SARATOGA INVESTMENT CORP. 10-Q

10-Q 1 f10q0521_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 May 31, 2021 ☐ 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 July 7, 2021 was 11,183,471. TABLE OF CONTENTS Page PART I. FINANCIAL INFORMATION Item 1. Consolidated Financial Statements 1 Consolidated Statements of Assets and Liabilities as of May 31, 2021 (unaudited) and February 28, 2021 1 Consolidated Statements of Operations for the three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited) 2 Consolidated Statements of Changes in Net Assets for three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited) 3 Consolidated Statements of Cash Flows for the three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited) 4 Consolidated Schedules of Investments as of May 31, 2021 (unaudited) and February 28, 2021 5 Notes to Consolidated Financial Statements as of May 31, 2021 (unaudited) 17 Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations 75 Item 3. Quantitative and Qualitative Disclosures About Market Risk 110 Item 4. Controls and Procedures 111 PART II. OTHER INFORMATION Item 1. Legal Proceedings 112 Item 1A. Risk Factors 112 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 112 Item 3. Defaults Upon Senior Securities 112 Item 4. Mine Safety Disclosures 112 Item 5. Other Information 112 Item 6. Exhibits 113 Signatures 116 i PART I. FINANCIAL INFORMATION Item 1. Consolidated Financial Statements Saratoga Investment Corp. Consolidated Statements of Assets and Liabilities May 31, 2021 February 28, 2021 (unaudited) ASSETS Investments at fair value Non-control/Non-affiliate investments (amortized cost of $546,808,095 and $471,328,212, respectively) $ 550,875,264 $ 469,946,494 Affiliate investments (amortized cost of $34,774,328 and $17,331,707, respectively) 39,872,709 19,367,740 Control investments (amortized cost of $75,078,830 and $61,353,761, respectively) 87,024,892 64,998,481 Total investments at fair value (amortized cost of $656,661,253 and $550,013,680, respectively) 677,772,865 554,312,715 Cash and cash equivalents 317,932 18,828,047 Cash and cash equivalents, reserve accounts 19,659,681 11,087,027 Interest receivable (net of reserve of $588,904 and $1,152,086, respectively) 6,622,330 4,223,630 Due from affiliate (See Note 6) 2,600,000 2,719,000 Management fee receivable 852,876 34,644 Other assets 848,278 947,315 Total assets $ 708,673,962 $ 592,152,378 LIABILITIES Revolving credit facility $ 39,000,000 $ - Deferred debt financing costs, revolving credit facility (715,161 ) (639,983 ) SBA debentures payable 168,000,000 158,000,000 Deferred debt financing costs, SBA debentures payable (3,397,674 ) (2,642,622 ) 6.25% Notes Payable 2025 60,000,000 60,000,000 Deferred debt financing costs, 6.25% notes payable 2025 (1,581,383 ) (1,675,064 ) 7.25% Notes Payable 2025 43,125,000 43,125,000 Deferred debt financing costs, 7.25% notes payable 2025 (1,319,867 ) (1,401,307 ) 7.75% Notes Payable 2025 5,000,000 5,000,000 Deferred debt financing costs, 7.75% notes payable 2025 (225,397 ) (239,222 ) 4.375% Notes Payable 2026 50,000,000 - Deferred debt financing costs, (1,205,274 ) - 6.25% Notes Payable 2027 15,000,000 15,000,000 Deferred debt financing costs, 6.25% notes payable 2027 (469,585 ) (476,820 ) Base management and incentive fees payable 10,727,948 6,556,674 Deferred tax liability 2,180,727 1,922,664 Accounts payable and accrued expenses 1,986,517 1,750,267 Interest and debt fees payable 1,763,342 2,645,784 Directors fees payable 92,000 70,500 Due to manager 368,013 279,065 Excise tax payable - 691,672 Total liabilities 388,329,206 287,966,608 Commitments and contingencies (See Note 8) NET ASSETS Common stock, par value $0.001, 100,000,000 common shares authorized, 11,159,995 and 11,161,416 common shares issued and outstanding, respectively 11,160 11,161 Capital in excess of par value 304,784,840 304,874,957 Total distributable earnings (deficit) 15,548,756 (700,348 ) Total net assets 320,344,756 304,185,770 Total liabilities and net assets $ 708,673,962 $ 592,152,378 NET ASSET VALUE PER SHARE $ 28.70 $ 27.25 See accompanying notes to consolidated financial statements. 1 Saratoga Investment Corp. Consolidated Statements of Operations (unaudited) For the three months ended May 31, 2021 May 31, 2020 INVESTMENT INCOME Interest from investments Interest income: Non-control/Non-affiliate investments $ 11,236,737 $ 9,955,562 Affiliate investments 340,512 398,370 Control investments 1,854,985 1,133,584 Payment-in-kind interest income: Non-control/Non-affiliate investments 176,766 581,946 Affiliate investments - 46,223 Control investments 77,675 34,782 Total interest from investments 13,686,675 12,150,467 Interest from cash and cash equivalents 522 11,796 Management fee income 818,232 634,572 Structuring and advisory fee income 1,301,875 313,306 Other income 1,008,686 187,000 Total investment income 16,815,990 13,297,141 OPERATING EXPENSES Interest and debt financing expenses 4,340,912 2,563,876 Base management fees 2,758,908 2,160,528 Incentive management fees expense (benefit) 5,262,536 (1,858,310 ) Professional fees 507,061 386,888 Administrator expenses 693,750 556,250 Insurance 86,318 67,726 Directors fees and expenses 92,000 60,000 General & administrative 490,651 350,814 Income tax expense (benefit) 27,919 (8,945 ) Total operating expenses 14,260,055 4,278,827 NET INVESTMENT INCOME 2,555,935 9,018,314 REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) from investments: Non-control/Non-affiliate investments 1,910,141 8,480 Net realized gain (loss) from investments 1,910,141 8,480 Net change in unrealized appreciation (depreciation) on investments: Non-control/Non-affiliate investments 5,448,887 (24,422,894 ) Affiliate investments 3,062,348 (2,444,252 ) Control investments 8,301,342 (5,083,223 ) Net change in unrealized appreciation (depreciation) on investments 16,812,577 (31,950,369 ) Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments (230,144 ) 267,740 Net realized and unrealized gain (loss) on investments 18,492,574 (31,674,149 ) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 21,048,509 $ (22,655,835 ) WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS (LOSS) PER COMMON SHARE $ 1.88 $ (2.02 ) WEIGHTED AVERAGE COMMON SHARES OUTSTANDING - BASIC AND DILUTED 11,170,045 11,217,545 See accompanying notes to consolidated financial statements. 2 Saratoga Investment Corp. Consolidated Statements of Changes in Net Assets (unaudited) For the three months ended May 31, 2021 May 31, 2020 INCREASE (DECREASE) FROM OPERATIONS: Net investment income $ 2,555,935 $ 9,018,314 Net realized gain from investments 1,910,141 8,480 Net change in unrealized appreciation (depreciation) on investments 16,812,577 (31,950,369 ) Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments (230,144 ) 267,740 Net increase (decrease) in net assets resulting from operations 21,048,509 (22,655,835 ) DECREASE FROM SHAREHOLDER DISTRIBUTIONS: Total distributions to shareholders (4,799,405 ) - Net decrease in net assets from shareholder distributions (4,799,405 ) - CAPITAL SHARE TRANSACTIONS: Stock dividend distribution 914,102 - Repurchases of common stock (1,003,420 ) - Repurchase fees (800 ) - Net increase in net assets from capital share transactions (90,118 ) - Total increase (decrease) in net assets 16,158,986 (22,655,835 ) Net assets at beginning of period 304,185,770 304,286,853 Net assets at end of period $ 320,344,756 $ 281,631,018 See accompanying notes to consolidated financial statements. 3 Saratoga Investment Corp. Consolidated Statements of Cash Flows (unaudited) For the three months ended May 31, 2021 May 31, 2020 Operating activities NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 21,048,509 $ (22,655,835 ) 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 (191,699 ) 703,636 Net accretion of discount on investments (321,106 ) (312,430 ) Amortization of deferred debt financing costs 470,314 272,683 Income tax expense (benefit) 27,919 (8,945 ) Net realized (gain) loss from investments (1,910,141 ) (8,480 ) Net change in unrealized (appreciation) depreciation on investments (16,812,577 ) 31,950,369 Net change in provision for deferred taxes on unrealized appreciation (depreciation) on investments 230,144 (267,740 ) Proceeds from sales and repayments of investments 14,941,409 9,350,378 Purchases of investments (119,166,038 ) (38,998,731 ) (Increase) decrease in operating assets: Interest receivable (2,398,700 ) 501,475 Due from affiliate 119,000 - Management and incentive fee receivable (818,232 ) (13,381 ) Other assets 78,581 40,232 Increase (decrease) in operating liabilities: Base management and incentive fees payable 4,171,274 (12,247,640 ) Accounts payable and accrued expenses 236,250 (132,244 ) Interest and debt fees payable (882,442 ) (1,239,086 ) Directors fees payable 21,500 1,500 Excise tax payable (691,672 ) - Due to manager 88,948 (104,112 ) NET CASH PROVIDED BY (USED IN) OPERATING ACTIVITIES (101,758,759 ) (33,168,351 ) Financing activities Borrowings on debt 49,000,000 20,000,000 Paydowns on debt - (487,000 ) Issuance of notes 50,000,000 - Repayments of notes - - Payments of deferred debt financing costs (2,289,179 ) - Proceeds from issuance of common stock - - Payments of cash dividends (3,885,303 ) - Repurchases of common stock (1,003,420 ) - Repurchases fees (800 ) - Payments of offering costs - - NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES 91,821,298 19,513,000 NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS (9,937,461 ) (13,655,351 ) CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, BEGINNING OF PERIOD 29,915,074 39,450,352 CASH AND CASH EQUIVALENTS AND CASH AND CASH EQUIVALENTS, RESERVE ACCOUNTS, END OF PERIOD $ 19,977,613 $ 25,795,001 Supplemental information: Interest paid during the period $ 4,753,043 $ 3,530,278 Cash paid for taxes 692,740 1,006 Supplemental non-cash information: Payment-in-kind interest income and other adjustments to cost 191,699 (703,636 ) Net accretion of discount on investments 321,106 312,430 Amortization of deferred debt financing costs 470,314 272,683 Stock dividend distribution 914,102 - See accompanying notes to consolidated financial statements. 4 Saratoga Investment Corp. Consolidated Schedule of Investments May 31, 2021 (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 - 171.9% (b) Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009 210,456 1,589,630 $ 522,061 0.2 % Total Consumer Products 1,589,630 522,061 0.2 % 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 - 0.0 % My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017 96,224 - - 0.0 % Total Consumer Services 4,867,102 - 0.0 % Schoox, Inc. (h), (i) Corporate Education Software Series 1 Membership Interest 12/8/2020 226,782 1,050,000 3,107,700 1.0 % Total Corporate Education Software 1,050,000 3,107,700 1.0 % Passageways, Inc. Corporate Governance First Lien Term Loan (3M USD LIBOR+7.00% ), 8.75% Cash, 12/31/2025 7/5/2018 $ 5,000,000 $ 4,972,664 5,050,000 1.6 % Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 8.75% Cash, 12/31/2025 1/3/2020 $ 5,000,000 4,981,026 5,050,000 1.6 % Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018 2,027,205 1,000,000 7,498,384 2.3 % Total Corporate Governance 10,953,690 17,598,384 5.5 % 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 6,496,025 6,632,349 2.1 % 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 $ 2,150,000 2,130,433 2,175,370 0.7 % Total Dental Practice Management 8,626,458 8,807,719 2.8 % 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 13,904,721 14,278,600 4.5 % 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 6,943,964 7,139,300 2.2 % PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020 1,755,831 2,000,000 2,472,430 0.8 % Total Dental Practice Management Software 22,848,685 23,890,330 7.5 % C2 Educational Systems (d) Education Services First Lien Term Loan (3M USD LIBOR+8.50%), 10.00% Cash, 5/31/2023 5/31/2017 $ 18,500,000 18,474,451 16,033,950 5.0 % C2 Education Systems, Inc. (h) Education Services Series A-1 Preferred Stock 5/18/2021 3,127 499,904 502,621 0.2 % Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015 750 750,000 1,163,583 0.4 % 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 $ 25,763,417 25,581,181 25,737,653 8.0 % 5 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Zollege PBC Education Services First Lien Term Loan (3M USD LIBOR+5.50%), 6.50% Cash, 5/11/2026 5/11/2021 $ 16,000,000 15,860,000 15,840,000 4.9 % Zollege PBC (j) Education Services Delayed Draw Term Loan (3M USD LIBOR+5.50%), 6.50% Cash, 5/11/2026 5/11/2021 $ - - - 0.0 % Zollege PBC (h) Education Services Class A Units 5/11/2021 250,000 250,000 250,000 0.1 % Total Education Services 61,415,536 59,527,807 18.6 % Destiny Solutions Inc. (d) Education Software First Lien Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 10/24/2024 5/16/2018 $ 43,500,000 43,240,511 43,500,000 13.6 % Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018 2,342 2,468,464 3,894,965 1.2 % Identity Automation Systems (d) Education Software First Lien Term Loan (3M USD LIBOR+9.24%), 10.99% Cash, 5/8/2024 8/25/2014 $ 17,203,750 17,203,750 17,203,750 5.4 % 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 43,715 171,571 189,269 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 4,944,183 5,100,000 1.6 % GoReact (j) Education Software Delayed Draw Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 1/17/2025 1/17/2020 $ 1,200,000 1,200,000 1,224,000 0.4 % Kev Software Inc. (a) Education Software First Lien Term Loan (1M USD LIBOR+8.63%), 9.63% Cash, 9/13/2023 9/13/2018 $ 17,701,539 17,624,605 17,889,175 5.6 % Total Education Software 87,085,700 89,699,007 28.1 % Top Gun Pressure Washing, LLC Facilities Maintenance First Lien Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 12/31/2025 8/12/2019 $ 5,000,000 4,964,114 4,958,500 1.5 % Top Gun Pressure Washing, LLC (j) Facilities Maintenance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.50% Cash, 12/31/2025 8/12/2019 $ 5,500,000 5,449,645 5,454,350 1.8 % TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019 488,148 488,148 318,329 0.1 % Total Facilities Maintenance 10,901,907 10,731,179 3.4 % 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 2,979,495 3,032,400 0.9 % Davisware, LLC Field Service Management Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024 9/6/2019 $ 977,790 974,822 988,350 0.3 % Total Field Service Management 3,954,317 4,020,750 1.2 % GDS Software Holdings, LLC (h) Financial Services Common Stock Class A Units 8/23/2018 250,000 250,000 445,913 0.1 % Total Financial Services 250,000 445,913 0.1 % Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016 5,000 380,353 564,042 0.2 % Total Healthcare Products Manufacturing 380,353 564,042 0.2 % Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018 400,000 400,000 900,986 0.3 % 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 9,959,761 10,059,000 3.1 % Axiom Purchaser, Inc. (d) Healthcare Services Delayed Draw Term Loan (3M USD LIBOR+6.00%), 7.75% Cash, 6/19/2023 6/19/2018 $ 6,000,000 5,965,638 6,035,400 1.9 % ComForCare Health Care Healthcare Services First Lien Term Loan (3M USD LIBOR+7.75%), 8.75% Cash, 1/31/2025 1/31/2017 $ 25,000,000 24,875,298 24,957,500 7.8 % Total Healthcare Services 41,200,697 41,952,886 13.1 % 6 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Greenphire, Inc. (h), (i) Healthcare Software Series A Preferred Stock 3/24/2021 102 10,181,700 10,381,661 3.2 % TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019 2,241 2,310,929 2,816,291 0.9 % HemaTerra Holding Company, LLC Healthcare Software First Lien Term Loan (3M USD LIBOR+6.75%), 8.25% Cash, 1/31/2026 4/15/2019 $ 36,000,000 35,660,359 35,776,800 11.2 % HemaTerra Holding Company, LLC (d), (j) Healthcare Software Delayed Draw Term Loan (3M USD LIBOR+6.75%), 8.25% Cash, 1/31/2026 4/15/2019 $ 12,000,000 11,919,627 11,925,600 3.7 % 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 7,928,456 8,023,200 2.5 % 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 11/12/2020 300,000 300,000 339,111 0.1 % Total Healthcare Software 68,301,071 69,262,663 21.6 % Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014 5,081 508,077 187,153 0.1 % Roscoe Medical, Inc. Healthcare Supply Second Lien Term Loan 11.25% Cash, 6/28/2021 3/26/2014 $ 5,141,413 5,141,413 5,141,413 1.6 % Total Healthcare Supply 5,649,490 5,328,566 1.7 % Book4Time, Inc. (a) Hospitality/Hotel First Lien Term Loan (3M USD LIBOR+8.50%), 10.25%, 12/22/2025 12/22/2020 $ 3,136,517 3,108,278 3,105,152 1.0 % Book4Time, Inc. (a), (j) Hospitality/Hotel Delayed Draw Term Loan (3M USD LIBOR+8.50%), 10.25%, 12/22/2025 12/22/2020 $ - - - 0.0 % Book4Time, Inc. (a), (i) Hospitality/Hotel Class A Preferred Shares 12/22/2020 200,000 156,826 200,000 0.1 % Knowland Group, LLC Hospitality/Hotel Second Lien Term Loan (3M USD LIBOR+8.00%), 10.00% Cash/1.00% PIK, 5/9/2024 11/9/2018 $ 15,767,918 15,767,918 11,280,368 3.5 % 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 2,975,728 3,000,000 0.9 % Total Hospitality/Hotel 22,008,750 17,585,520 5.5 % 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 $ 20,000,000 19,815,082 19,950,000 6.2 % 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 19,815,082 19,950,000 6.2 % 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 $ 6,843,746 6,843,746 6,843,746 2.1 % Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015 343 - 2,188,389 0.7 % Total Industrial Products 6,843,746 9,032,135 2.8 % 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 $ 14,146,020 14,138,542 14,249,286 4.4 % 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 $ 20,556,466 20,507,075 20,706,528 6.5 % LogicMonitor, Inc. IT Services First Lien Term Loan (3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023 3/20/2020 $ 23,000,000 22,883,641 23,101,200 7.2 % Total IT Services 57,529,258 58,057,014 18.1 % 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 12,124,363 12,389,100 3.9 % 7 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets 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 4,963,878 5,077,500 1.6 % Total Marketing Services 17,088,241 17,466,600 5.5 % 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 5,474,886 5,500,000 1.7 % Total Non-profit Services 5,474,886 5,500,000 1.7 % Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note (3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2023 12/28/2012 $ 3,300,000 3,300,000 3,248,190 1.0 % Emily Street Enterprises, L.L.C. (h) Office Supplies Warrant Membership Interests Expires 12/28/2022 12/28/2012 49,318 400,000 151,202 0.0 % Total Office Supplies 3,700,000 3,399,392 1.0 % Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024 9/21/2016 $ 18,000,000 17,983,170 17,380,801 5.3 % Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024 10/1/2018 $ 1,000,000 994,942 965,600 0.3 % Total Payroll Services 18,978,112 18,346,401 5.6 % Lexipol, LLC (h), (i) Public Safety/Local Government Software Series A Preferred Stock 3/30/2021 102 10,204,900 10,204,900 3.2 % Total Public Safety/Local Government Software 10,204,900 10,204,900 3.2 % 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 13,880,144 13,976,200 4.4 % Buildout, Inc. Real Estate Services Delayed Draw Term Loan (3M USD LIBOR+7.75%), 9.25% Cash, 7/9/2025 2/12/2021 $ 3,000,000 2,971,412 2,994,900 0.8 % Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020 1,071 1,071,301 1,215,084 0.4 % Total Real Estate Services 17,922,857 18,186,184 5.6 % TMAC Acquisition Co., LLC (k) Restaurant Unsecured Term Loan 8.00% PIK, 9/01/2023 3/1/2018 $ 2,261,017 2,261,017 2,169,383 0.7 % Total Restaurant 2,261,017 2,169,383 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 25,818,242 24,603,800 7.6 % 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 1,000,000 946,300 0.3 % Total Sports Management 26,818,242 25,550,100 7.9 % Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014 100,000 100,000 968,628 0.3 % Total Staffing Services 100,000 968,628 0.3 % National Waste Partners (d) Waste Services Second Lien Term Loan 10.00% Cash, 2/13/2022 2/13/2017 $ 9,000,000 8,988,368 9,000,000 2.8 % Total Waste Services 8,988,368 9,000,000 2.8 % Sub Total Non-control/Non-affiliate investments 546,808,095 550,875,264 171.9 % Affiliate investments - 12.4% (b) Artemis Wax Corp. (f), (j) Consumer Services Delayed Draw Term Loan (1M USD LIBOR+9.00%), 12.00% Cash, 5/20/2026 5/20/2021 $ 15,295,662 15,142,705 15,142,705 4.7 % Artemis Wax Corp. (f) (h) Consumer Services Series B-1 Preferred Stock 5/20/2021 934,463 1,500,000 1,500,000 0.5 % Artemis Wax Corp. (f) (h) Consumer Services Series C Preferred Stock 5/20/2021 4,099 4,099,260 4,099,261 1.3 % Total Consumer Services 20,741,965 20,741,966 6.5 % 8 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets GreyHeller LLC (f) Cyber Security First Lien Term Loan (3M USD LIBOR+9.00%), 10.00% Cash, 12/31/2025 11/17/2016 $ 7,000,000 6,988,553 7,000,000 2.2 % GreyHeller LLC (d), (f), (j) Cyber Security Delayed Draw Term Loan (3M USD LIBOR+9.00%), 10.00% Cash, 12/31/2025 10/19/2020 $ 6,250,000 6,193,810 6,250,001 1.9 % GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016 850,000 850,000 5,880,742 1.8 % Total Cyber Security 14,032,363 19,130,743 5.9 % Sub Total Affiliate investments 34,774,328 39,872,709 12.4 % Control investments - 27.2% (b) Netreo Holdings, LLC (g) IT Services First Lien Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 12/31/2025 7/3/2018 $ 5,332,239 5,304,439 5,361,034 1.6 % Netreo Holdings, LLC (g), (j) IT Services Delayed Draw Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 12/31/2025 5/26/2020 $ 10,241,069 10,142,979 10,296,371 3.2 % Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018 4,600,677 8,344,500 17,946,180 5.6 % Total IT Services 23,791,918 33,603,585 10.4 % Saratoga Investment Corp. CLO 2013-1, Ltd. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities 15.87%, 4/20/2033 1/22/2008 $ 111,000,000 33,411,912 35,546,307 11.1 % Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities (3M USD LIBOR+10.00%), 10.13%, 4/20/2033 2/26/2021 $ 17,875,000 17,875,000 17,875,000 5.7 % Total Structured Finance Securities 51,286,912 53,421,307 16.8 % Sub Total Control investments 75,078,830 87,024,892 27.2 % TOTAL INVESTMENTS - 211.5% (b) $ 656,661,253 $ 677,772,865 211.5 % Number of Shares Cost Fair Value % of Net Assets Cash and cash equivalents and cash and cash equivalents, reserve accounts - 6.1% (b) U.S. Bank Money Market (l) 19,659,681 $ 19,659,681 $ 19,659,681 6.1 % Total cash and cash equivalents and cash and cash equivalents, reserve accounts 19,659,681 $ 19,659,681 $ 19,659,681 6.1 % (a) Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of May 31, 2021 non-qualifying assets represent 8.4% of the Company’s portfolio at fair value. As a BDC, the Company can only invest 30% of its portfolio in non-qualifying assets. (b) Percentages are based on net assets of $320,344,756 as of May 31, 2021. (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 15.87% 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 quarter ended May 31, 2021 in which the issuer was an Affiliate are as follows: 9 Company Purchases Sales Total Interest from Investments Management Fee Income Net Realized Gain (Loss) from Investments Net Change in Unrealized Appreciation (Depreciation) Artemis Wax Corp. $ 20,732,455 $ - $ 31,122 $ - $ - $ 1 GreyHeller LLC 3,960,000 - 309,390 - - 1,995,811 Total $ 24,692,455 $ - $ 340,512 $ - $ - $ 1,995,812 (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 quarter ended May 31, 2021 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 $ 14,104,500 $ - $ 279,628 $ - $ 2 $ 4,224,061 Saratoga Investment Corp. CLO 2013-1, Ltd. - - 1,133,296 818,232 - 4,531,306 Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note - - 465,738 - - (454,025 ) Total $ 14,104,500 $ - $ 1,878,661 $ 818,232 $ 2 $ 8,301,342 (h) Non-income producing at May 31, 2021. (i) Includes securities issued by an affiliate of the company. (j) All or a portion of this investment has an unfunded commitment as of May 31, 2021. (see Note 8 to the consolidated financial statements). (k) As of May 31, 2021, the investment was on non-accrual status. The fair value of these investments was approximately $2.2 million, which represented 0.3% 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 May 31, 2021. LIBOR - London Interbank Offered Rate 1M USD LIBOR - The 1 month USD LIBOR rate as of May 31, 2021 was 0.09%. 3M USD LIBOR - The 3 month USD LIBOR rate as of May 31, 2021 was 0.13%. 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 28, 2021 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 - 154.5% (b) Targus Holdings, Inc. (d), (h) Consumer Products Common Stock 12/31/2009 210,456 1,589,630 $ 475,116 0.2 % Total Consumer Products 1,589,630 475,116 0.2 % 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 676 712,343 181,240 0.1 % My Alarm Center, LLC (h) Consumer Services Common Stock 7/14/2017 96,224 - - 0.0 % Total Consumer Services 4,867,102 181,240 0.1 % Schoox, Inc. (h), (i) Corporate Education Software Series 1 Membership Interest 12/8/2020 226,782 1,050,000 1,050,000 0.3 % Total Corporate Education Software 1,050,000 1,050,000 0.3 % Passageways, Inc. Corporate Governance First Lien Term Loan (3M USD LIBOR+7.00% ), 8.75% Cash, 12/31/2025 7/5/2018 $ 5,000,000 $ 4,972,250 5,050,000 1.7 % Passageways, Inc. (j) Corporate Governance Delayed Draw Term Loan (3M USD LIBOR+7.00%), 8.75% Cash, 12/31/2025 1/3/2020 $ 5,000,000 4,980,871 5,050,000 1.7 % Passageways, Inc. (h) Corporate Governance Series A Preferred Stock 7/5/2018 2,027,205 1,000,000 3,164,579 1.0 % Total Corporate Governance 10,953,121 13,264,579 4.4 % 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 6,491,331 6,489,450 2.1 % 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 $ 650,000 644,419 643,500 0.2 % Total Dental Practice Management 7,135,750 7,132,950 2.3 % 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 13,895,777 14,278,600 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 6,938,964 7,139,300 2.3 % PDDS Buyer, LLC (h) Dental Practice Management Software Series A-1 Preferred Shares 8/10/2020 1,755,831 2,000,000 2,240,946 0.7 % Total Dental Practice Management Software 22,834,741 23,658,846 7.7 % C2 Educational Systems (d) Education Services First Lien Term Loan (3M USD LIBOR+8.50%), 10.00% Cash, 5/31/2023 5/31/2017 $ 16,000,000 15,998,379 13,499,200 4.4 % Texas Teachers of Tomorrow, LLC (h), (i) Education Services Common Stock 12/2/2015 750 750,000 1,011,596 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 $ 25,947,024 25,748,711 25,874,372 8.5 % Total Education Services 42,497,090 40,385,168 13.2 % Destiny Solutions Inc. (d) Education Software First Lien Term Loan (3M USD LIBOR+7.50%), 9.50% Cash, 10/24/2024 5/16/2018 $ 43,500,000 43,204,446 43,630,500 14.3 % Destiny Solutions Inc. (h), (i) Education Software Limited Partner Interests 5/16/2018 2,342 2,468,464 3,069,267 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 $ 17,247,500 17,247,500 17,357,884 5.7 % 11 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Identity Automation Systems (h) Education Software Common Stock Class A-2 Units 8/25/2014 232,616 232,616 725,726 0.2 % Identity Automation Systems (h) Education Software Common Stock Class A-1 Units 3/6/2020 43,715 171,571 185,553 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 4,940,297 5,100,000 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 $ 17,835,914 17,745,629 18,021,407 5.9 % Total Education Software 86,010,523 88,090,337 28.9 % 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 2,977,590 3,030,000 1.0 % Davisware, LLC Field Service Management Delayed Draw Term Loan (3M USD LIBOR+7.00%), 9.00% Cash, 7/31/2024 9/6/2019 $ 977,790 974,399 987,568 0.3 % Total Field Service Management 3,951,989 4,017,568 1.3 % GDS Software Holdings, LLC (h) Financial Services Common Stock Class A Units 8/23/2018 250,000 250,000 418,531 0.1 % Total Financial Services 250,000 418,531 0.1 % Ohio Medical, LLC (h) Healthcare Products Manufacturing Common Stock 1/15/2016 5,000 380,353 566,592 0.2 % Total Healthcare Products Manufacturing 380,353 566,592 0.2 % Axiom Parent Holdings, LLC (h) Healthcare Services Common Stock Class A Units 6/19/2018 400,000 400,000 1,415,301 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 9,955,177 10,059,000 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 $ 6,000,000 5,961,748 6,035,400 2.0 % ComForCare Health Care Healthcare Services First Lien Term Loan (3M USD LIBOR+7.75%), 8.75% Cash, 1/31/2025 1/31/2017 $ 25,000,000 24,871,639 24,900,000 8.2 % Total Healthcare Services 41,188,564 42,409,701 14.0 % TRC HemaTerra, LLC (h) Healthcare Software Class D Membership Interests 4/15/2019 2,000,000 2,000,000 2,572,002 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 5,956,593 6,060,000 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 11,914,035 12,120,000 4.0 % 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 7,924,230 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 11/12/2020 300,000 300,000 300,000 0.1 % Total Healthcare Software 28,094,858 28,972,002 9.5 % Roscoe Medical, Inc. (d), (h) Healthcare Supply Common Stock 3/26/2014 5,081 508,077 280,346 0.1 % Roscoe Medical, Inc. Healthcare Supply Second Lien Term Loan 11.25% Cash, 6/28/2021 3/26/2014 $ 5,141,413 5,141,413 5,141,413 1.7 % Total Healthcare Supply 5,649,490 5,421,759 1.8 % Book4Time, Inc. (a) Hospitality/Hotel First Lien Term Loan (3M USD LIBOR+8.50%), 10.25%, 12/22/2025 12/22/2020 $ 3,136,517 3,105,788 3,105,152 1.0 % Book4Time, Inc. (a), (j) Hospitality/Hotel Delayed Draw Term Loan (3M USD LIBOR+8.50%), 10.25%, 12/22/2025 12/22/2020 $ - - - 0.0 % 12 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets Book4Time, Inc. (a), (i) Hospitality/Hotel Class A Preferred Shares 12/22/2020 200,000 156,826 156,826 0.1 % 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 10,788,409 3.5 % 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 2,973,387 3,030,000 1.0 % Total Hospitality/Hotel 22,003,919 17,080,387 5.6 % 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 6,932,689 6,950,300 2.3 % Granite Comfort, LP HVAC Services and Sales Delayed Draw Term Loan (1M USD LIBOR+9.00%), 10.00% Cash, 11/16/2025 11/16/2020 $ 8,000,000 7,922,181 7,943,200 2.6 % Total HVAC Services and Sales 14,854,870 14,893,500 4.9 % 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 $ 7,021,046 7,021,046 7,021,046 2.3 % Vector Controls Holding Co., LLC (d), (h) Industrial Products Warrants to Purchase Limited Liability Company Interests, Expires 11/30/2027 5/31/2015 343 - 2,025,598 0.7 % Total Industrial Products 7,021,046 9,046,644 3.0 % 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 $ 14,073,964 14,064,807 14,176,704 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 $ 20,451,756 20,388,504 20,601,054 6.8 % LogicMonitor, Inc. IT Services First Lien Term Loan (3M USD LIBOR+5.00), 6.00% Cash, 5/17/2023 3/20/2020 $ 23,000,000 22,865,749 23,089,700 7.6 % Total IT Services 57,319,060 57,867,458 19.1 % 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 12,116,232 12,322,000 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 4,960,820 5,050,000 1.7 % Total Marketing Services 17,077,052 17,372,000 5.8 % 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 5,470,787 5,554,450 1.8 % Total Non-profit Services 5,470,787 5,554,450 1.8 % Emily Street Enterprises, L.L.C. Office Supplies Senior Secured Note (3M USD LIBOR+8.50%), 10.00% Cash, 12/31/2023 12/28/2012 $ 3,300,000 3,300,000 3,287,460 1.1 % Emily Street Enterprises, L.L.C. (h) Office Supplies Warrant Membership Interests Expires 12/28/2022 12/28/2012 49,318 400,000 322,853 0.1 % Total Office Supplies 3,700,000 3,610,313 1.2 % Apex Holdings Software Technologies, LLC Payroll Services First Lien Term Loan (3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024 9/21/2016 $ 18,000,000 17,981,413 17,368,200 5.7 % Apex Holdings Software Technologies, LLC Payroll Services Delayed Draw Term Loan (3M USD LIBOR+8.00%), 9.00% Cash, 9/21/2024 10/1/2018 $ 1,000,000 994,557 964,900 0.3 % Total Payroll Services 18,975,970 18,333,100 6.0 % 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 7,189,591 7,395,000 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 4,838,617 4,973,850 1.6 % 13 Company Industry Investment Interest Rate/ Maturity Original Acquisition Date Principal/ Number of Shares Cost Fair Value (c) % of Net Assets V Rental Holdings LLC (h) Property Management Class A-1 Membership Units 10/8/2019 122,578 365,914 2,208,681 0.7 % Total Property Management 12,394,122 14,577,531 4.7 % 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 13,873,317 13,952,400 4.6 % Buildout, Inc. Real Estate Services Delayed Draw Term Loan (3M USD LIBOR+7.75%), 9.25% Cash, 7/9/2025 2/12/2021 $ 3,000,000 2,970,361 2,989,800 1.0 % Buildout, Inc. (h), (i) Real Estate Services Limited Partner Interests 7/9/2020 1,071 1,071,301 1,090,002 0.4 % Total Real Estate Services 17,914,979 18,032,202 6.0 % TMAC Acquisition Co., LLC (k) Restaurant Unsecured Term Loan 8.00% PIK, 9/01/2023 3/1/2018 $ 2,261,017 2,261,017 2,140,911 0.7 % Total Restaurant 2,261,017 2,140,911 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 25,800,743 24,525,800 8.1 % 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 1,000,000 943,300 0.3 % Total Sports Management 26,800,743 25,469,100 8.4 % Avionte Holdings, LLC (h) Staffing Services Class A Units 1/8/2014 100,000 100,000 924,509 0.3 % Total Staffing Services 100,000 924,509 0.3 % National Waste Partners (d) Waste Services Second Lien Term Loan 10.00% Cash, 2/13/2022 2/13/2017 $ 9,000,000 8,981,436 9,000,000 3.0 % Total Waste Services 8,981,436 9,000,000 3.0 % Sub Total Non-control/Non-affiliate investments 471,328,212 469,946,494 154.5 % Affiliate investments - 6.4% (b) GreyHeller LLC (f) Cyber Security First Lien Term Loan (3M USD LIBOR+11.00%), 12.00% Cash, 12/31/2025 11/17/2016 $ 7,000,000 6,988,549 7,000,000 2.3 % GreyHeller LLC (d), (f), (j) Cyber Security Delayed Draw Term Loan (3M USD LIBOR+11.00%), 12.00% Cash, 12/31/2025 10/19/2020 $ 2,250,000 2,233,173 2,250,000 0.7 % GreyHeller LLC (f), (h) Cyber Security Series A Preferred Units 11/17/2016 850,000 850,000 3,924,291 1.3 % Total Cyber Security 10,071,722 13,174,291 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 4,961,639 4,491,500 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 1,810,198 1,639,397 0.6 % TG Pressure Washing Holdings, LLC (f), (h) Facilities Maintenance Preferred Equity 8/12/2019 488,148 488,148 62,552 0.0 % Total Facilities Maintenance 7,259,985 6,193,449 2.1 % Sub Total Affiliate investments 17,331,707 19,367,740 6.4 % Control investments - 21.4% (b) Netreo Holdings, LLC (g) IT Services First Lien Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 12/31/2025 7/3/2018 $ 5,296,555 5,268,156 5,349,521 1.8 % Netreo Holdings, LLC (g), (j) IT Services Delayed Draw Term Loan (3M USD LIBOR +6.25%), 9.00% Cash/2.75% PIK, 12/31/2020 5/26/2020 $ 1,223,203 1,213,962 1,235,435 0.4 % Netreo Holdings, LLC (g), (h) IT Services Common Stock Class A Unit 7/3/2018 3,150,000 3,150,000 8,634,768 2.8 % Total IT Services 9,632,118 15,219,724 5.0 % 14 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. (a), (e), (g) Structured Finance Securities Other/Structured Finance Securities 11.72%, 1/20/2030 1/22/2008 $ 111,000,000 33,846,643 31,449,732 10.3 % Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note (a), (g) Structured Finance Securities Other/Structured Finance Securities (3M USD LIBOR+10.00%), 10.19%, 4/20/2033 2/26/2021 $ 17,875,000 17,875,000 18,329,025 6.1 % Total Structured Finance Securities 51,721,643 49,778,757 16.4 % Sub Total Control investments 61,353,761 64,998,481 21.4 % TOTAL INVESTMENTS - 182.2% (b) $ 550,013,680 $ 554,312,715 182.2 % Number of Shares Cost Fair Value % of Net Assets Cash and cash equivalents and cash and cash equivalents, reserve accounts - 6.2% (b) U.S. Bank Money Market (l) 18,828,047 $ 18,828,047 $ 18,828,047 6.2 % Total cash and cash equivalents and cash and cash equivalents, reserve accounts 18,828,047 $ 18,828,047 $ 18,828,047 6.2 % (a) Represents an ineligible investment as defined under Section 55(a) of the Investment Company Act of 1940, as amended. As of February 28, 2021 non-qualifying assets represent 9.5% 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 $304,185,770 as of February 28, 2021. (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 11.72% interest rate in the table above represents the effective interest rate currently earned on the investment cost and is based on the current cash interest and other income generated by the investment. (f) As defined in the Investment Company Act, this portfolio company is an Affiliate as we own between 5.0% and 25.0% of the voting securities. Transactions during the year ended February 28, 2021 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. $ - $ (2,309,806 ) $ 172,626 $ - $ (8,726,013 ) $ 7,745,228 GreyHeller LLC 2,227,500 - 987,969 - - 942,175 Top Gun Pressure Washing, LLC 1,806,750 - 668,294 - - (712,711 ) TG Pressure Washing Holdings, LLC 138,148 - - - - (425,596 ) Total $ 4,172,398 $ (2,309,806 ) $ 1,828,889 $ - $ (8,726,013 ) $ 7,549,096 15 (g) As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25% of the portfolio company’s outstanding voting securities. Transactions during the year ended February 28, 2021 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 $ - $ 738,012 $ - $ - $ 1,832,136 Saratoga Investment Corp. CLO 2013-1, Ltd. 14,000,000 - 3,535,591 2,507,626 - (1,433,723 ) Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-2 Notes - (2,500,000 ) 237,163 - - 22,000 Saratoga Investment Corp. CLO 2013-1, Ltd. Class F-R-3 Note 17,875,000 - 15,187 - - 454,025 Saratoga Investment Corp. CLO 2013-1, Ltd. Class G-R-2 Notes - (7,500,000 ) 805,759 - - 65,250 Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. 22,500,000 (25,000,000 ) 679,926 - - 295,459 Total $ 55,563,000 $ (35,000,000 ) $ 6,011,638 $ 2,507,626 $ - $ 1,235,147 (h) Non-income producing at February 28, 2021. (i) Includes securities issued by an affiliate of the company. (j) All or a portion of this investment has an unfunded commitment as of February 28, 2021. (see Note 8 to the consolidated financial statements). (k) As of February 28, 2021, 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 28, 2021. LIBOR - London Interbank Offered Rate 1M USD LIBOR - The 1 month USD LIBOR rate as of February 28, 2021 was 0.12%. 3M USD LIBOR - The 3 month USD LIBOR rate as of February 28, 2021 was 0.19%. PIK - Payment-in-Kind (see Note 2 to the consolidated financial statements). See accompanying notes to consolidated financial statements. 16 SARATOGA INVESTMENT CORP. NOTES TO CONSOLIDATED FINANCIAL STATEMENTS May 31, 2021 (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 income tax purposes and may incur income tax expense as a result of their ownership of portfolio companies. On March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC, LP (“SBIC LP”), received a Small Business Investment Company (“SBIC”) license from the Small Business Administration (“SBA”). On August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP (“SBIC II LP”), also received an SBIC license from the SBA. The new license will provide up to $175.0 million in additional long-term capital in the form of SBA debentures. Note 2. Summary of Significant Accounting Policies Basis of Presentation The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), are stated in U.S. Dollars and include the accounts of the Company and its special purpose financing subsidiaries, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC), SBIC LP, SBIC II LP, SIA-Avionte, Inc., SIA-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. 17 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 May 31, 2021. 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 May 31, 2021, 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: May 31, 2021 May 31, 2020 Cash and cash equivalents $ 317,932 $ 12,842,608 Cash and cash equivalents, reserve accounts 19,659,681 12,952,393 Total cash and cash equivalents and cash and cash equivalents, reserve accounts $ 19,977,613 $ 25,795,001 18 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 measurement 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. 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. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors. 19 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 valuation technique that utilizes prepayment, re-investment and loss inputs 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 flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs 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. 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 May 31, 2021, certain investments in two portfolio companies, including preferred equity interests, were on non-accrual status with a fair value of approximately $2.2 million, or 0.3% of the fair value of our portfolio. At February 28, 2021, 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. 20 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. 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 (1) 98.0% of its net ordinary income in any calendar year, (2) 98.2% of its capital gain net income for each one-year period ending on October 31and (3) any net ordinary income and capital gain net income that it recognized for preceding years, but were not distributed during such year, and on which the Company paid no U.S federal income tax. 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 the 4.0% U.S. federal 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 U.S. federal excise tax purposes, the Company accrues the U.S. federal 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. 21 The Company may utilize wholly-owned holding companies taxed under Subchapter C of the Code or tax blockers, when making equity investments in portfolio companies taxed as pass-through entities to meet its source-of-income requirements as a RIC. Taxable Blockers are consolidated in the Company’s U.S. GAAP financial statements and may result in current and deferred federal and state income tax expense with respect to income derived from those investments. Such income, net of applicable income taxes, is not included in the Company’s tax-basis net investment income until distributed by the Taxable Blocker, which may result in timing and character differences between the Company’s U.S. GAAP and tax-basis net investment income and realized gains and losses. Income tax expense or benefit from Taxable Blockers related to net investment income are included in total operating expenses, while any expense or benefit related to federal or state income tax originated for capital gains and losses are included together with the applicable net realized or unrealized gain or loss line item. Deferred tax assets of the Taxable Blockers are reduced by a valuation allowance when, in the opinion of management, it is more-likely than-not that some portion or all of the deferred tax assets will not be realized. FASB ASC Topic 740, Income Taxes, (“ASC 740”), provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Company’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet a “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current period. The Company recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the consolidated statements of operations. During the fiscal year ended February 28, 2021, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2018, 2019, 2020 and 2021 federal tax years for the Company remain subject to examination by the IRS. As of May 31, 2021 and February 28, 2021, there were no uncertain tax positions. The Company is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change significantly in the next 12 months. Dividends Dividends to common stockholders are recorded on the ex-dividend date. The amount to be paid out as a dividend is determined by the board of directors. Net realized capital gains, if any, are generally distributed at least annually, although we may decide to retain such capital gains for reinvestment. We have adopted a dividend reinvestment plan (“DRIP”) that provides for reinvestment of our dividend distributions on behalf of our stockholders unless a stockholder elects to receive cash. As a result, if our board of directors authorizes, and we declare, a cash dividend, then our stockholders who have not “opted out” of the DRIP by the dividend record date will have their cash dividends automatically reinvested into additional shares of our common stock, rather than receiving the cash dividends. We have the option to satisfy the share requirements of the DRIP through the issuance of new shares of common stock or through open market purchases of common stock by the DRIP plan administrator. Capital Gains Incentive Fee The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the consolidated statements of assets and liabilities, by the Company to the Manager when the net realized and unrealized gain on its investments exceed all net realized and unrealized capital losses on its investments given the fact that a capital gains incentive fee would be owed to the Manager if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Company’s Manager related to capital gains will be determined and payable in arrears at the end of each fiscal year and 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. 22 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. 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 independent market participants at the measurement date. ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability of inputs used in measuring investments at fair value. Market price observability is affected by a number of factors, including the type of investment and the characteristics specific to the investment. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value. Based on the observability of the inputs used in the valuation techniques, the Company is required to provide disclosures on fair value measurements according to the fair value hierarchy. The fair value hierarchy ranks the observability of the inputs used to determine fair values. Investments carried at fair value are classified and disclosed in one of the following three categories: ● Level 1—Valuations based on quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. ● Level 2— Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments which are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed. ● Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. 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 technique. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors. 23 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 May 31, 2021 (dollars in thousands), according to the fair value hierarchy: Fair Value Measurements Level 1 Level 2 Level 3 Total First lien term loans $ - $ - $ 516,154 $ 516,154 Second lien term loans - - 25,422 25,422 Unsecured term loans - - 2,169 2,169 Structured finance securities - - 53,421 53,421 Equity interests - - 80,607 80,607 Total $ - $ - $ 677,773 $ 677,773 The following table presents fair value measurements of investments, by major class, as of February 28, 2021 (dollars in thousands), according to the fair value hierarchy: Fair Value Measurements Level 1 Level 2 Level 3 Total First lien term loans $ - $ - $ 440,456 $ 440,456 Second lien term loans - - 24,930 24,930 Unsecured term loans - - 2,141 2,141 Structured finance securities - - 49,779 49,779 Equity interests - - 37,007 37,007 Total $ - $ - $ 554,313 $ 554,313 The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 2021 (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, 2021 $ 440,456 $ 24,930 $ 2,141 $ 49,779 $ 37,007 $ 554,313 Payment-in-kind and other adjustments to cost 231 (435 ) 396 192 Net accretion of discount on investments 314 7 - - 321 Net change in unrealized appreciation (depreciation) on investments 497 485 28 4,077 11,725 16,812 Purchases 87,321 31,845 119,166 Sales and repayments (12,665 ) (2,276 ) (14,941 ) Net realized gain (loss) from investments 1,910 1,910 Balance as of May 31, 2021 $ 516,154 $ 25,422 $ 2,169 $ 53,421 $ 80,607 $ 677,773 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 $ 838 $ 485 $ 28 $ 4,076 $ 13,568 $ 18,995 24 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 three months ended May 31, 2021. The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the three months ended May 31, 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 191 466 - (1,361 ) - (704 ) Net accretion of discount on investments 279 33 - - - 312 Net change in unrealized appreciation (depreciation) on investments (19,115 ) (4,582 ) (1,035 ) (3,803 ) (3,415 ) (31,950 ) Purchases 36,189 - 2,500 - 310 38,999 Sales and repayments (9,350 ) - - - - (9,350 ) Net realized gain (loss) from investments 8 - - - - 8 Balance as of May 31, 2020 $ 354,435 $ 69,487 $ 5,811 $ 27,306 $ 25,908 $ 482,947 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 $ (18,880 ) $ (4,583 ) $ (1,034 ) $ (3,804 ) $ (3,414 ) $ (31,715 ) 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 three months ended May 31, 2020. 25 The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of May 31, 2021 were as follows (dollars in thousands): Fair Value Valuation Technique Unobservable Input Range Weighted Average* First lien term loans $ 516,154 Market Comparables Market Yield (%) 5.8% - 18.1% 9.6% EBITDA Multiples (x) 6.8x 6.8x Revenue Multiples (x) 4.7x - 11.2x 8.2x Second lien term loans 25,422 Market Comparables Market Yield (%) 10.0% - 23.7% 17.6% EBITDA Multiples (x) 7.5x 7.5x Unsecured term loans 2,169 Market Comparables Market Yield (%) 25.2% 25.2% EBITDA Multiples (x) 5.2x 5.2x Structured finance securities 53,421 Discounted Cash Flow Discount Rate (%) 10.0% - 15.0% 13.9% Recovery Rate (%) 35% - 70% 70.0% Prepayment Rate (%) 20.0% 20.0% Equity interests 80,607 Enterprise Value Waterfall EBITDA Multiples (x) 3.3x - 74.0x 32.6x Revenue Multiples (x) 0.5x - 21.8x 9.2x Total $ 677,773 * The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input. The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2021 were as follows (dollars in thousands): Fair Value Valuation Technique Unobservable Input Range Weighted Average* First lien term loans $ 440,456 Market Comparables Market Yield (%) 5.8% - 18.7% 9.7% EBITDA Multiples (x) 6.8x 6.8x Revenue Multiples (x) 4.1x - 8.0x 7.5x Second lien term loans 24,930 Market Comparables Market Yield (%) 10.0% - 24.5% 16.5% EBITDA Multiples (x) 7.5x 7.5x Unsecured term loans 2,141 Market Comparables Market Yield (%) 31.1% 31.1% EBITDA Multiples (x) 5.2x 5.2x Structured finance securities 49,779 Discounted Cash Flow Discount Rate (%) 10.0% - 15.00% 13.8% Recovery Rate (%) 35.0% - 70.0% 70.0% Prepayment Rate (%) 20.0% 20.0% Equity interests 37,007 Enterprise Value Waterfall EBITDA Multiples (x) 4.0x - 14.0x 9.7x Revenue Multiples (x) 0.5x - 38.3x 4.6x Total $ 554,313 * The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input. 26 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 May 31, 2021 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 $ 516,790 78.7 % $ 516,154 76.2 % Second lien term loans 29,898 4.6 25,422 3.7 Unsecured term loans 2,261 0.3 2,169 0.3 Structured finance securities 51,287 7.8 53,421 7.9 Equity interests 56,425 8.6 80,607 11.9 Total $ 656,661 100.0 % $ 677,773 100.0 % The composition of our investments as of February 28, 2021 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 $ 441,590 80.3 % $ 440,456 79.5 % Second lien term loans 29,891 5.4 24,930 4.4 Unsecured term loans 2,261 0.4 2,141 0.4 Structured finance securities 51,722 9.4 49,779 9.0 Equity interests 24,550 4.5 37,007 6.7 Total $ 550,014 100.0 % $ 554,313 100.0 % For loans and debt securities for which market quotations are not available, we determine their fair value based on third party indicative broker quotes, where available, or the inputs that a hypothetical market participant would use to value the security in a current hypothetical sale using a market comparables valuation technique. In applying the market comparables valuation technique, we determine the fair value based on such factors as market participant inputs 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 comparables technique is not sufficient or appropriate, we may use additional techniques such as an asset liquidation or expected recovery model. For equity securities of portfolio companies and partnership interests, we determine the fair value using an enterprise value waterfall valuation technique. Under the enterprise value waterfall valuation technique, 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 techniques and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The techniques 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. 27 Our investment in Saratoga CLO is carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs 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 flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs 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 inputs 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 May 31, 2021. The inputs at May 31, 2021 for the valuation model include: ● Default rate: 2% ● Recovery rate: 35% -70% ● Discount rate: 10% – 15% ● Prepayment rate: 20% ● 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 May 31, 2021. 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 Inc. (“Destiny”) 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. Hematerra Holdings Company, LLC HemaTerra Holding Company, LLC (“HemaTerra”) provides SaaS-based software solutions addressing complex supply chain issues across a variety of medical environments, including blood, plasma, tissue, implants and DNA sample management, to customers in blood centers, hospitals, pharmaceuticals, and law enforcement settings. 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-3. 28 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., (“CLO 2013-1 Warehouse 2”) a wholly-owned subsidiary Saratoga CLO. On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. As of May 31, 2021, there remained an outstanding receivable of $2.6 million for such transaction costs which is presented as due from affiliate on the Company’s consolidated statement of assets and liabilities. 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 May 31, 2021 and May 31, 2020, we accrued management fee income of $0.8 million and $0.6 million, respectively, and interest income of $1.1 million and $0.6 million, respectively, from the Saratoga CLO. As of May 31, 2021, the aggregate principal amounts of the Company’s investments in the subordinated notes and Class F-R-3 Notes of the Saratoga CLO was $111.0 million and $17.9 million, respectively, which had a corresponding fair value of $35.5 million and $17.9 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 May 31, 2021, Saratoga CLO had investments with a principal balance of $685.6 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. 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 May 31, 2021, the present value of the projected future cash flows of the subordinated notes was approximately $36.2 million, using a 15.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 which consists of investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021; to date the Company has since received distributions of $68.4 million, management fees of $25.7 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. 29 As of February 28, 2021, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $31.4 million. The Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. As of February 28, 2021, the fair value of its investment in the Class F-R-3 Notes was $18.3 million, As of February 28, 2021, Saratoga CLO had investments with a principal balance of $603.7 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. 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 February 28, 2021, the present value of the projected future cash flows of the subordinated notes was approximately $31.7 million, using a 15.0% discount rate. Below is certain financial information from the separate financial statements of Saratoga CLO as of May 31, 2021 (unaudited) and February 28, 2021 and for the three months ended May 31, 2021 (unaudited) and May 31, 2020 (unaudited). Saratoga Investment Corp. CLO 2013-1, Ltd. Statements of Assets and Liabilities May 31, 2021 February 28, 2021 (unaudited) ASSETS Investments at fair value Loans at fair value (amortized cost of $676,759,933 and $594,722,350, respectively) $ 672,967,501 $ 591,518,866 Equities at fair value (amortized cost of $385,327 and $527,124, respectively) 467,214 501,175 Total investments at fair value (amortized cost of $677,145,260 and $595,249,474, respectively) 673,434,715 592,020,041 Cash and cash equivalents 10,710,367 114,145,406 Receivable from open trades 4,531,236 1,901,754 Interest receivable (net of reserve of $37,834 and $35,000, respectively) 2,027,683 1,497,333 Prepaid expenses and other assets 71,753 118,868 Total assets $ 690,775,754 $ 709,683,402 LIABILITIES Interest payable $ 3,847,101 $ 124,233 Payable from open trades 41,198,406 66,298,568 Accrued base management fee 170,576 6,930 Accrued subordinated management fee 682,301 27,715 Accounts payable and accrued expenses 78,545 809,760 Due to Affiliate 2,600,000 2,600,000 Saratoga Investment Corp. CLO 2013-1, Ltd. Notes: Class A-1-R-3 Senior Secured Floating Rate Notes 357,500,000 357,500,000 Class A-2-R-3 Senior Secured Floating Rate Notes 65,000,000 65,000,000 Class B-FL-R-3 Senior Secured Floating Rate Notes 60,500,000 60,500,000 Class B-FXD-R-3 Senior Secured Fixed Rate Notes 11,000,000 11,000,000 Class C-FL-R-3 Deferrable Mezzanine Floating Rate Notes 26,000,000 26,000,000 Class C-FXD-R-3 Deferrable Mezzanine Fixed Rate Notes 6,500,000 6,500,000 Class D-R-3 Deferrable Mezzanine Floating Rate Notes 39,000,000 39,000,000 Discount on Class D-R-3 Notes (286,302 ) (292,368 ) Class E-R-3 Deferrable Mezzanine Floating Rate Notes 27,625,000 27,625,000 Discount on Class E-R-3 Notes (2,974,358 ) (3,037,380 ) Class F-R-3 Notes Deferrable Junior Floating Rate Notes 17,875,000 17,875,000 Deferred debt financing costs (2,229,317 ) (2,276,780 ) Subordinated Notes 111,000,000 111,000,000 Discount on Subordinated Notes (47,042,654 ) (48,039,412 ) Total liabilities $ 718,044,298 $ 738,221,266 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) (27,268,794 ) (28,538,114 ) Total net assets (27,268,544 ) (28,537,864 ) Total liabilities and net assets $ 690,775,754 $ 709,683,402 See accompanying notes to financial statements. 30 Saratoga Investment Corp. CLO 2013-1, Ltd. Statements of Operations (unaudited) For the three months ended May 31, 2021 May 31, 2020 INVESTMENT INCOME Total interest from investments $ 7,747,740 $ 7,213,489 Interest from cash and cash equivalents 572 3,287 Other income 317,057 109,641 Total investment income 8,065,369 7,326,417 EXPENSES Interest and debt financing expenses 4,836,177 7,288,568 Base management fee 163,646 125,521 Subordinated management fee 654,586 502,085 Professional fees 35,666 88,490 Trustee expenses - 51,858 Other expense 59,783 28,052 Total expenses 5,749,858 8,084,574 NET INVESTMENT INCOME (LOSS) 2,315,511 (758,157 ) REALIZED AND UNREALIZED LOSS ON INVESTMENTS Net realized loss from investments (565,094 ) (1,803,884 ) Net change in unrealized depreciation on investments (481,097 ) (31,575,429 ) Net realized and unrealized gain (loss) on investments (1,046,191 ) (33,379,313 ) NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,269,320 $ (34,137,470 ) See accompanying notes to financial statements 31 Saratoga Investment Corp. CLO 2013-1, Ltd. Schedule of Investments May 31, 2021 (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 Covia Holdings C/S (Unimin) Metals & Mining Common Stock Equity - - - - - 49,312 385,327 $ 369,840 Fusion Connect Warrant Telecommunications Warrants Equity - - - - - 32,832 - - J Jill Common Stock Retail Common Stock Equity - - - - - 5,085 - 97,374 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 $ 2,055,028 $ 2,042,826 1,972,827 Adtalem Global Education Inc. Services: Business Term Loan B (02/21) Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 2/12/2028 2,000,000 1,980,000 1,984,580 Aegis Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.50 % 5/9/2025 3,386,421 3,367,055 3,265,797 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.88 % 1/4/2026 490,000 490,000 488,775 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (09/20) Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 1/4/2026 384,464 381,065 383,503 AHEAD DB Holdings, LLC Services: Business Term Loan (04/21) Loan 3M USD LIBOR+ 3.75 % 0.75 % 4.50 % 10/18/2027 3,000,000 2,888,935 2,995,770 AI Convoy (Luxembourg) S.a.r.l. Aerospace & Defense Term Loan B (USD) Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 1/18/2027 1,485,000 1,479,037 1,484,376 AIS HoldCo, LLC Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.19 % 8/15/2025 5,212,127 5,058,226 5,107,885 Alchemy Copyrights, LLC Media: Diversified & Production Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.50 % 3.50 % 3/10/2028 497,503 494,212 496,259 Alchemy US Holdco 1, LLC Metals & Mining Term Loan Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.59 % 10/10/2025 1,887,500 1,868,406 1,850,939 Alion Science and Technology Corporation Aerospace & Defense Term Loan (2/21) Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 7/23/2024 3,990,000 3,975,478 3,974,040 AlixPartners, LLP Banking, Finance, Insurance & Real Estate Term Loan B (01/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 2/4/2028 250,000 249,391 248,958 Alkermes, Inc. Healthcare & Pharmaceuticals Term Loan B (3/21) Loan 3M USD LIBOR+ 2.50 % 0.50 % 3.00 % 3/12/2026 500,000 498,791 496,250 Allen Media, LLC Media: Diversified & Production Term Loan Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.70 % 2/10/2027 2,969,527 2,957,931 2,962,103 Alliant Holdings I, Inc. Banking, Finance, Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+ 3.75 % 0.50 % 4.25 % 11/6/2027 500,000 497,500 500,375 Altisource Solutions 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 1,223,297 1,219,007 1,026,554 Altium Packaging LLC Containers, Packaging & Glass Term Loan (01/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 2.84 % 1/29/2028 500,000 497,552 496,485 Altra Industrial Motion Corp. Capital Equipment Term Loan Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.09 % 10/1/2025 1,477,611 1,475,296 1,470,223 American Greetings Corporation Media: Advertising, Printing & Publishing Term Loan Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 4/6/2024 3,878,028 3,876,039 3,878,028 American Trailer World Corp Automotive Term Loan Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 3/3/2028 2,000,000 1,990,352 1,996,260 AmeriLife Holdings LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 3/18/2027 1,488,901 1,480,666 1,487,040 AmWINS Group, LLC Banking, Finance, Insurance & Real Estate Term Loan 2/21 Loan 1M USD LIBOR+ 2.25 % 0.75 % 3.00 % 2/17/2028 1,995,000 1,990,338 1,984,826 Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.95 % 8/11/2025 975,000 971,940 698,519 Anchor Glass Container Corporation Containers, Packaging & Glass Term Loan (07/17) Loan 3M USD LIBOR+ 2.75 % 1.00 % 3.75 % 12/7/2023 478,844 477,830 431,333 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 Issuer Name Anchor Packaging, LLC Containers, Packaging & Glass Term Loan B Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 7/18/2026 994,937 985,812 996,180 ANI Pharmaceuticals, Inc. Healthcare & Pharmaceuticals ANI Pharmaceuticals 5/21 T/L B Loan 3M USD LIBOR+ 6.00 % 0.75 % 6.75 % 5/24/2027 3,000,000 2,940,000 2,947,500 APi Group DE, Inc. (J2 Acquisition) Services: Business Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 10/1/2026 987,500 983,568 980,094 APLP Holdings Limited Partnership Energy: Electricity Term Loan B (3/21) Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 4/1/2027 1,000,000 990,055 1,000,630 Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.84 % 5/15/2026 2,992,386 2,954,312 2,962,462 Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate Term Loan B1 (2/21) Loan 1M USD LIBOR+ 3.50 % 0.50 % 4.00 % 3/6/2028 1,000,000 990,216 997,500 AppLovin Corporation High Tech Industries Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 8/15/2025 997,449 997,449 995,893 Aramark Corporation Services: Consumer Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 1/15/2027 2,475,000 2,398,873 2,438,915 Aramark Corporation Services: Consumer Term Loan B (4/21) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 4/1/2028 2,000,000 1,990,169 1,989,580 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 3,338,111 3,200,174 Aretec Group, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.34 % 10/1/2025 2,455,000 2,447,156 2,444,763 ARISTOCRAT LEISURE LIMITED Hotel, Gaming & Leisure Term Loan (5/20) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 10/19/2024 992,500 976,985 993,741 ASP MSG Acquisition Co., Inc Beverage, Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 8/16/2023 3,820,663 3,787,713 3,820,663 Aspen Dental Management, Inc. Services: Consumer Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.84 % 4/30/2025 1,945,276 1,939,344 1,922,069 Asplundh Tree Expert, LLC Services: Business Term Loan 2/21 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 9/7/2027 995,000 990,535 992,353 Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.09 % 11/3/2023 328,929 327,614 328,037 Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B8 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 12/18/2026 3,017,802 3,005,209 3,001,777 Avast Software S.R.O. (Sybil Finance) High Tech Industries Term Loan (Sybil Software) Loan 3M USD LIBOR+ 2.00 % 0.00 % 2.20 % 3/12/2028 2,000,000 1,995,063 1,993,920 Avaya, Inc. Telecommunications Term Loan B1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.35 % 12/15/2027 1,755,766 1,746,470 1,760,156 Avaya, Inc. Telecommunications Term Loan B-2 (2/21) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.10 % 12/15/2027 1,000,000 1,000,000 1,001,880 Avison Young (Canada) Inc Services: Business Term Loan Loan 3M USD LIBOR+ 6.00 % 0.00 % 6.19 % 1/31/2026 3,432,330 3,386,981 3,380,845 Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.75 % 2.50 % 1/15/2025 1,000,000 877,024 996,350 Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B5 Loan 1M USD LIBOR+ 2.50 % 0.75 % 3.25 % 12/1/2027 498,750 494,114 499,234 Azalea TopCo, Inc. Services: Business Incremental Term Loan (4/21) Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 7/24/2026 998,750 991,814 998,331 B&G Foods, Inc. Beverage, Food & Tobacco Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 10/10/2026 706,458 701,043 705,724 B.C. Unlimited Liability Co (Burger King) Beverage, Food & Tobacco Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 11/19/2026 1,481,250 1,445,382 1,457,639 Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 10/14/2027 995,000 981,284 996,244 Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 3M USD LIBOR+ 3.50 % 0.50 % 4.00 % 10/14/2027 250,000 249,375 250,313 BALL METALPACK, LLC (PE Spray) Containers, Packaging & Glass Term Loan Loan 3M USD LIBOR+ 4.50 % 0.00 % 4.64 % 7/25/2025 3,894,875 3,882,778 3,881,905 Bass Pro Group, LLC Retail Term Loan B (02/21) Loan 6M USD LIBOR+ 4.25 % 0.75 % 5.00 % 3/6/2028 997,500 992,617 1,004,233 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 Issuer Name Belfor Holdings Inc. Services: Consumer Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.09 % 4/6/2026 250,000 249,697 250,625 Belron Finance US LLC Automotive Term Loan B (3/21) Loan 3M USD LIBOR+ 2.75 % 0.50 % 3.25 % 4/13/2028 2,000,000 1,980,293 1,993,760 Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 4/23/2026 997,468 990,420 987,494 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 1,491,237 1,480,658 1,491,237 Blount International, Inc. Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 4/12/2023 3,410,063 3,408,500 3,415,757 Blucora, Inc. Services: Consumer Term Loan (11/17) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/22/2024 2,449,255 2,442,432 2,455,378 Blue Tree Holdings, Inc. Chemicals, Plastics, & Rubber Term Loan (2/21) Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.65 % 3/4/2028 1,000,000 997,582 992,500 Bombardier Recreational Products, Inc. Consumer goods: Durable Term Loan (1/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.09 % 5/24/2027 1,481,300 1,470,721 1,463,613 Boxer Parent Company, Inc. High Tech Industries Term Loan (2/21) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 10/2/2025 527,385 527,385 524,442 Bracket Intermediate Holding Corp Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 4.25 % 0.00 % 4.44 % 9/5/2025 975,000 971,950 972,563 BrightSpring Health Services (Phoenix Guarantor) Healthcare & Pharmaceuticals Term Loan B-3 Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.60 % 3/5/2026 1,000,000 1,000,000 992,500 BroadStreet Partners, Inc. Banking, Finance, Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 1/22/2027 3,001,849 2,995,634 2,972,251 Brookfield WEC Holdings Inc. Energy: Electricity Term Loan (1/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 8/1/2025 1,488,731 1,491,426 1,478,504 Buckeye Partners, L.P. Utilities: Oil & Gas Term Loan (1/21) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 11/1/2026 1,985,012 1,971,201 1,973,321 BW Gas & Convenience Holdings LLC Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 4.00 % 3/31/2028 2,500,000 2,475,522 2,503,125 Cable & Wireless Communications Limited Telecommunications Term Loan B-5 Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 1/31/2028 4,000,000 3,985,297 3,941,440 Callaway Golf Company Retail Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.59 % 1/4/2026 688,125 678,077 691,394 Cardtronics Inc Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 6/29/2027 1,491,237 1,485,752 1,490,119 CareerBuilder, LLC Services: Business Term Loan Loan 3M USD LIBOR+ 6.75 % 1.00 % 7.75 % 7/31/2023 5,393,388 5,178,845 5,140,600 CareStream Health, Inc. Healthcare & Pharmaceuticals Term Loan Loan 6M USD LIBOR+ 6.75 % 1.00 % 7.75 % 5/8/2023 2,266,801 2,263,321 2,265,849 Casa Systems, Inc Telecommunications Term Loan Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 12/20/2023 1,402,375 1,396,875 1,391,857 Castle US Holding Corporation Media: Advertising, Printing & Publishing Term Loan B (USD) Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.95 % 1/27/2027 1,992,689 1,979,966 1,958,135 CBI BUYER, INC. Consumer goods: Durable Term Loan Loan 1M USD LIBOR+ 3.25 % 0.50 % 3.75 % 1/6/2028 1,000,000 997,820 997,500 CCI Buyer, Inc Telecommunications Term Loan Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 12/17/2027 250,000 247,660 250,313 CCRR Parent, Inc. Healthcare & Pharmaceuticals Term Loan B Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 3/5/2028 1,000,000 995,059 1,003,750 CCS-CMGC Holdings, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.59 % 9/25/2025 2,443,750 2,427,421 2,405,872 Cengage Learning Acquisitions, Inc. Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+ 4.25 % 1.00 % 5.25 % 6/7/2023 3,922,164 3,896,977 3,917,811 CenturyLink, Inc. Telecommunications Term Loan B (1/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 3/15/2027 3,959,975 3,953,704 3,921,880 Chemours Company, (The) Chemicals, Plastics, & Rubber Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 4/3/2025 987,277 940,471 972,468 Churchill Downs Incorporated Hotel, Gaming & Leisure Term Loan B1 (3/21) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.10 % 3/17/2028 500,000 498,779 495,625 CIMPRESS PUBLIC LIMITED COMPANY Media: Advertising, Printing & Publishing USD Term Loan Loan 1M USD LIBOR+ 3.50 % 0.50 % 4.00 % 4/30/2028 1,000,000 990,029 998,130 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 Issuer Name CITADEL SECURITIES LP Banking, Finance, Insurance & Real Estate Term Loan B (01/21) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 2/2/2028 5,000,000 4,993,963 4,963,400 Clarios Global LP Automotive Term Loan B1 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 4/30/2026 1,432,521 1,421,559 1,424,915 Claros Mortgage Trust, Inc Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.00 % 8/9/2026 2,989,886 2,968,157 2,997,361 CNT Holdings I Corp Retail Term Loan Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 11/8/2027 500,000 497,761 500,625 Cole Haan Consumer goods: Non-durable Term Loan B Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.64 % 2/7/2025 943,750 936,747 898,922 Columbus McKinnon Corporation Capital Equipment Term Loan (4/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 4/7/2028 500,000 498,750 500,625 Compass Power Generation, LLC Utilities: Electric Term Loan B (08/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 12/20/2024 1,796,999 1,794,130 1,787,260 Concordia Healthcare Corp. Healthcare & Pharmaceuticals Term Loan Loan 1W USD LIBOR+ 5.50 % 1.00 % 6.50 % 9/6/2024 1,153,300 1,114,883 1,146,092 Connect Finco SARL Telecommunications Term Loan (1/21) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 12/11/2026 2,970,000 2,829,372 2,971,485 Consolidated Communications, Inc. Telecommunications Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 10/2/2027 714,005 704,187 714,133 CoreCivic, Inc. Banking, Finance, Insurance & Real Estate Term Loan (12/19) Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 12/18/2024 3,386,364 3,340,744 3,259,375 Corelogic, Inc. Services: Business Term Loan (4/21) Loan 3M USD LIBOR+ 3.50 % 0.50 % 4.00 % 4/14/2028 2,500,000 2,487,500 2,487,500 Cortes NP Acquisition Corp (Vertiv) Capital Equipment Term Loan 2/21 Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.86 % 3/2/2027 1,995,000 1,995,000 1,986,282 COWEN INC. Banking, Finance, Insurance & Real Estate Term Loan Loan 6M USD LIBOR+ 3.25 % 0.00 % 4.00 % 3/12/2028 2,992,500 2,977,753 2,977,538 Cross Financial Corp Banking, Finance, Insurance & Real Estate Term Loan B (3/21) Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 9/15/2027 500,000 499,401 500,000 Crown Subsea Communications Holding, Inc. Construction & Building Term Loan (4/21) Loan 1M USD LIBOR+ 5.00 % 0.75 % 5.75 % 4/27/2027 2,876,712 2,848,428 2,881,516 CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.35 % 7/15/2025 1,949,239 1,932,192 1,925,361 CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.35 % 1/15/2026 488,750 487,986 483,007 CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B-5 Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.60 % 4/15/2027 493,750 493,750 490,417 CTS Midco, LLC High Tech Industries Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.00 % 11/2/2027 1,995,000 1,939,439 1,995,000 Daseke Inc Transportation: Cargo Term Loan 2/21 Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 3/5/2028 1,500,000 1,492,658 1,497,495 DCert Buyer, Inc. High Tech Industries Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.09 % 10/16/2026 1,496,222 1,496,222 1,496,222 Dealer Tire, LLC Automotive Term Loan B-1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.34 % 12/12/2025 2,962,500 2,956,828 2,958,797 Delek US Holdings, Inc. Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 3/31/2025 6,364,352 6,313,748 6,192,514 Dell International LLC High Tech Industries Term Loan B-2 Loan 1M USD LIBOR+ 1.75 % 0.25 % 2.00 % 9/19/2025 2,524,048 2,522,032 2,523,594 Delta 2 (Lux) S.a.r.l. Hotel, Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.50 % 1.00 % 3.50 % 2/1/2024 818,289 817,607 812,536 Diamond Sports Group, LLC Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.35 % 8/24/2026 3,435,126 2,925,919 2,459,344 Digital Room LLC Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+ 5.00 % 0.00 % 5.20 % 5/21/2026 2,947,500 2,920,541 2,890,024 Dispatch Acquisition Holdings, LLC Environmental Industries Term Loan B Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 3/25/2028 500,000 495,153 498,750 Dole Food Company Inc. Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.75 % 4/6/2024 451,599 450,672 451,098 DRW Holdings, LLC Banking, Finance, Insurance & Real Estate Term Loan (2/21) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 2/24/2028 6,500,000 6,450,231 6,467,500 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 Issuer Name DTZ U.S. Borrower, LLC Construction & Building Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.84 % 8/21/2025 3,905,600 3,893,098 3,857,483 EagleTree - Carbride Acquisition (Corsair Components) Consumer goods: Durable Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 8/28/2024 2,622,418 2,622,540 2,625,696 Edelman Financial Group Inc., The Banking, Finance, Insurance & Real Estate Term Loan B (3/21) Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 4/7/2028 2,221,875 2,213,226 2,223,275 Electrical Components Inter., Inc. Capital Equipment Term Loan (6/18) Loan 2M USD LIBOR+ 4.25 % 0.00 % 4.37 % 6/26/2025 1,918,921 1,918,167 1,884,534 ELO Touch Solutions, Inc. Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+ 6.50 % 0.00 % 6.59 % 12/14/2025 2,466,935 2,374,020 2,466,935 Encapsys, LLC (Cypress Performance Group) Chemicals, Plastics, & Rubber Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 11/7/2024 490,998 487,627 490,384 Endo Luxembourg Finance Company I S.a.r.l. Healthcare & Pharmaceuticals Term Loan (3/21) Loan 1M USD LIBOR+ 5.00 % 0.75 % 5.75 % 3/27/2028 2,364,846 2,355,240 2,306,056 Endure Digital, Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+ 3.50 % 0.75 % 4.25 % 2/10/2028 2,500,000 2,488,102 2,481,775 Ensemble RCM LLC Services: Business Term Loan Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.94 % 8/3/2026 2,992,405 2,985,523 2,995,397 Enterprise Merger Sub Inc. Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 10/10/2025 4,887,500 4,880,760 4,162,000 EVERI Payments Inc. Hotel, Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 5/9/2024 3,000,000 3,000,000 2,983,140 EyeCare Partners, LLC Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 2/18/2027 1,982,868 1,981,856 1,963,535 Finco I LLC Banking, Finance, Insurance & Real Estate Term Loan B (9/20) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 6/27/2025 2,815,198 2,810,264 2,808,751 First Brands Group, LLC Automotive 1st Lien Term Loan (3/21) Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.00 % 3/30/2027 9,000,000 8,879,410 9,039,420 First Eagle Investment Management Banking, Finance, Insurance & Real Estate Refinancing Term Loan Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.70 % 2/1/2027 5,241,509 5,223,448 5,184,167 Fitness International, LLC (LA Fitness) Services: Consumer Term Loan B (4/18) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 4/18/2025 1,330,058 1,324,600 1,259,951 FOCUS FINANCIAL PARTNERS, LLC Banking, Finance, Insurance & Real Estate Term Loan (1/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.09 % 7/3/2024 498,718 498,194 493,626 Franchise Group, Inc. Services: Consumer First Out Term Loan Loan 3M USD LIBOR+ 4.75 % 0.75 % 5.50 % 3/10/2026 1,000,000 990,447 1,000,000 Franklin Square Holdings, L.P. Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.38 % 8/1/2025 4,387,491 4,364,611 4,343,616 Froneri International (R&R Ice Cream) Beverage, Food & Tobacco Term Loan B-2 Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 1/29/2027 1,985,000 1,981,071 1,956,972 Fusion Telecommunications International Inc. Telecommunications Take Back 2nd Out Term Loan Loan 6M USD LIBOR+ 1.00 % 2.00 % 3.00 % 7/14/2025 827,334 811,091 442,624 Garrett LX III S.a r.l. Automotive Dollar Term Loan Loan 3M USD LIBOR+ 3.25 % 0.50 % 3.75 % 4/28/2028 1,500,000 1,492,558 1,494,375 Gemini HDPE LLC Chemicals, Plastics, & Rubber Term Loan B (12/20) Loan 3M USD LIBOR+ 3.00 % 0.50 % 3.50 % 12/31/2027 2,467,432 2,448,531 2,463,311 General Nutrition Centers, Inc. Retail Second Lien Term Loan Loan 3M USD LIBOR+ 6.00 % 0.00 % 6.20 % 10/7/2026 362,697 362,697 327,033 Genesee & Wyoming, Inc. Transportation: Cargo Term Loan (11/19) Loan 3M USD LIBOR+ 2.00 % 0.00 % 2.20 % 12/30/2026 1,485,000 1,479,107 1,478,080 GEO Group, Inc., The Banking, Finance, Insurance & Real Estate Term Loan Refinance Loan 1M USD LIBOR+ 2.00 % 0.75 % 2.75 % 3/22/2024 3,953,674 3,679,283 3,339,946 GGP Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 8/27/2025 3,959,389 3,232,212 3,820,811 GI Chill Acquisition LLC Services: Business Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.20 % 8/1/2025 3,937,500 3,915,210 3,907,969 Gigamon Inc. Services: Business Term Loan B Loan 3M USD LIBOR+ 3.75 % 0.75 % 4.50 % 12/27/2024 2,923,000 2,906,780 2,915,693 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 Issuer Name Global Business Travel (GBT) III Inc. Hotel, Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 8/13/2025 4,387,500 4,386,754 4,213,843 Global Tel*Link Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.34 % 11/29/2025 4,938,649 4,716,522 4,517,481 Go Daddy Operating Company, LLC High Tech Industries Term Loan 2/21 Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.09 % 8/10/2027 1,994,975 1,994,975 1,985,319 Go Wireless Holdings, Inc. Telecommunications Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 12/22/2024 2,980,195 2,950,622 2,970,271 Goodyear Tire & Rubber Company, The Chemicals, Plastics, & Rubber Second Lien Term Loan Loan 1M USD LIBOR+ 2.00 % - 2.12 % 3/3/2025 3,000,000 2,937,621 2,949,990 Graham Packaging Co Inc Containers, Packaging & Glass Term Loan (2/21) Loan 1M USD LIBOR+ 3.00 % 0.75 % 3.75 % 8/7/2027 979,661 973,157 978,995 Greenhill & Co., Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 4/12/2024 3,210,385 3,187,540 3,202,359 Grosvenor Capital Management Holdings, LLLP Banking, Finance, Insurance & Real Estate Amendment 5 Term Loan Loan 1M USD LIBOR+ 2.50 % 0.50 % 3.00 % 2/24/2028 3,899,991 3,894,681 3,886,575 Guidehouse LLP (fka PricewaterhouseCoopers) Aerospace & Defense Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.09 % 5/1/2025 4,924,683 4,905,261 4,922,910 Harbor Freight Tools USA, Inc. Retail Term Loan B (10/20) Loan 1M USD LIBOR+ 3.00 % 0.75 % 3.75 % 10/20/2027 2,985,000 2,960,963 2,989,358 Harland Clarke Holdings Corp. Media: Advertising, Printing & Publishing Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 11/3/2023 1,585,355 1,581,292 1,402,596 Helix Gen Funding, LLc Energy: Electricity Term Loan B (02/17) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 6/3/2024 238,657 238,480 230,354 Hillman Group Inc. (The) (New) Consumer goods: Durable Term Loan B-1 Loan 6M USD LIBOR+ 2.75 % 0.50 % 3.25 % 2/23/2028 4,156,118 4,145,728 4,148,346 Hillman Group Inc. (The) (New)(a) Consumer goods: Durable Delayed Draw Term Loan (2/21) Loan 6M USD LIBOR+ 2.75 % 0.50 % 3.25 % 2/24/2028 - (2,110 ) (1,578 ) HLF Financing SARL (Herbalife) Consumer goods: Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 8/18/2025 3,900,000 3,888,684 3,875,625 Holley Purchaser, Inc Automotive Term Loan B Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.19 % 10/24/2025 2,443,750 2,427,780 2,435,612 Howden Group Holdings Banking, Finance, Insurance & Real Estate Term Loan (1/21) Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 11/12/2027 1,688,104 1,682,245 1,686,230 Hudson River Trading LLC Banking, Finance, Insurance & Real Estate Term Loan (3/21) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.09 % 3/17/2028 6,000,000 5,941,399 5,958,000 Idera, Inc. High Tech Industries Term Loan (02/21) Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 3/2/2028 4,896,805 4,884,403 4,871,293 INEOS US PETROCHEM LLC Chemicals, Plastics, & Rubber Term Loan (1/21) Loan 3M USD LIBOR+ 2.75 % 0.50 % 3.25 % 1/29/2026 1,000,000 995,462 995,420 INFINITE BIDCO LLC Wholesale Term Loan Loan 1M USD LIBOR+ 3.75 % 0.50 % 4.25 % 3/2/2028 1,500,000 1,496,283 1,492,500 Ingram Micro Inc. High Tech Industries Term Loan B Loan 3M USD LIBOR+ 3.50 % 0.50 % 4.00 % 3/31/2028 1,500,000 1,485,000 1,500,630 Inmar Acquisition Sub, Inc. Services: Business Term Loan B Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/1/2024 3,412,722 3,356,456 3,399,924 Innophos, Inc. Chemicals, Plastics, & Rubber Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.59 % 2/4/2027 495,000 492,965 492,936 INSTANT BRANDS HOLDINGS INC. Consumer goods: Durable Term Loan 4/21 Loan 3M USD LIBOR+ 5.00 % 0.75 % 5.75 % 4/7/2028 2,500,000 2,475,429 2,481,250 Intermediate Dutch Holdings Services: Business Term Loan B Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 3/6/2028 1,250,000 1,249,974 1,253,438 Isagenix International, LLC Beverage, Food & Tobacco Term Loan Loan 3M USD LIBOR+ 5.75 % 1.00 % 6.75 % 6/14/2025 2,573,824 2,540,638 2,060,681 Ivory Merger Sub, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 3/14/2025 2,957,262 2,935,237 2,879,634 J Jill Group, Inc Retail Priming Term Loan Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.00 % 5/8/2024 1,773,779 1,772,060 1,259,383 Jane Street Group Banking, Finance, Insurance & Real Estate Term Loan (1/21) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.84 % 1/31/2028 3,990,000 3,983,483 3,960,793 Jefferies Finance LLC / JFIN Co-Issuer Corp Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.13 % 6/3/2026 3,785,681 3,771,444 3,765,579 37 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 Issuer Name Journey Personal Care Corp. Consumer goods: Non-durable Term Loan B Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 3/1/2028 1,000,000 995,057 1,002,500 JP Intermediate B, LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.50 % 11/15/2025 4,356,412 4,321,901 4,149,483 KAR Auction Services, Inc. Automotive Term Loan B (09/19) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.38 % 9/19/2026 246,250 245,803 240,709 Kindred Healthcare, Inc. Healthcare & Pharmaceuticals Term Loan (6/18) Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.63 % 7/2/2025 1,979,747 1,964,017 1,974,797 Klockner-Pentaplast of America, Inc. Containers, Packaging & Glass Term Loan (1/21) (USD) Loan 3M USD LIBOR+ 4.75 % 0.50 % 5.25 % 2/12/2026 1,500,000 1,492,500 1,495,620 Kodiak BP, LLC Construction & Building Term Loan Loan 3M USD LIBOR+ 3.25 % 0.75 % 4.00 % 3/13/2028 500,000 497,544 498,540 KREF Holdings X LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 9/1/2027 498,750 487,470 501,244 Lakeland Tours, LLC Hotel, Gaming & Leisure Priority Exit PIK Term Loan (9/20) Loan 3M USD LIBOR+ 6.00 % 1.25 % 7.25 % 9/25/2023 310,482 296,563 310,560 Lakeland Tours, LLC Hotel, Gaming & Leisure 2nd Out Take Back PIK Term Loan Loan 3M USD LIBOR+ 1.50 % 1.25 % 2.75 % 9/25/2025 593,161 490,262 556,089 Lakeland Tours, LLC Hotel, Gaming & Leisure Third Out PIK Term Loan Loan 3M USD LIBOR+ 1.50 % 1.25 % 2.75 % 9/25/2025 787,437 472,454 653,572 Lakeland Tours, LLC Hotel, Gaming & Leisure Holdco Fixed Term Loan Loan Fixed 0.00 % 0.00 % 13.25 % 9/27/2027 814,236 168,153 419,331 Lealand Finance Company B.V. Energy: Oil & Gas Exit Term Loan Loan 1M USD LIBOR+ 1.00 % 0.00 % 1.09 % 6/30/2025 327,151 327,151 142,965 Learfield Communications, Inc Media: Advertising, Printing & Publishing Initial Term Loan (A-L Parent) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 12/1/2023 478,750 477,864 444,979 LIAISON ACQUISITION, LLC High Tech Industries Term Loan (3/21) Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 3/4/2028 997,500 995,060 997,500 Lifetime Brands, Inc Consumer goods: Non-durable Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 2/28/2025 2,694,077 2,668,083 2,673,871 Liftoff Mobile, Inc. Media: Advertising, Printing & Publishing Term Loan Loan 3M USD LIBOR+ 3.50 % 0.75 % 4.25 % 3/16/2028 997,500 992,653 995,006 Lightstone Generation LLC Energy: Electricity Term Loan B Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 1/30/2024 1,322,520 1,321,304 1,051,020 Lightstone Generation LLC Energy: Electricity Term Loan C Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 1/30/2024 74,592 74,526 59,279 Lindblad Expeditions, Inc. Hotel, Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 3/21/2025 393,005 392,519 368,442 Lindblad Expeditions, Inc. Hotel, Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 3/21/2025 98,251 98,130 92,110 Liquid Tech Solutions Holdings, LLC Services: Business Term Loan Loan 6M USD LIBOR+ 4.75 % 0.00 % 5.50 % 3/17/2028 1,000,000 995,165 995,000 LogMeIn, Inc. High Tech Industries Term Loan (8/20) Loan 1M USD LIBOR+ 4.75 % 0.00 % 4.85 % 8/31/2027 3,990,000 3,920,399 3,989,362 LPL Holdings, Inc. Banking, Finance, Insurance & Real Estate Term Loan B1 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 11/11/2026 1,229,647 1,227,310 1,220,806 MA FinanceCo LLC High Tech Industries Term Loan B4 Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.25 % 6/5/2025 2,459,296 2,451,618 2,477,741 MAGNITE, INC. Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.75 % 5.75 % 4/1/2028 2,000,000 1,940,468 1,985,000 Marriott Ownership Resorts, Inc. Hotel, Gaming & Leisure Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 8/29/2025 1,317,074 1,317,074 1,295,671 Match Group, Inc, The Services: Consumer Term Loan (1/20) Loan 3M USD LIBOR+ 1.75 % 0.00 % 1.91 % 2/15/2027 250,000 249,518 247,500 Mayfield Agency Borrower Inc. (FeeCo) Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.59 % 2/28/2025 3,418,429 3,390,515 3,378,912 McAfee, LLC Services: Business Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 9/30/2024 1,922,926 1,916,721 1,923,407 Meredith Corporation Media: Advertising, Printing & Publishing Term Loan B2 Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 1/31/2025 578,738 578,006 576,278 Mermaid Bidco Inc. High Tech Industries Term Loan 12/20 Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 12/22/2027 498,750 496,516 497,503 38 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 Issuer Name Messer Industries, LLC Chemicals, Plastics, & Rubber Term Loan B Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.70 % 3/1/2026 3,844,694 3,824,827 3,812,014 Michaels Companies Inc Retail Term Loan B (Magic Mergeco) Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 4/8/2028 1,500,000 1,485,239 1,502,970 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 995,000 945,375 997,667 MKS Instruments, Inc. High Tech Industries Term Loan B6 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 2/2/2026 875,615 869,473 872,113 MLN US Holdco LLC Telecommunications Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.61 % 12/1/2025 977,500 976,320 864,648 MMM Holdings, Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 5.75 % 1.00 % 6.75 % 12/24/2026 6,635,552 6,525,213 6,639,732 MRC Global Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.09 % 9/20/2024 351,484 351,032 348,556 MW Industries, Inc. (Helix Acquisition Holdings) Capital Equipment Term Loan (2019 Incremental) Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.95 % 9/30/2024 2,842,097 2,805,201 2,766,299 Natgasoline LLC Chemicals, Plastics, & Rubber Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.63 % 11/14/2025 1,483,661 1,455,310 1,457,697 National Mentor Holdings, Inc. Healthcare & Pharmaceuticals Term Loan 2/21 Loan 3M USD LIBOR+ 3.75 % 0.75 % 4.50 % 3/2/2028 2,783,615 2,770,882 2,785,369 National Mentor Holdings, Inc. Healthcare & Pharmaceuticals Term Loan C 2/21 Loan 3M USD LIBOR+ 3.75 % 0.75 % 4.50 % 3/2/2028 87,464 87,043 87,519 National Mentor Holdings, Inc.(a) Healthcare & Pharmaceuticals Delayed Draw Term Loan 2/21 Loan 3M USD LIBOR+ 3.75 % 0.75 % 4.50 % 3/2/2028 - - 81 Neenah, Inc. Forest Products & Paper Term Loan B (03/21) Loan 2M USD LIBOR+ 3.00 % 0.50 % 3.50 % 4/6/2028 2,000,000 1,990,101 2,000,000 NeuStar, Inc. Telecommunications Term Loan B4 (03/18) Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 8/8/2024 2,641,566 2,613,561 2,553,734 NeuStar, Inc. Telecommunications Term Loan B-5 Loan 3M USD LIBOR+ 4.50 % 1.00 % 5.50 % 8/8/2024 885,162 874,100 854,624 Nexstar Broadcasting, Inc. (Mission Broadcasting) Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 9/18/2026 1,113,795 1,101,650 1,109,930 Next Level Apparel, Inc. Retail Term Loan Loan 3M PL WIBOR+ 6.00 % 1.00 % 7.00 % 8/9/2024 1,762,840 1,752,237 1,621,813 NM Z Parent Inc (Zep Inc) Chemicals, Plastics, & Rubber Term Loan Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 8/9/2024 2,412,500 2,406,434 2,374,503 NorthPole Newco S.a.r.l Aerospace & Defense Term Loan Loan 3M USD LIBOR+ 7.00 % 0.00 % 7.20 % 3/3/2025 5,239,726 4,845,245 4,506,164 Novetta Solutions, LLC Aerospace & Defense Term Loan Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.00 % 10/16/2022 1,894,870 1,890,672 1,886,589 Novetta Solutions, LLC Aerospace & Defense Second Lien Term Loan Loan 1M USD LIBOR+ 8.50 % 1.00 % 9.50 % 10/16/2023 823,529 820,462 821,471 Novolex Holdings, Inc (Flex Acquisition) Containers, Packaging & Glass Term Loan (02/21) Loan 3M USD LIBOR+ 3.50 % 0.50 % 4.00 % 3/2/2028 1,000,000 995,145 994,110 NPC International, Inc.(b) Beverage, Food & Tobacco Term Loan Loan Prime+ 4.50 % 1.00 % 7.75 % 4/19/2024 69,157 69,104 2,075 Nuvei Technologies Corp. High Tech Industries US Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 9/29/2025 250,000 249,767 250,000 Organon & Co. Healthcare & Pharmaceuticals Term Loan USD Loan 3M USD LIBOR+ 3.00 % 0.50 % 3.50 % 4/7/2028 2,500,000 2,487,500 2,496,425 Pacific Gas and Electric Company Utilities: Electric Term Loan Loan 3M USD LIBOR+ 3.00 % 0.50 % 3.50 % 6/18/2025 1,491,237 1,484,160 1,478,189 PAE Holding Corp Aerospace & Defense Term Loan B (10/20) Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 10/14/2027 1,995,000 1,967,492 1,995,000 Panther Guarantor II, L.P. (Forcepoint) High Tech Industries Term Loan 1/21 Loan 3M USD LIBOR+ 4.50 % 0.50 % 5.00 % 1/7/2028 500,000 496,497 500,000 Pathway Partners Vet Management Company LLC Services: Business Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 3/30/2027 495,196 485,099 492,720 PaySafe Group PLC Services: Business Term Loan B1 (PI UK Holdco II) Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 1/3/2025 1,052,873 1,049,412 1,053,010 PCI Gaming Authority Hotel, Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 5/29/2026 855,192 851,939 850,814 Penn National Gaming Hotel, Gaming & Leisure Term Loan B-1 Loan 1M USD LIBOR+ 2.25 % 0.75 % 3.00 % 10/15/2025 1,777,903 1,720,767 1,774,134 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 Issuer Name Peraton Corp. Aerospace & Defense Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 2/1/2028 5,000,000 4,975,338 5,004,850 PGX Holdings, Inc. Services: Consumer Term Loan Loan 12M USD LIBOR+ 5.25 % 1.00 % 6.25 % 9/29/2023 3,075,640 3,057,381 2,919,305 Pitney Bowes Inc Services: Business Term Loan B Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.10 % 3/17/2028 3,000,000 2,981,661 3,001,255 Pixelle Specialty Solutions LLC Forest Products & Paper Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 10/31/2024 3,535,026 3,512,371 3,521,028 Plastipak Holdings Inc. Containers, Packaging & Glass Term Loan B (04/18) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.60 % 10/14/2024 2,789,599 2,773,113 2,784,132 Playtika Holding Corp. High Tech Industries Term Loan B (3/21) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.84 % 3/13/2028 4,500,000 4,490,104 4,480,560 PointClickCare Technologies, Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+ 3.00 % 0.75 % 3.75 % 12/29/2027 500,000 497,710 499,065 Polymer Process Holdings, Inc. Containers, Packaging & Glass Term Loan Loan 1M USD LIBOR+ 4.75 % 0.75 % 5.50 % 2/12/2028 5,500,000 5,427,787 5,493,125 PPD, Inc. Healthcare & Pharmaceuticals Term Loan (12/20) Loan 1M USD LIBOR+ 2.25 % 0.50 % 2.75 % 1/13/2028 500,000 497,667 498,930 Pre-Paid Legal Services, Inc. Services: Consumer Incremental Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 5/1/2025 995,000 982,061 994,383 Presidio, Inc. Services: Business Term Loan B (1/20) Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.60 % 1/22/2027 496,250 495,369 493,977 Prime Security Services Borrower, LLC (ADT) Services: Consumer Term Loan (1/21) Loan 12M USD LIBOR+ 2.75 % 0.75 % 3.50 % 9/23/2026 3,583,174 3,571,738 3,580,952 PRIORITY HOLDINGS, LLC Services: Consumer Term Loan Loan 3M USD LIBOR+ 5.75 % 1.00 % 6.75 % 4/27/2027 4,525,424 4,435,373 4,440,570 PRIORITY HOLDINGS, LLC(a) Services: Consumer Delayed Draw Term Loan Loan 3M USD LIBOR+ 5.75 % 1.00 % 6.75 % 4/21/2027 - - (27,648 ) PriSo Acquisition Corporation Construction & Building Term Loan (01/21) Loan 3M USD LIBOR+ 3.25 % 0.75 % 4.00 % 12/28/2027 500,000 497,590 496,640 Project Leopard Holdings Inc High Tech Industries Term Loan Loan 6M USD LIBOR+ 4.75 % 1.00 % 5.75 % 7/5/2024 498,750 497,503 499,284 Prometric Inc. (Sarbacane Bidco) Services: Consumer Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 1/29/2025 485,100 483,799 477,217 PUG LLC Services: Consumer Term Loan B (02/20) Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.59 % 2/12/2027 488,788 486,755 475,957 Rackspace Technology Global, Inc. High Tech Industries Term Loan (1/21) Loan 3M USD LIBOR+ 2.75 % 0.75 % 3.50 % 2/15/2028 500,000 497,684 497,550 Radiology Partners Holdings, LLC Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.35 % 7/4/2025 1,432,727 1,427,844 1,431,452 RealPage, Inc. High Tech Industries Term Loan (04/21) Loan 1M USD LIBOR+ 3.25 % 0.50 % 3.75 % 4/24/2028 1,000,000 997,719 998,500 Renaissance Learning, Inc. Services: Consumer Term Loan (5/18) Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 5/30/2025 2,982,444 2,954,678 2,951,009 Rent-A-Center, Inc. Retail Term Loan B (01/21) Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 2/17/2028 500,000 497,671 502,710 REP WWEX (Worldwide Express) Aquisition Parent, LLC Transportation: Consumer Term Loan B Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 2/2/2024 1,922,830 1,921,852 1,913,812 Research Now Group, Inc Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+ 5.50 % 1.00 % 6.50 % 12/20/2024 3,877,311 3,791,756 3,835,630 Resideo Funding Inc. Services: Consumer Term Loan (1/21) Loan 1M USD LIBOR+ 2.25 % 0.50 % 2.75 % 2/11/2028 1,500,000 1,496,263 1,498,125 Resolute Investment Managers (American Beacon), Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/20) Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 4/30/2024 2,644,078 2,644,078 2,647,383 Rexnord LLC Capital Equipment Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 8/21/2024 862,069 862,069 860,681 Reynolds Consumer Products LLC Containers, Packaging & Glass Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 1/29/2027 1,303,182 1,301,941 1,296,666 Reynolds Group Holdings Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 2/5/2026 3,491,250 3,472,633 3,460,073 Robertshaw US Holding Corp. Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 2/28/2025 970,000 968,628 931,811 Rocket Software, Inc. High Tech Industries Term Loan (11/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.34 % 11/28/2025 2,927,595 2,918,755 2,869,951 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 Issuer Name RP Crown Parent, LLC High Tech Industries Term Loan B (07/20) Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 1/31/2026 1,985,000 1,976,585 1,980,038 Russell Investments US Inst'l Holdco, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/20) Loan 6M USD LIBOR+ 3.50 % 1.00 % 4.50 % 6/2/2025 5,637,965 5,593,655 5,590,381 RV Retailer LLC Automotive Term Loan Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 2/8/2028 2,000,000 1,981,119 2,002,500 Ryan Specialty Group LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.00 % 0.75 % 3.75 % 9/1/2027 497,500 490,812 497,192 S&S HOLDINGS LLC Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.50 % 5.50 % 3/10/2028 2,000,000 1,941,161 1,960,000 Sally Holdings LLC Retail Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.35 % 7/5/2024 768,409 766,408 767,449 Samsonite International S.A. Consumer goods: Non-durable Term Loan B2 Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 4/25/2025 992,500 968,147 997,463 Savage Enterprises, LLC Energy: Oil & Gas Term Loan B (02/20) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.10 % 8/1/2025 1,769,504 1,755,546 1,769,186 Schweitzer-Mauduit International, Inc. High Tech Industries Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 2/9/2028 3,000,000 2,982,752 2,962,500 Shutterfly Inc Media: Advertising, Printing & Publishing Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.00 % 9/25/2026 800,968 768,718 803,539 Sirius Computer Solutions, Inc. High Tech Industries Term Loan 1/20 Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.59 % 7/1/2026 1,965,125 1,961,756 1,957,756 SiteOne Landscape Supply, LLC Services: Business Term Loan (3/21) Loan 3M USD LIBOR+ 2.00 % 0.50 % 2.50 % 3/18/2028 1,000,000 997,527 998,125 SMG US Midco 2, Inc. Services: Business Term Loan (01/20) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 1/23/2025 493,750 493,750 477,397 Sotheby's Services: Business Term Loan (1/21) Loan 3M USD LIBOR+ 4.75 % 0.75 % 5.50 % 1/15/2027 3,281,059 3,225,334 3,300,188 Sparta U.S. HoldCo LLC Chemicals, Plastics, & Rubber Term Loan (04/21) Loan 3M USD LIBOR+ 3.50 % 0.75 % 4.25 % 4/29/2028 2,000,000 1,990,000 2,001,260 Specialty Pharma III Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 2/24/2028 2,000,000 1,980,475 1,980,000 Spectrum Brands, Inc. Consumer goods: Durable Term Loan (2/21) Loan 3M USD LIBOR+ 2.00 % 0.50 % 2.50 % 3/3/2028 500,000 498,801 496,875 Spin Holdco, Inc. Services: Consumer Term Loan 3/21 Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 3/4/2028 3,000,000 2,982,790 2,994,390 SRAM, LLC Consumer goods: Durable Term Loan (05/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 5/12/2028 4,000,000 3,993,419 4,003,320 SS&C Technologies, Inc. Services: Business Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 4/16/2025 227,838 227,511 225,248 SS&C Technologies, Inc. Services: Business Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 4/16/2025 171,974 171,731 170,019 SS&C Technologies, Inc. Services: Business Term Loan B-5 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 4/16/2025 487,250 486,503 482,455 Staples, Inc. Wholesale Term Loan (03/19) Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.18 % 4/16/2026 4,420,291 4,281,071 4,311,021 Stats LLC Hotel, Gaming & Leisure Term Loan Loan 3M USD LIBOR+ 5.25 % 0.00 % 5.41 % 7/10/2026 1,975,000 1,937,408 1,966,369 Storable, Inc High Tech Industries Term Loan B Loan 3M USD LIBOR+ 3.25 % 0.50 % 3.75 % 4/17/2028 500,000 498,796 497,500 Syncsort Incorporated High Tech Industries Term Loan (3/21) Loan 3M USD LIBOR+ 4.25 % 0.75 % 5.00 % 4/23/2028 2,000,000 1,990,148 1,990,620 Teneo Holdings LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 7/15/2025 4,462,500 4,375,178 4,458,038 Tenneco Inc Capital Equipment Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.09 % 10/1/2025 1,466,250 1,456,872 1,442,057 Ten-X, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 9/27/2024 1,935,000 1,933,403 1,854,369 The Octave Music Group, Inc (Touchtunes) Services: Business Term Loan B Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 5/29/2025 3,862,069 3,830,224 3,717,241 Thor Industries, Inc. Automotive USD Term Loan (3/21) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.13 % 2/1/2026 2,935,080 2,877,153 2,937,276 Tivity Health, Inc. Healthcare & Pharmaceuticals Term Loan A Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.34 % 3/7/2024 558,772 555,397 557,549 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 Issuer Name Tivity Health, Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 5.25 % 0.00 % 5.34 % 3/6/2026 1,008,704 990,066 1,006,435 Tosca Services, LLC Containers, Packaging & Glass Term Loan (2/21) Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 8/18/2027 498,750 492,116 498,750 Transdigm, Inc. Aerospace & Defense Term Loan G (02/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 8/22/2024 4,054,964 4,058,185 4,004,277 Travel Leaders Group, LLC Hotel, Gaming & Leisure Term Loan B (08/18) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.09 % 1/25/2024 2,431,250 2,429,510 2,313,748 TRC Companies, Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 6/21/2024 3,315,141 3,308,144 3,290,277 TRC Companies, Inc. Services: Business Term Loan (1/21) Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 6/21/2024 2,479,433 2,469,041 2,467,035 Trident LS Merger Sub Corporation Services: Consumer Term Loan (03/18) Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.34 % 5/1/2025 2,000,000 2,004,661 1,981,880 TRITON WATER HOLDINGS, INC. Beverage, Food & Tobacco Term Loan (03/21) Loan 3M USD LIBOR+ 3.50 % 0.50 % 4.00 % 3/31/2028 1,500,000 1,492,701 1,498,125 Tronox Pigments (Netherlands) B.V. Chemicals, Plastics, & Rubber Term Loan Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.68 % 3/10/2028 495,769 494,555 492,051 Truck Hero, Inc. Transportation: Cargo Term Loan (1/21) Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 1/29/2028 1,500,000 1,500,000 1,500,000 TruGreen Limited Partnership Services: Consumer Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 10/29/2027 971,545 964,300 973,061 Twin River Worldwide Holdings, Inc. Hotel, Gaming & Leisure Term Loan B Loan 3M USD LIBOR+ 2.75 % 0.00 % 2.95 % 5/10/2026 982,500 978,885 973,412 Uber Technologies, Inc. Transportation: Consumer Term Loan B (2/21) Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.59 % 2/25/2027 3,979,194 3,935,742 3,976,727 Ultra Clean Holdings, Inc. High Tech Industries Incremental Term Loan 3/21 Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.84 % 8/27/2025 993,750 988,949 994,992 Unimin Corporation Metals & Mining Term Loan (12/20) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 7/31/2026 496,815 467,847 484,891 United Natural Foods, Inc Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.59 % 10/22/2025 1,929,662 1,842,097 1,931,418 United Road Services Inc. Transportation: Cargo Term Loan (10/17) Loan 6M USD LIBOR+ 5.75 % 1.00 % 6.75 % 9/1/2024 944,590 937,482 758,034 Univar Inc. Chemicals, Plastics, & Rubber Term Loan B3 (11/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 7/1/2024 1,627,723 1,623,611 1,625,949 Univar Inc. Chemicals, Plastics, & Rubber Univar 5/21 T/L B6 Loan 3M USD LIBOR+ 2.00 % 0.00 % 2.00 % 5/26/2028 2,000,000 1,990,000 1,996,260 Univision Communications Inc. Media: Broadcasting & Subscription 2020 Replacement Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 3/13/2026 2,483,907 2,476,102 2,489,769 US Concrete Inc Construction & Building Term Loan (5/21) Loan 3M USD LIBOR+ 3.00 % 0.50 % 3.50 % 6/30/2028 2,000,000 1,995,000 2,000,000 US Ecology, Inc. Environmental Industries Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.59 % 11/2/2026 493,750 492,881 494,061 Utz Quality Foods, LLC Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.09 % 1/20/2028 99,750 99,524 99,646 Verifone Systems, Inc. Banking, Finance, Insurance & Real Estate Term Loan (7/18) Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.15 % 8/20/2025 1,393,034 1,386,950 1,372,724 VFH Parent LLC Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.10 % 3/1/2026 3,100,888 3,091,860 3,098,966 Virence Intermediate Holdings LLC (Athenahealth / VVC Holding) Healthcare & Pharmaceuticals Term Loan B (01/21) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.35 % 2/11/2026 2,965,000 2,937,251 2,973,154 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 2,278,506 2,278,252 2,275,658 Vistra Energy Corp Utilities: Electric 2018 Incremental Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.85 % 12/31/2025 914,798 914,187 909,464 Vizient, Inc Healthcare & Pharmaceuticals Term Loan B-6 Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.09 % 5/6/2026 490,000 489,184 487,246 VM Consolidated, Inc. Construction & Building Term Loan B (3/21) Loan 3M USD LIBOR+ 3.25 % 0.00 % 3.45 % 3/19/2028 2,357,005 2,353,437 2,347,176 Vouvray US Finance LLC High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 3/11/2024 480,000 480,000 429,600 Warner Music Group Corp. (WMG Acquisition Corp.) Hotel, Gaming & Leisure Term Loan G Loan 1M USD LIBOR+ 2.13 % 0.00 % 2.22 % 1/20/2028 1,250,000 1,249,724 1,241,925 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 Issuer Name Wastequip, LLC (HPCC Merger/Patriot Container) Environmental Industries Term Loan (3/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 3/15/2025 493,639 491,781 488,293 Watlow Electric Manufacturing Company High Tech Industries Term Loan B Loan 3M USD LIBOR+ 4.00 % 0.50 % 4.50 % 3/2/2028 2,500,000 2,487,754 2,504,175 WeddingWire, Inc. Services: Consumer Term Loan Loan 2M USD LIBOR+ 4.50 % 0.00 % 4.65 % 12/19/2025 4,907,449 4,899,471 4,895,180 West Corporation Telecommunications Term Loan B (Olympus Merger) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 10/10/2024 1,221,591 1,167,084 1,187,802 West Corporation Telecommunications Term Loan B Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 10/10/2024 2,923,593 2,870,970 2,828,986 Western Dental Services, Inc. Retail Term Loan (12/18) Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 6/30/2023 422,920 423,244 421,863 Western Digital Corporation High Tech Industries Term Loan B-4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.84 % 4/29/2023 583,135 576,100 582,511 WEX Inc. Services: Business Term Loan B (3/21) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.34 % 3/31/2028 2,000,000 1,990,153 1,990,500 WildBrain Ltd. Media: Diversified & Production Term Loan Loan 1M USD LIBOR+ 4.25 % 0.75 % 5.00 % 3/27/2028 2,000,000 1,960,819 1,987,080 Wirepath LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.20 % 8/5/2024 2,917,712 2,901,034 2,859,358 WP CITYMD BIDCO LLC Services: Consumer Term Loan B (1/21) Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 8/13/2026 5,451,338 5,425,517 5,464,094 Xperi Corporation High Tech Industries Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.09 % 6/1/2025 2,811,915 2,673,536 2,811,915 ZEBRA BUYER LLC Banking, Finance, Insurance & Real Estate Term Loan 4/21 Loan 3M USD LIBOR+ 3.25 % 0.50 % 3.75 % 4/22/2028 1,000,000 995,000 1,003,330 Zekelman Industries, Inc. Metals & Mining Term Loan (01/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.10 % 1/25/2027 970,775 970,775 961,067 $ 677,145,260 $ 673,434,715 Number of Shares Cost Fair Value Cash and cash equivalents U.S. Bank Money Market (c) 10,710,367 $ 10,710,367 $ 10,710,367 Total cash and cash equivalents 10,710,367 $ 10,710,367 $ 10,710,367 (a) All or a portion of this investment has an unfunded commitment as of May 31, 2021 (b) As of May 31, 2021, 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 May 31, 2021. LIBOR—London Interbank Offered Rate 1W USD LIBOR—The 1 week USD LIBOR rate as of May 31, 2021 was 0.06%. 1M USD LIBOR—The 1 month USD LIBOR rate as of May 31, 2021 was 0.09%. 2M USD LIBOR—The 2 month USD LIBOR rate as of May 31, 2021 was 0.12%. 3M USD LIBOR—The 3 month USD LIBOR rate as of May 31, 2021 was 0.13%. 6M USD LIBOR—The 6 month USD LIBOR rate as of May 31, 2021 was 0.17%. 12M USD LIBOR - The 12 month USD LIBOR rate as of May 31, 2021 was 0.25% 3M PL WIBOR - The 3 month PL WIBOR rate as of May 31, 2021 was 0.21% Prime—The Prime Rate as of May 31, 2021 was 3.25%. 43 Saratoga Investment Corp. CLO 2013-1, Ltd. Schedule of Investments February 28, 2021 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 Covia Holdings C/S (Unimin) Metals & Mining Common Stock Equity - - - - - 49,312 385,327 $ 362,443 Fusion Connect Warrant Telecommunications Warrants Equity - - - - - 32,832 - 328 J Jill Common Stock Retail Common Stock Equity - - - - - 5,085 - 24,966 McDermott International (Americas), Inc. Energy: Oil & Gas Lealand Finance (McDermott International) C/S - Cl Equity - - - - - 141,797 141,797 113,438 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 2,060,408 $ 2,046,779 1,952,875 Adtalem Global Education Inc. Services: Business Adtalem Global Education T/L B (02/21) Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 2/12/2028 2,000,000 1,980,000 1,980,000 Advisor Group, Inc. Banking, Finance, Insurance & Real Estate Advisor Group Holdings T/L B1 Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.61 % 7/31/2026 995,000 994,026 996,383 Aegis Sciences Corporation Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.50 % 5/9/2025 3,867,445 3,842,999 3,527,419 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (09/20) Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 1/4/2026 500,000 495,337 497,500 Agiliti Health Inc. Healthcare & Pharmaceuticals Term Loan (1/19) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.88 % 1/4/2026 491,250 491,250 487,566 Ahead Data Blue, LLC Services: Business Term Loan (10/20) Loan 6M USD LIBOR+ 5.00 % 1.00 % 6.00 % 9/18/2027 3,000,000 2,885,073 3,017,250 AI Convoy (Luxembourg) S.a.r.l. Aerospace & Defense AI Convoy (Luxembourg) USD T/L B Loan 6M USD LIBOR+ 3.50 % 1.00 % 4.50 % 1/18/2027 1,488,750 1,482,360 1,486,353 AIS HoldCo, LLC Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.21 % 8/15/2025 5,246,875 5,082,782 5,089,469 Alchemy Copyrights, LLC Media: Diversified & Production Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 8/16/2027 498,750 495,356 498,750 Alchemy US Holdco 1, LLC Metals & Mining Term Loan Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.61 % 10/10/2025 1,900,000 1,879,839 1,850,923 Alion Science and Technology Corporation Aerospace & Defense Term Loan (2/21) Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 7/23/2024 3,990,000 3,974,081 3,998,299 AlixPartners, LLP Banking, Finance, Insurance & Real Estate AlixPartners T/L B (01/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 1/27/2028 250,000 249,375 249,888 Allen Media, LLC Media: Diversified & Production Allen Media T/L B (1/20) Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.75 % 2/10/2027 2,977,027 2,964,383 2,971,460 Altisource Solutions 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 1,223,297 1,218,530 1,040,940 Altium Packaging LLC Containers, Packaging & Glass Altium Packaging (Consolidated Container) T/L (01/ Loan 3M USD LIBOR+ 2.75 % 0.50 % 3.25 % 1/29/2028 500,000 497,500 499,000 Altra Industrial Motion Corp. Capital Equipment Term Loan Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.11 % 10/1/2025 1,522,387 1,519,700 1,520,012 American Greetings Corporation Media: Advertising, Printing & Publishing Term Loan Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 4/6/2024 4,230,503 4,228,066 4,239,302 American Trailer World Corp Automotive American Trailer World T/L Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 2/17/2028 2,000,000 1,990,000 1,990,000 AmeriLife Holdings LLC Banking, Finance, Insurance & Real Estate AmeriLife T/L Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.12 % 3/18/2027 1,492,642 1,484,080 1,490,149 AmWINS Group, LLC Banking, Finance, Insurance & Real Estate AmWINS Group (2/21) T/L Loan 1M USD LIBOR+ 2.25 % 0.75 % 3.00 % 2/17/2028 2,000,000 1,995,000 1,999,160 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 Anastasia Parent LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 3.75 % 0.00 % 4.00 % 8/11/2025 977,500 974,191 669,891 Anchor Glass Container Corporation Containers, Packaging & Glass Term Loan (07/17) Loan 3M USD LIBOR+ 2.75 % 1.00 % 3.75 % 12/7/2023 480,088 478,981 407,076 Anchor Packaging, LLC Containers, Packaging & Glass Term Loan B Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 7/10/2026 997,468 987,853 999,962 APi Group DE, Inc. (J2 Acquisition) Services: Business Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 10/1/2026 990,000 985,758 990,000 APLP Holdings Limited Partnership Energy: Electricity APLP Holdings T/L B (01/20) Loan 1M USD LIBOR+ 2.50 % 1.00 % 3.50 % 4/14/2025 1,618,421 1,618,421 1,617,207 Apollo Commercial Real Estate Finance, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.86 % 5/15/2026 3,000,000 2,960,051 2,925,000 AppLovin Corporation High Tech Industries Applovin T/L B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 8/15/2025 1,000,000 1,000,000 998,100 Aramark Corporation Services: Consumer Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 1/15/2027 2,481,250 2,401,701 2,454,105 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 3,337,028 3,140,124 Aretec Group, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 10/1/2025 1,960,000 1,956,623 1,954,492 ARISTOCRAT LEISURE LIMITED Hotel, Gaming & Leisure Term Loan (5/20) Loan 2M USD LIBOR+ 3.75 % 1.00 % 4.75 % 10/19/2024 995,000 978,205 1,000,184 ASG Technologies Group, Inc High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 7/31/2024 461,401 460,194 454,480 ASP MSG Acquisition Co., Inc Beverage, Food & Tobacco Term Loan (2/17) Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 8/16/2023 3,830,991 3,793,847 3,835,779 Aspen Dental Management, Inc. Services: Consumer Term Loan B Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.86 % 4/30/2025 1,950,276 1,944,024 1,926,872 Asplundh Tree Expert, LLC Services: Business Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 9/4/2027 997,500 992,854 998,128 Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B6 Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 11/3/2023 328,929 327,483 328,244 Asurion, LLC Banking, Finance, Insurance & Real Estate Term Loan B8 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 12/18/2026 1,525,365 1,515,790 1,520,362 Avast Software S.R.O. (Sybil Finance) High Tech Industries Term Loan B (4/18) Loan 3M USD LIBOR+ 2.25 % 1.00 % 3.25 % 9/29/2023 650,351 642,686 650,351 Avaya, Inc. Telecommunications Term Loan B1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 12/15/2027 1,755,766 1,745,975 1,760,437 Avaya, Inc. Telecommunications Avaya T/L B-2 Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 12/15/2027 1,000,000 1,000,000 1,001,250 Avison Young (Canada) Inc Services: Business Term Loan Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.19 % 1/31/2026 3,441,108 3,392,968 3,441,108 Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.75 % 2.50 % 1/15/2025 1,000,000 869,301 996,390 Avolon TLB Borrower 1 (US) LLC Capital Equipment Term Loan B5 Loan 1M USD LIBOR+ 2.50 % 0.75 % 3.25 % 12/20/2027 500,000 495,171 500,625 Azalea TopCo, Inc. Services: Business Incremental Term Loan Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 7/24/2026 500,000 495,287 501,250 B&G Foods, Inc. Beverage, Food & Tobacco Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 10/10/2026 706,458 700,750 706,960 B.C. Unlimited Liability Co (Burger King) Beverage, Food & Tobacco Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 11/19/2026 1,485,000 1,447,423 1,469,912 Baldwin Risk Partners, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 10/14/2027 997,500 983,184 1,002,488 BALL METALPACK, LLC (PE Spray) Containers, Packaging & Glass Term Loan Loan 3M USD LIBOR+ 4.50 % 0.00 % 4.69 % 7/25/2025 3,904,887 3,891,579 3,887,823 Bass Pro Group, LLC Retail Term Loan B (02/21) Loan 1M USD LIBOR+ 4.25 % 0.75 % 5.00 % 2/26/2028 1,000,000 995,000 1,000,780 Berry Plastics Holding Corporation Chemicals, Plastics, & Rubber Term Loan Y Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.12 % 7/1/2026 4,937,374 4,932,962 4,932,980 Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 4/23/2026 1,000,000 992,500 985,000 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 Blackstone Mortgage Trust, Inc. Banking, Finance, Insurance & Real Estate Blackstone Mortgage T/L B-2 Loan 1M USD LIBOR+ 4.75 % 1.00 % 5.75 % 4/23/2026 1,494,994 1,484,017 1,498,731 Blount International, Inc. Forest Products & Paper Term Loan B (09/18) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 4/12/2023 3,418,806 3,416,907 3,422,225 Blucora, Inc. Services: Consumer Term Loan (11/17) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/22/2024 2,451,227 2,443,549 2,454,291 Bombardier Recreational Products, Inc. Consumer goods: Durable Term Loan (1/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.12 % 5/24/2027 1,485,050 1,473,875 1,475,620 Boxer Parent Company, Inc. High Tech Industries Boxer Parent Company T/L (BMC Software) (2/21) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.90 % 10/2/2025 528,897 528,897 528,829 Bracket Intermediate Holding Corp Healthcare & Pharmaceuticals Term Loan Loan 3M USD LIBOR+ 4.25 % 0.00 % 4.49 % 9/5/2025 977,500 974,177 975,868 BrightSpring Health Services (Phoenix Guarantor) Healthcare & Pharmaceuticals Phoenix Guarantor (Brightspring) T/L (02/21) Loan 6M USD LIBOR+ 3.50 % 0.00 % 3.76 % 3/5/2026 1,000,000 1,000,000 1,000,710 BroadStreet Partners, Inc. Banking, Finance, Insurance & Real Estate Term Loan B3 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 1/22/2027 2,009,429 2,007,872 1,996,207 Brookfield WEC Holdings Inc. Energy: Electricity Brookfield WEC T/L (Westinghouse) (1/21) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 8/1/2025 1,492,462 1,495,340 1,488,492 Buckeye Partners, L.P. Utilities: Oil & Gas Buckeye Partners T/L (1/21) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.37 % 11/1/2026 1,989,987 1,975,617 1,987,182 BW Gas & Convenience Holdings LLC Beverage, Food & Tobacco Term Loan Loan 1M USD LIBOR+ 6.25 % 0.00 % 6.37 % 11/18/2024 2,230,357 2,160,253 2,255,449 Cable & Wireless Communications Limited Telecommunications Term Loan B-5 Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 1/31/2028 2,000,000 2,000,000 1,988,220 Callaway Golf Company Retail Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.61 % 1/4/2026 690,000 679,310 692,298 Cardtronics Inc Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 6/29/2027 1,494,994 1,489,184 1,495,936 CareerBuilder, LLC Services: Business Term Loan Loan 3M USD LIBOR+ 6.75 % 1.00 % 7.75 % 7/31/2023 3,393,388 3,230,834 3,230,505 CareStream Health, Inc. Healthcare & Pharmaceuticals Term Loan Loan 6M USD LIBOR+ 6.75 % 1.00 % 7.75 % 5/8/2023 2,306,786 2,302,501 2,298,136 Casa Systems, Inc Telecommunications Term Loan Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 12/20/2023 1,440,000 1,433,828 1,435,205 Castle US Holding Corporation Media: Advertising, Printing & Publishing Term Loan B (USD) Loan 3M USD LIBOR+ 3.75 % 0.00 % 4.00 % 1/27/2027 496,875 494,809 493,059 Catalent Pharma Solutions, Inc. Healthcare & Pharmaceuticals Term Loan B3 (2/21) Loan 1M USD LIBOR+ 2.00 % 0.50 % 2.50 % 5/18/2026 500,000 500,000 500,780 CBI BUYER, INC. Consumer goods: Durable New Trojan Parent (Careismatic/CBI Buyer) 1st Lien Loan 1M USD LIBOR+ 3.25 % 0.50 % 3.75 % 1/6/2028 1,000,000 997,597 1,000,630 CCI Buyer, Inc Telecommunications Term Loan Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 12/17/2027 250,000 247,558 251,720 CCS-CMGC Holdings, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.61 % 9/25/2025 2,450,000 2,432,841 2,417,856 Cengage Learning Acquisitions, Inc. Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+ 4.25 % 1.00 % 5.25 % 6/7/2023 1,432,459 1,424,074 1,410,370 CenturyLink, Inc. Telecommunications Term Loan B (1/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 3/15/2027 2,970,000 2,967,083 2,957,170 Chemours Company, (The) Chemicals, Plastics, & Rubber Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.87 % 4/3/2025 989,822 940,018 979,617 CITADEL SECURITIES LP Banking, Finance, Insurance & Real Estate Citadel Securities T/L B (01/21) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 2/27/2028 5,000,000 4,993,750 4,970,300 Clarios Global LP Automotive Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 4/30/2026 1,454,464 1,442,855 1,455,381 46 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 Claros Mortgage Trust, Inc Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.00 % 8/9/2026 997,475 972,272 999,968 CNT Holdings I Corp Retail Term Loan Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 11/8/2027 500,000 497,627 501,955 Cole Haan Consumer goods: Non-durable Term Loan B Loan 3M USD LIBOR+ 5.50 % 0.00 % 5.69 % 2/7/2025 950,000 942,246 874,000 Compass Power Generation, LLC Utilities: Electric Term Loan B (08/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 12/20/2024 1,802,012 1,798,648 1,796,390 Concordia Healthcare Corp. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 5.50 % 1.00 % 6.50 % 9/6/2024 1,159,370 1,118,148 1,156,472 Connect Finco SARL Telecommunications Term Loan (1/21) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 12/11/2026 2,977,500 2,831,053 2,987,058 Consolidated Communications, Inc. Telecommunications Term Loan B (10/20) Loan 1M USD LIBOR+ 4.75 % 1.00 % 5.75 % 10/2/2027 997,500 983,260 1,002,328 CoreCivic, Inc. Banking, Finance, Insurance & Real Estate Term Loan (12/19) Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 12/18/2024 3,454,545 3,404,660 3,340,822 CPI Card Group Banking, Finance, Insurance & Real Estate Term Loan B (1st Lien) Loan 3M USD LIBOR+ 4.50 % 1.00 % 5.50 % 8/17/2022 1,436,782 1,431,179 1,422,414 CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 1/15/2026 490,000 489,175 486,849 CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B (03/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 7/15/2025 1,954,315 1,936,120 1,941,925 CSC Holdings LLC (Neptune Finco Corp.) Media: Broadcasting & Subscription Term Loan B-5 Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 4/15/2027 495,000 495,000 492,911 CTS Midco, LLC High Tech Industries Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.00 % 11/2/2027 2,000,000 1,942,014 2,002,500 Daseke Inc Transportation: Cargo Replacement Term Loan Loan 1M USD LIBOR+ 5.00 % 1.00 % 6.00 % 2/27/2024 1,935,738 1,928,854 1,939,978 DCert Buyer, Inc. High Tech Industries DCert Buyer T/L (Digicert) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 10/16/2026 1,500,000 1,500,000 1,500,540 Dealer Tire, LLC Automotive Dealer Tire T/L B-1 Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 12/12/2025 2,970,000 2,963,784 2,966,288 Delek US Holdings, Inc. Utilities: Oil & Gas Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 3/31/2025 6,380,682 6,326,939 6,247,773 Dell International LLC High Tech Industries Term Loan B-2 Loan 1M USD LIBOR+ 1.75 % 0.75 % 2.00 % 9/19/2025 2,530,374 2,528,058 2,537,763 Delta 2 (Lux) S.a.r.l. Hotel, Gaming & Leisure Term Loan B Loan 1M USD LIBOR+ 2.50 % 1.00 % 3.50 % 2/1/2024 818,289 817,549 813,175 Delta Air Lines, Inc. Transportation: Consumer Term Loan B (4/20) Loan 1M USD LIBOR+ 4.75 % 1.00 % 5.75 % 4/29/2023 2,243,737 2,240,713 2,257,761 DHX Media Ltd. Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 4.25 % 1.00 % 5.25 % 12/29/2023 279,282 278,315 278,584 Diamond Sports Group, LLC Media: Broadcasting & Subscription Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.37 % 8/24/2026 3,443,844 2,912,847 2,582,883 Digital Room LLC Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+ 5.00 % 0.00 % 5.27 % 5/21/2026 2,955,000 2,925,480 2,910,675 Dole Food Company Inc. Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.75 % 4/6/2024 456,250 455,172 456,410 DRW Holdings, LLC Banking, Finance, Insurance & Real Estate DRW Holdings T/L (2/21) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.87 % 2/24/2028 552,519 549,756 551,138 DRW Holdings, LLC Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 11/29/2026 5,947,481 5,897,811 5,932,612 DTZ U.S. Borrower, LLC Construction & Building Term Loan Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.86 % 8/21/2025 3,915,462 3,901,786 3,886,801 EagleTree - Carbride Acquisition (Corsair Components) Consumer goods: Durable Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 8/28/2024 2,868,047 2,867,816 2,868,047 Edelman Financial Group Inc., The Banking, Finance, Insurance & Real Estate Term Loan B (06/18) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 7/21/2025 1,225,000 1,220,875 1,214,502 Electrical Components Inter., Inc. Capital Equipment Term Loan (6/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 6/26/2025 1,950,000 1,947,116 1,903,083 ELO Touch Solutions, Inc. Media: Diversified & Production Term Loan (12/18) Loan 1M USD LIBOR+ 6.50 % 0.00 % 6.61 % 12/14/2025 2,558,602 2,457,436 2,564,999 47 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 Encapsys, LLC (Cypress Performance Group) Chemicals, Plastics, & Rubber Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 11/7/2024 492,284 488,655 492,284 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 3,896,646 3,879,939 3,869,057 Endure Digital, Inc. High Tech Industries Endurance International T/L B Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 1/27/2028 2,500,000 2,487,500 2,481,250 Ensemble RCM LLC Services: Business Term Loan Loan 3M USD LIBOR+ 3.75 % 0.00 % 3.96 % 7/24/2026 3,000,000 2,992,500 3,004,230 Enterprise Merger Sub Inc. Healthcare & Pharmaceuticals Term Loan B (06/18) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.86 % 10/10/2025 4,900,000 4,891,890 4,204,200 EVERI Payments Inc. Hotel, Gaming & Leisure Everi Payments T/L B Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 5/9/2024 3,000,000 3,000,000 2,988,120 EyeCare Partners, LLC Healthcare & Pharmaceuticals EyeCare Partners T/L B Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.86 % 2/18/2027 1,987,838 1,986,442 1,956,032 Finco I LLC Banking, Finance, Insurance & Real Estate FinCo T/L B (9/20) (Fortress Investment) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 6/27/2025 1,822,272 1,815,715 1,821,142 First Eagle Investment Management Banking, Finance, Insurance & Real Estate Refinancing Term Loan Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.75 % 2/1/2027 5,395,500 5,375,893 5,378,990 Fitness International, LLC (LA Fitness) Services: Consumer Term Loan B (4/18) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 4/18/2025 1,330,058 1,324,204 1,196,813 Flex Acquisition Company (Hilex Poly/Novolex) T/L (02/21) Containers, Packaging & Glass Term Loan Loan 3M USD LIBOR+ 4.00 % 0.50 % 4.50 % 3/2/2028 1,000,000 995,000 997,810 FOCUS FINANCIAL PARTNERS, LLC Banking, Finance, Insurance & Real Estate Focus Financial T/L (1/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.11 % 7/3/2024 500,000 499,435 497,815 Franchise Group, Inc. Services: Consumer Franchise Group First Out T/L Loan 6M USD LIBOR+ 4.75 % 0.75 % 5.50 % 10/25/2026 1,000,000 990,000 1,000,000 Franklin Square Holdings, L.P. Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.38 % 8/1/2025 4,398,742 4,374,564 4,382,247 Froneri International (R&R Ice Cream) Beverage, Food & Tobacco Term Loan B-2 Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 1/29/2027 1,990,000 1,985,937 1,971,453 Fusion Telecommunications International Inc. Telecommunications Take Back 2nd Out Term Loan Loan 6M USD LIBOR+ 1.00 % 2.00 % 3.00 % 7/14/2025 813,105 795,920 412,651 Gemini HDPE LLC Chemicals, Plastics, & Rubber Term Loan B (12/20) Loan 3M USD LIBOR+ 3.00 % 0.50 % 3.50 % 12/31/2027 2,000,000 1,980,103 1,995,000 General Nutrition Centers, Inc. (b) Retail Term Loan B2 Loan Prime+ 7.75 % 0.75 % 11.00 % 3/4/2021 389,896 389,896 292,422 Genesee & Wyoming, Inc. Transportation: Cargo Term Loan (11/19) Loan 3M USD LIBOR+ 2.00 % 0.00 % 2.25 % 12/30/2026 1,488,750 1,482,600 1,489,986 GEO Group, Inc., The Banking, Finance, Insurance & Real Estate Term Loan Refinance Loan 1M USD LIBOR+ 2.00 % 0.75 % 2.75 % 3/22/2024 3,963,971 3,665,551 3,609,710 GGP Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 8/27/2025 3,969,542 3,201,121 3,862,603 GI Chill Acquisition LLC Services: Business Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.25 % 8/1/2025 2,443,750 2,435,372 2,448,344 Gigamon Inc. Services: Business Term Loan B Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 12/27/2024 2,930,400 2,913,040 2,930,400 Global Business Travel (GBT) III Inc. Hotel, Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 8/13/2025 4,398,750 4,397,949 4,215,454 Global Tel*Link Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 11/29/2025 5,000,167 4,764,345 4,675,956 Go Wireless Holdings, Inc. Telecommunications Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 12/22/2024 3,024,675 2,992,914 3,017,114 Goodyear Tire & Rubber Company, The Chemicals, Plastics, & Rubber Second Lien Term Loan Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.12 % 3/3/2025 3,000,000 2,933,783 2,953,740 Graham Packaging T/L (2/21) Containers, Packaging & Glass Term Loan Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 8/4/2027 979,661 972,912 980,660 Greenhill & Co., Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 4/12/2024 3,419,615 3,393,171 3,398,243 48 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 % 3/31/2025 2,399,991 2,398,303 2,395,791 Guidehouse LLP (fka PricewaterhouseCoopers) Aerospace & Defense Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 5/1/2025 4,924,683 4,903,634 4,951,572 Harbor Freight Tools USA, Inc. Retail Term Loan B (10/20) Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 10/20/2027 2,992,500 2,967,649 3,004,979 Harland Clarke Holdings Corp. Media: Advertising, Printing & Publishing Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 11/3/2023 1,612,899 1,607,974 1,536,738 Helix Gen Funding, LLc Energy: Electricity Term Loan B (02/17) Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 6/3/2024 244,627 244,418 243,418 Hillman Group Inc. (The) (New) Consumer goods: Durable Hillman Group T/L B-1 (2/21) Loan 6M USD LIBOR+ 2.75 % 0.50 % 3.25 % 2/23/2028 3,523,207 3,514,399 3,523,207 Hillman Group Inc. (The) (New) Consumer goods: Durable Hillman Group T/L B-2 (2/21) Loan 6M USD LIBOR+ 2.75 % 0.50 % 2.99 % 2/23/2028 632,911 631,329 632,911 Hillman Group Inc. (The) (New)(a) Consumer goods: Durable Unfunded Commitment Loan 3M USD LIBOR+ 2.75 % 0.50 % 0.00 % 2/23/2028 - (2,110 ) - HLF Financing SARL (Herbalife) Consumer goods: Non-durable Term Loan B (08/18) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 8/18/2025 3,910,000 3,897,913 3,912,111 Holley Purchaser, Inc Automotive Term Loan B Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.21 % 10/24/2025 2,450,000 2,432,788 2,423,981 Howden Group Holdings Banking, Finance, Insurance & Real Estate Term Loan (1/21) Loan 3M USD LIBOR+ 3.25 % 0.75 % 4.00 % 11/12/2027 1,692,335 1,686,025 1,695,212 Hudson River Trading LLC Banking, Finance, Insurance & Real Estate Term Loan B (01/20) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 2/18/2027 5,940,000 5,920,701 5,925,150 Idera, Inc. High Tech Industries Idera T/L (1/21) Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 6/28/2028 1,000,000 997,500 1,000,000 Idera, Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 6/27/2024 3,896,805 3,886,520 3,896,805 INEOS US PETROCHEM LLC Chemicals, Plastics, & Rubber INEOS US Petrochem T/L (INEOS Quattro) Loan 1M USD LIBOR+ 2.75 % 0.50 % 3.25 % 1/20/2026 1,000,000 995,073 1,003,750 INFINITE BIDCO LLC Wholesale Infinite Bidco T/L Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 2/22/2028 1,500,000 1,496,250 1,500,000 Inmar Acquisition Sub, Inc. Services: Business Term Loan B Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 5/1/2024 3,421,586 3,360,370 3,400,920 Innophos, Inc. Chemicals, Plastics, & Rubber Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 2/4/2027 496,250 494,123 498,424 Intermediate Dutch Holdings Services: Business Nielsen Consumer T/L B Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.13 % 2/3/2028 250,000 248,750 250,313 Isagenix International, LLC Beverage, Food & Tobacco Term Loan Loan 3M USD LIBOR+ 5.75 % 1.00 % 6.75 % 6/14/2025 2,622,582 2,586,650 1,652,227 Ivory Merger Sub, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.62 % 3/14/2025 957,262 954,285 944,100 J Jill Group, Inc Retail Priming Term Loan Loan 6M USD LIBOR+ 5.00 % 1.00 % 6.00 % 5/8/2024 1,779,081 1,776,970 1,138,612 Jane Street Group Banking, Finance, Insurance & Real Estate Jane Street Group T/L (1/21) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.86 % 1/31/2028 2,500,000 2,496,997 2,491,975 Jefferies Finance LLC / JFIN Co-Issuer Corp Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.13 % 6/3/2026 3,796,822 3,781,950 3,789,380 Journey Personal Care Corp. Consumer goods: Non-durable Journey Personal Care T/L B (Domtar) Loan 6M USD LIBOR+ 4.25 % 0.75 % 5.00 % 2/19/2028 1,000,000 995,000 1,002,500 JP Intermediate B, LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 5.50 % 1.00 % 6.50 % 11/15/2025 4,423,877 4,386,340 4,154,021 KAR Auction Services, Inc. Automotive Term Loan B (09/19) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.44 % 9/19/2026 246,875 246,391 243,172 Kindred Healthcare, Inc. Healthcare & Pharmaceuticals Term Loan (6/18) Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.63 % 7/2/2025 1,979,747 1,962,749 1,982,222 Klockner-Pentaplast of America, Inc. Containers, Packaging & Glass Klockner Pentaplast T/L (Kleopatra) Loan 1M USD LIBOR+ 4.75 % 0.50 % 5.25 % 2/4/2026 1,500,000 1,492,500 1,500,945 Kodiak BP, LLC Construction & Building Term Loan Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 2/26/2028 500,000 497,500 499,375 49 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 KREF Holdings X LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 8/4/2027 500,000 488,256 501,250 Lakeland Tours, LLC Hotel, Gaming & Leisure 2nd Out Take Back PIK Term Loan Loan 3M USD LIBOR+ 1.50 % 1.25 % 2.75 % 9/25/2025 585,723 478,159 524,222 Lakeland Tours, LLC Hotel, Gaming & Leisure Third Out PIK Term Loan Loan 3M USD LIBOR+ 1.50 % 1.25 % 2.75 % 9/25/2025 777,562 451,283 515,780 Lakeland Tours, LLC Hotel, Gaming & Leisure Holdco Fixed Term Loan Loan Fixed 8.00 % 0.00 % 13.25 % 9/27/2027 763,381 128,938 277,359 Lakeland Tours, LLC Hotel, Gaming & Leisure Priority Exit PIK Term Loan (9/20) Loan 3M USD LIBOR+ 6.00 % 1.25 % 7.25 % 9/25/2023 306,588 292,181 306,076 Lealand Finance Company B.V. Energy: Oil & Gas Exit Term Loan Loan 1M USD LIBOR+ 1.00 % 0.00 % 1.11 % 6/30/2025 324,682 324,682 209,258 Learfield Communications, Inc Media: Advertising, Printing & Publishing Initial Term Loan (A-L Parent) Loan 1M USD LIBOR+ 3.25 % 1.00 % 4.25 % 12/1/2023 480,000 478,959 439,296 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 2,876,036 2,878,413 Liftoff Mobile, Inc. Media: Advertising, Printing & Publishing Liftoff Mobile T/L Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 2/17/2028 1,000,000 995,000 997,500 Lightstone Generation LLC Energy: Electricity Term Loan B Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 1/30/2024 1,322,520 1,321,129 1,133,241 Lightstone Generation LLC Energy: Electricity Term Loan C Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 1/30/2024 74,592 74,517 63,917 Lindblad Expeditions, Inc. Hotel, Gaming & Leisure Cayman Term Loan Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 3/21/2025 98,191 98,037 90,827 Lindblad Expeditions, Inc. Hotel, Gaming & Leisure US 2018 Term Loan Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 3/21/2025 392,764 392,147 363,307 Liquidnet Holdings, Inc. Banking, Finance, Insurance & Real Estate Term Loan B Loan 6M USD LIBOR+ 3.25 % 1.00 % 4.25 % 7/11/2024 1,960,766 1,957,232 1,952,237 LogMeIn, Inc. High Tech Industries Term Loan (8/20) Loan 1M USD LIBOR+ 4.75 % 0.00 % 4.87 % 8/31/2027 4,000,000 3,927,780 3,996,680 LPL Holdings, Inc. Banking, Finance, Insurance & Real Estate Term Loan B1 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.87 % 11/11/2026 1,232,760 1,230,271 1,224,032 MA FinanceCo LLC High Tech Industries Term Loan B4 Loan 3M USD LIBOR+ 4.25 % 1.00 % 5.25 % 5/29/2025 2,474,961 2,466,727 2,502,804 Marriott Ownership Resorts, Inc. Hotel, Gaming & Leisure Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 8/29/2025 1,317,074 1,317,074 1,296,080 Match Group, Inc, The Services: Consumer Term Loan (1/20) Loan 3M USD LIBOR+ 1.75 % 0.00 % 1.95 % 2/15/2027 250,000 249,476 247,735 Mayfield Agency Borrower Inc. (FeeCo) Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.61 % 2/28/2025 3,427,214 3,397,660 3,380,090 McAfee, LLC Services: Business Term Loan B Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.86 % 9/30/2024 1,928,400 1,921,750 1,932,121 McGraw-Hill Global Education Holdings, LLC Media: Advertising, Printing & Publishing Term Loan B Loan 3M USD LIBOR+ 4.75 % 1.00 % 5.75 % 11/1/2024 2,544,391 2,364,344 2,538,666 Meredith Corporation Media: Advertising, Printing & Publishing Term Loan B2 Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 1/31/2025 578,738 577,965 575,555 Mermaid Bidco Inc. High Tech Industries Term Loan 12/20 Loan 2M USD LIBOR+ 4.25 % 0.75 % 5.00 % 12/1/2027 500,000 497,584 501,565 Messer Industries, LLC Chemicals, Plastics, & Rubber Term Loan B Loan 3M USD LIBOR+ 2.50 % 0.00 % 2.75 % 3/1/2026 3,944,962 3,923,644 3,942,003 Michaels Stores, Inc. Retail Term Loan B (9/20) Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 10/1/2027 2,571,414 2,565,167 2,567,557 Midwest Physician Administrative Services LLC (Dupage Medical Group) Healthcare & Pharmaceuticals Term Loan (2/18) Loan 1M USD LIBOR+ 2.75 % 0.75 % 3.50 % 8/15/2024 961,003 958,186 960,522 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 997,500 944,391 1,000,991 50 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 MKS Instruments, Inc. High Tech Industries Term Loan B6 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 2/2/2026 877,977 871,414 878,530 MLN US Holdco LLC Telecommunications Term Loan Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.61 % 12/1/2025 980,000 978,728 913,605 MMM Holdings, Inc. Healthcare & Pharmaceuticals Term Loan B Loan 6M USD LIBOR+ 5.75 % 1.00 % 6.75 % 12/24/2026 6,724,026 6,605,313 6,730,347 MRC Global Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 9/20/2024 484,961 484,234 477,687 Murphy USA Inc. Retail Murphy Oil USA T/L (Quick Chek) Loan 1M USD LIBOR+ 1.75 % 0.50 % 2.25 % 1/21/2028 250,000 249,384 250,938 MW Industries, Inc. (Helix Acquisition Holdings) Capital Equipment Term Loan (2019 Incremental) Loan 3M USD LIBOR+ 3.75 % 0.00 % 4.00 % 9/30/2024 2,842,097 2,802,381 2,740,265 Natgasoline LLC Chemicals, Plastics, & Rubber Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.63 % 11/14/2025 1,487,455 1,457,602 1,483,737 National Mentor Holdings, Inc. Healthcare & Pharmaceuticals National Mentor /Civitas (2/21) T/L C Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 2/17/2028 87,464 87,026 87,289 National Mentor Holdings, Inc. Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.37 % 3/9/2026 1,880,666 1,866,176 1,878,014 National Mentor Holdings, Inc. Healthcare & Pharmaceuticals Term Loan C Loan 3M USD LIBOR+ 4.25 % 0.00 % 4.51 % 3/9/2026 86,065 85,428 85,943 National Mentor Holdings, Inc. Healthcare & Pharmaceuticals National Mentor/ Civitas (2/21) T/L Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 2/17/2028 2,623,907 2,610,787 2,618,659 National Mentor/ Civitas (2/21) DDTL (a) Healthcare & Pharmaceuticals National Mentor (Civitas) T/L B (2/19) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.37 % 3/9/2026 - - (577 ) NeuStar, Inc. Telecommunications Term Loan B4 (03/18) Loan 3M USD LIBOR+ 3.50 % 1.00 % 4.50 % 8/8/2024 2,641,566 2,611,256 2,542,032 NeuStar, Inc. Telecommunications Term Loan B-5 Loan 3M USD LIBOR+ 4.50 % 1.00 % 5.50 % 8/8/2024 885,162 873,202 859,050 Nexstar Broadcasting, Inc. (Mission Broadcasting) Media: Broadcasting & Subscription Nexstar Broadcasting T/L B4 (6/19) Loan 1M USD LIBOR+ 2.75 % 0.00 % 2.87 % 9/18/2026 1,113,795 1,101,160 1,114,842 Next Level Apparel, Inc. Retail Term Loan Loan 3M PL WIBOR+ 6.00 % 1.00 % 7.00 % 8/9/2024 1,866,250 1,853,906 1,716,950 NM Z Parent Inc (Zep Inc) Chemicals, Plastics, & Rubber Term Loan Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 8/9/2024 2,418,750 2,411,955 2,392,845 NorthPole Newco S.a.r.l Aerospace & Defense Term Loan Loan 3M USD LIBOR+ 7.00 % 0.00 % 7.25 % 3/3/2025 5,312,500 4,890,323 4,774,609 Novetta Solutions, LLC Aerospace & Defense Term Loan Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.00 % 10/16/2022 1,899,870 1,894,609 1,889,193 Novetta Solutions, LLC Aerospace & Defense Second Lien Term Loan Loan 3M USD LIBOR+ 8.50 % 1.00 % 9.50 % 10/16/2023 1,000,000 995,635 997,500 NPC International, Inc. (b) Beverage, Food & Tobacco Term Loan Loan Prime+ 4.50 % 1.00 % 7.75 % 4/19/2024 487,500 487,124 430,463 Nuvei Technologies Corp. High Tech Industries US Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 9/29/2025 250,000 249,712 251,563 Owens & Minor Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 4.50 % 0.00 % 4.62 % 5/2/2025 487,500 481,151 488,631 Pacific Gas and Electric Company Utilities: Electric PG&E Corp T/L Loan 1M USD LIBOR+ 3.00 % 0.50 % 3.50 % 6/18/2025 1,494,994 1,487,395 1,499,195 PAE Holding Corp Aerospace & Defense Term Loan B (10/20) Loan 3M USD LIBOR+ 4.50 % 0.75 % 5.25 % 10/14/2027 2,000,000 1,971,195 2,009,160 Panther Guarantor II, L.P. (Forcepoint) High Tech Industries Panther Commercial T/L (1/21) (Forcepoint) Loan 3M USD LIBOR+ 4.50 % 0.50 % 4.71 % 1/7/2028 500,000 496,307 499,375 Pathway Partners Vet Management Company LLC Services: Business Term Loan Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.86 % 3/31/2027 496,437 485,943 496,934 PaySafe Group PLC Services: Business Term Loan B1 (PI UK Holdco II) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 1/3/2025 1,458,750 1,453,593 1,457,320 PCI Gaming Authority Hotel, Gaming & Leisure Term Loan Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 5/29/2026 878,269 874,719 876,803 Penn National Gaming Hotel, Gaming & Leisure Term Loan B-1 Loan 1M USD LIBOR+ 2.25 % 0.75 % 3.00 % 10/15/2025 1,782,979 1,722,678 1,780,109 51 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 Peraton Corp. Aerospace & Defense Peraton T/L B Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 2/22/2028 1,811,655 1,802,597 1,818,449 Peraton Corp. (a) Aerospace & Defense Unfunded Commitment Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 2/1/2028 - (15,942 ) 11,956 PGX Holdings, Inc. Services: Consumer Term Loan Loan 12M USD LIBOR+ 5.25 % 1.00 % 6.25 % 9/29/2023 3,149,230 3,127,880 2,998,508 Pitney Bowes Inc Services: Business Term Loan B Loan 1M USD LIBOR+ 5.50 % 0.00 % 5.62 % 1/7/2025 2,887,500 2,625,587 2,875,459 Pixelle Specialty Solutions LLC Forest Products & Paper Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 10/31/2024 3,535,026 3,510,411 3,531,491 Plastipak Holdings Inc. Containers, Packaging & Glass Plastipak Packaging T/L B (04/18) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.62 % 10/14/2024 2,789,599 2,771,753 2,788,288 Playtika Holding Corp. High Tech Industries Trm Loan B (12/19) Loan 6M USD LIBOR+ 6.00 % 1.00 % 7.00 % 12/10/2024 2,837,975 2,793,084 2,850,746 PointClickCare Technologies, Inc. High Tech Industries Term Loan B Loan 6M USD LIBOR+ 3.00 % 0.75 % 3.75 % 12/15/2027 500,000 497,597 502,500 Polymer Process Holdings, Inc. Containers, Packaging & Glass Term Loan Loan 1M USD LIBOR+ 4.75 % 0.75 % 5.50 % 2/12/2028 5,000,000 4,932,905 4,950,000 PPD, Inc. Healthcare & Pharmaceuticals Term Loan (12/20) Loan 1M USD LIBOR+ 2.25 % 0.50 % 2.75 % 1/13/2028 500,000 497,556 501,530 Pre-Paid Legal Services, Inc. Services: Business Incremental Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 5/1/2025 997,500 983,807 1,001,869 Presidio, Inc. Services: Business Term Loan B (1/20) Loan 3M USD LIBOR+ 3.50 % 0.00 % 3.72 % 1/22/2027 497,500 496,508 498,120 Prime Security Services Borrower, LLC (ADT) Services: Consumer Term Loan (1/21) Loan 12M USD LIBOR+ 2.75 % 0.75 % 3.50 % 9/23/2026 3,583,174 3,568,406 3,585,178 Priority Payment Systems LLC High Tech Industries Term Loan Loan 1M USD LIBOR+ 6.50 % 1.00 % 7.50 % 1/3/2023 1,690,068 1,685,378 1,681,615 PriSo Acquisition Corporation Construction & Building Park River Holdings T/L (01/21) Loan 3M USD LIBOR+ 3.25 % 0.75 % 4.00 % 12/28/2027 500,000 497,500 500,535 Project Leopard T/L (Kofax) High Tech Industries Term Loan Loan 3M USD LIBOR+ 5.05 % 1.00 % 5.25 % 7/8/2024 500,000 498,750 500,468 Prometric Inc. (Sarbacane Bidco) Services: Consumer Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 1/29/2025 486,338 484,893 472,961 PUG LLC Services: Consumer Term Loan B (02/20) Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 2/12/2027 490,025 487,871 475,323 Rackspace Technology Global, Inc. High Tech Industries Rackspace Technology Global T/L B Loan 3M USD LIBOR+ 2.75 % 0.75 % 3.50 % 2/2/2028 500,000 497,527 499,615 Radiology Partners Holdings, LLC Healthcare & Pharmaceuticals Term Loan Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.37 % 7/4/2025 1,432,727 1,427,557 1,426,466 Ravago Holdings America Chemicals, Plastics, & Rubber Ravago (2/21) T/L Loan 6M USD LIBOR+ 2.50 % 0.00 % 2.75 % 2/9/2028 1,000,000 997,500 999,380 RealPage, Inc. High Tech Industries RealPage T/L (2/21) Loan 1M USD LIBOR+ 3.25 % 0.50 % 3.38 % 2/17/2028 3,000,000 2,992,500 3,001,260 Redstone Buyer, LLC High Tech Industries Term Loan Loan 3M USD LIBOR+ 5.00 % 1.00 % 6.00 % 9/1/2027 997,500 979,386 1,009,141 Renaissance Learning T/L (5/18) Services: Consumer Term Loan Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 5/30/2025 3,000,000 2,970,900 2,968,740 Rent-A-Center, Inc. Retail Rent-A-Center T/L B (01/21) Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 1/17/2028 500,000 497,500 503,125 REP WWEX (Worldwide Express) Aquisition Parent, LLC Transportation: Consumer Term Loan B Loan 6M USD LIBOR+ 4.00 % 1.00 % 5.00 % 2/2/2024 1,927,839 1,926,592 1,932,658 Research Now Group, Inc Media: Advertising, Printing & Publishing Term Loan Loan 6M USD LIBOR+ 5.50 % 1.00 % 6.50 % 12/20/2024 3,887,330 3,796,436 3,881,499 Resideo Funding Inc. Services: Consumer Resideo Funding T/L (1/21) (Resideo Technologies) Loan 3M USD LIBOR+ 2.25 % 0.50 % 2.75 % 2/11/2028 1,500,000 1,496,250 1,496,250 Resolute Investment Managers (American Beacon), Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/20) Loan 3M USD LIBOR+ 3.75 % 1.00 % 4.75 % 4/30/2024 2,651,324 2,651,324 2,657,952 Rexnord LLC Capital Equipment Term Loan (11/19) Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 8/21/2024 862,069 862,069 860,724 52 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 Reynolds Consumer Products LLC Containers, Packaging & Glass Reynolds Consumer Products T/L Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 1/29/2027 1,306,932 1,305,639 1,307,912 Reynolds Group Holdings Inc. Metals & Mining Term Loan B2 Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 2/5/2026 2,000,000 1,986,099 1,991,660 Robertshaw US Holding Corp. Consumer goods: Durable Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 2/28/2025 972,500 970,927 916,581 Rocket Software, Inc. High Tech Industries Term Loan (11/18) Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 11/28/2025 2,935,063 2,925,286 2,939,114 RP Crown Parent, LLC High Tech Industries Term Loan B (07/20) Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 1/31/2026 1,990,000 1,981,157 1,992,488 Russell Investments US Inst’l Holdco, Inc. Banking, Finance, Insurance & Real Estate Term Loan (10/20) Loan 6M USD LIBOR+ 3.00 % 1.00 % 4.00 % 6/2/2025 5,637,965 5,591,015 5,648,565 RV Retailer LLC Automotive RVR Dealership Holdings T/L (RV Retailer) Loan 3M USD LIBOR+ 4.00 % 0.75 % 4.75 % 1/28/2028 2,000,000 1,980,404 1,992,500 Ryan Specialty Group LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 3.25 % 0.75 % 4.00 % 9/1/2027 498,750 491,823 499,373 Sally Holdings LLC Retail Term Loan B Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.37 % 7/5/2024 768,409 766,247 768,409 Samsonite International S.A. Consumer goods: Non-durable Term Loan B2 Loan 1M USD LIBOR+ 4.50 % 1.00 % 5.50 % 4/25/2025 995,000 968,936 1,002,463 Savage Enterprises, LLC Energy: Oil & Gas Term Loan B (02/20) Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.12 % 8/1/2025 1,769,504 1,754,769 1,771,999 Schweitzer-Mauduit International, Inc. High Tech Industries Schweitzer-Mauduit T/L B Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 1/27/2028 1,000,000 990,000 997,500 Seadrill Operating LP (b) Energy: Oil & Gas PIK Revolver Loan 1M USD LIBOR+ 0.00 % 1.00 % 1.00 % 3/31/2021 25,683 25,656 27,224 Seadrill Operating LP (b) Energy: Oil & Gas Term Loan B Loan 1M USD LIBOR+ 8.00 % 1.00 % 9.00 % 3/31/2021 897,442 897,442 86,379 Shutterfly Inc Media: Advertising, Printing & Publishing Term Loan B Loan 3M USD LIBOR+ 6.00 % 1.00 % 7.00 % 9/25/2026 800,968 767,474 803,403 Sirius Computer Solutions, Inc. High Tech Industries Term Loan 1/20 Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 7/1/2026 1,970,100 1,966,584 1,970,809 SMG US Midco 2, Inc. Services: Business Term Loan (01/20) Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 1/23/2025 495,000 495,000 470,869 Sotheby’s Services: Business Term Loan (1/21) Loan 3M USD LIBOR+ 4.75 % 0.75 % 5.50 % 1/15/2027 3,289,283 3,230,819 3,312,571 Specialty Pharma III Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 2/24/2028 2,000,000 1,980,000 1,980,000 Spectrum Brands, Inc. Consumer goods: Durable Spectrum Brands T/L (2/21) Loan 1M USD LIBOR+ 2.00 % 0.50 % 2.50 % 2/19/2028 500,000 498,750 501,250 SRAM, LLC Consumer goods: Durable Term Loan Loan 1M USD LIBOR+ 2.75 % 1.00 % 3.75 % 3/15/2024 2,221,329 2,219,239 2,225,505 SS&C Technologies, Inc. Services: Business Term Loan B4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 4/16/2025 178,883 178,618 178,212 SS&C Technologies, Inc. Services: Business Term Loan B-5 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 4/16/2025 488,567 487,746 486,735 SS&C Technologies, Inc. Services: Business Term Loan B3 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 4/16/2025 234,915 234,561 234,034 Staples, Inc. Wholesale Term Loan (03/19) Loan 3M USD LIBOR+ 5.00 % 0.00 % 5.21 % 4/16/2026 4,431,567 4,285,772 4,340,853 Stats LLC Hotel, Gaming & Leisure Term Loan Loan 3M USD LIBOR+ 5.25 % 0.00 % 5.45 % 7/10/2026 1,980,000 1,940,067 1,972,575 Storable, Inc High Tech Industries Term Loan B Loan 1M USD LIBOR+ 3.25 % 0.50 % 3.75 % 2/26/2028 500,000 498,750 500,000 Syncsort Incorporated High Tech Industries Term Loan (1/21) Loan 3M USD LIBOR+ 4.75 % 0.75 % 5.50 % 8/16/2024 1,935,450 1,922,522 1,939,476 53 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 Teneo Holdings LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 7/15/2025 2,468,750 2,392,146 2,471,836 Tenneco Inc Capital Equipment Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 10/1/2025 1,470,000 1,459,901 1,440,233 Ten-X, LLC Banking, Finance, Insurance & Real Estate Term Loan Loan 1M USD LIBOR+ 4.00 % 1.00 % 5.00 % 9/27/2024 1,940,000 1,938,385 1,841,390 The Octave Music Group, Inc (Touchtunes) Services: Business Term Loan B Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 5/29/2025 3,896,552 3,862,705 3,584,828 Thor Industries, Inc. Automotive Term Loan (USD) Loan 1M USD LIBOR+ 3.75 % 0.00 % 3.88 % 2/1/2026 2,935,080 2,874,260 2,937,839 Tivity Health, Inc. Healthcare & Pharmaceuticals Term Loan A Loan 1M USD LIBOR+ 4.25 % 0.00 % 4.36 % 3/7/2024 558,772 555,085 556,677 Tivity Health, Inc. Healthcare & Pharmaceuticals Term Loan B Loan 1M USD LIBOR+ 5.25 % 0.00 % 5.36 % 3/6/2026 1,064,955 1,044,356 1,060,461 Tosca Services, LLC Containers, Packaging & Glass Term Loan (2/21) Loan 1M USD LIBOR+ 3.50 % 0.75 % 4.25 % 8/18/2027 500,000 493,032 501,565 Transdigm, Inc. Aerospace & Defense Term Loan G (02/20) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 8/22/2024 4,065,230 4,068,753 4,014,415 Travel Leaders Group, LLC Hotel, Gaming & Leisure Term Loan B (08/18) Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 1/25/2024 2,437,500 2,435,050 2,268,411 TRC Companies, Inc. Services: Business Term Loan Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 6/21/2024 3,315,141 3,307,088 3,311,826 TRC Companies, Inc. Services: Business TRC Companies T/L (1/21) Loan 1M USD LIBOR+ 4.50 % 0.75 % 5.25 % 6/21/2024 2,479,433 2,468,047 2,485,631 Trico Group LLC Automotive Term Loan B-3 Loan 3M USD LIBOR+ 7.50 % 1.00 % 8.50 % 2/2/2024 5,070,478 4,962,793 5,150,338 Trident LS Merger Sub Corporation Services: Consumer Term Loan (03/18) Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 5/1/2025 2,000,000 2,004,987 1,999,500 Truck Hero, Inc. Transportation: Cargo Term Loan (1/21) Loan 1M USD LIBOR+ 3.75 % 0.75 % 4.50 % 1/29/2028 1,500,000 1,500,000 1,501,065 TruGreen Limited Partnership Services: Consumer Term Loan Loan 1M USD LIBOR+ 4.00 % 0.75 % 4.75 % 10/29/2027 973,980 966,347 980,068 Twin River Worldwide Holdings, Inc. Hotel, Gaming & Leisure Term Loan B Loan 3M USD LIBOR+ 2.75 % 0.00 % 3.00 % 5/10/2026 985,000 981,152 975,889 Uber Technologies T/L B (2/21) Transportation: Consumer Term Loan Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.62 % 7/13/2023 1,989,610 1,941,468 1,992,097 Ultimate Software Group, Inc. (The) High Tech Industries Term Loan 1/21 Loan 3M USD LIBOR+ 3.25 % 0.75 % 4.00 % 5/4/2026 1,000,000 1,000,000 1,005,690 Unimin Corporation Metals & Mining Term Loan (12/20) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 7/31/2026 496,815 466,608 476,232 United Natural Foods, Inc Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 3.50 % 0.00 % 3.61 % 10/22/2025 1,973,611 1,879,449 1,978,545 United Road Services Inc. Transportation: Cargo Term Loan (10/17) Loan 6M USD LIBOR+ 5.75 % 1.00 % 6.75 % 9/1/2024 952,506 944,697 880,592 Univar Inc. Chemicals, Plastics, & Rubber Term Loan B3 (11/17) Loan 1M USD LIBOR+ 2.25 % 0.00 % 2.36 % 7/1/2024 1,627,723 1,623,316 1,628,602 Univision Communications Inc. Media: Broadcasting & Subscription 2020 Replacement Term Loan Loan 1M USD LIBOR+ 3.75 % 1.00 % 4.75 % 3/13/2026 2,517,037 2,508,528 2,527,433 US Ecology, Inc. Environmental Industries Term Loan B Loan 1M USD LIBOR+ 2.50 % 0.00 % 2.61 % 11/2/2026 495,000 494,095 496,445 Utz Quality Foods, LLC Beverage, Food & Tobacco Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 1/13/2028 100,000 99,764 100,464 Verifone Systems, Inc. Banking, Finance, Insurance & Real Estate Term Loan (7/18) Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.18 % 8/20/2025 1,396,606 1,389,850 1,362,571 VFH Parent LLC Banking, Finance, Insurance & Real Estate Term Loan B Loan 1M USD LIBOR+ 3.00 % 0.00 % 3.11 % 3/1/2026 3,209,493 3,199,747 3,215,526 Virence Intermediate Holdings LLC (Athenahealth / VVC Holding) Healthcare & Pharmaceuticals Athenahealth T/L B (01/21) Loan 3M USD LIBOR+ 4.25 % 0.00 % 4.45 % 2/11/2026 3,965,000 3,935,495 3,986,570 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 2,406,176 2,405,891 2,407,692 Vistra Energy Corp Utilities: Electric 2018 Incremental Term Loan Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 12/31/2025 917,338 916,645 913,751 Vizient, Inc Healthcare & Pharmaceuticals Term Loan B-6 Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.11 % 5/6/2026 491,250 490,388 490,430 54 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 VM Consolidated, Inc. Construction & Building Term Loan B1 (02/20) Loan 1M USD LIBOR+ 3.25 % 0.00 % 3.36 % 2/28/2025 475,444 473,957 475,344 Vouvray US Finance LLC High Tech Industries Term Loan Loan 1M USD LIBOR+ 3.00 % 1.00 % 4.00 % 3/11/2024 481,250 481,250 417,605 Warner Music Group Corp. (WMG Acquisition Corp.) Hotel, Gaming & Leisure Term Loan G Loan 1M USD LIBOR+ 2.13 % 0.00 % 2.24 % 1/20/2028 250,000 249,702 250,403 Wastequip, LLC (HPCC Merger/Patriot Container) Environmental Industries Term Loan (3/18) Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 3/15/2025 494,911 492,859 492,436 WeddingWire, Inc. Services: Consumer Term Loan Loan 2M USD LIBOR+ 4.50 % 0.00 % 4.66 % 12/19/2025 3,920,000 3,914,114 3,875,900 West Corporation Telecommunications Term Loan B Loan 1M USD LIBOR+ 3.50 % 1.00 % 4.50 % 10/10/2024 2,931,109 2,874,412 2,866,742 West Corporation Telecommunications Term Loan B (Olympus Merger) Loan 3M USD LIBOR+ 4.00 % 1.00 % 5.00 % 10/10/2024 1,224,748 1,166,274 1,207,062 Western Dental Services, Inc. Retail Term Loan (12/18) Loan 1M USD LIBOR+ 5.25 % 1.00 % 6.25 % 6/30/2023 424,019 424,421 416,598 Western Digital Corporation High Tech Industries Term Loan B-4 Loan 1M USD LIBOR+ 1.75 % 0.00 % 1.86 % 4/29/2023 743,135 732,963 742,867 Wirepath LLC Consumer goods: Non-durable Term Loan Loan 3M USD LIBOR+ 4.00 % 0.00 % 4.25 % 8/5/2024 2,925,193 2,906,978 2,897,170 WP CITYMD BIDCO LLC Services: Consumer Term Loan B (1/21) Loan 6M USD LIBOR+ 3.75 % 0.75 % 4.50 % 8/13/2026 3,465,000 3,437,657 3,471,791 Xperi Corporation High Tech Industries Term Loan Loan 1M USD LIBOR+ 4.00 % 0.00 % 4.11 % 6/1/2025 2,854,798 2,706,612 2,874,439 Zekelman Industries, Inc. Metals & Mining Term Loan (01/20) Loan 1M USD LIBOR+ 2.00 % 0.00 % 2.11 % 1/25/2027 970,775 970,775 968,551 $ 595,249,474 $ 592,020,041 Number of Shares Cost Fair Value Cash and cash equivalents U.S. Bank Money Market (c) 114,145,406 $ 114,145,406 $ 114,145,406 Total cash and cash equivalents 114,145,406 $ 114,145,406 $ 114,145,406 (a) All or a portion of this investment has an unfunded commitment as of February 28, 2021 (b) As of February 28, 2021, 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 28, 2021. LIBOR—London Interbank Offered Rate 1W USD LIBOR—The 1 week USD LIBOR rate as of February 28, 2021 was 0.09%. 1M USD LIBOR—The 1 month USD LIBOR rate as of February 28, 2021 was 0.12%. 2M USD LIBOR—The 2 month USD LIBOR rate as of February 28, 2021 was 0.15%. 3M USD LIBOR—The 3 month USD LIBOR rate as of February 28, 2021 was 0.19%. 6M USD LIBOR—The 6 month USD LIBOR rate as of February 28, 2021 was 0.20%. 12M USD LIBOR - The 12 month USD LIBOR rate as of February 28, 2021 was 0.28% 3M PL WIBOR - The 3 month PL WIBOR rate as of February 28, 2021, was 0.21% Prime—The Prime Rate as of February 28, 2021 was 3.25%. 55 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 arising from net operating losses and unrealized appreciation and deprecation 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 the 21% U.S. 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) benefit from realized gains on investments, depending on the character of the underlying taxable income (ordinary or capital gains), on the consolidated statements of operations. Deferred tax assets and liabilities, and related valuation allowance as of May 31, 2021 and February 28, 2021 were as follows: May 31, 2021 February 28, 2021 Total deferred tax assets $ 2,144,029 $ 2,108,556 Total deferred tax liabilities (2,217,264 ) (1,987,120 ) Valuation allowance on net deferred tax assets (2,107,492 ) (2,044,100 ) Net deferred tax liability $ (2,180,727 ) $ (1,922,664 ) As of May 31, 2021, the valuation allowance on deferred tax assets was $2.1 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 May 31, 2021 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 May 31, 2020 includes $(0.3) million net change in unrealized appreciation (depreciation) on investments and $(0.01) 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. Federal and state income tax provisions (benefits) on investments for three months ended May 31, 2021 and May 31, 2020: For the three months ended May 31, 2021 May 31, 2020 Current Federal $ - $ - State - - Net current expense - - Deferred Federal (127,850 ) (245,474 ) State (130,213 ) (31,211 ) Net deferred expense (258,063 ) (276,685 ) Net tax provision $ (258,063 ) $ (276,685 ) 56 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 6, 2021, 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. For the three months ended May 31, 2021 and May 31, 2020, the Company incurred $2.8 million and $2.2 million in base management fees, respectively. For the three months ended May 31, 2021 and May 31, 2020, the Company incurred $1.6 million and $1.4 million in incentive fees related to pre-incentive fee net investment income, respectively. For the three months ended May 31, 2021 and May 31, 2020, the Company accrued an expense of $3.7 million and an expense of $(3.3) million in incentive fees related to capital gains. 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 May 31, 2021, the base management fees accrual was $2.8 million and the incentive fees accrual was $3.7 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 28, 2021, the base management fees accrual was $2.4 million and the incentive fees accrual was $13.8 million and is included in base management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. 57 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. On July 6, 2021, 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 $2.775 million to $3.0 million effective August 1, 2021. For the three months ended May 31, 2021 and May 31, 2020, 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. As of May 31, 2021, $0.7 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. As of February 28, 2021, $0.3 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%. 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, to be reimbursed from future equity distributions. During the year ended February 29, 2020, the Company received full payment of $1.7 million from the Saratoga CLO for such transaction costs. 58 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 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. As of May 31, 2021, there remained an outstanding receivable of $2.6 million for such transaction costs which is presented as due from affiliate on the Company’s consolidated statement of assets and liabilities. For the three months ended May 31, 2021 and May 31, 2020, we recognized management fee income of $0.8 million and $0.6 million, respectively, related to the Saratoga CLO. For the three months ended May 31, 2021 and May 31, 2020, 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 251.0% as of May 31, 2021 and 347.1% as of February 28, 2021. 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. 59 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 ● 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. 60 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 May 31, 2021 and February 28, 2021, there were $39.0 million and $0.0 million, respectively, borrowed 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 $3.4 million related to the Credit Facility have been capitalized and are being amortized over the term of the facility. For the three months ended May 31, 2021 and May 31, 2020, we recorded $0.2 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 May 31, 2021 and May 31, 2020, we recorded $0.04 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 May 31, 2021, the weighted average interest rate on the outstanding borrowings under the Credit Facility was 6.37%, and the average dollar amount of outstanding borrowings under the Credit Facility was $4.1 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 $51.1 million subject to the Credit Facility cap of $45.0 million at May 31, 2021. 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 May 31, 2021 borrowing base relies upon the valuations set forth in the Annual Report on Form 10-K for the period ended February 28, 2021. 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 May 31, 2021, we have funded SBIC LP and SBIC II LP with an aggregate total of equity capital of $75.0 million and $84.0 million, respectively, and have $168.0 million in SBA-guaranteed debentures outstanding, of which $124.0 million is held in SBIC LP and $44.0 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. 61 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. 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 May 31, 2021, there was $168.0 million of SBA debentures outstanding and as of February 28, 2021, there was $158.0 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 $2.5 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 May 31, 2021 and May 31, 2020, we recorded $1.2 million and $1.2 million of interest expense related to the SBA debentures, respectively. For the three months ended May 31, 2021 and May 31, 2020, we recorded $0.2 million and $0.2 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 May 31, 2021 and May 31, 2020 on the outstanding borrowings of the SBA debentures was 2.93% and 3.16%, respectively. During the three months ended May 31, 2021 and May 31, 2020, the average dollar amount of SBA debentures outstanding was $158.4 million and $157.4 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 10, 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. 62 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. 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 May 31, 2021, 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 May 31, 2021, the carrying amount and fair value of the 6.25% 2025 Notes was $60.0 million and $60.9 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 28, 2021, the carrying amount and fair value of the 6.25% 2025 Notes was $60.0 million and $61.2 million, respectively. For the three months ended May 31, 2021 and May 31, 2020, 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 May 31, 2021 and May 31, 2020, 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. 63 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 May 31, 2021, 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. As of May 31, 2021, the carrying amount and fair value of the 7.25% 2025 Notes was $43.1 million and $45.7 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 28, 2021, the carrying amount and fair value of the 7.25% 2025 Notes was $43.1 million and $45.7 million, respectively. For the three months ended May 31, 2021 and May 31, 2020, we recorded $0.8 million and $0.0 million, respectively, of interest expense and $0.08 million and $0.0 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. During the three months ended May 31, 2021 and May 31, 2020, the average dollar amount of the 7.25% 2025 Notes outstanding was $43.1 million and $0.0 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 May 31, 2021, the total 7.75% Notes 2025 outstanding was $5.0 million The 7.75% Notes 2025 are not listed and have a par value of $25.00 per share. As of May 31, 2021, there was $5.0 million of 7.75% Notes 2025 outstanding and as of February 28, 2021, there was $5.0 million outstanding. The carrying amount of the amount outstanding of 7.75% Notes 2025 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 months ended May 31, 2021 and May 31, 2020, we recorded $0.1 million and $0.0 million, respectively, of interest expense and $0.02 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 7.75% Notes 2025. 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 May 31, 2021 and May 31, 2020 the average dollar amount of 7.75% Notes 2025 outstanding was $5.0 million and $0.0 million respectively. On December 29, 2020, the Company issued $5.0 million aggregate principal amount of our 6.25% fixed-rate notes due in 2027 (the “6.25% Notes 2027”). Offering costs incurred were approximately $0.1 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning February 28, 2021. The 6.25% Notes 2027 mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the Notes. 64 On January 28, 2021, the Company issued $10.0 million aggregate principal amount of our 6.25% fixed rate Notes due in 2027 (the “6.25% Notes 2027”) for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million. Offering costs incurred were approximately $0.0 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning February 28, 2021. The 6.25% Notes 2027 mature on January 28, 2027 and commencing January 28, 2023, 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 6.25% Notes 2027 have been capitalized and are being amortized over the term of the Notes. As of May 31, 2021, the total 6.25% Notes 2027 outstanding was $15.0 million The 6.25% Notes 2027 are not listed and have a par value of $25.00 per share. As of May 31, 2021, there was $15.0 million of 6.25% Notes 2027 outstanding and as of February 28, 2021, there was $15.0 million outstanding. The carrying amount of the amount outstanding of 6.25% Notes 2027 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 months ended May 31, 2021 and May 31, 2020, we recorded $0.2 million and $0.0 million, respectively, of interest expense and $0.02 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 6.25% Notes 2027. 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 May 31, 2021 and May 31, 2020 the average dollar amount of 6.25% Notes 2027 outstanding was $15.0 million and $0.0 million respectively. On March 10, 2021, the Company issued $50.0m aggregate principal amount of our 4.375% fixed-rate Notes due in 2026 (the “4.375% Notes 2026”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.2 million. Interest on the 4.375% Notes 2026 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year, beginning August 28, 2021. The 4.375% Notes 2026 mature on February 28, 2026 and may be redeemed in whole or in part at any time or from time to time at the Company’s option at par plus a “make-whole” premium, if applicable. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% Notes 2026 have been capitalized and are being amortized over the term of the Notes. As of May 31, 2021, the total 4.375% Notes 2026 outstanding was $50.0 million The 4.375% Notes 2026 are not listed and have a par value of $25.00 per share. As of May 31, 2021, there was $50.0 million of 4.375% Notes 2026 outstanding and as of February 28, 2021, there was $0.0 million outstanding. The carrying amount of the amount outstanding of 4.375% Notes 2026 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 months ended May 31, 2021 and May 31, 2020, we recorded $0.5 million and $0.0 million, respectively, of interest expense and $0.06 million and $0.0 million, respectively, of amortization of deferred financing costs related to the 4.375% Notes 2026. 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 May 31, 2021 and May 31, 2020 the average dollar amount of 4.375% Notes 2026 outstanding was $50.0 million and $0.0 million respectively. 65 Senior Securities Information about our senior securities is shown in the following table as of May 31, 2021 for the fiscal year periods indicated in the table, unless otherwise noted. 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 2022 (as of May 31, 2021) $ 39,000 $ 2,510 - N/A Fiscal year 2021 (as of February 28, 2021) $ - $ 3,471 - 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 2022 (as of May 31, 2021) $ 60,000 $ 2,510 - $ 25.58 (11) Fiscal year 2021 (as of February 28, 2021) $ 60,000 $ 3,471 $ 24.24 (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 2022 (as of May 31, 2021) $ 43,125 $ 2,510 - $ 26.61 (11) Fiscal year 2021 (as of February 28, 2021) $ 43,125 $ 3,471 $ 25.77 (11) 7.75% Notes due 2025 Fiscal year 2022 (as of May 31, 2021) $ 5,000 $ 2,510 - $ 25.00 (12) Fiscal year 2021 (as of February 28, 2021) $ 5,000 $ 3,471 - $ 25.00 (12) 4.375% Notes due 2026 Fiscal year 2022 (as of May 31, 2021) $ 50,000 $ 2,510 - $ 25.00 (12) 6.25 Notes due 2027 Fiscal year 2022 (as of May 31, 2021) $ 15,000 $ 2,510 - $ 25.00 (12) Fiscal year 2021 (as of February 28, 2021) $ 15,000 $ 3,471 - $ 25.00 (12) 66 (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. (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 $74.45 million in aggregate principal amount of issued and outstanding 2023 Notes. (10) Based on the average daily trading price of the 2023 Notes on the NYSE. (11) Based on the average daily trading price of the 2025 Notes on the NYSE. (12) The carrying value of this unlisted security approximates its fair value, based on a waterfall analysis showing adequate collateral coverage. 67 Note 8. Commitments and Contingencies Contractual Obligations The following table shows our payment obligations for repayment of debt and other contractual obligations at May 31, 2021: Payment Due by Period Long-Term Debt Obligations Total Less Than 1 Year 1 - 3 Years 3 - 5 Years More Than 5 Years ($ in thousands) Revolving credit facility $ 39,000 $ - $ - $ 39,000 $ - SBA debentures 168,000 - 24,000 53,660 90,340 6.25% 2025 Notes 60,000 - - 60,000 - 7.25% 2025 Notes 43,125 - - 43,125 - 7.75% 2025 Notes 5,000 - - 5,000 - 4.375% 2026 Notes 50,000 - - 50,000 - 6.25% 2027 Notes 15,000 - - - 15,000 Total Long-Term Debt Obligations $ 380,125 $ - $ 24,000 $ 250,785 $ 105,340 Off-Balance Sheet Arrangements As of May 31, 2021 and February 28, 2021, the Company’s off-balance sheet arrangements consisted of $55.0 million and $58.8 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 May 31, 2021 and February 28, 2021 is shown in the table below (dollars in thousands): May 31, 2021 February 28, 2021 At Company’s discretion Artemis Wax Corp. $ 15,000 $ - Book4Time, Inc. 2,000 2,000 CLEO Communications Holding, LLC 630 630 Granite Comfort, LP 5,000 - GreyHeller LLC 11,000 15,000 Netreo Holdings, LLC 1,000 10,000 Passageways, Inc. 5,000 5,000 Top Gun Pressure Washing, LLC 175 3,175 Village Realty Holdings LLC - 10,000 Total 39,805 45,805 At portfolio company’s discretion - satisfaction of certain financial and nonfinancial covenants required Artemis Wax Corp. 3,404 - GoReact 800 2,000 HemaTerra Holding Company, LLC 2,000 2,000 New England Dental Partners 4,500 6,000 Passageways, Inc. 2,000 2,000 Procurement Partners, LLC 1,000 1,000 Zollege PBC 1,500 - 15,204 13,000 Total $ 55,009 $ 58,805 68 Note 9. Directors Fees The independent directors each 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 May 31, 2021 and May 31, 2020, we incurred $0.09 million and $0.06 million for directors’ fees and expenses, respectively. As of May 31, 2021 and February 28, 2021, $0.09 million and $0.07 million in directors’ fees and expenses were accrued and unpaid, respectively. As of May 31, 2021, 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 Shares 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 May 31, 2021, the Company purchased 448,812 shares of common stock, at the average price of $18.49 for approximately $8.3 million pursuant to the Share Repurchase Plan. During the three months ended May 31, 2021, the Company purchased 40,000 shares of common stock, at the average price of $25.09 for approximately $1.0 million pursuant to the Share Repurchase Plan. 69 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 May 31, 2021, 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 three months ended May 31, 2021, 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. 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: Common Stock Capital in Excess of Total Distributable Earnings Shares Amount Par Value (Loss) Net Assets Balance at February 29, 2020 11,217,545 $ 11,218 $ 289,476,991 $ 14,798,644 $ 304,286,853 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 70 Common Stock Capital in Excess of Total Distributable Earnings Shares Amount Par Value (Loss) Net Assets 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 Increase (Decrease) from Operations: Net investment income - - - 4,288,996 4,288,996 Net realized gain (loss) from investments - - - (8,726,013 ) (8,726,013 ) Income tax (provision) benefit from realized gain on investments - - - - - Realized losses on extinguishment of debt (128,617 ) (128,617 ) Net change in unrealized appreciation (depreciation) on investments - - - 14,337,460 14,337,460 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (515,796 ) (515,796 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (4,678,514 ) (4,678,514 ) Capital Share Transactions: Proceeds from issuance of common stock - - - - - Stock dividend distribution 41,388 41 900,124 - 900,165 Repurchases of common stock (50,000 ) (50 ) (1,143,748 ) - (1,143,798 ) Repurchase fees - - (1,003 ) - (1,003 ) Offering costs - - - - - Tax reclassification of stockholders’ equity in accordance with generally accepted accounting principles - - 16,529,030 (16,529,030 ) - Balance at February 28, 2021 11,161,416 $ 11,161 $ 304,874,957 $ (700,348 ) $ 304,185,770 Increase (Decrease) from Operations: Net investment income - - - 2,555,935 2,555,935 Net realized gain (loss) from investments - - - 1,910,141 1,910,141 Net change in unrealized appreciation (depreciation) on investments - - - 16,812,577 16,812,577 Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments - - - (230,144 ) (230,144 ) Decrease from Shareholder Distributions: Distributions of investment income – net - - - (4,799,405 ) (4,799,405 ) Capital Share Transactions: Proceeds from issuance of common stock - - - - - Stock dividend distribution 38,580 39 914,063 - 914,102 Repurchases of common stock (40,000 ) (40 ) (1,003,380 ) - (1,003,420 ) Repurchase fees - - (800 ) - (800 ) Offering costs - - - - - Balance at May 31, 2021 11,159,995 $ 11,160 $ 304,784,840 $ 15,548,756 $ 320,344,756 71 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 months ended May 31, 2021 and May 31, 2020 (dollars in thousands except share and per share amounts): For the three months ended Basic and Diluted May 31, 2021 May 31, 2020 Net increase (decrease) in net assets resulting from operations $ 21,049 $ (22,656 ) Weighted average common shares outstanding 11,170,045 11,217,545 Weighted average earnings (loss) per common share $ 1.88 $ (2.02 ) Note 12. Dividend On May 27, 2021, the Company declared a dividend of $0.44 per share payable on June 29, 2021, to common stockholders of record on June 15, 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. Based on shareholder elections, the dividend consisted of approximately $4.1 million in cash and 33,099 newly issued shares of common stock, or 0.3% 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 $25.03 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 16, 17, 18, 21, 22, 23, 24, 25, 28 and 29, 2021. During the three months ended May 31, 2020, there were no dividends declared. The following table summarizes dividends declared for the three months ended May 31, 2021 (dollars in thousands except per share amounts): Date Declared Record Date Payment Date Amount Per Share Total Amount* March 22, 2021 April 8, 2021 April 22, 2021 $ 0.43 $ 4,799 Total dividends declared $ 0.43 $ 4,799 * Total amount is calculated based on the number of shares outstanding at the date of record. 72 Note 13. Financial Highlights The following is a schedule of financial highlights as of and for the three months ended May 31, 2021 and May 31, 2020: Per share data May 31, 2021 May 31, 2020 Net asset value at beginning of period $ 27.25 $ 27.13 Net investment income(1) 0.23 0.80 Net realized and unrealized gain and losses on investments(1) 1.65 (2.82 ) Net increase in net assets resulting from operations 1.88 (2.02 ) Distributions declared from net investment income (0.43 ) - Total distributions to stockholders (0.43 ) - Issuance of common stock above net asset value (2) - - Repurchases of common stock(3) 0.01 - Dilution(4) (0.01 ) - Net asset value at end of period $ 28.70 $ 25.11 Net assets at end of period $ 320,344,756 $ 281,631,018 Shares outstanding at end of period 11,159,995 11,217,545 Per share market value at end of period $ 25.55 $ 15.18 Total return based on market value(5)(6) 12.71 % (33.74 )% Total return based on net asset value(5)(7) 7.24 % (7.45 )% Ratio/Supplemental data: Ratio of net investment income to average net assets(8) 8.25 % 10.33 % Expenses: Ratio of operating expenses to average net assets(9) 5.92 % 4.84 % Ratio of incentive management fees to average net assets(5) 1.69 % (0.63 )% Ratio of interest and debt financing expenses to average net assets(9) 5.51 % 3.47 % Ratio of total expenses to average net assets(8) 13.12 % 7.68 % Portfolio turnover rate(5)(10) 2.43 % 1.93 % Asset coverage ratio per unit(11) 2,510 5,694 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 N/A 6.25% Notes Payable 2025 $ 25.58 $ 22.15 7.25% Notes Payable 2025 $ 26.61 N/A 7.75% Notes Payable 2025(12) N/A N/A 4.375% Notes Payable(12) N/A N/A 6.25% Notes Payable 2027(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. 73 (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. (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, 7.75% Notes Payable 2025, 4.375% Notes Payable and 6.25% Notes Payable 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. 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: Subsequent to May 31, 2021, the global outbreak of the coronavirus 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 three months ended May 31, 2021. 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. 74 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 28, 2021. 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 coronavirus (“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 Investment 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”); 75 ● 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. 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. 76 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 Investment Company Act of 1940, as amended (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 Internal Revenue Code of 1986, as amended (the “Code”). 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 led to, and for an unknown period of time will continue to lead to, disruptions in local, regional, national and global markets and economies affected thereby, including the United States. The COVID-19 pandemic and restrictive measures taken to contain or mitigate its spread have caused, and are continuing to cause, business shutdowns, or the re-introduction of business shutdowns, cancellations of events and restrictions on travel, significant reductions in demand for certain goods and services, reductions in business activity and financial transactions, supply chain interruptions and overall economic and financial market instability both globally and in the United States. In addition, although the U.S. Food and Drug Administration authorized vaccines for emergency use starting in December 2020, it is unclear when “herd immunity” will be achieved and when the restrictions that were imposed to slow the spread of the virus will be lifted entirely. The delay in distributing the vaccines could lead people to continue to self-isolate and not participate in the economy at pre-pandemic levels for a prolonged period of time. Even after the COVID-19 pandemic subsides, the U.S. economy and most other major global economies may continue to experience a recession. As a result, 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. 77 We have evaluated subsequent events from June 1, 2021 through July 7, 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 May 31, 2021, the analysis contained herein may not fully account for impacts relating to the COVID-19 pandemic. In that regard, for example, as of May 31, 2021, 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 May 31, 2021 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. 78 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 “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 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 May 31, 2021, 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 three months ended May 31, 2021, 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. 79 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. 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 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. On December 29, 2020, the Company issued $5.0 million aggregate principal amount of our 6.25% fixed-rate Notes due in 2027 (the “6.25% Notes 2027”). Offering costs incurred were approximately $0.1 million. Interest on the 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning February 28, 2021. The 6.25% Notes 2027 mature on December 29, 2027 and may be redeemed in whole or in part at any time or from time to time at our option, on or after December 29, 2024. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $0.1 million related to the 6.25% Notes 2027 have been capitalized and are being amortized over the term of the Notes. The 6.25% 2027 Notes are unlisted and have a par value of $25.00 per share. 80 On January 28, 2021, the Company issued $10.0 million aggregate principal amount of our 6.25% fixed rate Notes due in 2027 (the “Second 6.25% Notes 2027”) for net proceeds of $9.7 million after deducting underwriting commissions of approximately $0.3 million. Offering costs incurred were approximately $0.0 million. Interest on the Second 6.25% Notes 2027 is paid quarterly in arrears on February 28, May 31, August 31 and November 30, at a rate of 6.25% per year, beginning February 28, 2021. The Second 6.25% Notes 2027 mature on January 28, 2027 and commencing January 28, 2023, 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 Second 6.25% Notes 2027 have been capitalized and are being amortized over the term of the Notes. The Second 6.25% 2027 Notes are unlisted and have a par value of $25.00 per share. On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. As of May 31, 2021, there remained an outstanding receivable of $2.6 million for such transaction costs which is presented as due from affiliate on the Company’s consolidated statement of assets and liabilities. On March 10, 2021, the Company issued $50.0m aggregate principal amount of our 4.375% fixed-rate Notes due in 2026 (the “4.375% Notes 2026”) for net proceeds of $49.0 million after deducting underwriting commissions of approximately $1.0 million. Offering costs incurred were approximately $0.2 million. Interest on the 4.375% Notes 2026 is paid semi-annually in arrears on February 28 and August 28, at a rate of 4.375% per year, beginning August 28, 2021. The 4.375% Notes 2026 mature on February 28, 2026 and may be redeemed in whole or in part at any time or from time to time at the Company’s option at par plus a “make-whole” premium, if applicable. The net proceeds from the offering were used for general corporate purposes in accordance with our investment objective and strategies. Financing costs of $1.2 million related to the 4.375% Notes 2026 have been capitalized and are being amortized over the term of the Notes. 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 Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value, establishes a framework for measuring fair value, establishes a fair value hierarchy based on the quality of inputs used to measure fair value and enhances disclosure requirements for fair value measurements. ASC 820 requires the Company to assume that its investments are to be sold 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. 81 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. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows 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-3 Notes tranche of the Saratoga CLO 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 flows 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 market comparables 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 flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The inputs 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. 82 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. 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. 83 On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ending February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. As of May 31, 2021, there remained an outstanding receivable of $2.6 million for such transaction costs which is presented as due from affiliate on the Company’s consolidated statement of assets and liabilities. 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); ● 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; 84 ● 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. 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. 85 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. 86 Portfolio and Investment Activity Investment Portfolio Overview May 31, 2021 February 28, 2021 ($ in millions) Number of investments(1) 90 81 Number of portfolio companies(2) 44 40 Average investment per portfolio company(2) $ 14.2 $ 12.6 Average investment size(1) $ 7.1 $ 6.5 Weighted average maturity(3) 3.1 yrs 3.2 yrs Number of industries 31 31 Non-performing or delinquent investments (fair value) $ 2.2 $ 2.1 Fixed rate debt (% of interest earning portfolio)(3) $ 23.2(4.1% ) $ 23.3(4.8% ) Fixed rate debt (weighted average current coupon)(3) 9.7 % 9.8 % Floating rate debt (% of interest earning portfolio)(3) $ 538.4(95.9% ) $ 462.6(95.2% ) Floating rate debt (weighted average current spread over LIBOR)(3)(4) 7.8 % 7.4 % (1) Excludes our investment in the subordinated notes of Saratoga CLO. (2) Excludes our investment in the subordinated notes of Saratoga CLO and Class F-R-3 Note tranche of Saratoga CLO. (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 May 31, 2021, we invested $119.2 million in new or existing portfolio companies and had $14.9 million in aggregate amount of exits and repayments resulting in net investments of $104.3 million for the period. During the three months ended May 31, 2020, we invested $39.0 million in new or existing portfolio companies and had $9.4 million in aggregate amount of exits and repayments resulting in net exits and repayments of $29.6 million for the period. 87 Portfolio Composition Our portfolio composition at May 31, 2021 and February 28, 2021 at fair value was as follows: May 31, 2021 February 28, 2021 Percentage of Total Portfolio Weighted Average Current Yield Percentage of Total Portfolio Weighted Average Current Yield First lien term loans 76.2 % 9.4 % 79.5 % 9.5 % Second lien term loans 3.7 12.0 4.4 12.3 Unsecured term loans 0.3 - 0.4 - Structured finance securities 7.9 13.3 9.0 11.6 Equity interests 11.9 - 6.7 - Total 100.0 % 8.6 % 100.0 % 9.1 % At May 31, 2021, our investment in the subordinated notes of Saratoga CLO, a collateralized loan obligation fund, had a fair value of $35.5 million and constituted 5.2% of our portfolio. This investment constitutes a first loss position in a portfolio that, as of May 31, 2021 and February 28, 2021, was composed of $685.6 million and $603.7 million, respectively, in aggregate principal amount of primarily senior secured first lien term loans. In addition, as of May 31, 2021, we also own $17.9 million in aggregate principal of the F-R-3 Notes in the Saratoga CLO, that only rank senior to the subordinated notes. 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 28, 2021). 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 May 31, 2021, $667.0 million or 98.9% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and one Saratoga CLO portfolio investments were in default with a fair value of $0.002 million. At February 28, 2021, $584.6 million or 98.7% of the Saratoga CLO portfolio investments in terms of market value had a CMR (as defined below) color rating of green or yellow and four Saratoga CLO portfolio investments were in default with a fair value of $0.8 million. For more information relating to the Saratoga CLO, see the audited financial statements for Saratoga in our Annual Report on Form 10-K for the fiscal year ended February 28, 2021. Saratoga Investment Advisors normally grades all of our investments using a credit and monitoring rating system (“CMR”). The CMR consists of a single component: a color rating. The color rating is based on several criteria, including financial and operating strength, probability of default, and restructuring risk. The color ratings are characterized as follows: (Green)—performing credit; (Yellow)—underperforming credit; (Red)—in principal payment default and/or expected loss of principal. 88 Portfolio CMR distribution The CMR distribution for our investments at May 31, 2021 and February 28, 2021 was as follows: Saratoga Investment Corp. May 31, 2021 February 28, 2021 Color Score Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Green $ 521,723 77.0 % $ 453,297 81.8 % Yellow 39,897 5.9 32,559 5.9 Red - 0.0 - 0.0 N/A(1) 116,153 17.1 68,457 12.3 Total $ 677,773 100.0 % $ 554,313 100.0 % (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 28, 2021 to $0.6 million as of May 31, 2021 was primarily related to the write-off of the interest accruals related to My Alarm Center, LLC, that we deemed non-recoverable. The CMR distribution of Saratoga CLO investments at May 31, 2021 and February 28, 2021 was as follows: Saratoga CLO May 31, 2021 February 28, 2021 Color Score Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Green $ 602,161 89.4 % $ 514,183 86.8 % Yellow 64,878 9.6 70,415 11.9 Red 5,928 0.9 6,921 1.2 N/A(1) 467 0.1 501 0.1 Total $ 673,434 100.0 % $ 592,020 100.0 % (1) Comprised of Saratoga CLO’s equity interests. 89 Portfolio composition by industry grouping at fair value The following table shows our portfolio composition by industry grouping at fair value at May 31, 2021 and February 28, 2021: Saratoga Investment Corp. May 31, 2021 February 28, 2021 Investments At Fair Value Percentage of Total Portfolio Investments At Fair Value Percentage of Total Portfolio ($ in thousands) IT Services $ 91,661 13.5 % $ 73,087 13.2 % Education Software 89,699 13.2 88,090 15.9 Healthcare Software 69,263 10.2 28,972 5.2 Education Services 59,528 8.8 40,384 7.1 Structured Finance Securities(1) 53,420 7.9 49,779 9.0 Healthcare Services 41,953 6.2 42,410 7.7 Sports Management 25,550 3.8 25,469 4.6 Dental Practice Management Software 23,890 3.5 23,659 4.3 Consumer Services 20,742 3.1 181 0.0 HVAC Services and Sales 19,950 2.9 14,894 2.7 Cyber Security 19,131 2.8 13,174 2.4 Payroll Services 18,346 2.7 18,333 3.3 Real Estate Services 18,186 2.7 18,032 3.3 Corporate Governance 17,598 2.6 13,265 2.4 Hospitality/Hotel 17,586 2.6 17,080 3.1 Marketing Services 17,467 2.6 17,372 3.1 Facilities Maintenance 10,731 1.6 6,193 1.1 Public Safety/Local Government Software 10,205 1.5 - 0.0 Industrial Products 9,032 1.3 9,047 1.6 Waste Services 9,000 1.3 9,000 1.6 Dental Practice Management 8,808 1.3 7,133 1.3 Non-profit Services 5,500 0.8 5,554 1.0 Healthcare Supply 5,329 0.8 5,422 1.0 Field Service Management 4,021 0.6 4,018 0.7 Office Supplies 3,399 0.5 3,610 0.7 Corporate Education Software 3,108 0.5 1,050 0.2 Restaurant 2,169 0.3 2,141 0.4 Staffing Services 969 0.1 925 0.2 Healthcare Products Manufacturing 564 0.1 567 0.1 Consumer Products 522 0.1 475 0.1 Financial Services 446 0.1 419 0.1 Property Management - 0.0 14,578 2.6 Total $ 677,773 100.0 % $ 554,313 100.0 % (1) Comprised of our investment in the subordinated notes, Class F-R-3 Notes of Saratoga CLO. 90 The following table shows Saratoga CLO’s portfolio composition by industry grouping at fair value at May 31, 2021 and February 28, 2021: Saratoga CLO May 31, 2021 February 28, 2021 Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Banking, Finance, Insurance & Real Estate $ 117,906 17.5 % $ 105,326 17.9 % Services: Business 69,543 10.3 55,588 9.4 High Tech Industries 56,509 8.5 50,106 8.5 Healthcare & Pharmaceuticals 48,618 7.2 46,689 7.9 Services: Consumer 45,182 6.7 31,604 5.4 Telecommunications 32,173 4.8 29,878 5.1 Aerospace & Defense 28,600 4.3 25,952 4.4 Automotive 26,524 3.9 19,159 3.2 Chemicals, Plastics, & Rubber 23,117 3.4 23,302 3.9 Hotel, Gaming & Leisure 22,315 3.3 20,515 3.4 Media: Advertising, Printing & Publishing 21,700 3.3 19,826 3.3 Containers, Packaging & Glass 19,347 2.9 18,822 3.2 Beverage, Food & Tobacco 19,687 2.9 17,998 3.1 Consumer goods: Non-durable 19,129 2.8 19,343 3.3 Consumer goods: Durable 17,146 2.5 13,143 2.1 Capital Equipment 12,406 1.8 9,961 1.7 Construction & Building 12,081 1.8 5,362 0.9 Retail 11,686 1.7 12,880 2.1 Media: Broadcasting & Subscription 8,958 1.3 9,426 1.6 Forest Products & Paper 8,937 1.3 6,954 1.2 Utilities: Oil & Gas 8,166 1.2 8,235 1.3 Media: Diversified & Production 7,912 1.2 6,035 1.0 Metals & Mining 7,475 1.1 6,127 1.0 Transportation: Consumer 5,891 0.9 6,183 1.0 Wholesale 5,804 0.9 5,841 1.0 Transportation: Cargo 5,234 0.8 5,812 1.0 Energy: Electricity 3,820 0.6 4,547 0.8 Utilities: Electric 4,175 0.6 4,209 0.7 Energy: Oil & Gas 1,912 0.3 2,208 0.4 Environmental Industries 1,481 0.2 989 0.2 Total $ 673,434 100.0 % $ 592,020 100.0 % 91 Portfolio composition by geographic location at fair value The following table shows our portfolio composition by geographic location at fair value at May 31, 2021 and February 28, 2021. The geographic composition is determined by the location of the corporate headquarters of the portfolio company. May 31, 2021 February 28, 2021 Investments at Fair Value Percentage of Total Portfolio Investments at Fair Value Percentage of Total Portfolio ($ in thousands) Southeast $ 192,393 28.4 % $ 167,397 30.2 % West 171,118 25.2 145,907 26.3 Midwest 114,942 17.0 110,125 19.9 Other 74,616 11.0 39,334 7.1 Northeast 39,931 5.9 13,174 2.4 Northwest 19,131 2.8 7,314 1.3 Southwest(1) 65,642 9.7 71,062 12.8 Total $ 677,773 100.0 % $ 554,313 100.0 % (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 months ended May 31, 2021 and May 31, 2020 was as follows: For the three months ended May 31, 2021 May 31, 2020 ($ in thousands) Total investment income $ 16,816 $ 13,297 Total operating expenses 14,260 4,279 Net investment income 2,556 9,018 Net realized gain (loss) from investments 1,910 8 Income tax (provision) benefit from realized gain on investments - - Net change in unrealized appreciation (depreciation) on investments 16,813 (31,950 ) Net change in provision for deferred taxes on unrealized (appreciation) depreciation on investments (230 ) 268 Net increase (decrease) in net assets resulting from operations $ 21,049 $ (22,656 ) 92 Investment income The composition of our investment income for three months ended May 31, 2021 and May 31, 2020 was as follows: For the three months ended May 31, 2021 May 31, 2020 ($ in thousands) Interest from investments $ 13,687 $ 12,150 Interest from cash and cash equivalents - 12 Management fee income 818 635 Structuring and advisory fee income 1,302 313 Other income 1,009 187 Total investment income $ 16,816 $ 13,297 For the three months ended May 31, 2021, total investment income increased $3.5 million, or 26.5% to $16.8 million from $13.3 million for the three months ended May 31, 2020. Interest income from investments increased $1.5 million, or 12.6%, to $13.7 million for the three months ended May 31, 2021 from $12.2 million for the three months ended May 31, 2020. This reflects the impact of the increase of $195.0 million, or 40.3% in total investments at May 31, 2021 from $482.9 million at May 31, 2020, offset by (i) the reduction in LIBOR during this same period and (ii) the increase in equity positions that are not interest-bearing. At May 31, 2021, the weighted average current yield on investments was 8.6%, down from 9.6% at May 31, 2020, which offset some of the impact resulting from the increased investments. For the three months ended May 31, 2021 and May 31, 2020, total PIK income was $0.3 million and $0.7 million, respectively. Management fee income reflects the fee income received for managing the Saratoga CLO. For the three months ended May 31, 2021 and May 31, 2020, total management fee income was $0.8 million and $0.6 million, respectively, with the increase reflecting the upsizing of the CLO last quarter and greater management fees being earned on the increased assets under management in the CLO. For the three months ended May 31, 2021 and 2020, total structuring and advisory fee income was $1.3 million and $0.3 million, respectively. Structuring and advisory fee income repres