SARATOGA INVESTMENT CORP. - Quarter Report: 2021 May (Form 10-Q)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

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

For the Quarterly Period Ended 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

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.

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.

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.

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.

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	%

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	%

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	%

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	%

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:

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.

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	%

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	%

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	%

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	%

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)

(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

(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.

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.

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

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.

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

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.

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.

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.

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.

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:

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

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Level 2— 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.

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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.

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

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	)

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

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

Unsecured term loans

2,169

Market Comparables

Market Yield (%)

25.2%

EBITDA Multiples (x)

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%

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

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

Unsecured term loans

2,141

Market Comparables

Market Yield (%)

31.1%

EBITDA Multiples (x)

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%

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.

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.

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:

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Default rate: 2%

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Recovery rate: 35% -70%

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Discount rate: 10% – 15%

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Prepayment rate: 20%

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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.

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.

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.

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

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

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

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

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

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

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

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

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

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

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

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

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%.

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

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

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

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

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

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

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

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

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

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

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

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%.

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	)

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.

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.

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.

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.

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.

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.

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.

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.

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.

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)

(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.

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

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.

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

	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

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.

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.

(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)

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.

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”);

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the adequacy of our cash resources and working capital;

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the timing of cash flows, if any, from the operations of our portfolio companies and the impact of the COVID-19 pandemic thereon;

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the impact of interest rate volatility on our results, particularly because we use leverage as part of our investment strategy;

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the impact of legislative and regulatory actions and reforms and regulatory, supervisory or enforcement actions of government agencies relating to us or our Manager;

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the impact of changes to tax legislation and, generally, our tax position;

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our ability to access capital and any future financings by us;

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the ability of our Manager to attract and retain highly talented professionals; and

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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:

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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;

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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;

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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

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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;

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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

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the risks, uncertainties and other factors we identify in “Risk Factors” in our most recent Annual Report on Form 10-K under Part I, Item 1A, in our quarterly reports on Form 10-Q, including this report, and in our other filings with the SEC that we make from time to time.

Such forward-looking statements may include statements preceded by, followed by or that otherwise include terms such as “anticipate,” “believe,” “could,” “estimate,” “expect,” “intend,” “may,” “plan,” “potential,” “project,” “should,” “will” and “would” or the negative of these terms or other comparable terminology.

We have based the forward-looking statements included in this quarterly report on Form 10-Q on information available to us on the date of this quarterly report on Form 10-Q, and we assume no obligation to update any such forward-looking statements. Actual results could differ materially from those anticipated in our forward-looking statements, and future results could differ materially from historical performance. We undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by law or SEC rule or regulation. You are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

The following analysis of our financial condition and results of operations should be read in conjunction with our consolidated financial statements and the related notes thereto contained elsewhere in this quarterly report on Form 10-Q.

OVERVIEW

We are a Maryland corporation that has elected to be treated as a BDC under the 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.

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.

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 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 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.

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.

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.

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:

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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

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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:

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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

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Our board of directors discusses the valuations and approves the fair value of each investment, in good faith, based on the input of 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.

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.

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.

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:

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organization;

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calculating our net asset value (including the cost and expenses of any independent valuation firm);

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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;

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expenses incurred by our Manager payable for travel and due diligence on our prospective portfolio companies;

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interest payable on debt, if any, incurred to finance our investments;

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offerings of our common stock and other securities;

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investment advisory and management fees;

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fees payable to third parties, including agents, consultants or other advisers, relating to, or associated with, evaluating and making investments;

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transfer agent and custodial fees;

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federal and state registration fees;

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all costs of registration and listing our common stock on any securities exchange;

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federal, state and local taxes;

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independent directors’ fees and expenses;

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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);

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costs of any reports, proxy statements or other notices to common stockholders including printing costs;

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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.

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

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.

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.

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.

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.

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	%

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	)

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 represents fee income earned and received performing certain investment and advisory activities during the closing of new investments.

For the three months ended May 31, 2021 and 2020, other income was $1.0 million and $0.2 million, respectively. Other income includes dividends received, origination fees and prepayment income fees and is recorded in the consolidated statements of operations when earned.

Operating expenses

The composition of our operating expenses 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)
Interest and debt financing expenses	$	4,341	$	2,564
Base management fees		2,759		2,160
Incentive management fees expense (benefit)		5,263		(1,858	)
Professional fees		507		387
Administrator expenses		694		556
Insurance		86		68
Directors fees and expenses		92		60
General & administrative and other expenses		491		351
Income tax expense (benefit)		28		(9	)
Total operating expenses	$	14,260	$	4,279

For the three months ended May 31, 2021, total operating expenses increased $10.0 million, or 233.3% compared to the three months ended May 31, 2020.

For the three months ended May 31, 2021, interest and debt financing expenses increased $1.8 million, or 69.3% compared to the three months ended May 31, 2020. The increase is primarily attributable to a increase in average outstanding debt from $217.4 million for the three months ended May 31, 2020 to $286.2 million for the three months ended May 31, 2021, primarily reflecting the issuance of various Notes during the year ended February 28, 2021, including the 7.25% 2025 Notes, the 7.75% 2025 Notes and the 6.25% 2027 Notes, and the issuance of the 4.375% 2026 Notes during the quarter ended May 31, 2021.

For the three months ended May 31, 2021, the weighted average interest rate on our outstanding indebtedness was 5.27% compared to 4.01% for the three months ended May 31, 2020. The increase in weighted average interest rate was primarily driven by the issuance of the various higher-rate Notes noted above over the past year.

As of May 31, 2021 and February 28, 2021, the SBA debentures represented 44.2% and 56.2% of overall debt, respectively.

For the three months ended May 31, 2021, base management fees increased $0.6 million, or 27.7% from $2.2 million to $2.8 million compared to the three months ended May 31, 2020. The increase in base management fees results from the 27.7% increase in the average value of our total assets, less cash and cash equivalents, from $489.8 million for the three months ended May 31, 2020 to $625.5 million for the three months ended May 31, 2021.

For the three months ended May 31, 2021, incentive management fees increased $7.1 million, or 383.2%, compared to the three months ended May 31, 2020. The first part of the incentive management fees increased from $1.4 million for the three months ended May 31, 2020 to $1.6 million for the three months ended May 31, 2021, reflecting the increased performance during this quarter. The incentive management fees related to capital gains increased from a $(3.3) million benefit for the three months ended May 31, 2020 to a $3.7 million expense for the three months ended May 31, 2021, reflecting the incentive fee income on net unrealized depreciation recognized last year and the incentive fee expense on net unrealized appreciation this quarter across numerous investments.

For the three months ended May 31, 2021, professional fees increased $0.1 million, or 31.1%, compared to the three months ended May 31, 2020.

For the three months ended May 31, 2021, administrator expenses increased $0.1 million, or 24.7%, compared to the three months ended May 31, 2020. These increases during the period are primarily attributable to an increase to the cap on the payment or reimbursements of expenses by the Company.

As discussed above, the increase in interest and debt financing expenses for the three months ended May 31, 2021 compared to the three months ended May 31, 2020 is primarily attributable to a increase in the average dollar amount of outstanding debt. During the three months ended May 31, 2021 and May 31, 2020, the average borrowings outstanding under the Credit Facility was $4.1 million and $0.0 million, respectively. For the three months ended May 31, 2021 and May 31, 2020, the average borrowings outstanding of SBA debentures was $158.4 million and $157.4 million, respectively. For the three months ended May 31, 2021 and May 31, 2020, the weighted average interest rate 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 our 6.25% fixed-rate 2025 Notes outstanding was $60.0 million and $60.0 million, respectively. During the three months ended May 31, 2021 and May 31, 2020, the weighted average dollar amount of our 7.25% fixed-rate 2025 Notes outstanding was $43.1 million and $0.0 million, respectively. During the three months ended May 31, 2021 and May 31, 2020, the weighted average dollar amount of our 7.75% fixed-rate 2025 Notes outstanding was $5.0 million and $0.0 million, respectively. During the three months ended May 31, 2021 and May 31, 2020, the average dollar amount of our 6.25% fixed-rate 2027 Notes outstanding was $15.0 million and $0.0 million, respectively. During the three months ended May 31, 2021 and May 31, 2020, the average dollar amount of our 4.375% fixed-rate 2026 Notes outstanding was $50.0 million and $0.0 million, respectively.

For the three months ended May 31, 2021 and May 31, 2020, there were income tax expense (benefits) of $0.03 million and $(0.01) million, respectively. This relates to net deferred federal and state income tax expense (benefit) with respect to operating gains and losses and income derived from equity investments held in the taxable blockers.

Net realized gains (losses) on sales of investments

For the three months ended May 31, 2021, the Company had $14.9 million of sales, repayments, exits or restructurings resulting in $1.9 million of net realized gains.

Three Months ended May 31, 2021

Issuer		Asset Type		Gross Proceeds				Cost				Net Realized Gain (Loss)
V Rental Holdings LLC		Equity Interests		$	2,276,055			$	365,914			$	1,910,141

The $1.9 million of net realized gains was from the sales of the equity position in the Company’s V Rental Holdings LLC investment.

For the three months ended May 31, 2020, the Company had $9.4 million of sales, repayments, exits or restructurings resulting in $0.01 million of net realized gains.

Net change in unrealized appreciation (depreciation) on investments

For the three months ended May 31, 2021, our investments had a net change in unrealized appreciation of $16.8 million versus a net change in unrealized depreciation of $32.0 million for the three months ended May 31, 2020. The most significant cumulative net change in unrealized appreciation (depreciation) for the three months ended May 31, 2021 were the following (dollars in thousands):

Three Months ended May 31, 2021

Issuer	Asset Type	Cost		Fair Value		Total Unrealized Appreciation (Depreciation)			YTD Change in Unrealized Appreciation (Depreciation)
Saratoga Investment Corp. CLO 2013-1, Ltd.	Structured Finance Securities	$	33,412	$	35,546	$	2,134		$	4,531
Passageways, Inc.	First Lien Term Loan & Equity Interests		10,954		17,598		6,645			4,333
Netreo Holdings, LLC	First Lien Term Loan & Equity Interests		23,792		33,604		9,812			4,224
Schoox, Inc.	Equity Interests		1,050		3,108		2,058			2,058
GreyHeller LLC	First Lien Term Loan & Equity Interests		14,032		19,131		5,098			1,996
Top Gun Pressure Washing, LLC	First Lien Term Loan & Equity Interests		10,902		10,731		(171	)		896
Destiny Solutions Inc.	First Lien Term Loan & Equity Interests		45,709		47,395		1,686			659
V Rental Holdings LLC	Equity Interests		-		-		-			(1,843	)

The $4.5 million of unrealized appreciation in our investment in Saratoga Investment Corp. CLO 2013-1, Ltd. was driven by improved market performance, combined with outperformance achieved from the assets in the CLO.

The $4.3 million net change in unrealized appreciation in our investment in Passageways, Inc. was driven by growth, including a potential upcoming acquisition.

The $4.2 million net change in unrealized appreciation in our investment in Netreo Holdings, LLC was driven by growth and improved financial performance.

The $2.1 million net change in unrealized appreciation in our investment in Schoox, Inc. was driven by new customers and increased customer demand.

The $2.0 million net change in unrealized appreciation in our investment in GreyHeller LLC was driven by improved financial performance.

The $0.9 million net change in unrealized appreciation in our investment in Top Gun Pressure Washing, LLC was driven by improved financial performance.

The $0.7 million net change in unrealized appreciation in our investment in Destiny Solutions Inc. was driven by improved financial performance and the potential of an upcoming acquisition.

The $1.8 million net change in unrealized depreciation in our investment in Village Realty Holdings, LLC was driven by the sale of that investment, resulting in a reversal of previously recognized unrealized appreciation reclassified to realized gains.

The most significant cumulative net change in unrealized appreciation for the three months ended May 31, 2020 were the following (dollars in thousands):

Three Months ended May 31, 2020

Issuer	Asset Type	Cost		Fair Value		Total Unrealized Appreciation			YTD Change in Unrealized Appreciation
Knowland Group, LLC	Second Lien Term Loans	$	15,379	$	11,445	$	(3,934	)	$	(3,827	)
C2 Educational Systems	First Lien Term Loan		15,987		12,872		(3,115	)		(3,134	)
Saratoga Investment Corp. CLO 2013-1, Ltd.	Structured Finance Securities		22,160		18,085		(4,075	)		(3,112	)
Elyria Foundry Company, L.L.C.	Second Lien Term Loan & Equity Interests		10,921		1,417		(9,504	)		(1,759	)
Destiny Solutions Inc.	First Lien Term Loan & Equity Interests		38,178		37,077		(1,101	)		(1,640	)
ArbiterSports, LLC	First Lien Term Loan		26,777		25,126		(1,651	)		(1,625	)
Village Realty Holdings LLC	First Lien Term Loan		11,025		9,763		(1,262	)		(1,390	)
Texas Teachers of Tomorrow, LLC	First Lien Term Loan & Equity Interests		19,533		18,520		(1,013	)		(1,144	)
Identity Automation Systems	First Lien Term Loan & Equity Interests		17,742		17,546		(196	)		(959	)
Kev Software Inc.	First Lien Term Loan		21,047		20,210		(837	)		(952	)
EMS LINQ, Inc.	First Lien Term Loan		14,771		13,875		(896	)		(939	)
inMotionNow, Inc.	First Lien Term Loan		14,084		13,273		(811	)		(935	)
CLEO Communications Holding, LLC	First Lien Term Loan		33,882		33,728		(154	)		(924	)

The net changes in unrealized depreciation noted above primarily relate to the impact of COVID-19, resulting in changes to market spreads, EBITDA multiples and/or revised portfolio company performance, following the events since March 2020.

Changes in net assets resulting from operations

For the three months ended May 31, 2021, we recorded a net increase in net assets resulting from operations of $21.0 million. Based on 11,170,045 weighted average common shares outstanding as of May 31, 2021, our per share net increase in net assets resulting from operations was $1.88 for the three months ended May 31, 2021. For the three months ended May 31, 2020, we recorded a net decrease in net assets resulting from operations of $22.7 million. Based on 11,217,545 weighted average common shares outstanding as of May 31, 2020, our per share net decrease in net assets resulting from operations was $2.02 for the three months ended May 31, 2020.

FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

We intend to continue to generate cash primarily from cash flows from operations, including interest earned from our investments in debt in middle market companies, interest earned from the temporary investment of cash in U.S. government securities and other high-quality debt investments that mature in one year or less, future borrowings and future offerings of securities.

Although we expect to fund the growth of our investment portfolio through the net proceeds from future equity offerings, including our dividend reinvestment plan (“DRIP”), and issuances of senior securities or future borrowings, to the extent permitted by the 1940 Act, we cannot assure you that our plans to raise capital will be successful. In this regard, because our common stock has historically traded at a price below our current net asset value per share and we are limited in our ability to sell our common stock at a price below net asset value per share, we have been and may continue to be limited in our ability to raise equity capital.

In addition, we intend to distribute to our stockholders substantially all of our operating taxable income in order to satisfy the distribution requirement applicable to RICs under the Code. In satisfying this distribution requirement, in accordance with certain applicable provisions of the Code and the Treasury regulations and a revenue procedure issued by the Internal Revenue Service (“IRS”), a RIC may treat a distribution of its own stock as fulfilling its RIC distribution requirements if each stockholder may elect to receive his or her entire distribution in either cash or stock of the RIC subject to a limitation that the aggregate amount of cash to be distributed to all stockholders must be at least 20% of the aggregate declared distribution. We may rely on the revenue procedure in future periods to satisfy our RIC distribution requirement.

Also, as a BDC, we generally are required to meet a coverage ratio of total assets, less liabilities and indebtedness not represented by senior securities, to total senior securities, which include all of our borrowings and any outstanding preferred stock, of at least 200.0%, reduced to 150.0% effective April 16, 2019 following the approval received from the non-interested board of directors on April 16, 2018. This requirement limits the amount that we may borrow. Our asset coverage ratio, as defined in the 1940 Act, was 251.0% as of May 31, 2021 and 347.1% as of February 28, 2021. To fund growth in our investment portfolio in the future, we anticipate needing to raise additional capital from various sources, including the equity markets and other debt-related markets, which may or may not be available on favorable terms, if at all.

Consequently, we may not have the funds or the ability to fund new investments, to make additional investments in our portfolio companies, to fund our unfunded commitments to portfolio companies, to pay dividends or to repay borrowings. Also, the illiquidity of our portfolio investments may make it difficult for us to sell these investments when desired and, if we are required to sell these investments, we may realize significantly less than their recorded value.

Madison revolving credit facility

Below is a summary of the terms of the senior secured revolving credit facility we entered into with Madison Capital Funding LLC (the “Credit Facility”) on June 30, 2010, which was most recently amended on September 14, 2020. (See Recent Developments).

Availability. The Company can draw up to the lesser of (i) $40.0 million (the “Facility Amount”) and (ii) the product of the applicable advance rate (which varies from 50.0% to 75.0% depending on the type of loan asset) and the value, determined in accordance with the Credit Facility (the “Adjusted Borrowing Value”), of certain “eligible” loan assets pledged as security for the loan (the “Borrowing Base”), in each case less (a) the amount of any undrawn funding commitments the Company has under any loan asset and which are not covered by amounts in the Unfunded Exposure Account referred to below (the “Unfunded Exposure Amount”) and outstanding borrowings. Each loan asset held by the Company as of the date on which the Credit Facility was closed was valued as of that date and each loan asset that the Company acquires after such date will be valued at the lowest of its fair value, its face value (excluding accrued interest) and the purchase price paid for such loan asset. Adjustments to the value of a loan asset will be made to reflect, among other things, changes in its fair value, a default by the obligor on the loan asset, insolvency of the obligor, acceleration of the loan asset, and certain modifications to the terms of the loan asset.

The Credit Facility contains limitations on the type of loan assets that are “eligible” to be included in the Borrowing Base and as to the concentration level of certain categories of loan assets in the Borrowing Base such as restrictions on geographic and industry concentrations, asset size and quality, payment frequency, status and terms, average life, and collateral interests. In addition, if an asset is to remain an “eligible” loan asset, the Company may not make changes to the payment, amortization, collateral and certain other terms of the loan assets without the consent of the administrative agent that will either result in subordination of the loan asset or be materially adverse to the lenders.

Collateral. The Credit Facility is secured by substantially all of the assets of the Company (other than assets held by our SBIC subsidiary) and includes the subordinated notes (“CLO Notes”) issued by Saratoga CLO and the Company’s rights under the CLO Management Agreement (as defined below).

Interest Rate and Fees. Under the Credit Facility, funds are borrowed from or through certain lenders at the greater of the prevailing LIBOR rate and 1.00%, plus an applicable margin of 4.75%. At the Company’s option, funds may be borrowed based on an alternative base rate, which in no event will be less than 2.00%, and the applicable margin over such alternative base rate is 3.75%. In addition, the Company pays the lenders a commitment fee of 0.75% per year on the unused amount of the Credit Facility for the duration of the Revolving Period (defined below). Accrued interest and commitment fees are payable monthly. The Company was also obligated to pay certain other fees to the lenders in connection with the closing of the Credit Facility.

Revolving Period and Maturity Date. The Company may make and repay borrowings under the Credit Facility for a period of three years following the closing of the Credit Facility (the “Revolving Period”). The Revolving Period may be terminated at an earlier time by the Company or, upon the occurrence of an event of default, by action of the lenders or automatically. All borrowings and other amounts payable under the Credit Facility are due and payable in full five years after the end of the Revolving Period.

Collateral Tests. It is a condition precedent to any borrowing under the Credit Facility that the principal amount outstanding under the Credit Facility, after giving effect to the proposed borrowings, not exceed the lesser of the Borrowing Base or the Facility Amount (the “Borrowing Base Test”). In addition to satisfying the Borrowing Base Test, the following tests must also be satisfied (together with Borrowing Base Test, the “Collateral Tests”):

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Interest Coverage Ratio. The ratio (expressed as a percentage) of interest collections with respect to pledged loan assets, less certain fees and expenses relating to the Credit Facility, to accrued interest and commitment fees and any breakage costs payable to the lenders under the Credit Facility for the last 6 payment periods must equal at least 175.0%.

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Overcollateralization Ratio. The ratio (expressed as a percentage) of the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets plus the fair value of certain ineligible pledged loan assets and the CLO Notes (in each case, subject to certain adjustments) to outstanding borrowings under the Credit Facility plus the Unfunded Exposure Amount must equal at least 200.0%.

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Weighted Average FMV Test. The aggregate adjusted or weighted value of “eligible” pledged loan assets as a percentage of the aggregate outstanding principal balance of “eligible” pledged loan assets must be equal to or greater than 72.0% and 80.0% during the one-year periods prior to the first and second anniversary of the closing date, respectively, and 85.0% at all times thereafter.

The Credit Facility also requires payment of outstanding borrowings or replacement of pledged loan assets upon the Company’s breach of its representation and warranty that pledged loan assets included in the Borrowing Base are “eligible” loan assets. Such payments or replacements must equal the lower of the amount by which the Borrowing Base is overstated as a result of such breach or any deficiency under the Collateral Tests at the time of repayment or replacement. Compliance with the Collateral Tests is also a condition to the discretionary sale of pledged loan assets by the Company.

Priority of Payments. During the Revolving Period, the priority of payments provisions of the Credit Facility require, after payment of specified fees and expenses and any necessary funding of the Unfunded Exposure Account, that collections of principal from the loan assets and, to the extent that these are insufficient, collections of interest from the loan assets, be applied on each payment date to payment of outstanding borrowings if the Borrowing Base Test, the Overcollateralization Ratio and the Interest Coverage Ratio would not otherwise be met. Similarly, following termination of the Revolving Period, collections of interest are required to be applied, after payment of certain fees and expenses, to cure any deficiencies in the Borrowing Base Test, the Interest Coverage Ratio and the Overcollateralization Ratio as of the relevant payment date.

Reserve Account. The Credit Facility requires the Company to set aside an amount equal to the sum of accrued interest, commitment fees and administrative agent fees due and payable on the next succeeding three payment dates (or corresponding to three payment periods). If for any monthly period during which fees and other payments accrue, the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets which do not pay cash interest at least quarterly exceeds 15.0% of the aggregate Adjusted Borrowing Value of “eligible” pledged loan assets, the Company is required to set aside such interest and fees due and payable on the next succeeding six payment dates. Amounts in the reserve account can be applied solely to the payment of administrative agent fees, commitment fees, accrued and unpaid interest and any breakage costs payable to the lenders.

Unfunded Exposure Account. With respect to revolver or delayed draw loan assets, the Company is required to set aside in a designated account (the “Unfunded Exposure Account”) 100.0% of its outstanding and undrawn funding commitments with respect to such loan assets. The Unfunded Exposure Account is funded at the time the Company acquires a revolver or delayed draw loan asset and requests a related borrowing under the Credit Facility. The Unfunded Exposure Account is funded through a combination of proceeds of the requested borrowing and other Company funds, and if for any reason such amounts are insufficient, through application of the priority of payment provisions described above.

Operating Expenses. The priority of payments provision of the Credit Facility provides for the payment of certain operating expenses of the Company out of collections on principal and interest during the Revolving Period and out of collections on interest following the termination of the Revolving Period in accordance with the priority established in such provision. The operating expenses payable pursuant to the priority of payment provisions is limited to $350,000 for each monthly payment date or $2.5 million for the immediately preceding period of twelve consecutive monthly payment dates. This ceiling can be increased by the lesser of 5.0% or the percentage increase in the fair market value of all the Company’s assets only on the first monthly payment date to occur after each one-year anniversary following the closing of the Credit Facility. Upon the occurrence of a Manager Event (described below), the consent of the administrative agent is required in order to pay operating expenses through the priority of payments provision.

Events of Default. The Credit Facility contains certain negative covenants, customary representations and warranties and affirmative covenants and events of default. The Credit Facility does not contain grace periods for breach by the Company of certain covenants, including, without limitation, preservation of existence, negative pledge, change of name or jurisdiction and separate legal entity status of the Company covenants and certain other customary covenants. Other events of default under the Credit Facility include, among other things, the following:

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an Interest Coverage Ratio of less than 150.0%;

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an Overcollateralization Ratio of less than 175.0%;

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the filing of certain ERISA or tax liens;

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the occurrence of certain “Manager Events” such as:

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failure by Saratoga Investment Advisors and its affiliates to maintain collectively, directly or indirectly, a cash equity investment in the Company in an amount equal to at least $5.0 million at any time prior to the third anniversary of the closing date;

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failure of the Management Agreement between Saratoga Investment Advisors and the Company to be in full force and effect;

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indictment or conviction of Saratoga Investment Advisors or any “key person” for a felony offense, or any fraud, embezzlement or misappropriation of funds by Saratoga Investment Advisors or any “key person” and, in the case of “key persons,” without a reputable, experienced individual reasonably satisfactory to Madison Capital Funding appointed to replace such key person within 30 days;

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resignation, termination, disability or death of a “key person” or failure of any “key person” to provide active participation in Saratoga Investment Advisors’ daily activities, all without a reputable, experienced individual reasonably satisfactory to Madison Capital Funding appointed within 30 days; or

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occurrence of any event constituting “cause” under the Collateral Management Agreement between the Company and Saratoga CLO (the “CLO Management Agreement”), delivery of a notice under Section 12(c) of the CLO Management Agreement with respect to the removal of the Company as collateral manager or the Company ceases to act as collateral manager under the CLO Management Agreement.

Conditions to Acquisitions and Pledges of Loan Assets. The Credit Facility imposes certain additional conditions to the acquisition and pledge of additional loan assets. Among other things, the Company may not acquire additional loan assets without the prior written consent of the administrative agent until such time that the administrative agent indicates in writing its satisfaction with Saratoga Investment Advisors’ policies, personnel and processes relating to the loan assets.

Fees and Expenses. The Company paid certain fees and reimbursed Madison Capital Funding LLC for the aggregate amount of all documented, out-of-pocket costs and expenses, including the reasonable fees and expenses of lawyers, incurred by Madison Capital Funding LLC in connection with the Credit Facility and the carrying out of any and all acts contemplated thereunder up to and as of the date of closing of the stock purchase transaction with Saratoga Investment Advisors and certain of its affiliates. These amounts totaled $2.0 million.

On February 24, 2012, we entered into a first amendment to the Credit Facility to, among other things:

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expand the borrowing capacity under the Credit Facility from $40.0 million to $45.0 million;

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remove the condition that we may not acquire additional loan assets without the prior written consent of the administrative agent.

On September 17, 2014, we entered into a second amendment to the Credit Facility, among other things:

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extend the commitment termination date from February 24, 2015 to September 17, 2017;

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extend the maturity date of the Revolving Facility from February 24, 2020 to September 17, 2022 (unless terminated sooner upon certain events);

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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

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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:

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extend the commitment termination date from September 17, 2017 to September 17, 2020;

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extend the final maturity date of the Credit Facility from September 17, 2022 to September 17, 2025;

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reduce the floor on base rate borrowings from 2.25% to 2.00%;

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reduce the floor on LIBOR borrowings from 1.25% to 1.00%; and

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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:

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permit certain amendments related to the Paycheck Protection Program (“Permitted PPP Amendment”) to Loan Asset Documents;

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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

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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:

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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.

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provide for the transition away from the LIBOR Rate in the market, and

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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.

100

As of May 31, 2021, we had $39.0 million outstanding borrowings under the Credit Facility and $168.0 million of SBA-guaranteed debentures outstanding (which are discussed below). As of February 28, 2021, we had no outstanding borrowings under the Credit Facility and $158.0 million of SBA-guaranteed debentures outstanding. Our borrowing base under the Credit Facility at May 31, 2021 and February 28, 2021 was $51.1 million and $38.9 million, respectively.

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.

SBA-guaranteed debentures

In addition, we, through two wholly-owned subsidiaries, sought and obtained licenses from the SBA to operate an SBIC. In this regard, on March 28, 2012, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC LP, received a license from the SBA to operate as an SBIC under Section 301(c) of the Small Business Investment Act of 1958 and on August 14, 2019, our wholly-owned subsidiary, Saratoga Investment Corp. SBIC II LP, also received a license. SBICs are designated 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.

The SBIC licenses allows our SBIC subsidiaries to obtain leverage by issuing SBA-guaranteed debentures. SBA-guaranteed debentures are non-recourse, interest only debentures with interest payable semi-annually and have a ten-year maturity. The principal amount of SBA-guaranteed debentures is not required to be paid prior to maturity but may be prepaid at any time without penalty. The interest rate of SBA-guaranteed debentures is fixed on a semi-annual basis at a market-driven spread over U.S. Treasury Notes with 10-year maturities.

SBA regulations previously limited the amount that our SBIC subsidiary may borrow to a maximum of $150.0 million when it has at least $75.0 million in regulatory capital, receives a capital commitment from the SBA and has been through an examination by the SBA subsequent to licensing. This maximum has been increased by SBA regulators for new licenses to $175.0 million of SBA debentures when it has at least $87.5 million in regulatory capital. The new license will provide up to $175.0 million in additional long-term capital in the form of SBA-guaranteed debentures. The SBIC LP and SBIC II LP are regulated by the SBA. 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. 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. With this license approval, Saratoga can grow its SBA relationship from $150.0 million to $325.0 million of committed capital.

We received exemptive relief from the SEC to permit us to exclude the debt of our SBIC subsidiaries guaranteed by the SBA from the definition of senior securities in the asset coverage test under the 1940 Act. This allows us increased flexibility under the asset coverage test by permitting us to borrow up to $325.0 million more than we 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, our non-interested board of directors approved of our 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 of May 31, 2021, our SBIC LP subsidiary had $75.0 million in regulatory capital and $124.0 million in SBA-guaranteed debentures outstanding and our SBIC II LP subsidiary had $84.0 million in regulatory capital and $44.0 million in SBA-guaranteed debentures outstanding.

Unsecured notes

In May 2013, the Company issued $48.3 million in aggregate principal amount of 7.50% fixed-rate notes due 2020 (the “2020 Notes”). The 2020 Notes were redeemed in full on January 13, 2017 and are no longer listed on the NYSE.

On May 29, 2015, 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 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, we issued $74.5 million in aggregate principal amount of our 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 on January 13, 2017, 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 and are no longer listed on the NYSE.

101

At May 31, 2021, the total 6.25% 2025 Notes outstanding was $60.0 million.

In connection with the issuance of the 6.25% 2025 Notes, we agreed to the following covenants for the period of time during which the notes are outstanding:

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we will not violate (whether or not we are subject to) Section 18(a)(1)(A) as modified by Section 61(a)(1) of the 1940 Act or any successor provisions, but giving effect to any exemptive relief granted to us by the SEC. These provisions generally prohibit us from making additional borrowings, including through the issuance of additional debt or the sale of additional debt securities, unless our asset coverage, as defined in the 1940 Act, equals at least 200% after such borrowings, or, if we obtain the required approvals from our independent directors and/or stockholders, 150% (after deducting the amount of such dividend, distribution or purchase price, as the case may be).

●

we will not declare any dividend (except a dividend payable in our stock), or declare any other distribution, upon a class of our capital stock, or purchase any such capital stock, unless, in every such case, at the time of the declaration of any such dividend or distribution, or at the time of any such purchase, we have an asset coverage (as defined in the 1940 Act) of at least 150.0%, as such obligation may be amended or superseded, after deducting the amount of such dividend, distribution or purchase price, as the case may be, and in each case giving effect to (i) any exemptive relief granted to us by the SEC, and (ii) any SEC no-action relief granted by the SEC to another BDC (or to us if we determine to seek such similar no-action or other relief) permitting the BDC to declare any cash dividend or distribution notwithstanding the prohibition contained in Section 18(a)(1)(B) as modified by such provisions of Section 61(a) of the 1940 Act as may be applicable to us from time to time, as such obligation may be amended or superseded, in order to maintain such BDC’s status as a regulated investment company under Subchapter M of the Code.

●

if, at any time, we are not subject to the reporting requirements of Sections 13 or 15(d) of the Securities Exchange Act of 1934, or the Exchange Act, to file any periodic reports with the SEC, we agree to furnish to holders of the 6.25% 2025 Notes and the Trustee, for the period of time during which the 6.25% 2025 Notes are outstanding, our audited annual consolidated financial statements, within 90 days of our fiscal year end, and unaudited interim consolidated financial statements, within 45 days of our fiscal quarter end (other than our fourth fiscal quarter). All such financial statements will be prepared, in all material respects, in accordance with applicable United States generally accepted accounting principles.

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. The 7.25% 2025 Notes are listed on the NYSE under the trading symbol “SAK” with a par value of $25.00 per share. At November 30, 2020, the total 7.25% 2025 Notes outstanding was $43.1 million.

102

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. The 7.75% 2025 Notes are unlisted and have a par value of $25.00 per share.

At May 31, 2021, the total 7.75% 2025 Notes outstanding was $5.0 million.

On December 29, 2020, the Company issued $5.0 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.

On January 28, 2021, the Company issued $10.0m 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 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.

At May 31, 2021, the total 6.25% 2025 Notes outstanding was $15.0 million.

At May 31, 2021, the total 4.375% Notes outstanding was $50.0 million

At May 31, 2021 and February 28, 2021, the fair value of investments, cash and cash equivalents and cash and cash equivalents, reserve accounts were as follows:

	May 31, 2021					February 28, 2021
	Fair Value		Percentage of Total			Fair Value		Percentage of Total
	($ in thousands)
Cash and cash equivalents	$	318		0.0	%	$	18,828		3.2	%
Cash and cash equivalents, reserve accounts		19,660		2.8			11,087		1.9
First lien term loans		516,154		74.0			440,456		75.4
Second lien term loans		25,422		3.6			24,930		4.3
Unsecured term loans		2,169		0.3			2,141		0.4
Structured finance securities		53,421		7.7			49,779		8.5
Equity interests		80,607		11.6			37,007		6.3
Total	$	697,751		100.0	%	$	584,228		100.0	%

103

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 March 22, 2021, the Company declared a dividend of $0.43 per share payable on April 22, 2021, to common stockholders of record on April 8, 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 $3.9 million in cash and 38,580 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 $23.69 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on April 9,12, 13, 14, 15, 16, 19, 20, 21 and 22, 2021.

On January 5, 2021, our board of directors declared a dividend of $0.42 per share, which was paid on February 10, 2021, to common stockholders of record as of January 26, 2021. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 41,388 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.75 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 28, 29 and February 1, 2, 3, 4, 5, 8, 9 and 10, 2021.

On October 7, 2020, our board of directors declared a dividend of $0.41 per share, which was paid on November 10, 2020, to common stockholders of record as of October 26, 2020. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.8 million in cash and 45,706 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.63 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 28, 29, 30 and November 2, 3, 4, 5, 6, 9 and 10, 2020.

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On July 7, 2020, the Company declared a dividend of $0.40 per share payable on August 12, 2020, to common stockholders of record on July 27, 2020. 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 $3.7 million in cash and 47,098 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.45 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on July 30, 31 and August 3, 4, 5, 6, 7, 10, 11 and 12, 2020.

On January 8, 2020, the Company declared a dividend of $0.56 per share, which was paid on February 6, 2020, to common stockholders of record on January 24, 2020. Shareholders had 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 $5.4 million in cash and 35,682 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 $25.44 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on January 24, 27, 28, 29, 30, 31 and February 3, 4, 5 and 6, 2020.

On August 27, 2019, the Company declared a dividend of $0.56 per share, which was paid on September 26, 2019, to common stockholders of record on September 13, 2019. Shareholders had 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 $4.5 million in cash and 34,575 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $23.34 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 13, 16, 17, 18, 19, 20, 23, 24, 25 and 26, 2019.

On May 28, 2019, our board of directors declared a dividend of $0.55 per share, which was paid on June 27, 2019, to common stockholders of record as of June 13, 2019. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.6 million in cash and 31,545 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $22.65 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2019.

On February 26, 2019, our board of directors declared a dividend of $0.54 per share, which was paid on March 28, 2019, to common stockholders of record as of March 14, 2019. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.5 million in cash and 31,240 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.36 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 18, 19, 20, 21, 22, 25, 26, 27 and 28, 2019.

On November 27, 2018, our board of directors declared a dividend of $0.53 per share, which was paid on January 2, 2019, to common stockholders of record on December 17, 2018. Shareholders had 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 $3.4 million in cash and 30,796 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $18.88 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on December 18, 19, 20, 21, 24, 26, 27, 28, 31, 2018 and January 2, 2019.

On August 28, 2018, our board of directors declared a dividend of $0.52 per share, which was paid on September 27, 2018, to common stockholders of record as of September 17, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.3 million in cash and 25,862 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 $22.35 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on September 14, 17, 18, 19, 20, 21, 24, 25, 26 and 27, 2018.

On May 30, 2018, our board of directors declared a dividend of $0.51 per share, which was paid on June 27, 2018, to common stockholders of record as of June 15, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.7 million in cash and 21,562 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 $23.72 per share, which equaled 95.0% of the volume weighted average trading price per share of the common stock on June 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2018.

105

On February 26, 2018, our board of directors declared a dividend of $0.50 per share, which was paid on March 26, 2018, to common stockholders of record as of March 14, 2018. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.6 million in cash and 25,354 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $19.91 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 13, 14, 15, 16, 19, 20, 21, 22, 23 and 26, 2018.

On November 29, 2017, our board of directors declared a dividend of $0.49 per share, which was paid on December 27, 2017, to common stockholders of record on December 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 25,435 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.14 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 13, 14, 15, 18, 19, 20, 21, 22, 26 and 27, 2017.

On August 28, 2017, our board of directors declared a dividend of $0.48 per share, which was paid on September 26, 2017, to common stockholders of record on September 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.2 million in cash and 33,551 newly issued shares of common stock, or 0.6% 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 $20.19 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on September 13, 14, 15, 18, 19, 20, 21, 22, 25 and 26, 2017.

On May 30, 2017, our board of directors declared a dividend of $0.47 per share, which was paid on June 27, 2017, to common stockholders of record on June 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.3 million in cash and 26,222 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $20.04 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on June 14, 15, 16, 19, 20, 21, 22, 23, 26 and 27, 2017.

On February 28, 2017, our board of directors declared a dividend of $0.46 per share, which was paid on March 28, 2017, to common stockholders of record as of March 15, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 29,096 newly issued shares of common stock, or 0.5% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $21.38 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on March 15, 16, 17, 20, 21, 22, 23, 24, 27 and 28, 2017.

On January 12, 2017, our board of directors declared a dividend of $0.45 per share, which was paid on February 9, 2017, to common stockholders of record as of January 31, 2017. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.6 million in cash and 50,453 newly issued shares of common stock, or 0.9% 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 $20.25 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on January 27, 30, 31 and February 1, 2, 3, 6, 7, 8 and 9, 2017.

On October 5, 2016, our board of directors declared a dividend of $0.44 per share, which was paid on November 9, 2016, to common stockholders of record as of October 31, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,548 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.12 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on October 27, 28, 31 and November 1, 2, 3, 4, 7, 8 and 9, 2016.

On August 8, 2016, our board of directors declared a special dividend of $0.20 per share, which was paid on September 5, 2016, to common stockholders of record as of August 24, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.7 million in cash and 24,786 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.06 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on August 22, 23, 24, 25, 26, 29, 30, 31 and September 1 and 2, 2016.

106

On July 7, 2016, our board of directors declared a dividend of $0.43 per share, which was paid on August 9, 2016, to common stockholders of record as of July 29, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 58,167 newly issued shares of common stock, or 1.0% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.32 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on July 27, 28, 29 and August 1, 2, 3, 4, 5, 8 and 9, 2016.

On March 31, 2016, our board of directors declared a dividend of $0.41 per share, which was paid on April 27, 2016, to common stockholders of record as of April 15, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.5 million in cash and 56,728 newly issued shares of common stock, or 1.0% 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 $15.43 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on April 14, 15, 18, 19, 20, 21, 22, 25, 26 and 27, 2016.

On January 12, 2016, our board of directors declared a dividend of $0.40 per share, which was paid on February 29, 2016, to common stockholders of record as of February 1, 2016. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.4 million in cash and 66,765 newly issued shares of common stock, or 1.2% 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 $13.11 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on February 16, 17, 18, 19, 22, 23, 24, 25, 26 and 29, 2016.

On October 7, 2015, our board of directors declared a dividend of $0.36 per share, which was paid on November 30, 2015, to common stockholders of record as of November 2, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 61,029 newly issued shares of common stock, or 1.1% 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 $14.53 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on November 16, 17, 18, 19, 20, 23, 24, 25, 27 and 30, 2015.

On July 8, 2015, our board of directors declared a dividend of $0.33 per share, which was paid on August 31, 2015, to common stockholders of record as of August 3, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $1.1 million in cash and 47,861 newly issued shares of common stock, or 0.9% 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 $15.28 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on August 18, 19, 20, 21, 24, 25, 26, 27, 28 and 31, 2015.

On May 14, 2015, our board of directors declared a special dividend of $1.00 per share, which was paid on June 5, 2015, to common stockholders of record on as of May 26, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $3.4 million in cash and 126,230 newly issued shares of common stock, or 2.3% 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 $16.47 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on May 22, 26, 27, 28, 29 and June 1, 2, 3, 4 and 5, 2015.

On April 9, 2015, our board of directors declared a dividend of $0.27 per share, which was paid on May 29, 2015, to common stockholders of record as of May 4, 2015. Shareholders had the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.9 million in cash and 33,766 newly issued shares of common stock, or 0.6% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $16.78 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on May 15, 18, 19, 20, 21, 22, 26, 27, 28 and 29, 2015.

On September 24, 2014, our board of directors declared a dividend of $0.22 per share, which was paid on February 27, 2015, to common stockholders of record on February 2, 2015. Shareholders have the option to receive payment of the dividend in cash, or receive shares of common stock, pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.8 million in cash and 26,858 newly issued shares of common stock, or 0.5% 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 $14.97 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on February 13, 17, 18, 19, 20, 23, 24, 25, 26 and 27, 2015.

107

Also, on September 24, 2014, our board of directors declared a dividend of $0.18 per share, which was paid on November 28, 2014, to common stockholders of record on November 3, 2014. Shareholders had the option to receive payment of the dividend in cash or receive shares of common stock pursuant to the DRIP. Based on shareholder elections, the dividend consisted of approximately $0.6 million in cash and 22,283 newly issued shares of common stock, or 0.4% of our outstanding common stock prior to the dividend payment. The number of shares of common stock comprising the stock portion was calculated based on a price of $14.37 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on November 14, 17, 18, 19, 20, 21, 24, 25, 26 and 28, 2014.

On October 30, 2013, our board of directors declared a dividend of $2.65 per share, which was paid on December 27, 2013, to common stockholders of record as of November 13, 2013. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $2.5 million or $0.53 per share. This dividend was declared in reliance on certain private letter rulings issued by the IRS concluding that 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. Based on shareholder elections, the dividend consisted of approximately $2.5 million in cash and 649,500 shares of common stock, or 13.7% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.439 per share, which 95% of equaled the volume weighted average trading price per share of the common stock on December 11, 13, and 16, 2013.

On November 9, 2012, our board of directors declared a dividend of $4.25 per share, which was paid on December 31, 2012, to common stockholders of record as of November 20, 2012. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to approximately $3.3 million or $0.85 per share. Based on shareholder elections, the dividend consisted of $3.3 million in cash and 853,455 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $15.444 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 14, 17 and 19, 2012.

On November 15, 2011, our board of directors declared a dividend of $3.00 per share, which was paid on December 30, 2011, to common stockholders of record as of November 25, 2011. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.0 million or $0.60 per share. Based on shareholder elections, the dividend consisted of $2.0 million in cash and 599,584 shares of common stock, or 18.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 20.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $13.117067 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011.

On November 12, 2010, our board of directors declared a dividend of $4.40 per share to shareholders payable in cash or shares of our common stock, in accordance with the provisions of the IRS Revenue Procedure 2010-12, which allows a publicly-traded regulated investment company to satisfy its distribution requirements with a distribution paid partly in common stock provided that at least 10.0% of the distribution is payable in cash. The dividend was paid on December 29, 2010 to common shareholders of record on November 19, 2010. Based on shareholder elections, the dividend consisted of $1.2 million in cash and 596,235 shares of common stock, or 22.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 10.0% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $17.8049 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2010.

On November 13, 2009, our board of directors declared a dividend of $18.25 per share, which was paid on December 31, 2009, to common stockholders of record as of November 25, 2009. Shareholders had the option to receive payment of the dividend in cash, shares of common stock, or a combination of cash and shares of common stock, provided that the aggregate cash payable to all shareholders was limited to $2.1 million or $0.25 per share. Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 shares of common stock, or 104.0% of our outstanding common stock prior to the dividend payment. The amount of cash elected to be received was greater than the cash limit of 13.7% of the aggregate dividend amount, thus resulting in the payment of a combination of cash and stock to shareholders who elected to receive cash. The number of shares of common stock comprising the stock portion was calculated based on a price of $1.5099 per share, which equaled 95% of the volume weighted average trading price per share of the common stock on December 24 and 28, 2009.

We cannot provide any assurance that these measures will provide sufficient sources of liquidity to support our operations and growth.

108

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

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

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Recent Developments

Subsequent to May 31, 2020, 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.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Our business activities contain elements of market risk. We consider our principal market risk to be the fluctuation in interest rates. Managing this risk is essential to our business. Accordingly, we have systems and procedures designed to identify and analyze our risks, to establish appropriate policies and thresholds and to continually monitor this risk and thresholds by means of administrative and information technology systems and other policies and processes. In addition, U.S. and global capital markets and credit markets have experienced a higher level of stress due to the global COVID-19 pandemic, which has resulted in an increase in the level of volatility across such markets and a general decline in value of the securities held by us.

Interest rate risk is defined as the sensitivity of our current and future earnings to interest rate volatility, including relative changes in different interest rates, variability of spread relationships, the difference in re-pricing intervals between our assets and liabilities and the effect that interest rates may have on our cash flows. Changes in the general level of interest rates can affect our net interest income, which is the difference between the interest income earned on interest earning assets and our interest expense incurred in connection with our interest-bearing debt and liabilities. Changes in interest rates can also affect, among other things, our ability to acquire leveraged loans, high yield bonds and other debt investments and the value of our investment portfolio.

Our investment income is affected by fluctuations in various interest rates, including LIBOR and the prime rate. A large portion of our portfolio is, and we expect will continue to be, comprised of floating rate investments that utilize LIBOR. In connection with the COVID-19 pandemic, the U.S. Federal Reserve and other central banks have reduced certain interest rates and LIBOR has decreased. A prolonged reduction in interest rates will reduce our gross investment income and could result in a decrease in our net investment income if such decreases in LIBOR are not offset by a corresponding increase in the spread over LIBOR that we earn on any portfolio investments, a decrease in in our operating expenses, including with respect to our income incentive fee, or a decrease in the interest rate of our floating interest rate liabilities tied to LIBOR. Our interest expense is affected by fluctuations in LIBOR only on our revolving credit facility. At May 31, 2021, we had $380.1 million of borrowings outstanding, of which $39.0 million borrowings outstanding on the revolving credit facility as of May 31, 2021.

We have analyzed the potential impact of changes in interest rates on interest income from investments. Assuming that our investments as of May 31, 2021 were to remain constant for a full fiscal year and no actions were taken to alter the existing interest rate terms, a hypothetical change of a 1.0% increase in interest rates would cause a corresponding increase of approximately $0.5 million to our interest income. Conversely, a hypothetical change of a 1.0% decrease in interest rates would cause a corresponding decrease of approximately $0.02 million to our interest income.

Changes in interest rates would have no impact to our current interest and debt financing expense, as all our borrowings except for our credit facility are fixed rate, and our credit facility is currently undrawn.

Although management believes that this measure is indicative of our sensitivity to interest rate changes, it does not adjust for potential changes in credit quality, size and composition of the assets on the statements of assets and liabilities and other business developments that could magnify or diminish our sensitivity to interest rate changes, nor does it account for divergences in LIBOR and the commercial paper rate, which have historically moved in tandem but, in times of unusual credit dislocations, have experienced periods of divergence. Accordingly, no assurances can be given that actual results would not materially differ from the potential outcome simulated by this estimate.

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For further information, the following table shows the approximate annualized increase or decrease in the components of net investment income due to hypothetical base rate changes in interest rates, assuming no changes in our investments and borrowings as of May 31, 2021.

	Increase			(Increase)			Increase			Increase
Basis	(Decrease)			Decrease			(Decrease) in Net			(Decrease) in Net
Point	in Interest			in Interest			Investment			Investment
Change	Income			Expense			Income			Income per Share
	($ in thousands)
-100	$	(23	)	$	-		$	(23	)	$	(0.00	)
-50		(23	)		-			(23	)		(0.00	)
-25		(23	)		-			(23	)		(0.00	)
25		45			-			45			0.00
50		101			-			101			0.01
100		452			(51	)		401			0.04
200		3,467			(441	)		3,026			0.27
300		8,562			(831	)		7,731			0.69
400		14,029			(1,221	)		12,808			1.15

ITEM 4. CONTROLS AND PROCEDURES

(a)

As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our management, including our chief executive officer and our chief financial officer, of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934). Based on that evaluation, our chief executive officer and our chief financial officer have concluded that our current disclosure controls and procedures are effective in facilitating timely decisions regarding required disclosure of any material information relating to us that is required to be disclosed by us in the reports we file or submit under the Securities Exchange Act of 1934. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures.

(b)

There have been no changes in the Company’s internal control over financial reporting (as defined in Rule 13a-15(f) of Exchange Act) that occurred during the quarter ended November 30, 2020 that have materially affected, or are reasonably likely to materially affect, the Company’s internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

Neither we nor our wholly-owned subsidiaries, Saratoga Investment Funding LLC and Saratoga Investment Corp. SBIC LP and Saratoga Investment Corp. SBIC II LP, are currently subject to any material legal proceedings.

Item 1A. Risk Factors

In addition to information set forth in this report, you should carefully consider the “Risk Factors” discussed in our most recent Annual Report on Form 10-K filed with the SEC, which could materially affect our business, financial condition and/or operating results. Other than as set forth below, there have been no material changes during the three months ended May 31, 2021 to the risk factors discussed in “Item 1A. Risk Factors” of our Annual Report on Form 10-K. Additional risks or uncertainties not currently known to us or that we currently deem to be immaterial also may materially affect our business, financial condition and/or operating results.

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

Not applicable.

Item 3. Defaults Upon Senior Securities

Not applicable.

Item 4. Mine Safety Disclosures

Not applicable.

Item 5. Other Information

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ITEM 6. EXHIBITS

Listed below are the exhibits which are filed as part of this report (according to the number assigned to them in Item 601 of Regulation S-K):

EXHIBIT INDEX

Exhibit Number		Description
3.1(a)		Articles of Incorporation of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Form 10-Q for the quarterly period ended May 31, 2007).
3.1(b)		Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed August 3, 2010).
3.1(c)		Articles of Amendment of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed August 13, 2010).
3.2		Third Amended and Restated Bylaws of Saratoga Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 10-Q filed January 6, 2021)
4.1		Specimen certificate of Saratoga Investment Corp.’s common stock, par value $0.001 per share. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-169135, filed on September 1, 2010).
4.2		Registration Rights Agreement dated July 30, 2010 between GSC Investment Corp., GSC CDO III L.L.C., and the investors party thereto (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
4.3		Dividend Reinvestment Plan (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on September 24, 2014).
4.4		Form of Indenture by and between the Company and U.S. Bank National Association, as trustee (incorporated by reference to Saratoga Investment Corp.’s Pre-Effective Amendment No. 2 to the Registration Statement on Form N-2, File No. 333-186323 filed April 30, 2013).
4.5		Form of Second Supplemental Indenture between the Company and U.S. Bank National Association (incorporated by reference to Amendment No. 2 to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-214182, filed on December 12, 2016).
4.6		Form of Global Note (incorporated by reference to Exhibit 4.5 hereto, and Exhibit A therein).
4.7		Form of Third Supplemental Indenture between the Company and U.S. Bank National Association (incorporated by reference to Post- Effective Amendment No. 9 to the Registrant’s Registration Statement on Form N-2, File No. 333-216344, filed on August 28, 2018).
4.8		Form of Global Note (incorporated by reference to Exhibit 4.7 hereto, and Exhibit A therein).
4.9		Form of Articles Supplementary Establishing and Fixing the Rights and Preferences of Preferred Stock (incorporated by reference to Saratoga Investment Corp.’s registration statement on Form N-2 Pre-Effective Amendment No. 1, File No. 333-196526, filed on December 5, 2014).
4.10		Description of Securities. (incorporated by reference to Saratoga Investment Corp.’s Annual Report on Form 10-K filed on May 5, 2021).
4.11		Fourth Supplemental Indenture between the Company and U.S. Bank National Association, as trustee, relating to the 7.25% Note due 2025 (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K (File No. 814-00732) filed on June 24, 2020).
4.12		Form of 7.25% Notes due 2025 (incorporated by reference to Exhibit 4.11 hereto).
4.13		Eighth Supplemental Indenture between the Company and U.S. Bank National Association, as trustee, relating to the 4.375% Note due 2026 (incorporated by reference to Exhibit 4.2 to the Registrant’s Current Report on Form 8-K (File No. 814-00732) filed on March 10, 2021).
4.14		Form of 4.375% Notes due 2026 (incorporated by reference to Exhibit 4.13 hereto).
10.1		Investment Advisory and Management Agreement dated July 30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
10.2		Custodian Agreement dated March 21, 2007 between GSC Investment LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Form 10-Q for the quarterly period ended May 31, 2007).
10.3		Administration Agreement dated July 30, 2010 between GSC Investment Corp. and Saratoga Investment Advisors, LLC (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).

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10.4		Trademark License Agreement dated July 30, 2010 between Saratoga Investment Advisors, LLC and GSC Investment Corp. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
10.5		Credit, Security and Management Agreement dated July 30, 2010 by and among GSC Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on August 3, 2010).
10.6		Form of Indemnification Agreement between Saratoga Investment Corp. and each officer and director of Saratoga Investment Corp. (incorporated by reference to Amendment No. 2 to Saratoga Investment Corp.’s Registration Statement on Form N-2 filed on January 12, 2007).
10.7		Amendment No. 1 to Credit, Security and Management Agreement dated February 24, 2012 by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on February 29, 2012).
10.8		Amended and Restated Indenture, dated as of November 15, 2016, among Saratoga Investment Corp. CLO 2013-1, Ltd., Saratoga Investment Corp. CLO 2013-1, Inc. and U.S. Bank National Association. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-216344, filed on February 28, 2017).
10.9		Amended and Restated Collateral Management Agreement, dated October 17, 2013, by and between Saratoga Investment Corp. and Saratoga Investment Corp. CLO 2013-1, Ltd. (incorporated by reference to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-196526, filed on December 5, 2014).
10.10		Amendment No. 2 to Credit, Security and Management Agreement dated September 17, 2014 by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on September 18, 2014).
10.11		Amendment No. 3 to Credit, Security and Management Agreement, dated May 18, 2017, by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on May 18, 2017).
10.12		Equity Distribution Agreement dated March 16, 2017, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc. and BB&T Capital Markets, a division of BB&T Securities, LLC (incorporated by reference to Saratoga Investment Corp.’s Post-Effective Amendment No. 1 to the Registration Statement on Form N-2, File No. 333-216344, filed on March 16, 2017).
10.13		Amendment No. 1 to the Equity Distribution Agreement dated October 12, 2017, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc., BB&T Capital Markets, a division of BB&T Securities, LLC, and FBR Capital Markets & Co. (incorporated by reference to Saratoga Investment Corp.’s Post-Effective Amendment No. 2 to the Registration Statement on Form N-2, File No. 333-216344, filed on October 12, 2017).
10.14		Amendment No. 2 to the Equity Distribution Agreement dated January 11, 2018, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc., BB&T Capital Markets, a division of BB&T Securities, LLC, and FBR Capital Markets & Co. (incorporated by reference to Saratoga Investment Corp.’s Post-Effective Amendment No. 3 to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-216344, filed on January 11, 2018).
10.15		Amendment No. 3 to the Equity Distribution Agreement dated October 16, 2018, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc., BB&T Capital Markets, a division of BB&T Securities, LLC, and B. Riley FBR, Inc. (incorporated by reference to Post-Effective Amendment No. 1 to the registrant’s Registration Statement on Form N-2, File No. 333-227116, filed on October 16, 2018).
10.16		Amendment No. 4 to the Equity Distribution Agreement dated July 11, 2019, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc., BB&T Capital Markets, a division of BB&T Securities, LLC, and B. Riley FBR, Inc. (incorporated by reference to Post-Effective Amendment No. 5 to the registrant’s Registration Statement on Form N-2, File No. 333-227116, filed on July 12, 2019).
10.17		Amendment No. 5 to the Equity Distribution Agreement dated October 10, 2019, by and among Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Ladenburg Thalmann and Co. Inc., BB&T Capital Markets, a division BB&T Securities, LLC, and B. Riley FBR, Inc. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on October 10, 2019).
10.18		Amendment No. 4 to Credit, Security and Management Agreement, dated April 24, 2020, by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on April 29, 2020).

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10.19		Amendment No. 5 to Credit, Security and Management Agreement, dated September 14, 2020, by and among Saratoga Investment Funding LLC, Saratoga Investment Corp., Saratoga Investment Advisors, LLC, Madison Capital Funding LLC and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on September 17, 2020).
10.20		Amended and Restated Collateral Management Agreement, dated February 26, 2021, by and between Saratoga Investment Corp. and Saratoga Investment Corp. CLO 2013-1, Ltd. (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on March 4, 2021).
10.21		Amended and Restated Collateral Administration Agreement, dated February 26, 2021, by and between Saratoga Investment Corp., Saratoga Investment Corp. CLO 2013-1, Ltd. and U.S. Bank National Association (incorporated by reference to Saratoga Investment Corp.’s Current Report on Form 8-K filed on March 4, 2021).
11		Computation of Per Share Earnings (included in Note 11 to the consolidated financial statements contained in this report).
14		Code of Ethics of the Company adopted under Rule 17j-1 (incorporated by reference to Amendment No.7 to Saratoga Investment Corp.’s Registration Statement on Form N-2, File No. 333-138051, filed on March 22, 2007).
21.1		List of Subsidiaries (incorporated by reference to Saratoga Investment Corp.’s Annual Report on Form 10-K filed on May 6, 2020).
31.1*		Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934
31.2*		Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934
32.1*		Certification of Chief Executive Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)
32.2*		Certification of Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350)

Filed herewith

115

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	SARATOGA INVESTMENT CORP.

Date: July 7, 2021	By:	/s/ CHRISTIAN L. OBERBECK
		Christian L. Oberbeck
		Chief Executive Officer

	By:	/s/ HENRI J. STEENKAMP
		Henri J. Steenkamp
		Chief Financial Officer and Chief Compliance Officer

116