business	Term B Delayed Draw Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		11/6/2020	$	197,592		196,978		194,012
Garda World Security Corporation	Services: Business	Term B Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		11/6/2020	$	772,408		770,060		758,411
Gardner Denver, Inc.	High Tech Industries	Initial Dollar Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		7/30/2020	$	2,432,330		2,427,218		2,363,009
Gates Global LLC	Leisure Goods/Activities/Movies	Term Loan (First Lien)	Loan		3.25	%		1.00	%		0.00	%		4.25	%		7/5/2021	$	482,906		478,077		480,139
General Nutrition Centers, Inc.	Retailers (Except Food and Drugs)	Amended Tranche B Term Loan	Loan		2.50	%		0.75	%		0.00	%		3.25	%		3/4/2019	$	2,123,160		2,119,206		2,025,856
Global Tel*Link Corporation	Services: Business	Term Loan (First Lien)	Loan		3.75	%		1.25	%		0.00	%		5.00	%		5/26/2020	$	2,675,183		2,668,213		2,635,884
Goodyear Tire & Rubber Company, The	Chemicals/Plastics	Loan (Second Lien)	Loan		3.00	%		0.75	%		0.00	%		3.75	%		4/30/2019	$	2,000,000		1,978,530		2,013,500
Grosvenor Capital Management Holdings, LP	Brokers/Dealers/Investment Houses	Initial Term Loan	Loan		2.75	%		1.00	%		0.00	%		3.75	%		1/4/2021	$	1,014,560		1,011,388		1,006,109
GTCR Valor Companies, Inc.	Services: Business	Term Loan B	Loan		6.00	%		1.00	%		0.00	%		7.00	%		5/17/2023	$	1,496,250		1,438,257		1,442,954
Harland Clarke Holdings Corp. (fka Clarke American Corp.)	Publishing	Tranche B-4 Term Loan	Loan		5.99	%		1.00	%		0.00	%		6.99	%		8/2/2019	$	2,452,292		2,359,268		2,439,000
Headwaters Incorporated	Building & Development	Term Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		3/24/2022	$	246,875		245,872		247,904
Help/Systems Holdings, Inc.	High Tech Industries	Term Loan	Loan		5.25	%		1.00	%		0.00	%		6.25	%		10/8/2021	$	1,488,750		1,435,008		1,476,349
Hemisphere Media Holdings, LLC	Media	Term Loan B	Loan		4.00	%		1.00	%		0.00	%		5.00	%		7/30/2020	$	2,500,000		2,511,306		2,493,750
Hercules Achievement Holdings, Inc.	Retailers (Except Food and Drugs)	Term Loan B	Loan		4.00	%		1.00	%		0.00	%		5.00	%		12/10/2021	$	247,481		245,345		249,585
Hoffmaster Group, Inc.	Containers/Glass Products	Term Loan	Loan		4.50	%		1.00	%		0.00	%		5.50	%		11/10/2023	$	1,000,000		1,003,750		999,380
Hostess Brand, LLC	Beverage, Food & Tobacco	Term Loan B (First Lien)	Loan		3.00	%		1.00	%		0.00	%		4.00	%		8/3/2022	$	1,490,000		1,486,283		1,497,823
Huntsman International LLC	Chemicals/Plastics	Term Loan B (First Lien)	Loan		3.00	%		0.70	%		0.00	%		3.70	%		4/19/2019	$	2,809,046		2,793,042		2,813,260
Husky Injection Molding Systems Ltd.	Services: Business	Term Loan B	Loan		3.25	%		1.00	%		0.00	%		4.25	%		6/30/2021	$	487,465		485,699		486,490
Hyperion Refinance T/L	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		4.50	%		1.00	%		0.00	%		5.50	%		4/29/2022	$	2,000,000		1,982,160		1,982,500
Imagine! Print Solutions, Inc.	Media	Term Loan B	Loan		6.00	%		1.00	%		0.00	%		7.00	%		3/30/2022	$	497,500		490,794		500,923
Infor (US), Inc. (fka Lawson Software Inc.)	Services: Business	Tranche B-5 Term Loan	Loan		2.75	%		1.00	%		0.00	%		3.75	%		6/3/2020	$	2,134,125		2,122,744		2,129,686
Insight Global	Services: Business	Term Loan	Loan		5.00	%		1.00	%		0.00	%		6.00	%		10/29/2021	$	3,459,111		3,442,956		3,473,536
Informatica Corporation	High Tech Industries	Term Loan B	Loan		3.50	%		1.00	%		0.00	%		4.50	%		8/5/2022	$	495,000		493,929		483,556
J. Crew Group, Inc.	Retailers (Except Food and Drugs)	Term B-1 Loan Retired 03/05/2014	Loan		3.00	%		1.00	%		0.00	%		4.00	%		3/5/2021	$	948,188		948,188		606,840
Jazz Acquisition, Inc	Aerospace and Defense	First Lien 6/14	Loan		3.50	%		1.00	%		0.00	%		4.50	%		6/19/2021	$	489,091		488,214		453,940
J.Jill Group, Inc.	Retailers (Except Food and Drugs)	Term Loan (First Lien)	Loan		5.00	%		1.00	%		0.00	%		6.00	%		5/9/2022	$	987,505		983,403		965,286
Kinetic Concepts, Inc.	Healthcare & Pharmaceuticals	Term Loan F-1	Loan		4.00	%		1.00	%		0.00	%		5.00	%		11/4/2020	$	2,434,098		2,409,562		2,390,284
Koosharem, LLC	Services: Business	Term Loan	Loan		6.50	%		1.00	%		0.00	%		7.50	%		5/15/2020	$	2,942,588		2,923,892		2,648,329
Kraton Polymers, LLC	Chemicals/Plastics	Term Loan (Initial)	Loan		5.00	%		1.00	%		0.00	%		6.00	%		1/6/2022	$	2,500,000		2,277,562		2,513,675
Lannett Company, Inc.	Healthcare & Pharmaceuticals	Term Loan B	Loan		5.38	%		1.00	%		0.00	%		6.38	%		11/25/2022	$	1,925,000		1,865,075		1,872,063
Learfield Communications Initial T/L (A-L Parent)	Healthcare & Pharmaceuticals	Initial Term Loan (A-L Parent)	Loan		3.25	%		1.00	%		0.00	%		4.25	%		11/17/2023	$	500,000		497,500		501,250
LPL Holdings	Banking, Finance, Insurance & Real Estate	Term Loan B (2022)	Loan		4.00	%		0.75	%		0.00	%		4.75	%		11/21/2022	$	1,985,000		1,967,639		1,999,054
McGraw-Hill Global Education Holdings, LLC	Publishing	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		5/4/2022	$	997,500		993,085		987,884
Mauser Holdings, Inc.	Containers/Glass Products	Term Loan	Loan		3.50	%		1.00	%		0.00	%		4.50	%		7/31/2021	$	490,000		488,278		491,838
Michaels Stores, Inc.	Retailers (Except Food and Drugs)	Term Loan B1	Loan		2.75	%		1.00	%		0.00	%		3.75	%		1/30/2023	$	1,684,412		1,678,497		1,696,000
Micro Holding Corporation	High Tech Industries	Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		7/8/2021	$	985,413		981,373		988,803
Microsemi Corporation	Electronics/Electric	Term Loan B	Loan		3.00	%		0.75	%		0.00	%		3.75	%		1/17/2023	$	892,985		868,970		897,950
Midas Intermediate Holdco II, LLC	Automotive	Term Loan (Initial)	Loan		3.50	%		1.00	%		0.00	%		4.50	%		8/18/2021	$	245,000		244,071		245,919
Milk Specialties Company	Beverage, Food & Tobacco	Term Loan	Loan		5.00	%		1.00	%		0.00	%		6.00	%		8/16/2023	$	1,000,000		990,342		1,008,750
MSC Software Corporation	Services: Business	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		5/29/2020	$	1,974,949		1,934,256		1,970,012
MWI Holdings, Inc.	Capital Equipment	Term Loan (First Lien)	Loan		5.50	%		1.00	%		0.00	%		6.50	%		6/29/2020	$	2,992,500		2,986,899		2,992,500
National Veterinary Associates, Inc	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.75	%		1.00	%		0.00	%		4.75	%		8/14/2021	$	980,038		977,191		981,675
National Vision, Inc.	Retailers (Except Food and Drugs)	Term Loan (Second Lien)	Loan		5.75	%		1.00	%		0.00	%		6.75	%		3/11/2022	$	250,000		249,780		238,437
New Media Holdings II T/L (NEW)	Retailers (Except Food and Drugs)	Term Loan	Loan		6.25	%		1.00	%		0.00	%		7.25	%		6/4/2020	$	2,674,923		2,662,001		2,644,830
New Millennium Holdco, Inc.	Healthcare & Pharmaceuticals	Term Loan	Loan		6.50	%		1.00	%		0.00	%		7.50	%		12/21/2020	$	1,935,123		1,771,899		1,154,630
NorthStar Asset Management Group, Inc.	Banking, Finance, Insurance & Real Estate	Term Loan B	Loan		3.88	%		0.75	%		0.00	%		4.63	%		1/30/2023	$	1,990,000		1,926,727		1,988,348
Novelis, Inc.	Conglomerate	Term Loan B	Loan		3.25	%		0.75	%		0.00	%		4.00	%		6/2/2022	$	4,735,095		4,715,782		4,740,256
Novetta Solutions	Aerospace and Defense	Term Loan (200MM)	Loan		5.00	%		1.00	%		0.00	%		6.00	%		10/16/2022	$	1,985,000		1,967,682		1,890,712
Novetta Solutions	Aerospace and Defense	Term Loan (2nd Lien)	Loan		8.50	%		1.00	%		0.00	%		9.50	%		9/29/2023	$	1,000,000		990,986		930,000
NPC International, Inc.	Food Services	Term Loan (2013)	Loan		3.75	%		1.00	%		0.00	%		4.75	%		12/28/2018	$	477,298		477,298		477,598
NVA Holdings, Inc.	Services: Consumer	Term Loan B1	Loan		4.50	%		1.00	%		0.00	%		5.50	%		8/14/2021	$	157,841		157,485		158,236
NXT Capital T/L (11/16)	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		4.50	%		1.00	%		0.00	%		5.50	%		11/23/2022	$	1,000,000		995,000		1,000,000
Om Group	Banking, Finance, Insurance & Real Estate	Term Loan	Loan		6.00	%		1.00	%		0.00	%		7.00	%		10/28/2021	$	994,987		903,045		991,883
ON Semiconductor Corporation	High Tech Industries	Term Loan B	Loan		3.25	%		0.70	%		0.00	%		3.95	%		3/31/2023	$	500,000		499,320		502,500
Onex Carestream Finance LP	Healthcare & Pharmaceuticals	Term Loan (First Lien 2013)	Loan		4.00	%		1.00	%		0.00	%		5.00	%		6/7/2019	$	3,668,306		3,659,647		3,232,695
OnexYork Acquisition Co	Healthcare & Pharmaceuticals	Term Loan B	Loan		3.75	%		1.00	%		0.00	%		4.75	%		10/1/2021	$	490,000		487,264		452,637
OpenLink International, LLC	Services: Business	Term B Loan	Loan		6.50	%		1.25	%		0.00	%		7.75	%		7/29/2019	$	2,921,492		2,920,807		2,947,055
P.F. Chang’s China Bistro, Inc. (Wok Acquisition Corp.)	Food/Drug Retailers	Term Borrowing	Loan		3.25	%		1.00	%		0.00	%		4.25	%		6/24/2019	$	1,421,386		1,417,039		1,400,065
P2 Upstream Acquisition Co. (P2 Upstream Canada BC ULC)	Services: Business	Term Loan (First Lien)	Loan		4.00	%		1.00	%		0.00	%		5.00	%		10/30/2020	$	972,500		969,216		914,150
Petsmart, Inc. (Argos Merger Sub, Inc.)	Retailers (Except Food and Drugs)	Term Loan B1	Loan		3.00	%		1.00	%		0.00	%		4.00	%		3/11/2022	$	985,000		980,220		987,728
PGX Holdings, Inc.	Financial Intermediaries	Term Loan	Loan		4.75	%		1.00	%		0.00	%		5.75	%		9/29/2020	$	911,429		905,316		911,046
Planet Fitness Holdings LLC	Leisure Goods/Activities/Movies	Term Loan	Loan		3.50	%		0.75	%		0.00	%		4.25	%		3/31/2021	$	2,398,337		2,390,948		2,392,341
Polycom Term Loan (9/16)	Telecommunications	Term Loan	Loan		6.50	%		1.00	%		0.00	%		7.50	%		9/27/2023	$	2,000,000		1,972,500		1,966,260
PrePaid Legal Services, Inc.	Services: Business	Term Loan B	Loan		5.25	%		1.25	%		0.00	%		6.50	%		7/1/2019	$	3,392,467		3,396,014		3,389,651
Presidio, Inc.	Services: Business	Term Loan	Loan		4.25	%		1.00	%		0.00	%		5.25	%		2/2/2022	$	2,385,390		2,331,907		2,398,319
Prime Security Services (Protection One)	Services: Business	Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		7/1/2021	$	1,985,025		1,977,124		1,996,876
Ranpak Holdings, Inc.	Services: Business	Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		10/1/2021	$	931,264		928,935		923,115
Ranpak Holdings, Inc.	Services: Business	Term Loan (Second Lien)	Loan		7.25	%		1.00	%		0.00	%		8.25	%		10/3/2022	$	500,000		498,073		470,000
Redtop Acquisitions Limited	Electronics/Electric	Initial Dollar Term Loan (First Lien)	Loan		3.50	%		1.00	%		0.00	%		4.50	%		12/3/2020	$	486,259		484,109		485,044
Regal Cinemas Corporation	Services: Consumer	Term Loan	Loan		2.75	%		0.75	%		0.00	%		3.50	%		4/1/2022	$	495,009		493,772		496,868
Research Now Group, Inc	Media	Term Loan B	Loan		4.50	%		1.00	%		0.00	%		5.50	%		3/18/2021	$	2,042,890		2,034,414		1,981,603
Rexnord LLC/RBS Global, Inc.	Industrial Equipment	Term B Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		8/21/2020	$	1,540,540		1,541,627		1,544,607
Reynolds Group Holdings Inc.	Industrial Equipment	Incremental U.S. Term Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		2/6/2023	$	1,765,548		1,765,548		1,773,458
Rovi Solutions Corporation / Rovi Guides, Inc.	Electronics/Electric	Tranche B-3 Term Loan	Loan		3.00	%		0.75	%		0.00	%		3.75	%		7/2/2021	$	1,466,250		1,461,232		1,469,549
Royal Adhesives and Sealants	Chemicals/Plastics	Term Loan (First Lien)	Loan		3.50	%		1.00	%		0.00	%		4.50	%		6/20/2022	$	493,750		491,669		496,219
Royal Adhesives and Sealants	Chemicals/Plastics	Term Loan (Second Lien)	Loan		7.50	%		1.00	%		0.00	%		8.50	%		6/19/2023	$	500,000		496,621		493,750
RPI Finance Trust	Financial Intermediaries	Term B-4 Term Loan	Loan		2.50	%		0.70	%		0.00	%		3.20	%		10/14/2022	$	2,561,167		2,561,167		2,581,758
Russell Investment Management T/L B	Banking, Finance, Insurance & Real Estate	Term Loan B	Loan		5.75	%		1.00	%		0.00	%		6.75	%		6/1/2023	$	1,995,000		1,879,384		2,006,232
Sable International Finance Ltd	Telecommunications	Term Loan B1	Loan		4.75	%		0.75	%		0.00	%		5.50	%		12/2/2022	$	825,000		809,615		831,922
Sable International Finance Ltd	Telecommunications	Term Loan B2	Loan		4.75	%		0.75	%		0.00	%		5.50	%		12/2/2022	$	675,000		662,412		680,663
SBP Holdings LP	Industrial Equipment	Term Loan (First Lien)	Loan		4.00	%		1.00	%		0.00	%		5.00	%		3/27/2021	$	975,000		971,747		819,000
Scientific Games International, Inc.	Electronics/Electric	Term Loan B2	Loan		5.00	%		1.00	%		0.00	%		6.00	%		10/1/2021	$	982,500		973,672		990,684
SCS Holdings (Sirius Computer)	High Tech Industries	Term Loan (First Lien)	Loan		4.25	%		1.00	%		0.00	%		5.25	%		10/31/2022	$	1,977,528		1,942,888		1,987,416
Seadrill Operating LP	Oil & Gas	Term Loan B	Loan		3.00	%		1.00	%		0.00	%		4.00	%		2/21/2021	$	979,849		921,734		554,428
Shearers Foods LLC	Food Services	Term Loan (First Lien)	Loan		3.94	%		1.00	%		0.00	%		4.94	%		6/30/2021	$	980,000		978,146		980,000
Sitel Worldwide	Telecommunications	Term Loan	Loan		5.50	%		1.00	%		0.00	%		6.50	%		9/18/2021	$	1,980,000		1,963,403		1,968,239
Sonneborn, LLC	Chemicals/Plastics	Term Loan (First Lien)	Loan		3.75	%		1.00	%		0.00	%		4.75	%		12/10/2020	$	208,512		208,136		208,860
Sonneborn, LLC	Chemicals/Plastics	Initial US Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		12/10/2020	$	1,181,569		1,179,439		1,183,542
Sophia, L.P.	Electronics/Electric	Term Loan (Closing Date)	Loan		3.75	%		1.00	%		0.00	%		4.75	%		9/30/2022	$	1,965,897		1,957,501		1,967,136
SourceHOV LLC	Services: Business	Term Loan B (First Lien)	Loan		6.75	%		1.00	%		0.00	%		7.75	%		10/31/2019	$	1,862,500		1,826,426		1,642,259
SRAM, LLC	Industrial Equipment	Term Loan (First Lien)	Loan		3.00	%		1.00	%		0.00	%		4.00	%		4/10/2020	$	2,772,070		2,765,804		2,723,559
Steak ‘n Shake Operations, Inc.	Food Services	Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		3/19/2021	$	925,673		919,596		918,730
SuperMedia Inc. (fka Idearc Inc.)	Publishing	Loan	Loan		8.60	%		3.00	%		0.00	%		11.60	%		12/30/2016	$	200,478		200,472		77,685
Survey Sampling International	Services: Business	Term Loan B	Loan		5.00	%		1.00	%		0.00	%		6.00	%		12/16/2020	$	2,728,677		2,713,545		2,715,033
Sybil Finance BV	High Tech Industries	Term Loan B	Loan		4.00	%		1.00	%		0.00	%		5.00	%		8/3/2022	$	1,000,000		995,154		1,008,500
Syniverse Holdings, Inc.	Telecommunications	Initial Term Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		4/23/2019	$	468,977		466,744		416,386
TaxACT, Inc.	Services: Business	Term Loan B	Loan		6.00	%		1.00	%		0.00	%		7.00	%		1/3/2023	$	1,350,000		1,313,620		1,353,375
Tectum Holdings, Inc.	Transportation	Delayed Draw Term Loan (Initial)	Loan		4.75	%		1.00	%		0.00	%		5.75	%		8/24/2023	$	1,000,000		990,340		1,005,000
TGI Friday’s, Inc.	Food Services	Term Loan B	Loan		4.25	%		1.00	%		0.00	%		5.25	%		7/15/2020	$	1,651,816		1,648,636		1,629,104
Townsquare Media, Inc.	Media	Term Loan B	Loan		3.25	%		1.00	%		0.00	%		4.25	%		4/1/2022	$	932,522		928,849		932,522
TPF II Power LLC and TPF II Covert Midco LLC	Utilities	Term Loan B	Loan		4.00	%		1.00	%		0.00	%		5.00	%		10/2/2021	$	1,413,873		1,362,183		1,420,235
TransDigm, Inc.	Aerospace and Defense	Tranche C Term Loan	Loan		3.00	%		0.75	%		0.00	%		3.75	%		2/28/2020	$	4,244,222		4,249,544		4,249,952
Travel Leaders Group, LLC	Hotel, Gaming and Leisure	Term Loan B	Loan		6.00	%		1.00	%		0.00	%		7.00	%		12/7/2020	$	2,629,084		2,615,196		2,603,898
Trugreen Limited Partnership	Services: Business	Term Loan B	Loan		5.50	%		1.00	%		0.00	%		6.50	%		4/13/2023	$	498,750		491,925		502,491
Twin River Management Group, Inc.	Lodging & Casinos	Term Loan B	Loan		4.25	%		1.00	%		0.00	%		5.25	%		7/10/2020	$	864,021		865,348		868,886
Univar Inc.	Chemicals/Plastics	Term B Loan	Loan		3.25	%		1.00	%		0.00	%		4.25	%		7/1/2022	$	2,970,000		2,957,757		2,979,296
Univision Communications Inc.	Telecommunications	Replacement First-Lien Term Loan	Loan		3.00	%		1.00	%		0.00	%		4.00	%		3/1/2020	$	2,893,389		2,883,224		2,892,347
Valeant Pharmaceuticals International, Inc.	Drugs	Series D2 Term Loan B	Loan		4.25	%		0.75	%		0.00	%		5.00	%		2/13/2019	$	2,468,721		2,460,512		2,445,588
Verint Systems Inc.	Services: Business	Term Loan	Loan		2.75	%		0.75	%		0.00	%		3.50	%		9/6/2019	$	1,008,871		1,006,624		1,014,551
Vistra Operations (Tex Operations) Exit T/L B	Services: Business	Exit Term Loan B	Loan		4.00	%		1.00	%		0.00	%		5.00	%		8/4/2023	$	814,286		814,286		821,069
Vistra Operations (Tex Operations) Exit T/L C	Services: Business	Exit Term Loan C	Loan		4.00	%		1.00	%		0.00	%		5.00	%		8/4/2023	$	185,714		185,714		187,261
Vizient Inc.	Healthcare & Pharmaceuticals	Term Loan	Loan		4.00	%		1.00	%		0.00	%		5.00	%		2/13/2023	$	879,853		856,015		887,552
Vouvray US Finance	Industrial Equipment	Term Loan	Loan		3.75	%		1.00	%		0.00	%		4.75	%		6/27/2021	$	488,750		487,038		489,566
Washington Inventory Service	Services: Business	U.S. Term Loan (First Lien)	Loan		4.50	%		1.25	%		0.00	%		5.75	%		12/20/2018	$	1,731,518		1,741,101		1,294,309
Western Digital Corporation	High Tech Industries	Term Loan B (USD)	Loan		3.75	%		0.75	%		0.00	%		4.50	%		5/1/2023	$	1,596,000		1,585,323		1,613,955
Windstream Services, LLC	Telecommunications	Term Loan B6	Loan		4.00	%		0.75	%		0.00	%		4.75	%		3/29/2021	$	1,000,000		990,071		1,001,000
Xerox Business Services T/L B (Conduent)	Services: Business	Term Loan	Loan		5.50	%		0.75	%		0.00	%		6.25	%		11/22/2023	$	500,000		487,536		500,000
ZEP, Inc.	Chemicals/Plastics	Term Loan B	Loan		4.00	%		1.00	%		0.00	%		5.00	%		6/27/2022	$	2,962,500		2,950,232		2,973,609
Zest Holdings 1st Lien T/L (2014 Replacement)	Healthcare & Pharmaceuticals	Term Loan	Loan		4.75	%		1.00	%		0.00	%		5.75	%		8/17/2020	$	1,000,000		995,127		1,002,500

																				$	298,082,915	$	289,998,852


																		Principal		Cost		Fair Value
Cash and cash equivalents
U.S. Bank Money Market (a)																		$	16,002,200	$	16,002,200	$	16,002,200

Total cash and cash equivalents																		$	16,002,200	$	16,002,200	$	16,002,200

(a) Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of November 30, 2016.

Saratoga Investment Corp. CLO 2013-1 Ltd.

Schedule of Investments

February 29, 2016


Issuer Name	Industry	Asset Name	Asset Type		Spread			LIBOR Floor			PIK			Current Rate (All In)			Maturity Date		Principal/ Number of Shares		Cost		Fair Value
Education Management II, LLC	Leisure Goods/Activities/Movies	A-1 Preferred Shares		Equity		0.00	%		0.00	%		0.00	%		0.00	%				6,692	$	669,214	$	1,673
Education Management II, LLC	Leisure Goods/Activities/Movies	A-2 Preferred Shares		Equity		0.00	%		0.00	%		0.00	%		0.00	%				18,975		1,897,538		95
New Millennium Holdco, Inc.	Healthcare & Pharmaceuticals	Common Stock		Equity		0.00	%		0.00	%		0.00	%		0.00	%				14,813		964,466		190,095
24 Hour Holdings III, LLC	Leisure Goods/Activities/Movies	Term Loan		Loan		3.75	%		1.00	%		0.00	%		4.75	%		5/28/2021	$	492,500		488,586		455,154
Acosta Holdco, Inc.	Media	Term Loan B1		Loan		3.25	%		1.00	%		0.00	%		4.25	%		9/26/2021	$	1,972,936		1,959,834		1,855,389
Aspen Dental Management, Inc.	Healthcare & Pharmaceuticals	Term Loan Initial		Loan		4.50	%		1.00	%		0.00	%		5.50	%		4/29/2022	$	497,500		495,228		495,221
Advantage Sales & Marketing, Inc.	Services: Business	Delayed Draw Term Loan		Loan		3.25	%		1.00	%		0.00	%		4.25	%		7/25/2021	$	2,471,231		2,468,039		2,342,826
Agrofresh, Inc.	Food Services	Term Loan		Loan		4.75	%		1.00	%		0.00	%		5.75	%		7/30/2021	$	1,990,000		1,980,704		1,935,275
Aegis Toxicology Science Corporation	Healthcare & Pharmaceuticals	Term B Loan		Loan		4.50	%		1.00	%		0.00	%		5.50	%		2/24/2021	$	985,000		985,000		797,850
Akorn, Inc.	Healthcare & Pharmaceuticals	Term Loan B		Loan		5.00	%		1.00	%		0.00	%		6.00	%		4/16/2021	$	398,056		396,681		396,066
Albertson’s LLC	Retailers (Except Food and Drugs)	Term Loan B-4		Loan		4.50	%		1.00	%		0.00	%		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		3.25	%		1.00	%		0.00	%		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		4.50	%		1.00	%		0.00	%		5.50	%		8/19/2021	$	2,985,000		2,971,074		2,824,555
Alliance Healthcare Services, Inc.	Healthcare & Pharmaceuticals	Term Loan B		Loan		3.25	%		1.00	%		0.00	%		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		3.50	%		1.00	%		0.00	%		4.50	%		8/12/2022	$	995,000		992,679		960,921
Alvogen Pharma US, Inc	Healthcare & Pharmaceuticals	Term Loan		Loan		5.00	%		1.00	%		0.00	%		6.00	%		4/4/2022	$	480,447		478,240		456,425
American Beacon Advisors, Inc.	Financial Intermediaries	Term Loan (First Lien)		Loan		4.50	%		1.00	%		0.00	%		5.50	%		4/30/2022	$	248,749		247,612		244,190
Aramark Corporation	Food Products	LC-2 Facility		Loan		3.50	%		0.62	%		0.00	%		4.12	%		7/26/2016	$	9,447		9,445		9,305
Aramark Corporation	Food Products	LC-3 Facility		Loan		3.50	%		0.62	%		0.00	%		4.12	%		7/26/2016	$	5,244		5,244		5,166
Aramark Corporation	Food Products	U.S. Term F Loan		Loan		2.50	%		0.75	%		0.00	%		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		3.75	%		1.25	%		0.00	%		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		4.00	%		1.00	%		0.00	%		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		5.00	%		1.00	%		0.00	%		6.00	%		5/13/2019	$	2,522,992		2,522,722		2,491,455
Avantor Performance Materials Holdings, Inc.	Chemicals/Plastics	Term Loan		Loan		4.00	%		1.25	%		0.00	%		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		3.25	%		0.75	%		0.00	%		4.00	%		6/5/2020	$	1,488,750		1,485,895		1,397,564
Belmond Interfin Ltd.	Lodging & Casinos	Term Loan		Loan		3.00	%		1.00	%		0.00	%		4.00	%		3/19/2021	$	491,249		489,361		477,127
Berry Plastics Corporation	Chemicals/Plastics	Term E Loan		Loan		2.75	%		1.00	%

Large Accelerated Filer

Accelerated Filer

Non-Accelerated Filer

Smaller Reporting Company