SARATOGA INVESTMENT CORP. 10-Q

10-Q 1 f10q1120_saratogainvestment.htm QUARTERLY REPORT 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, 2020 ☐ Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File No. 814-00732 SARATOGA INVESTMENT CORP. (Exact name of registrant as specified in its charter) Maryland 20-8700615 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification Number) 535 Madison Avenue New York, New York 10022 (Address of principal executive offices) (212) 906-7800 (Registrant’s telephone number, including area code) Securities registered pursuant to Section 12(b) of the Act: Title of each class Trading Symbol(s) Name of each exchange on which registered Common Stock, par value $0.001 per share SAR The New York Stock Exchange 6.25% Notes due 2025 SAF The New York Stock Exchange 7.25% Notes due 2025 SAK The New York Stock Exchange Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days: Yes ☒ No ☐ Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☐ No ☐ Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. Large accelerated filer ☐ Accelerated filer ☒ Non-accelerated filer ☐ Smaller reporting company ☐ Emerging growth company ☐ If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act ☐ Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒ The number of outstanding common shares of the registrant as of January 6, 2021 was 11,170,028. TABLE OF CONTENTS Page PART I. FINANCIAL INFORMATION 1 Item 1. Consolidated Financial Statements 1 Consolidated Statements of Assets and Liabilities as of November 30, 2020 (unaudited) and February 29, 2020 1 Consolidated Statements of Operations for the three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited) 2 Consolidated Statements of Changes in Net Assets for three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited) 3 Consolidated Statements of Cash Flows for the three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited) 4 Consolidated Schedules of Investments as of November 30, 2020 (unaudited) and February 29, 2020 5 Notes to Consolidated Financial Statements as of November 30, 2020 (unaudited) 16 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 64 Item 3. Quantitative and Qualitative Disclosures About Market Risk 96 Item 4. Controls and Procedures 97 PART II. OTHER INFORMATION 98 Item 1. Legal Proceedings 98 Item 1A. Risk Factors 98 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 99 Item 3. Defaults Upon Senior Securities 99 Item 4. Mine Safety Disclosures 99 Item 5. Other Information 99 Item 6. Exhibits 100 Signatures 103 i PART I. FINANCIAL INFORMATION Item 1. Consolidated Financial Statements Saratoga Investment Corp. Consolidated Statements of Assets and Liabilities November 30, 2020 February 29, 2020 (unaudited) ASSETS Investments at fair value Non-control/Non-affiliate investments (amortized cost of $463,588,455 and $418,006,725, respectively) $ 456,552,179 $ 420,442,928 Affiliate investments (amortized cost of $28,338,471 and $23,998,917, respectively) 21,403,802 18,485,854 Control investments (amortized cost of $65,055,003 and $44,293,619, respectively) 68,987,521 46,703,192 Total investments at fair value (amortized cost of $556,981,929 and $486,299,261, respectively) 546,943,502 485,631,974 Cash and cash equivalents 21,060,224 24,598,905 Cash and cash equivalents, reserve accounts 12,836,663 14,851,447 Interest receivable (net of reserve of $1,982,033 and $1,238,049, respectively) 4,192,177 4,810,456 Management fee receivable 284,256 272,207 Other assets 740,361 701,007 Total assets $ 586,057,183 $ 530,865,996 LIABILITIES Revolving credit facility $ - $ - Deferred debt financing costs, revolving credit facility (674,638 ) (512,628 ) SBA debentures payable 176,000,000 150,000,000 Deferred debt financing costs, SBA debentures payable (2,725,309 ) (2,561,495 ) 6.25% Notes Payable 2025 60,000,000 60,000,000 Deferred debt financing costs, 6.25% notes payable 2025 (1,766,709 ) (2,046,735 ) 7.25% Notes Payable 2025 43,125,000 - Deferred debt financing costs, 7.25% notes payable 2025 (1,480,977 ) - 7.75% Notes Payable 2025 5,000,000 - Deferred debt financing costs, 7.75% notes payable 2025 (252,746 ) - Base management and incentive fees payable 4,775,801 15,800,097 Deferred tax liability 1,434,505 1,347,363 Accounts payable and accrued expenses 1,514,585 1,713,157 Interest and debt fees payable 931,938 2,234,042 Directors fees payable 44,500 61,500 Due to manager 278,343 543,842 Total liabilities 286,204,293 226,579,143 Commitments and contingencies (See Note 8) NET ASSETS Common stock, par value $0.001, 100,000,000 common shares authorized, 11,170,028 and 11,217,545 common shares issued and outstanding, respectively 11,170 11,218 Capital in excess of par value 288,590,554 289,476,991 Total distributable earnings 11,251,166 14,798,644 Total net assets 299,852,890 304,286,853 Total liabilities and net assets $ 586,057,183 $ 530,865,996 NET ASSET VALUE PER SHARE $ 26.84 $ 27.13 See accompanying notes to consolidated financial statements. 1 Saratoga Investment Corp. Consolidated Statements of Operations (unaudited) For the three months ended For the nine months ended November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 INVESTMENT INCOME Interest from investments Interest income: Non-control/Non-affiliate investments $ 10,422,586 $ 9,749,294 $ 30,585,868 $ 26,862,643 Affiliate investments 418,418 356,958 1,204,840 873,816 Control investments 1,654,359 1,300,923 4,037,915 4,627,395 Payment-in-kind interest income: Non-control/Non-affiliate investments 214,422 198,984 1,125,306 530,728 Affiliate investments 49,333 42,397 143,574 123,812 Control investments 44,896 1,250,824 117,449 3,226,060 Total interest from investments 12,804,014 12,899,380 37,214,952 36,244,454 Interest from cash and cash equivalents 770 119,539 14,176 316,691 Management fee income 623,817 629,671 1,883,825 1,888,932 Structuring and advisory fee income* 545,354 511,500 1,798,660 1,875,225 Other income* 308,802 35,665 523,862 509,850 Total investment income 14,282,757 14,195,755 41,435,475 40,835,152 OPERATING EXPENSES Interest and debt financing expenses 3,559,870 3,896,968 9,452,193 11,628,266 Base management fees 2,324,564 2,146,214 6,694,144 5,955,623 Incentive management fees expense (benefit) 2,295,000 3,102,139 1,966,367 7,300,794 Professional fees 502,979 401,010 1,257,420 1,181,010 Administrator expenses 693,750 556,250 1,852,083 1,575,000 Insurance 67,010 63,936 202,463 193,174 Directors fees and expenses 60,000 60,000 195,000 217,500 General & administrative 278,734 395,024 963,372 1,036,498 Income tax expense (benefit) 29,748 (1,001,089 ) 28,304 (1,464,878 ) Total operating expenses 9,811,655 9,620,452 22,611,346 27,622,987 NET INVESTMENT INCOME 4,471,102 4,575,303 18,824,129 13,212,165 REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) from investments: Non-control/Non-affiliate investments 1,798 10,739,678 22,207 12,609,767 Net realized gain (loss) from investments 1,798 10,739,678 22,207 12,609,767 Income tax (provision) benefit from realized gain on investments (3,895,354 ) - (3,895,354 ) - Net change in unrealized appreciation (depreciation) on investments: Non-control/Non-affiliate investments 4,348,888 (4,322,305 ) (9,472,477 ) (1,563,573 ) Affiliate investments 385,414 (41,295 ) (1,421,606 ) 859,953 Control investments 1,264,528 3,827,449 1,522,945 5,614,471 Net change in unrealized appreciation (depreciation) on investments 5,998,830 (536,151 ) (9,371,138 ) 4,910,851 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments (210,057 ) (1,061,608 ) (58,838 ) (1,786,801 ) Net realized and unrealized gain (loss) on investments 1,895,217 9,141,919 (13,303,123 ) 15,733,817 NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 6,366,319 $ 13,717,222 $ 5,521,006 $ 28,945,982 WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE $ 0.57 $ 1.37 $ 0.49 $ 3.33 WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED 11,169,817 10,036,086 11,198,287 8,702,190 * Certain prior period amounts have been reclassified to conform to current period presentation. See accompanying notes to consolidated financial statements. 2 Saratoga Investment Corp. Consolidated Statements of Changes in Net Assets (unaudited) For the nine months ended November 30, 2020 November 30, 2019 INCREASE (DECREASE) FROM OPERATIONS: Net investment income $ 18,824,129 $ 13,212,165 Net realized gain from investments 22,207 12,609,767 Income tax (provision) benefit from realized gain on investments (3,895,354 ) - Net change in unrealized appreciation (depreciation) on investments (9,371,138 ) 4,910,851 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments (58,838 ) (1,786,801 ) Net increase (decrease) in net assets resulting from operations 5,521,006 28,945,982 DECREASE FROM SHAREHOLDER DISTRIBUTIONS: Total distributions to shareholders (9,068,484 ) (13,835,741 ) Net decrease in net assets from shareholder distributions (9,068,484 ) (13,835,741 ) CAPITAL SHARE TRANSACTIONS: Proceeds from issuance of common stock - 85,228,325 Stock dividend distribution 1,580,919 2,188,811 Repurchases of common stock (2,464,661 ) - Repurchase fees (2,743 ) - Offering costs - (1,222,214 ) Net increase in net assets from capital share transactions (886,485 ) 86,194,922 Total increase (decrease) in net assets (4,433,963 ) 101,305,163 Net assets at beginning of period 304,286,853 180,875,187 Net assets at end of period $ 299,852,890 $ 282,180,350 See accompanying notes to consolidated financial statements. 3 Saratoga Investment Corp. Consolidated Statements of Cash Flows (unaudited) For the nine months ended November 30, 2020 November 30, 2019 Operating activities NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 5,521,006 $ 28,945,982 ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS TO NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES: Payment-in-kind and other adjustments to cost 1,402,751 (3,082,715 ) Net accretion of discount on investments (964,524 ) (888,292 ) Amortization of deferred debt financing costs 992,592 1,037,764 Income tax expense (benefit) 28,304 - Net realized (gain) loss from investments (22,207 ) (12,609,767 ) Net change in unrealized (appreciation) depreciation on investments 9,371,138 (4,910,851 ) Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments 58,838 1,786,801 Proceeds from sales and repayments of investments 50,928,681 97,152,448 Purchases of investments (122,027,366 ) (160,672,062 ) (Increase) decrease in operating assets: Interest receivable 618,279 (1,009,242 ) Due from affiliate - 1,673,747 Management and incentive fee receivable (12,049 ) 255,374 Other assets (59,043 ) 826 Deferred tax asset - (1,464,878 ) Increase (decrease) in operating liabilities: Base management and incentive fees payable (11,024,296 ) 3,791,110 Accounts payable and accrued expenses (198,572 ) (162,098 ) Interest and debt fees payable (1,302,104 ) (1,314,274 ) Directors fees payable (17,000 ) (60,500 ) Due to manager (265,499 ) 61,580 NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES (66,971,071 ) (51,469,047 ) Financing activities Borrowings on debt 26,000,000 20,200,000 Paydowns on debt - (20,200,000 ) Issuance of notes 48,125,000 - Payments of deferred debt financing costs (2,752,425 ) (745,133 ) Proceeds from issuance of common stock - 84,064,237 Payments of cash dividends (7,487,565 ) (11,646,930 ) Repurchases of common stock (2,464,661 ) - Repurchases fees (2,743 ) - Payments of offering costs - (1,184,892 ) NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES 61,417,606 70,487,282 NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS (5,553,465 ) 19,018,235 CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD 39,450,352 62,094,394 CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD $ 33,896,887 $ 81,112,629 Supplemental information: Interest paid during the period $ 9,761,705 $ 11,904,776 Cash paid for taxes 4,103,200 18,153 Supplemental non-cash information: Payment-in-kind interest income (1,402,751 ) 3,082,715 Net accretion of discount on investments 964,524 888,292 Amortization of deferred debt financing costs 992,592 1,037,764 Stock dividend distribution 1,580,919 2,188,811 See accompanying notes to consolidated financial statements. 4 Saratoga Investment Corp. Consolidated Schedule of Investments November 30, 2020 (unaudited) Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Non-control/Non-affiliate investments - 152.3% (b) CoConstruct, LLC Construction Management Services First Lien Term Loan (3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024 7/5/2019 $ 14,200,000 14,077,075 14,134,680 4.7 % CoConstruct, LLC (j) Construction Management Services Delayed Draw Term Loan (3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024 7/5/2019 $ - - - 0.0 % Total Construction Management Services 14,077,075 14,134,680 4.7 % Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009 210,456 1,589,630 392,270 0.1 % Total Consumer Products 1,589,630 392,270 0.1 % My Alarm Center, LLC (k) Consumer Services Preferred Equity Class A Units 8.00% PIK 7/14/2017 2,227 2,357,879 - 0.0 % My Alarm Center, LLC (h) Consumer Services Preferred Equity Class B Units 7/14/2017 1,797 1,796,880 - 0.0 % My Alarm Center, LLC (h) Consumer Services Preferred Equity Class Z Units 9/12/2018 676 712,343 305,911 0.1 % My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017 96,224 - - 0.0 % Total Consumer Services 4,867,102 305,911 0.1 % Passageways, Inc. Corporate Governance First Lien Term Loan (3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023 7/5/2018 $ 5,000,000 4,968,225 5,060,000 1.7 % Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023 1/3/2020 $ 2,000,000 1,992,775 2,024,000 0.6 % Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018 2,027,205 1,000,000 2,438,010 0.8 % Total Corporate Governance 7,961,000 9,522,010 3.1 % New England Dental Partners Dental Practice Management First Lien Term Loan (3M USD LIBOR+8.00%), 8.50% Cash, 11/25/2025 11/25/2020 $ 6,555,000 6,489,677 6,489,450 2.2 % New England Dental Partners (j) Dental Practice Management Delayed Draw Term Loan (3M USD LIBOR+8.00%), 8.50% Cash, 11/25/2025 11/25/2020 $ - - - 0.0 % Total Dental Practice Management 6,489,677 6,489,450 2.2 % PDDS Buyer, LLC Dental Practice Management Software First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024 7/15/2019 $ 14,000,000 13,887,080 13,953,800 4.7 % PDDS Buyer, LLC Dental Practice Management Software Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024 7/15/2019 $ 7,000,000 6,933,884 6,976,900 2.3 % PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020 1,755,831 2,000,000 2,000,000 0.7 % Total Dental Practice Management Software 22,820,964 22,930,700 7.7 % See accompanying notes to consolidated financial statements. 5 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets C2 Educational Systems (d) Education Services First Lien Term Loan (3M USD LIBOR+7.00%), 8.50% Cash, 5/31/2021 5/31/2017 $ 16,000,000 15,993,296 12,987,200 4.3 % Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015 750 750,000 789,168 0.3 % Texas Teachers of Tomorrow, LLC (d) Education Services First Lien Term Loan (3M USD LIBOR+7.25%), 9.75% Cash, 6/28/2024 6/28/2019 $ 18,709,024 18,564,444 18,581,803 6.2 % Total Education Services 35,307,740 32,358,171 10.8 % Destiny Solutions Inc. (d) Education Software First Lien Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 10/24/2024 5/16/2018 $ 38,000,000 37,731,402 37,730,200 12.6 % Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018 2,342 2,468,464 3,010,778 1.0 % Identity Automation Systems (d) Education Software First Lien Term Loan (3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024 8/25/2014 $ 17,291,250 17,287,446 17,180,585 5.7 % Identity Automation Systems (h) Education Software Common Stock Class A-2 Units 8/25/2014 232,616 232,616 697,848 0.2 % Identity Automation Systems (h) Education Software Common Stock Class A-1 Units 3/6/2020 43,715 171,571 181,935 0.1 % GoReact Education Software First Lien Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025 1/17/2020 $ 5,000,000 4,937,712 5,076,000 1.7 % GoReact (j) Education Software Delayed Draw Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025 1/17/2020 $ - - - 0.0 % Kev Software Inc. (a) Education Software First Lien Term Loan (1M USD LIBOR+8.63%), 9.63% Cash, 9/13/2023 9/13/2018 $ 21,070,667 20,954,138 20,735,644 6.9 % Total Education Software 83,783,349 84,612,990 28.2 % Davisware, LLC Field Service Management First Lien Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024 9/6/2019 $ 3,000,000 2,975,581 2,980,500 1.0 % Davisware, LLC (j) Field Service Management Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024 9/6/2019 $ 977,790 969,611 971,434 0.3 % Total Field Service Management 3,945,192 3,951,934 1.3 % GDS Software Holdings, LLC (h) Financial Services Common Stock Class A Units 8/23/2018 250,000 250,000 424,507 0.1 % Total Financial Services 250,000 424,507 0.1 % Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016 5,000 500,000 852,968 0.3 % Ohio Medical, LLC Healthcare Products Manufacturing Senior Subordinated Note 12.00% Cash, 6/30/2022 1/15/2016 $ 7,300,000 7,285,925 7,300,000 2.4 % Total Healthcare Products Manufacturing 7,785,925 8,152,968 2.7 % Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018 400,000 400,000 1,443,763 0.5 % Axiom Purchaser, Inc. (d) Healthcare Services First Lien Term Loan (3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023 6/19/2018 $ 10,000,000 9,948,656 10,018,000 3.3 % Axiom Purchaser, Inc. (d) Healthcare Services Delayed Draw Term Loan (3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023 6/19/2018 $ 4,000,000 3,974,808 4,007,200 1.3 % ComForCare Health Care Healthcare Services First Lien Term Loan (3M USD LIBOR+7.50%), 8.50% Cash, 1/31/2022 1/31/2017 $ 15,000,000 14,955,975 15,000,000 5.0 % Total Healthcare Services 29,279,439 30,468,963 10.1 % See accompanying notes to consolidated financial statements. 6 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019 2,000,000 2,000,000 2,471,900 0.8 % HemaTerra Holding Company, LLC Healthcare Software First Lien Term Loan (3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024 4/15/2019 $ 6,000,000 5,952,752 6,072,600 2.0 % HemaTerra Holding Company, LLC (d), (j) Healthcare Software Delayed Draw Term Loan (3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024 4/15/2019 $ 12,000,000 11,907,646 12,145,200 4.1 % Procurement Partners, LLC Healthcare Software First Lien Term Loan (3M USD LIBOR+6.50%), 7.50% Cash, 11/12/2025 11/12/2020 $ 8,000,000 7,921,058 7,920,000 2.6 % Procurement Partners, LLC (j) Healthcare Software Delayed Draw Term Loan (3M USD LIBOR+6.50%), 7.50% Cash, 11/12/2025 11/12/2020 $ - - - 0.0 % Procurement Partners Holdings LLC (h) Healthcare Software Class A Units 11/12/2020 300,000 300,000 300,000 0.1 % Total Healthcare Software 28,081,456 28,909,700 9.6 % Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014 5,081 508,077 138,107 0.0 % Roscoe Medical, Inc. (k) Healthcare Supply Second Lien Term Loan 11.25% Cash, 3/28/2021 3/26/2014 $ 4,200,000 4,200,000 4,200,000 1.4 % Total Healthcare Supply 4,708,077 4,338,107 1.4 % Knowland Group, LLC Hospitality/Hotel Second Lien Term Loan (3M USD LIBOR+8.00%), 10.00% Cash, 5/9/2024 11/9/2018 $ 15,767,918 15,767,918 12,117,645 3.9 % Sceptre Hospitality Resources, LLC Hospitality/Hotel First Lien Term Loan (1M USD LIBOR+9.00%), 10.00% Cash, 4/27/2025 4/27/2020 $ 3,000,000 2,972,698 2,970,000 1.0 % Total Hospitality/Hotel 18,740,616 15,087,645 4.9 % Granite Comfort, LP HVAC Services and Sales First Lien Term Loan (1M USD LIBOR+9.00%), 10.00% Cash, 11/16/2025 11/16/2020 $ 7,000,000 6,930,701 6,930,000 2.3 % Granite Comfort, LP (j) HVAC Services and Sales Delayed Draw Term Loan (1M USD LIBOR+9.00%), 10.00% Cash, 11/16/2025 11/16/2020 $ - - - 0.0 % Total HVAC Services and Sales 6,930,701 6,930,000 2.3 % Vector Controls Holding Co., LLC (d) Industrial Products First Lien Term Loan 11.50% (9.75% Cash/1.75% PIK), 3/6/2022 3/6/2013 $ 7,590,846 7,590,236 7,544,542 2.5 % Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015 343 - 1,957,083 0.7 % Total Industrial Products 7,590,236 9,501,625 3.2 % CLEO Communications Holding, LLC (d) IT Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.00% Cash/2.00% PIK, 3/31/2022 3/31/2017 $ 14,003,828 13,991,467 14,136,865 4.7 % CLEO Communications Holding, LLC (d), (j) IT Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.00% Cash/2.00% PIK, 3/31/2022 3/31/2017 $ 20,349,838 20,270,501 20,543,161 6.9 % Erwin, Inc. (d) IT Services Second Lien Term Loan (3M USD LIBOR+10.75%), 12.75% Cash/1.00% PIK, 8/28/2021 2/29/2016 $ 16,172,271 16,143,067 16,172,270 5.4 % LogicMonitor, Inc. IT Services First Lien Term Loan (3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023 3/20/2020 $ 18,000,000 17,889,800 17,847,000 6.0 % Total IT Services 68,294,835 68,699,296 23.0 % inMotionNow, Inc. Marketing Services First Lien Term Loan (3M USD LIBOR+7.50), 10.00% Cash, 5/15/2024 5/15/2019 $ 12,200,000 12,108,936 12,200,000 4.1 % inMotionNow, Inc. Marketing Services Delayed Draw Term Loan (3M USD LIBOR+7.50) 10.00% Cash, 5/15/2024 5/15/2019 $ 5,000,000 4,957,043 5,000,000 1.7 % Total Marketing Services 17,065,979 17,200,000 5.8 % See accompanying notes to consolidated financial statements. 7 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Omatic Software, LLC Non-profit Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023 5/29/2018 $ 5,500,000 5,467,123 5,525,300 1.8 % Total Non-profit Services 5,467,123 5,525,300 1.8 % Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note (3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2020 12/28/2012 $ 3,300,000 3,300,000 3,278,880 1.1 % Emily Street Enterprises, L.L.C. (h) Office Supplies Warrant Membership Interests Expires 12/28/2022 12/28/2012 49,318 400,000 247,814 0.1 % Total Office Supplies 3,700,000 3,526,694 1.2 % Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2021 9/21/2016 $ 18,000,000 17,973,081 17,620,200 5.9 % Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2021 10/1/2018 $ 1,500,000 1,495,547 1,468,350 0.5 % Total Payroll Services 19,468,628 19,088,550 6.4 % Village Realty Holdings LLC Property Management First Lien Term Loan (3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024 10/8/2019 $ 7,250,000 7,186,815 7,264,500 2.4 % Village Realty Holdings LLC (j) Property Management Delayed Draw Term Loan (3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024 10/8/2019 $ 4,876,322 4,835,575 4,886,075 1.7 % V Rental Holdings LLC (h) Property Management Class A-1 Membership Units 10/8/2019 122,578 365,914 822,228 0.3 % Total Property Management 12,388,304 12,972,803 4.4 % Buildout, Inc. Real Estate Services First Lien Term Loan (3M USD LIBOR+7.75%), 9.25% Cash, 7/9/2025 7/9/2020 $ 14,000,000 13,867,762 13,860,000 4.6 % Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020 999 999,000 999,000 0.4 % Total Real Estate Services 14,866,762 14,859,000 5.0 % TMAC Acquisition Co., LLC (k) Restaurant Unsecured Term Loan 8.00% PIK, 9/01/2023 3/1/2018 $ 2,261,017 2,261,017 1,984,653 0.7 % Total Restaurant 2,261,017 1,984,653 0.7 % ArbiterSports, LLC (d) Sports Management First Lien Term Loan (3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025 2/21/2020 $ 26,000,000 25,793,049 23,613,200 7.9 % ArbiterSports, LLC (d) Sports Management Delayed Draw Term Loan (3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025 2/21/2020 $ 1,000,000 1,000,000 908,200 0.3 % Total Sports Management 26,793,049 24,521,400 8.3 % Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014 100,000 100,000 693,452 0.2 % Total Staffing Services 100,000 693,452 0.2 % See accompanying notes to consolidated financial statements. 8 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets National Waste Partners (d) Waste Services Second Lien Term Loan 10.00% Cash, 2/13/2022 2/13/2017 $ 9,000,000 8,974,579 8,969,400 3.0 % Total Waste Services 8,974,579 8,969,400 3.0 % Sub Total Non-control/Non-affiliate investments 463,588,455 456,552,179 152.3 % Affiliate investments - 7.1% (b) GreyHeller LLC (f) Cyber Security First Lien Term Loan (3M USD LIBOR+11.00%), 12.00% Cash, 11/16/2021 11/17/2016 $ 7,000,000 6,982,889 6,983,200 2.4 % GreyHeller LLC (d), (f) Cyber Security Delayed Draw Term Loan (3M USD LIBOR+11.00%), 12.00% Cash, 11/16/2021 10/19/2020 $ 2,250,000 2,229,956 2,244,600 0.7 % GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016 850,000 850,000 3,640,200 1.2 % Total Cyber Security 10,062,845 12,868,000 4.3 % Top Gun Pressure Washing, LLC (f) Facilities Maintenance First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024 8/12/2019 $ 5,000,000 4,959,412 4,644,000 1.5 % Top Gun Pressure Washing, LLC (f), (j) Facilities Maintenance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024 8/12/2019 $ 1,825,000 1,809,473 1,695,060 0.6 % TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019 488,148 488,149 199,100 0.1 % Total Facilities Maintenance 7,257,034 6,538,160 2.2 % Elyria Foundry Company, L.L.C. (d), (f) Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 7/30/2010 $ 1,333,565 1,333,564 1,267,154 0.4 % Elyria Foundry Company, L.L.C. (d), (f), (h) Metals Common Stock 7/30/2010 60,000 9,685,028 730,488 0.2 % Total Metals 11,018,592 1,997,642 0.6 % Sub Total Affiliate investments 28,338,471 21,403,802 7.1 % Control investments - 23.0% (b) Netreo Holdings, LLC (g) IT Services First Lien Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 7/3/2023 7/3/2018 $ 5,271,157 5,238,302 5,272,738 1.8 % Netreo Holdings, LLC (g) IT Services Delayed Draw Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 7/3/2023 5/26/2020 $ 1,217,338 1,206,896 1,217,703 0.4 % Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018 3,150,000 3,150,000 6,365,883 2.2 % Total IT Services 9,595,198 12,856,324 4.4 % Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities 22.02%, 1/20/2030 1/22/2008 $ 69,500,000 20,459,805 21,536,355 7.2 % Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities (3M USD LIBOR+8.75%), 8.98%, 1/20/2030 12/14/2018 $ 2,500,000 2,500,000 2,435,250 0.7 % Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities (3M USD LIBOR+10.00%), 10.23%, 1/20/2030 12/14/2018 $ 7,500,000 7,500,000 7,327,500 2.4 % Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (a), (g) Structured Finance Securities Unsecured Loan (3M USD LIBOR+4.46%), 4.69%, 8/20/2021 2/18/2020 $ 25,000,000 25,000,000 24,832,092 8.3 % Total Structured Finance Securities 55,459,805 56,131,197 18.6 % Sub Total Control investments 65,055,003 68,987,521 23.0 % TOTAL INVESTMENTS - 182.4% (b) $ 556,981,929 $ 546,943,502 182.4 % See accompanying notes to consolidated financial statements. 9 Number of Shares Cost Fair Value % of Net Assets Cash and cash equivalents and cash and cash equivalents, reserve accounts - 11.3% (b) U.S. Bank Money Market (l) 33,896,887 $ 33,896,887 $ 33,896,887 11.3 % Total cash and cash equivalents and cash and cash equivalents, reserve accounts 33,896,887 $ 33,896,887 $ 33,896,887 11.3 % (a) Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of November 30, 2020 non-qualifying assets represent 14.1% of the Company's portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets. (b) Percentages are based on net assets of $299,852,890 as of November 30, 2020. (c) Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements). (d) These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 7 to the consolidated financial statements). (e) This investment does not have a stated interest rate that is payable thereon. As a result, the 22.02% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment. (f) As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the nine months ended November 30, 2020 in which the issuer was an Affiliate are as follows: Company Purchases Sales Total Interest from Investments Management Fee Income Net Realized Gain (Loss) from Investments Net Change in Unrealized Appreciation (Depreciation) Elyria Foundry Company, L.L.C. $ - $ - $ 143,574 $ - $ - $ (1,275,722 ) GreyHeller LLC 2,227,500 - 701,592 - - 644,761 Top Gun Pressure Washing, LLC 1,806,750 - 503,248 - - (501,596 ) TG Pressure Washing Holdings, LLC 138,148 - - - - (289,049 ) Total $ 4,219,898 $ - $ 1,348,414 $ - $ - $ (1,421,606 ) (g) As defined in the Investment Company Act, we "Control" this portfolio company because we own more than 25% of the portfolio company's outstanding voting securities. Transactions during the nine months ended November 30, 2020 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows: Company Purchases Sales Total Interest from Investments Management Fee Income Net Realized Gain (Loss) from Investments Net Change in Unrealized Appreciation (Depreciation) Netreo Holdings, LLC $ 1,188,000 $ - $ 541,309 $ - $ - $ (494,344 ) Saratoga Investment Corp. CLO 2013-1, Ltd. - - 2,426,007 1,883,825 - 2,039,738 Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes - - 182,964 - - (42,750 ) Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes - - 620,508 - - (107,250 ) Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (j) 22,500,000 - 384,576 - - 127,551 Total $ 23,688,000 $ - $ 4,155,364 $ 1,883,825 $ - $ 1,522,945 (h) Non-income producing at November 30, 2020. (i) Includes securities issued by an affiliate of the Company. (j) All or a portion of this investment has an unfunded commitment as of November 30, 2020. (see Note 8 to the consolidated financial statements). (k) As of November 30, 2020, the investment was on non-accrual status. The fair value of these investments was approximately $6.2 million, which represented 1.1% of the Company's portfolio (see Note 2 to the consolidated financial statements). (l) Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company's consolidated statements of assets and liabilities as of November 30, 2020. LIBOR - London Interbank Offered Rate 1M USD LIBOR - The 1 month USD LIBOR rate as of November 30, 2020 was 0.15%. 3M USD LIBOR - The 3 month USD LIBOR rate as of November 30, 2020 was 0.23%. PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements). See accompanying notes to consolidated financial statements. 10 Saratoga Investment Corp. Consolidated Schedule of Investments February 29, 2020 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Non-control/Non-affiliate investments - 138.2% (b) CoConstruct, LLC Construction Management Services First Lien Term Loan (3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024 7/5/2019 $ 4,200,000 4,161,917 4,284,000 1.4 % CoConstruct, LLC (j) Construction Management Services Delayed Draw Term Loan (3M USD LIBOR+7.50%), 10.00% Cash, 7/5/2024 7/5/2019 $ - - - 0.0 % Total Construction Management Services 4,161,917 4,284,000 1.4 % Targus Holdings, Inc. (h) Consumer Products Common Stock 12/31/2009 210,456 1,589,630 417,619 0.1 % Total Consumer Products 1,589,630 417,619 0.1 % My Alarm Center, LLC (k) Consumer Services Preferred Equity Class A Units 8.00% PIK 7/14/2017 2,227 2,357,879 - 0.0 % My Alarm Center, LLC (h) Consumer Services Preferred Equity Class B Units 7/14/2017 1,797 1,796,880 - 0.0 % My Alarm Center, LLC (h) Consumer Services Preferred Equity Class Z Units 9/12/2018 676 712,343 1,997,158 0.6 % My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017 96,224 - - 0.0 % Total Consumer Services 4,867,102 1,997,158 0.60 % Passageways, Inc. Corporate Governance First Lien Term Loan (3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023 7/5/2018 $ 5,000,000 4,961,214 5,034,500 1.7 % Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 8.75% Cash, 7/5/2023 1/3/2020 $ 2,000,000 1,991,001 2,013,800 0.7 % Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018 2,027,205 1,000,000 2,042,180 0.8 % Total Corporate Governance 7,952,215 9,090,480 0.03 C2 Educational Systems (d) Education Services First Lien Term Loan (3M USD LIBOR+7.00%), 8.50% Cash, 5/31/2020 5/31/2017 $ 16,000,000 15,981,853 16,000,000 5.3 % Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015 750,000 750,000 703,910 0.2 % Texas Teachers of Tomorrow, LLC (d) Education Services First Lien Term Loan (3M USD LIBOR+7.25%), 9.75% Cash, 6/28/2024 6/28/2019 $ 19,661,200 19,483,213 19,661,200 6.5 % Total Education Services 36,215,066 36,365,110 12.0 % Destiny Solutions Inc. (d) Education Software First Lien Term Loan (3M USD LIBOR+7.25%), 9.25% Cash, 10/23/2024 5/16/2018 $ 36,000,000 35,686,318 35,888,400 11.8 % Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018 2,342 2,468,464 2,805,839 0.9 % Identity Automation Systems (h) Education Software Common Stock Class A Units 8/25/2014 232,616 232,616 860,269 0.4 % Identity Automation Systems (d) Education Software First Lien Term Loan (3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024 8/25/2014 $ 15,422,500 15,389,090 15,524,289 5.1 % EMS LINQ, Inc. Education Software First Lien Term Loan (1M USD LIBOR+8.50%), 10.02% Cash, 8/9/2024 8/9/2019 $ 14,925,000 14,780,293 14,823,510 4.8 % GoReact Education Software First Lien Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025 1/17/2020 $ 5,000,000 4,930,819 4,950,000 1.6 % GoReact (j) Education Software Delayed Draw Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025 1/17/2020 $ - - - 0.0 % Kev Software Inc. (a) Education Software First Lien Term Loan (1M USD LIBOR+8.63%), 10.15% Cash, 9/13/2023 9/13/2018 $ 21,231,923 21,086,573 21,202,198 7.0 % Total Education Software 94,574,173 96,054,505 31.6 % Davisware, LLC Field Service Management First Lien Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024 9/6/2019 $ 3,000,000 2,971,896 2,970,000 1.0 % Davisware, LLC (j) Field Service Management Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024 9/6/2019 $ - - - 0.0 % Total Field Service Management 2,971,896 2,970,000 1.0 % See accompanying notes to consolidated financial statements. 11 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets GDS Holdings US, Inc. (d) Financial Services First Lien Term Loan (3M USD LIBOR+7.00%), 8.50% Cash, 8/23/2023 8/23/2018 $ 7,500,000 7,444,170 7,650,000 2.5 % GDS Holdings US, Inc. (d) Financial Services Delayed Draw Term Loan (3M USD LIBOR+7.00%), 8.50% Cash, 8/23/2023 8/23/2018 $ 1,000,000 990,526 1,020,000 0.3 % GDS Software Holdings, LLC (h) Financial Services Common Stock Class A Units 8/23/2018 250,000 250,000 421,291 0.1 % FMG Suite Holdings, LLC (d) Financial Services Second Lien Term Loan (1M USD LIBOR+8.00%), 9.52% Cash, 11/16/2023 5/16/2018 $ 23,000,000 22,863,835 23,000,000 7.6 % Total Financial Services 31,548,531 32,091,291 10.5 % Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016 5,000 500,000 416,550 0.1 % Ohio Medical, LLC Healthcare Products Manufacturing Senior Subordinated Note 12.00% Cash, 7/15/2021 1/15/2016 $ 7,300,000 7,274,482 7,300,000 2.4 % Total Healthcare Products Manufacturing 7,774,482 7,716,550 2.5 % Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018 400,000 400,000 428,706 0.1 % Axiom Purchaser, Inc. (d) Healthcare Services First Lien Term Loan (3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023 6/19/2018 $ 10,000,000 9,936,612 9,944,000 3.3 % Axiom Purchaser, Inc. (d), (j) Healthcare Services Delayed Draw Term Loan (3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023 6/19/2018 $ 3,000,000 2,977,619 2,983,200 1.0 % ComForCare Health Care Healthcare Services First Lien Term Loan (3M USD LIBOR+7.50%), 8.96% Cash, 1/31/2022 1/31/2017 $ 15,000,000 14,929,216 15,099,000 5.0 % Total Healthcare Services 28,243,447 28,454,906 9.4 % HemaTerra Holding Company, LLC Healthcare Software First Lien Term Loan (3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024 4/15/2019 $ 6,000,000 5,944,473 6,120,000 2.0 % HemaTerra Holding Company, LLC (j) Healthcare Software Delayed Draw Term Loan (3M USD LIBOR+6.75%), 9.25% Cash, 4/15/2024 4/15/2019 $ 10,000,000 9,912,295 10,200,000 3.4 % TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019 2,000,000 2,000,000 2,259,190 0.7 % PDDS Buyer, LLC Healthcare Software First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024 7/15/2019 $ 12,000,000 11,888,585 12,184,800 4.0 % PDDS Buyer, LLC (j) Healthcare Software Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 7/15/2024 7/15/2019 $ - - - 0.0 % Total Healthcare Software 29,745,353 30,763,990 10.1 % Roscoe Medical, Inc. (h) Healthcare Supply Common Stock 3/26/2014 5,081 508,077 - 0.0 % Roscoe Medical, Inc. (k) Healthcare Supply Second Lien Term Loan 11.25% Cash, 3/28/2021 3/26/2014 $ 4,200,000 4,200,000 2,136,960 0.7 % Total Healthcare Supply 4,708,077 2,136,960 0.7 % Knowland Group, LLC Hospitality/Hotel Second Lien Term Loan (3M USD LIBOR+8.00%), 10.00% Cash, 5/9/2024 11/9/2018 $ 15,000,000 15,000,000 14,893,500 4.9 % Total Hospitality/Hotel 15,000,000 14,893,500 4.9 % Vector Controls Holding Co., LLC (d) Industrial Products First Lien Term Loan 10.50% (9.00% Cash/1.50% PIK), 3/6/2022 3/6/2013 $ 7,849,846 7,849,846 7,928,345 2.6 % Vector Controls Holding Co., LLC (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015 343 - 2,850,231 0.9 % Total Industrial Products 7,849,846 10,778,576 3.5 % CLEO Communications Holding, LLC IT Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.46% Cash/2.00% PIK, 3/31/2022 3/31/2017 $ 13,791,686 13,773,206 14,048,211 4.6 % CLEO Communications Holding, LLC IT Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.46% Cash/2.00% PIK, 3/31/2022 3/31/2017 $ 20,041,560 19,919,746 20,414,333 6.7 % Erwin, Inc. (d) IT Services Second Lien Term Loan (3M USD LIBOR+11.50%), 12.96% Cash/1.00% PIK, 8/28/2021 2/29/2016 $ 16,049,804 15,990,286 16,049,804 5.3 % Total IT Services 49,683,238 50,512,348 16.6 % inMotionNow, Inc. Marketing Services First Lien Term Loan (3M USD LIBOR+7.25), 9.75% Cash, 5/15/2024 5/15/2019 $ 12,200,000 12,094,364 12,200,000 4.1 % inMotionNow, Inc. (j) Marketing Services Delayed Draw Term Loan (3M USD LIBOR+7.25) 9.75% Cash, 5/15/2024 5/15/2019 $ 2,000,000 1,981,329 2,000,000 0.0 % Total Marketing Services 14,075,693 14,200,000 4.1 % Omatic Software, LLC Non-profit Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023 5/29/2018 $ 5,500,000 5,459,192 5,554,999 1.9 % See accompanying notes to consolidated financial statements. 12 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Omatic Software, LLC (j) Non-profit Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.75% Cash, 5/29/2023 5/29/2018 $ - - - 0.0 % Total Non-profit Services 5,459,192 5,554,999 1.9 % Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note (3M USD LIBOR+8.50%), 10.00% Cash, 4/22/2020 12/28/2012 $ 3,300,000 3,299,987 3,300,000 1.1 % Emily Street Enterprises, L.L.C. (h) Office Supplies Warrant Membership Interests Expires 12/28/2022 12/28/2012 49,318 400,000 499,464 0.2 % Total Office Supplies 3,699,987 3,799,464 1.3 % Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.46% Cash, 9/21/2021 9/21/2016 $ 18,000,000 $ 17,951,463 $ 17,589,600 5.8 % Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.46% Cash, 9/21/2021 10/1/2018 $ 1,500,000 1,491,938 1,465,800 0.5 % Total Payroll Services 19,443,401 19,055,400 6.3 % Village Realty Holdings LLC Property Management First Lien Term Loan (3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024 10/8/2019 $ 7,250,000 7,180,560 7,264,500 2.4 % Village Realty Holdings LLC (j) Property Management Delayed Draw Term Loan (3M USD LIBOR+6.50%), 8.75% Cash, 10/8/2024 10/8/2019 $ 3,876,322 3,838,783 3,884,075 1.4 % V Rental Holdings LLC (h) Property Management Class A-1 Membership Units 10/8/2019 116,700 338,229 354,280 0.1 % Total Property Management 11,357,572 11,502,855 3.9 % TMAC Acquisition Co., LLC Restaurant Unsecured Term Loan 8.00% PIK, 9/01/2023 3/1/2018 $ 2,261,017 2,261,017 2,140,880 0.7 % Total Restaurant 2,261,017 2,140,880 0.7 % ArbiterSports, LLC Sports Management First Lien Term Loan (3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025 2/21/2020 $ 26,000,000 25,765,288 25,740,000 8.6 % Arbiter Sports, LLC (j) Sports Management Delayed Draw Term Loan (3M USD LIBOR+6.50%), 8.25% Cash, 2/21/2025 2/21/2020 $ - - - 0.0 % Total Sports Management 25,765,288 25,740,000 8.6 % Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014 100,000 100,000 922,337 0.3 % Total Staffing Services 100,000 922,337 0.3 % National Waste Partners (d) Waste Services Second Lien Term Loan 10.00% Cash, 2/13/2022 2/13/2017 $ 9,000,000 8,959,602 9,000,000 3.0 % Total Waste Services 8,959,602 9,000,000 3.0 % Sub Total Non-control/Non-affiliate investments 418,006,725 420,442,928 138.2 % Affiliate investments - 6.0% (b) GreyHeller LLC (f) Cyber Security First Lien Term Loan (3M USD LIBOR+11.00%), 12.46% Cash, 11/16/2021 11/17/2016 $ 7,000,000 6,971,109 7,000,000 2.2 % GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016 850,000 850,000 2,981,503 1.0 % Total Cyber Security 7,821,109 9,981,503 3.2 % Top Gun Pressure Washing, LLC (f) Facililties Maintenance First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024 8/12/2019 $ 5,000,000 4,952,729 5,024,500 1.7 % Top Gun Pressure Washing, LLC (f), (j) Facililties Maintenance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 8/12/2024 8/12/2019 $ - - - 0.0 % TG Pressure Washing Holdings, LLC (f), (h) Facililties Maintenance Preferred Equity 8/12/2019 350,000 350,000 350,000 0.1 % Total Facililties Maintenance 5,302,729 5,374,500 1.8 % Elyria Foundry Company, L.L.C. (f), (h) Metals Common Stock 7/30/2010 60,000 9,685,028 1,939,800 0.6 % Elyria Foundry Company, L.L.C. (d), (f) Metals Second Lien Term Loan 15.00% PIK, 8/10/2022 7/30/2010 $ 1,190,051 1,190,051 1,190,051 0.4 % Total Metals 10,875,079 3,129,851 1.0 % Sub Total Affiliate investments 23,998,917 18,485,854 6.0 % Control investments - 15.4% (b) Netreo Holdings, LLC (g) IT Services First Lien Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.00% PIK, 7/3/2023 7/3/2018 $ 5,162,734 5,123,191 5,265,989 1.7 % Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018 3,150,000 3,150,000 6,762,672 2.3 % Total IT Services 8,273,191 12,028,661 4.0 % Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities 10.97%, 1/20/2030 1/22/2008 $ 69,500,000 23,520,428 22,557,240 7.4 % Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities (3M USD LIBOR+8.75%), 10.21%, 1/20/2030 12/14/2018 $ 2,500,000 2,500,000 2,478,000 0.8 % See accompanying notes to consolidated financial statements. 13 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities (3M USD LIBOR+10.00%), 11.46%, 1/20/2030 12/14/2018 $ 7,500,000 7,500,000 7,434,750 2.4 % Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (a), (g), (j) Structured Finance Securities Unsecured Loan (3M USD LIBOR+7.50%), 8.96%, 8/20/2021 2/18/2020 $ 2,500,000 2,500,000 2,204,541 0.8 % Total Structured Finance Securities 36,020,428 34,674,531 11.4 % Sub Total Control investments 44,293,619 46,703,192 15.4 % TOTAL INVESTMENTS - 159.6% (b) $ 486,299,261 $ 485,631,974 159.6 % Number of Shares Cost Fair Value % of Net Assets Cash and cash equivalents and cash and cash equivalents, reserve accounts - 13.0% (b) U.S. Bank Money Market (l) 39,450,352 $ 39,450,352 $ 39,450,352 13.0 % Total cash and cash equivalents and cash and cash equivalents, reserve accounts 39,450,352 $ 39,450,352 $ 39,450,352 13.0 % * Certain reclassifications have been made to previously reported industry groupings to show results on a consistent basis across periods. (a) Represents a non-qualifying investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of February 29, 2020, non-qualifying assets represent 11.5% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets. (b) Percentages are based on net assets of $304,286,853 as of February 29, 2020. (c) Because there is no readily available market value for these investments, the fair values of these investments were determined using significant unobservable inputs and approved in good faith by our board of directors. These investments have been included as Level 3 in the Fair Value Hierarchy (see Note 3 to the consolidated financial statements). (d) These securities are either fully or partially pledged as collateral under a senior secured revolving credit facility (see Note 7 to the consolidated financial statements). (e) This investment does not have a stated interest rate that is payable thereon. As a result, the 10.97% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment. (f) As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the year ended February 29, 2020 in which the issuer was an Affiliate are as follows: Company Purchases Sales Total Interest from Investments Management Fee Income Net Realized Gain (Loss) from Investments Net Change in Unrealized Appreciation (Depreciation) GreyHeller LLC $ - $ - $ 961,322 $ - $ - $ 1,331,201 Elyria Foundry Company, L.L.C. - - 167,835 - - 135,600 Top Gun Pressure Washing, LLC 4,950,000 - 269,257 - - 71,771 TG Pressure Washing Holdings, LLC 350,000 - - - - - Total $ 5,300,000 $ - $ 1,398,414 $ - $ - $ 1,538,572 See accompanying notes to consolidated financial statements. 14 (g) As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 29, 2020 in which the issuer was both an Affiliate and a portfolio company that we Control are as follows: Company Purchases Sales Total Interest from Investments Management Fee Income Net Realized Gain (Loss) from Investments Net Change in Unrealized Appreciation (Depreciation) Easy Ice, LLC $ - $ (65,219,080 ) $ 3,335,320 $ - $ 31,225,165 $ (3,816,610 ) Easy Ice Masters, LLC - (4,169,121 ) 382,066 - - (51,436 ) Netreo Holdings, LLC - - 578,617 - - 1,654,603 Saratoga Investment Corp. CLO 2013-1, Ltd. - - 4,058,715 2,503,804 - (2,840,298 ) Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes - - 280,689 - - (5,500 ) Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes - - 937,378 - - (15,750 ) Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd (j) 2,500,000 - 7,642 - - (295,459 ) Total $ 2,500,000 $ (69,388,201 ) $ 9,580,427 $ 2,503,804 $ 31,225,165 $ (5,370,450 ) (h) Non-income producing at February 29, 2020. (i) Includes securities issued by an affiliate of the Company. (j) All or a portion of this investment has an unfunded commitment as of February 29, 2020. (see Note 8 to the consolidated financial statements). (k) As of February 29, 2020, the investment was on non-accrual status. The fair value of these investments was approximately $2.1 million, which represented 0.4% of the Company’s portfolio (see Note 2 to the consolidated financial statements). (l) Included within cash and cash equivalents and cash and cash equivalents, reserve accounts in the Company’s consolidated statements of assets and liabilities as of February 29, 2020. LIBOR - London Interbank Offered Rate 1M USD LIBOR - The 1 month USD LIBOR rate as of February 29, 2020 was 1.52%. 3M USD LIBOR - The 3 month USD LIBOR rate as of February 29, 2020 was 1.46%. PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements). See accompanying notes to consolidated financial statements. 15 SARATOGA INVESTMENT CORP. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS November 30, 2020 (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, as amended (the “1940 Act”). The Company commenced operations on March 23, 2007 as GSC Investment Corp. and completed its 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 of 1986, as amended (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” or “Saratoga Investment Advisors”), pursuant to an investment advisory and 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-MAC, Inc., SIA-PP, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc., which are structured as Delaware entities, or tax blockers (“Taxable Blockers”), to hold equity or equity-like investments in portfolio companies organized as limited liability companies, or LLCs (or other forms of pass through entities). Tax Blockers are consolidated for accounting purposes, but are not consolidated for U.S. federal income tax purposes and may incur U.S. federal income tax expenses as a result of their ownership of portfolio companies. On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”), pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and , which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 million. On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received a Small Business Investment Company (“SBIC”) license from the Small Business Administration (“SBA”). On August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. The new license will provide up to $175.0 million in additional long-term capital in the form of SBA debentures. Note 2. Summary of Significant Accounting Policies Basis of Presentation The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SBIC II LP, SIA-Avionte, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PP, Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc. All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiaries, except as stated otherwise. 16 The Company, SBIC LP and SBIC II LP are all considered to be investment companies for financial reporting purposes and have applied the guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “ Financial Services — Investment Companies ” (“ASC 946”). There have been no changes to the Company, SBIC LP or SBIC II LP’s status as investment companies during the three months ended November 30, 2020. Use of Estimates in the Preparation of Financial Statements The preparation of the accompanying consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements, and income, gains (losses) and expenses during the period reported. Actual results could differ materially from those estimates. Cash and Cash Equivalents Cash and cash equivalents include short-term, liquid investments in a money market fund. Cash and cash equivalents are carried at cost which approximates fair value. Per section 12(d)(1)(A) of the 1940 Act, the Company may not invest in another registered investment company such as a money market fund if such investment would cause the Company to exceed any of the following limitations: ● we were to own more than 3.0% of the total outstanding voting stock of the money market fund; ● we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets, except as allowed pursuant to Rule 12d1-1 of Section 12(d)(1) of the 1940 Act which is designed to permit “cash sweep” arrangements rather than investments directly in short-term instruments; or ● we were to hold securities in money market funds and other registered investment companies and BDCs having an aggregate value in excess of 10.0% of the value of our total assets. As of November 30, 2020, the Company did not exceed any of these limitations. Cash and Cash Equivalents, Reserve Accounts Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds, representing payments received on secured investments or other reserved amounts associated with the Company’s $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility. In addition, cash and cash equivalents, reserve accounts also include amounts held in designated bank accounts, in the form of cash and short-term liquid investments in money market funds, within our wholly-owned subsidiaries, SBIC LP and SBIC II LP. The statements of cash flows explain the change during the period in the total of cash, cash equivalents and amounts generally described as restricted cash and restricted cash equivalents when reconciling the beginning-of-period and end-of-period total amounts. The following table provides a reconciliation of cash and cash equivalents and cash and cash equivalents, reserve accounts reported within the consolidated statements of assets and liabilities that sum to the total of the same such amounts shown in the consolidated statements of cash flows: November 30, 2020 November 30, 2019 Cash and cash equivalents $ 21,060,224 $ 51,646,844 Cash and cash equivalents, reserve accounts 12,836,663 29,465,785 Total cash and cash equivalents and cash and cash equivalents, reserve accounts $ 33,896,887 $ 81,112,629 17 Investment Classification The Company classifies its investments in accordance with the requirements of the 1940 Act. Under the 1940 Act, “Control Investments” are defined as investments in companies in which we own more than 25.0% of the voting securities or maintain greater than 50.0% of the board representation. Under the 1940 Act, “Affiliated Investments” are defined as those non-control investments in companies in which we own between 5.0% and 25.0% of the voting securities. Under the 1940 Act, “Non-affiliated Investments” are defined as investments that are neither Control Investments nor Affiliated Investments. Investment Valuation The Company accounts for its investments at fair value in accordance with the FASB ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Company to assume that its investments are to be sold or its liabilities are to be transferred at the balance sheet date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact. Investments for which market quotations are readily available are fair valued at such market quotations obtained from independent third-party pricing services and market makers subject to any decision by our board of directors to approve a fair value determination to reflect significant events affecting the value of these investments. We value investments for which market quotations are not readily available at fair value as approved, in good faith, by our board of directors based on input from our Manager, the audit committee of our board of directors and a third-party independent valuation firm. Determinations of fair value may involve subjective judgments and estimates. The types of factors that may be considered in determining the fair value of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors. The Company undertakes a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below: ● Each investment is initially valued by the responsible investment professionals of the Manager and preliminary valuation conclusions are documented, reviewed and discussed with our senior management; and ● An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. In addition, all our investments are subject to the following valuation process: ● The audit committee of our board of directors reviews and approves each preliminary valuation and our Manager and independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and ● Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of our Manager, independent valuation firm (to the extent applicable) and the audit committee of our board of directors. The Company’s investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. The Company uses the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine the valuation for our investment in Saratoga CLO. Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. The Company’s net asset value could be materially affected if the determinations regarding the fair value of our investments were materially higher or lower than the values that we ultimately realize upon the disposal of such investments. Derivative Financial Instruments The Company accounts for derivative financial instruments in accordance with FASB ASC Topic 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires recognizing all derivative instruments as either assets or liabilities on the consolidated statements of assets and liabilities at fair value. The Company values derivative contracts at the closing fair value provided by the counterparty. Changes in the values of derivative contracts are included in the consolidated statements of operations. 18 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 using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts over the life of the investment and amortization of premiums on investments up to the earliest call date. Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid and, in management’s judgment, are likely to remain current, although we may make exceptions to this general rule if the loan has sufficient collateral value and is in the process of collection. At November 30, 2020, certain investments in three portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $6.2 million, or 1.1% o f the fair value of our portfolio. At February 29, 2020, certain investments in two portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $2.1 million, or 0.4% of the fair value of our portfolio. Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325, Investments-Other, Beneficial Interests in Securitized Financial Assets , (“ASC 325”), based on the anticipated yield and the estimated cash flows over the projected life of the investment. Yields are revised when there are changes in actual or estimated cash flows due to changes in prepayments and/or re-investments, credit losses or asset pricing. Changes in estimated yield are recognized as an adjustment to the estimated yield over the remaining life of the investment from the date the estimated yield was changed. Payment-in-Kind Interest The Company holds debt and preferred equity investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. The Company stops accruing PIK interest if it is expected that the issuer will not be able to pay all principal and interest when due. Structuring and Advisory Fee Income Structuring and advisory fee income represents various fee income earned and received performing certain investment structuring and advisory activities during the closing of new investments. Other Income Other income includes dividends received, prepayment income fees, and origination, monitoring, administration and amendment fees and is recorded in the consolidated statements of operations when earned. Deferred Debt Financing Costs Financing costs incurred in connection with our credit facility and notes are deferred and amortized using the straight-line method over the life of the respective facility and debt securities. Financing costs incurred in connection with our SBA debentures are deferred and amortized using the straight-line method over the life of the debentures. The Company presents deferred debt financing costs on the balance sheet as a contra-liability as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts. Contingencies In the ordinary course of business, the Company may enter into contracts or agreements that contain indemnifications or warranties. Future events could occur that lead to the execution of these provisions against the Company. Based on its history and experience, management feels that the likelihood of such an event is remote. Therefore, the Company has not accrued any liabilities in connection with such indemnifications. In the ordinary course of business, the Company may directly or indirectly be a defendant or plaintiff in legal actions with respect to bankruptcy, insolvency or other types of proceedings. Such lawsuits may involve claims that could adversely affect the value of certain financial instruments owned by the Company. 19 Income Taxes The Company has elected to be treated for tax purposes as a RIC under the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes, except as related to the Taxable Blockers and long-term capital gains, when applicable. In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least 90.0% of its investment company taxable income, as defined by the Code, for each fiscal tax year. The Company will be subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does not distribute at least 98.0% of its ordinary income in any calendar year and 98.2% of its capital gain net income for each one-year period ending on October 31. Depending on the level of taxable income earned in a tax year, the Company may choose to carry forward taxable income in excess of current year dividend distributions into the next tax year and pay a 4.0% excise tax on such income, as required. To the extent that the Company determines that its estimated current year annual taxable income will be in excess of estimated current year dividend distributions for excise tax purposes, the Company accrues excise tax, if any, on estimated excess taxable income as taxable income is earned. In accordance with certain applicable U.S. Treasury regulations and private letter rulings issued by the Internal Revenue Service (“IRS”), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation on the aggregate amount of cash to be distributed to all stockholders, which limitation must be at least 20.0% of the aggregate declared distribution. If too many stockholders elect to receive cash, each stockholder electing to receive cash will receive a pro rata amount of cash (with the balance of the distribution paid in stock). In no event will any stockholder, electing to receive cash, receive less than 20.0% of his or her entire distribution in cash. If these and certain other requirements are met, for U.S. federal income tax purposes, the amount of the dividend paid in stock will be equal to the amount of cash that could have been received instead of stock. The Company may utilize wholly-owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet its source-of-income requirements as a RIC. Taxable Blockers are consolidated in the Company’s U.S. GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likely than-not that some portion or all of the deferred tax assets will not be realized. FASB ASC Topic 740, Income Taxes , (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 29, 2020, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2017, 2018 and 2019 federal tax years for the Company remain subject to examination by the IRS. As of November 30, 2020 and February 29, 2020, 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. 20 Capital Gains Incentive Fee The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the consolidated statements of assets and liabilities, by the Company to the Manager when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Company’s Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and only reflected those realized capital gains net of realized and unrealized losses for the period. New Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. Management does not believe this optional guidance has a material impact on the Company’s consolidated financial statements and disclosures. SEC Rule 12b-2 Update In March 2020, the SEC adopted a final rule under SEC Release No. 34-88365 (the “Final Rule”), amending the accelerated filer and large accelerated filer definitions in Exchange Act Rule 12b-2. The amendments include a provision under which a BDC will be excluded from the “accelerated filer” and “large accelerated filer” definitions if the BDC has (1) a public float of $75 million or more, but less than $700 million, and (2) has annual investment income of less than $100 million. In addition, BDCs are subject to the same transition provisions for accelerated filer and large accelerated filer status as other issuers, but instead substituting investment income for revenue. The amendments will reduce the number of issuers required to comply with the auditor attestation on the internal control over financial reporting requirement provided under Section 404(b) of the Sarbanes-Oxley Act of 2002. The Final Rule applies to annual report filings due on or after April 27, 2020. The Company has assessed the Final Rule, and believes that effective February 28, 2021, it will no longer be an accelerated filer. As a result, the Company will file its Annual Report on Form 10-K for the fiscal year ending February 28, 2021 as a non-accelerated filer. 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. 21 Based on the observability of the inputs used in the valuation techniques, the Company is required to provide disclosures on fair value measurements according to the fair value hierarchy. The fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three categories: ● Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. ● Level 2— Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments which are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed . ● Level 3— Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. These inputs into the determination of fair value may require significant management judgment or estimation. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation methodology. In addition to using the above inputs in investment valuations, the Company continues to employ the valuation policy approved by the board of directors that is consistent with ASC 820 and the 1940 Act (see Note 2). Consistent with our valuation policy, we evaluate the source of inputs, including any markets in which our investments are trading, in determining fair value. The following table presents fair value measurements of investments, by major class, as of November 30, 2020 (dollars in thousands), according to the fair value hierarchy: Fair Value Measurements Level 1 Level 2 Level 3 Total First lien term loans $ - $ - $ 407,699 $ 407,699 Second lien term loans - - 50,027 50,027 Unsecured term loans - - 26,817 26,817 Structured finance securities - - 31,299 31,299 Equity interests - - 31,102 31,102 Total $ - $ - $ 546,944 $ 546,944 The following table presents fair value measurements of investments, by major class, as of February 29, 2020 (dollars in thousands), according to the fair value hierarchy: Fair Value Measurements Level 1 Level 2 Level 3 Total First lien term loans $ - $ - $ 346,233 $ 346,233 Second lien term loans - - 73,570 73,570 Unsecured term loans - - 4,346 4,346 Structured finance securities - - 32,470 32,470 Equity interests - - 29,013 29,013 Total $ - $ - $ 485,632 $ 485,632 22 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, 2020 (dollars in thousands): First lien term loans Second lien term loans Unsecured term loans Structured finance securities Equity interests Total Balance as of February 29, 2020 $ 346,233 $ 73,570 $ 4,346 $ 32,470 $ 29,013 $ 485,632 Payment-in-kind and other adjustments to cost 625 1,034 - (3,061 ) - (1,402 ) Net accretion of discount on investments 772 193 - - - 965 Net change in unrealized appreciation (depreciation) on investments (7,915 ) (1,770 ) (29 ) 1,890 (1,547 ) (9,371 ) Purchases 95,891 - 22,500 - 3,636 122,027 Sales and repayments (27,929 ) (23,000 ) - - - (50,929 ) Net realized gain (loss) from investments 22 - - - - 22 Balance as of November 30, 2020 $ 407,699 $ 50,027 $ 26,817 $ 31,299 $ 31,102 $ 546,944 Net change in unrealized appreciation (depreciation) for the period relating to those Level 3 assets that were still held by the Company at the end of the period $ (7,636 ) $ (1,722 ) $ (29 ) $ 1,889 $ (1,546 ) $ (9,044 ) 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 interests. Sales and repayments represent net proceeds received from investments sold, and principal paydowns received during the period. Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructures in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2020. The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the nine months ended November 30, 2019 (dollars in thousands): First lien term loans Second lien term loans Unsecured term loans Structured finance securities Equity interests Total Balance as of February 28, 2019 $ 202,846 $ 125,786 $ 2,100 $ 35,328 $ 35,960 $ 402,020 Payment-in-kind and other adjustments to cost 488 2,716 - 751 (872 ) 3,083 Net accretion of discount on investments 641 247 - - - 888 Net change in unrealized appreciation (depreciation) on investments (672 ) 350 (27 ) (1,773 ) 7,033 4,911 Purchases 155,588 - - - 5,084 160,672 Sales and repayments (56,178 ) (28,000 ) - - (12,975 ) (97,153 ) Net realized gain (loss) from investments 60 - - - 12,550 12,610 Balance as of November 30, 2019 $ 302,773 $ 101,099 $ 2,073 $ 34,306 $ 46,780 $ 487,031 Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the period $ (558 ) $ 196 $ (27 ) $ (1,773 ) $ 8,422 $ 6,260 Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructures in or out of Levels 1, 2 or 3 during the nine months ended November 30, 2019. The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of November 30, 2020 were as follows (dollars in thousands): Fair Value Valuation Technique Unobservable Input Range Weighted Average* First lien term loans Market Comparables Market Yield (%) 6.4% - 53.9% 11.3% $ 407,699 EBITDA Multiples (x) 0.0x 0.0x Second lien term loans Market Comparables Market Yield (%) 10.3% - 19.4% 14.1% 50,027 EBITDA Multiples (x) 5.0x 5.0x Unsecured term loans Market Comparables Market Yield (%) 22.0% - 25.5% 22.3% 26,817 EBITDA Multiples (x) 5.2x 5.2x Structured finance securities Discounted Cash Flow Discount Rate (%) 10.75% - 22.0% 19.0% Recovery Rate (%) 35% - 70% 70.0% 31,299 Prepayment Rate (%) 20.0% 20.0% Equity interests Market Comparables EBITDA Multiples (x) 4.0x - 14.0x 9.6x 31,102 Revenue Multiples (x) 0.5x - 38.3x 4.9x Total $ 546,944 * The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input. 23 The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 29, 2020 were as follows (dollars in thousands): Fair Value Valuation Technique Unobservable Input Range Weighted Average* First lien term loans Market Comparables Market Yield (%) 7.8% - 12.5% 9.7% $ 346,233 EBITDA Multiples (x) 0.0x 0.0x Second lien term loans Market Comparables Market Yield (%) 9.5% - 85.1% 13.0% 73,570 EBITDA Multiples (x) 5.0x 5.0x Unsecured term loans Market Comparables Market Yield (%) 18.3% - 21.3% 19.8% 4,346 EBITDA Multiples (x) 5.2x 5.2x Structured finance securities Discounted Cash Flow Discount Rate (%) 9.25% - 16.00% 14.2% Recovery Rate (%) 35.0% - 70.0% 70.0% 32,470 Prepayment Rate (%) 20.0% 20.0% Equity interests Market Comparables EBITDA Multiples (x) 4.0x - 14.0x 6.5x 29,013 Revenue Multiples (x) 1.0x - 40.7x 7.3x Total $ 485,632 * The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input. For investments utilizing a market comparables valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the earnings before interest, tax, depreciation and amortization (“EBITDA”) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate and prepayment rate, in isolation, would result in a significantly lower (higher) fair value measurement while a significant increase (decrease) in recovery rate, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a market quote in deriving a value, a significant increase (decrease) in the market quote, in isolation, would result in a significantly higher (lower) fair value measurement. The composition of our investments as of November 30, 2020 at amortized cost and fair value was as follows (dollars in thousands): Investments at Amortized Cost Amortized Cost Percentage of Total Portfolio Investments at Fair Value Fair Value Percentage of Total Portfolio First lien term loans $ 412,481 74.1 % $ 407,699 74.5 % Second lien term loans 53,704 9.6 50,027 9.2 Unsecured term loans 27,261 4.9 26,817 4.9 Structured finance securities 30,460 5.5 31,299 5.7 Equity interests 33,076 5.9 31,102 5.7 Total $ 556,982 100.0 % $ 546,944 100.0 % The composition of our investments as of February 29, 2020 at amortized cost and fair value was as follows (dollars in thousands): Investments at Amortized Cost Amortized Cost Percentage of Total Portfolio Investments at Fair Value Fair Value Percentage of Total Portfolio First lien term loans $ 343,100 70.5 % $ 346,233 71.3 % Second lien term loans 75,478 15.5 73,570 15.1 Unsecured term loans 4,761 1.0 4,346 0.9 Structured finance securities 33,521 6.9 32,470 6.7 Equity interests 29,439 6.1 29,013 6.0 Total $ 486,299 100.0 % $ 485,632 100.0 % 24 For loans and debt securities for which market quotations are not available, we determine their fair value based on third party indicative broker quotes, where available, or the assumptions that a hypothetical market participant would use to value the security in a current hypothetical sale using a market yield valuation methodology. In applying the market yield valuation methodology, we determine the fair value based on such factors as market participant assumptions including synthetic credit ratings, estimated remaining life, current market yield and interest rate spreads of similar securities as of the measurement date. If, in our judgment, the market yield methodology is not sufficient or appropriate, we may use additional methodologies such as an asset liquidation or expected recovery model. For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then waterfall the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. We also take into account historical and anticipated financial results. Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. In connection with the refinancing of the Saratoga CLO liabilities, we ran Intex models based on assumptions about the refinanced Saratoga CLO’s structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at November 30, 2020. The inputs at November 30, 2020 for the valuation model include: ● Default rate: 2.0 % ● Recovery rate: 35% -70% ● Discount rate: 22.0% ● Prepayment rate: 20.0% ● Reinvestment rate / price: L+365bps / $99.00 Investment Concentration Set forth is a brief description of each portfolio company in which the fair value of our investment represents greater than 5% of our total assets as of November 30, 2020. CLEO Communications Holding, LLC CLEO Communications Holding, LLC (“Cleo”) is a provider of technology enabled data communication and integration platform for daily business transactions. Cleo’s platform allows for the automation of business-to-business transaction information for customers operating in the retail, manufacturing, logistics and the healthcare verticals. The platform also allows for internal application-to-application communication, allowing customers’ core enterprise software applications to easily share and transfer data. Destiny Solutions Inc. Destiny Solutions provides a SaaS-based student lifecycle management (“SLM”) software solution used by higher education institutions to manage their continuing education (“CE”) and non-degree educational programs for “non-traditional” students who fall outside of the “traditional” student profile. Traditional students are full-time students working toward an undergraduate, graduate, or doctorate degree. Destiny’s software acts as the ERP, CRM, e-commerce platform, and student information management system for non-traditional student programs. 25 Saratoga Investment Corp. CLO 2013-1, Ltd. The Company has a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO invests primarily in senior secured first lien term loans. The Company also holds an investment in the subordinated note and Class F-R-2 and G-R-2 notes of the Saratoga CLO. In addition, the Company entered into an unsecured loan agreement with CLO 2013-1 Warehouse 2, a wholly- owned subsidiary of Saratoga CLO, in order to provide capital necessary to support warehouse activities. Note 4. Investment in Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”) On January 22, 2008, the Company entered into a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, the Company completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018. On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period ending January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, the Company also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par. On February 11, 2020, the Company entered into an unsecured loan agreement with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd., a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. Pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and , which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 million. The Saratoga CLO remains 100.0% owned and managed by the Company. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%. For the three months ended November 30, 2020 and November 30, 2019, we accrued management fee income of $0.6 million and $0.6 million, respectively, and interest income of $1.1 million and $1.0 million, respectively, from the Saratoga CLO. For the nine months ended November 30, 2020 and November 30, 2019, we accrued management fee income of $1.9 million and $1.9 million, respectively, and interest income of $2.4 million and $3.2 million, respectively, from the Saratoga CLO. As of November 30, 2020, the aggregate principal amounts of the Company’s investments in the subordinated notes, Class F-R-2 Notes and Class G-R-2 Notes of the Saratoga CLO was $69.5 million, $2.5 million and $7.5 million, respectively, which had a corresponding fair value of $21.5 million, $2.4 million and $7.3 million, respectively. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of November 30, 2020, Saratoga CLO had investments with a principal balance of $540.0 million and a weighted average spread over LIBOR of 3.9% and had debt with a principal balance of $509.2 million with a weighted average spread over LIBOR of 2.4%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. As of November 30, 2020, the present value of the projected future cash flows of the subordinated notes was approximately $22.0 million, using a 22.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $43.8 million, which is comprised of the initial investment of $30.0 million in January 2008 plus the additional investment of $13.8 million in December 2018, and to date the Company has since received distributions of $65.7 million, management fees of $24.0 million and incentive fees of $1.2 million. In conjunction with the third refinancing of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. As of February 29, 2020, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $22.6 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of February 29, 2020, the fair value of its investment in the Class F-R-2 Notes and G-R-2 Notes of Saratoga CLO was $2.5 million and $7.4 million, respectively. As of February 29, 2020, Saratoga CLO had investments with a principal balance of $528.4 million and a weighted average spread over LIBOR of 4.0% and had debt with a principal balance of $475.1 million with a weighted average spread over LIBOR of 2.2%. As of February 29, 2020, the present value of the projected future cash flows of the subordinated notes was approximately $22.9 million, using a 16.0% discount rate. Below is certain financial information from the separate financial statements of Saratoga CLO as of November 30, 2020 (unaudited) and February 29, 2020 and for the three and nine months ended November 30, 2020 (unaudited) and November 30, 2019 (unaudited). 26 Saratoga Investment Corp. CLO 2013-1, Ltd. Statements of Assets and Liabilities November 30, 2020 February 29, 2020 (unaudited) ASSETS Investments at fair value Loans at fair value (amortized cost of $531,770,821 and $523,438,207, respectively) $ 516,568,831 $ 500,999,677 Equities at fair value (amortized cost of $141,797 and $2,566,752, respectively) 145,068 257 Total investments at fair value (amortized cost of $531,912,618 and $526,004,959, respectively) 516,713,899 500,999,934 Cash and cash equivalents 20,123,980 9,081,041 Receivable from open trades 1,041,393 10,419,700 Interest receivable (net of reserve of $63,415 and $307,705, respectively) 1,461,247 1,294,523 Prepaid expenses and other assets 116,579 84,526 Total assets $ 539,457,098 $ 521,879,724 LIABILITIES Interest payable $ 1,482,511 $ 2,090,188 Payable from open trades 18,514,109 36,673,471 Accrued base management fee 56,851 54,441 Accrued subordinated management fee 227,405 217,766 Accounts payable and accrued expenses 189,917 81,822 Loan payable, related party 25,000,000 2,500,000 Loan payable, third party 14,161,707 2,600,000 Saratoga Investment Corp. CLO 2013-1, Ltd. Notes: Class A-1FL-R-2 Senior Secured Floating Rate Notes 255,000,000 255,000,000 Class A-1FXD-R-2 Senior Secured Fixed Rate Notes 25,000,000 25,000,000 Class-A-2-R-2 Senior Secured Floating Rate Notes 40,000,000 40,000,000 Class B-R-2 Senior Secured Floating Rate Notes 59,500,000 59,500,000 Class C-R-2 Deferrable Mezzanine Floating Rate Notes 22,500,000 22,500,000 Discount on Class C-R-2 Notes (489,414 ) (530,448 ) Class D-R-2 Deferrable Mezzanine Floating Rate Notes 31,000,000 31,000,000 Discount on Class D-R-2 Notes (890,591 ) (965,259 ) Class E-1-R-2 Deferrable Mezzanine Floating Rate Notes 27,000,000 27,000,000 Class E-2-R-2 Deferrable Mezzanine Fixed Rate Notes - - Class F-R-2 Deferrable Junior Floating Rate Notes 2,500,000 2,500,000 Class G-R-2 Deferrable Junior Floating Rate Notes 7,500,000 7,500,000 Deferred debt financing costs (2,163,235 ) (2,340,764 ) Subordinated Notes 69,500,000 69,500,000 Discount on Subordinated Notes (21,127,928 ) (22,899,324 ) Total liabilities $ 574,461,332 $ 556,981,893 NET ASSETS Ordinary equity, par value $1.00, 250 ordinary shares authorized, 250 and 250 common shares issued and outstanding, respectively $ 250 $ 250 Total distributable earnings (loss) (35,004,484 ) (35,102,419 ) Total net assets (35,004,234 ) (35,102,169 ) Total liabilities and net assets $ 539,457,098 $ 521,879,724 27 Saratoga Investment Corp. CLO 2013-1, Ltd. Consolidated Statements of Operations (unaudited) For the three months ended For the nine months ended November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 INVESTMENT INCOME Total interest from investments $ 6,646,110.0 8,052,668 $ 20,297,400 $ 24,560,867 Interest from cash and cash equivalents 191 39,788 3,692 73,591 Other income 174,585 54,333 469,195 235,301 Total investment income 6,820,886 8,146,789 20,770,287 24,869,759 EXPENSES Interest and debt financing expenses 5,773,135 8,136,345 18,831,060 21,303,661 Base management fee 124,763 125,934 376,765 377,786 Subordinated management fee 499,054 503,737 1,507,060 1,511,146 Professional fees 146,170 37,967 329,442 250,679 Trustee expenses 54,706 56,810 160,440 194,825 Other expense 1,935 (1,606 ) 42,215 42,128 Total expenses 6,599,763 8,859,187 21,246,982 23,680,225 NET INVESTMENT INCOME (LOSS) 221,123 (712,398 ) (476,695 ) 1,189,534 REALIZED AND UNREALIZED LOSS ON INVESTMENTS Net realized loss from investments (3,089,206 ) - (9,231,676 ) (2,162,298 ) Net change in unrealized depreciation on investments 14,923,956 (7,516,752 ) 9,806,306 (11,896,807 ) Net realized and unrealized gain (loss) on investments 11,834,750.00 (7,516,752 ) 574,630 (14,059,105 ) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 12,055,873 $ (8,229,150 ) $ 97,935 $ (12,869,571 ) 28 Saratoga Investment Corp. CLO 2013-1, Ltd. Schedule of Investments November 30, 2020 (unaudited) Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value J Jill Common Stock Retail Common Stock Equity - 0.00 % 0.00 % 0.00 % - 5,085 $ - $ 18,344 McDermott International (Americas) Inc. Construction & Building McDermott International - Class A C/S (07/20) Equity - 0.00 % 0.00 % 0.00 % - 141,797 141,797 126,724 1011778 B.C. Unlimited Liability Company Beverage Food & Tobacco Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 11/19/2026 $ 1,488,750 1,449,552 1,445,487 ABB Con-Cise Optical Group LLC Consumer goods: Non-durable Term Loan B Loan 6M USD LIBOR+ 5.00 % 1.00 % 6.00 % 6/15/2023 2,065,788 2,050,427 1,817,893 ADMI Corp. Services: Consumer Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.90 % 4/30/2025 1,955,276 1,948,516 1,882,305 Advisor Group Holdings Inc Banking Finance Insurance & Real Estate Term Loan (7/19) Loan 1M USD LIBOR+ 5.00 % 0.00 % 5.15 % 7/31/2026 496,250 495,154 477,780 Aegis Toxicology Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.50 % 5/9/2025 3,920,000 3,893,791 3,170,300 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 1/5/2026 492,500 492,500 485,113 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (09/20) Loan 1M USD LIBOR+ 3.00 % 0.75 % 3.75 % 1/5/2026 500,000 495,101 496,250 Ahead DB Holdings LLC Services: Business Term Loan (10/20) Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.00 % 10/13/2027 3,000,000 2,881,426 2,887,500 AI Convoy (Luxembourg) USD T/L B Aerospace & Defense Loan 6M USD LIBOR+ 3.50 % 1.00 % 4.50 % 1/15/2027 1,492,500 1,485,717 1,485,978 AI Mistral (Luxembourg) Subco Sarl High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 3/11/2024 482,500 482,500 388,813 AIS Holdco LLC Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.23 % 8/15/2025 4,275,000 4,128,561 3,975,750 Alchemy Copyrights LLC Media: Diversified & Production Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 8/16/2027 500,000 496,407 498,750 Alchemy US Holdco 1 LLC Metals & Mining Term Loan Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.65 % 10/10/2025 1,912,500 1,891,043 1,812,094 Alion Science and Technology Corporation Aerospace & Defense Term Loan 7/20 Loan 2M USD LIBOR+ 3.75 % 1.00 % 4.75 % 7/23/2024 4,000,000 3,982,859 3,995,000 Allen Media T/L B (1/20) Media: Advertising Printing & Publishing Term Loan B (1/20) Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.74 % 2/10/2027 2,984,527 2,971,053 2,950,951 Altisource S.a r.l. Banking Finance Insurance & Real Estate Term Loan B (03/18) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 4/3/2024 1,280,251 1,274,721 928,182 Altra Industrial Motion Corp. Capital Equipment Term Loan Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.15 % 10/1/2025 1,582,088 1,579,199 1,554,402 American Greetings Corporation Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 4/5/2024 4,595,528 4,592,871 4,526,595 Amerilife Holdings LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.15 % 3/18/2027 1,496,383 1,487,246 1,458,973 Amynta Agency Borrower Inc. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.65 % 2/28/2025 3,436,000 3,404,374 3,267,052 Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.98 % 8/11/2025 980,000 976,431 475,457 Anchor Glass Container Corporation Containers Packaging & Glass Term Loan (07/17) Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.75 % 12/7/2023 481,331 480,127 379,198 29 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Anchor Packaging Inc. Containers Packaging & Glass Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.90 % 7/20/2026 1,000,000 990,000 992,500 Api Group DE Inc Services: Business Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 10/1/2026 992,500 988,113 975,131 APLP Holdings T/L B (01/20) Utilities Term Loan B (01/20) Loan 1M USD LIBOR+ 2.50 % 1.00 % 3.50 % 4/11/2025 1,715,789 1,715,789 1,707,742 Aramark Services Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 1/15/2027 2,487,500 2,404,586 2,407,278 Arctic Glacier U.S.A. Inc. Beverage Food & Tobacco Term Loan (3/18) Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 3/20/2024 3,350,967 3,335,582 2,881,128 Aretec Group Inc. Banking Finance Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 10/1/2025 1,965,000 1,961,394 1,866,750 Aristocrat International PTY Ltd Hotel Gaming & Leisure Term Loan (5/20) Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 10/21/2024 997,500 979,557 998,438 ASG Technologies Group Inc. High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 7/31/2024 462,646 461,303 447,175 Asplundh Tree Expert LLC Services: Business Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 9/7/2027 1,000,000 995,111 1,000,890 AssetMark Financial Holdings Inc. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 11/14/2025 2,237,500 2,235,829 2,231,906 Asurion LLC Banking Finance Insurance & Real Estate Term Loan B-4 (Replacement) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 8/4/2022 865,408 863,813 861,081 Asurion LLC Banking Finance Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 11/3/2023 488,886 486,509 483,489 Athenahealth Inc. Healthcare & Pharmaceuticals Term Loan B Loan 3M USD LIBOR+ 4.50 % 0.00 % 4.73 % 2/11/2026 1,970,000 1,939,279 1,955,225 Avaya Inc. Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 12/16/2024 1,413,390 1,397,010 1,410,916 Avaya Inc. Telecommunications Term Loan B1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 12/15/2027 1,755,766 1,745,581 1,731,993 Avison Young (Canada) Inc. Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.23 % 1/30/2026 3,449,887 3,399,338 3,311,891 Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.75 % 2.50 % 1/15/2025 1,000,000 861,993 979,690 Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan (11/20) Loan 3M USD LIBOR+ 2.50 % 0.75 % 3.25 % 12/31/2027 500,000 495,000 496,750 Azalea TopCo Inc. Services: Business Incremental Term Loan Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 7/24/2026 500,000 495,091 493,750 B&G Foods Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 10/10/2026 206,458 205,571 205,426 Baldwin Risk Partners LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 10/8/2027 1,000,000 985,182 995,000 Ball Metalpack Finco LLC Containers Packaging & Glass Term Loan Loan 3M USD LIBOR+ 4.50 % 0.00 % 4.73 % 7/31/2025 3,914,900 3,900,699 3,780,345 Berry Global Inc. Chemicals Plastics & Rubber Term Loan Y Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.15 % 7/1/2026 4,949,906 4,944,854 4,858,234 Blackstone Mortgage Trust Inc. Banking Finance Insurance & Real Estate Term Loan B-2 Loan 1M USD LIBOR+ 4.75 % 1.00 % 5.75 % 4/23/2026 1,498,750 1,487,375 1,491,256 Blount International Inc. Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 4/12/2023 3,427,550 3,425,369 3,428,990 Blucora Inc. Services: Consumer Term Loan (11/17) Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/22/2024 2,453,199 2,444,845 2,416,401 Bombardier Recreational Products Inc. Consumer goods: Durable Term Loan (1/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.15 % 5/24/2027 987,538 979,627 956,983 Bracket Intermediate Holding Corp. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 4.25 % 0.00 % 4.48 % 9/5/2025 980,000 976,452 964,692 Broadstreet Partners Inc. Banking Finance Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.40 % 1/27/2027 2,014,491 2,012,881 1,955,728 Brookfield Property REIT Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 8/27/2025 3,979,695 3,171,065 3,656,344 Brookfield WEC Holdings Inc. Energy: Electricity Term Loan 1/20 Loan 1M USD LIBOR+ 3.00 % 0.75 % 3.75 % 8/1/2025 493,719 492,757 488,549 Buckeye Partners L.P. Utilities: Oil & Gas Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.90 % 11/2/2026 1,995,000 1,979,702 1,976,546 BW Gas & Convenience Holdings LLC Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 6.25 % 0.00 % 6.40 % 11/18/2024 2,230,357 2,156,348 2,229,420 30 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Calceus Acquisition Inc. Consumer goods: Non-durable Term Loan B Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.73 % 2/12/2025 956,250 948,027 908,438 Callaway Golf Company Retail Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.65 % 1/2/2026 691,875 680,665 691,584 Cardtronics USA Inc Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 6/29/2027 1,498,750 1,492,891 1,495,468 CareerBuilder LLC Services: Business Term Loan Loan 3M USD LIBOR+ 6.75 % 1.00 % 7.75 % 7/31/2023 3,393,388 3,215,856 3,059,716 Casa Systems Inc. Telecommunications Term Loan Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 12/20/2023 1,443,750 1,436,852 1,382,838 Castle US Holding Corporation Media: Advertising Printing & Publishing Term Loan B (USD) Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.98 % 1/29/2027 497,917 495,740 479,947 CCS-CMGC Holdings Inc. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.73 % 10/1/2025 2,456,250 2,437,583 2,329,336 Cengage Learning Inc. Media: Advertising Printing & Publishing Term Loan Loan 6M USD LIBOR+ 4.25 % 1.00 % 5.25 % 6/7/2023 1,436,209 1,426,740 1,332,687 CenturyLink Inc. Telecommunications Term Loan B (1/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 3/15/2027 2,977,500 2,974,403 2,908,333 Chemours Company The Chemicals Plastics & Rubber Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 4/3/2025 992,366 939,564 968,381 Citadel Securities LP Banking Finance Insurance & Real Estate Term Loan (2/20) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.90 % 2/27/2026 3,985,056 3,961,875 3,967,642 Clarios Global LP Automotive Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.65 % 4/30/2026 1,458,214 1,445,963 1,441,022 Claros Mortgage Trust Inc Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 8/10/2026 1,000,000 973,750 978,750 CNT Holdings I Corp Retail Term Loan Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 11/8/2027 500,000 497,519 495,355 Compass Power Generation L.L.C. Utilities: Electric Term Loan B (08/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 12/20/2024 1,863,647 1,859,980 1,843,855 Concordia International Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 5.50 % 1.00 % 6.50 % 9/6/2024 1,165,440 1,121,243 1,128,810 Connect U.S. Finco LLC Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 12/11/2026 2,985,000 2,833,008 2,976,911 Consolidated Communications Inc. Telecommunications Term Loan B (10/20) Loan 1M USD LIBOR+ 4.75 % 1.00 % 5.75 % 10/4/2027 1,000,000 985,197 999,130 Coral-US Co-Borrower LLC Telecommunications Term Loan B-5 Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 1/31/2028 2,000,000 2,000,000 1,955,000 CoreCivic Inc. Banking Finance Insurance & Real Estate Term Loan (12/19) Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 12/12/2024 3,500,000 3,447,500 3,395,000 Covia Holdings Corporation (b) Metals & Mining Term Loan Loan Prime+ 5.00 % 1.00 % 6.00 % 6/2/2025 982,500 982,500 785,823 CPI Acquisition Inc Banking Finance Insurance & Real Estate Term Loan B (1st Lien) Loan 6M USD LIBOR+ 4.50 % 1.00 % 5.50 % 8/17/2022 1,436,782 1,430,314 1,305,374 CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 7/17/2025 1,959,391 1,940,157 1,907,604 CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 1/15/2026 491,250 490,363 477,844 CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B-5 Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 4/15/2027 496,250 496,250 484,196 Cushman & Wakefield U.S. Borrower LLC Construction & Building Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.90 % 8/21/2025 3,925,325 3,911,009 3,797,752 Daseke Companies Inc. Transportation: Cargo Replacement Term Loan Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.00 % 2/27/2024 1,940,727 1,933,434 1,921,320 Dealer Tire T/L B-1 Automotive Term Loan B-1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.41 % 12/12/2025 2,977,500 2,970,861 2,947,725 Delek US Holdings Inc. Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 3/31/2025 6,397,012 6,339,615 5,975,193 Dell International L.L.C. High Tech Industries Term Loan B-1 Loan 1M USD LIBOR+ 2.00 % 0.75 % 2.75 % 9/19/2025 3,776,190 3,772,472 3,767,392 Delta 2 (Lux) SARL Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.50 % 1.00 % 3.50 % 2/1/2024 818,289 817,451 795,328 Delta Air Lines Inc. Transportation: Consumer Term Loan B (4/20) Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 5/1/2023 2,249,375 2,245,677 2,270,924 DHX Media Ltd. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.25 % 12/29/2023 279,282 278,253 271,602 31 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Diamond Sports Group LLC Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.40 % 8/24/2026 3,452,563 2,901,175 2,865,627 Digital Room Holdings Inc. Media: Advertising Printing & Publishing Term Loan Loan 6M USD LIBOR+ 5.00 % 0.00 % 5.26 % 5/21/2026 2,962,500 2,930,017 2,714,391 Dole Food Company Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.75 % 4/8/2024 459,375 458,214 454,717 DRW Holdings LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 11/27/2026 5,962,500 5,911,294 5,873,063 Eagletree-Carbide Acquisition Corp. Consumer goods: Durable Eagletree-Carbide T/L (Corsair Components) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 8/28/2024 2,192,140 2,184,935 2,183,919 EIG Investors Corp. High Tech Industries Term Loan (06/18) Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 2/9/2023 2,161,472 2,151,966 2,157,235 Encapsys LLC Chemicals Plastics & Rubber Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 11/7/2024 493,570 489,678 488,634 Endo Luxembourg Finance Company I S.a.r.l. Healthcare & Pharmaceuticals Term Loan B (4/17) Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 4/29/2024 3,906,740 3,888,518 3,784,655 Energy Acquisition LP Capital Equipment Term Loan (6/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 6/26/2025 1,955,000 1,949,825 1,856,429 Envision Healthcare Corporation Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.90 % 10/10/2025 4,912,500 4,903,992 3,991,947 EyeCare Partners DD T/L (a) Healthcare & Pharmaceuticals Unfunded Commitment Loan 6M USD LIBOR+ 3.75 % 0.00 % 3.75 % 2/18/2027 32,432 32,432 16,083 EyeCare Partners T/L B Healthcare & Pharmaceuticals EyeCare Partners T/L B Loan 6M USD LIBOR+ 3.75 % 0.00 % 4.06 % 2/18/2027 1,613,514 1,612,025 1,543,794 FinCo I LLC Banking Finance Insurance & Real Estate Term Loan B (9/20) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 6/27/2025 826,839 825,204 817,537 First Brands Group LLC Automotive Term Loan B-3 Loan 3M USD LIBOR+ 7.50 % 1.00 % 8.50 % 2/2/2024 5,102,673 4,986,035 5,086,753 First Eagle Holdings Inc. Banking Finance Insurance & Real Estate Refinancing Term Loan Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.73 % 2/1/2027 5,409,125 5,388,372 5,291,639 Fitness International LLC Services: Consumer Term Loan B (4/18) Loan 3M USD LIBOR+ 3.25 % 0.00 % 3.48 % 4/18/2025 1,330,058 1,323,836 1,115,028 Franklin Square Holdings L.P. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 8/1/2025 4,409,994 4,384,204 4,299,744 Froneri US Inc. Beverage Food & Tobacco Term Loan B-2 Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 1/29/2027 1,995,000 1,990,637 1,945,444 Fusion Connect Inc. Telecommunications Take Back 2nd Out Term Loan Loan 3M USD LIBOR+ 1.00 % 2.00 % 3.00 % 7/14/2025 798,815 780,801 319,526 GBT Group Services B.V. Hotel Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 8/13/2025 4,410,000 4,409,116 4,128,863 General Nutrition Centers Inc. (b) Retail Term Loan B2 Loan 6M USD LIBOR+ 6.00 % 0.75 % 6.75 % 3/4/2021 389,896 389,896 301,000 Genesee & Wyoming Inc. Transportation: Cargo Term Loan (11/19) Loan 3M USD LIBOR+ 2.00 % 0.00 % 2.23 % 12/30/2026 1,492,500 1,486,008 1,480,381 GEO Group Inc. The Banking Finance Insurance & Real Estate Term Loan Refinance Loan 1M USD LIBOR+ 2.00 % 0.75 % 2.75 % 3/25/2024 3,974,267 3,653,766 3,540,952 GI Chill Acquisition LLC Services: Business Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.23 % 8/6/2025 2,450,000 2,440,947 2,404,063 Gigamon Inc. Services: Business Term Loan B Loan 6M USD LIBOR+ 4.25 % 1.00 % 5.25 % 12/27/2024 2,937,800 2,918,957 2,904,750 Global Tel*Link Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 11/28/2025 5,012,922 4,766,294 4,470,574 Go Wireless Inc. Telecommunications Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 12/22/2024 3,069,156 3,034,740 3,011,609 Goodyear Tire & Rubber Company The Chemicals Plastics & Rubber Second Lien Term Loan Loan 1M USD LIBOR+ 0.00 % 0.00 % 0.00 % 3/7/2025 3,000,000 2,929,942 2,925,000 Graham Packaging Company Inc Containers Packaging & Glass Initial Term Loan Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 8/4/2027 1,000,000 992,806 998,380 Greenhill & Co. Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.40 % 4/12/2024 3,628,846 3,598,386 3,574,413 32 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Grosvenor Capital Management Holdings LLLP Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.75 % 3/28/2025 1,660,340 1,658,009 1,652,553 Guidehouse LLP Aerospace & Defense Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.65 % 5/1/2025 3,934,746 3,914,971 3,908,934 Harbor Freight Tools USA Inc. Retail Term Loan B (10/20) Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 10/19/2027 3,000,000 2,974,082 2,976,150 Harland Clarke Holdings Corp. Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 11/3/2023 1,640,442 1,634,865 1,409,615 Helix Acquisition Holdings Inc. Capital Equipment Term Loan (2019 Incremental) Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.98 % 9/30/2024 2,842,097 2,799,574 2,660,914 Helix Gen Funding LLC Energy: Electricity Term Loan B (02/17) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 6/3/2024 244,627 244,376 242,256 HLF Financing SaRL LLC Consumer goods: Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.90 % 8/18/2025 3,920,000 3,907,099 3,899,185 Holley Purchaser Inc. Automotive Term Loan B Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.23 % 10/24/2025 2,456,250 2,438,060 2,367,211 Hudson River Trading LLC Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 2/18/2027 5,955,000 5,934,142 5,899,202 Hyperion Refinance S.a.r.l. Banking Finance Insurance & Real Estate Tem Loan (12/17) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 12/20/2024 1,696,696 1,689,952 1,677,608 ICH US Intermediate Holdings II Inc. Healthcare & Pharmaceuticals Term Loan B Loan 6M USD LIBOR+ 5.75 % 1.00 % 6.75 % 12/24/2026 4,812,500 4,639,656 4,812,500 Idera Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 6/28/2024 3,906,897 3,895,231 3,880,838 Inmar Inc. Services: Business Term Loan B Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/1/2024 3,430,451 3,364,343 3,306,646 Innophos Holdings Inc. Chemicals Plastics & Rubber Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.65 % 2/5/2027 497,500 495,259 493,147 Intrado Corporation Telecommunications Term Loan B (Olympus Merger) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 10/10/2024 1,227,904 1,165,633 1,166,362 Intrado Corporation Telecommunications Term Loan B Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 10/10/2024 2,938,625 2,878,000 2,776,530 ION Media Networks Inc. Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 12/18/2024 2,987,481 2,942,872 2,970,691 Isagenix International LLC Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+ 5.75 % 1.00 % 6.75 % 6/16/2025 2,671,340 2,632,565 1,471,454 Jane Street Group LLC Banking Finance Insurance & Real Estate Term Loan B (1/20) Loan 3M USD LIBOR+ 3.00 % 0.00 % 3.23 % 1/31/2025 1,994,987 1,967,847 1,979,526 Jefferies Finance LLC / JFIN Co-Issuer Corp Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 6/3/2026 3,204,956 3,189,146 3,142,203 Jill Acquisition LLC Retail Priming Term Loan Loan 6M USD LIBOR+ 5.00 % 1.00 % 6.00 % 5/8/2024 1,784,383 1,781,768 1,213,381 JP Intermediate B LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.50 % 11/20/2025 4,491,342 4,451,315 3,963,609 KAR Auction Services Inc. Automotive Term Loan B (09/19) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 9/21/2026 247,500 246,987 241,313 Kindred Healthcare Inc. Healthcare & Pharmaceuticals Term Loan (6/18) Loan 1M USD LIBOR+ 5.00 % 0.00 % 5.15 % 7/2/2025 1,984,810 1,967,031 1,979,848 KREF Holdings X LLC Banking Finance Insurance & Real Estate Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 9/1/2027 500,000 487,836 497,500 Lakeland Tours LLC Hotel Gaming & Leisure Term Loan B Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.25 % 12/16/2024 1,872,440 1,867,419 748,976 Lakeland Tours LLC Hotel Gaming & Leisure Roll Up DIP Term Loan Loan 3M USD LIBOR+ 1.50 % 1.25 % 2.75 % 1/20/2021 572,536 572,217 458,028 Lakeland Tours LLC Hotel Gaming & Leisure Priority Exit PIK Term Loan (9/20) Loan 1M USD LIBOR+ 6.00 % 1.25 % 7.25 % 9/25/2023 302,753 292,230 290,643 Lealand Finance Company B.V. Energy: Oil & Gas Exit Term Loan Loan 1M USD LIBOR+ 1.00 % 0.00 % 1.15 % 6/30/2025 322,313 322,313 212,727 Learfield Communications LLC Media: Advertising Printing & Publishing Initial Term Loan (A-L Parent) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 12/1/2023 481,250 480,118 408,610 Lifetime Brands Inc. Consumer goods: Non-durable Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 2/28/2025 2,905,639 2,874,127 2,825,734 33 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Lightstone Holdco LLC Energy: Electricity Term Loan B Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 1/30/2024 1,322,520 1,321,010 1,191,921 Lightstone Holdco LLC Energy: Electricity Term Loan C Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 1/30/2024 74,592 74,511 67,226 Lindblad Expeditions Inc. Hotel Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 3/27/2025 392,565 391,927 365,086 Lindblad Expeditions Inc. Hotel Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 3/27/2025 98,141 97,982 91,271 Liquidnet Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 6M USD LIBOR+ 3.25 % 1.00 % 4.25 % 7/15/2024 2,003,392 1,999,416 1,983,358 LogMeIn Inc. High Tech Industries Term Loan (8/20) Loan 1M USD LIBOR+ 4.75 % 0.00 % 4.90 % 8/31/2027 3,000,000 2,932,743 2,962,500 LPL Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B1 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 11/11/2026 1,235,873 1,233,250 1,212,318 MA FinanceCo. LLC High Tech Industries Term Loan B4 Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.25 % 6/5/2025 2,490,625 2,481,708 2,486,466 Marriott Ownership Resorts Inc. Hotel Gaming & Leisure Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 8/29/2025 1,488,750 1,488,750 1,440,827 Match Group Inc. Services: Consumer Term Loan (1/20) Loan 3M USD LIBOR+ 1.75 % 0.00 % 1.98 % 2/15/2027 250,000 249,453 245,833 McAfee LLC Services: Business Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.90 % 9/30/2024 2,145,575 2,137,577 2,139,417 McGraw-Hill Global Education Holdings LLC Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/4/2022 2,918,194 2,674,102 2,751,011 Meredith Corporation Media: Advertising Printing & Publishing Term Loan B2 Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 1/31/2025 578,738 577,867 567,886 Messer Industries GMBH Chemicals Plastics & Rubber Term Loan B Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.73 % 3/2/2026 3,955,000 3,932,723 3,894,093 Michaels Stores Inc. Retail Term Loan B (9/20) Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 10/1/2027 2,577,875 2,571,175 2,534,051 Midwest Physician Administrative Services LLC Healthcare & Pharmaceuticals Term Loan (2/18) Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 8/15/2024 963,479 960,461 948,228 Milk Specialties Company Beverage Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 8/16/2023 3,841,318 3,800,635 3,785,311 Mitchell International Inc. Banking Finance Insurance & Real Estate Term Loan (7/20) Loan 1M USD LIBOR+ 4.25 % 0.50 % 4.75 % 11/29/2024 1,000,000 943,651 983,440 MKS Instruments Inc. High Tech Industries Term Loan B6 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 2/2/2026 880,339 873,475 867,962 MLN US HoldCo LLC Telecommunications Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.65 % 11/28/2025 982,500 980,984 855,080 MRC Global (US) Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 9/20/2024 486,221 485,447 459,479 Natgasoline LLC Chemicals Plastics & Rubber Term Loan Loan 6M USD LIBOR+ 3.50 % 0.00 % 3.76 % 11/14/2025 1,491,250 1,459,645 1,435,328 National Mentor Holdings Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 3/9/2026 1,885,456 1,870,141 1,867,959 National Mentor Holdings Inc. Healthcare & Pharmaceuticals Term Loan C Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 3/9/2026 86,065 85,383 85,266 NeuStar Inc. Telecommunications Term Loan B4 (03/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 8/8/2024 2,641,566 2,609,026 2,514,110 NeuStar Inc. Telecommunications Term Loan B-5 Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 8/8/2024 885,162 872,332 848,207 Nexstar Broadcasting Inc. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.90 % 9/18/2026 1,113,795 1,100,547 1,099,316 NorthPole Newco S.a r.l Aerospace & Defense Term Loan Loan 3M USD LIBOR+ 7.00 % 0.00 % 7.23 % 3/3/2025 4,625,000 4,250,051 4,159,633 Novetta Solutions LLC Aerospace & Defense Term Loan Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.00 % 10/17/2022 1,904,870 1,898,604 1,863,210 Novetta Solutions LLC Aerospace & Defense Second Lien Term Loan Loan 3M USD LIBOR+ 8.50 % 1.00 % 9.50 % 10/16/2023 1,000,000 995,232 965,000 NPC International Inc. (b) Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 4/19/2024 487,500 487,124 457,182 Octave Music Group Inc. The Services: Business Term Loan B Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 5/29/2025 3,931,034 3,895,765 3,420,000 Onex Carestream Finance LP Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 6.75 % 1.00 % 7.75 % 5/8/2023 2,358,581 2,353,833 2,287,824 Owens & Minor Distribution Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.65 % 4/30/2025 488,750 481,954 481,951 34 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value PAE Incorporated Aerospace & Defense Term Loan B (10/20) Loan 3M USD LIBOR+ 4.50 % 0.75 % 5.25 % 10/14/2027 2,000,000 1,970,258 1,986,660 Pathway Vet Alliance LLC Services: Business Term Loan (3/20) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.15 % 3/31/2027 460,106 449,175 453,586 Pathway Vet Alliance LLC (a) Services: Business Delayed Draw Term Loan (3/20) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.15 % 3/31/2027 16,112 16,112 15,579 Patriot Container Corp. Environmental Industries Term Loan (3/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 3/20/2025 496,183 494,036 483,158 PCI Gaming Authority Hotel Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 5/29/2026 878,269 874,562 859,404 Penn National Gaming Inc. Hotel Gaming & Leisure Term Loan B-1 Loan 1M USD LIBOR+ 2.25 % 0.75 % 3.00 % 10/15/2025 1,788,056 1,724,458 1,756,765 Peraton Corp. Aerospace & Defense Term Loan Loan 2M USD LIBOR+ 5.25 % 1.00 % 6.25 % 4/29/2024 1,431,200 1,431,200 1,426,734 PG&E Corporation Utilities: Electric Term Loan Loan 3M USD LIBOR+ 4.50 % 1.00 % 5.50 % 6/23/2025 1,498,750 1,490,608 1,508,117 PGX Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 9/29/2023 3,124,095 3,100,486 2,907,377 PI UK Holdco II Limited Services: Business Term Loan B1 (PI UK Holdco II) Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 1/3/2025 1,462,500 1,456,844 1,441,542 Pitney Bowes Inc. Services: Business Term Loan B Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.65 % 1/7/2025 2,925,000 2,645,690 2,884,781 Pixelle Specialty Solutions LLC Forest Products & Paper Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 10/31/2024 3,962,121 3,931,283 3,946,035 Plastipak Packaging Inc. Containers Packaging & Glass Term Loan B (04/18) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.65 % 10/15/2024 2,944,583 2,924,426 2,899,796 Playtika Holding Corp. High Tech Industries Trm Loan B (12/19) Loan 6M USD LIBOR+ 6.00 % 1.00 % 7.00 % 12/10/2024 2,875,316 2,826,817 2,886,415 Polymer Process Holdings Inc Containers Packaging & Glass Term Loan Loan 1M USD LIBOR+ 6.00 % 0.00 % 6.15 % 4/30/2026 2,962,500 2,913,635 2,918,063 Premier Dental Services Inc. Retail Term Loan (12/18) Loan 3M USD LIBOR+ 5.25 % 1.00 % 6.25 % 6/30/2023 425,117 425,604 392,523 Pre-Paid Legal Services Inc. Services: Business Incremental Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 5/1/2025 1,000,000 985,455 985,420 Presidio Holdings Inc. Services: Business Term Loan B (1/20) Loan 3M USD LIBOR+ 3.50 % 0.00 % 3.73 % 1/22/2027 498,750 497,691 492,206 Prime Security Services Borrower LLC Services: Consumer Term Loan (Protection One/ADT) Loan 9M USD LIBOR+ 3.25 % 1.00 % 4.25 % 9/23/2026 3,970,000 3,951,407 3,945,187 Priority Payment Systems Holdings LLC High Tech Industries Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 1/3/2023 1,696,126 1,690,596 1,645,243 Prometric Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 1/29/2025 487,575 486,008 465,839 Pug LLC Services: Consumer Term Loan B (02/20) Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.65 % 2/12/2027 491,263 489,016 458,716 Rackspace Hosting Inc. High Tech Industries Term Loan B Loan 3M USD LIBOR+ 3.00 % 1.00 % 4.00 % 11/3/2023 469,851 467,011 466,548 Radiology Partners Inc. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 4.25 % 0.00 % 4.48 % 7/9/2025 1,432,727 1,427,203 1,378,699 Redstone Buyer LLC High Tech Industries Term Loan Loan 2M USD LIBOR+ 5.00 % 1.00 % 6.00 % 9/1/2027 1,000,000 980,810 996,250 Research Now Group Inc. Media: Advertising Printing & Publishing Term Loan Loan 6M USD LIBOR+ 5.50 % 1.00 % 6.50 % 12/20/2024 3,897,349 3,801,391 3,765,112 Resolute Investment Managers Inc. Banking Finance Insurance & Real Estate Term Loan (10/20) Loan 2M USD LIBOR+ 3.75 % 1.00 % 4.75 % 2/22/2021 2,658,569 2,658,569 2,635,307 Rexnord LLC Capital Equipment Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 8/21/2024 862,069 862,069 858,681 Reynolds Consumer Products T/L Metals & Mining Reynolds Group (Pactiv Evergreen) 9/20 TL Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.25 % 2/5/2026 1,371,288 1,369,770 1,353,927 Reynolds Group Holdings Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.40 % 2/5/2026 2,000,000 1,985,315 1,965,620 Robertshaw US Holding Corp. Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 2/28/2025 975,000 973,291 911,625 Rocket Software Inc. High Tech Industries Term Loan (11/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 11/28/2025 2,942,532 2,932,347 2,890,419 RP Crown Parent LLC High Tech Industries Term Loan B (07/20) Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 2/2/2026 1,995,000 1,985,571 1,975,050 35 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Russell Investments US Institutional Holdco Inc. Banking Finance Insurance & Real Estate Term Loan (10/20) Loan 3M USD LIBOR+ 3.00 % 1.00 % 4.00 % 5/30/2025 5,637,965 5,588,293 5,581,586 Ryan Specialty Group LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 9/1/2027 500,000 492,741 497,500 Sahara Parent Inc. High Tech Industries Term Loan B (11/18) Loan 3M USD LIBOR+ 6.25 % 0.00 % 6.48 % 8/16/2024 1,940,400 1,926,742 1,901,592 Sally Holdings LLC Retail Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 7/5/2024 768,409 766,056 754,962 Sally Holdings LLC Retail Term Loan (Fixed) Loan Fixed 0.00 % 0.00 % 0.00 % 7/5/2024 810,003 807,788 804,941 Samsonite International S.A. Consumer goods: Non-durable Term Loan B2 Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 4/25/2025 997,500 970,130 973,809 Savage Enterprises LLC Energy: Oil & Gas Term Loan B (02/20) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 8/1/2025 1,831,540 1,815,334 1,813,994 SCS Holdings I Inc. High Tech Industries Term Loan 1/20 Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.65 % 7/1/2026 1,975,075 1,971,183 1,946,693 Seadrill Operating LP (b) Energy: Oil & Gas Term Loan B Loan 3M USD LIBOR+ 0.00 % 0.00 % 0.00 % 2/21/2021 897,442 894,400 82,762 Seadrill Operating LP (b) Energy: Oil & Gas PIK Revolver Loan 3M USD LIBOR+ 0.00 % 1.00 % 1.00 % 2/22/2021 25,162 25,076 25,162 Shutterfly Inc. Media: Advertising Printing & Publishing Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.00 % 9/25/2026 870,968 833,098 844,839 SMB Shipping Logistics LLC Transportation: Consumer Term Loan B Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 2/2/2024 1,931,951 1,930,449 1,893,312 SMG US Midco 2 Inc. Services: Business Term Loan (01/20) Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.73 % 1/23/2025 496,250 496,250 452,416 Sotheby's Services: Business Term Loan Loan 1M USD LIBOR+ 5.50 % 1.00 % 6.50 % 1/15/2027 3,298,210 3,237,743 3,283,105 SP PF Buyer LLC Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.65 % 12/19/2025 1,970,000 1,905,459 1,849,692 SRAM LLC Consumer goods: Durable Term Loan Loan 6M USD LIBOR+ 2.75 % 1.00 % 3.75 % 3/15/2024 2,502,486 2,499,621 2,480,590 SS&C European Holdings S.A.R.L. Services: Business Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 4/16/2025 187,832 187,527 184,616 SS&C Technologies Inc. Services: Business Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 4/16/2025 248,006 247,597 243,760 SS&C Technologies Inc. Services: Business Term Loan B-5 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.90 % 4/16/2025 489,872 489,001 482,798 Staples Inc. Wholesale Term Loan (03/19) Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.23 % 4/16/2026 2,942,843 2,802,699 2,833,222 Stats Intermediate Holdings LLC Hotel Gaming & Leisure Term Loan Loan 3M USD LIBOR+ 5.25 % 0.00 % 5.48 % 7/10/2026 1,985,000 1,943,374 1,945,300 Steak N Shake Operations Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 3/19/2021 816,284 815,695 677,516 Sybil Software LLC High Tech Industries Term Loan B (4/18) Loan 3M USD LIBOR+ 2.25 % 1.00 % 3.25 % 9/29/2023 682,747 673,919 678,480 Teneo Holdings LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 7/11/2025 2,475,000 2,394,437 2,410,031 Tenneco Inc. Capital Equipment Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 10/1/2025 1,473,750 1,463,107 1,412,220 Ten-X LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 9/30/2024 1,945,000 1,943,263 1,831,547 Terex Corporation Capital Equipment Term Loan Loan 2M USD LIBOR+ 2.75 % 0.75 % 3.50 % 1/31/2024 985,000 982,211 965,300 TGG TS Acquisition Company Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+ 6.50 % 0.00 % 6.65 % 12/15/2025 2,608,602 2,501,015 2,559,691 The Edelman Financial Center LLC Banking Finance Insurance & Real Estate Term Loan B (06/18) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.15 % 7/21/2025 1,228,125 1,223,839 1,202,801 Thor Industries Inc. Automotive Term Loan (USD) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.90 % 2/2/2026 2,935,080 2,870,990 2,913,067 Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan A Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.40 % 3/8/2024 1,450,000 1,439,655 1,423,900 Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 5.25 % 0.00 % 5.40 % 3/6/2026 2,293,751 2,247,426 2,256,477 36 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Tosca Services LLC Containers Packaging & Glass Term Loan B Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.25 % 8/18/2027 500,000 492,774 500,210 Transdigm Inc. Aerospace & Defense Term Loan G (02/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.40 % 8/22/2024 4,075,496 4,079,399 3,949,970 Travel Leaders Group LLC Hotel Gaming & Leisure Term Loan B (08/18) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.15 % 1/25/2024 2,443,750 2,441,105 2,199,375 TRC Companies Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 6/21/2024 3,315,141 3,306,650 3,219,830 TRC Companies Inc. Services: Business Term Loan B Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.00 % 6/21/2024 979,433 967,317 968,414 Truck Hero Inc. Transportation: Cargo First Lien Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.75 % 4/22/2024 2,904,925 2,891,318 2,833,754 Trugreen Limited Partnership Services: Consumer Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 10/29/2027 973,980 966,099 969,110 Twin River Worldwide Holdings Inc. Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.75 % 5/11/2026 987,500 983,430 945,531 Uber Technologies Inc Transportation: Consumer Term Loan B (06/18) Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.50 % 7/13/2023 1,994,805 1,941,902 1,983,275 United Natural Foods Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.25 % 10/22/2025 1,973,611 1,875,220 1,958,533 Univar Solutions USA Inc. Chemicals Plastics & Rubber Term Loan B3 (11/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.25 % 7/1/2024 1,627,723 1,622,895 1,606,807 Univision Communications Inc. Media: Broadcasting & Subscription 2020 Replacement Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 3/13/2026 2,523,362 2,514,424 2,495,680 URS Holdco Inc. Transportation: Cargo Term Loan (10/17) Loan 6M USD LIBOR+ 5.75 % 1.00 % 6.75 % 8/30/2024 960,422 951,841 859,577 US Ecology Holdings Inc. Environmental Industries Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.50 % 11/2/2026 496,250 495,268 491,908 Veregy Consolidated Inc. High Tech Industries Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.00 % 11/2/2027 2,000,000 1,940,196 1,945,000 VeriFone Systems Inc. Banking Finance Insurance & Real Estate Term Loan (7/18) Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.00 % 8/20/2025 1,400,178 1,393,093 1,325,717 VFH Parent LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.00 % 3/2/2026 3,209,493 3,199,075 3,188,856 Victory Capital Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.50 % 7/1/2026 1,760,810 1,726,404 1,738,799 Virtus Investment Partners Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 6M USD LIBOR+ 2.25 % 0.75 % 3.00 % 6/3/2024 2,416,856 2,416,533 2,408,809 Vistra Operations Company LLC Utilities: Electric 2018 Incremental Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.75 % 12/31/2025 919,879 919,129 909,971 Vizient Inc. Healthcare & Pharmaceuticals Term Loan B-6 Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.00 % 5/6/2026 492,500 491,579 480,311 VM Consolidated Inc. Construction & Building Term Loan B1 (02/20) Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.25 % 2/28/2025 476,694 475,079 468,352 WeddingWire Inc. Services: Consumer Term Loan Loan 3M USD LIBOR+ 4.50 % 0.00 % 4.50 % 12/19/2025 3,930,000 3,923,643 3,831,750 Western Digital Corporation High Tech Industries Term Loan B-4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.75 % 4/29/2023 743,135 731,826 739,650 Wirepath LLC Consumer goods: Non-durable Term Loan Loan 6M USD LIBOR+ 4.00 % 0.00 % 4.00 % 8/5/2024 2,932,674 2,912,941 2,830,031 WP CityMD Bidco LLC Services: Consumer Term Loan B Loan 6M USD LIBOR+ 4.50 % 1.00 % 5.50 % 8/13/2026 3,473,750 3,444,780 3,459,751 Xperi Holding Corporation High Tech Industries Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.00 % 6/2/2025 3,387,775 3,202,685 3,383,540 YS Garments LLC Retail Term Loan Loan 3M USD LIBOR+ 6.00 % 0.00 % 6.00 % 8/9/2024 1,878,750 1,865,342 1,719,056 Zekelman Industries Inc Metals & Mining Term Loan (01/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.00 % 1/25/2027 995,000 995,000 975,518 Zep Inc. Chemicals Plastics & Rubber Term Loan Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 8/12/2024 2,425,000 2,417,537 2,275,717 Zest Acquisition Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.50 % 3/14/2025 957,262 954,067 900,430 $ 531,912,618 $ 516,713,899 37 Number of Shares Cost Fair Value Cash and cash equivalents U.S. Bank Money Market (c) 20,123,980 $ 20,123,980 $ 20,123,980 Total cash and cash equivalents 20,123,980 $ 20,123,980 $ 20,123,980 (a) All or a portion of this investment has an unfunded commitment as of November 30, 2020 (b) As of November 30, 2020, the investment was in default and on non-accrual status. (c) Included within cash and cash equivalents in Saratoga CLO's Statements of Assets and Liabilities as of November 30, 2020. LIBOR—London Interbank Offered Rate 1W USD LIBOR—The 1 week USD LIBOR rate as of November 30, 2020 was 0.01%. 1M USD LIBOR—The 1 month USD LIBOR rate as of November 30, 2020 was 0.15%. 2M USD LIBOR—The 2 month USD LIBOR rate as of November 30, 2020 was 0.18%. 3M USD LIBOR—The 3 month USD LIBOR rate as of November 30, 2020 was 0.23%. 6M USD LIBOR—The 6 month USD LIBOR rate as of November 30, 2020 was 0.26%. Prime—The Prime Rate as of November 30, 2020 was 3.25%. 38 Saratoga Investment Corp. CLO 2013-1, Ltd. Schedule of Investments February 29, 2020 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Education Management II LLC Services: Consumer Education Management II A-2 Preferred Shares Equity - 0.00 % 0.00 % 0.00 % - 18,975 $ 1,897,538 $ 190 Education Management II LLC Services: Consumer Education Management II A-1 Preferred Shares Equity - 0.00 % 0.00 % 0.00 % - 6,692 669,214 67 1011778 B.C. Unlimited Liability Company Beverage Food & Tobacco Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 11/19/2026 $ 500,000.00 498,790 491,665 24 Hour Fitness Worldwide Inc. Services: Consumer Term Loan (5/18) Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 5/30/2025 2,959,950 2,949,872 1,943,710 ABB Con-Cise Optical Group LLC Consumer goods: Non-durable Term Loan B Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.52 % 6/15/2023 2,081,927 2,062,239 1,969,149 ADMI Corp. Services: Consumer Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 4/30/2025 1,970,000 1,962,286 1,924,848 Advantage Sales & Marketing Inc. Services: Business First Lien Term Loan Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 7/23/2021 2,371,131 2,370,010 2,286,173 Advantage Sales & Marketing Inc. Services: Business Term Loan B Incremental Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 7/23/2021 489,950 485,523 470,352 Advisor Group Holdings Inc Banking Finance Insurance & Real Estate Term Loan (7/19) Loan 1M USD LIBOR+ 5.00 % 0.00 % 6.52 % 7/31/2026 500,000 498,753 486,875 Aegis Toxicology Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.96 % 5/9/2025 3,950,000 3,919,494 3,695,225 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 1/5/2026 496,250 496,250 486,325 Agrofresh Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 4.75 % 1.00 % 6.27 % 7/30/2021 2,889,487 2,886,790 2,677,601 AI Convoy Bidco Limited Aerospace & Defense AI Convoy Bidco T/L B (USD) Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.96 % 1/29/2027 1,500,000 1,492,500 1,483,125 AI Mistral (Luxembourg) Subco Sarl High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.52 % 3/11/2024 486,250 486,250 384,138 AIS Holdco LLC Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 6.46 % 8/15/2025 2,421,875 2,411,617 2,228,125 Alchemy US Holdco 1 LLC Metals & Mining Term Loan Loan 1M USD LIBOR+ 5.50 % 0.00 % 7.02 % 10/10/2025 1,950,000 1,925,236 1,945,125 Alion Science and Technology Corporation Aerospace & Defense Term Loan B (1st Lien) Loan 1M USD LIBOR+ 4.50 % 1.00 % 6.02 % 8/19/2021 3,377,293 3,373,263 3,373,071 Allen Media LLC Media: Advertising Printing & Publishing Allen Media T/L B (1/20) Loan 3M USD LIBOR+ 5.50 % 0.00 % 6.96 % 2/10/2027 3,000,000 2,985,000 2,936,250 Altisource S.a r.l. Banking Finance Insurance & Real Estate Term Loan B (03/18) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.46 % 4/3/2024 1,454,005 1,446,493 1,353,141 Altra Industrial Motion Corp. Capital Equipment Term Loan Loan 1M USD LIBOR+ 2.00 % 0.00 % 3.52 % 10/1/2025 1,767,163 1,763,366 1,748,943 American Dental Partners Inc. Healthcare & Pharmaceuticals Term Loan B Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.71 % 3/24/2023 990,000 982,019 982,575 American Greetings Corporation Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+ 4.50 % 1.00 % 6.02 % 4/5/2024 4,889,524 4,886,331 4,788,702 American Residential Services LLC Services: Consumer Term Loan B Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 6/30/2022 3,925,767 3,916,564 3,896,324 AmeriLife Group LLC Banking Finance Insurance & Real Estate AmeriLife T/L Loan 3M USD LIBOR+ 4.00 % 0.00 % 5.46 % 2/5/2027 838,710 836,613 832,419 AmeriLife Group LLC(a) Banking Finance Insurance & Real Estate Unfunded Commitment Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.00 % 2/5/2027 - - - Amex GBT (2/20) T/L Banking Finance Insurance & Real Estate Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 5.46 % 2/26/2027 2,993,363 2,933,496 2,926,012 Amex GBT 2/20 D/T/L(a) Banking Finance Insurance & Real Estate Unfunded Commitment Loan 3M USD LIBOR+ 4.00 % 0.00 % 5.46 % 2/26/2027 - - - Amynta Agency Borrower Inc. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 2/28/2025 3,462,357 3,425,731 3,224,320 39 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 8/11/2025 987,500 983,508 759,141 Anchor Glass Container Corporation Containers Packaging & Glass Term Loan (07/17) Loan 3M USD LIBOR+ 2.75 % 1.00 % 4.21 % 12/7/2023 485,063 483,537 354,789 Api Group DE Inc Services: Business Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 10/1/2026 1,000,000 995,123 990,000 APLP Holdings Limited Partnership Utilities APLP Holdings T/L B (Atlantic Power) Loan 1M USD LIBOR+ 2.75 % 1.00 % 4.27 % 4/13/2023 2,000,000 2,000,000 1,977,500 Aramark Services Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 1/15/2027 1,500,000 1,498,209 1,484,070 Arctic Glacier U.S.A. Inc. Beverage Food & Tobacco Term Loan (3/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 3/20/2024 3,350,967 3,332,339 3,225,306 Aretec Group Inc. Banking Finance Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 10/1/2025 1,980,000 1,975,743 1,937,093 ASG Technologies Group Inc. High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 7/31/2024 488,775 487,107 476,556 AssetMark Financial Holdings Inc. Banking Finance Insurance & Real Estate Term Loan Loan 3M USD LIBOR+ 3.00 % 0.00 % 4.46 % 11/14/2025 1,237,500 1,235,582 1,228,219 Astoria Energy LLC Energy: Electricity Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 12/24/2021 1,391,552 1,385,662 1,384,595 Asurion LLC Banking Finance Insurance & Real Estate Term Loan B-4 (Replacement) Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 8/4/2022 1,876,925 1,872,057 1,853,069 Asurion LLC Banking Finance Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 11/3/2023 492,773 489,808 485,381 Athenahealth Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 2/11/2026 1,985,000 1,950,006 1,970,113 Avaya Inc. Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 12/16/2024 3,169,156 3,138,355 3,010,698 Avison Young (Canada) Inc. Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 6.46 % 1/30/2026 3,476,222 3,418,777 3,406,697 B&G Foods Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 10/10/2026 249,375 248,169 246,881 Ball Metalpack Finco LLC Containers Packaging & Glass Term Loan Loan 3M USD LIBOR+ 4.50 % 0.00 % 5.96 % 7/31/2025 3,944,937 3,928,266 3,432,096 Bausch Health Companies Inc. Healthcare & Pharmaceuticals Term Loan B (05/18) Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 6/2/2025 25,355 25,274 25,161 Berry Global Inc. Chemicals Plastics & Rubber Term Loan Y Loan 1M USD LIBOR+ 2.00 % 0.00 % 3.52 % 7/1/2026 4,987,500 4,981,754 4,897,974 Blount International Inc. Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+ 3.75 % 1.00 % 5.27 % 4/12/2023 3,453,781 3,450,952 3,432,195 Blucora Inc. Services: Consumer Term Loan (11/17) Loan 2M USD LIBOR+ 3.00 % 1.00 % 4.50 % 5/22/2024 955,900 953,639 946,341 Bombardier Recreational Products Inc. Consumer goods: Durable Term Loan (1/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 3.52 % 5/24/2027 995,000 985,847 978,214 Boxer Parent Company Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 10/2/2025 2,475,000 2,454,363 2,374,070 Bracket Intermediate Holding Corp. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 4.25 % 0.00 % 5.71 % 9/5/2025 987,500 983,437 987,500 Broadstreet Partners Inc. Banking Finance Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 1/27/2027 2,024,614 2,022,736 2,002,687 Brookfield WEC Holdings Inc. Energy: Electricity Term Loan 1/20 Loan 1M USD LIBOR+ 3.00 % 0.75 % 4.52 % 8/1/2025 497,487 496,370 488,627 Buckeye Partners L.P. Utilities: Oil & Gas Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 11/2/2026 1,000,000 995,334 989,170 BW Gas & Convenience Holdings LLC Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 6.25 % 0.00 % 7.77 % 11/18/2024 3,000,000 2,884,283 2,992,500 Calceus Acquisition Inc. Consumer goods: Non-durable Term Loan B Loan 1M USD LIBOR+ 5.50 % 0.00 % 7.02 % 2/12/2025 975,000 964,353 964,031 Callaway Golf Company Retail Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 1/2/2026 697,500 684,758 696,196 CareerBuilder LLC Services: Business Term Loan Loan 1M USD LIBOR+ 6.75 % 1.00 % 8.27 % 7/31/2023 2,266,211 2,232,341 2,223,720 CareStream Health Inc. High Tech Industries Term Loan Loan 1M USD LIBOR+ 6.25 % 1.00 % 7.77 % 2/28/2021 2,362,278 2,356,691 2,263,062 Casa Systems Inc. Telecommunications Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 12/20/2023 1,455,000 1,446,052 1,236,750 Castle US Holding Corporation High Tech Industries Term Loan B (USD) Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 1/27/2027 500,000 497,509 475,000 CCS-CMGC Holdings Inc. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 0.00 % 6.96 % 10/1/2025 2,475,000 2,453,876 2,338,875 Cengage Learning Inc. Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.77 % 6/7/2023 1,447,458 1,435,195 1,329,447 40 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value CenturyLink Inc. Telecommunications Term Loan B (1/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 3/15/2027 3,000,000 2,996,438 2,922,180 Citadel Securities LP Banking Finance Insurance & Real Estate Term Loan (2/20) Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 2/27/2026 992,500 991,371 983,816 Clarios Global LP Automotive Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 4/30/2026 1,496,250 1,482,216 1,451,991 Compass Power Generation L.L.C. Utilities: Electric Term Loan B (08/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 12/20/2024 1,891,221 1,886,758 1,855,761 Compuware Corporation High Tech Industries Term Loan (08/18) Loan 1M USD LIBOR+ 4.00 % 0.00 % 5.52 % 8/22/2025 495,000 493,979 493,763 Concordia International Corp. Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.96 % 9/6/2024 1,183,650 1,131,380 1,088,224 Connect U.S. Finco LLC Telecommunications Delayed Draw Term Loan B Loan 1M USD LIBOR+ 4.50 % 1.00 % 6.02 % 12/11/2026 2,000,000 1,984,055 1,980,000 Consolidated Communications Inc. Telecommunications Term Loan B Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.52 % 10/5/2023 1,475,404 1,464,720 1,395,481 Coral-US Co-Borrower LLC Telecommunications Term Loan B-5 Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 1/31/2028 2,000,000 2,000,000 1,976,660 Covia Holdings Corporation Metals & Mining Term Loan Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.46 % 6/2/2025 985,000 985,000 711,663 CPI Acquisition Inc Banking Finance Insurance & Real Estate Term Loan B (1st Lien) Loan 6M USD LIBOR+ 4.50 % 1.00 % 5.90 % 8/17/2022 1,436,782 1,427,762 1,089,957 Crown Subsea Communications Holding Inc Construction & Building Term Loan Loan 1M USD LIBOR+ 6.00 % 0.00 % 7.52 % 11/3/2025 1,655,837 1,640,398 1,649,627 CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 7/17/2025 1,974,620 1,952,260 1,941,308 CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B-5 Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 4/15/2027 500,000 500,000 492,500 CSC Holdings LLC Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 1/15/2026 495,000 493,968 486,031 Cushman & Wakefield U.S. Borrower LLC Construction & Building Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 8/21/2025 3,945,050 3,928,487 3,874,789 Daseke Companies Inc. Transportation: Cargo Replacement Term Loan Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.52 % 2/27/2024 1,955,694 1,946,628 1,867,688 DaVita Inc. High Tech Industries Term Loan B-1 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 8/12/2026 997,500 995,133 985,859 Dealer Tire LLC Automotive Dealer Tire T/L B-1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 12/12/2025 3,000,000 2,992,500 2,977,500 Delek US Holdings Inc. Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 3/31/2025 6,446,003 6,379,073 6,317,083 Dell International L.L.C. High Tech Industries Term Loan B-1 Loan 1M USD LIBOR+ 2.00 % 0.75 % 3.52 % 9/19/2025 3,814,430 3,809,967 3,766,292 Delta 2 (Lux) SARL Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.50 % 1.00 % 4.02 % 2/1/2024 1,318,289 1,315,922 1,275,445 DHX Media Ltd. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.77 % 12/29/2023 279,282 278,012 267,413 Diamond Sports Group LLC Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 8/24/2026 997,500 992,773 907,725 Digital Room Holdings Inc. Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+ 5.00 % 0.00 % 6.52 % 5/21/2026 2,985,000 2,944,957 2,790,975 Dole Food Company Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 4.27 % 4/8/2024 468,750 467,304 461,522 DRW Holdings LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 11/27/2026 5,000,000 4,950,804 4,962,500 DynCorp International Inc. Aerospace & Defense Term Loan B Loan 1M USD LIBOR+ 6.00 % 1.00 % 7.52 % 8/18/2025 2,962,500 2,879,096 2,925,469 Eagletree-Carbide Acquisition Corp. Consumer goods: Durable Term Loan Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.71 % 8/28/2024 4,927,385 4,901,606 4,804,200 EIG Investors Corp. High Tech Industries Term Loan (06/18) Loan 3M USD LIBOR+ 3.75 % 1.00 % 5.21 % 2/9/2023 2,199,416 2,186,449 2,160,926 Encapsys LLC Chemicals Plastics & Rubber Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 11/7/2024 497,428 492,831 491,832 Endo Luxembourg Finance Company I S.a.r.l. Healthcare & Pharmaceuticals Term Loan B (4/17) Loan 1M USD LIBOR+ 4.25 % 0.75 % 5.77 % 4/29/2024 3,937,025 3,914,795 3,766,985 Energy Acquisition LP Capital Equipment Term Loan (6/18) Loan 3M USD LIBOR+ 4.25 % 0.00 % 5.71 % 6/26/2025 1,970,000 1,957,901 1,811,179 Envision Healthcare Corporation Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 10/10/2025 4,950,000 4,939,709 3,966,188 EyeCare Partners LLC Healthcare & Pharmaceuticals EyeCare Partners T/L B Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 2/5/2027 1,621,622 1,619,618 1,583,789 EyeCare Partners LLC(a) Healthcare & Pharmaceuticals EyeCare Partners Delayed Draw Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 2/5/2027 - - - 41 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value FinCo I LLC Banking Finance Insurance & Real Estate 2018 Term Loan B Loan 1M USD LIBOR+ 2.00 % 0.00 % 3.52 % 12/27/2022 360,538 359,905 356,752 First Eagle Holdings Inc. Banking Finance Insurance & Real Estate Refinancing Term Loan Loan 3M USD LIBOR+ 2.50 % 0.00 % 3.96 % 2/1/2027 5,450,000 5,426,720 5,338,275 Fitness International LLC Services: Consumer Term Loan B (4/18) Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 4/18/2025 1,330,058 1,322,900 1,312,103 Franklin Square Holdings L.P. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 8/1/2025 4,443,748 4,414,007 4,421,530 Froneri International Ltd Beverage Food & Tobacco Term Loan B-2 Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 1/29/2027 2,000,000 1,995,162 1,962,500 Fusion Connect Inc. Telecommunications Exit Term Loan (1/20) Loan 3M USD LIBOR+ 9.50 % 2.00 % 11.50 % 1/14/2025 1,500,000 1,470,716 1,495,005 Fusion Connect Inc. Telecommunications Take Back 2nd Out Term Loan Loan 6M USD LIBOR+ 8.00 % 2.00 % 10.00 % 7/14/2025 757,724 737,560 527,883 GBT Group Services B.V. Hotel Gaming & Leisure Term Loan Loan 3M USD LIBOR+ 2.50 % 0.00 % 3.96 % 8/13/2025 4,443,750 4,442,729 4,410,422 GC EOS Buyer Inc. Automotive Term Loan B (06/18) Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 8/1/2025 2,962,500 2,940,820 2,888,438 General Nutrition Centers Inc. Retail Term Loan B2 Loan 3M USD LIBOR+ 8.75 % 0.75 % 10.21 % 3/4/2021 930,446 929,986 856,010 General Nutrition Centers Inc. Retail FILO Term Loan Loan 1M USD LIBOR+ 7.00 % 0.00 % 8.52 % 1/3/2023 585,849 584,748 583,505 Genesee & Wyoming Inc. Transportation: Cargo Term Loan (11/19) Loan 3M USD LIBOR+ 2.00 % 0.00 % 3.46 % 12/30/2026 1,500,000 1,492,771 1,489,380 GEO Group Inc. The Banking Finance Insurance & Real Estate Term Loan Refinance Loan 1M USD LIBOR+ 2.00 % 0.75 % 3.52 % 3/25/2024 2,000,000 1,911,214 1,846,260 GI Chill Acquisition LLC Services: Business Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 5.46 % 8/6/2025 2,468,750 2,458,492 2,450,234 GI Revelation Acquisition LLC Services: Business Term Loan Loan 1M USD LIBOR+ 5.00 % 0.00 % 6.52 % 4/16/2025 1,231,867 1,226,730 1,155,652 Gigamon Inc. Services: Business Term Loan B Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.77 % 12/27/2024 2,960,000 2,937,550 2,952,600 Global Tel*Link Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 11/28/2025 3,039,750 3,039,750 2,886,668 Go Wireless Inc. Telecommunications Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 8.02 % 12/22/2024 3,202,597 3,161,265 3,005,093 Goodyear Tire & Rubber Company The Chemicals Plastics & Rubber Second Lien Term Loan Loan 1M USD LIBOR+ 2.00 % 0.00 % 3.52 % 3/7/2025 2,000,000 2,000,000 1,950,000 Greenhill & Co. Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 4/12/2024 3,661,538 3,624,459 3,644,769 Grosvenor Capital Management Holdings LLLP Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 4.27 % 3/28/2025 898,530 894,831 898,530 Guidehouse LLP Aerospace & Defense Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 5/1/2025 3,964,937 3,941,954 3,895,550 Harland Clarke Holdings Corp. Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 6.21 % 11/3/2023 1,723,072 1,715,720 1,356,919 HD Supply Waterworks Ltd. Construction & Building Term Loan Loan 3M USD LIBOR+ 2.75 % 1.00 % 4.21 % 8/1/2024 488,750 487,883 481,419 Helix Acquisition Holdings Inc. Capital Equipment Term Loan (2019 Incremental) Loan 3M USD LIBOR+ 3.75 % 0.00 % 5.21 % 9/30/2024 2,977,500 2,925,219 2,754,188 Helix Gen Funding LLC Energy: Electricity Term Loan B (02/17) Loan 1M USD LIBOR+ 3.75 % 1.00 % 5.27 % 6/3/2024 264,030 263,694 253,799 HLF Financing SaRL LLC Consumer goods: Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 8/18/2025 3,950,000 3,935,111 3,883,364 Holley Purchaser Inc. Automotive Term Loan B Loan 3M USD LIBOR+ 5.00 % 0.00 % 6.46 % 10/24/2025 2,475,000 2,454,070 2,301,750 Hudson River Trading LLC Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 2/18/2027 6,000,000 5,975,621 5,955,000 Hyperion Refinance S.a.r.l. Banking Finance Insurance & Real Estate Tem Loan (12/17) Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 12/20/2024 1,709,781 1,701,824 1,691,623 ICH US Intermediate Holdings II Inc. Healthcare & Pharmaceuticals Term Loan B Loan 3M USD LIBOR+ 5.75 % 1.00 % 7.21 % 12/24/2026 5,000,000 4,803,288 4,875,000 Idera Inc. High Tech Industries Term Loan B Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 6/28/2024 2,939,742 2,919,274 2,917,694 Informatica LLC High Tech Industries Term Loan B (02/20) Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 2/25/2027 500,000 497,500 489,375 Inmar Inc. Services: Business Term Loan B Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.46 % 5/1/2024 3,457,043 3,377,774 3,320,939 Innophos Holdings Inc Chemicals Plastics & Rubber Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 2/4/2027 500,000 497,521 496,250 ION Media Networks Inc. Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 12/18/2024 997,500 992,818 982,538 42 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Isagenix International LLC Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+ 5.75 % 1.00 % 7.21 % 6/16/2025 2,796,876 2,750,718 1,118,750 Jefferies Finance LLC / JFIN Co-Issuer Corp Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 6/3/2026 3,229,359 3,211,489 3,172,846 Jill Holdings LLC Retail Term Loan (1st Lien) Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.46 % 5/9/2022 1,800,290 1,796,697 1,458,235 JP Intermediate B LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.96 % 11/20/2025 4,687,500 4,640,380 2,499,984 KAR Auction Services Inc. Automotive Term Loan B (09/19) Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 9/19/2026 249,375 248,789 247,505 Kindred Healthcare Inc. Healthcare & Pharmaceuticals Kindred Healthcare T/L (6/18) Loan 1M USD LIBOR+ 5.00 % 0.00 % 6.52 % 7/2/2025 2,000,000 1,980,000 1,975,000 Lakeland Tours LLC Hotel Gaming & Leisure Term Loan B Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.71 % 12/16/2024 2,457,482 2,450,618 2,248,596 Lannett Company Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 5.38 % 1.00 % 6.89 % 11/25/2022 2,379,293 2,356,101 2,343,175 Learfield Communications LLC Media: Advertising Printing & Publishing Initial Term Loan (A-L Parent) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 12/1/2023 485,000 483,577 439,531 Lifetime Brands Inc. Consumer goods: Non-durable Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 2/28/2025 2,992,386 2,955,090 2,857,728 Lighthouse Network LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 4.50 % 1.00 % 6.02 % 12/2/2024 4,129,092 4,115,428 4,123,930 Lightstone Holdco LLC Energy: Electricity Term Loan B Loan 1M USD LIBOR+ 3.75 % 1.00 % 5.27 % 1/30/2024 1,322,520 1,320,692 1,164,651 Lightstone Holdco LLC Energy: Electricity Term Loan C Loan 1M USD LIBOR+ 3.75 % 1.00 % 5.27 % 1/30/2024 74,592 74,493 65,688 Lindblad Expeditions Inc. Hotel Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 3/27/2025 394,000 393,227 390,060 Lindblad Expeditions Inc. Hotel Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 3/27/2025 98,500 98,307 97,515 Liquidnet Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 7/15/2024 2,131,268 2,126,212 2,093,970 LPL Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B1 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 11/11/2026 1,245,213 1,242,233 1,243,133 Marriott Ownership Resorts Inc. Hotel Gaming & Leisure Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 3/12/2026 1,500,000 1,500,000 1,432,500 Match Group Inc. Services: Consumer Term Loan (1/20) Loan 3M USD LIBOR+ 1.75 % 0.00 % 3.21 % 2/5/2027 250,000 249,377 248,438 McAfee LLC Services: Business Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 9/30/2024 3,159,418 3,131,317 3,136,165 McDermott International (Americas) Inc.(b) Construction & Building Term Loan B Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.46 % 5/12/2025 1,965,000 1,933,938 1,126,928 McGraw-Hill Global Education Holdings LLC Media: Advertising Printing & Publishing Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 5/4/2022 956,813 954,867 897,807 Meredith Corporation Media: Advertising Printing & Publishing Term Loan B2 Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 1/31/2025 578,738 577,724 572,227 Messer Industries GMBH Chemicals Plastics & Rubber Term Loan B Loan 3M USD LIBOR+ 2.50 % 0.00 % 3.96 % 3/2/2026 2,977,500 2,970,753 2,917,950 Michaels Stores Inc. Retail Term Loan B Loan 1M USD LIBOR+ 2.50 % 1.00 % 4.02 % 1/30/2023 2,599,163 2,590,493 2,393,387 Midwest Physician Administrative Services LLC Healthcare & Pharmaceuticals Term Loan (2/18) Loan 1M USD LIBOR+ 2.75 % 0.75 % 4.27 % 8/15/2024 970,910 967,282 951,492 Milk Specialties Company Beverage Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 8/16/2023 3,899,905 3,848,164 3,696,798 MKS Instruments Inc. High Tech Industries Term Loan B6 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 2/2/2026 887,425 879,526 875,001 MLN US HoldCo LLC Telecommunications Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 11/28/2025 990,000 988,165 932,144 MRC Global (US) Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 9/20/2024 490,000 489,047 477,750 NAI Entertainment Holdings LLC Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.50 % 1.00 % 4.02 % 5/8/2025 870,833 869,104 855,594 Natgasoline LLC Chemicals Plastics & Rubber Term Loan Loan 6M USD LIBOR+ 3.50 % 0.00 % 4.90 % 11/14/2025 495,000 492,907 491,288 National Mentor Holdings Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 5.52 % 3/9/2026 1,881,215 1,864,059 1,871,809 National Mentor Holdings Inc. Healthcare & Pharmaceuticals Term Loan C Loan 1M USD LIBOR+ 4.00 % 0.00 % 5.52 % 3/9/2026 104,662 103,730 104,139 NeuStar Inc. Telecommunications Term Loan B4 (03/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 8/8/2024 2,962,121 2,918,947 2,688,125 NeuStar Inc. Telecommunications Term Loan B-5 Loan 1M USD LIBOR+ 4.50 % 1.00 % 6.02 % 8/8/2024 992,500 975,477 959,311 43 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Nexstar Broadcasting Inc. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 9/18/2026 249,375 248,222 247,298 NMI Holdings Inc. Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.75 % 1.00 % 6.27 % 5/23/2023 3,454,906 3,457,271 3,420,357 NorthPole Newco S.a r.l Aerospace & Defense Term Loan Loan 3M USD LIBOR+ 7.00 % 0.00 % 8.46 % 3/3/2025 4,812,500 4,371,041 4,162,813 Novetta Solutions LLC Aerospace & Defense Term Loan Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.52 % 10/17/2022 1,919,870 1,911,097 1,878,478 Novetta Solutions LLC Aerospace & Defense Second Lien Term Loan Loan 1M USD LIBOR+ 8.50 % 1.00 % 10.02 % 10/16/2023 1,000,000 994,137 973,750 NPC International Inc.(b) Beverage Food & Tobacco Term Loan Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.96 % 4/19/2024 487,500 487,124 237,544 Octave Music Group Inc. The Services: Business Term Loan B Loan 2M USD LIBOR+ 5.25 % 1.00 % 6.75 % 5/29/2025 5,000,000 4,950,000 4,937,500 Office Depot Inc. Retail Term Loan B Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.77 % 11/8/2022 2,456,367 2,445,611 2,464,547 Owens & Minor Distribution Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 4/30/2025 492,500 484,678 413,700 Patriot Container Corp. Environmental Industries Term Loan (3/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 3/20/2025 500,000 497,500 492,500 PCI Gaming Authority Hotel Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 5/29/2026 878,269 874,086 871,682 Peraton Corp. Aerospace & Defense Term Loan Loan 2M USD LIBOR+ 5.25 % 1.00 % 6.75 % 4/29/2024 2,447,449 2,437,345 2,386,263 PGX Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.77 % 9/29/2020 3,564,650 3,555,767 1,782,325 PI UK Holdco II Limited Services: Business Term Loan B1 (PI UK Holdco II) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 1/3/2025 1,473,750 1,467,204 1,449,802 Pixelle Specialty Solutions LLC Forest Products & Paper Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 8.02 % 10/31/2024 2,000,000 1,960,340 1,953,120 Plastipak Packaging Inc Containers Packaging & Glass Plastipak Packaging T/L B (04/18) Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 10/15/2024 2,944,583 2,921,203 2,885,691 Playtika Holding Corp. High Tech Industries Trm Loan B (12/19) Loan 1M USD LIBOR+ 6.00 % 1.00 % 7.52 % 12/10/2024 4,000,000 3,922,736 3,988,760 Polymer Process Holdings Inc Containers Packaging & Glass Term Loan Loan 1M USD LIBOR+ 6.00 % 0.00 % 7.52 % 4/30/2026 2,985,000 2,930,303 2,921,569 Presidio Inc. Services: Business Term Loan B (1/20) Loan 3M USD LIBOR+ 3.50 % 0.00 % 4.96 % 1/22/2027 500,000 498,787 495,000 Prime Security Services Borrower LLC Services: Consumer Term Loan (Protection One/ADT) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 9/23/2026 2,992,500 2,975,658 2,905,717 Priority Payment Systems Holdings LLC High Tech Industries Term Loan Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.52 % 1/3/2023 2,472,719 2,462,039 2,404,720 Project Accelerate Parent LLC Services: Business Term Loan Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.77 % 1/2/2025 1,965,000 1,957,491 1,940,438 Prometric Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.52 % 1/29/2025 491,288 489,418 473,478 Pug LLC Services: Consumer Pug T/L B (02/20) Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 2/12/2027 1,500,000 1,492,500 1,395,000 Rackspace Hosting Inc. High Tech Industries Term Loan B Loan 3M USD LIBOR+ 3.00 % 1.00 % 4.46 % 11/3/2023 1,476,064 1,467,715 1,403,486 Radio Systems Corporation Consumer goods: Durable Term Loan Loan 2M USD LIBOR+ 2.75 % 1.00 % 4.25 % 5/2/2024 1,462,500 1,462,500 1,449,703 Radiology Partners Inc. Healthcare & Pharmaceuticals Term Loan Loan 2M USD LIBOR+ 4.25 % 0.00 % 5.75 % 7/9/2025 1,432,727 1,426,403 1,413,386 Research Now Group Inc. Media: Advertising Printing & Publishing Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.96 % 12/20/2024 3,927,406 3,816,352 3,868,494 Resolute Investment Managers Inc. Banking Finance Insurance & Real Estate Term Loan (10/17) Loan 3M USD LIBOR+ 3.25 % 1.00 % 4.71 % 4/29/2022 2,680,466 2,681,757 2,673,765 Rexnord LLC Capital Equipment Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 8/21/2024 862,069 862,069 858,431 Reynolds Consumer Products Inc. Containers Packaging & Glass Reynolds Consumer Products T/L Loan 3M USD LIBOR+ 1.75 % 0.00 % 3.21 % 2/4/2027 1,500,000 1,498,128 1,483,875 RGIS Services LLC Services: Business Term Loan Loan 3M USD LIBOR+ 7.50 % 1.00 % 8.96 % 3/31/2023 482,554 477,839 421,994 Robertshaw US Holding Corp. Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.77 % 2/28/2025 982,500 980,484 884,250 Rocket Software Inc. High Tech Industries Term Loan (11/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 11/28/2025 3,970,000 3,953,381 3,817,393 Russell Investments US Institutional Holdco Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 4.27 % 6/1/2023 5,637,965 5,554,276 5,553,396 Sahara Parent Inc. High Tech Industries Term Loan B (11/18) Loan 3M USD LIBOR+ 6.25 % 0.00 % 7.71 % 8/16/2024 1,955,250 1,938,956 1,877,040 Sally Holdings LLC Retail Term Loan (Fixed) Loan 1M USD LIBOR+ 0.00 % 0.00 % 0.00 % 7/5/2024 1,000,000 996,778 980,000 44 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Sally Holdings LLC Retail Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 7/5/2024 768,409 765,606 753,041 Savage Enterprises LLC Energy: Oil & Gas Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 5.52 % 8/1/2025 3,284,831 3,247,280 3,270,049 SCS Holdings I Inc. High Tech Industries Term Loan 1/20 Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 7/1/2026 1,990,000 1,985,537 1,976,329 Seadrill Operating LP Energy: Oil & Gas Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.46 % 2/21/2021 905,168 891,491 288,359 Shutterfly Inc. Media: Advertising Printing & Publishing Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.46 % 9/25/2026 870,968 829,352 827,968 SMB Shipping Logistics LLC Transportation: Consumer Term Loan B Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.46 % 2/2/2024 1,947,873 1,946,123 1,913,785 SMG US Midco 2 Inc. Services: Business Term Loan (01/20) Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 1/23/2025 500,000 500,000 495,000 Snacking Investment BidCo Pty Limited Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 12/18/2026 1,000,000 990,193 987,500 Sotheby’s Services: Business Term Loan Loan 1M USD LIBOR+ 5.50 % 1.00 % 7.02 % 1/15/2027 3,324,994 3,258,223 3,315,285 SP PF Buyer LLC Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 12/19/2025 1,985,000 1,911,678 1,801,388 SRAM LLC Consumer goods: Durable Term Loan Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.72 % 3/15/2024 1,769,661 1,762,426 1,756,388 SS&C European Holdings S.A.R.L. Services: Business Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 4/16/2025 199,839 199,466 196,841 SS&C Technologies Inc. Services: Business Term Loan B-5 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 4/16/2025 493,682 492,653 486,000 SS&C Technologies Inc. Services: Business Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 4/16/2025 280,056 279,525 275,855 Staples Inc. Wholesale Term Loan (03/19) Loan 1M USD LIBOR+ 5.00 % 0.00 % 6.52 % 4/16/2026 1,960,188 1,960,188 1,928,334 Stats Intermediate Holdings LLC Hotel Gaming & Leisure Term Loan Loan 6M USD LIBOR+ 5.25 % 0.00 % 6.65 % 7/10/2026 2,000,000 1,953,068 1,920,000 Steak N Shake Operations Inc. Beverage Food & Tobacco Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 5.27 % 3/19/2021 824,991 823,352 662,740 STG-Fairway Holdings LLC Services: Business STG Fairway T/L (First Advantage) (Fastball Merger Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 1/29/2027 500,000 497,500 496,040 Sybil Software LLC High Tech Industries Term Loan B (4/18) Loan 3M USD LIBOR+ 2.25 % 1.00 % 3.71 % 9/29/2023 263,565 262,651 261,918 Teneo Holdings LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.77 % 7/11/2025 2,493,750 2,401,489 2,381,531 Tenneco Inc Capital Equipment Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 4.52 % 10/1/2025 1,485,000 1,472,625 1,386,619 Ten-X LLC Banking Finance Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 9/30/2024 1,960,000 1,958,142 1,927,327 Terex Corporation Capital Equipment Term Loan Loan 1M USD LIBOR+ 2.75 % 0.75 % 4.27 % 1/31/2024 992,500 988,635 991,567 TGG TS Acquisition Company Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+ 6.50 % 0.00 % 8.02 % 12/15/2025 2,766,667 2,639,073 2,711,333 The Edelman Financial Center LLC Banking Finance Insurance & Real Estate Term Loan B (06/18) Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 7/21/2025 1,237,500 1,232,467 1,211,203 The Knot Worldwide Inc Services: Consumer Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 6.02 % 12/19/2025 3,960,000 3,952,856 3,890,700 Thor Industries Inc. Automotive Term Loan (USD) Loan 2M USD LIBOR+ 3.75 % 0.00 % 5.25 % 2/2/2026 2,031,203 2,018,102 2,000,735 Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 5.25 % 0.00 % 6.77 % 3/6/2026 2,334,338 2,281,664 2,209,288 Tivity Health Inc. Healthcare & Pharmaceuticals Term Loan A Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 3/8/2024 1,600,000 1,586,231 1,504,000 Transdigm Inc. Aerospace & Defense Term Loan G (02/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 8/22/2024 4,106,293 4,111,126 4,013,901 Travel Leaders Group LLC Hotel Gaming & Leisure Term Loan B (08/18) Loan 1M USD LIBOR+ 4.00 % 0.00 % 5.52 % 1/25/2024 2,462,500 2,458,773 2,410,172 TRC Companies Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 6/21/2024 3,376,818 3,366,553 3,250,188 TRC Companies Inc. Services: Business Term Loan B Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.52 % 6/21/2024 997,500 982,926 980,044 Trico Group LLC Containers Packaging & Glass Incremental Term Loan Loan 3M USD LIBOR+ 7.00 % 1.00 % 8.46 % 2/2/2024 4,758,359 4,645,140 4,675,088 Truck Hero Inc. Transportation: Cargo First Lien Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 5.27 % 4/22/2024 2,927,444 2,910,795 2,874,984 Trugreen Limited Partnership Services: Consumer Term Loan (03/19) Loan 1M USD LIBOR+ 3.75 % 1.00 % 5.27 % 3/19/2026 981,396 972,628 981,396 Twin River Worldwide Holdings Inc. Hotel Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 4.27 % 5/11/2026 995,000 990,418 971,060 United Natural Foods Inc. Beverage Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 5.77 % 10/22/2025 3,465,000 3,270,106 2,875,950 Univar Solutions Inc. Chemicals Plastics & Rubber Term Loan B3 (11/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 7/1/2024 1,627,723 1,621,989 1,603,307 45 Issuer Name Industry Asset Name Asset Type Reference Rate/Spread LIBOR Floor Current Rate (All In) Maturity Date Principal/ Number of Shares Cost Fair Value Univision Communications Inc. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 2.75 % 1.00 % 4.27 % 3/15/2024 2,746,369 2,735,251 2,634,565 URS Holdco Inc. Transportation: Cargo Term Loan (10/17) Loan 1M USD LIBOR+ 5.75 % 1.00 % 7.27 % 8/30/2024 984,169 973,856 821,778 US Ecology Inc. Environmental Industries Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 11/2/2026 500,000 498,859 496,250 VeriFone Systems Inc. Banking Finance Insurance & Real Estate Term Loan (7/18) Loan 3M USD LIBOR+ 4.00 % 0.00 % 5.46 % 8/20/2025 5,431,250 5,403,194 5,214,000 Verra Mobility Corp. Construction & Building Term Loan B1 (02/20) Loan 1M USD LIBOR+ 3.25 % 0.00 % 4.77 % 2/28/2025 491,250 489,331 483,881 VFH Parent LLC Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 3/2/2026 3,801,266 3,787,581 3,793,663 Victory Capital Holdings Inc. Banking Finance Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+ 2.50 % 0.00 % 4.02 % 7/1/2026 422,273 418,485 415,939 Virtus Investment Partners Inc. Banking Finance Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.75 % 3.77 % 6/3/2024 3,218,500 3,217,979 3,213,479 Vistra Operations Company LLC Utilities: Electric 2018 Incremental Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 12/31/2025 927,500 926,595 919,094 Vizient Inc. Healthcare & Pharmaceuticals Term Loan B-6 Loan 1M USD LIBOR+ 2.00 % 0.00 % 3.52 % 5/6/2026 496,250 495,208 491,600 VS Buyer T/L (Veeam Software) High Tech Industries Term Loan Loan 3M USD LIBOR+ 3.25 % 0.00 % 4.71 % 2/28/2027 1,000,000 1,000,000 986,250 Weight Watchers International Inc. Services: Consumer Term Loan B Loan 3M USD LIBOR+ 4.75 % 0.75 % 6.21 % 11/29/2024 1,670,130 1,645,266 1,665,955 West Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 5.02 % 10/10/2024 2,961,172 2,889,546 2,319,573 West Corporation Telecommunications Term Loan B (Olympus Merger) Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.52 % 10/10/2024 1,237,374 1,164,156 981,002 Western Dental Services Inc. Retail Term Loan (12/18) Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.77 % 6/30/2023 2,438,722 2,424,403 2,444,819 Western Digital Corporation High Tech Industries Term Loan B-4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 3.27 % 4/29/2023 903,135 885,248 892,975 Winter Park Intermediate Inc. Automotive Term Loan Loan 1M USD LIBOR+ 4.75 % 0.00 % 6.27 % 4/4/2025 1,984,953 1,966,855 1,951,864 Wirepath LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.46 % 8/5/2024 2,955,118 2,931,790 2,766,730 WP CityMD Bidco LLC Services: Consumer Term Loan B Loan 3M USD LIBOR+ 4.50 % 1.00 % 5.96 % 8/13/2026 3,500,000 3,467,362 3,476,375 YS Garments LLC Retail Term Loan Loan 1W USD LIBOR+ 6.00 % 1.00 % 7.57 % 8/9/2024 1,937,500 1,921,365 1,908,438 Zekelman Industries Inc Metals & Mining Term Loan (01/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 3.77 % 1/19/2027 1,000,000 1,000,000 977,500 Zep Inc. Chemicals Plastics & Rubber Term Loan Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.46 % 8/12/2024 2,443,750 2,434,999 1,840,461 Zest Acquisition Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 5.02 % 3/14/2025 982,500 978,750 934,603 $ 526,004,959 $ 500,999,934 Number of Shares Cost Fair Value Cash and cash equivalents U.S. Bank Money Market (c) 9,081,041 $ 9,081,041 $ 9,081,041 Total cash and cash equivalents 9,081,041 $ 9,081,041 $ 9,081,041 (a) All or a portion of this investment has an unfunded commitment as of February 29, 2020 (see Note 6 in Notes to financial statements). (b) As of February 29, 2020, the investment was in default and on non-accrual status. (c) Included within cash and cash equivalents in Saratoga CLO’s Statements of Assets and Liabilities as of February 29, 2020. LIBOR—London Interbank Offered Rate 1W USD LIBOR—The 1 week USD LIBOR rate as of February 29, 2020 was 1.57%. 1M USD LIBOR—The 1 month USD LIBOR rate as of February 29, 2020 was 1.52%. 2M USD LIBOR—The 2 month USD LIBOR rate as of February 29, 2020 was 1.50%. 3M USD LIBOR—The 3 month USD LIBOR rate as of February 29, 2020 was 1.46%. 6M USD LIBOR—The 6 month USD LIBOR rate as of February 29, 2020 was 1.40%. Prime—The Prime Rate as of February 29, 2020 was 4.75%. 46 Note 5. Income Taxes SIA-Avionte, Inc., SIA-GH, Inc., SIA-MAC, Inc., SIA-PP Inc., SIA-TG, Inc., SIA-TT, Inc., SIA-Vector, Inc. and SIA-VR, Inc., each 100% owned by the Company, are each filing standalone C Corporation tax returns for federal and state purposes. As separately regarded entities for tax purposes, these entities are taxed at normal corporate rates. For tax purposes, any distributions by the entities to the parent company would generally need to be distributed to the Company’s shareholders. Generally, such distributions of the entities’ income to the Company’s shareholders will be considered as qualified dividends for tax purposes. The entities taxable net income will differ from U.S. GAAP net income because of deferred tax temporary differences adjustments arising from net operating losses and unrealized appreciation and depreciation of securities held. Deferred tax assets and liabilities are measured using enacted corporate federal and state tax rates expected to apply to taxable income in the years in which those net operating losses are utilized and the unrealized gains and losses are realized. Deferred tax assets and deferred tax liabilities are netted off by entity, as allowed. The recoverability of deferred tax assets is assessed and a valuation allowance is recorded to the extent that it is more likely than not that any portion of the deferred tax asset will not be realized on the basis of a history of operating losses combined with insufficient projected taxable income or other taxable events in the taxable blockers. The Company may distribute a portion of its realized net long term capital gains in excess of realized net short term capital losses to its stockholders, but may also decide to retain a portion, or all, of its net capital gains and elect to pay federal tax on the net capital gain, potentially in the form of a “deemed distribution” to its stockholders. Income tax (provision) relating to an election to retain its net capital gains, including in the form of a deemed distribution, is included as a component of income tax provision and income tax (provision) on realized gains on investments, depending on the character of the underlying taxable income (ordinary or capital gains), on the consolidated statements of operations. During the three months ended November 30, 2020, the Company paid federal tax of $3.9 million on the undistributed net gains it elected to retain for the tax year ended February 29, 2020. Deferred tax assets and liabilities, and related valuation allowance as of November 30, 2020 and February 29, 2020 were as follows: November 30, 2020 February 29, 2020 Total deferred tax assets $ (1,965,687 ) $ 1,744,879 Total deferred tax liabilities 1,471,324 (1,412,486 ) Valuation allowance on net deferred tax assets 1,928,869 (1,679,756 ) Net deferred tax liability $ 1,434,505 $ (1,347,363 ) As of November 30, 2020, the valuation allowance on deferred tax assets was $1.9 million, which represents the federal and state tax effect of net operating losses and unrealized losses that we do not believe we will realize through future taxable income. Any adjustments to the Company’s valuation allowance will depend on estimates of future taxable income and will be made in the period such determination is made. Net deferred tax (benefit) expense for the three months ended November 30, 2020 includes $0.2 million net change in unrealized appreciation (depreciation) on investments and $0.0 million net change in total operating expense, in the consolidated statement of operations, respectively. Net deferred tax (benefit) expense for the three months ended November 30, 2019 includes $1.1 million net change in unrealized appreciation (depreciation) on investments and $(1.0) million net change in total operating expense, in the consolidated statement of operations, respectively. Net deferred tax (benefit) expense for the nine months ended November 30, 2020 includes $0.1 million net change in unrealized appreciation (depreciation) on investments and $0.0 million net change in total operating expense, in the consolidated statement of operations, respectively. Net deferred tax (benefit) expense for the nine months ended November 30, 2019 includes $1.8 million net change in unrealized appreciation (depreciation) on investments and $(1.5) million net change in total operating expense, in the consolidated statement of operations, respectively. Deferred tax temporary differences may include differences for state taxes and joint venture interests. 47 Federal and state income tax provisions (benefits) on investments for three and nine months ended November 30, 2020 and November 30, 2019: For the three months ended For the nine months ended November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 Current Federal $ - $ - $ - $ - State - - - - Net current expense - - - - Deferred Federal 195,652 38,486 24,814 252,303 State 44,153 22,033 62,328 69,621 Net deferred expense 239,805 60,519 87,142 321,924 Net tax provision $ 239,805 $ 60,519 $ 87,142 $ 321,924 Note 6. Agreements and Related Party Transactions Investment Advisory and Management Agreement On July 30, 2010, the Company entered into the Management Agreement with our Manager. The initial term of the Management Agreement was two years, with automatic, one-year renewals at the end of each year, subject to certain approvals by our board of directors and/or the Company’s stockholders. On July 7, 2020, our board of directors approved the renewal of the Management Agreement for an additional one-year term. Pursuant to the Management Agreement, our Manager implements our business strategy on a day-to-day basis and performs certain services for us, subject to oversight by our board of directors. Our Manager is responsible for, among other duties, determining investment criteria, sourcing, analyzing and executing investments transactions, asset sales, financings and performing asset management duties. Under the Management Agreement, we have agreed to pay our Manager a management fee for investment advisory and management services consisting of a base management fee and an incentive management fee. Base Management Fee and Incentive Management Fee The base management fee of 1.75% per year is calculated based on the average value of our gross assets (other than cash or cash equivalents, but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters. The base management fee is paid quarterly following the filing of the most recent 10-Q. The incentive management fee consists of the following two parts: The first, payable quarterly in arrears, equals 20.0% of our pre-incentive fee net investment income, expressed as a rate of return on the value of our net assets at the end of the immediately preceding quarter, that exceeds a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter, subject to a “catch-up” provision. Under this provision, in any fiscal quarter, our Manager receives no incentive fee unless our pre-incentive fee net investment income exceeds the hurdle rate of 1.875%. Our Manager will receive 100.0% of pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than or equal to 2.344% in any fiscal quarter; and 20.0% of the amount of our pre-incentive fee net investment income, if any, that exceeds 2.344% in any fiscal quarter. There is no accumulation of amounts on the hurdle rate from quarter to quarter, and accordingly there is no claw back of amounts previously paid if subsequent quarters are below the quarterly hurdle rate, and there is no delay of payment if prior quarters are below the quarterly hurdle rate. The second part of the incentive fee is determined and payable in arrears as of the end of each fiscal year (or upon termination of the Management Agreement) and equals 20.0% of our “incentive fee capital gains,” which equals our realized capital gains on a cumulative basis from May 31, 2010 through the end of the fiscal year, if any, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis on each investment in the Company’s portfolio, less the aggregate amount of any previously paid capital gain incentive fee. Importantly, the capital gains portion of the incentive fee is based on realized gains and realized and unrealized losses from May 31, 2010. Therefore, realized and unrealized losses incurred prior to such time will not be taken into account when calculating the capital gains portion of the incentive fee, and our Manager will be entitled to 20.0% of incentive fee capital gains that arise after May 31, 2010. In addition, for the purpose of the “incentive fee capital gains” calculations, the cost basis for computing realized gains and losses on investments held by us as of May 31, 2010 will equal the fair value of such investments as of such date. 48 For the three months ended November 30, 2020 and November 30, 2019, the Company incurred $2.3 million and $2.1 million in base management fees, respectively. For the three months ended November 30, 2020 and November 30, 2019, the Company incurred $1.2 million and $1.5 million in incentive fees related to pre-incentive fee net investment income, respectively. For the three months ended November 30, 2020 and November 30, 2019, the Company accrued an expense of $1.1 million and an expense of $1.6 million in incentive fees related to capital gains. For the nine months ended November 30, 2020 and November 30, 2019, the Company incurred $6.7 million and $6.0 million in base management fees, respectively. For the nine months ended November 30, 2020 and November 30, 2019, the Company incurred $4.0 million and $4.1 million in incentive fees related to pre-incentive fee net investment income, respectively. For the nine months ended November 30, 2020 and November 30, 2019, the Company accrued a (benefit) of $(2.0) million and an expense of $3.2 million in incentive fees related to capital gains, respectively. The accrual is calculated using both realized and unrealized capital gains for the period. The actual incentive fee related to capital gains will be determined and payable in arrears at the end of the fiscal year and will include only realized capital gains for the period. As of November 30, 2020, the base management fees accrual was $2.3 million and the incentive fees accrual was $2.5 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 29, 2020, the base management fees accrual was $2.1 million and the incentive fees accrual was $13.7 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. Administration Agreement On July 30, 2010, the Company entered into a separate administration agreement (the “Administration Agreement”) with our Manager, pursuant to which our Manager, as our administrator, has agreed to furnish us with the facilities and administrative services necessary to conduct our day-to-day operations and provide managerial assistance on our behalf to those portfolio companies to which we are required to provide such assistance. The initial term of the Administration Agreement was two years, with automatic, one-year renewals at the end of each year subject to certain approvals by our board of directors and/or our stockholders. The amount of expenses payable or reimbursable thereunder by the Company was capped at $1.0 million for the initial two-year term of the Administration Agreement and subsequent renewals. On July 8, 2015, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company thereunder, which had not been increased since the inception of the agreement, to $1.3 million. On July 7, 2016, our board of directors approved the renewal of the Administration Agreement for an additional one-year term. On October 5, 2016, our board of directors determined to increase the cap on the payment or reimbursement of expenses by the Company under the Administration Agreement, from $1.3 million to $1.5 million, effective November 1, 2016. On July 11, 2017, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $1.5 million to $1.75 million, effective August 1, 2017. On July 9, 2018, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $1.75 million to $2.0 million, effective August 1, 2018. On July 9, 2019, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $2.0 million to $2.225 million effective August 1, 2019. On July 7, 2020, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to increase the cap on the payment or reimbursement of expenses by the Company from $2.225 million to $2.775 million effective August 1, 2020. For the three months ended November 30, 2020 and November 30, 2019, we recognized $0.7 million and $0.6 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent and other overhead related expenses. For the nine months ended November 30, 2020 and November 30, 2019, we recognized $1.9 million and $1.6 million in administrator expenses, respectively, pertaining to bookkeeping, record keeping and other administrative services provided to us in addition to our allocable portion of rent and other overhead related expenses. As of November 30, 2020, $0.3 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. As of February 29, 2020, $0.5 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. Saratoga CLO On August 7, 2018, the Company entered into an unsecured loan agreement with CLO 2013-1 Warehouse, a wholly-owned subsidiary of Saratoga CLO, pursuant to which CLO 2013-1 Warehouse may borrow from time to time up to $25 million from the Company in order to provide capital necessary to support warehouse activities. The CLO 2013-1 Warehouse Loan, which expired on February 7, 2020, bears interest at an annual rate of 3M USD LIBOR + 7.5%. 49 On December 14, 2018, the Company completed the third refinancing and issuance of the 2013-1 Reset CLO Notes. This refinancing, among other things, extended the Saratoga CLO reinvestment period to January 2021, and extended its legal maturity to January 2030. A non-call period ending January 2020 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $300 million in assets to approximately $500 million. As part of this refinancing and upsizing, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $2.5 million in aggregate principal amount of the Class F-R-2 Notes tranche and $7.5 million in aggregate principal amount of the Class G-R-2 Notes tranche at par. Concurrently, the existing $4.5 million of Class F notes and $20.0 million CLO 2013-1 Warehouse Loan were repaid. The Company also paid $2.0 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO and was reimbursed by the Saratoga CLO for these costs during the year ended February 29, 2020. For the three months ended November 30, 2020 and November 30, 2019, we recognized management fee income of $0.6 million and $0.6 million, respectively, related to the Saratoga CLO. For the nine months ended November 30, 2020 and November 30, 2019, we recognized management fee income of $1.9 million and $1.9 million, respectively, related to the Saratoga CLO. In conjunction with the third refinancing and issuance of the 2013-1 Reset CLO Notes on December 14, 2018, the Company is no longer entitled to receive an incentive management fee from Saratoga CLO. See Note 4 for additional information. On February 11, 2020, the Company entered into an unsecured loan agreement with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd., a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. Pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and , which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 million. For the nine months ended November 30, 2020 and November 30, 2019, the Company neither bought nor sold any investments from the Saratoga CLO. Note 7. Borrowings Credit Facility As a BDC, we are only allowed to employ leverage to the extent that our asset coverage, as defined in the 1940 Act, equals at least 200.0% after giving effect to such leverage, or, if we obtain the required approvals from our independent directors and/or stockholders, 150.0%. The amount of leverage that we employ at any time depends on our assessment of the market and other factors at the time of any proposed borrowing. Our asset coverage ratio, as defined in the 1940 Act, was 377.3% as of November 30, 2020 and 607.1% as of February 29, 2020. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, our non-interested board of directors approved of our becoming subject to a minimum asset coverage ratio of 150.0% under Sections 18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The 150.0% asset coverage ratio became effective on April 16, 2019. On April 11, 2007, we entered into a $100.0 million revolving securitized credit facility (the “Revolving Facility”). On May 1, 2007, we entered into a $25.7 million term securitized credit facility (the “Term Facility” and, together with the Revolving Facility, the “Facilities”), which was fully drawn at closing. In December 2007, we consolidated the Facilities by using a draw under the Revolving Facility to repay the Term Facility. In response to the market wide decline in financial asset prices, which negatively affected the value of our portfolio, we terminated the revolving period of the Revolving Facility effective January 14, 2009 and commenced a two-year amortization period during which all principal proceeds from the collateral were used to repay outstanding borrowings. A significant percentage of our total assets had been pledged under the Revolving Facility to secure our obligations thereunder. Under the Revolving Facility, funds were borrowed from or through certain lenders and interest was payable monthly at the greater of the commercial paper rate and our lender’s prime rate plus 4.00% plus a default rate of 2.00% or, if the commercial paper market was unavailable, the greater of the prevailing LIBOR rates and our lender’s prime rate plus 6.00% plus a default rate of 3.00%. On July 30, 2010, we used the net proceeds from (i) the stock purchase transaction and (ii) a portion of the funds available to us under the $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC (the “Credit Facility”), in each case, to pay the full amount of principal and accrued interest, including default interest, outstanding under the Revolving Facility. As a result, the Revolving Facility was terminated in connection therewith. Substantially all of our total assets, other than those held by SBIC LP, have been pledged under the Credit Facility to secure our obligations thereunder. On February 24, 2012, we amended the Credit Facility to, among other things: ● expand the borrowing capacity under the Credit Facility from $40.0 million to $45.0 million; ● extend the period during which we may make and repay borrowings under the Credit Facility from July 30, 2013 to February 24, 2015 (the “Revolving Period”). The Revolving Period may, upon the occurrence of an event of default, by action of the lenders or automatically, be terminated. All borrowings and other amounts payable under the Credit Facility are due and payable five years after the end of the Revolving Period; and 50 ● remove the condition that we may not acquire additional loan assets without the prior written consent of Madison Capital Funding LLC. On September 17, 2014, we entered into a second amendment to the Credit Facility to, among other things: ● extend the commitment termination date from February 24, 2015 to September 17, 2017; ● extend the maturity date of the Credit Facility from February 24, 2020 to September 17, 2022 (unless terminated sooner upon certain events); ● reduce the applicable margin rate on base rate borrowings from 4.50% to 3.75%, and on LIBOR borrowings from 5.50% to 4.75%; and ● reduce the floor on base rate borrowings from 3.00% to 2.25%, and on LIBOR borrowings from 2.00% to 1.25%. On May 18, 2017, we entered into a third amendment to the Credit Facility to, among other things: ● extend the commitment termination date from September 17, 2017 to September 17, 2020; ● extend the final maturity date of the Credit Facility from September 17, 2022 to September 17, 2025 (unless terminated sooner upon certain events); ● reduce the floor on base rate borrowings from 2.25% to 2.00%; ● reduce the floor on LIBOR borrowings from 1.25% to 1.00%; and ● reduce the commitment fee rate from 0.75% to 0.50% for any period during which the ratio of advances outstanding to aggregate commitments, expressed as a percentage, is greater than or equal to 50%. On April 24, 2020, we entered into a fourth amendment to the Credit Facility to, among other things: ● permit certain amendments related to the Paycheck Protection Program (“Permitted PPP Amendment”) to Loan Asset Documents; ● exclude certain debt and interest amounts allowed by the Permitted PPP Amendments from certain calculations related to Net Leverage Ratio, Interest Coverage Ratio and EBITDA; and ● exclude such Permitted PPP Amendments from constituting a Material Modification. On September 14, 2020, we entered into a fifth amendment to the Credit Facility to, among other things: ● extend the commitment termination date of the Credit Facility from September 17, 2020 to September 17, 2021, with no change to the maturity date of September 17, 2025. ● provide for the transition away from the LIBOR Rate in the market, and ● expand the definition of Eligible Loan Asset to allow investments with certain recurring revenue features to qualify as Collateral and be included in the borrowing base. In addition to any fees or other amounts payable under the terms of the Credit Facility, an administrative agent fee per annum equal to $0.1 million is payable in equal monthly installments in arrears. As of November 30, 2020 and February 29, 2020, there were no outstanding borrowings under the Credit Facility. During the applicable periods, the Company was in compliance with all of the limitations and requirements of the Credit Facility. Financing costs of $3.3 million related to the Credit Facility have been capitalized and are being amortized over the term of the facility. For the three months ended November 30, 2020 and November 30, 2019, we recorded $0.1 million and $0.1 million of interest expense related to the Credit Facility, respectively, which includes commitment and administrative agent fees. For the three months ended November 30, 2020 and November 30, 2019, we recorded $0.03 million and $0.02 million of amortization of deferred financing costs related to the Credit Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2019, the weighted average interest rate on the outstanding borrowings under the Credit Facility was 6.72%, and the average dollar amount of outstanding borrowings under the Credit Facility was $2.1 million. 51 For the nine months ended November 30, 2020 and November 30, 2019, we recorded $0.3 million and $0.4 million of interest expense related to the Credit Facility, respectively, which includes commitment and administrative agent fees. For the nine months ended November 30, 2020 and November 30, 2019, we recorded $0.08 million and $0.07 million of amortization of deferred financing costs related to the Credit Facility, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2019, the weighted average interest rate on the outstanding borrowings under the Credit Facility was 6.67%, and the average dollar amount of outstanding borrowings under the Credit Facility was $0.8 million. The Credit Facility contains limitations as to how borrowed funds may be used, such as restrictions on industry concentrations, asset size, weighted average life, currency denomination and collateral interests. The Credit Facility also includes certain requirements relating to portfolio performance, the violation of which could result in the limit of further advances and, in some cases, result in an event of default, allowing the lenders to accelerate repayment of amounts owed thereunder. The Credit Facility has an eight-year term, consisting of a three-year period (the “Revolving Period”), under which the Company may make and repay borrowings, and a final maturity five years from the end of the Revolving Period. Availability on the Credit Facility will be subject to a borrowing base calculation, based on, among other things, applicable advance rates (which vary from 50.0% to 75.0% of par or fair value depending on the type of loan asset) and the value of certain “eligible” loan assets included as part of the Borrowing Base. Funds may be borrowed at the greater of the prevailing one-month LIBOR rate and 1.00%, plus an applicable margin of 4.75%. At the Company’s option, funds may be borrowed based on an alternative base rate, which in no event will be less than 2.00%, and the applicable margin over such alternative base rate is 3.75%. In addition, the Company will pay the lenders a commitment fee of 0.75% per year (or 0.50% if the ratio of advances outstanding to aggregate commitments is greater than or equal to 50%) on the unused amount of the Credit Facility for the duration of the Revolving Period. Our borrowing base under the Credit Facility was $46.4 million subject to the Credit Facility cap of $45.0 million at November 30, 2020. For purposes of determining the borrowing base, most assets are assigned the values set forth in our most recent Annual Report on Form 10-K or Quarterly Report on Form 10-Q filed with the U.S. Securities and Exchange Commission (“SEC”). Accordingly, the November 30, 2020 borrowing base relies upon the valuations set forth in the Quarterly Report on Form 10-Q for the period ended August 31, 2020. The valuations presented in this Quarterly Report on Form 10-Q will not be incorporated into the borrowing base until after this Quarterly Report on Form 10-Q is filed with the SEC. SBA Debentures Our wholly-owned SBIC subsidiaries are able to borrow funds from the SBA against regulatory capital (which approximates equity capital) that is paid in and is subject to customary regulatory requirements including but not limited to an examination by the SBA. On August 14, 2019, the Company’s wholly-owned subsidiary, SBIC II LP, received an SBIC license from the SBA. The new license provides up to $175.0 million in additional long-term capital in the form of SBA debentures. As a result of the 2016 omnibus spending bill signed into law in December 2015, the maximum amount of SBA-guaranteed debentures that affiliated SBIC funds can have outstanding was increased from $225.0 million to $350.0 million. With this license approval, Saratoga can grow its SBA relationship from $150.0 million to $325.0 million of committed capital. As of November 30, 2020, we have funded SBIC LP and SBIC II LP with an aggregate total of equity capital of $75.0 million and $69.0 million, respectively, and have $176.0 million in SBA-guaranteed debentures outstanding, of which $150.0 million is held in SBIC LP and $26.0 million held in SBIC II LP. SBA debentures are non-recourse to us, have a 10-year maturity, and may be prepaid at any time without penalty. The interest rate of SBA debentures is fixed at the time of issuance, often referred to as pooling, at a market-driven spread over 10-year U.S. Treasury Notes. SBA current regulations limit the amount that SBIC LP and SBIC II LP may borrow to a maximum of $150.0 million and $175.0 million, respectively, which is up to twice its potential regulatory capital. SBICs are designed to stimulate the flow of private equity capital to eligible small businesses. Under SBA regulations, SBICs may make loans to eligible small businesses and invest in the equity securities of small businesses. Under present SBA regulations, eligible small businesses include businesses that have a tangible net worth not exceeding $19.5 million and have average annual fully taxed net income not exceeding $6.5 million for the two most recent fiscal years. In addition, an SBIC must devote 25.0% of its investment activity to “smaller” concerns as defined by the SBA. A smaller concern is one that has a tangible net worth not exceeding $6.0 million and has average annual fully taxed net income not exceeding $2.0 million for the two most recent fiscal years. SBA regulations also provide alternative size standard criteria to determine eligibility, which depend on the industry in which the business is engaged and are based on such factors as the number of employees and gross sales. According to SBA regulations, SBICs may make long-term loans to small businesses, invest in the equity securities of such businesses and provide them with consulting and advisory services. SBIC LP and SBIC II LP are subject to regulation and oversight by the SBA, including requirements with respect to maintaining certain minimum financial ratios and other covenants. Receipt of an SBIC license does not assure that SBIC II LP will receive SBA-guaranteed debenture funding, which is dependent upon SBIC II LP continuing to be in compliance with SBA regulations and policies. The SBA, as a creditor, will have a superior claim to SBIC LP and SBIC II LP assets over our stockholders and debtholders in the event we liquidate SBIC LP and SBIC II LP or the SBA exercises its remedies under the SBA-guaranteed debentures issued by SBIC LP and SBIC II LP upon an event of default. 52 The Company received exemptive relief from the SEC to permit it to exclude the debt of SBIC subsidiaries guaranteed by the SBA from the definition of senior securities in the asset coverage test under the 1940 Act. This allows the Company increased flexibility under the asset coverage test by permitting it to borrow up to $325.0 million more than it would otherwise be able to absent the receipt of this exemptive relief. On April 16, 2018, as permitted by the Small Business Credit Availability Act, which was signed into law on March 23, 2018, the non-interested board of directors of the Company approved of the Company becoming subject to a minimum asset coverage ratio of 150.0% from 200% under Sections 18(a)(1) and 18(a)(2) of the Investment Company Act, as amended. The 150.0% asset coverage ratio became effective on April 16, 2019. As noted above, as of November 30, 2020, there was $176.0 million of SBA debentures outstanding and as of February 29, 2020, there was $150.0 million of SBA debentures outstanding. The carrying amount of the amount outstanding of SBA debentures approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy. Financing costs of $5.0 million and $1.3 million related to the SBA debentures issued by SBIC LP and SBIC II LP, respectively, have been capitalized and are being amortized over the term of the commitment and drawdown. For the three months ended November 30, 2020 and November 30, 2019, we recorded $1.3 million and $1.2 million of interest expense related to the SBA debentures, respectively. For the three months ended November 30, 2020 and November 30, 2019, we recorded $0.2 million and $0.1 million of amortization of deferred financing costs related to the SBA debentures, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. The weighted average interest rate during the three months ended November 30, 2020 and November 30, 2019 on the outstanding borrowings of the SBA debentures was 2.97% and 3.21%, respectively. During the three months ended November 30, 2020 and November 30, 2019, the average dollar amount of SBA debentures outstanding was $170.3 million and $150.0 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, we recorded $3.8 million and $3.6 million of interest expense related to the SBA debentures, respectively. For the nine months ended November 30, 2020 and November 30, 2019, we recorded $0.5 million and $0.4 million of amortization of deferred financing costs related to the SBA debentures, respectively. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. The weighted average interest rate during the nine months ended November 30, 2020 and November 30, 2019 on the outstanding borrowings of the SBA debentures was 4.57% and 3.24%, respectively. During the nine months ended November 30, 2020 and November 30, 2019, the average dollar amount of SBA debentures outstanding was $165.9 million and $150.0 million, respectively. In December 2015, the 2016 omnibus spending bill approved by Congress and signed into law by the President increased the amount of SBA-guaranteed debentures that affiliated SBIC funds can have outstanding from $225.0 million to $350.0 million, subject to SBA approval. SBA regulations previously limited the amount of SBA-guaranteed debentures that an SBIC may issue to $150.0 million when it has at least $75.0 million in regulatory capital but this has increased to $175.0 million for new licenses when it has at least $87.5 million in regulatory capital. Affiliated SBICs are permitted to issue up to a combined maximum amount of $350.0 million in SBA-guaranteed debentures when they have at least $175.0 million in combined regulatory capital. Notes In May 2013, the Company issued $48.3 million in aggregate principal amount of 7.50% fixed-rate notes due 2020 (the “2020 Notes”). The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the NYSE. On May 29, 2015, the Company entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. through which the Company may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an At-the-Market (“ATM”) offering. Prior to the 2020 Notes being redeemed in full, the Company had sold 539,725 bonds with a principal of $13.5 million at an average price of $25.31 for aggregate net proceeds of $13.4 million (net of transaction costs). On December 21, 2016, the Company issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate notes due 2023 (the “2023 Notes”) for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The net proceeds from the offering were used to repay all of the outstanding indebtedness under the 2020 Notes, which amounted to $61.8 million, and for general corporate purposes in accordance with our investment objective and strategies. On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.5 million, respectively, in aggregate principal amount of the $74.5 million in aggregate principal amount of issued and outstanding 2023 Notes. The 2023 Notes were listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per share, and have been delisted following the redemption. On August 28, 2018, the Company issued $40.0 million in aggregate principal amount of our 6.25% fixed-rate notes due 2025 (the “6.25% 2025 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.3 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $5.0 million aggregate principal amount of 6.25% 2025 Notes within 30 days. Interest on the 6.25% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning November 30, 2018. The 6.25% 2025 Notes mature on August 31, 2025 and commencing August 28, 2021, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 6.25% 2025 Notes have been capitalized and are being amortized over the term of the 6.25% 2025 Notes. 53 On February 5, 2019, the Company completed a re-opening and up-sizing of its existing 6.25% 2025 Notes by issuing an additional $20.0 million in aggregate principal amount for net proceeds of $19.2 million after deducting underwriting commissions of approximately $0.6 million and discount of $0.2 million. Offering costs incurred were approximately $0.2 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $2.5 million aggregate principal amount of 6.25% 2025 Notes within 30 days. Interest rate, interest payment dates and maturity remain unchanged from the existing 6.25% 2025 Notes issued in August 2018. The net proceeds from this offering were used for general corporate purposes in accordance with our investment objective and strategies. The financing costs and discount of $1.0 million related to the 6.25% 2025 Notes have been capitalized and are being amortized over the term of the 6.25% 2025 Notes. As of November 30, 2020, the total 6.25% 2025 Notes outstanding was $60.0 million. The 6.25% 2025 Notes are listed on the NYSE under the trading symbol “SAF” with a par value of $25.00 per share. As of November 30, 2020, the carrying amount and fair value of the 6.25% 2025 Notes was $60.0 million and $62.0 million, respectively. The fair value of the 6.25% 2025 Notes, which are publicly traded, is based upon closing market quotes as of the measurement date and would be classified as a Level 1 liability within the fair value hierarchy. As of February 29, 2020, the carrying amount and fair value of the 6.25% 2025 Notes was $60.0 million and $60.6 million, respectively. For the three months ended November 30, 2020 and November 30, 2019, we recorded $0.9 million and $0.9 million, respectively, of interest expense and $0.1 million and $0.1 million, respectively, of amortization of deferred financing costs related to the 6.25% 2025 Notes . Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three months ended November 30, 2020 and November 30, 2019, the average dollar amount of 6.25% 2025 Notes outstanding was $60.0 million and $60.0 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, we recorded $2.8 million and $2.8 million, respectively, of interest expense and $0.3 million and $0.3 million, respectively, of amortization of deferred financing costs related to the 6.25% 2025 Notes . Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the nine months ended November 30, 2020 and November 30, 2019, the average dollar amount of 6.25% 2025 Notes outstanding was $60.0 million and $60.0 million, respectively. As discussed above, during the fourth quarter of 2020 fiscal year, the Company redeemed $74.45 million in aggregate principal amount of issued outstanding 2023 Notes. For the three and nine months ended November 30, 2019, we recorded $1.3 million and $3.8 million, respectively, of interest expense and $0.1 million and $0.3 million, respectively, of amortization of deferred financing costs related to the 2023 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of options. During the three and nine months ended November 30, 2019 the average dollar amount of 2023 Notes outstanding was $74.5 million and $74.5 million respectively. On June 24, 2020, the Company issued $37.5 million in aggregate principal amount of our 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% 2025 Notes. Net proceeds to the Company were $5.4 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 7.25% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.25% per year, beginning August 31, 2020. The 7.25% 2025 Notes mature on June 30, 2025 and commencing June 24, 2022, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and are being amortized over the term of the 7.25% 2025 Notes. As of November 30, 2020, the total 7.25% Notes 2025 outstanding was $43.1 million . The 7.25% 2025 Notes are listed on the NYSE under the trading symbol “SAK” with a par value of $25.00 per share. As of November 30, 2020, the carrying amount and fair value of the 7.25% 2025 Notes was $43.1 million and $45.0 million, respectively. The fair value of the 7.25% 2025 Notes, which are publicly traded, is based upon closing market quotes as of the measurement date and would be classified as a Level 1 liability within the fair value hierarchy. As of February 29, 2020, the carrying amount and fair value of the 7.25% 2025 Notes was $0.0 million and $0.0 million, respectively. 54 For the three and nine months ended November 30, 2020, we recorded $0.8 million and $1.4 million, respectively, of interest expense and $0.08 million and $0.1 million, respectively, of amortization of deferred financing costs related to the 7.25% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations options. During the three and nine months ended November 30, 2020 the average dollar amount of 7.25% 2025 Notes outstanding was $43.1 million and $43.1 million respectively. On July 9, 2020, the Company issued $5.0 million aggregate principal amount of our 7.75% fixed-rate Notes due in 2025 (the “7.75% Notes 2025”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% Notes 2025 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year, beginning August 31, 2020. The 7.75% Notes 2025 mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% Notes 2025 have been capitalized and are being amortized over the term of the Notes. As of November 30, 2020, the total 7.75% Notes 2025 outstanding was $5.0 million The 7.75% 2025 Notes are not listed and have a par value of $25.00 per share. As of November 30, 2020, there was $5.0 million of 7.75% 2025 Notes outstanding and as of February 29, 2020, there was $0.0 million outstanding. The carrying amount of the amount outstanding of 7.75% 2025 Notes approximates its fair value, which is based on a waterfall analysis showing adequate collateral coverage and would be classified as a Level 3 liability within the fair value hierarchy. For the three and nine months ended November 30, 2020, we recorded $0.1 million and $0.2 million, respectively, of interest expense and $0.0 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 7.75% 2025 Notes. Interest expense and amortization of deferred financing costs are reported as interest and debt financing expense on the consolidated statements of operations. During the three and nine months ended November 30, 2020 the average dollar amount of 7.75% 2025 Notes outstanding was $5.0 million and $5.0 million respectively. Senior Securities Information about our senior securities is shown in the following table as of November 30, 2020 for the fiscal year periods indicated in the table, unless otherwise noted. 55 SENIOR SECURITIES (dollar amounts in thousands, except per share data) Class and Year (1)(2) Total Amount Outstanding Exclusive of Treasury Securities(3) Asset Coverage per Unit(4) Involuntary Liquidating Preference per Share(5) Average Market Value per Share(6) (in thousands) Credit Facility with Madison Capital Funding Fiscal year 2021 (as of November 30, 2020) $ - $ 3,773 - N/A Fiscal year 2020 (as of February 29, 2020) $ - $ 6,071 - N/A Fiscal year 2019 (as of February 28, 2019) $ - $ 2,345 - N/A Fiscal year 2018 (as of February 28, 2018) $ - $ 2,930 - N/A Fiscal year 2017 (as of February 28, 2017) $ - $ 2,710 - N/A Fiscal year 2016 (as of February 29, 2016) $ - $ 3,025 - N/A Fiscal year 2015 (as of February 28, 2015) $ 9,600 $ 3,117 - N/A Fiscal year 2014 (as of February 28, 2014) $ - $ 3,348 - N/A Fiscal year 2013 (as of February 28, 2013) $ 24,300 $ 5,421 - N/A Fiscal year 2012 (as of February 29, 2012) $ 20,000 $ 5,834 - N/A Fiscal year 2011 (as of February 28, 2011) $ 4,500 $ 20,077 - N/A Fiscal year 2010 (as of February 28, 2010) $ - $ - - N/A Fiscal year 2009 (as of February 28, 2009) $ - $ - - N/A Fiscal year 2008 (as of February 29, 2008) $ - $ - - N/A Fiscal year 2007 (as of February 28, 2007) $ - $ - - N/A 7.50% Notes due 2020(7) Fiscal year 2017 (as of February 28, 2017) $ - $ - - N/A Fiscal year 2016 (as of February 29, 2016) $ 61,793 $ 3,025 - $ 25.24 (8) Fiscal year 2015 (as of February 28, 2015) $ 48,300 $ 3,117 - $ 25.46 (8) Fiscal year 2014 (as of February 28, 2014) $ 48,300 $ 3,348 - $ 25.18 (8) Fiscal year 2013 (as of February 28, 2013) $ - $ - - N/A Fiscal year 2012 (as of February 29, 2012) $ - $ - - N/A Fiscal year 2011 (as of February 28, 2011) $ - $ - - N/A Fiscal year 2010 (as of February 28, 2010) $ - $ - - N/A Fiscal year 2009 (as of February 28, 2009) $ - $ - - N/A Fiscal year 2008 (as of February 29, 2008) $ - $ - - N/A Fiscal year 2007 (as of February 28, 2007) $ - $ - - N/A 6.75% Notes due 2023(9) Fiscal year 2020 (as of February 29, 2020) $ - $ - - N/A Fiscal year 2019 (as of February 28, 2019) $ 74,451 $ 2,345 - $ 25.74 (10) Fiscal year 2018 (as of February 28, 2018) $ 74,451 $ 2,930 - $ 26.05 (10) Fiscal year 2017 (as of February 28, 2017) $ 74,451 $ 2,710 - $ 25.89 (10) 6.25% Notes due 2025 Fiscal year 2021 (as of November 30, 2020) $ 60,000 $ 3,773 - $ 23.87 (11) Fiscal year 2020 (as of February 29, 2020) $ 60,000 $ 6,071 - $ 25.75 (11) Fiscal year 2019 (as of February 28, 2019) $ 60,000 $ 2,345 - $ 24.97 (11) 7.25% Notes due 2025 Fiscal year 2021 (as of November 30, 2020) $ 43,125 $ 3,773 - $ 25.53 (11) 7.75% Notes due 2025 Fiscal year 2021 (as of November 30, 2020) $ 5,000 $ 3,773 - $ 25.00 (12) (1) We have excluded our SBA-guaranteed debentures from this table because the SEC has granted us exemptive relief that permits us to exclude such debentures from the definition of senior securities in the 150% asset coverage ratio we are required to maintain under the 1940 Act. (2) This table does not include the senior securities of our predecessor entity, GSC Investment Corp., relating to a revolving securitized credit facility with Deutsche Bank, in light of the fact that the Company was under different management during the time that such credit facility was outstanding. (3) Total amount of senior securities outstanding at the end of the period presented. (4) Asset coverage per unit is the ratio of our total assets, less all liabilities and indebtedness not represented by senior securities, to the aggregate amount of senior securities representing indebtedness. Asset coverage per unit is expressed in terms of dollar amounts per $1,000 of indebtedness, calculated on a total basis. (5) The amount to which such class of senior security would be entitled upon the involuntary liquidation of the issuer in preference to any security junior to it. The “—” indicates information which the Securities and Exchange Commission expressly does not require to be disclosed for certain types of senior securities. (6) Not applicable for credit facility because not registered for public trading. (7) On January 13, 2017, the Company redeemed in full its 2020 Notes. The Company used a portion of the net proceeds from the 2023 Notes offering, which was completed in December 2016, to redeem the 2020 Notes in full. (8) Based on the average daily trading price of the 2020 Notes on the NYSE. 56 (9) On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.45 million, respectively, in aggregate principal amount of the $74.45 million in aggregate principal amount of issued and outstanding 2023 Notes. (10) Based on the average daily trading price of the 2023 Notes on the NYSE. (11) Based on the average daily trading price of the 2025 Notes on the NYSE. (12) The carrying value of this unlisted security approximates its fair value, based on a waterfall analysis showing adequate collateral coverage. Note 8. Commitments and Contingencies Contractual Obligations The following table shows our payment obligations for repayment of debt and other contractual obligations at November 30, 2020: Payment Due by Period Long-Term Debt Obligations Total Less Than 1 Year 1 - 3 Years 3 - 5 Years More Than 5 Years ($ in thousands) Revolving credit facility $ - $ - $ - $ - $ - SBA debentures 176,000 - 40,000 39,000 97,000 6.25% 2025 Notes 60,000 - - 60,000 - 7.25% 2025 Notes 43,125 - - 43,125 - 7.75% 2025 Notes 5,000 - 5,000 - Total Long-Term Debt Obligations $ 284,125 $ - $ 40,000 $ 147,125 $ 97,000 Off-Balance Sheet Arrangements As of November 30, 2020 and February 29, 2020, the Company’s off-balance sheet arrangements consisted of $49.8 million and $64.1 million, respectively, of unfunded commitments outstanding to provide debt financing to its portfolio companies or to fund limited partnership interests. Such commitments are generally up to the Company’s discretion to approve, or the satisfaction of certain financial and nonfinancial covenants and involve, to varying degrees, elements of credit risk in excess of the amount recognized in the Company’s consolidated statements of assets and liabilities and are not reflected in the Company’s consolidated statements of assets and liabilities. A summary of the unfunded commitments outstanding as of November 30, 2020 and February 29, 2020 is shown in the table below (dollars in thousands): November 30, 2020 February 29, 2020 At Company’s discretion CLEO Communications Holding, LLC $ 630 $ - inMotionNow, Inc. - 3,000 Omatic Software, LLC - 1,000 Passageways, Inc. 5,000 5,000 PDDS Buyer, LLC - 5,000 Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. - 17,500 Top Gun Pressure Washing, LLC 3,175 5,000 Village Realty Holdings LLC 10,000 10,000 18,805 46,500 At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required ArbiterSports, LLC - 1,000 Axiom Purchaser, Inc. - 1,000 CoConstruct, LLC 6,500 3,500 Davisware, LLC 1,022 2,000 GoReact 2,000 2,000 Granite Comfort, LP 8,000 - HemaTerra Holding Company, LLC 2,000 4,000 New England Dental Partners 7,445 - Passageways, Inc. 3,000 3,000 Procurement Partners, LLC 1,000 - Village Realty Holdings LLC - 1,124 30,967 17,624 Total $ 49,772 $ 64,124 57 Note 9. Directors Fees The independent directors receive an annual fee of $70,000. They also receive $3,000 plus reimbursement of reasonable out-of- pocket expenses incurred in connection with attending each board meeting and receive $1,500 plus reimbursement of reasonable out-of- pocket expenses incurred in connection with attending each committee meeting. In addition, the chairman of the Audit Committee receives an annual fee of $12,500 and the chairman of each other committee receives an annual fee of $6,000 for their additional services in these capacities. In addition, we have purchased directors’ and officers’ liability insurance on behalf of our directors and officers. Independent directors have the option to receive their directors’ fees in the form of our common stock issued at a price per share equal to the greater of net asset value or the market price at the time of payment. No compensation is paid to directors who are “interested persons” of the Company (as such term is defined in the 1940 Act). For the three months ended November 30, 2020 and November 30, 2019, we incurred $0.06 million and $0.06 million for directors’ fees and expenses, respectively. For the nine months ended November 30, 2020 and November 30, 2019, we incurred $0.2 million and $0.2 million for directors’ fees and expenses, respectively. As of November 30, 2020 and February 29, 2020, $0.04 million and $0.06 million in directors’ fees and expenses were accrued and unpaid, respectively. As of November 30, 2020, we had not issued any common stock to our directors as compensation for their services. Note 10. Stockholders’ Equity On May 16, 2006, GSC Group, Inc. capitalized the LLC, by contributing $1,000 in exchange for 67 shares, constituting all of the issued and outstanding shares of the LLC. On March 20, 2007, the Company issued 95,995.5 and 8,136.2 shares of common stock, priced at $150.00 per share, to GSC Group and certain individual employees of GSC Group, respectively, in exchange for the general partnership interest and a limited partnership interest in GSC Partners CDO III GP, LP, collectively valued at $15.6 million. At this time, the 6.7 shares owned by GSC Group in the LLC were exchanged for 6.7 shares of the Company. On March 28, 2007, the Company completed its IPO of 725,000 shares of common stock, priced at $150.00 per share, before underwriting discounts and commissions. Total proceeds received from the IPO, net of $7.1 million in underwriter’s discount and commissions, and $1.0 million in offering costs, were $100.7 million. On July 30, 2010, our Manager and its affiliates purchased 986,842 shares of common stock at $15.20 per share. Total proceeds received from this sale were $15.0 million. On August 12, 2010, we effected a one-for-ten reverse stock split of our outstanding common stock. As a result of the reverse stock split, every ten shares of our common stock were converted into one share of our common stock. Any fractional shares received as a result of the reverse stock split were redeemed for cash. The total cash payment in lieu of shares was $230. Immediately after the reverse stock split, we had 2,680,842 shares of our common stock outstanding. On September 24, 2014, the Company announced the approval of an open market share repurchase plan that allowed it to repurchase up to 200,000 shares of its common stock at prices below its NAV as reported in its then most recently published consolidated financial statements (the “Share Repurchase Plan”). On October 7, 2015, our board of directors extended the Share Repurchase Plan for another year and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 400,000 shares of its common stock. On October 5, 2016, our board of directors extended the Share Repurchase Plan for another year to October 15, 2017 and increased the number of shares the Company is permitted to repurchase at prices below its NAV, as reported in its then most recently published consolidated financial statements, to 600,000 shares of its common stock. On October 10, 2017, January 8, 2019 and January 7, 2020, our board of directors extended the Share Repurchase Plan for another year to October 15, 2018, January 15, 2020 and January 15, 2021, respectively, each time leaving the number of shares unchanged at 600,000 shares of its common stock. On May 4, 2020, our board of directors increased the Share Repurchase Plan to 1.3 million shares of common stock. On January 5, 2021, our board of directors extended the Share Repurchase Plan for another year to January 15, 2022, leaving the number of shares unchanged at 1.3 million shares of common stock. As of November 30, 2020, the Company purchased 358,812 shares of common stock, at the average price of $17.14 for approximately $6.2 million pursuant to the Share Repurchase Plan. During the three months ended November 30, 2020, the Company purchased 50,000 shares of common stock, at the average price of $18.28 for approximately $0.9 million pursuant to the Share Repurchase Plan. During the nine months ended November 30, 2020, the Company purchased 140,321 shares of common stock, at the average price of $17.56 for approximately $2.5 million pursuant to the Share Repurchase Plan. On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. Subsequent to this, BB&T Capital Markets and B. Riley FBR, Inc. were also added to the agreement. On July 11, 2019, the amount of the common stock to be offered was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. As of November 30, 2020, the Company sold 3,992,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs). During the nine months ended November 30, 2020, there was no activity related to the ATM offering. On July 13, 2018, the Company issued 1,150,000 shares of its common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. The Company also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of its common stock, which was not exercised. 58 The Company adopted Rule 3-04/Rule 8-03(a)(5) under Regulation S-X (Note 2). Pursuant to the regulation, the Company has presented a reconciliation of the changes in each significant caption of stockholders’ equity as shown in the tables below: Capital Total Common Stock in Excess Distributable Shares Amount of Par Value Earnings (Loss) Net Assets Balance at February 28, 2019 7,657,156 $ 7,657 $ 203,552,800 $ (22,685,270 ) $ 180,875,187 Increase (Decrease) from Operations: Net investment income - - - 3,680,788 3,680,788 Net realized gain (loss) from investments - - - - - Net change in unrealized appreciation (depreciation) on investments - - - 3,989,130 3,989,130 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (20,930 ) (20,930 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (4,176,132 ) (4,176,132 ) Capital Share Transactions: Proceeds from issuance of common stock 76,448 77 1,772,557 - 1,772,634 Stock dividend distribution 31,240 31 667,358 - 667,389 Repurchases of common stock - - - - - Offering costs - - (4,365 ) - (4,365 ) Balance at May 31, 2019 7,764,844 $ 7,765 $ 205,988,350 $ (19,212,414 ) $ 186,783,701 Increase (Decrease) from Operations: Net investment income - - - 4,956,074 4,956,074 Net realized gain (loss) from investments - - - 1,870,089 1,870,089 Net change in unrealized appreciation (depreciation) on investments - - - 1,457,872 1,457,872 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (704,263 ) (704,263 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (4,336,226 ) (4,336,226 ) Capital Share Transactions: Proceeds from issuance of common stock 1,371,667 1,371 34,101,012 - 34,102,383 Stock dividend distribution 31,545 32 714,497 - 714,529 Repurchases of common stock - - - - - Offering costs - - (507,592 ) - (507,592 ) Balance at August 31, 2019 9,168,056 $ 9,168 $ 240,296,267 $ (15,968,868 ) $ 224,336,567 Increase (Decrease) from Operations: Net investment income - - - 4,575,303 4,575,303 Net realized gain (loss) from investments - - - 10,739,678 10,739,678 Net change in unrealized appreciation (depreciation) on investments - - - (536,151 ) (536,151 ) Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (1,061,608 ) (1,061,608 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (5,323,383 ) (5,323,383 ) Capital Share Transactions: Proceeds from issuance of common stock 1,952,367 1,951 49,351,357 - 49,353,308 Stock dividend distribution 34,575 36 806,857 - 806,893 Repurchases of common stock - - - - - Offering costs - - (710,257 ) - (710,257 ) Balance at November 30, 2019 11,154,998 $ 11,155 $ 289,744,224 $ (7,575,029 ) $ 282,180,350 Increase (Decrease) from Operations: Net investment income - - - 66,106 66,106 Net realized gain (loss) from investments - - - 30,267,388 30,267,388 Net change in unrealized appreciation (depreciation) on investments - - - (5,681,765 ) (5,681,765 ) Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - 2,141,150 2,141,150 Decrease from Shareholder Distributions: Distributions of investment income – net - - - (6,261,839 ) (6,261,839 ) Capital Share Transactions: Proceeds from issuance of common stock 26,865 27 676,089 - 676,116 Stock dividend distribution 35,682 36 907,645 - 907,681 Repurchases of common stock - - - - - Offering costs - - (8,334 ) - (8,334 ) Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles - - (1,842,633 ) 1,842,633 - Balance at February 29, 2020 11,217,545 $ 11,218 $ 289,476,991 $ 14,798,644 $ 304,286,853 59 Capital Total Common Stock in Excess Distributable Shares Amount of Par Value Earnings (Loss) Net Assets Increase (Decrease) from Operations: Net investment income - - - 9,018,314 9,018,314 Net realized gain (loss) from investments - - - 8,480 8,480 Net change in unrealized appreciation (depreciation) on investments - - - (31,950,369 ) (31,950,369 ) Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - 267,740 267,740 Decrease from Shareholder Distributions: Distributions of investment income – net - - - - - Capital Share Transactions: Proceeds from issuance of common stock - - - - - Stock dividend distribution - - - - - Repurchases of common stock - - - - - Offering costs - - - - - Balance at May 31, 2020 11,217,545 $ 11,218 $ 289,476,991 $ (7,857,191 ) $ 281,631,018 Increase (Decrease) from Operations: Net investment income - - - 5,334,713 5,334,713 Net realized gain (loss) from investments - - - 11,929 11,929 Net change in unrealized appreciation (depreciation) on investments - - - 16,580,401 16,580,401 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (116,521 ) (116,521 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (4,487,015 ) (4,487,015 ) Capital Share Transactions: Proceeds from issuance of common stock - - - - - Stock dividend distribution 47,098 46 774,944 - 774,990 Repurchases of common stock (90,321 ) (90 ) (1,550,327 ) - (1,550,417 ) Repurchase fees - - (1,740 ) - (1,740 ) Offering costs - - - - - Balance at August 31, 2020 11,174,322 $ 11,174 $ 288,699,868 $ 9,466,316 $ 298,177,358 Increase (Decrease) from Operations: Net investment income - - - 4,471,102 4,471,102 Net realized gain (loss) from investments - - - 1,798 1,798 Income tax (provision) benefit from realized gain on investments (3,895,354 ) (3,895,354 ) Net change in unrealized appreciation (depreciation) on investments - - - 5,998,830 5,998,830 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (210,057 ) (210,057 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (4,581,469 ) (4,581,469 ) Capital Share Transactions: Proceeds from issuance of common stock - - - - - Stock dividend distribution 45,706 46 805,883 - 805,929 Repurchases of common stock (50,000 ) (50 ) (914,194 ) - (914,244 ) Repurchase fees - - (1,003 ) - (1,003 ) Offering costs - - - - - Balance at November 30, 2020 11,170,028 $ 11,170 $ 288,590,554 $ 11,251,166 $ 299,852,890 60 Note 11. Earnings Per Share In accordance with the provisions of FASB ASC Topic 260, “ Earnings per Share ” (“ASC 260”), basic earnings per share is computed by dividing earnings available to common shareholders by the weighted average number of shares outstanding during the period. Other potentially dilutive common shares, and the related impact to earnings, are considered when calculating earnings per share on a diluted basis. The following information sets forth the computation of the weighted average basic and diluted net increase in net assets resulting from operations per share for the three and nine months ended November 30, 2020 and November 30, 2019 (dollars in thousands except share and per share amounts): For the three months ended For the nine months ended Basic and Diluted November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 Net increase (decrease) in net assets resulting from operations $ 6,366 $ 13,717 $ 5,521 $ 28,946 Weighted average common shares outstanding 11,169,817 10,036,086 11,198,287 8,702,190 Weighted average earnings (loss) per common share $ 0.57 $ 1.37 $ 0.49 $ 3.33 Note 12. Dividend On October 7, 2020, our board of directors declared a dividend of $0.41 per share, which was paid on November 10, 2020, to common stockholders of record as of October 26, 2020. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 45,706 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.63 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 28, 29, 30 and November 2, 3, 4, 5, 6, 9, and 10, 2020. On July 7, 2020, our board of directors declared a dividend of $0.40 per share, which was paid on August 12, 2020, to common stockholders of record as of July 27, 2020. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.7 million in cash and 47,098 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.45 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on July 30, 31 and August 3, 4, 5, 6, 7, 10, 11 and 12, 2020. During the three months ended May 31, 2020, there were no dividends declared. On February 26, 2019, our board of directors declared a dividend of $0.54 per share, which was paid on March 28, 2019, to common stockholders of record as of March 14, 2019. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.5 million in cash and 31,240 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.36 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 18, 19, 20, 21, 22, 25, 26, 27 and 28, 2019. The following table summarizes dividends declared for the nine months ended November 30, 2020 (dollars in thousands except per share amounts): Date Declared Record Date Payment Date Amount Per Share Total Amount* October 6, 2020 October 27, 2020 November 10, 2020 $ 0.41 $ 4,581 July 7, 2020 July 27, 2020 August 12, 2020 0.40 4,487 Total dividends declared $ 0.81 $ 9,068 * Total amount is calculated based on the number of shares outstanding at the date of record. The following table summarizes dividends declared for the nine months ended November 30, 2019 (dollars in thousands except per share amounts): Date Declared Record Date Payment Date Amount Per Share Total Amount* August 27, 2019 September 13, 2019 September 26, 2019 $ 0.56 $ 5,323 May 28, 2019 June 13, 2019 July 27, 2019 0.55 4,336 February 26, 2019 March 14, 2019 March 28, 2019 0.54 4,176 Total dividends declared $ 1.65 $ 13,835 * Total amount is calculated based on the number of shares outstanding at the date of record. 61 Note 13. Financial Highlights The following is a schedule of financial highlights as of and for the nine months ended November 30, 2020 and November 30, 2019: Per share data November 30, 2020 November 30, 2019 Net asset value at beginning of period $ 27.13 $ 23.62 Net investment income(1) 1.68 1.52 Net realized and unrealized gain and losses on investments(1) (1.19 ) 1.81 Net increase in net assets resulting from operations 0.49 3.33 Distributions declared from net investment income (0.81 ) (1.65 ) Total distributions to stockholders (0.81 ) (1.65 ) Issuance of common stock above net asset value (2) - - Repurchases of common stock(3) 0.11 - Dilution(4) (0.08 ) - Net asset value at end of period $ 26.84 $ 25.30 Net assets at end of period $ 299,852,890 $ 282,180,350 Shares outstanding at end of period 11,170,028 11,154,998 Per share market value at end of period $ 22.13 $ 25.10 Total return based on market value(5)(6) 1.24 % 17.15 % Total return based on net asset value(5)(7) 3.69 % 15.17 % Ratio/Supplemental data: Ratio of net investment income to average net assets(8) 8.66 % 9.15 % Expenses: Ratio of operating expenses to average net assets(9) 5.02 % 5.30 % Ratio of incentive management fees to average net assets(5) 0.66 % 3.34 % Ratio of interest and debt financing expenses to average net assets(9) 4.24 % 7.08 % Ratio of total expenses to average net assets(8) 9.92 % 15.72 % Portfolio turnover rate(5)(10) 10.07 % 21.77 % Asset coverage ratio per unit(11) 3,773 3,099 Average market value per unit Revolving Credit Facility(12) N/A N/A SBA Debentures Payable(12) N/A N/A 6.75% Notes Payable 2023(13) N/A $ 25.64 6.25% Notes Payable 2025 $ 23.87 $ 25.67 7.25% Notes Payable 2025(14) $ 25.53 N/A 7.75% Notes Payable 2025(12) N/A N/A (1) Per share amounts are calculated using the weighted average shares outstanding during the period. (2) The continuous issuance of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date multiplied by (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding during the period. (3) Represents the anti-dilutive impact on the net asset value per share ("NAV") of the Company due to the repurchase of common shares. See Note 10, Stockholders' Equity. (4) Represents the dilutive effect of issuing common stock below net asset value per share during the period in connection with the satisfaction of the Company's annual RIC distribution requirement and may include the impact of the different share amounts used for different items (weighted average basic common shares outstanding for the corresponding year and actual common shares outstanding at the end of the year) in the per common share data calculation and rounding impacts. See Note 12, Dividend. (5) Ratios are not annualized. (6) Total investment return is calculated assuming a purchase of common shares at the current market value on the first day and a sale at the current market value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Company’s DRIP. Total investment return does not reflect brokerage commissions. (7) Total investment return is calculated assuming a purchase of common shares at the current net asset value on the first day and a sale at the current net asset value on the last day of the periods reported. Dividends and distributions, if any, are assumed for purposes of this calculation to be reinvested at prices obtained under the Company’s DRIP. Total investment return does not reflect brokerage commissions. (8) Ratios are annualized. Incentive management fees included within the ratio are not annualized. (9) Ratios are annualized. (10) Portfolio turnover rate is calculated using the lesser of year-to-date sales or year-to-date purchases over the average of the invested assets at fair value. 62 (11) Asset coverage ratio per unit is the ratio of the carrying value of our total consolidated assets, less all liabilities and indebtedness not represented by senior securities, to the aggregate amount of senior securities representing indebtedness. Asset coverage ratio per unit is expressed in terms of dollar amounts per $1,000 of indebtedness. Asset coverage ratio per unit does not include unfunded commitments. The inclusion of unfunded commitments in the calculation of the asset coverage ratio per unit would not cause us to be below the required amount of regulatory coverage. (12) The Revolving Credit Facility, SBA Debentures and 7.75% Notes Payable 2025 are not registered for public trading. (13) On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.5 million, respectively, in aggregate principal amount of the $74.5 million in aggregate principal amount of issued and outstanding 2023 Notes and are no longer listed on the NYSE. (14) Period from close of business on June 30, 2020 through November 30, 2020. Note 14. Subsequent Events The Company has evaluated subsequent events through the filing of this Form 10-Q and determined that there have been no events that have occurred that would require adjustments to the Company’s consolidated financial statements and disclosures in the consolidated financial statements except for the following: On January 5, 2021, the Company declared a dividend of $0.42 per share payable on February 10, 2021, to common stockholders of record on January 26, 2021. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the Company’s DRIP. Subsequent to November 30, 2020, the global outbreak of the coronavirus (“COVID-19”) pandemic has adversely affected some of the Company’s investments and continues to have adverse consequences on the U.S. and global economies. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual portfolio companies, remains uncertain. At the time of this filing, there is no indication of a reportable subsequent event impacting the Company’s financial statements for the quarter ended November 30, 2020. The Company cannot predict the extent to which its financial condition and results of operations will be adversely affected at this time. The potential impact to our results will depend to a large extent on future developments and new information that may emerge regarding the duration and severity of COVID-19. The Company continues to observe and respond to the evolving COVID-19 environment and its potential impact on areas across its business. 63 ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS The following discussion should be read in conjunction with our consolidated financial statements and related notes and other financial information appearing elsewhere in this Quarterly Report on Form 10-Q. In addition to historical information, the following discussion and other parts of this Quarterly Report contain forward-looking information that involves risks and uncertainties. Our actual results could differ materially from those anticipated by such forward-looking information due to the factors discussed under “Note about Forward-Looking Statements” and Part I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the fiscal year ended February 29, 2020. The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. The forward-looking statements contained in this Quarterly Report on Form 10-Q involve risks and uncertainties, including statements as to: ● our future operating results and the impact of COVID-19 pandemic thereon; ● the introduction, withdrawal, success and timing of business initiatives and strategies; ● changes in political, economic or industry conditions, the interest rate environment or financial and capital markets, which could result in changes in the value of our assets; ● pandemics or other serious public health events, such as the recent global outbreak of COVID-19; ● the relative and absolute investment performance and operations of our Manager; ● the impact of increased competition; ● our ability to turn potential investment opportunities into transactions and thereafter into completed and successful investments; ● the unfavorable resolution of any future legal proceedings; ● our business prospects and the prospects of our portfolio companies, including our and their ability to achieve our respective objectives as a result of the current COVID-19 pandemic; ● the impact of investments that we expect to make and future acquisitions and divestitures; ● our contractual arrangements and relationships with third parties; ● the dependence of our future success on the general economy and its impact on the industries in which we invest and the impact of the COVID-19 pandemic thereon; ● the ability of our portfolio companies to achieve their objectives; ● our expected financings and investments; ● our regulatory structure and tax status, including our ability to operate as a business development company (“BDC”), or to operate our small business investment company (“SBIC”) subsidiaries, and to continue to qualify to be taxed as a regulated investment company (“RIC”); ● the adequacy of our cash resources and working capital; ● the timing of cash flows, if any, from the operations of our portfolio companies and the impact of the COVID-19 pandemic thereon; ● the impact of interest rate volatility on our results, particularly because we use leverage as part of our investment strategy; ● the impact of legislative and regulatory actions and reforms and regulatory, supervisory or enforcement actions of government agencies relating to us or our Manager; ● the impact of changes to tax legislation and, generally, our tax position; ● our ability to access capital and any future financings by us; ● the ability of our Manager to attract and retain highly talented professionals; and ● the ability of our Manager to locate suitable investments for us and to monitor and effectively administer our investments and the impacts of the COVID-19 pandemic thereon. 64 The following statements are not guarantees of future performance and are subject to risks, uncertainties, and other factors, some of which are beyond our control and difficult to predict and could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements, including without limitation: ● changes in laws and regulations, changes in political, economic or industry conditions, and changes in the interest rate environment, including with respect to the anticipated discontinuation of LIBOR, or other conditions affecting the financial and capital markets, including with respect to changes resulting from or in response to, or potentially even the absence of changes as a result of, the impact of the COVID-19 pandemic; ● the length and duration of the COVID-19 outbreak in the United States as well as worldwide, and the magnitude of its impact and time required for economic recovery, including with respect to the impact of travel restrictions and other isolation and quarantine measures on the ability of the Manager’s investment professionals to conduct in-person diligence on, and otherwise monitor, existing and future investments; ● an economic downturn and the time period required for robust economic recovery therefrom, including the current economic downturn as a result of the impact of the COVID-19 pandemic, which may have a material impact on our portfolio companies’ results of operations and financial condition, which could lead to the loss of some or all of our investments in certain portfolio companies and have a material adverse effect on our results of operations and financial condition ; ● a contraction of available credit, an inability or unwillingness of our lenders to fund their commitments to us and/or an inability to access capital markets or additional sources of liquidity, including as a result of the impact and duration of the COVID-19 pandemic, could have a material adverse effect on our results of operations and financial condition and impair our lending and investment activities; ● risks associated with possible disruption in our portfolio companies’ operations due to wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics; and ● the risks, uncertainties and other factors we identify in “Risk Factors” in our most recent Annual Report on Form 10-K under Part I, Item 1A, in our quarterly reports on Form 10-Q, including this report, and in our other filings with the SEC that we make from time to time. Such forward-looking statements may include statements preceded by, followed by or that otherwise include terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “project,” “should,” “will” and “would” or the negative of these terms or other comparable terminology. We have based the forward-looking statements included in this quarterly report on Form 10-Q on information available to us on the date of this quarterly report on Form 10-Q, and we assume no obligation to update any such forward-looking statements. Actual results could differ materially from those anticipated in our forward-looking statements, and future results could differ materially from historical performance. We undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by law or SEC rule or regulation. You are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K. The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this quarterly report on Form 10-Q. OVERVIEW We are a Maryland corporation that has elected to be treated as a BDC under the 1940 Act. Our investment objective is to create attractive risk-adjusted returns by generating current income and long-term capital appreciation from our investments. We invest primarily in senior and unitranche leveraged loans and mezzanine debt issued by private U.S. middle market companies, which we define as companies having earnings before interest, tax, depreciation and amortization (“EBITDA”) of between $2 million and $50 million, both through direct lending and through participation in loan syndicates. We may also invest up to 30.0% of the portfolio in opportunistic investments in order to seek to enhance returns to stockholders. Such investments may include investments in distressed debt, which may include securities of companies in bankruptcy, foreign debt, private equity, securities of public companies that are not thinly traded and structured finance vehicles such as collateralized loan obligation funds. Although we have no current intention to do so, to the extent we invest in private equity funds, we will limit our investments in entities that are excluded from the definition of “investment company” under Section 3(c)(1) or Section 3(c)(7) of the 1940 Act, which includes private equity funds, to no more than 15.0% of its net assets. We have elected and qualified to be treated as a RIC under Subchapter M of the Code. 65 COVID-19 Update On March 11, 2020, the World Health Organization declared the novel coronavirus, or COVID-19, as a pandemic, and on March 13, 2020 the United States declared a national emergency with respect to COVID-19. The outbreak of COVID-19 has severely impacted global economic activity and caused significant volatility and negative pressure in financial markets. The global impact of the outbreak has been rapidly evolving and many countries, including the United States, have reacted by instituting quarantines, restricting travel and hospitality, and temporarily closing or limiting operations at many corporate offices, retail stores, restaurants, fitness clubs and manufacturing facilities and factories in affected jurisdictions. Such actions are creating disruption in global supply chains and adversely impacting a number of industries. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19. Nevertheless, COVID-19 presents material uncertainty and risks with respect to the underlying value of the Company’s portfolio companies, the Company’s business, financial condition, results of operations and cash flows, such as the potential negative impact to financing arrangements, company decisions to delay, defer and/or modify the character of dividends in order to preserve liquidity, increased costs of operations, changes in law and/or regulation, and uncertainty regarding government and regulatory policy. We have evaluated subsequent events from December 1, 2020 through January 6, 2021. However, as the discussion in this Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations relates to the Company’s financial statements for the quarter-ended November 30, 2020, the analysis contained herein may not fully account for impacts relating to the COVID-19 pandemic. In that regard, for example, as of November 30, 2020, the Company valued its portfolio investments in conformity with U.S. GAAP based on the facts and circumstances known by the Company at that time, or reasonably expected to be known at that time. Due to the overall volatility that the COVID-19 pandemic has caused during the months that followed our November 30, 2020 valuation, any valuations conducted now or in the future in conformity with U.S. GAAP could result in a lower fair value of our portfolio. The potential impact to our results going forward will depend to a large extent on future developments and new information that may emerge regarding the duration and severity of COVID- 19 and the actions taken by authorities and other entities to contain the coronavirus or treat its impact, all of which are beyond our control. Accordingly, the Company cannot predict the extent to which its financial condition and results of operations will be affected at this time. Corporate History We commenced operations, at the time known as GSC Investment Corp., on March 23, 2007 and completed an initial public offering of shares of common stock on March 28, 2007. Prior to July 30, 2010, we were externally managed and advised by GSCP (NJ), L.P., an entity affiliated with GSC Group, Inc. In connection with the consummation of a recapitalization transaction on July 30, 2010, as described below we engaged Saratoga Investment Advisors to replace GSCP (NJ), L.P. as our investment adviser and changed our name to Saratoga Investment Corp. As a result of the event of default under a revolving securitized credit facility with Deutsche Bank we previously had in place, in December 2008 we engaged the investment banking firm of Stifel, Nicolaus & Company to evaluate strategic transaction opportunities and consider alternatives for us. On April 14, 2010, GSC Investment Corp. entered into a stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates and an assignment, assumption and novation agreement with Saratoga Investment Advisors, pursuant to which GSC Investment Corp. assumed certain rights and obligations of Saratoga Investment Advisors under a debt commitment letter Saratoga Investment Advisors received from Madison Capital Funding LLC, which indicated Madison Capital Funding’s willingness to provide GSC Investment Corp. with a $40.0 million senior secured revolving credit facility, subject to the satisfaction of certain terms and conditions. In addition, GSC Investment Corp. and GSCP (NJ), L.P. entered into a termination and release agreement, to be effective as of the closing of the transaction contemplated by the stock purchase agreement, pursuant to which GSCP (NJ), L.P., among other things, agreed to waive any and all accrued and unpaid deferred incentive management fees up to and as of the closing of the transaction contemplated by the stock purchase agreement but continued to be entitled to receive the base management fees earned through the date of the closing of the transaction contemplated by the stock purchase agreement. On July 30, 2010, the transactions contemplated by the stock purchase agreement with Saratoga Investment Advisors and certain of its affiliates were completed, the private sale of 986,842 shares of our common stock for $15.0 million in aggregate purchase price to Saratoga Investment Advisors and certain of its affiliates closed, the Company entered into the Credit Facility, and the Company began doing business as Saratoga Investment Corp. We used the net proceeds from the private sale transaction and a portion of the funds available to us under the Credit Facility to pay the full amount of principal and accrued interest, including default interest, outstanding under our revolving securitized credit facility with Deutsche Bank. The revolving securitized credit facility with Deutsche Bank was terminated in connection with our payment of all amounts outstanding thereunder on July 30, 2010. On August 12, 2010, we effected a one-for-ten reverse stock split of our outstanding common stock. As a result of the reverse stock split, every ten shares of our common stock were converted into one share of our common stock. Any fractional shares received as a result of the reverse stock split were redeemed for cash. The total cash payment in lieu of shares was $230. Immediately after the reverse stock split, we had 2,680,842 shares of our common stock outstanding. 66 In January 2011, we registered for public resale of the 986,842 shares of our common stock issued to Saratoga Investment Advisors and certain of its affiliates. On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received an SBIC license from the Small Business Administration (“SBA”). On August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. In May 2013, we issued $48.3 million in aggregate principal amount of our 7.50% fixed-rate unsecured notes due 2020 (the “2020 Notes”) for net proceeds of $46.1 million after deducting underwriting commissions of $1.9 million and offering costs of $0.3 million. The proceeds included the underwriters’ full exercise of their overallotment option. The 2020 Notes were listed on the NYSE under the trading symbol “SAQ” with a par value of $25.00 per share. The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the NYSE. On May 29, 2015, we entered into a Debt Distribution Agreement with Ladenburg Thalmann & Co. through which we may offer for sale, from time to time, up to $20.0 million in aggregate principal amount of the 2020 Notes through an At-the-Market (“ATM”) offering. Prior to the 2020 Notes being redeemed in full, the Company sold 539,725 bonds with a principal of $13.5 million at an average price of $25.31 for aggregate net proceeds of $13.4 million (net of transaction costs). On December 21, 2016, we issued $74.5 million in aggregate principal amount of our 6.75% fixed-rate unsecured notes due 2023 (the “2023Notes”) for net proceeds of $71.7 million after deducting underwriting commissions of approximately $2.3 million and offering costs of approximately $0.5 million. The issuance included the exercise of substantially all of the underwriters’ option to purchase an additional $9.8 million aggregate principal amount of 2023 Notes within 30 days. The 2023 Notes were listed on the NYSE under the trading symbol “SAB” with a par value of $25.00 per share. On December 21, 2019 and February 7, 2020, the Company redeemed $50.0 million and $24.5 million, respectively, in aggregate principal amount of the $74.5 million in aggregate principal amount of issued and outstanding 2023 Notes. On March 16, 2017, we entered into an equity distribution agreement with Ladenburg Thalmann & Co. Inc., through which we may offer for sale, from time to time, up to $30.0 million of our common stock through an ATM offering. Subsequent to this, BB&T Capital Markets and B. Riley FBR, Inc. were also added to the agreement. On July 11, 2019, the amount of the common stock to be offered through this offering was increased to $70.0 million, and on October 8, 2019, the amount of the common stock to be offered was increased to $130.0 million. As of November 30, 2020, the Company sold 3,922,018 shares for gross proceeds of $97.1 million at an average price of $24.77 for aggregate net proceeds of $95.9 million (net of transaction costs). During the nine months ended November 30, 2020, there was no activity related to the ATM offering. On July 13, 2018, the Company issued 1,150,000 shares of its common stock priced at $25.00 per share (par value $0.001 per share) at an aggregate total of $28.75 million. The net proceeds, after deducting underwriting commissions of $1.15 million and offering costs of approximately $0.2 million, amounted to approximately $27.4 million. The Company also granted the underwriters a 30-day option to purchase up to an additional 172,500 shares of its common stock, which was not exercised. On August 28, 2018, the Company issued $40.0 million in aggregate principal amount of our 6.25% fixed-rate notes due 2025 (the “6.25% 2025 Notes”) for net proceeds of $38.7 million after deducting underwriting commissions of approximately $1.3 million. Offering costs incurred were approximately $0.3 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $5.0 million aggregate principal amount of 6.25% 2025 Notes within 30 days. Interest on the 6.25% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning November 30, 2018. The 6.25% 2025 Notes mature on August 31, 2025 and commencing August 28, 2021, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 6.25% 2025 Notes have been capitalized and are being amortized over the term of the 6.25% 2025 Notes. On December 14, 2018, the Company completed the third refinancing of the Saratoga CLO (the “2013-1 Reset CLO Notes”). This refinancing, among other things, extended the Saratoga CLO reinvestment period to January 2021, and extended its legal maturity to January 2030. A non-call period of January 2020 was also added. In addition to and as part of the refinancing, the Saratoga CLO has also been upsized from $300 million in assets to approximately $500 million. As part of this refinancing and upsizing, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $2.5 million in aggregate principal amount of the Class F-R-2 Notes tranche and $7.5 million in aggregate principal amount of the Class G-R-2 Notes tranche at par. Concurrently, the existing $4.5 million of Class F notes were repaid. 67 On February 5, 2019, the Company completed a re-opening and up-sizing of its existing 6.25% 2025 Notes by issuing an additional $20.0 million in aggregate principal amount for net proceeds of $19.2 million after deducting underwriting commissions of approximately $0.6 million and discount of $0.2 million. Offering costs incurred were approximately $0.2 million. The issuance included the full exercise of the underwriters’ option to purchase an additional $2.5 million aggregate principal amount of 6.25% 2025 Notes within 30 days. Interest rate, interest payment dates and maturity remain unchanged from the existing 6.25% 2025 Notes issued in August 2018. The net proceeds from this offering were used for general corporate purposes in accordance with our investment objective and strategies. The financing costs and discount of $1.0 million related to the 6.25% 2025 Notes have been capitalized and are being amortized over the term of the 6.25% 2025 Notes. As of November 30, 2020, the total 6.25% 2025 Notes outstanding was $60.0 million. The 6.25% 2025 Notes are listed on the NYSE under the trading symbol “SAF” with a par value of $25.00 per share. On August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. The new license will provide up to $175.0 million in additional long-term capital in the form of SBA debentures. On February 11, 2020, the Company entered into an unsecured loan agreement with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd., a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. Pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and , which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 million. On June 24, 2020, the Company issued $37.5 million in aggregate principal amount of our 7.25% fixed-rate notes due 2025 (the “7.25% 2025 Notes”) for net proceeds of $36.3 million after deducting underwriting commissions of approximately $1.2 million. Offering costs incurred were approximately $0.3 million. On July 6, 2020, the underwriters exercised their option in full to purchase an additional $5.625 million in aggregate principal amount of its 7.25% unsecured notes due 2025. Net proceeds to the Company were $5.4 million after deducting underwriting commissions of approximately $0.2 million. Interest on the 7.25% 2025 Notes is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.25% per year, beginning August 31, 2020. The 7.25% 2025 Notes mature on June 30, 2025 and commencing June 24, 2022, may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.6 million related to the 7.25% 2025 Notes have been capitalized and are being amortized over the term of the 7.25% 2025 Notes. The Company has received an investment grade private rating of “BBB” from Egan-Jones Ratings Company, an independent, unaffiliated rating agency. As of November 30, 2020, the total 7.25% 2025 Notes outstanding was $43.1 million. The 7.25% 2025 Notes are listed on the NYSE under the trading symbol “SAK” with a par value of $25.00 per share. On July 9, 2020, the Company issued $5.0 million aggregate principal amount of our 7.75% fixed-rate Notes due in 2025 (the “7.75% 2025 Notes”) for net proceeds of $4.8 million after deducting underwriting commissions of approximately $0.2 million. Offering costs incurred were approximately $0.1 million. Interest on the 7.75% Notes 2025 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 7.75% per year, beginning August 31, 2020. The 7.75% Notes 2025 mature on July 9, 2025 and may be redeemed in whole or in part at any time or from time to time at our option. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.3 million related to the 7.75% Notes 2025 have been capitalized and are being amortized over the term of the Notes. As of November 30, 2020, the total 7.25% 2025 Notes outstanding was $5.0 million. The 7.75% 2025 Notes are unlisted and has a par value of $25.00 per share. Critical Accounting Policies Basis of Presentation The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make certain estimates and assumptions affecting amounts reported in the Company’s consolidated financial statements. We have identified investment valuation, revenue recognition and the recognition of capital gains incentive fee expense as our most critical accounting estimates. We continuously evaluate our estimates, including those related to the matters described below. These estimates are based on the information that is currently available to us and on various other assumptions that we believe to be reasonable under the circumstances. Actual results could differ materially from those estimates under different assumptions or conditions. A discussion of our critical accounting policies follows. Investment Valuation The Company accounts for its investments at fair value in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820, Fair Value Measurement 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 or its liabilities are to be transferred at the balance sheet date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact. 68 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 Saratoga Investment Advisors, 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 Saratoga Investment Advisors and preliminary valuation conclusions are documented and discussed with our senior management; and ● An independent valuation firm engaged by our board of directors independently reviews a selection of these preliminary valuations each quarter so that the valuation of each investment for which market quotes are not readily available is reviewed by the independent valuation firm at least once each fiscal year. We use a third-party independent valuation firm to value our investment in the subordinated notes of Saratoga CLO and the Class F-R-2 Notes and Class G-R-2 Notes tranches of the Saratoga CLOs every quarter. In addition, all our investments are subject to the following valuation process: ● The audit committee of our board of directors reviews and approves each preliminary valuation and Saratoga Investment Advisors and an independent valuation firm (if applicable) will supplement the preliminary valuation to reflect any comments provided by the audit committee; and ● Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of Saratoga Investment Advisors, independent valuation firm (to the extent applicable) and the audit committee of our board of directors. 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 Saratoga Investment Advisors and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO. Revenue Recognition Income Recognition 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. Payment-in-Kind Interest The Company holds debt and preferred equity investments in its portfolio that contain a payment-in-kind (“PIK”) interest provision. The PIK interest, which represents contractually deferred interest added to the investment balance that is generally due at maturity, is generally recorded on the accrual basis to the extent such amounts are expected to be collected. We stop accruing PIK interest if we do not expect the issuer to be able to pay all principal and interest when due. 69 Revenues We generate revenue in the form of interest income and capital gains on the debt investments that we hold and capital gains, if any, on equity interests that we may acquire. We expect our debt investments, whether in the form of leveraged loans or mezzanine debt, to have terms of up to ten years, and to bear interest at either a fixed or floating rate. Interest on debt will be payable generally either quarterly or semi-annually. In some cases, our debt or preferred equity investments may provide for a portion or all of the interest to be PIK. To the extent interest is PIK, it will be payable through the increase of the principal amount of the obligation by the amount of interest due on the then-outstanding aggregate principal amount of such obligation. The principal amount of the debt and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of commitment, origination, structuring or diligence fees, fees for providing managerial assistance or investment management services and possibly consulting fees. Any such fees will be generated in connection with our investments and recognized as earned. We may also invest in preferred equity or common equity securities that pay dividends on a current basis. On January 22, 2008, we entered into a collateral management agreement with Saratoga CLO, pursuant to which we act as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, we completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018. On December 14, 2018, we completed a third refinancing and upsize of the Saratoga CLO. The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period of January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased from approximately $300.0 million in aggregate principal amount to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, we invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million in aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of LIBOR plus 8.75% and LIBOR plus 10.00%, respectively. As part of this refinancing, we also redeemed our existing $4.5 million aggregate amount of the Class F notes tranche at par. On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly-owned subsidiary of Saratoga Investment Corp. CLO 2013-1, Ltd. (“Saratoga CLO”), pursuant to which CLO 2013-1 Warehouse 2 may borrow from time to time up to $20.0 million from the Company in order to provide capital necessary to support warehouse activities. On October 23, 2020, the CLO 2013-1 Warehouse 2 Loan was increased to $25.0 million availability, which was immediately fully drawn and , which expires on August 20, 2021. The interest rate was also amended to be based on a pricing grid, starting at an annual rate of 3M USD LIBOR + 4.46%. As of November 30, 2020, the Company’s investment in the CLO 2013-1 Warehouse 2 had a fair value of $24.8 million. The Saratoga CLO remains effectively 100% owned and managed by Saratoga Investment Corp. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Prior to the second refinancing and the issuance of the 2013-1 Amended CLO Notes, we received a base management fee of 0.25% per annum and a subordinated management fee of 0.25% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%. 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. Expenses Our primary operating expenses include the payment of investment advisory and management fees, professional fees, directors and officers insurance, fees paid to independent directors and administrator expenses, including our allocable portion of our administrator’s overhead. Our investment advisory and management fees compensate our Manager for its work in identifying, evaluating, negotiating, closing and monitoring our investments. We bear all other costs and expenses of our operations and transactions, including those relating to: ● organization; ● calculating our net asset value (including the cost and expenses of any independent valuation firm); 70 ● expenses incurred by our Manager payable to third parties, including agents, consultants or other advisers, in monitoring our financial and legal affairs and in monitoring our investments and performing due diligence on our prospective portfolio companies; ● expenses incurred by our Manager payable for travel and due diligence on our prospective portfolio companies; ● interest payable on debt, if any, incurred to finance our investments; ● offerings of our common stock and other securities; ● investment advisory and management fees; ● fees payable to third parties, including agents, consultants or other advisers, relating to, or associated with, evaluating and making investments; ● transfer agent and custodial fees; ● federal and state registration fees; ● all costs of registration and listing our common stock on any securities exchange; ● federal, state and local taxes; ● independent directors’ fees and expenses; ● costs of preparing and filing reports or other documents required by governmental bodies (including the U.S. Securities and Exchange Commission (“SEC”) and the SBA); ● costs of any reports, proxy statements or other notices to common stockholders including printing costs; ● our fidelity bond, directors and officers errors and omissions liability insurance, and any other insurance premiums; ● direct costs and expenses of administration, including printing, mailing, long distance telephone, copying, secretarial and other staff, independent auditors and outside legal costs; and ● administration fees and all other expenses incurred by us or, if applicable, the administrator in connection with administering our business (including payments under the Administration Agreement based upon our allocable portion of the administrator’s overhead in performing its obligations under an Administration Agreement, including rent and the allocable portion of the cost of our officers and their respective staffs (including travel expenses)). Pursuant to the investment advisory and management agreement that we had with GSCP (NJ), L.P., our former investment adviser and administrator, we had agreed to pay GSCP (NJ), L.P. as investment adviser a quarterly base management fee of 1.75% of the average value of our total assets (other than cash or cash equivalents but including assets purchased with borrowed funds) at the end of the two most recently completed fiscal quarters and an incentive fee. The incentive fee had two parts: ● A fee, payable quarterly in arrears, equal to 20.0% of our pre-incentive fee net investment income, expressed as a rate of return on the value of the net assets at the end of the immediately preceding quarter, that exceeded a 1.875% quarterly hurdle rate measured as of the end of each fiscal quarter. Under this provision, in any fiscal quarter, our former investment adviser received no incentive fee unless our pre-incentive fee net investment income exceeded the hurdle rate of 1.875%. Amounts received as a return of capital were not included in calculating this portion of the incentive fee. Since the hurdle rate was based on net assets, a return of less than the hurdle rate on total assets could still have resulted in an incentive fee. ● A fee, payable at the end of each fiscal year, equal to 20.0% of our net realized capital gains, if any, computed net of all realized capital losses and unrealized capital depreciation, in each case on a cumulative basis on each investment in the Company’s portfolio, less the aggregate amount of capital gains incentive fees paid to our former investment adviser through such date. 71 We deferred cash payment of any incentive fee otherwise earned by our former investment adviser if, during the then most recent four full fiscal quarters ending on or prior to the date such payment was to be made, the sum of (a) our aggregate distributions to our stockholders and (b) our change in net assets (defined as total assets less liabilities) (before taking into account any incentive fees payable during that period) was less than 7.5% of our net assets at the beginning of such period. These calculations were appropriately pro-rated for the first three fiscal quarters of operation and adjusted for any share issuances or repurchases during the applicable period. Such incentive fee would become payable on the next date on which such test had been satisfied for the most recent four full fiscal quarters or upon certain terminations of the investment advisory and management agreement. We commenced deferring cash payment of incentive fees during the quarterly period ended August 31, 2007 and continued to defer such payments through the quarterly period ended May 31, 2010. As of July 30, 2010, the date on which GSCP (NJ), L.P. ceased to be our investment adviser and administrator, we owed GSCP (NJ), L.P. $2.9 million in fees for services previously provided to us; of which $0.3 million has been paid by us. GSCP (NJ), L.P. agreed to waive payment by us of the remaining $2.6 million in connection with the consummation of the stock purchase transaction with Saratoga Investment Advisors and certain of its affiliates described elsewhere in this Quarterly Report. The terms of the investment advisory and management agreement with Saratoga Investment Advisors, our current investment adviser, are substantially similar to the terms of the investment advisory and management agreement we had entered into with GSCP (NJ), L.P., our former investment adviser, except for the following material distinctions in the fee terms: ● The capital gains portion of the incentive fee was reset with respect to gains and losses from May 31, 2010, and therefore losses and gains incurred prior to such time will not be taken into account when calculating the capital gains fee payable to Saratoga Investment Advisors and, as a result, Saratoga Investment Advisors will be entitled to 20.0% of net gains that arise after May 31, 2010. In addition, the cost basis for computing realized gains and losses on investments held by us as of May 31, 2010 equal the fair value of such investment as of such date. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P., the capital gains fee was calculated from March 21, 2007, and the gains were substantially outweighed by losses. ● Under the “catch up” provision, 100.0% of our pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income that exceeds 1.875% but is less than or equal to 2.344% in any fiscal quarter is payable to Saratoga Investment Advisors. This will enable Saratoga Investment Advisors to receive 20.0% of all net investment income as such amount approaches 2.344% in any quarter, and Saratoga Investment Advisors will receive 20.0% of any additional net investment income. Under the investment advisory and management agreement with our former investment adviser, GSCP (NJ), L.P. only received 20.0% of the excess net investment income over 1.875%. ● We will no longer have deferral rights regarding incentive fees in the event that the distributions to stockholders and change in net assets is less than 7.5% for the preceding four fiscal quarters. Capital Gains Incentive Fee The Company records an expense accrual relating to the capital gains incentive fee payable by the Company to its Manager when the unrealized gains on its investments exceed all realized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Company’s Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains for the period. New Accounting Pronouncements In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform (“ASU 2020-04”). The amendments in ASU 2020-04 provide optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The standard is effective as of March 12, 2020 through December 31, 2022. Management does not believe this optional guidance has a material impact on the Company’s consolidated financial statements and disclosures. SEC Rule 12b-2 Update In March 2020, the SEC adopted a final rule under SEC Release No. 34-88365 (the “Final Rule”), amending the accelerated filer and large accelerated filer definitions in Exchange Act Rule 12b-2. The amendments include a provision under which a BDC will be excluded from the “accelerated filer” and “large accelerated filer” definitions if the BDC has (1) a public float of $75 million or more, but less than $700 million, and (2) has annual investment income of less than $100 million. In addition, BDCs are subject to the same transition provisions for accelerated filer and large accelerated filer status as other issuers, but instead substituting investment income for revenue. The amendments will reduce the number of issuers required to comply with the auditor attestation on the internal control over financial reporting requirement provided under Section 404(b) of the Sarbanes-Oxley Act of 2002. The Final Rule applies to annual report filings due on or after April 27, 2020. The Company has assessed the Final Rule, and believes that effective February 28, 2021, it will no longer be an accelerated filer. As a result, the Company will file its Annual Report on Form 10-K for the fiscal year ending February 28, 2021 as a non-accelerated filer. 72 Portfolio and Investment Activity Investment Portfolio Overview November 30, 2020 February 29, 2020 ($ in millions) Number of investments(1) 83 74 Number of portfolio companies(2) 42 35 Average investment per portfolio company(2) $ 11.7 $ 12.9 Average investment size(1) $ 6.3 $ 6.3 Weighted average maturity(3) 2.6 yrs 3.1 yrs Number of industries 32 28 Non-performing or delinquent investments (fair value) $ 6.2 $ 2.1 Fixed rate debt (% of interest earning portfolio)(3) $ 31.3(6.3 )% $ 29.7(6.8 )% Fixed rate debt (weighted average current coupon)(3) 8.8 % 9.3 % Floating rate debt (% of interest earning portfolio)(3) $ 463.0(93.7 )% $ 404.4(93.2 )% Floating rate debt (weighted average current spread over LIBOR)(3)(4) 7.5 % 8.0 % (1) Excludes our investment in the subordinated notes of Saratoga CLO. (2) Excludes our investment in the subordinated notes of Saratoga CLO, Class F-R-2 Notes and Class G-R-2 Notes tranches of Saratoga CLO and loan to Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (3) Excludes our investment in the subordinated notes of Saratoga CLO and equity interests. (4) Calculation uses either 1-month or 3-month LIBOR, depending on the contractual terms, and after factoring in any existing LIBOR floors. During the three months ended November 30, 2020, we invested $51.3 million in new or existing portfolio companies and had $18.3 million in aggregate amount of exits and repayments resulting in net investments of $33.0 million for the period. During the three months ended November 30, 2019, we invested $40.8 million in new or existing portfolio companies and had $51.2 million in aggregate amount of exits and repayments resulting in net exits and repayments of $10.4 million for the period. During the nine months ended November 30, 2020, we invested $122.0 million in new or existing portfolio companies and had $50.9 million in aggregate amount of exits and repayments resulting in net investments of $71.1 million for the period. During the nine months ended November 30, 2019, we invested $160.7 million in new or existing portfolio companies and had $97.2 million in aggregate amount of exits and repayments resulting in net investments of $63.5 million for the period. 73 Portfolio Composition Our portfolio composition at November 30, 2020 and February 29, 2020 at fair value was as follows: November 30, 2020 February 29, 2020 Percentage of Total Portfolio Weighted Average Current Yield Percentage of Total Portfolio Weighted Average Current Yield First lien term loans 74.5 % 9.5 % 71.3 % 9.6 % Second lien term loans 9.2 11.5 15.1 10.7 Unsecured term loans 4.9 4.4 0.9 9.3 Structured finance securities 5.7 17.6 6.7 11.4 Equity interests 5.7 - 6.0 - Total 100.0 % 9.4 % 100.0 % 9.3 % At November 30, 2020, our investment in the subordinated notes of Saratoga CLO, a collateralized loan obligation fund, had a fair value of $21.6 million and constituted 3.9% of our portfolio. This investment constitutes a first loss position in a portfolio that, as of November 30, 2020 and February 29, 2020, was composed of $540.0 million and $528.4 million, respectively, in aggregate principal amount of primarily senior secured first lien term loans. In addition, as of November 30, 2020, we also own $2.5 million in aggregate principal of the F-R-2 Notes and $7.5 million in aggregate principal of the G-R-2 Notes in the Saratoga CLO, that only rank senior to the subordinated notes. At November 30, 2020, our investment in CLO 2013-1 Warehouse 2, a wholly-owned subsidiary of Saratoga CLO, had a fair value of $24.8 million and constituted 4.5% of our portfolio. This investment is subject to unique risks. (See “Part 1. Item 1A. Risk Factors—Our investment in Saratoga CLO constitutes a leveraged investment in a portfolio of predominantly senior secured first lien term loans and is subject to additional risks and volatility” in our Annual Report on Form 10-K for the fiscal year ended February 29, 2020). We do not consolidate the Saratoga CLO portfolio in our consolidated financial statements. Accordingly, the metrics below do not include the underlying Saratoga CLO portfolio investments. However, at November 30, 2020, $512.7 million or 99.2% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and five Saratoga CLO portfolio investments were in default with a fair value of $1.7 million. At February 29, 2020, $494.2 million or 98.6% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and two Saratoga CLO portfolio investments were in default with a fair value of $1.4 million. For more information relating to the Saratoga CLO, see the audited financial statements for Saratoga in our Annual Report on Form 10-K for the fiscal year ended February 29, 2020. Saratoga Investment Advisors normally grades all of our investments using a credit and monitoring rating system (“CMR”). The CMR consists of a single component: a color rating. The color rating is based on several criteria, including financial and operating strength, probability of default, and restructuring risk. The color ratings are characterized as follows: (Green)—performing credit; (Yellow)—underperforming credit; (Red)—in principal payment default and/or expected loss of principal. 74 Portfolio CMR distribution The CMR distribution for our investments at November 30, 2020 and February 29, 2020 was as follows: Saratoga Investment Corp. November 30, 2020 February 29, 2020 Color Score Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Green $ 458,469 83.8 % $ 429,784 88.5 % Yellow 35,836 6.6 2,141 0.5 Red - 0.0 2,137 0.4 N/A(1) 52,639 9.6 51,570 10.6 Total $ 546,944 100.0 % $ 485,632 100.0 % (1) Comprised of our investment in the subordinated notes of Saratoga CLO and equity interests. The change in reserve from $1.2 million as of February 29, 2020 to $2.0 million as of November 30, 2020 was primarily related to the additional interest accruals reserved on My Alarm Center, LLC, Roscoe Medical, Inc. and TMAC Acquisition Co., LLC. The CMR distribution of Saratoga CLO investments at November 30, 2020 and February 29, 2020 was as follows: Saratoga CLO November 30, 2020 February 29, 2020 Color Score Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Green $ 439,472 85.0 % $ 456,767 91.1 % Yellow 73,185 14.2 37,446 7.5 Red 3,912 0.8 6,787 1.4 N/A(1) 145 0.0 0 0.0 Total $ 516,714 100.0 % $ 501,000 100.0 % (1) Comprised of Saratoga CLO’s equity interests. 75 Portfolio composition by industry grouping at fair value The following table shows our portfolio composition by industry grouping at fair value at November 30, 2020 and February 29, 2020: Saratoga Investment Corp. November 30, 2020 February 29, 2020* Investments At Fair Value Percentage of Total Portfolio Investments At Fair Value Percentage of Total Portfolio ($ in thousands) Education Software $ 84,613 15.5 % $ 96,055 19.8 % IT Services 81,556 14.9 62,541 12.9 Structured Finance Securities(1) 56,131 10.3 34,675 7.1 Education Services 32,358 5.9 36,365 7.5 Healthcare Services 30,468 5.4 28,455 5.9 Healthcare Software 28,910 5.3 30,764 6.3 Sports Management 24,521 4.5 25,740 5.3 Dental Practice Management Software 22,931 4.2 - 0.0 Payroll Services 19,089 3.5 19,055 3.9 Marketing Services 17,200 3.1 14,200 2.9 Hospitality/Hotel 15,088 2.8 14,894 3.1 Real Estate Services 14,859 2.7 - 0.0 Construction Management Services 14,135 2.6 4,284 0.9 Property Management 12,973 2.4 11,503 2.4 Cyber Security 12,868 2.4 9,982 2.1 Corporate Governance 9,522 1.7 9,090 1.9 Industrial Products 9,502 1.7 10,779 2.2 Waste Services 8,969 1.6 9,000 1.9 Healthcare Products Manufacturing 8,153 1.5 7,717 1.6 HVAC Services and Sales 6,930 1.3 - 0.0 Facililties Maintenance 6,538 1.2 5,375 1.1 Dental Practice Management 6,489 1.2 - 0.0 Non-profit Services 5,525 1.0 5,555 1.1 Healthcare Supply 4,338 0.8 2,137 0.4 Field Service Management 3,952 0.7 2,970 0.6 Office Supplies 3,527 0.6 3,799 0.8 Metals 1,998 0.4 3,130 0.6 Restaurant 1,985 0.4 2,140 0.4 Staffing Services 693 0.1 922 0.2 Financial Services 425 0.1 32,090 6.6 Consumer Products 392 0.1 418 0.1 Consumer Services 306 0.1 1,997 0.4 Total $ 546,944 100.0 % $ 485,632 100.0 % * Certain reclassifications have been made to previously reported industry groupings to show results on a consistent basis across periods. (1) Comprised of our investment in the subordinated notes, Class F-R-2 Notes and Class G-R-2 Notes of Saratoga CLO and Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. 76 The following table shows Saratoga CLO’s portfolio composition by industry grouping at fair value at November 30, 2020 and February 29, 2020: Saratoga CLO November 30, 2020 February 29, 2020 Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Banking Finance Insurance & Real Estate $ 96,062 18.6 % $ 87,957 17.6 % Services: Business 44,988 8.7 45,735 9.1 Healthcare & Pharmaceuticals 38,770 7.5 39,978 8.0 High Tech Industries 38,413 7.4 32,897 6.6 Telecommunications 29,327 5.8 28,317 5.6 Services: Consumer 24,105 4.7 28,327 5.6 Aerospace & Defense 23,741 4.6 25,093 5.0 Media: Advertising Printing & Publishing 21,752 4.2 19,808 4.0 Chemicals Plastics & Rubber 18,945 3.7 14,689 2.9 Beverage Food & Tobacco 17,512 3.4 21,637 4.3 Consumer goods: Non-durable 17,694 3.4 15,700 3.1 Hotel Gaming & Leisure 17,024 3.3 16,883 3.4 Automotive 14,997 2.9 13,820 2.8 Containers Packaging & Glass 12,467 2.4 15,753 3.1 Media: Broadcasting & Subscription 12,573 2.4 7,959 1.6 Retail 11,901 2.3 14,538 2.9 Capital Equipment 10,784 2.1 9,551 1.9 Consumer goods: Durable 8,383 1.6 11,674 2.3 Utilities: Oil & Gas 7,952 1.5 7,306 1.5 Transportation: Cargo 7,095 1.4 7,054 1.4 Forest Products & Paper 7,375 1.4 5,385 1.1 Metals & Mining 7,352 1.4 4,112 0.8 Transportation: Consumer 6,148 1.2 1,914 0.4 Construction & Building 4,393 0.9 7,617 1.5 Utilities: Electric 4,262 0.8 4,752 1.0 Media: Diversified & Production 3,058 0.6 2,711 0.5 Wholesale 2,833 0.5 1,928 0.4 Energy: Oil & Gas 2,135 0.4 3,559 0.7 Energy: Electricity 1,990 0.4 3,357 0.7 Utilities 1,708 0.3 - 0.0 Environmental Industries 975 0.2 989 0.2 Total $ 516,714 100.0 % $ 501,000 100.0 % 77 Portfolio composition by geographic location at fair value The following table shows our portfolio composition by geographic location at fair value at November 30, 2020 and February 29, 2020. The geographic composition is determined by the location of the corporate headquarters of the portfolio company. November 30, 2020 February 29, 2020 Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Southeast $ 170,188 31.1 % $ 165,353 34.0 % West 130,903 23.9 99,390 20.5 Midwest 101,415 18.5 75,528 15.5 Other 76,867 14.1 55,877 11.5 Northeast 22,968 4.2 18,047 3.7 Northwest 12,868 2.4 9,981 2.1 Southwest(1) 31,735 5.8 61,456 12.7 Total $ 546,944 100.0 % $ 485,632 100.0 % (1) Comprised of our investment in the subordinated notes, Class F-R-2 Notes and Class G-R-2 Notes of Saratoga CLO, Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd and foreign investments. Results of operations Operating results for the three and nine months ended November 30, 2020 and November 30, 2019 was as follows: For the three months ended For the nine months ended November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 ($ in thousands) Total investment income $ 14,283 $ 14,196 $ 41,435 $ 40,835 Total operating expenses 9,812 9,621 22,611 27,623 Net investment income 4,471 4,575 18,824 13,212 Net realized gain (loss) from investments 2 10,740 22 12,610 Income tax (provision) benefit from realized gain on investments (3,895 ) - (3,895 ) - Net change in unrealized appreciation (depreciation) on investments 5,999 (536 ) (9,371 ) 4,911 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments (210 ) (1,062 ) (59 ) (1,787 ) Net increase (decrease) in net assets resulting from operations $ 6,367 $ 13,717 $ 5,521 $ 28,946 78 Investment income The composition of our investment income for three and nine months ended November 30, 2020 and November 30, 2019 was as follows: For the three months ended For the nine months ended November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 ($ in thousands) Interest from investments $ 12,804 $ 12,899 $ 37,215 $ 36,244 Interest from cash and cash equivalents 1 120 14 317 Management fee income 624 630 1,884 1,889 Structuring and advisory fee income* 545 511 1,798 1,875 Other income* 309 36 524 510 Total investment income $ 14,283 $ 14,196 $ 41,435 $ 40,835 * Certain prior period amounts have been reclassified to conform to current period presentation. For the three months ended November 30, 2020, total investment income increased $0.1 million, or 0.6% to $14.3 million from $14.2 million for the three months ended November 30, 2019. Interest income from investments decreased $0.1 million, or 0.7%, to $12.8 million for the three months ended November 30, 2020 from $12.9 million for the three months ended November 30, 2019. This reflects the impact of the increase of $59.9 million, or 12.3% in total investments at November 30, 2020 from $487.0 million at November 30, 2019, offset by the reduction in LIBOR during this same period. At November 30, 2020, the weighted average current yield on investments was 9.4% compared to 9.8% at November 30, 2019, which offset most of the increase in investments. For the nine months ended November 30, 2020, total investment income increased $0.6 million, or 1.5% to $41.4 million from $40.8 million for the nine months ended November 30, 2019. Interest income from investments increased $1.0 million, or 2.7%, to $37.2 million for the nine months ended November 30, 2020 from $36.2 million for the nine months ended November 30, 2019. This reflects the partial period impact of the increase of $59.9 million, or 12.3% in total investments at November 30, 2020 from $487.0 million at November 30, 2019, offset by the reduction in LIBOR during the same period. For the three months ended November 30, 2020 and November 30, 2019, total PIK income was $0.3 million and $1.5 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, total PIK income was $1.4 million and $3.9 million, respectively. This decrease was primarily due to the sale of our investment in Easy Ice, LLC during the fourth quarter of the fiscal year ended February 29, 2020, which primarily generated PIK income. Management fee income reflects the fee income received for managing the Saratoga CLO. For the three months ended November 30, 2020 and November 30, 2019, total management fee income was $0.6 million and $0.6 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, total management fee income was $1.9 million and $1.9 million, respectively. 79 Operating expenses The composition of our operating expenses for the three and nine months ended November 30, 2020 and November 30, 2019 was as follows: For the three months ended For the nine months ended November 30, 2020 November 30, 2019 November 30, 2020 November 30, 2019 ($ in thousands) Interest and debt financing expenses $ 3,560 $ 3,897 $ 9,452 $ 11,628 Base management fees 2,324 2,147 6,694 5,956 Incentive management fees expense (benefit) 2,295 3,102 1,966 7,301 Professional fees 503 401 1,258 1,181 Administrator expenses 694 556 1,852 1,575 Insurance 67 64 203 193 Directors fees and expenses 60 60 195 218 General & administrative and other expenses 279 395 963 1,036 Income tax expense (benefit) 30 (1,001 ) 28 (1,465 ) Total operating expenses $ 9,812 $ 9,621 $ 22,611 $ 27,623 For the three months ended November 30, 2020, total operating expenses increased $0.2 million, or 2.0% compared to the three months ended November 30, 2019. For the nine months ended November 30, 2020, total operating expenses decreased $5.0 million, or 18.1% compared to the nine months ended November 30, 2019. For the three months ended November 30, 2020, interest and debt financing expenses decreased $0.3 million, or 8.7% compared to the three months ended November 30, 2019. The decrease is primarily attributable to a decrease in average outstanding debt from $286.6 million for the three months ended November 30, 2019 to $278.4 million for the three months ended November 30, 2020, primarily reflecting the redemption of our 2023 Notes during the fiscal quarter ended February 29, 2020. For the nine months ended November 30, 2020, interest and debt financing expenses decreased $2.2 million, or 18.7% compared to the nine months ended November 30, 2019. The decrease is primarily attributable to a decrease in average outstanding debt from $284.6 million for the nine months ended November 30, 2019 to $253.6 million for the nine months ended November 30, 2020, primarily reflecting the redemption of our 2023 Notes during the fiscal quarter ended February 29, 2020. For the three months ended November 30, 2020, the weighted average interest rate on our outstanding indebtedness was 4.42% compared to 4.79% for the three months ended November 30, 2019. The decrease in weighted average interest rate was primarily driven by the redemption of the 2023 Notes during the fiscal quarter ended February 29, 2020 which carried a fixed rate of 6.75%. For the nine months ended November 30, 2020, the weighted average interest rate on our outstanding indebtedness was 6.41% compared to 4.81% for the nine months ended November 30, 2019. The decrease in weighted average interest rate was primarily driven by the redemption of the 2023 Notes during the fiscal quarter ended February 29, 2020 which carried a fixed rate of 6.75%. As of November 30, 2020 and February 29, 2020, the SBA debentures represented 61.9% and 71.4% of overall debt, respectively. For the three months ended November 30, 2020, base management fees increased $0.2 million, or 8.3% from $2.1 million to $2.3 million compared to the three months ended November 30, 2019. The increase in base management fees results from the 8.0% increase in the average value of our total assets, less cash and cash equivalents, from $493.3 million for the three months ended November 30, 2019 to $532.8 million for the three months ended November 30, 2020. For the nine months ended November 30, 2020, base management fees increased $0.7 million, or 12.4% from $6.0 million to $6.7 million compared to the nine months ended November 30, 2019. The increase in base management fees results from the 12.1% increase in the average value of our total assets, less cash and cash equivalents, from $452.9 million for the nine months ended November 30, 2019 to $507.7 million for the nine months ended November 30, 2020. For the three months ended November 30, 2020, incentive management fees decreased $0.8 million, or 26.0%, compared to the three months ended November 30, 2019. The first part of the incentive management fees decreased from $1.5 million for the three months ended November 30, 2019 to $1.2 million for the three months ended November 30, 2020, as net equity increased by 32.9% during this period resulting in an increase to the net investment income hurdle rate pursuant to the Management Agreement. The incentive management fees related to capital gains decreased from a $1.6 million expense for the three months ended November 30, 2019 to a $1.1 million expense for the three months ended November 30, 2020, with the incentive fee expense on unrealized gains on the Company’s Censis and Easy Ice investments last year offsetting the incentive fee expense on this quarter’s unrealized appreciation across numerous investments. 80 For the nine months ended November 30, 2020, incentive management fees decreased $5.3 million, or 73.1%, compared to the nine months ended November 30, 2019. The first part of the incentive management fees decreased from $4.1 million for the nine months ended November 30, 2019 to $4.0 million for the nine months ended November 30, 2020, as higher average net equity during this period resulted in an increase to the net investment income hurdle rate pursuant to the Management Agreement. The incentive management fees related to capital gains decreased from a $3.2 million expense for the nine months ended November 30, 2019 to a $(2.0) million benefit for the nine months ended November 30, 2020, reflecting a reversal of incentive fee accrual due to an increase in unrealized depreciation on investments during the nine months ended November 30, 2020. For the three and nine months ended November 30, 2020, professional fees increased $0.1 million, or 25.4%, and increased $0.08 million, or 6.5%, respectively, compared to the three and nine months ended November 30, 2019. For the three and nine months ended November 30, 2020, administrator expenses increased $0.1 million, or 24.7%, and increased $0.3 million, or 17.6%, respectively, compared to the three and nine months ended November 30, 2019. These increases during the period are primarily attributable to an increase to the cap on the payment or reimbursements of expenses by the Company from $2.0 million to $2.225 million, effective August 1, 2019, and from $2.225 million to $2.775 million, effective August 1, 2020. As discussed above, the decrease in interest and debt financing expenses for the three months ended November 30, 2020 compared to the three months ended November 30, 2019 is primarily attributable to a decrease in the average dollar amount of outstanding debt. During the three months ended November 30, 2020 and November 30, 2019, the average borrowings outstanding under the Credit Facility was $0.0 million and $2.1 million, respectively. For the three months ended November 30, 2020 and November 30, 2019, the average borrowings outstanding of SBA debentures was $170.3 million and $150.0 million, respectively. For the three months ended November 30, 2020 and November 30, 2019, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 2.97% and 3.21%, respectively. During the three months ended November 30, 2020 and November 30, 2019, the average dollar amount of our 6.25% fixed-rate 2025 Notes outstanding was $60.0 million and $60.0 million, respectively. During the three months ended November 30, 2020 and November 30, 2019, the weighted average dollar amount of our 7.25% fixed-rate 2025 Notes outstanding was $43.1 million and $0.0 million, respectively. During the three months ended November 30, 2020 and November 30, 2019, the weighted average dollar amount of our 7.75% fixed-rate 2025 Notes outstanding was $5.0 million and $0.0 million, respectively. During the three months ended November 30, 2020 and November 30, 2019, the average dollar amount of our 6.75% fixed-rate 2023 Notes outstanding was $0.0 million and $74.5 million, respectively. As discussed above, the decrease in interest and debt financing expenses for the nine months ended November 30, 2020 compared to the nine months ended November 30, 2019 is primarily attributable to a decrease in the average dollar amount of outstanding debt. During the nine months ended November 30, 2020 and November 30, 2019, the average borrowings outstanding under the Credit Facility was $0.0 million and $0.8 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, the average borrowings outstanding of SBA debentures was $165.9 million and $150.0 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, the weighted average interest rate on the outstanding borrowings of the SBA debentures was 4.57% and 3.24%, respectively. During the nine months ended November 30, 2020 and November 30, 2019, the average dollar amount of our 6.25% fixed-rate 2025 Notes outstanding was $60.0 million and $60.0 million, respectively. During the nine months ended November 30, 2020 and November 30, 2019, the weighted average dollar amount of our 7.25% fixed-rate 2025 Notes outstanding was $43.1 million and $0.0 million, respectively. During the nine months ended November 30, 2020 and November 30, 2019, the weighted average dollar amount of our 7.75% fixed-rate 2025 Notes outstanding was $5.0 million and $0.0 million, respectively. During the nine months ended November 30, 2020 and November 30, 2019, the average dollar amount of our 6.75% fixed-rate 2023 Notes outstanding was $0.0 million and $74.5 million, respectively. For the three months ended November 30, 2020 and November 30, 2019, there were income tax expense (benefits) of $0.03 million and $1.0 million, respectively. For the nine months ended November 30, 2020 and November 30, 2019, there were income tax expense (benefits) of $0.03 million and $1.5 million, respectively. This relates to net deferred federal and state income tax expense (benefit) with respect to operating gains and losses and income derived from equity investments held in the taxable blockers. Net realized gains (losses) on sales of investments For the three months ended November 30, 2020, the Company had $18.3 million of sales, repayments, exits or restructurings resulting in $0.0 million of net realized gains. For the nine months ended November 30, 2020, the Company had $50.9 million of sales, repayments, exits or restructurings resulting in $0.02 million of net realized gains. In addition, for the three and nine months ended November 30, 2020, the Company recognized an income tax expense of $3.9 million representing federal tax paid on the Company’s undistributed net realized capital gains as of February 29, 2020. 81 For the three months ended November 30, 2019, the Company had $51.2 million of sales, repayments, exits or restructurings resulting in $10.7 million of net realized gains. For the nine months ended November 30, 2019, the Company had $97.2 million of sales, repayments, exits or restructurings resulting in $12.6 million of net realized gains. The most significant realized gains and losses during the nine months ended November 30, 2019 were as follows (dollars in thousands): Nine Months ended November 30, 2019 Issuer Asset Type Gross Proceeds Cost Net Realized Gain Censis Technologies, Inc. Equity Interests $ 12,280 $ 999 $ 11,281 Fancy Chap, Inc. First Lien Term Loan & Equity Interests 8,175 6,865 1,310 Net change in unrealized appreciation (depreciation) on investments For the three months ended November 30, 2020, our investments had a net change in unrealized appreciation of $6.0 million versus a net change in unrealized depreciation of $0.5 million for the three months ended November 30, 2019. For the nine months ended November 30, 2020, our investments had a net change in unrealized depreciation of $9.4 million versus a net change in unrealized appreciation of $4.9 million for the nine months ended November 30, 2019. The most significant cumulative net change in unrealized appreciation (depreciation) for the nine months ended November 30, 2020 were the following (dollars in thousands ): Nine Months ended November 30, 2020 Issuer Asset Type Cost Fair Value Total Unrealized Appreciation (Depreciation) YTD Change in Unrealized Appreciation (Depreciation) Knowland Group, LLC Second Lien Term Loan $ 15,768 $ 12,118 $ (3,650 ) $ (3,544 ) C2 Educational Systems First Lien Term Loan 15,993 12,987 (3,006 ) (3,024 ) ArbiterSports, LLC First Lien Term Loan 26,793 24,521 (2,272 ) (2,246 ) Roscoe Medical, Inc. Second Lien Term Loan & Equity Interests 4,708 4,338 (370 ) 2,201 My Alarm Center, LLC Equity Interests 4,867 306 (4,561 ) (1,691 ) Elyria Foundry Company, L.L.C. Second Lien Term Loan & Equity Interests 11,019 1,998 (9,021 ) (1,276 ) The net changes in unrealized depreciation for the nine months ended November 30, 2020 noted above primarily relate to the impact of COVID-19, resulting in changes to market spreads, EBITDA multiples and/or revised portfolio company performance, following the events since March 2020. The most significant cumulative net change in unrealized appreciation for the nine months ended November 30, 2019 were the following (dollars in thousands): Nine Months ended November 30, 2019 Issuer Asset Type Cost Fair Value Total Unrealized Appreciation YTD Change in Unrealized Appreciation Easy Ice, LLC Second Term Lien Loan & Equity Interests $ 37,822 $ 47,316 $ 9,494 $ 5,626 Saratoga Investment Corp. CLO 2013-1, Ltd. Structured Finance Securities 24,268 24,497 229 (1,648 ) 82 The $5.6 million net change in unrealized appreciation in our investment in Easy Ice, LLC was driven by a continued increase in the scale and earnings of the business. The $1.6 million net change in unrealized depreciation in our investment in Saratoga Investment Corp., CLO 2013-1, Ltd. was driven by the actual cash distribution received by the Company in the quarter ended November 30, 2019, coupled with an increase in the discount rate. Changes in net assets resulting from operations For the three months ended November 30, 2020, we recorded a net increase in net assets resulting from operations of $6.4 million. Based on 11,169,817 weighted average common shares outstanding as of November 30, 2020, our per share net increase in net assets resulting from operations was $0.57 for the three months ended November 30, 2020. For the three months ended November 30, 2019, we recorded a net increase in net assets resulting from operations of $13.7 million, or $1.37 per share based on 10,036,086 weighted average common shares outstanding as of November 30, 2019. For the nine months ended November 30, 2020, we recorded a net increase in net assets resulting from operations of $5.5 million. Based on 11,198,287 weighted average common shares outstanding as of November 30, 2020, our per share net increase in net assets resulting from operations was $0.49 for the nine months ended November 30, 2020. For the nine months ended November 30, 2019, we recorded a net increase in net assets resulting from operations of $28.9 million, or $3.33 per share based on 8,702,190 weighted average common shares outstanding as of November 30, 2019. FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES We intend to continue to generate cash primarily from cash flows from operations, including interest earned from our investments in debt in middle market companies, interest earned from the temporary investment of cash in U.S. government securities and other high-quality debt investments that mature in one year or less, future borrowings and future offerings of securities. Although we expect to fund the growth of our investment portfolio through the net proceeds from future equity offerings, including our dividend reinvestment plan (“DRIP”), and issuances of senior securities or future borrowings, to the extent permitted by the 1940 Act, we cannot assure you that our plans to raise capital will be successful. In this regard, because our common stock has historically traded at a price below our current net asset value per share and we are limited in our ability to sell our common stock at a price below net asset value per share, we have been and may continue to be limited in our ability to raise equity capital. In addition, we intend to distribute to our stockholders substantially all of our operating taxable income in order to satisfy the distribution requirement applicable to RICs under the Code. In satisfying this distribution requirement, in accordance with certain applicable provisions of the Code and the Treasury regulations and a revenue procedure 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 that the aggregate amount of cash to be distributed to all stockholders must be at least 20% of the aggregate declared distribution. We may rely on the revenue procedure in future periods to satisfy our RIC distribution requirement. Also, as a BDC, we generally are required to meet a coverage ratio of total assets, less liabilities and indebtedness not represented by senior securities, to total senior securities, which include all of our borrowings and any outstanding preferred stock, of at least 200.0%, reduced to 150.0% effective April 16, 2019 following the approval received from the non-interested board of directors on April 16, 2018. This requirement limits the amount that we may borrow. Our asset coverage ratio, as defined in the 1940 Act, was 377.3% as of November 30, 2020 and 607.1% as of February 29, 2020. To fund growth in our investment portfolio in the future, we anticipate needing to raise additional capital from various sources, including the equity markets and other debt-related markets, which may or may not be available on favorable terms, if at all. Consequently, we may not have the funds or the ability to fund new investments, to make additional investments in our portfolio companies, to fund our unfunded commitments to portfolio companies, to pay dividends or to repay borrowings. Also, the illiquidity of our portfolio investments may make it difficult for us to sell these investments when desired and, if we are required to sell these investments, we may realize significantly less than their recorded value. 83 Madison revolving credit facility Below is a summary of the terms of the senior secured revolving credit facility we entered into with Madison Capital Funding LLC (the “Credit Facility”) on June 30, 2010, which was most recently amended on September 14, 2020. (See Recent Developments). Availability . The Company can draw up to the lesser of (i) $40.0 million (the “Facility Amount”) and (ii) the product of the applicable advance rate (which varies from 50.0% to 75.0% depending on the type of loan asset) and the value, determined in accordance with the Credit Facility (the “Adjusted Borrowing Value”), of certain “eligible” loan assets pledged as security for the loan (the “Borrowing Base”), in each case less (a) the amount of any undrawn funding commitments the Company has under any loan asset and which are not covered by amounts in the Unfunded Exposure Account referred to below (the “Unfunded Exposure Amount”) and outstanding borrowings. Each loan asset held by the Company as of the date on which the Credit Facility was closed was valued as of that date and each loan asset that the Company acquires after such date will be valued at the lowest of its fair value, its face value (excluding accrued interest) and the purchase price paid for such loan asset. Adjustments to the value of a loan asset will be made to reflect, among other things, changes in its fair value, a default by the obligor on the loan asset, insolvency of the obligor, acceleration of the loan asset, and certain modifications to the terms of the loan asset. The Credit Facility contains limitations on the type of loan assets that are “eligible” to be included in the Borrowing Base and as to the concentration level of certain categories of loan assets in the Borrowing Base such as restrictions on geographic and industry concentrations, asset size and quality, payment frequency, status and terms, average life, and collateral interests. In addition, if an asset is to remain an “eligible” loan asset, the Company may not make changes to the payment, amortization, collateral and certain other terms of the loan assets without the consent of the administrative agent that will either result in subordination of the loan asset or be materially adverse to the lenders. Collateral. The Credit Facility is secured by substantially all of the assets of the Company (other than assets held by our SBIC subsidiary) and includes the subordinated notes (“CLO Notes”) issued by Saratoga CLO and the Company’s rights under the CLO Management Agreement (as defined below). Interest Rate and Fees. Under the Credit Facility, funds are borrowed from or through certain lenders at the greater of the prevailing LIBOR rate and 1.00%, plus an applicable margin of 4.75%. At the Company’s option, funds may be borrowed based on an alternative base rate, which in no event will be less than 2.00%, and the applicable margin over such alternative base rate is 3.75%. In addition, the Company pays the lenders a commitment fee of 0.75% per year on the unused amount of the Credit Facility for the duration of the Revolving Period (defined below). Accrued interest and commitment fees are payable monthly. The Company was also obligated to pay certain other fees to the lenders in connection with the closing of the Credit Facility. Revolving Period and Maturity Date. The Company may make and repay borrowings under the Credit Facility for a period of three years following the closing of the Credit Facility (the “Revolving Period”). The Revolving Period may be terminated at an earlier time by the Company or, upon the occurrence of an event of default, by action of the lenders or automatically. All borrowings and other amounts payable under the Credit Facility are due and payable in full five years after the end of the Revolving Period. Collateral Tests. It is a condition precedent to any borrowing under the Credit Facility that the principal amount outstanding under the Credit Facility, after giving effect to the proposed borrowings, not exceed the lesser of the Borrowing Base or the Facility Amount (the “Borrowing Base Test”). In addition to satisfying the Borrowing Base Test, the following tests must also be satisfied (together with Borrowing Base Test, the “Collateral Tests”): ● Interest Coverage Ratio. The ratio (expressed as a percentage) of interest collections with respect to pledged loan assets, less certai