**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

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**Form 10-K/A**

 
| **x**                                                                                                                                             | **ANNUAL   REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE   ACT OF 1934**     |
|---------------------------------------------------------------------------------------------------------------------------------------------------|-----------------------------------------------------------------------------------------------------------------|
| ** **                                                                                                                                        | ** **                                                                                                      |
| **For the fiscal year ended February 28, 2013**                                                                                              |
| ** **                                                                                                                                        |
| **o**                                                                                                                                             | **TRANSITION   REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE   ACT OF 1934** |
| ** **                                                                                                                                        | ** **                                                                                                      |
| **For the transition period from          to         ** |

 

**Commission File No. 001-33376**

 

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**SARATOGA INVESTMENT CORP.**

(Exact name of Registrant as specified in its charter)

 

| **Maryland**   (State or other jurisdiction of   incorporation or organization) | ** ** | **20-8700615**   (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**                | ** ** | **Name   of Each Exchange on Which Registered** | ** ** |
|------------|------------------------------------------|------------|-------------------------------------------------|------------|
|       | Common Stock, par value $0.001 per share |       | The New York Stock Exchange                     |       |
|       | 7.50% Notes due 2020                     |       | The New York Stock Exchange                     |       |

 

Securities registered pursuant to Section 12(g) of the Act: **None**

 

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes o  No x

 

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or 15(d) of the Act. Yes o  No x

 

Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days: Yes x  No o

 

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes o  No o

 

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x

 

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

| Large accelerated filer o                                          |   | Accelerated filer o              |
|-----------------------------------------------------------------------------------|--------|--------------------------------------------|
|                                                                              |   |                                       |
| Non-accelerated filer x   (Do not check if a smaller reporting company) |   | Smaller reporting company o |

 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes o  No x

 

The aggregate market value of the voting and non-voting common stock held by non-affiliates of the registrant as of August 31, 2012 was approximately $41.6 million based upon a closing price of $16.50 reported for such date by the New York Stock Exchange.

 

The number of outstanding common shares of the registrant as of May 29, 2013 was 4,730,116.

 

**DOCUMENTS INCORPORATED BY REFERENCE**

 

None.

 

 

 

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**EXPLANATORY NOTE**

 

We are filing this Annual Report on Form 10-K/A to include the separate audited financial statements of GSC Investment Corp. CLO 2007, Ltd. required by Rule 3-09 of Regulation S-X in Part II, Item 8, and the exhibit required by Item 601(b)(32) of Regulation S-K.

 

Other than the changes described above, all other information in our original Annual Report on Form 10-K filed with the SEC on May 30, 2013 remains unchanged.

 

2

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**PART II**

 

**ITEM 8.  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA**

 

Our financial statements are annexed to this Annual Report beginning on page F-1. In addition, the Financial Statements of GSC Investment Corp. CLO 2007 LTD. are annexed to this Annual Report beginning on page S-1.

 

**ITEM 9.  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE**

 

None

 

3

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**PART IV**

 

**ITEM 15.  EXHIBITS AND CONSOLIDATED FINANCIAL STATEMENT SCHEDULES**

 

The following documents are filed or incorporated by reference as part of this Annual Report:

 

**1.****                                     ****Consolidated Financial Statements**

 

The following financial statements of the Company are filed herewith:

 
| Report of Independent Registered Public Accounting   Firm                                                                                |
|------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                     |
| Consolidated Statements of Assets and Liabilities as   of February 28, 2013 and February 29, 2012                              |
|                                                                                                                                     |
| Consolidated Statements of Operations for the years   ended February 28, 2013, February 29, 2012, and February 28,   2011 |

 

4

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| Consolidated Schedules of Investments as of   February 28, 2013 and February 29, 2012                                                     |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                |
| Consolidated Statements of Changes in Net Assets for   the years ended February 28, 2013, February 29, 2012, and   February 28, 2011 |
|                                                                                                                                                |
| Consolidated Statements of Cash Flows for the years   ended February 28, 2013, February 29, 2012, and February 28,   2011            |
|                                                                                                                                                |
| Notes to Consolidated Financial Statements                                                                                                          |

 

**2.****                                     ****Financial Statement Schedule**

 

Reference is made to the Index to Other Financial Statements on page S-1.

 

5

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**3.****                                     ****Exhibits required to be filed by Item 601 of Regulation S-K**

 

The following exhibits are filed as part of this report or hereby incorporated by reference to exhibits previously filed with the SEC:

 

**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,   File No. 001-33376).                                                                                                                                                                                          |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 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         |       | Amended and Restated   Bylaws of Saratoga Investment Corp. (incorporated by reference to Saratoga   Investment Corp.’s Current Report on Form 8-K filed on March 5, 2008).                                                                                                                                                                                                                  |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 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         |       | Form of Dividend   Reinvestment Plan (incorporated by reference to Amendment No. 2 to the   Saratoga Investment Corp.’s Registration Statement on Form N-2, File No.   333-138051, filed on January 12, 2007).                                                                                                                                                                              |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 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. 1 to the Registration Statement on Form N-2, File No.   333-186323 filed April 30, 2013).                                                                                                           |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 4.5         |       | Form of First Supplemental   Indenture between the Company and U.S. Bank National Association   (incorporated by reference to Saratoga Investment Corp.’s Pre-Effective   Amendment No. 1 to the Registration Statement on Form N-2, File No.   333-186323 filed April 30, 2013).                                                                                                           |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 4.6         |       | Form of Note (Filed as   Exhibit A to First Supplemental Indenture referred to in Exhibit 4.5).                                                                                                                                                                                                                                                                                                  |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 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).                                                                                                                                                        |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 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        |       | Indenture, dated as of   January 22, 2008, among GSC Investment Corp. CLO 2007, Ltd., GSC Investment   Corp. CLO 2007, Inc. and U.S. Bank National Association (incorporated by   reference to the registrant’s Registration Statement on Form N-2, File No.   333-186323, filed on April 30, 2013).                                                                                        |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 12.1        |       | Statement of Computation   of Ratios of Earnings to Fixed Charges (incorporated by reference to the   registrant’s Registration Statement on Form N-2, File No. 333-186323, filed   on April 29, 2013).                                                                                                                                                                                     |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 21.1        |       | List of Subsidiaries and   jurisdiction of incorporation/organization: Saratoga Investment Funding   LLC—Delaware; Saratoga Investment Corp. SBIC, LP—Delaware; and Saratoga   Investment Corp. GP, LLC—Delaware.                                                                                                                                                                 |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 24.1        |       | Power of Attorney (included   on signature page to Annual Report on Form 10-K filed with the SEC on May 30,   2013).                                                                                                                                                                                                                                                                             |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 31.1*       |       | Chief Executive Officer   Certification Pursuant to Rule 13a-14 of the Securities Exchange Act of 1934,   as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.                                                                                                                                                                                                                  |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 31.2*       |       | Chief Financial Officer   Certification Pursuant to Rule 13a-14 of the Securities Act of 1934, as   adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.                                                                                                                                                                                                                           |
|        |       |                                                                                                                                                                                                                                                                                                                                                                                             |
| 32.1*       |       | Chief Executive Officer   and Chief Financial Officer Certification pursuant to Section 1350, Chapter   63 of Title 18, United States Code, as adopted pursuant to Section 906 of the   Sarbanes-Oxley Act of 2002.                                                                                                                                                                              |

 

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*                                         Filed herewith

 

6

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**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:   June 7, 2013 | By:                         | /s/ CHRISTIAN L. OBERBECK |
|                 |                        | Christian L. Oberbeck |
|                 |                        | *Chief Executive Officer* |
|                 |                        | * * |
|                 | By:                         | /s/ RICHARD A. PETROCELLI |
|                 |                        | Richard A. Petrocelli *Chief Financial Officer, Chief Compliance   Officer and Secretary* |

 

KNOW ALL PERSONS BY THESE PRESENT, that each person whose signature appears below hereby constitutes and appoints Christian L. Oberbeck and Richard A. Petrocelli, and each of them (with full power to each of them to act alone), his true and lawful attorneys-in-fact and agents, with full power of substitution and resubstitution, for him and in his name, place, and stead, in any and all capacities, to sign this report and any and all amendments thereto, and to file the same, with the Securities and Exchange Commission, granting unto said attorneys-in-fact and agents full power and authority to do and perform each and every act and thing requisite and necessary to be done in and about the premises, as fully to all intents and purposes as he might or could do in person, hereby ratifying and confirming all that said attorneys-in-fact and agents, or their substitute or substitutes, may lawfully do or cause to be done by virtue hereof.

 

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 
| **Signature**             | ** ** | **Title**                                                                                   | ** ** | **Date**       |
|---------------------------|------------|---------------------------------------------------------------------------------------------|------------|----------------|
|                      |       |                                                                                        |       |           |
| /s/ CHRISTIAN L. OBERBECK |       | Chairman   of the Board of Directors, Chief Executive Officer (Principal Executive Officer) |       | June   7, 2013 |
| Christian L. Oberbeck     |       |                                                                                        |       |
|                      |       |                                                                                        |       |           |
| *                         |       | Member   of the Board of Directors                                                          |       | June   7, 2013 |
| Michael J. Grisius        |       |                                                                                        |       |           |
|                      |       |                                                                                        |       |           |
| /s/ RICHARD A. PETROCELLI |       | Chief   Financial Officer (Principal Accounting Officer and Principal Financial   Officer)  |       | June   7, 2013 |
| Richard A. Petrocelli     |       |                                                                                        |       |
|                      |       |                                                                                        |       |           |
| *                         |       | Member   of the Board of Directors                                                          |       | June   7, 2013 |
| Steven M. Looney          |       |                                                                                        |       |           |
|                      |       |                                                                                        |       |           |
| *                         |       | Member   of the Board of Directors                                                          |       | June   7, 2013 |
| Charles S. Whitman III    |       |                                                                                        |       |           |
|                      |       |                                                                                        |       |           |
| *                         |       | Member   of the Board of Directors                                                          |       | June   7, 2013 |
| Cabell Williams           |       |                                                                                        |       |           |

 

* Signed by Richard A. Petrocelli pursuant to power of attorney signed by each individual on May 29, 2013.

 

7

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** **

**INDEX TO CONSOLIDATED FINANCIAL STATEMENTS**

 
| Report of Independent Registered Public Accounting Firm                                                               | F-2  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|------|
| Consolidated   Statements of Assets and Liabilities as of February 28, 2013 and   February 29, 2012                                       | F-3  |
| Consolidated   Statements of Operations for the years ended February 28, 2013,   February 29, 2012, and February 28, 2011            | F-4  |
| Consolidated Schedules of Investments as of   February 28, 2013 and February 29, 2012                                                     | F-5  |
| Consolidated Statements of Changes in Net Assets for   the years ended February 28, 2013, February 29, 2012, and   February 28, 2011 | F-8  |
| Consolidated Statements of Cash Flows for the years   ended February 28, 2013, February 29, 2012, and February 28,   2011            | F-9  |
| Notes to Consolidated Financial Statements                                                                                                          | F-10 |

 

F-1

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**Report of Independent Registered Public Accounting Firm**

 

The Board of Directors and Shareholders of Saratoga Investment Corp.

 

We have audited the accompanying consolidated statements of assets and liabilities of Saratoga Investment Corp (the “Company”), including the consolidated schedules of investments, as of February 28, 2013 and February 29, 2012, and the related consolidated statements of operations, changes in net assets and cash flows for the years ended February 28, 2013, February 29, 2012, and February 28, 2011. These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

 

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Company’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2013, by correspondence with the custodian and management or agents of the underlying investments. We believe that our audits provide a reasonable basis for our opinion.

 

In our opinion, the financial statements referred to above present fairly, in all material respects, the consolidated financial position of Saratoga Investment Corp. at February 28, 2013 and February 29, 2012, and the consolidated results of its operations, changes in its net assets and its cash flows for the years ended February 28, 2013, February 29, 2012, and February 28, 2011, in conformity with U.S. generally accepted accounting principles.

 

/s/ Ernst & Young LLP

New York, NY

May 29, 2013

 

F-2

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**Saratoga Investment Corp.**

** **

**Consolidated Statements of Assets and Liabilities**

 
| ** **                                                                                                                                          | ** ** | **As of**                  | ** **  |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|------------|---------------------------------|-------------|
| ** **                                                                                                                                          | ** ** | **February 28, 2013** | ** **  | **February 29, 2012** | ** ** |
|                                                                                                                                                |       |                            |        |   |   |
| ASSETS                                                                                                                                              |       |                            |        |   |   |
|                                                                                                                                                |       |                            |        |   |   |
| Investments at fair value                                                                                                                           |       |                            |        |   |   |
| Non-control/non-affiliate investments (amortized   cost of $130,465,086 and $73,161,722, respectively)                                              |       | $                               | 129,563,428 |   | $ | 69,513,434 |   |
| Control investments (cost of $18,944,966 and   $23,540,517, respectively)                                                                           |       | 25,516,959                      |        | 25,846,414 |   |
| Total investments at fair value (amortized cost of   $149,410,052 and $96,702,239, respectively)                                                    |       | 155,080,387                     |        | 95,359,848 |   |
| Cash and cash equivalents                                                                                                                           |       | 149,025                         |        | 1,325,698 |   |
| Cash and cash equivalents, reserve accounts                                                                                                         |       | 12,086,142                      |        | 25,534,195 |   |
| Outstanding interest rate cap at fair value (cost   of $0 and $131,000, respectively)                                                               |       | —                          |        | 75 |   |
| Interest receivable, (net of reserve of $53,543   and $273,361, respectively)                                                                       |       | 2,889,358                       |        | 1,689,404 |   |
| Deferred credit facility financing costs, net                                                                                                       |       | 2,090,184                       |        | 1,199,490 |   |
| Management fee receivable                                                                                                                           |       | 215,853                         |        | 227,581 |   |
| Other assets                                                                                                                                        |       | 83,407                          |        | 94,823 |   |
| Receivable from unsettled trades                                                                                                                    |       | 1,817,074                       |        | 59,511 |   |
| Total assets                                                                                                                                        |       | $                               | 174,411,430 |   | $ | 125,490,625 |   |
|                                                                                                                                                |       |                            |        |   |   |
| LIABILITIES                                                                                                                                         |       |                            |        |   |   |
| Revolving credit facility                                                                                                                           |       | $                               | 24,300,000  |   | $ | 20,000,000 |   |
| SBA debentures payable                                                                                                                              |       | 36,000,000                      |        | — |   |
| Payable for unsettled trades                                                                                                                        |       | —                          |        | 4,072,500 |   |
| Management and incentive fees payable                                                                                                               |       | 4,509,322                       |        | 2,885,670 |   |
| Accounts payable and accrued expenses                                                                                                               |       | 435,038                         |        | 704,949 |   |
| Interest and credit facility fees payable                                                                                                           |       | 257,796                         |        | 53,262 |   |
| Due to manager                                                                                                                                      |       | 222,513                         |        | 394,094 |   |
| Total liabilities                                                                                                                                   |       | $                               | 65,724,669  |   | $ | 28,110,475 |   |
|                                                                                                                                                |       |                            |        |   |   |
| NET ASSETS                                                                                                                                          |       |                            |        |   |   |
| Common stock, par value $.001, 100,000,000 common   shares authorized, 4,730,116 and 3,876,661 common shares issued and   outstanding, respectively |       | $                               | 4,730       |   | $ | 3,877 |   |
| Capital in excess of par value                                                                                                                      |       | 174,824,076                     |        | 161,644,426 |   |
| Distribution in excess of net investment income                                                                                                     |       | (24,522,951                     | )           | (13,920,068 | ) |
| Accumulated net realized loss from investments and   derivatives                                                                                    |       | (47,289,427                     | )           | (48,874,767 | ) |
| Net unrealized appreciation (depreciation) on   investments and derivatives                                                                         |       | 5,670,333                       |        | (1,473,318 | ) |
| Total Net Assets                                                                                                                                    |       | 108,686,761                     |        | 97,380,150 |   |
|                                                                                                                                                |       |                            |        |   |   |
| Total liabilities and Net Assets                                                                                                                    |       | $                               | 174,411,430 |   | $ | 125,490,625 |   |
|                                                                                                                                                |       |                            |        |   |   |
| NET ASSET VALUE PER SHARE                                                                                                                           |       | $                               | 22.98       |   | $ | 25.12 |   |

 

See accompanying notes to consolidated financial statements.

 

F-3

----

 

**Saratoga Investment Corp.**

 

**Consolidated Statements of Operations**

 
| ** **                                                                   | ** ** | **For the year   ended February 28,** | ** ** | **For the year   ended February 29,** | ** ** | **For the year   ended February 28,** | ** ** |
|------------------------------------------------------------------------------|------------|-----------------------------------------------------------|------------|-----------------------------------------------------------|------------|-----------------------------------------------------------|------------|
| ** **                                                                   | ** ** | **2013**                                                  | ** ** | **2012**                                                  | ** ** | **2011**                                                  | ** ** |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| INVESTMENT INCOME                                                            |       |                                                      |       |                                                      |       |                                                      |       |
| Interest from investments                                                    |       |                                                      |       |                                                      |       |                                                      |       |
| Non-control/Non-affiliate investments                                        |       | $                                                         | 9,176,156  |                                                      | $          | 5,613,705                                                 |       | $ | 7,601,140 |   |
| Payment-in-kind interest income from   Non-control/Non-affiliate investments |       | 1,062,687                                                 |       | 1,442,004                                                 |       | 1,144,799                                                 |       |
| Control investments                                                          |       | 4,205,509                                                 |       | 4,198,007                                                 |       | 3,295,359                                                 |       |
| Total interest income                                                        |       | 14,444,352                                                |       | 11,253,716                                                |       | 12,041,298                                                |       |
| Interest from cash and cash equivalents                                      |       | 5,956                                                     |       | 7,865                                                     |       | 8,857                                                     |       |
| Management fee income                                                        |       | 2,000,072                                                 |       | 2,011,516                                                 |       | 2,032,357                                                 |       |
| Other income                                                                 |       | 556,427                                                   |       | 238,579                                                   |       | 90,503                                                    |       |
| Total investment income                                                      |       | 17,006,807                                                |       | 13,511,676                                                |       | 14,173,015                                                |       |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| EXPENSES                                                                     |       |                                                      |       |                                                      |       |                                                      |       |
| Interest and credit facility financing expenses                              |       | 2,540,413                                                 |       | 1,297,985                                                 |       | 2,611,839                                                 |       |
| Base management fees                                                         |       | 2,107,378                                                 |       | 1,617,496                                                 |       | 1,645,552                                                 |       |
| Professional fees                                                            |       | 1,190,587                                                 |       | 1,455,380                                                 |       | 3,325,475                                                 |       |
| Administrator expenses                                                       |       | 1,000,000                                                 |       | 1,000,000                                                 |       | 810,416                                                   |       |
| Incentive management fees                                                    |       | 2,044,788                                                 |       | 1,257,087                                                 |       | 1,868,503                                                 |       |
| Insurance                                                                    |       | 516,121                                                   |       | 578,746                                                   |       | 704,800                                                   |       |
| Directors fees and expenses                                                  |       | 206,705                                                   |       | 208,851                                                   |       | 373,385                                                   |       |
| General & administrative                                            |       | 368,815                                                   |       | 389,825                                                   |       | 478,730                                                   |       |
| Other expense                                                                |       | 4,434                                                     |       | 5,445                                                     |       | —                                                    |       |
| Expenses before expense waiver and reimbursement                             |       | 9,979,241                                                 |       | 7,810,815                                                 |       | 11,818,700                                                |       |
| Expense reimbursement                                                        |       | —                                                    |       | —                                                    |       | (258,562                                                  | )          |
| Waiver of deferred incentive management fees                                 |       | —                                                    |       | —                                                    |       | (2,636,146                                                | )          |
| Total expenses                                                               |       | 9,979,241                                                 |       | 7,810,815                                                 |       | 8,923,992                                                 |       |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| NET INVESTMENT INCOME                                                        |       | 7,027,566                                                 |       | 5,700,861                                                 |       | 5,249,023                                                 |       |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| REALIZED AND UNREALIZED GAIN (LOSS) ON   INVESTMENTS:                        |       |                                                      |       |                                                      |       |                                                      |       |
| Net realized gain (loss) from investments                                    |       | 561,700                                                   |       | (12,185,997                                               | )          | (24,684,262                                               | )          |
| Net realized loss from derivatives                                           |       | (131,000                                                  | )          | —                                                    |       | —                                                    |       |
| Net unrealized appreciation on investments                                   |       | 7,012,726                                                 |       | 19,776,469                                                |       | 36,419,362                                                |       |
| Net unrealized appreciation (depreciation) on   derivatives                  |       | 130,925                                                   |       | (16,190                                                   | )          | (25,882                                                   | )          |
| Net gain on investments                                                      |       | 7,574,351                                                 |       | 7,574,282                                                 |       | 11,709,218                                                |       |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| NET INCREASE IN NET ASSETS RESULTING FROM   OPERATIONS                       |       | $                                                         | 14,601,917 |                                                      | $          | 13,275,143                                                |       | $ | 16,958,241 |   |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| WEIGHTED AVERAGE - BASIC AND DILUTED EARNINGS PER   COMMON SHARE             |       | $                                                         | 3.55       |                                                      | $          | 3.87                                                      |       | $ | 6.96 |   |
|                                                                         |       |                                                      |       |                                                      |       |                                                      |       |
| WEIGHTED AVERAGE COMMON STOCK OUTSTANDING - BASIC   AND DILUTED              |       | 4,110,484                                                 |       | 3,434,345                                                 |       | 2,437,577                                                 |       |

 

See accompanying notes to consolidated financial statements.

 

F-4

----

 

** **

**Saratoga Investment Corp.**

 

**Consolidated Schedule of Investments**

** **

**February 28, 2013**

 
| **Company (a)**                                    | ** ** | **Industry**                    | ** ** | **Investment Interest Rate / Maturity**      | ** ** | **Principal/   Number of Shares** | ** ** | **Cost**    | ** **      | **Fair Value (c)** | ** ** | **% of   Net Assets** | ** ** |
|---------------------------------------------------------|------------|---------------------------------|------------|------------------------------------------------------------------|------------|----------------------------------------|------------|-------------|-----------------|------------------------------|------------|----------------------------|------------|
| ** **                                              | ** ** | ** **                      | ** ** | ** **                                                       | ** ** | ** **                             | ** ** | ** **  | ** **      | ** **                   | ** ** | ** **                 | ** ** |
| **Non-control/Non-affiliated investments - 119.2% (b)** |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Coast   Plating, Inc. (d)                          |       | Aerospace                       |       | First Lien Term Loan   11.70% Cash, 9/13/2014                    |       | $                                      | 2,550,000  |        | $               | 2,550,000                    |       | $                          | 2,550,000  |   | 2.3 | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Coast   Plating, Inc. (d)                          |       | Aerospace                       |       | First Lien Term Loan 13.20%   Cash, 9/13/2014                    |       | $                                      | 950,000    |        | 950,000         |                         | 950,000    |                       | 0.9        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Aerospace                                                  |       |                                   |       | 3,500,000   |            | 3,500,000                    |       | 3.2                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| National   Truck Protection Co., Inc. (d), (h)     |       | Automotive                      |       | Common Stock                                                     |       | 589                                    |       | 500,000     |            | 591,827                      |       | 0.5                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| National   Truck Protection Co., Inc. (d)          |       | Automotive                      |       | First Lien Term Loan   15.50% Cash 8/10/2017                     |       | $                                      | 5,500,000  |        | 5,500,000       |                         | 5,500,000  |                       | 5.1        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Take   5 Oil Change, L.L.C. (d)                         |       | Automotive                      |       | First Lien Term Loan   9.00% Cash, 11/28/2016                    |       | $                                      | 6,000,000  |        | 6,000,000       |                         | 6,000,000  |                       | 5.5        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Take   5 Oil Change, L.L.C. (d)                         |       | Automotive                      |       | First Lien Term Loan   13.00% Cash, 11/28/2016                   |       | $                                      | 2,000,000  |        | 1,961,761       |                         | 2,000,000  |                       | 1.8        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Take   5 Oil Change, L.L.C. (d), (h)                    |       | Automotive                      |       | Common Stock                                                     |       | 7,128                                  |       | 712,800     |            | 712,800                      |       | 0.7                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Automotive                                                 |       |                                   |       | 14,674,561  |            | 14,804,627                   |       | 13.6                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Legacy   Cabinets Holdings (d), (h)                     |       | Building Products               |       | Common Stock Voting A-1                                          |       | 2,535                                  |       | 220,900     |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Legacy   Cabinets Holdings (d), (h)                     |       | Building Products               |       | Common Stock Voting B-1                                          |       | 1,600                                  |       | 139,424     |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Legacy   Cabinets, Inc. (d)                        |       | Building Products               |       | First Lien Term Loan   7.25% (1.00% Cash/6.25% PIK), 5/3/2014    |       | $                                      | 332,229    |        | 332,229         |                         | 267,378    |                       | 0.2        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Building   Products                                        |       |                                   |       | 692,553     |            | 267,378                      |       | 0.2                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Emily   Street Enterprises, L.L.C. (d)                  |       | Business Services               |       | Senior Secured Note   14.00% (13.00% Cash/1.00% PIK), 12/28/2017 |       | $                                      | 5,705,384  |        | 5,595,317       |                         | 5,705,384  |                       | 5.2        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Emily   Street Enterprises, L.L.C. (d), (h)             |       | Business Services               |       | Warrant Membership   Interests                                   |       | 49,318                                 |       | 400,000     |            | 399,969                      |       | 0.4                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Dispensing   Dynamics International (d)                 |       | Business Services               |       | Senior Secured Note   12.50% Cash, 1/1/2018                      |       | $                                      | 7,000,000  |        | 6,860,186       |                         | 7,000,000  |                       | 6.4        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Knowland   Technology Holdings, L.L.C. (d)              |       | Business Services               |       | First Lien Term Loan   11.00% Cash, 11/29/2017                   |       | $                                      | 6,200,000  |        | 6,082,248       |                         | 6,200,000  |                       | 5.7        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Sourcehov   LLC (d)                                     |       | Business Services               |       | Second Lien Term Loan   10.50% Cash, 4/29/2018                   |       | $                                      | 3,000,000  |        | 2,648,298       |                         | 2,850,000  |                       | 2.6        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Business   Services                                        |       |                                   |       | 21,586,049  |            | 22,155,353                   |       | 20.3                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| C.H.I.   Overhead Doors, Inc. (d)                  |       | Consumer Products               |       | First Lien Term Loan   7.25% Cash, 8/17/2017                     |       | $                                      | 4,974,747  |        | 4,930,481       |                         | 5,024,495  |                       | 4.7        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Targus   Group International, Inc. (d)             |       | Consumer Products               |       | First Lien Term Loan   11.00% Cash, 5/24/2016                    |       | $                                      | 3,940,003  |        | 3,888,460       |                         | 3,956,551  |                       | 3.6        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Targus   Holdings, Inc. (d)                        |       | Consumer Products               |       | Unsecured Note 10.00%   PIK, 6/14/2019                           |       | $                                      | 1,914,341  |        | 1,914,341       |                         | 1,116,252  |                       | 1.0        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Targus   Holdings, Inc. (d)                        |       | Consumer Products               |       | Unsecured Note 16.00%   Cash, 10/26/2018                         |       | $                                      | 332,500    |        | 326,320         |                         | 305,334    |                       | 0.3        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Targus   Holdings, Inc. (d), (h)                   |       | Consumer Products               |       | Common Stock                                                     |       | 62,413                                 |       | 566,765     |            | 3,324,741                    |       | 3.1                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Consumer   Products                                        |       |                                   |       | 11,626,367  |            | 13,727,373                   |       | 12.7                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| CFF   Acquisition L.L.C. (d)                            |       | Consumer Services               |       | First Lien Term Loan   7.50% Cash, 7/31/2015                     |       | $                                      | 2,161,391  |        | 2,032,060       |                         | 2,154,475  |                       | 2.0        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Expedited   Travel L.L.C. (d)                           |       | Consumer Services               |       | First Lien Term Loan   12.00% Cash, 12/28/2017                   |       | $                                      | 5,500,000  |        | 5,380,520       |                         | 5,500,000  |                       | 5.0        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| PrePaid   Legal Services, Inc. (d)                 |       | Consumer Services               |       | First Lien Term Loan   11.00% Cash, 12/31/2016                   |       | $                                      | 3,000,000  |        | 2,936,860       |                         | 3,000,000  |                       | 2.8        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Consumer   Services                                        |       |                                   |       | 10,349,440  |            | 10,654,475                   |       | 9.8                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| M/C   Acquisition Corp., L.L.C. (d)                     |       | Education                       |       | First Lien Term Loan 1.00%   Cash, 12/31/2012                    |       | $                                      | 2,740,780  |        | 1,586,846       |                         | 291,893    |                       | 0.3        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| M/C   Acquisition Corp., L.L.C. (d), (h)                |       | Education                       |       | Class A Common   Stock                                      |       | 544,761                                |       | 30,242      |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Education                                                  |       |                                   |       | 1,617,088   |            | 291,893                      |       | 0.3                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Group   Dekko, Inc. (d)                            |       | Electronics                     |       | Second Lien Term Loan   11.00% (10.00% Cash/1.00% PIK), 5/1/2016 |       | $                                      | 6,824,717  |        | 6,824,717       |                         | 6,720,981  |                       | 6.2        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Electronics                                                |       |                                   |       | 6,824,717   |            | 6,720,981                    |       | 6.2                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| USS   Parent Holding Corp. (d), (h)                     |       | Environmental                   |       | Non Voting Common Stock                                          |       | 765                                    |       | 133,002     |            | 125,981                      |       | 0.1                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| USS   Parent Holding Corp. (d), (h)                     |       | Environmental                   |       | Voting Common Stock                                              |       | 17,396                                 |       | 3,025,798   |            | 2,866,065                    |       | 2.7                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total   Environmental                                            |       |                                   |       | 3,158,800   |            | 2,992,046                    |       | 2.8                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| DS   Waters of America, Inc. (d)                   |       | Food and Beverage               |       | First Lien Term Loan   10.50% Cash, 8/29/2017                    |       | $                                      | 3,970,000  |        | 3,994,704       |                         | 4,049,400  |                       | 3.7        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| HOA   Restaurant Group, L.L.C. (d)                      |       | Food and Beverage               |       | Senior Secured Note   11.25% Cash, 4/1/2017                      |       | $                                      | 4,000,000  |        | 3,897,940       |                         | 3,560,000  |                       | 3.3        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| TB   Corp. (d)                                          |       | Food and Beverage               |       | First Lien Term Loan   5.81% Cash, 6/19/2018                     |       | $                                      | 5,153,506  |        | 5,128,662       |                         | 5,140,622  |                       | 4.7        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| TB   Corp. (d)                                          |       | Food and Beverage               |       | Unsecured Note 13.50%   (12.00% Cash/1.50% PIK), 2/19/2017       |       | $                                      | 2,504,585  |        | 2,468,317       |                         | 2,492,062  |                       | 2.3        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| TM   Restaurant Group L.L.C. (d)                        |       | Food and Beverage               |       | First Lien Term Loan   7.75% Cash, 7/17/2017                     |       | $                                      | 2,962,500  |        | 2,943,045       |                         | 2,956,871  |                       | 2.7        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Food and   Beverage                                        |       |                                   |       | 18,432,668  |            | 18,198,955                   |       | 16.7                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Oceans   Acquisition, Inc. (d)                     |       | Healthcare Services             |       | First Lien Term Loan   10.75% Cash, 12/27/2017                   |       | $                                      | 7,500,000  |        | 7,351,433       |                         | 7,500,000  |                       | 6.9        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Maverick   Healthcare Group (d)                         |       | Healthcare Services             |       | First Lien Term Loan   10.75% Cash, 12/31/2016                   |       | $                                      | 4,900,000  |        | 4,835,389       |                         | 4,900,000  |                       | 4.5        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Healthcare   Services                                      |       |                                   |       | 12,186,822  |            | 12,400,000                   |       | 11.4                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| McMillin   Companies L.L.C. (d), (h)                    |       | Homebuilding                    |       | Senior Secured Note 0%   Cash, 12/31/2013                        |       | $                                      | 550,000    |        | 536,764         |                         | 315,370    |                       | 0.3        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total   Homebuilding                                             |       |                                   |       | 536,764     |            | 315,370                      |       | 0.3                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Capstone   Logistics, L.L.C. (d)                        |       | Logistics                       |       | First Lien Term Loan   7.50% Cash, 9/16/2016                     |       | $                                      | 899,769    |        | 889,798         |                         | 908,766    |                       | 0.8        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Capstone   Logistics, L.L.C. (d)                        |       | Logistics                       |       | First Lien Term Loan   13.50% Cash, 9/16/2016                    |       | $                                      | 3,693,369  |        | 3,652,443       |                         | 3,767,236  |                       | 3.5        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Worldwide   Express Operations, L.L.C. (d)              |       | Logistics                       |       | First Lien Term Loan   7.50% Cash, 6/30/2013                     |       | $                                      | 6,527,979  |        | 6,461,295       |                         | 6,504,478  |                       | 6.0        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Logistics                                                  |       |                                   |       | 11,003,536  |            | 11,180,480                   |       | 10.3                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Elyria   Foundry Company, L.L.C. (d)                    |       | Metals                          |       | Senior Secured Note   17.00% (13.00% Cash/4.00% PIK), 3/1/2013   |       | $                                      | 7,728,566  |        | 7,728,566       |                         | 6,723,852  |                       | 6.2        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Elyria   Foundry Company, L.L.C. (d), (h)               |       | Metals                          |       | Warrants to Purchase   Limited Liability Company Interests       |       | 3,000                                  |       | —      |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Metals                                                     |       |                                   |       | 7,728,566   |            | 6,723,852                    |       | 6.2                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Network   Communications, Inc. (d)                 |       | Publishing                      |       | Unsecured Note 8.60%   PIK, 1/14/2020                            |       | $                                      | 2,500,198  |        | 2,049,660       |                         | 960,827    |                       | 0.9        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Network   Communications, Inc. (d), (h)            |       | Publishing                      |       | Common Stock                                                     |       | 211,429                                |       | —      |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| Penton   Media, Inc. (d)                           |       | Publishing                      |       | First Lien Term Loan   6.00% (4.00% Cash/2.00% PIK), 8/1/2014    |       | $                                      | 4,839,189  |        | 4,497,495       |                         | 4,669,818  |                       | 4.3        | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       | Total Publishing                                                 |       |                                   |       | 6,547,155   |            | 5,630,645                    |       | 5.2                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| **Sub Total Non-control/Non-affiliated investments**    | ** ** | ** **                      |       |                                                             |       |                                   |       | 130,465,086 |            | 129,563,428                  |       | 119.2                      | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| **Control investments - 23.5% (b)**                     |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| GSC   Partners CDO GP III, LP (g), (h)                  |       | Financial Services              |       | 100% General Partnership   Interest                              |       | —                                 |       | —      |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| GSC   Investment Corp. CLO 2007 LTD. (d), (e), (g)      |       | Structured Finance   Securities |       | Other/Structured Finance   Securities 23.06%, 1/21/2020          |       | $                                      | 30,000,000 |        | 18,944,966      |                         | 25,516,959 |                       | 23.5       | % |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| **Sub Total Control investments**                       |       |                            |       |                                                             |       |                                   |       | 18,944,966  |            | 25,516,959                   |       | 23.5                       | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| **Affiliate investments - 0.0% (b)**                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| GSC   Partners CDO GP III, LP (f), (h)                  |       | Financial Services              |       | 6.24% Limited   Partnership Interest                             |       | —                                 |       | —      |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| **Sub Total Affiliate investments**                     |       |                            |       |                                                             |       |                                   |       | —      |            | —                       |       | 0.0                        | %          |
|                                                    |       |                            |       |                                                             |       |                                   |       |        |            |                         |       |                       |       |
| **TOTAL INVESTMENTS - 142.7% (b)**                      |       |                            |       |                                                             | ** ** | ** **                             | ** ** | **$**       | **149,410,052** | ** **                   | **$**      | **155,080,387**            | ** ** | **142.7** | **%** |

 

----

| (a) | All of our equity and   debt investments are issued by eligible portfolio companies, as defined in   the Investment Company Act of 1940, except GSC Investment Corp. CLO 2007 Ltd.   and GSC Partners CDO GP III, LP.                                                                    |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (b) | Percentages are based on   net assets of $108,686,761 as of February 28, 2013.                                                                                                                                                                                                      |
| (c) | Because there is no   readily available market value for these investments, the fair value of these   investments is approved in good faith by our board of directors. (see Note 3   to the consolidated financial statements).                                                          |
| (d) | These securities are   pledged as collateral under a senior secured revolving credit facility (see   Note 6 to the consolidated financial statements).                                                                                                                                   |
| (e) | 23.06% represents the   modeled effective interest rate that is expected to be earned over the life   of the investment.                                                                                                                                                                 |
| (f) | As defined in the   Investment Company Act, we are an “Affiliate” of this portfolio company   because we own 5% or more of the portfolio company’s outstanding voting   securities. Transactions during the period in which the issuer was an   Affiliate are as follows: |

 
| ** **                    | ** ** | ** **    | ** ** | ** **      | ** ** | ** **            | ** ** | **Interest** | ** ** | **Management**      | ** ** | **Net Realized** | ** ** | **Net Unrealized** | ** ** |
|-------------------------------|------------|---------------|------------|-----------------|------------|-----------------------|------------|--------------|------------|---------------------|------------|-----------------------|------------|-------------------------|------------|
| **Company**                   | ** ** | **Purchases** | ** ** | **Redemptions** | ** ** | **Sales (cost)** | ** ** | **Income**   | ** ** | **fee income** | ** ** | **gains/(losses)**    | ** ** | **gains/(losses)**      | ** ** |
| GSC   Partners CDO GP III, LP |       | $             | —     |            | $          | —                |       | $            | —     |                | $          | —                |       | $                       | —     |   | $ | — |   | $ | — |   |
|                               |            |               |            |                 |            |                       |            |              |            |                     |            |                       |            |                         |            |  |  |  |  |  |  |  |

 
| (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 period in which the issuer was both an Affiliate and   a portfolio company that we Control are as follows: |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

 
| ** **                           | ** ** | ** **    | ** ** | ** **      | ** ** | ** **            | ** ** | **Interest** | ** ** | **Management**      | ** ** | **Net Realized** | ** ** | **Net Unrealized** | ** ** |
|--------------------------------------|------------|---------------|------------|-----------------|------------|-----------------------|------------|--------------|------------|---------------------|------------|-----------------------|------------|-------------------------|------------|
| **Company**                          | ** ** | **Purchases** | ** ** | **Redemptions** | ** ** | **Sales (cost)** | ** ** | **Income**   | ** ** | **fee income** | ** ** | **gains/(losses)**    | ** ** | **gains/(losses)**      | ** ** |
| GSC   Investment Corp. CLO 2007 LTD. |       | $             | —     |            | $          | —                |       | $            | —     |                | $          | 4,205,509             |       | $                       | 2,000,072  |   | $ | — |   | $ | 6,571,992 |   |
| GSC   Partners CDO GP III, LP        |       | $             | —     |            | $          | —                |       | $            | —     |                | $          | —                |       | $                       | —     |   | $ | — |   | $ | — |   |

 
| (h) | Non-income producing at   February 28, 2013. |
|-----|---------------------------------------------------|

 

F-5

----

 

**Saratoga Investment Corp.**

 

**Consolidated Schedule of Investments**

 

**February 29, 2012**

 
| **Company(a)**                                                 | ** ** | **Industry**                         | ** ** | **Investment Interest Rate/Maturity**                  | ** ** | **Principal/   Number of   Shares** | ** ** | **Cost**   | ** **     | **Fair Value(c)** | ** ** | **% of   Net   Assets** | ** ** |
|----------------------------------------------------------------|------------|--------------------------------------|------------|------------------------------------------------------------------|------------|------------------------------------------|------------|------------|----------------|------------------------|------------|------------------------------|------------|
| **Non-control/Non-affiliated investments—71.4%(b)**       |       |                                 |       |                                                             |       |                                     |       |       |           |                   |       |                         |       |
| Coast   Plating, Inc.(d)                                  |       | Aerospace                            |       | First Lien Term Loan   11.77% Cash, 9/13/2014                    |       | $                                        | 2,550,000  |       | $              | 2,550,000              |       | $                            | 2,550,000  |   | 2.6 | % |
| Coast   Plating, Inc.(d)                                  |       | Aerospace                            |       | First Lien Term Loan   12.52% Cash, 9/13/2014                    |       | $                                        | 950,000    |       | 950,000.0      |                   | 950,000    |                         | 1.0        | % |
|                                                           |       |                                 |       | Total   Aerospace                                                |       |                                     |       | 3,500,000  |           | 3,500,000              |       | 3.6                          | %          |
| Legacy   Cabinets Holdings(d)(h)                               |       | Building Products                    |       | Common Stock Voting A-1                                          |       | 2,535                                    |       | 220,900    |           | —                 |       | 0.0                          | %          |
| Legacy   Cabinets Holdings(d)(h)                               |       | Building Products                    |       | Common Stock Voting B-1                                          |       | 1,600                                    |       | 139,424    |           | —                 |       | 0.0                          | %          |
| Legacy   Cabinets, Inc.(d)                                |       | Building Products                    |       | First Lien Term Loan   7.25% (1.00% Cash/6.25% PIK), 5/3/2014    |       | $                                        | 312,198    |       | 312,198        |                   | 221,629    |                         | 0.2        | % |
|                                                           |       |                                 |       | Total   Building Products                                        |       |                                     |       | 672,522    |           | 221,629                |       | 0.2                          | %          |
| Targus   Group International, Inc.(d)                     |       | Consumer Products               |       | First Lien Term Loan   11.00% Cash, 5/24/2016                    |       | $                                        | 3,980,000  |       | 3,911,828      |                   | 3,944,976  |                         | 4.1        | % |
| Targus   Holdings, Inc.(d)                                |       | Consumer Products               |       | Unsecured Notes 10.00%   PIK, 6/14/2019                          |       | $                                        | 1,799,479  |       | 1,799,479      |                   | 963,621    |                         | 1.0        | % |
| Targus   Holdings, Inc.(d)(h)                             |       | Consumer Products                    |       | Common Stock                                                     |       | 62,413                                   |       | 566,765    |           | 2,675,645              |       | 2.7                          | %          |
|                                                           |       |                                 |       | Total   Consumer Products                                        |       |                                     |       | 6,278,072  |           | 7,584,242              |       | 7.8                          | %          |
| CFF   Acquisition LLC(d)                                  |       | Consumer Services                    |       | First Lien Term Loan   7.50% Cash, 7/31/2015                     |       | $                                        | 2,684,141  |       | 2,462,831      |                   | 2,448,205  |                         | 2.5        | % |
| PrePaid   Legal Services, Inc.(d)                         |       | Consumer Services                    |       | First Lien Term Loan   11.00% Cash, 12/31/2016                   |       | $                                        | 3,000,000  |       | 2,920,411      |                   | 2,940,000  |                         | 3.0        | % |
|                                                           |       |                                 |       | Total   Consumer Services                                        |       |                                     |       | 5,383,242  |           | 5,388,205              |       | 5.5                          | %          |
| M/C   Acquisition Corp., LLC(d)                           |       | Education                            |       | First Lien Term Loan   10.00% (4.25% Cash/5.75% PIK), 12/31/2012 |       | $                                        | 2,944,596  |       | 1,790,662      |                   | 591,864    |                         | 0.6        | % |
| M/C   Acquisition Corp., LLC(d)(h)                        |       | Education                            |       | Class A Common   Stock                                      |       | 544,761                                  |       | 30,242     |           | —                 |       | 0.0                          | %          |
|                                                           |       |                                 |       | Total   Education                                                |       |                                     |       | 1,820,904  |           | 591,864                |       | 0.6                          | %          |
| Advanced   Lighting Technologies, Inc.(d)                 |       | Electronics                          |       | Second Lien Term Loan   6.25% Cash, 6/1/2014                     |       | $                                        | 2,000,000  |       | 1,902,053      |                   | 1,910,400  |                         | 2.0        | % |
| Group   Dekko, Inc. (fka Dekko Technologies, LLC)(d) |       | Electronics                          |       | Second Lien Term Loan   10.50% (6.50% Cash/4.00% PIK), 5/1/2013  |       | $                                        | 7,571,152  |       | 7,571,152      |                   | 7,003,316  |                         | 7.2        | % |
|                                                           |       |                                 |       | Total   Electronics                                              |       |                                     |       | 9,473,205  |           | 8,913,716              |       | 9.2                          | %          |
| USS   Parent Holding Corp.(d)(h)                               |       | Environmental                        |       | Non Voting Common Stock                                          |       | 765                                      |       | 133,002    |           | 97,810                 |       | 0.1                          | %          |
| USS   Parent Holding Corp.(d)(h)                               |       | Environmental                        |       | Voting Common Stock                                              |       | 17,396                                   |       | 3,025,798  |           | 2,225,180              |       | 2.3                          | %          |
|                                                           |       |                                 |       | Total   Environmental                                            |       |                                     |       | 3,158,800  |           | 2,322,990              |       | 2.4                          | %          |
| DCS   Business Services, Inc.(d)                          |       | Financial Services                   |       | First Lien Term Loan   14.00% Cash, 9/30/2012                    |       | $                                        | 1,600,000  |       | 1,604,464      |                   | 1,600,000  |                         | 1.6        | % |
| Big   Train, Inc.(d)                                      |       | Food and Beverage                    |       | First Lien Term Loan   7.75% Cash, 3/31/2012                     |       | $                                        | 1,406,768  |       | 1,389,640      |                   | 1,368,785  |                         | 1.4        | % |
| HOA   Restaurant Group, LLC.(d)                           |       | Food and Beverage                    |       | Senior Secured Notes   11.25% Cash, 4/1/2017                     |       | $                                        | 4,000,000  |       | 3,880,000      |                   | 3,880,000  |                         | 4.0        | % |
|                                                           |       |                                 |       | Total   Food and Beverage                                        |       |                                     |       | 5,269,640  |           | 5,248,785              |       | 5.4                          | %          |
| Maverick   Healthcare Group(d)                                 |       | Healthcare Services                  |       | First Lien Term Loan   10.75% Cash, 12/31/2016                   |       | $                                        | 4,950,000  |       | 4,867,725      |                   | 4,824,270  |                         | 5.0        | % |
| McMillin   Companies LLC(d)(h)                            |       | Homebuilding                         |       | Senior Secured Notes 0%   Cash, 12/31/2013                       |       | $                                        | 550,000    |       | 511,952        |                   | 288,915    |                         | 0.3        | % |
| Capstone   Logistics, LLC(d)                              |       | Logistics                            |       | First Lien Term Loan   7.50% Cash, 9/16/2016                     |       | $                                        | 997,118    |       | 982,954        |                   | 997,118    |                         | 1.0        | % |
| Capstone   Logistics, LLC(d)                              |       | Logistics                            |       | First Lien Term Loan   13.50% Cash, 9/16/2016                    |       | $                                        | 4,000,000  |       | 3,943,183      |                   | 4,000,000  |                         | 4.1        | % |
| Worldwide   Express Operations, LLC(d)                    |       | Logistics                            |       | First Lien Term Loan   7.50% Cash, 6/30/2013                     |       | $                                        | 6,680,276  |       | 6,412,355      |                   | 6,103,100  |                         | 6.3        | % |
|                                                           |       |                                 |       | Total   Logistics                                                |       |                                     |       | 11,338,492 |           | 11,100,218             |       | 11.4                         | %          |
| Sabre   Industries, Inc(d)                                |       | Manufacturing                        |       | Senior Unsecured Loan   15.00% (12.00% Cash/3.00% PIK), 6/6/2016 |       | $                                        | 6,000,000  |       | 5,852,741      |                   | 6,000,000  |                         | 6.2        | % |
| Elyria   Foundry Company, LLC(d)                          |       | Metals                               |       | Senior Secured Notes   17.00% (13.00% Cash/4.00% PIK), 3/1/2013  |       | $                                        | 7,428,456  |       | 7,224,787      |                   | 6,537,041  |                         | 6.7        | % |
| Elyria   Foundry Company, LLC(d)(h)                       |       | Metals                               |       | Warrants to Purchase   Limited Liability Company Interests       |       | 3,000                                    |       | —     |           | —                 |       | 0.0                          | %          |
|                                                           |       |                                 |       | Total   Metals                                                   |       |                                     |       | 7,224,787  |           | 6,537,041              |       | 6.7                          | %          |
| Network   Communications, Inc.(d)                         |       | Publishing                           |       | Unsecured Notes 8.60%   PIK, 1/14/2020                           |       | $                                        | 2,422,095  |       | 1,924,577      |                   | 1,044,892  |                         | 1.0        | % |
| Network   Communications, Inc.(d)(h)                      |       | Publishing                           |       | Common Stock                                                     |       | 211,429                                  |       | —     |           | 691,373                |       | 0.7                          | %          |
| Penton   Media, Inc.(d)                                   |       | Publishing                           |       | First Lien Term Loan   5.00% (4.00% Cash/ 1.00% PIK), 8/1/2014   |       | $                                        | 4,839,526  |       | 4,280,599      |                   | 3,655,294  |                         | 3.8        | % |
|                                                           |       |                                 |       | Total   Publishing                                               |       |                                     |       | 6,205,176  |           | 5,391,559              |       | 5.5                          | %          |
| **Sub Total Non-control/Non-affiliated investments**           |       |                                 |       |                                                             |       |                                     |       | 73,161,722 |           | 69,513,434             |       | 71.4                         | %          |
| **Control investments—26.5%(b)**                          |       |                                 |       |                                                             |       |                                     |       |       |           |                   |       |                         |       |
| GSC   Partners CDO GP III, LP(g)(h)                  |       | Financial Services                   |       | 100% General Partnership   Interest                              |       | —                                   |       | —     |           | —                 |       | 0.0                          | %          |
| GSC   Investment Corp. CLO 2007 LTD.(d)(e)(g)             |       | Structured Finance   Securities |       | Other/Structured Finance   Securities 17.38%, 1/21/2020          |       | $                                        | 30,000,000 |       | 23,540,517     |                   | 25,846,414 |                         | 26.5       | % |
| **Sub Total Control investments**                              |       |                                 |       |                                                             |       |                                     |       | 23,540,517 |           | 25,846,414             |       | 26.5                         | %          |
| **Affiliate investments—0.0%(b)**                         |       |                                 |       |                                                             |       |                                     |       |       |           |                   |       |                         |       |
| GSC   Partners CDO GP III, LP(f)(h)                  |       | Financial Services                   |       | 6.24% Limited Partnership   Interest                             |       | —                                   |       | —     |           | —                 |       | 0.0                          | %          |
| **Sub Total Affiliate investments**                            |       |                                 |       |                                                             |       |                                     |       | —     |           | —                 |       | 0.0                          | %          |
| **TOTAL INVESTMENTS—97.9%(b)**                            | ** ** | ** **                           | ** ** | ** **                                                       | ** ** | ** **                               | ** ** | **$**      | **96,702,239** | ** **             | **$**      | **95,359,848**               | ** ** | **97.9** | **%** |

 
| **Outstanding interest rate cap** | ** ** | **Interest   rate** | ** ** | **Maturity** | ** ** | **Notional** | ** ** | **Cost** | ** ** | **Fair   Value** | ** ** | **% of   Net   Assets** | ** ** |
|--------------------------------------------------|------------|---------------------|------------|--------------|------------|--------------|------------|----------|------------|------------------|------------|------------------------------|------------|
| Interest rate cap                                |       | 8.0                 | %          | 2/9/2014     |       | $            | 19,591,837 |     | $          | 87,000           |       | $                            | 54         |   | 0.0 | % |
| Interest rate cap                                |       | 8.0                 | %          | 11/30/2013   |       | 10,332,000   |       | 44,000   |       | 21               |       | 0.0                          | %          |
| **Total Outstanding interest rate   cap**        |       |                |       |         |       |         |       | $        | 131,000    |             | $          | 75                           |       | 0.0 | % |
|                                                  |            |                     |            |              |            |              |            |          |            |                  |            |                              |            |  |  |  |

 

----

*                                           Amounts to less than 0.05%

 

(a)                                      All of our equity and debt investments are issued by eligible portfolio companies, as defined in the Investment Company Act of 1940, except GSC Investment Corp. CLO 2007 Ltd. and GSC Partners CDO GP III, LP.

 

(b)                                     Percentages are based on net assets of $97,380,150 as of February 29, 2012.

 

F-6

----

 

(c)                                      Because there is no readily available market value for these investments, the fair value of these investments is approved in good faith by our board of directors. (see Note 3 to the consolidated financial statements).

 

(d)                                     These securities are pledged as collateral under a senior secured revolving credit facility (see Note 6 to the consolidated financial statements).

 

(e)                                      17.38% represents the modeled effective interest rate that is expected to be earned over the life of the investment.

 

(f)                                       As defined in the Investment Company Act, we are an “Affiliate” of this portfolio company because we own 5.0% or more of the portfolio company’s outstanding voting securities. Transactions during the period in which the issuer was an Affiliate are as follows:

 
| **Company**                             | ** ** | **Purchases** | ** ** | **Redemptions** | ** ** | **Sales   (cost)** | ** ** | **Interest   Income** | ** ** | **Management   fee income** | ** ** | **Net Realized   gains/(losses)** | ** ** | **Net   Unrealized   gains/(losses)** | ** ** |
|-----------------------------------------|------------|---------------|------------|-----------------|------------|--------------------|------------|-----------------------|------------|----------------------------------|------------|----------------------------------------|------------|---------------------------------------|------------|
| GSC   Partners CDO GP III, LP |       | $             | —     |            | $          | —             |       | $                     | —     |                             | $          | —                                 |       | $                                     | —     |   | $ | — |   | $ | — |   |
|                                         |            |               |            |                 |            |                    |            |                       |            |                                  |            |                                        |            |                                       |            |  |  |  |  |  |  |  |

 

(g)                                     As defined in the Investment Company Act, we “Control” this portfolio company because we own more than 25.0% of the portfolio company’s outstanding voting securities. Transactions during the period in which the issuer was both an Affiliate and a portfolio company that we Control are as follows:

 
| **Company**                               | ** ** | **Purchases** | ** ** | **Redemptions** | ** ** | **Sales   (cost)** | ** ** | **Interest   Income** | ** ** | **Management   fee income** | ** ** | **Net Realized   gains/(losses)** | ** ** | **Net   Unrealized   gains/(losses)** | ** ** |
|-------------------------------------------|------------|---------------|------------|-----------------|------------|--------------------|------------|-----------------------|------------|----------------------------------|------------|----------------------------------------|------------|---------------------------------------|------------|
| GSC   Investment Corp. CLO 2007 LTD. |       | $             | —     |            | $          | —             |       | $                     | —     |                             | $          | 4,198,007                              |       | $                                     | 2,011,516  |   | $ | — |   | $ | 6,938,209 |   |
| GSC   Partners CDO GP III, LP   |       | $             | —     |            | $          | —             |       | $                     | —     |                             | $          | —                                 |       | $                                     | —     |   | $ | — |   | $ | — |   |

 

(h)                                     Non-income producing at February 29, 2012.

 

F-7

----

 

 

**Saratoga Investment Corp.**

** **

**Consolidated Statements of Changes in Net Assets**

 
| ** **                                                   | ** ** | **For the year ended   February 28, 2013** | ** **  | **For the year ended   February 29, 2012** | ** ** | **For the year ended   February 28, 2011** | ** ** |
|--------------------------------------------------------------|------------|---------------------------------------------------------------------|-------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|
|                                                         |       |                                                                |        |                                                                |       |                                                                |       |
| INCREASE FROM OPERATIONS:                                    |       |                                                                |        |                                                                |       |                                                                |       |
| Net investment income                                        |       | $                                                                   | 7,027,566   |                                                                | $          | 5,700,861                                                           |       | $ | 5,249,023 |   |
| Net realized gain (loss) from investments                    |       | 561,700                                                             |        | (12,185,997                                                         | )          | (24,684,262                                                         | )          |
| Net realized loss from derivatives                           |       | (131,000                                                            | )           | —                                                              |       | —                                                              |       |
| Net unrealized appreciation on investments                   |       | 7,012,726                                                           |        | 19,776,469                                                          |       | 36,419,362                                                          |       |
| Net unrealized appreciation (depreciation) on   derivatives  |       | 130,925                                                             |        | (16,190                                                             | )          | (25,882                                                             | )          |
| Net increase in net assets from operations                   |       | 14,601,917                                                          |        | 13,275,143                                                          |       | 16,958,241                                                          |       |
| DECREASE FROM SHAREHOLDER DISTRIBUTIONS:                     |       |                                                                |        |                                                                |       |                                                                |       |
| Distributions declared                                       |       | (16,475,809                                                         | )           | (9,831,231                                                          | )          | (11,795,705                                                         | )          |
| Net decrease in net assets from shareholder   distributions  |       | (16,475,809                                                         | )           | (9,831,231                                                          | )          | (11,795,705                                                         | )          |
| CAPITAL SHARE TRANSACTIONS:                                  |       |                                                                |        |                                                                |       |                                                                |       |
| Stock dividend distribution                                  |       | 13,180,503                                                          |        | 7,864,784                                                           |       | 10,615,905                                                          |       |
| Issuance of common stock, net of issuance costs              |       | —                                                              |        | —                                                              |       | 14,814,861                                                          |       |
| Net increase in net assets from capital share   transactions |       | 13,180,503                                                          |        | 7,864,784                                                           |       | 25,430,766                                                          |       |
|                                                         |       |                                                                |        |                                                                |       |                                                                |       |
| Total increase in net assets                                 |       | 11,306,611                                                          |        | 11,308,696                                                          |       | 30,593,302                                                          |       |
| Net assets at beginning of period                            |       | 97,380,150                                                          |        | 86,071,454                                                          |       | 55,478,152                                                          |       |
| Net assets at end of period                                  |       | $                                                                   | 108,686,761 |                                                                | $          | 97,380,150                                                          |       | $ | 86,071,454 |   |
|                                                         |       |                                                                |        |                                                                |       |                                                                |       |
| Net asset value per common share                             |       | $                                                                   | 22.98       |                                                                | $          | 25.12                                                               |       | $ | 26.26 |   |
| Common shares outstanding at end of period                   |       | 4,730,116                                                           |        | 3,876,661                                                           |       | 3,277,077                                                           |       |
|                                                         |       |                                                                |        |                                                                |       |                                                                |       |
| Distribution in excess of net investment income              |       | $                                                                   | (24,522,951 | )                                                                   | $          | (13,920,068                                                         | )          | $ | (8,918,890 | ) |

 

See accompanying notes to consolidated financial statements.

 

F-8

----

 

**Saratoga Investment Corp.**

** **

**Consolidated Statements of Cash Flows**

 
| ** **                                                                                                                      | ** ** | **For the year ended   February 28, 2013** | ** ** | **For the year ended   February 29, 2012** | ** ** | **For the year ended   February 28, 2011** | ** ** |
|---------------------------------------------------------------------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|
|                                                                                                                            |       |                                                                |       |                                                                |       |                                                                |       |
| **Operating activities**                                                                                                        |       |                                                                |       |                                                                |       |                                                                |       |
| NET INCREASE IN NET ASSETS FROM OPERATIONS                                                                                      |       | $                                                                   | 14,601,917 |                                                                | $          | 13,275,143                                                          |       | $ | 16,958,241 |   |
| ADJUSTMENTS TO RECONCILE NET INCREASE IN NET   ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY (USED BY) OPERATING   ACTIVITIES: |       |                                                                |       |                                                                |       |                                                                |       |
| Paid-in-kind interest income                                                                                                    |       | (1,062,687                                                          | )          | (1,442,004                                                          | )          | (1,144,799                                                          | )          |
| Net accretion of discount on investments                                                                                        |       | (975,475                                                            | )          | (1,191,822                                                          | )          | (732,522                                                            | )          |
| Amortization of deferred credit facility financing   costs                                                                      |       | 482,306                                                             |       | 674,724                                                             |       | 397,164                                                             |       |
| Reversal of deferred incentive management fees                                                                                  |       | —                                                              |       | —                                                              |       | (2,636,146                                                          | )          |
| Net realized (gain) loss from investments                                                                                       |       | (561,700                                                            | )          | 12,185,997                                                          |       | 24,684,262                                                          |       |
| Net realized loss from derivatives                                                                                              |       | 131,000                                                             |       | —                                                              |       | —                                                              |       |
| Net unrealized appreciation on investments                                                                                      |       | (7,012,726                                                          | )          | (19,776,469                                                         | )          | (36,419,362                                                         | )          |
| Net unrealized (appreciation) depreciation on   derivatives                                                                     |       | (130,925                                                            | )          | 16,190                                                              |       | 25,882                                                              |       |
| Proceeds from sale and redemption of investments                                                                                |       | 21,487,698                                                          |       | 33,568,147                                                          |       | 31,974,810                                                          |       |
| Purchase of investments                                                                                                         |       | (71,595,649                                                         | )          | (38,678,936                                                         | )          | (9,014,000                                                          | )          |
| (Increase) decrease in operating assets:                                                                                        |       |                                                                |       |                                                                |       |                                                                |       |
| Cash and cash equivalents, reserve accounts                                                                                     |       | 13,448,053                                                          |       | (21,164,208                                                         | )          | (4,144,563                                                          | )          |
| Interest receivable                                                                                                             |       | (1,199,954                                                          | )          | (23,321                                                             | )          | 1,807,878                                                           |       |
| Management fee receivable                                                                                                       |       | 11,728                                                              |       | 4,172                                                               |       | 96,175                                                              |       |
| Other assets                                                                                                                    |       | 11,416                                                              |       | (9,657                                                              | )          | 55,106                                                              |       |
| Receivable from unsettled trades                                                                                                |       | (1,757,563                                                          | )          | (59,511                                                             | )          | —                                                              |       |
| Increase (decrease) in operating liabilities:                                                                                   |       |                                                                |       |                                                                |       |                                                                |       |
| Payable for unsettled trades                                                                                                    |       | (4,072,500                                                          | )          | (827,500                                                            | )          | 4,900,000                                                           |       |
| Management and incentive fees payable                                                                                           |       | 1,623,652                                                           |       | 681,864                                                             |       | 1,768,859                                                           |       |
| Accounts payable and accrued expenses                                                                                           |       | (269,911                                                            | )          | (80,537                                                             | )          | (325,595                                                            | )          |
| Interest and credit facility fees payable                                                                                       |       | 204,534                                                             |       | (14,530                                                             | )          | (199,374                                                            | )          |
| Due to manager                                                                                                                  |       | (171,581                                                            | )          | 154,094                                                             |       | 224,398                                                             |       |
| NET CASH PROVIDED BY (USED BY) OPERATING   ACTIVITIES                                                                           |       | (36,808,367                                                         | )          | (22,708,164                                                         | )          | 28,276,414                                                          |       |
|                                                                                                                            |       |                                                                |       |                                                                |       |                                                                |       |
| **Financing activities**                                                                                                        |       |                                                                |       |                                                                |       |                                                                |       |
| Issuance of shares of common stock                                                                                              |       | —                                                              |       | —                                                              |       | 15,000,001                                                          |       |
| Payment of common stock issuance costs                                                                                          |       | —                                                              |       | —                                                              |       | (185,140                                                            | )          |
| Borrowings on debt                                                                                                              |       | 55,550,000                                                          |       | 20,000,000                                                          |       | 20,000,000                                                          |       |
| Paydowns on debt                                                                                                                |       | (15,250,000                                                         | )          | (4,500,000                                                          | )          | (52,492,222                                                         | )          |
| Credit facility financing cost                                                                                                  |       | (1,373,000                                                          | )          | (235,446                                                            | )          | (2,035,932                                                          | )          |
| Payments of cash dividends                                                                                                      |       | (3,295,306                                                          | )          | (1,966,447                                                          | )          | (1,179,800                                                          | )          |
| NET CASH PROVIDED BY (USED BY) FINANCING   ACTIVITIES                                                                           |       | 35,631,694                                                          |       | 13,298,107                                                          |       | (20,893,093                                                         | )          |
|                                                                                                                            |       |                                                                |       |                                                                |       |                                                                |       |
| NET INCREASE (DECREASE) IN CASH AND CASH   EQUIVALENTS                                                                          |       | (1,176,673                                                          | )          | (9,410,057                                                          | )          | 7,383,321                                                           |       |
| CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                                                                                  |       | 1,325,698                                                           |       | 10,735,755                                                          |       | 3,352,434                                                           |       |
| CASH AND CASH EQUIVALENTS, END OF PERIOD                                                                                        |       | $                                                                   | 149,025    |                                                                | $          | 1,325,698                                                           |       | $ | 10,735,755 |   |
|                                                                                                                            |       |                                                                |       |                                                                |       |                                                                |       |
| Supplemental Information:                                                                                                       |       |                                                                |       |                                                                |       |                                                                |       |
| Interest paid during the period                                                                                                 |       | $                                                                   | 1,853,573  |                                                                | $          | 637,791                                                             |       | $ | 2,414,049 |   |
|                                                                                                                            |       |                                                                |       |                                                                |       |                                                                |       |
| Supplemental non-cash information:                                                                                              |       |                                                                |       |                                                                |       |                                                                |       |
| Paid-in-kind interest income                                                                                                    |       | $                                                                   | 1,062,687  |                                                                | $          | 1,442,004                                                           |       | $ | 1,144,799 |   |
| Net accretion of discount on investments                                                                                        |       | $                                                                   | 975,475    |                                                                | $          | 1,191,822                                                           |       | $ | 732,522 |   |
| Amortization of deferred credit facility financing   costs                                                                      |       | $                                                                   | 482,306    |                                                                | $          | 674,724                                                             |       | $ | 397,164 |   |
| Reversal of deferred incentive management fees                                                                                  |       | $                                                                   | —     |                                                                | $          | —                                                              |       | $ | 2,636,146 |   |
| Stock dividend distribution                                                                                                     |       | $                                                                   | 13,180,503 |                                                                | $          | 7,864,784                                                           |       | $ | 10,615,905 |   |

 

See accompanying notes to consolidated financial statements.

 

F-9

----

 

** **

**SARATOGA INVESTMENT CORP.**

 

**NOTES TO CONSOLIDATED FINANCIAL STATEMENTS**

 

**February 28, 2013**

 

**Note 1. Organization and Basis of Presentation**

 

Saratoga Investment Corp. (the “Company”, “we”, “our” and “us”) is a non-diversified closed end management investment company incorporated in Maryland that has elected to be treated and is regulated as a business development company (“BDC”) under the Investment Company Act of 1940 (the “1940 Act”). We commenced operations on March 23, 2007 as GSC Investment Corp. and completed our initial public offering (“IPO”) on March 28, 2007. We have elected to be treated as a regulated investment company (“RIC”) under subchapter M of the Internal Revenue Code (the “Code”). We expect to continue to qualify and to elect to be treated for tax purposes as a RIC. Our investment objective is to generate current income and, to a lesser extent, capital appreciation from our 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 conjunction with the transaction described in “Note 13. Recapitalization Transaction” below.

 

We are externally managed and advised by our investment adviser, Saratoga Investment Advisors, LLC (the “Manager”), pursuant to an investment advisory and management agreement. Prior to July 30, 2010, we were managed and advised by GSCP (NJ), L.P.

 

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”).

 

The accompanying consolidated financial statements have been prepared on the accrual basis of accounting in conformity with U.S. generally accepted accounting principles (“GAAP”) and include the accounts of the Company and its special purpose financing subsidiary, Saratoga Investment Funding, LLC (previously known as GSC Investment Funding LLC). All intercompany accounts and transactions have been eliminated in consolidation. All references made to the “Company,” “we,” and “us” herein include Saratoga Investment Corp. and its consolidated subsidiary, except as stated otherwise.

 

**Note 2. Summary of Significant Accounting Policies**

 

**Use of Estimates in the Preparation of Financial Statements**

 

The preparation of the accompanying consolidated financial statements in conformity with 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;

 

F-10

----

 

·                  we were to hold securities in the money market fund having an aggregate value in excess of 5.0% of the value of our total assets; or

 

·                  we were to hold securities in money market funds and other registered investment companies and BDCs having an aggregate value in excess of 10.0% of the value of our total assets.

 

**Cash and Cash Equivalents, Reserve Accounts**

 

Cash and cash equivalents, reserve accounts include amounts held in designated bank accounts in the form of cash and short-term liquid investments in money market funds representing payments received on secured investments or other reserved amounts associated with our $45.0 million senior secured revolving credit facility with Madison Capital Funding LLC. The Company is required to use these amounts to pay interest expense, reduce borrowings, or pay other amounts in accordance with the terms of the senior secured revolving credit facility.

 

**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 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 at the statement of assets and liabilities date in the principal market to independent market participants, or in the absence of a principal market, in the most advantageous market, which may be a hypothetical market. Market participants are defined as buyers and sellers in the principal or most advantageous market that are independent, knowledgeable, and willing and able to transact.

 

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

 

We undertake a multi-step valuation process each quarter when valuing investments for which market quotations are not readily available, as described below:

 

·                  Each investment is initially valued by the responsible investment professionals of our Manager and preliminary valuation conclusions are documented and discussed with the senior management of our Manager; and

 

·                  An independent valuation firm engaged by our board of directors reviews approximately one quarter 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 annually.

 

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

 

·                  The audit committee of our board of directors reviews 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

 

F-11

----

 

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

 

Our investment in GSC Investment Corp. CLO 2007, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The assumptions are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO.

 

Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. Our net asset value could be materially affected if the determinations regarding the fair value of our investments were materially higher or lower than the values that we ultimately realize upon the disposal of such investments.

 

**Derivative Financial Instruments**

 

We account for derivative financial instruments in accordance with ASC Topic 815, *Derivatives and Hedging* (“ASC 815”). ASC 815 requires recognizing all derivative instruments as either assets or liabilities on the consolidated statements of assets and liabilities at fair value. The Company values derivative contracts at the closing fair value provided by the counterparty. Changes in the values of derivative contracts are included in the consolidated statements of operations.

 

**Investment Transactions and Income Recognition**

 

Purchases and sales of investments and the related realized gains or losses are recorded on a trade-date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis to the extent that such amounts are expected to be collected. The Company stops accruing interest on its investments when it is determined that interest is no longer collectible. Discounts and premiums on investments purchased are accreted/amortized over the life of the respective investment using the effective yield method. The amortized cost of investments represents the original cost adjusted for the accretion of discounts and amortizations of premium on investments.

 

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

 

Interest income on our investment in Saratoga CLO is recorded using the effective interest method in accordance with the provisions of ASC Topic 325-40, *Investments-Other, Beneficial Interests in Securitized Financial Assets*, 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.

 

**Paid-in-Kind Interest**

 

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

 

F-12

----

 

**Deferred Credit Facility Financing Costs**

 

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

 

**Contingencies**

 

In the ordinary course of its 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.

 

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

 

**Income Taxes**

 

The Company has filed an election to be treated for tax purposes as a RIC under Subchapter M of the Code and, among other things, intends to make the requisite distributions to its stockholders which will relieve the Company from federal income taxes. Therefore, no provision has been recorded for federal income taxes.

 

In order to qualify as a RIC, among other requirements, the Company is required to timely distribute to its stockholders at least 90.0% of its investment company taxable income, as defined by the Code, for each fiscal tax year. The Company will be subject to a nondeductible U.S. federal excise tax of 4.0% on undistributed income if it does not distribute at least 98.0% of its ordinary income in any calendar year and 98.2% of its capital gain net income for each one-year period ending on October 31.

 

Depending on the level of taxable income earned in a tax year, the Company may choose to carry forward taxable income in excess of current year dividend distributions into the next tax year and pay a 4.0% excise tax on such income, as required. To the extent that the Company determines that its estimated current year annual taxable income will be in excess of estimated current year dividend distributions for excise tax purposes, the Company accrues excise tax, if any, on estimated excess taxable income as taxable income is earned.

 

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

 

ASC 740, *Income Taxes*, 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 in the consolidated statements of operations. During the fiscal year ended February 28, 2013, the Company did not incur any interest or penalties. Although we file federal and state tax returns, our major tax jurisdiction is federal. The 2010, 2011 and 2012 federal tax years for the Company remain subject to examination by the IRS.

 

**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.

 

F-13

----

 

We have adopted a dividend reinvestment plan 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 our dividend reinvestment plan will have their cash dividends automatically reinvested in additional shares of our common stock, rather than receiving the cash dividends. If our common stock is trading below net asset value at the time of valuation, the plan administrator may receive the dividend or distribution in cash and purchase common stock in the open market, on the New York Stock Exchange or elsewhere, for the account of each participant in our dividend reinvestment plan.

 

**Capital Gains Incentive Fee**

 

The Company records an expense accrual on the consolidated statements of operations, relating to the capital gains incentive fee payable on the consolidated statements of assets and liabilities, by the Company to its investment adviser when the 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 investment adviser if the Company were to liquidate its investment portfolio at such time. The actual incentive fee payable to the Company’s investment adviser related to capital gains will be determined and payable in arrears at the end of each fiscal year and will include only realized capital gains for the period.

 

**New Accounting Pronouncements**

 

In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities, which requires entities to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance is effective for fiscal years and interim periods beginning on or after January 1, 2013 with retrospective application for all comparative periods presented. The adoption of this guidance, which is related to disclosure only, is not expected to have a material impact on the Company’s consolidated financial position, results of operations or cash flows.

 

**Risk Management**

 

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

 

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

 

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

 

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

 

**Note 3. Investments**

 

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

 

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

 

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

 

F-14

----

 

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

 

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

 

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

 

In addition to using the above inputs in investment valuations, the Company continues to employ the valuation policy approved by the board of directors that is consistent with ASC 820 and the 1940 Act (see Note 2). Consistent with our Company’s 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 February 28, 2013 (dollars in thousands), according to the fair value hierarchy:

 
| ** **                    | ** ** | **Fair Value Measurements** | ** ** |
|-------------------------------|------------|---------------------------------------|------------|
| ** **                    | ** ** | **Level 1**                      | ** ** | **Level 2** | ** ** | **Level 3** | ** ** | **Total** | ** ** |
| First lien term loans         |       | $                                     | —     |   | $ | — |   | $ | 83,792 |   | $ | 83,792 |   |
| Second lien term loans        |       | —                                |       | — |   | 9,571 |   | 9,571 |   |
| Senior secured notes          |       | —                                |       | — |   | 23,305 |   | 23,305 |   |
| Unsecured notes               |       | —                                |       | — |   | 4,874 |   | 4,874 |   |
| Structured finance securities |       | —                                |       | — |   | 25,517 |   | 25,517 |   |
| Equity interest               |       | —                                |       | — |   | 8,021 |   | 8,021 |   |
| Limited partnership interest  |       | —                                |       | — |   | — |   | — |   |
| Total                         |       | $                                     | —     |   | $ | — |   | $ | 155,080 |   | $ | 155,080 |   |

 

The following table presents fair value measurements of investments, by major class, as of February 29, 2012 (dollars in thousands), according to the fair value hierarchy:

 
| ** **                    | ** ** | **Fair Value Measurements** | ** ** |
|-------------------------------|------------|---------------------------------------|------------|
| ** **                    | ** ** | **Level 1**                      | ** ** | **Level 2** | ** ** | **Level 3** | ** ** | **Total** | ** ** |
| First lien term loans         |       | $                                     | —     |   | $ | — |   | $ | 36,196 |   | $ | 36,196 |   |
| Second lien term loans        |       | —                                |       | — |   | 8,914 |   | 8,914 |   |
| Senior secured notes          |       | —                                |       | — |   | 10,706 |   | 10,706 |   |
| Senior unsecured loans        |       | —                                |       | — |   | 6,000 |   | 6,000 |   |
| Unsecured notes               |       | —                                |       | — |   | 2,008 |   | 2,008 |   |
| Structured finance securities |       | —                                |       | — |   | 25,846 |   | 25,846 |   |
| Equity interest               |       | —                                |       | — |   | 5,690 |   | 5,690 |   |
| Limited partnership interest  |       | —                                |       | — |   | — |   | — |   |
| Total                         |       | $                                     | —     |   | $ | — |   | $ | 95,360 |   | $ | 95,360 |   |

 

F-15

----

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the year ended February 28, 2013 (dollars in thousands):

 
| ** **                                | ** ** | **First lien   term loans** | ** ** | **Second lien   term loans** | ** ** | **Senior   secured   notes** | ** ** | **Senior   unsecured   loans** | ** ** | **Unsecured   notes** | ** ** | **Structured   finance   securities** | ** ** | **Common   stock/equities** | ** ** | **Total** | ** ** |
|-------------------------------------------|------------|---------------------------------------|------------|----------------------------------------|------------|------------------------------|------------|--------------------------------|------------|-----------------------|------------|---------------------------------------|------------|-----------------------------|------------|-----------|------------|
| Balance as of February 29, 2012      |       | $                                     | 36,196     |                                   | $          | 8,914                        |       | $                              | 10,706     |                  | $          | 6,000                                 |       | $                           | 2,008      |      | $          | 25,846 |   | $ | 5,690 |   | $ | 95,360 |   |
| Net unrealized gains (losses)             |       | 2,090                                 |       | 657                                    |       | (403                         | )          | (148                           | )          | (169                  | )          | 4,267                                 |       | 719                         |       | 7,013     |       |
| Purchases and other adjustments to cost   |       | 52,872                                |       | 3,005                                  |       | 13,002                       |       | 107                            |       | 3,035                 |       | —                                |       | 1,612                       |       | 73,633    |       |
| Sales and redemptions                     |       | (7,564                                | )          | (3,092                                 | )          | —                       |       | (6,090                         | )          | —                |       | (4,596                                | )          | (146                        | )          | (21,488   | )          |
| Net realized gain (loss) from investments |       | 198                                   |       | 87                                     |       | —                       |       | 131                            |       | —                |       | —                                |       | 146                         |       | 562       |       |
| Balance as of February 28, 2013      |       | $                                     | 83,792     |                                   | $          | 9,571                        |       | $                              | 23,305     |                  | $          | —                                |       | $                           | 4,874      |      | $          | 25,517 |   | $ | 8,021 |   | $ | 155,080 |   |

 

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

 

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

 

The net change in unrealized gain/loss on investments held as of February 28, 2013 is $7,143,012 and is included in net unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the year ended February 29, 2012 (dollars in thousands):

 
| ** **                                | ** ** | **First lien   term loans** | ** ** | **Second    lien   term   loans** | ** ** | **Senior   secured   notes** | ** ** | **Senior   unsecured   loans** | ** ** | **Unsecured   notes** | ** ** | **Structured   finance   securities** | ** ** | **Common   stock/equities** | ** ** | **Total** | ** ** |
|-------------------------------------------|------------|---------------------------------------|------------|----------------------------------------|------------|------------------------------|------------|--------------------------------|------------|-----------------------|------------|---------------------------------------|------------|-----------------------------|------------|-----------|------------|
| Balance as of February 28, 2011      |       | $                                     | 18,475     |                                   | $          | 20,276                       |       | $                              | 9,892      |                  | $          | —                                |       | $                           | 1,915      |      | $          | 22,732 |   | $ | 6,735 |   | $ | 80,025 |   |
| Net unrealized gains (losses)             |       | (1,256                                | )          | 15,603                                 |       | 196                          |       | 147                            |       | (807                  | )          | 6,938                                 |       | (1,045                      | )          | 19,776    |       |
| Purchases and other adjustments to cost   |       | 27,732                                |       | 602                                    |       | 6,226                        |       | 5,853                          |       | 900                   |       | —                                |       | —                      |       | 41,313    |       |
| Sales and redemptions                     |       | (8,769                                | )          | (14,868                                | )          | (5,766                       | )          | —                         |       | —                |       | (3,824                                | )          | (341                        | )          | (33,568   | )          |
| Net realized gain (loss) from investments |       | 14                                    |       | (12,699                                | )          | 158                          |       | —                         |       | —                |       | —                                |       | 341                         |       | (12,186   | )          |
| Balance as of February 29, 2012      |       | $                                     | 36,196     |                                   | $          | 8,914                        |       | $                              | 10,706     |                  | $          | 6,000                                 |       | $                           | 2,008      |      | $          | 25,846 |   | $ | 5,690 |   | $ | 95,360 |   |

 

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

 

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

 

The net change in unrealized gain/loss on investments held as of February 29, 2012 is $4,057,635 and is included in net unrealized appreciation (depreciation) on investments in the consolidated statements of operations.

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2013 were as follows (dollars in thousands):

 
| ** **                      | ** ** | **Fair Value** | ** **   | **Valuation Technique** | ** **           | **Unobservable Input** | ** **         | **Range**         | ** **   |
|---------------------------------|------------|---------------------|--------------|------------------------------|----------------------|-----------------------------|--------------------|-------------------|--------------|
|                            |       |                |         |                         |                 |                        |               |              |         |
| First   lien term loans         |       | $                   |  83,792 |                         | Market   Comparables |                        | Market   Yield (%) |              | 5.8% - 26.9% |   |
|                            |       |                |         |                         |                 | EBITDA   Multiples (x)      |               | 3.0x              |         |
|                            |       |                |         |                         |                 | Third-Party   Bid           |               | 96.5 - 102.0      |         |
|                            |       |                |         |                         |                 |                        |               |              |         |
| Second   lien term loans        |       | 9,571               |         | Market   Comparables         |                 | Market   Yield (%)          |               | 11.5%             |         |
|                            |       |                |         |                         |                 | Third-Party   Bid           |               | 90.5              |         |
|                            |       |                |         |                         |                 |                        |               |              |         |
| Senior   secured notes          |       | 23,305              |         | Market   Comparables         |                 | Market   Yield (%)          |               | 14.0% - 42.5%     |         |
|                            |       |                |         |                         |                 | EBITDA   Multiples (x)      |               | 5.5x              |         |
|                            |       |                |         |                         |                 | Third-Party   Bid           |               | 89.0 – 101.0 |         |
|                            |       |                |         |                         |                 |                        |               |              |         |
| Unsecured   notes               |       | 4,874               |         | Market   Comparables         |                 | Market   Yield (%)          |               | 13.6% - 23.8%     |         |
|                            |       |                |         |                         |                 |                        |               |              |         |
| Structured   finance securities |       | 25,517              |         | Discounted   Cash Flow       |                 | Discount   Rate (%)         |               | 13.0%             |         |
|                            |       |                |         |                         |                 |                        |               |              |         |
| Equity   interests              |       | 8,021               |         | Market   Comparables         |                 | EBITDA   Multiples (x)      |               | 3.0x – 8.9x  |         |
|                                 |            |                     |              |                              |                      |                             |                    |                   |              |  |

 

F-16

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

 

The composition of our investments as of February 28, 2013, at amortized cost and fair value were as follows (dollars in thousands):

 
| ** **                    | ** ** | **Investments at   Amortized Cost** | ** ** | **Amortized Cost   Percentage of   Total Portfolio** | ** ** | **Investments at   Fair Value** | ** ** | **Fair Value   Percentage of   Total Portfolio** | ** ** |
|-------------------------------|------------|-----------------------------------------------|------------|---------------------------------------------------------------------|------------|-------------------------------------------|------------|-----------------------------------------------------------------|------------|
| First lien term loans         |       | $                                             | 83,886     |                                                                | 56.2       | %                                         | $          | 83,792                                                          |       | 54.0 | % |
| Second lien term loans        |       | 9,473                                         |       | 6.3                                                                 |       | 9,571                                     |       | 6.2                                                             |       |
| Senior secured notes          |       | 24,619                                        |       | 16.5                                                                |       | 23,305                                    |       | 15.0                                                            |       |
| Unsecured notes               |       | 6,758                                         |       | 4.5                                                                 |       | 4,874                                     |       | 3.1                                                             |       |
| Structured finance securities |       | 18,945                                        |       | 12.7                                                                |       | 25,517                                    |       | 16.5                                                            |       |
| Equity interest               |       | 5,729                                         |       | 3.8                                                                 |       | 8,021                                     |       | 5.2                                                             |       |
| Limited partnership interest  |       | —                                        |       | —                                                              |       | —                                    |       | —                                                          |       |
| Total                         |       | $                                             | 149,410    |                                                                | 100.0      | %                                         | $          | 155,080                                                         |       | 100.0 | % |

 

The composition of our investments as of February 29, 2012, at amortized cost and fair value were as follows (dollars in thousands):

 
| ** **                    | ** ** | **Investments at   Amortized Cost** | ** ** | **Amortized Cost   Percentage of   Total Portfolio** | ** ** | **Investments at   Fair Value** | ** ** | **Fair Value   Percentage of   Total Portfolio** | ** ** |
|-------------------------------|------------|-----------------------------------------------|------------|---------------------------------------------------------------------|------------|-------------------------------------------|------------|-----------------------------------------------------------------|------------|
| First lien term loans         |       | $                                             | 38,379     |                                                                | 39.7       | %                                         | $          | 36,196                                                          |       | 38.0 | % |
| Second lien term loans        |       | 9,473                                         |       | 9.8                                                                 |       | 8,914                                     |       | 9.4                                                             |       |
| Senior secured notes          |       | 11,617                                        |       | 12.0                                                                |       | 10,706                                    |       | 11.2                                                            |       |
| Senior unsecured loans        |       | 5,852                                         |       | 6.1                                                                 |       | 6,000                                     |       | 6.3                                                             |       |
| Unsecured notes               |       | 3,724                                         |       | 3.8                                                                 |       | 2,008                                     |       | 2.1                                                             |       |
| Structured finance securities |       | 23,541                                        |       | 24.3                                                                |       | 25,846                                    |       | 27.1                                                            |       |
| Equity interest               |       | 4,116                                         |       | 4.3                                                                 |       | 5,690                                     |       | 5.9                                                             |       |
| Limited partnership interest  |       | —                                        |       | —                                                              |       | —                                    |       | —                                                          |       |
| Total                         |       | $                                             | 96,702     |                                                                | 100.0      | %                                         | $          | 95,360                                                          |       | 100.0 | % |

 

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

 

F-17

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For equity securities of portfolio companies and partnership interests, we determine the fair value based on the market approach with value then attributed to equity or equity like securities using the enterprise value waterfall valuation methodology. Under the enterprise value waterfall valuation methodology, we determine the enterprise fair value of the portfolio company and then waterfall the enterprise value over the portfolio company’s securities in order of their preference relative to one another. To estimate the enterprise value of the portfolio company, we weigh some or all of the traditional market valuation methods and factors based on the individual circumstances of the portfolio company in order to estimate the enterprise value. The methodologies for performing investments may be based on, among other things: valuations of comparable public companies, recent sales of private and public comparable companies, discounting the forecasted cash flows of the portfolio company, third party valuations of the portfolio company, considering offers from third parties to buy the company, estimating the value to potential strategic buyers and considering the value of recent investments in the equity securities of the portfolio company. For non-performing investments, we may estimate the liquidation or collateral value of the portfolio company’s assets and liabilities. We also take into account historical and anticipated financial results.

 

Our investment in GSC Investment Corp. CLO 2007, Ltd. (“Saratoga CLO”) is carried at fair value, which is based on a discounted cash flow model that utilizes prepayment, re-investment and loss assumptions based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flow models, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO. The models use a set of assumptions including projected default rates, recovery rates, reinvestment rate and prepayment rates in order to arrive at estimated valuations. The reinvestment period for the Saratoga CLO ended on January 20, 2013, and, as a result, reinvestment assumptions are no longer applicable. The assumptions are based on available market data and projections provided by third parties as well as management estimates. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flows analysis on expected future cash flows to determine a valuation for our investment in Saratoga CLO at February 28, 2013. The significant inputs for the valuation model include:

 

·                  Default rates: 3.0%

 

·                  Recovery rates: 35-70%

 

·                  Prepayment rate: 20.0%

 

**Note 4. Investment in GSC Investment Corp. CLO 2007, Ltd. (“Saratoga CLO”)**

 

On January 22, 2008, we invested $30 million in all of the outstanding subordinated notes of Saratoga CLO (which are referred in the statements of assets and liabilities of Saratoga CLO below as “Preference shares”), a collateralized loan obligation fund managed by us that invests primarily in senior secured loans. Additionally, we entered into a collateral management agreement with Saratoga CLO pursuant to which we act as collateral manager to it. In return for our collateral management services, we are entitled to a senior collateral management fee of 0.10% and a subordinate collateral management fee of 0.40% of the outstanding principal amount of Saratoga CLO’s assets, to be paid quarterly to the extent of available proceeds. We are also entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return equal to or greater than 12.0%. For the years ended February 28, 2013, February 29, 2012, and February 28, 2011, we accrued $2.0 million, $2.0 million, and $2.0 million in management fee income, respectively and $4.2 million, $4.2 million, and $3.3 million in interest income, respectively, from Saratoga CLO. We did not accrue any amounts related to the incentive management fee as the 12.0% hurdle rate has not yet been achieved.

 

At February 28, 2013, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $25.5 million, whereas the net asset value of Saratoga CLO on such date was $30.8 million. The Company does not believe that the net asset value of Saratoga CLO, which is the difference between Saratoga CLO’s assets and liabilities at a given point in time, necessarily equates to the fair value of its investment in the subordinated notes of Saratoga CLO. Specifically, the Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. At February 28, 2013, Saratoga CLO had investments with a principal balance of $383.3 million and a weighted average spread over LIBOR of 4.3%, and had debt with a principal balance of $366.0 million with a weighted average spread over LIBOR of 1.4%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the 

 

F-18

----

 

holder of its subordinated notes. At February 28, 2013, the total “spread”, or projected future cash flows of the subordinated notes, over the life of Saratoga CLO was $38.7 million, which had a present value of approximately $26.0 million, using a 13.0% discount rate. At February 28, 2013, the fair value of the subordinated notes, which we base upon the present value of the projected cash flows, was $25.5 million, which was less than the net asset value of Saratoga CLO on such date by approximately $5.3 million.

 

At February 29, 2012, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $25.8 million, whereas the net asset value of Saratoga CLO on such date was $24.0 million. The Company does not believe that the net asset value of Saratoga CLO, which is the difference between Saratoga CLO’s assets and liabilities at a given point in time, necessarily equates to the fair value of its investment in the subordinated notes of Saratoga CLO. Specifically, the Company determines the fair value of its investment in the subordinated notes of Saratoga CLO based on the present value of the projected future cash flows of the subordinated notes over the life of Saratoga CLO. At February 29, 2012, Saratoga CLO had investments with a principal balance of $380.2 million and a weighted average spread over LIBOR of 3.6%, and had debt of $366.0 million with a weighted average spread over LIBOR of 1.4%. As a result, Saratoga CLO earns a “spread” between the interest income it receives on its investments and the interest expense it pays on its debt and other operating expenses, which is distributed quarterly to the Company as the holder of its subordinated notes. At February 29, 2012, the total “spread”, or projected future cash flows of the subordinated notes, over the life of Saratoga CLO was $47.1 million, which had a present value of approximately $26.3 million, using a 16.0% discount rate. At February 29, 2012, the fair value of the subordinated notes, which we base upon the present value of the projected cash flows, was $25.8 million, which was greater than the net asset value of Saratoga CLO on such date by approximately $1.8 million.

 

F-19

----

 

**Note 5. Income Taxes**

 

The Company intends to operate so as to qualify to be taxed as a RIC under Subchapter M of the Code and, as such, will not be subject to federal income tax on the portion of taxable income and gains distributed to stockholders.

 

The Company owns 100.0% of Saratoga CLO, an exempted company incorporated in the Cayman Islands. For financial reporting purposes, the Saratoga CLO is not included as part of the consolidated financial statements. For federal income tax purposes, the Company has requested and received approval from the Internal Revenue Service to treat the Saratoga CLO as a disregarded entity. As such, for federal income tax purposes and for purposes of meeting the RIC qualification and diversification tests, the results of operations of the Saratoga CLO are included with those of the Company.

 

To qualify as a RIC, the Company is required to meet certain income and asset diversification tests in addition to distributing at least 90.0% of its investment company taxable income, as defined by the Code. Because federal income tax regulations differ from GAAP, distributions in accordance with tax regulations may differ from net investment income and realized gains recognized for financial reporting purposes. Differences may be permanent or temporary in nature. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As of February 28, 2013 and February 29, 2012, the Company reclassified for book purposes amounts arising from permanent book/tax differences primarily related to nondeductible excise tax, meals & entertainment, market discount, interest income with respect to the Saratoga CLO which is consolidated for tax purposes, and the tax character of distributions as follows (dollars in thousands):

 
| ** **                                               | ** ** | **February 28,   2013** | ** ** | **February 29,   2012** | ** ** |
|----------------------------------------------------------|------------|------------------------------|------------|------------------------------|------------|
| Accumulated net   investment income/(loss)               |       | $                            | (1,155     | )                            | $          | (871 | ) |
| Accumulated net   realized gains (losses) on investments |       | 1,155                        |       | 859                          |       |
| Additional   paid-in-capital                             |       | —                       |       | 12                           |       |
|                                                          |            |                              |            |                              |            |  |  |

 

For income tax purposes, distributions paid to shareholders are reported as ordinary income, return of capital, long term capital gains or a combination thereof. The tax character of distributions paid for the years ended February 28, 2013 and February 29, 2012 was as follows (dollars in thousands):

 
| ** **        | ** ** | **February 28,   2013** | ** ** | **February 29,   2012** | ** ** |
|-------------------|------------|------------------------------|------------|------------------------------|------------|
| Ordinary Income   |       | $                            | 16,476     |                         | $          | 9,831 |   |
| Capital gains     |       | —                       |       | —                       |       |
| Return of capital |       | —                       |       | —                       |       |
| Total             |       | $                            | 16,476     |                         | $          | 9,831 |   |

 

For federal income tax purposes, as of February 28, 2013, the aggregate net unrealized depreciation for all securities is $2.7  million. The aggregate cost of securities for federal income tax purposes is $506.7  million.

 

For federal income tax purposes, as of February 29, 2012, the aggregate net unrealized depreciation for all securities is $8.3 million. The aggregate cost of securities for federal income tax purposes is $459.1 million.

 

At February 28, 2013 and February 29, 2012, the components of accumulated losses on a tax basis as detailed below differ from the amounts reflected per the Company’s consolidated statements of assets and liabilities by temporary book/tax differences primarily arising from the consolidation of the Saratoga CLO for tax purposes, market discount and original issue discount income, interest income accrual on defaulted bonds, write-off of investments, and amortization of organizational expenditures (dollars in thousands).

 
| ** **                               | ** ** | **February 28,   2013** | ** ** | **February 29,   2012** | ** ** |
|------------------------------------------|------------|------------------------------|------------|------------------------------|------------|
| Post   October loss deferred        |       | $                            | —     |                         | $          | (12,117 | ) |
| Accumulated   capital losses             |       | (58,248                      | )          | (50,249                      | )          |
| Other temporary   differences            |       | (1,515                       | )          | (297                         | )          |
| Undistributed   ordinary income          |       | 3,927                        |       | 4,385                        |       |
| Unrealized   depreciation                |       | (2,750                       | )          | (8,266                       | )          |
| Total components   of accumulated losses |       | $                            | (58,586    | )                            | $          | (66,544 | ) |

 

F-20

----

 

The Company has incurred capital losses of $19.3, $14.1 and $3.2 million for the years ended February 28, 2011, 2010 and 2009. Such capital losses will be available to offset future capital gains if any and if unused, will expire on February 28, 2019, 2018 and 2017.

 

At February 28, 2013, the Company had a short term capital loss of $10.4 million and a long-term capital loss of $11.2 million available to offset future capital gains. Post RIC-modernization act losses are deemed to arise on the first day of the fund’s following fiscal year and there is no expiration for these losses.

 

Management has analyzed the Company’s tax positions taken on federal income tax returns for all open years (fiscal years 2009-2013), and has concluded that no provision for uncertain income tax positions is required in the Company’s financial statements.

 

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”) was enacted, and the provisions with the Modernization Act are effective for the Company for the year ended February 29, 2012. The Modernization Act is the first major piece of legislation affecting RICs since 1986 and it modernizes several of the federal income and excise tax provisions related to RICs. Some highlights of the enacted provisions are as follows:

 

New capital losses may now be carried forward indefinitely, and retain the character of the original loss. Under pre-enactment law, capital losses could be carried forward for eight years, and carried forward as short-term capital, irrespective of the character of the original loss.

 

The Modernization Act contains simplification provisions, which are aimed at preventing disqualification of a RIC for “inadvertent” failures of the asset diversification and/or qualifying income tests. Additionally, the Modernization Act exempts RICs from the preferential dividend rule, and repealed the 60-day designation requirement for certain types of pay-through income and gains.

 

Finally, the Modernization Act contains several provisions aimed at preserving the character of distributions made by a fiscal year RIC during the portion of its taxable year ending after October 31 or December 31, reducing the circumstances under which a RIC might be required to file amended Forms 1099 to restate previously reported distributions.

 

**Note 6. Agreements**

 

On July 30, 2010, the Company entered into an investment advisory and management agreement (the “Management Agreement”) with our Manager. The initial term of the Management Agreement is 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. On July 9, 2012, 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 fee.

 

The base management fee of 1.75% 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, and appropriately adjusted for any share issuances or repurchases during the applicable fiscal quarter.

 

The incentive 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 (7.5% annualized) 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 (9.376% annualized); and 20.0% of the amount of the our pre-incentive fee net

 

F-21

----

 

investment income, if any, that exceeds 2.344% in any fiscal quarter (9.376% annualized).

 

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 year, if any, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis, 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 years ended February 28, 2013, February 29, 2012, and February 28, 2011, we incurred $2.1 million, $1.6 million, and $1.6 million in base management fees, respectively. For the years ended February 28, 2013, February 29, 2012, and February 28, 2011, we incurred $1.0 million, $0.5 million, and $0.4 million in incentive fees related to pre-incentive fee net investment income. For the year ended February 28, 2011, we incurred $0.4 million in incentive fees related to pre-incentive fee net investment income and recorded a $2.6 million reversal in previously recorded deferred incentive management fees related to net investment income as a result of the agreement of our former investment adviser, GSCP (NJ), L.P., to waive such amount in connection with the recapitalization transaction described in “Note 13. Recapitalization Transaction” below. For the years ended February 28, 2013, February 29, 2012, and February 28, 2011, we accrued $1.0 million, $0.7 million, and $1.5 million in incentive management fees related to capital gains, respectively. The accrual is calculated using both realized and unrealized capital gains for the period. The actual incentive fee related to capital gains will be determined and payable in arrears at the end of the fiscal year and will include only realized capital gains for the period. As of February 28, 2013, $0.6 million of base management fees and $3.9 million of incentive fees were accrued and included in management and incentive fees payable in the accompanying consolidated statements of assets and liabilities. As of February 29, 2012, $0.4 million of base management fees and $2.5 million of incentive fees were accrued and included in management and incentive fees payable in the accompanying consolidated statements of assets and liabilities.

 

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 is 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 is capped at $1.0 million for the initial two year term of the administration agreement. On July 9, 2012, our board of directors approved the renewal of the Administration Agreement for an additional one-year term and determined to maintain the cap on the payment or reimbursement of expenses by the Company thereunder to $1.0 million for the additional one-year term.

 

For the years ended February 28, 2013, February 29, 2012, and February 28, 2011, we recognized $1.0 million, $1.0 million and $0.8 million in administrator expenses for the periods, 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 February 28, 2013, $0.2 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities. As of February 29, 2012, $0.4 million of administrator expenses were accrued and included in due to manager in the accompanying consolidated statements of assets and liabilities.

 

**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. 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.

 

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 

 

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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 was 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%.

 

In March 2009, we amended the Revolving Facility to increase the portion of the portfolio that could be invested in “CCC” rated investments in return for an increased interest rate and expedited amortization. As a result of these transactions, we expected to have additional cushion under our borrowing base under the Revolving Facility that would allow us to better manage our capital in times of declining asset prices and market dislocation.

 

On July 30, 2009, we exceeded the permissible borrowing limit under the Revolving Facility for 30 consecutive days, resulting in an event of default under the Revolving Facility. As a result of this event of default, our lender had the right to accelerate repayment of the outstanding indebtedness under the Revolving Facility and to foreclose and liquidate the collateral pledged thereunder. Acceleration of the outstanding indebtedness and/or liquidation of the collateral could have had a material adverse effect on our liquidity, financial condition and operations.

 

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 (the “Replacement Facility”) with Madison Capital Funding LLC, in each case, described in “Note 13. Recapitalization Transaction” below, 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 have been pledged under the Replacement Facility to secure our obligations thereunder.

 

On February 24, 2012, we amended our senior secured revolving credit facility with Madison Capital Funding LLC 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. 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.

 

As of February 28, 2013, there was $24.3 million outstanding under the Replacement Facility and the Company is in compliance with all of the limitations and requirements of the Replacement Facility. The carrying amount of the amount outstanding of the Replacement Facility approximates its fair value. $2.3 million of financing costs related to the Replacement Facility have been capitalized and are being amortized over the term of the facility. For the years ended February 28, 2013, February 29, 2012 and February 28, 2011, we recorded $2.0 million, $0.6 million, and $2.2 million of interest expense, respectively. For the years ended February 28, 2013, February 29, 2012 and February 28, 2011, we recorded $0.4 million, $0.7 million and $0.4 million of amortization of deferred financing costs related to the Replacement Facility and Revolving Facility, respectively. The interest rates during the years ended February 28, 2013, February 29, 2012 and February 28, 2011 on the outstanding borrowings under the Replacement Facility ranged from 7.50% to 7.50%, 0.75% to 7.50%, and 7.50% to 9.25% respectively.

 

The Replacement 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 Replacement 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 Replacement 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 Replacement 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 LIBOR rate and 2.00%, plus an applicable margin of 5.50%. At the Company’s option, funds may be borrowed based on an alternative base rate, which in no event 

 

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will be less than 3.00%, and the applicable margin over such alternative base rate is 4.50%. In addition, the Company will pay the lenders a commitment fee of 0.75% per year on the unused amount of the Replacement Facility for the duration of the Revolving Period.

 

Our borrowing base under the Replacement Facility was $35.7 million at February 28, 2013. For purposes of determining the borrowing base, most assets are assigned the values set forth in our most recent quarterly report on Form 10-Q filed with the SEC. Accordingly, the February 28, 2013 borrowing base relies upon the valuations set forth in the quarterly report on Form 10-Q for the quarter ended November 30, 2012. The valuations presented in this Annual Report on Form 10-K will not be incorporated into the borrowing base until after this Annual Report on Form 10-K is filed with the SEC.

 

***SBA Debentures***

 

SBIC LP is 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. As of February 28, 2013, we have funded SBIC LP with $25.0 million of equity capital, and have $36.0 million of SBA-guaranteed debentures outstanding. 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 may borrow to a maximum of $150.0 million, 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 $18.0 million and have average annual fully taxed net income not exceeding $6.0 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 is 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 LP will receive SBA guaranteed debenture funding, which is dependent upon SBIC LP continuing to be in compliance with SBA regulations and policies. The SBA, as a creditor, will have a superior claim to SBIC LP’s assets over our stockholders in the event we liquidate SBIC LP or the SBA exercises its remedies under the SBA-guaranteed debentures issued by SBIC LP upon an event of default.

 

The Company received exemptive relief from the Securities and Exchange Commission to permit it to exclude the debt of SBIC LP guaranteed by the SBA from the definition of senior securities in the 200.0% asset coverage test under the 1940 Act. This allows the Company increased flexibility under the 200.0% asset coverage test by permitting it to borrow up to $150.0 million more than it would otherwise be able to absent the receipt of this exemptive relief.

 

As of February 28, 2013 there was $36.0 million outstanding of SBA debentures. The carrying amount of the amount outstanding of SBA debentures approximates its fair value. $1.4 million of financing costs related to the SBA debentures have been capitalized and are being amortized over the term of the commitment and drawdown. For the year ended February 28, 2013, we recorded $0.1 million of interest expense related to the SBA debentures. For the year ended February 28, 2013, we recorded $0.1 million of amortization of deferred financing costs related to the SBA debentures. The weighted average interest rate during the year ended February 28, 2013 on the outstanding borrowings of the SBA debentures was 1.42%. There were no outstanding SBA debentures at February 29, 2012.

 

**Note 8. Directors Fees**

 

The independent directors receive an annual fee of $40,000. They also receive $2,500 plus reimbursement of reasonable out-of-pocket expenses incurred in connection with attending each board meeting and receive $1,000 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 $5,000 and the chairman of each other committee receives an annual fee of $2,000 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 

 

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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 years ended February 28, 2013, February 29, 2012 and February 28, 2011, we accrued $0.2 million, $0.2 million, and $0.4 million for directors’ fees expense, respectively. As of February 28, 2013 and February 29, 2012, $0.05 million and $0.05 million in directors’ fees expense were unpaid and included in accounts payable and accrued expenses in the consolidated statements of assets and liabilities. As of February 28, 2013, we had not issued any common stock to our directors as compensation for their services.

 

**Note 9. 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 November 13, 2009, we declared a dividend of $18.25 per share payable on December 31, 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 $2.50 per share. Based on shareholder elections, the dividend consisted of $2.1 million in cash and 864,872.5 of newly issued shares of common stock.

 

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. See “Note 13. Recapitalization Transaction.”

 

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 November 12, 2010, we declared a dividend of $4.40 per share payable on December 29, 2010. 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 $1.2 million or $0.44 per share. Based on shareholder elections, the dividend consisted of approximately $1.2 million in cash and 596,235 shares of common stock.

 

On November 15, 2011, we declared a dividend of $3.00 per share payable on December 30, 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 approximately $2.0 million or $0.60 per share. Based on shareholder elections, the dividend consisted of approximately $2.0 million in cash and 599,584 shares of common stock.

 

On November 9, 2012, the Company declared a dividend of $4.25 per share payable on December 31, 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 approximately $3.3 million in cash and 853,455 shares of common stock.

 

**Note 10. Earnings Per Share**

 

In accordance with the provisions of FASB ASC 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

 

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share on a diluted basis.

 

The following information sets forth the computation of the weighted average basic and diluted net decrease in net assets per share from operations for the years ended February 28, 2013, February 29, 2012 and February 28, 2011 (dollars in thousands except share and per share amounts):

 
| **Basic and diluted**             | ** ** | **February 28,   2013** | ** ** | **February 29,   2012** | ** ** | **February 28,   2011** | ** ** |
|---------------------------------------------|------------|------------------------------|------------|------------------------------|------------|------------------------------|------------|
| Net increase in net assets from operations  |       | $                            | 14,602     |                         | $          | 13,275                       |       | $ | 16,958 |   |
| Weighted average common shares outstanding  |       | 4,110,484                    |       | 3,434,345                    |       | 2,437,577                    |       |
| Earnings per common share-basic and diluted |       | $                            | 3.55       |                         | $          | 3.87                         |       | $ | 6.96 |   |

 

**Note 11. Dividend**

 

On November 9, 2012, the Company declared a dividend of $4.25 per share payable on December 31, 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 approximately $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 the volume weighted average trading price per share of the common stock on December 14, 17, 19, 2012. The consolidated financial statements for the period ended November 30, 2012 have been retroactively adjusted to reflect the increase in common stock as a result of the dividend in accordance with the provisions of ASC 505-20-S50 regarding disclosure of a capital structure change after the interim balance sheet but before the release of the financial statements.

 

On November 15, 2011, we declared a dividend of $3.00 per share payable on December 30, 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 approximately $2.0 million or $0.60 per share.

 

Based on shareholder elections, the dividend consisted of approximately $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 $13.1171 per share, which equaled the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2011. The financial statements for the period ended November 30, 2011 have been retroactively adjusted to reflect the increase in common stock as a result of the dividend in accordance with the provisions of ASC 505-20-S50 regarding disclosure of a capital structure change after the interim balance sheet but before the release of the financial statements.

 

On November 12, 2010, we declared a dividend of $4.40 per share payable on December 23, 2010. 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 $1.2 million or $0.44 per share.

 

Based on shareholder elections, the dividend consisted of approximately $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 the volume weighted average trading price per share of the common stock on December 20, 21 and 22, 2010. The financial statements for the period ended November 30, 2010 have been retroactively adjusted to reflect the increase in common stock as a result of the dividend in accordance with the provisions of ASC 505-20-S50 regarding disclosure of a capital structure change after the interim balance sheet but before the release of the financial statements.

 

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The following tables summarize dividends declared during the years ended February 28, 2013, February 29, 2012 and February 28, 2011 (dollars in thousands except per share amounts):

 
| **Date Declared**   | ** ** | **Record Date**   | ** ** | **Payment Date**  | ** ** | **Amount   Per Share*** | ** ** | **Total   Amount** | ** ** |
|--------------------------|------------|------------------------|------------|------------------------|------------|------------------------------|------------|--------------------|------------|
| November 9, 2012    |       | November 20, 2012 |       | December 31, 2012 |       | $                            | 4.25       |               | $          | 16,476 |   |
| Total dividends declared |       |                   |       |                   |       | $                            | 4.25       |               | $          | 16,476 |   |

 
| **Date Declared**   | ** ** | **Record Date**   | ** ** | **Payment Date**  | ** ** | **Amount   Per Share*** | ** ** | **Total   Amount** | ** ** |
|--------------------------|------------|------------------------|------------|------------------------|------------|------------------------------|------------|--------------------|------------|
| November 15, 2011   |       | November 25, 2011 |       | December 30, 2011 |       | $                            | 3.00       |               | $          | 9,831 |   |
| Total dividends declared |       |                   |       |                   |       | $                            | 3.00       |               | $          | 9,831 |   |

 
| **Date Declared**   | ** ** | **Record Date**   | ** ** | **Payment Date**  | ** ** | **Amount   Per Share*** | ** ** | **Total   Amount** | ** ** |
|--------------------------|------------|------------------------|------------|------------------------|------------|------------------------------|------------|--------------------|------------|
| November 12, 2010   |       | November 19, 2010 |       | December 29, 2010 |       | $                            | 4.40       |               | $          | 11,796 |   |
| Total dividends declared |       |                   |       |                   |       | $                            | 4.40       |               | $          | 11,796 |   |

 

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*                                         Amount per share is calculated based on the number of shares outstanding at the date of declaration.

 

**Note 12. Financial Highlights**

 

The following is a schedule of financial highlights for the years ended February 28, 2013, February 29, 2012, February 28, 2011, 2010, and 2009:

 

For 2010 and 2009 the amount per share has been adjusted to reflect a one-for-ten reverse stock split effectuated in August 2010.

 
| ** **                                                                    | ** ** | **February 28,   2013** | ** **  | **February 29,   2012** | ** ** | **February 28,   2011** | ** ** | **February 28,   2010** | ** ** | **February 28,   2009** | ** ** |
|-------------------------------------------------------------------------------|------------|------------------------------|-------------|------------------------------|------------|------------------------------|------------|------------------------------|------------|------------------------------|------------|
| Per share data:(7)                                                            |       |                         |        |                         |       |                         |       |                         |       |                         |       |
| Net asset value at beginning of period                                        |       | $                            | 25.12       |                         | $          | 26.26                        |       | $                            | 32.75      |                         | $          | 82.00 |   | $ | 118.00 |   |
| Net investment income(1)                                                      |       | 1.71                         |        | 1.66                         |       | 2.15                         |       | 5.40                         |       | 16.70                        |       |
| Net realized and unrealized gains and losses on   investments and derivatives |       | 1.84                         |        | 2.21                         |       | 4.81                         |       | (15.30                       | )          | (42.40                       | )          |
| Net increase (decrease) in net assets from   operations                       |       | 3.55                         |        | 3.87                         |       | 6.96                         |       | (9.90                        | )          | (25.70                       | )          |
| Distributions declared from net investment income                             |       | (4.25                        | )           | (3.00                        | )          | (4.40                        | )          | (18.25                       | )          | (10.30                       | )          |
| Distributions declared from net realized capital   gains                      |       | —                       |        | —                       |       | —                       |       | —                       |       | —                       |       |
| Total distributions to stockholders                                           |       | (4.25                        | )           | (3.00                        | )          | (4.40                        | )          | (18.25                       | )          | (10.30                       | )          |
| Other(5)                                                                      |       | (1.44                        | )           | (2.01                        | )          | (9.05                        | )          | (21.10                       | )          | —                       |       |
| Net asset value at end of period                                              |       | $                            | 22.98       |                         | $          | 25.12                        |       | $                            | 26.26      |                         | $          | 32.75 |   | $ | 82.00 |   |
| Net assets at end of period                                                   |       | $                            | 108,686,761 |                         | $          | 97,380,150                   |       | $                            | 86,071,454 |                         | $          | 55,478,152 |   | $ | 68,013,777 |   |
| Shares outstanding at end of period                                           |       | 4,730,116                    |        | 3,876,661                    |       | 3,277,077                    |       | 1,694,010                    |       | 829,138                      |       |
| Per share market value at end of period(7)                                    |       | $                            | 17.02       |                         | $          | 15.88                        |       | $                            | 21.25      |                         | $          | 19.20 |   | $ | 19.90 |   |
| Total return based on market value(2)                                         |       | 36.67                        | %           | 12.82                        | %          | 38.25                        | %          | 113.10                       | %          | (70.33                       | )%         |
| Total return based on net asset value(3)                                      |       | 16.65                        | %           | 17.51                        | %          | 0.16                         | %          | (11.92                       | )%         | 14.40                        | %          |
| **Ratio/Supplemental data:(6)**                                               |       |                         |        |                         |       |                         |       |                         |       |                         |       |
| Ratio of net investment income to average, net   assets(4)(6)                 |       | 6.73                         | %           | 6.11                         | %          | 6.53                         | %          | 8.10                         | %          | 15.19                        | %          |
| Ratio of operating expenses to average net   assets(4)                        |       | 5.17                         | %           | 5.63                         | %          | 12.05                        | %          | 9.78                         | %          | 7.12                         | %          |
| Ratio of incentive management fees to average net   assets                    |       | 1.96                         | %           | 1.35                         | %          | 2.45                         | %          | 0.52                         | %          | 2.05                         | %          |
| Ratio of credit facility related expenses to   average net assets             |       | 2.43                         | %           | 1.39                         | %          | 3.42                         | %          | 6.54                         | %          | 3.05                         | %          |
| Ratio of total expenses to average net assets(4)                              |       | 9.56                         | %           | 8.36                         | %          | 12.02                        | %          | 16.84                        | %          | 12.23                        | %          |
| Portfolio turnover rate(8)                                                    |       | 17.30                        | %           | 36.34                        | %          | 10.14                        | %          | 14.68                        | %          | 20.00                        | %          |

 

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(1)                                 Net investment income per share is calculated using the weighted average shares outstanding during the period. Net investment income excluding expense waiver and reimbursement equals $2.05, $4.75 and $15.46 per share for the years ended February 28, 2011, 2010 and 2009, respectively.

 

(2)                                 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 dividend reinvestment plan. Total investment return does not reflect brokerage commissions. Total investment returns covering less than a full period are not annualized.

 

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----

 

(3)                                 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 dividend reinvestment plan. Total investment return does not reflect brokerage commissions.

 

(4)                                 For the year ended February 28, 2011, net of the expense waiver and reimbursement arrangement, the ratio of net investment income, operating expenses, total expenses to average net assets is 6.87%, 11.71%, and 11.68%, respectively. For the year ended February 28, 2010, net of the expense waiver and reimbursement arrangement, the ratio of net investment income, operating expenses, total expenses to average net assets is 9.12%, 8.71% and 15.77%, respectively. For the year ended February 28, 2009, net of the expense waiver and reimbursement arrangement, the ratio of net investment income, operating expenses, total expenses to average net assets is 16.21%, 5.94% and 11.04%, respectively.

 

(5)                                 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. See Note 10, Dividend.

 

(6)                                 These ratios for the years ended February 28, 2010 and 2009 do not include the effect of the waiver of deferred incentive fees which is (3.83)% on a non-annualized basis as this is a one time waiver.

 

(7)                                 February 28, 2010 and 2009 data has been adjusted to reflect a one-for-ten reverse stock split effectuated in August 2010.

 

(8)                                 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.

 

**Note 13. Recapitalization Transaction**

 

In July 2010, we consummated a recapitalization transaction that was necessitated by the fact that we had exceeded permissible borrowing limits under the Revolving Facility in July 2009, which resulted in an event of default under the Revolving Facility. As a result of the event of default under the Revolving Facility, the lender had the right to accelerate repayment of the outstanding indebtedness under the Revolving Facility and to foreclose and liquidate the collateral pledged thereunder. We engaged the investment banking firm of Stifel, Nicolaus & Company to evaluate strategic transaction opportunities and consider alternatives for us in December 2008. On April 14, 2010, we entered into a stock purchase agreement with our Manager and certain of its affiliates and an assignment, assumption and novation agreement with our Manager, pursuant to which we assumed certain rights and obligations of our Manager under a debt commitment letter our Manager received from Madison Capital Funding LLC, indicating Madison Capital Funding’s willingness to provide us with the Replacement Facility, subject to the satisfaction of certain terms and conditions. In addition, we and GSCP (NJ), L.P., our then external investment adviser, 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 our Manager and certain of its affiliates was completed, and included the following actions:

 

·                  the private sale of shares of our common stock for $15.0 million in aggregate purchase price to our Manager and certain of its affiliates;

 

·                  the closing of the $40.0 million Replacement Facility with Madison Capital Funding;

 

·                  the execution of a registration rights agreement with the investors in the private sale transaction, pursuant to which we agreed to file a registration statement with the SEC to register for resale the shares of our common stock sold in the private sale transaction;

 

·                  the execution of a trademark license agreement with our Manager pursuant to which our Manager granted us a non-exclusive, royalty-free license to use the “Saratoga” name, for so long as our Manager or one of its affiliates remains our investment adviser;

 

·                  replacing GSCP (NJ), L.P. as our investment adviser and administrator with our Manager by executing an investment advisory and management agreement, which was approved by our stockholders, and an administration agreement with our Manager;

 

F-28

----

 

·                  the resignations of Robert F. Cummings, Jr. and Richard M. Hayden, both of whom are affiliates of GSCP (NJ) L.P., as members of the board of directors and the election of Christian L. Oberbeck and Richard A. Petrocelli, both of whom are affiliates of our Manager, as members of the board of directors;

 

·                  the resignation of all of our then existing executive officers and the appointment by our board of directors of Mr. Oberbeck as our chief executive officer and Mr. Petrocelli as our chief financial officer, secretary and chief compliance officer; and

 

·                  our name change from “GSC Investment Corp.” to “Saratoga Investment Corp.”

 

We used the net proceeds from the private sale transaction and a portion of the funds available to us under the Replacement Facility to pay the full amount of principal and accrued interest, including default interest, outstanding under Revolving Facility. The Revolving Facility with Deutsche Bank was terminated in connection with our payment of all amounts outstanding thereunder on July 30, 2010.

 

**Note 14. Selected Quarterly Data (Unaudited)**

 
| ** **                                                                        | ** ** | **2013**       | ** ** |
|-----------------------------------------------------------------------------------|------------|----------------|------------|
| **($ in thousands, except per share numbers)**      | ** ** | **Qtr 4** | ** ** | **Qtr 3** | ** ** | **Qtr 2** | ** ** | **Qtr 1** | ** ** |
| Interest and related portfolio income                                             |       | $              | 4,306      |   | $ | 3,513 |   | $ | 3,514 |   | $ | 3,111 |   |
| Net investment income                                                             |       | 1,952          |       | 2,489 |   | 1,314 |   | 1,273 |   |
| Net realized and unrealized gain (loss)                                           |       | 3,843          |       | (1,744 | ) | 3,557 |   | 1,918 |   |
| Net increase in net assets resulting from   operations                            |       | 5,795          |       | 745 |   | 4,871 |   | 3,191 |   |
| Net investment income per common share at end of   each quarter                   |       | $              | 0.42       |   | $ | 0.63 |   | $ | 0.34 |   | $ | 0.33 |   |
| Net realized and unrealized gain (loss) per common   share at end of each quarter |       | $              | 0.81       |   | $ | (0.44 | ) | $ | 0.92 |   | $ | 0.49 |   |
| Dividends declared per common share                                               |       | $              | —     |   | $ | 4.25 |   | $ | — |   | $ | — |   |
| Net asset value per common share                                                  |       | $              | 22.98      |   | $ | 21.75 |   | $ | 27.20 |   | $ | 25.94 |   |

 
| ** **                                                                        | ** ** | **2012**       | ** ** |
|-----------------------------------------------------------------------------------|------------|----------------|------------|
| **($ in thousands, except per share numbers)**      | ** ** | **Qtr 4** | ** ** | **Qtr 3** | ** ** | **Qtr 2** | ** ** | **Qtr 1** | ** ** |
| Interest and related portfolio income                                             |       | $              | 2,946      |   | $ | 3,033 |   | $ | 2,887 |   | $ | 2,387 |   |
| Net investment income                                                             |       | 1,578          |       | 824 |   | 2,720 |   | 578 |   |
| Net realized and unrealized gain (loss)                                           |       | 1,502          |       | 5,389 |   | (4,448 | ) | 5,131 |   |
| Net increase (decrease) in net assets resulting   from operations                 |       | 3,080          |       | 6,213 |   | (1,728 | ) | 5,709 |   |
| Net investment income per common share at end of   each quarter                   |       | $              | 0.40       |   | $ | 0.25 |   | $ | 0.83 |   | $ | 0.17 |   |
| Net realized and unrealized gain (loss) per common   share at end of each quarter |       | $              | 0.39       |   | $ | 1.63 |   | $ | (1.36 | ) | $ | 1.57 |   |
| Dividends declared per common share                                               |       | $              | —     |   | $ | 3.00 |   | $ | — |   | $ | — |   |
| Net asset value per common share                                                  |       | $              | 25.12      |   | $ | 24.32 |   | $ | 27.48 |   | $ | 28.01 |   |

 
| ** **                                                                   | ** ** | **2011**       | ** ** |
|------------------------------------------------------------------------------|------------|----------------|------------|
| **($ in thousands, except per share numbers)** | ** ** | **Qtr 4** | ** ** | **Qtr 3** | ** ** | **Qtr 2** | ** ** | **Qtr 1** | ** ** |
| Interest and related portfolio income                                        |       | $              | 2,624      |   | $ | 4,580 |   | $ | 2,566 |   | $ | 2,270 |   |
| Net investment income                                                        |       | 830            |       | 1,935 |   | 2,482 |   | 2 |   |
| Net realized and unrealized gain                                             |       | 3,463          |       | 1,375 |   | 4,218 |   | 2,653 |   |
| Net increase in net assets resulting from   operations                       |       | 4,294          |       | 3,310 |   | 6,700 |   | 2,655 |   |
| Net investment income per common share at end of   each quarter              |       | $              | 0.25       |   | $ | 0.70 |   | $ | 1.21 |   | $ | 0.00 |   |
| Net realized and unrealized gain per common share   at end of each quarter   |       | $              | 1.06       |   | $ | 0.50 |   | $ | 2.06 |   | $ | 1.57 |   |
| Dividends declared per common share                                          |       | $              | —     |   | $ | 4.40 |   | $ | — |   | $ | — |   |
| Net asset value per common share                                             |       | $              | 26.26      |   | $ | 24.95 |   | $ | 29.71 |   | $ | 34.32 |   |

 

**Note 15. Subsequent Events**

 

Management has evaluated subsequent events through the date of issuance of the consolidated financial statements included herein. There have been no subsequent events that occurred during such period that would require disclosure in this Form 10-K or would be required to be recognized in the consolidated financial statements as of and for the years ended February 28, 2013, except as disclosed below.

 

On May 10, 2013, the Company issued $42.0 million in aggregate principal amount of 7.50% fixed-rate notes due 2020.  The notes will mature on May 31, 2020, and may be redeemed in whole or in part at any time or from time to time at the Company's option on or after May 31, 2016.  Interest will be payable quarterly beginning August 15, 2013.  

 

On May 17, 2013, the Company closed an additional $6.3 million in aggregate principal amount of 7.50% fixed-rate notes due 2020, pursuant to the full exercise of the underwriters' option to purchase additional notes. 

 

F-29

----

 

**INDEX TO OTHER FINANCIAL STATEMENTS**

 

**GSC Investment Corp. CLO 2007, LTD**.

 
| Report of Independent Auditors                                                                                                        |   | S-2 |
|---------------------------------------------------------------------------------------------------------------------------------------|--------|-----|
| Statements of Assets and Liabilities as of   February 28, 2013 and February 29, 2012                                        |   | S-3 |
| Statements   of Operations for the years ended February 28, 2013, February 29,   2012, and February 28, 2011           |   | S-4 |
| Schedules   of Investments as of February 28, 2013 and February 29, 2012                                                    |   | S-5 |
| Statements of Changes in Net Assets for the years   ended February 28, 2013, February 29, 2012 and February 28,   2011 |   | S-7 |
| Statements   of Cash Flows for the years ended February 28, 2013 and   February 29, 2012 and February 28, 2011         |   | S-8 |
| Notes   to Financial Statements                                                                                                       |   | S-9 |

 

**IMPORTANT NOTE**

 

In accordance with certain SEC rules, Saratoga Investment Corp. (the “Company”) is providing additional information regarding one of its portfolio companies, GSC Investment Corp. CLO 2007, LTD. (the “Saratoga CLO”). The Company owns 100% of the subordinated notes of the CLO.  The additional financial information regarding the CLO does not directly impact the Company’s financial position, results of operations or cash flows.

 

S-1

----

 

**Report of Independent Auditors**

 

The Collateral Manager and Directors,

 

GSC Investment Corp. CLO 2007, Ltd.

 

We have audited the accompanying financial statements of GSC Investment Corp. CLO 2007, Ltd. (the “Issuer”), which comprise the statements of assets and liabilities including the schedules of investments, as of February 28, 2013 and February 29, 2012, and the statements of operations, changes in net assets, and cash flows for the years ended February 28, 2013, February 29, 2012 and February 28, 2011, and the related notes to the financial statements.

 

**Management’s Responsibility for the Financial Statements**

 

Management is responsible for the preparation and fair presentation of these financial statements in conformity with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free of material misstatement, whether due to fraud or error.

 

**Auditor’s Responsibility**

 

Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.

 

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements.

 

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

 

**Opinion**

 

In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of GSC Investment Corp. CLO 2007, Ltd. at February 28, 2013 and February 29, 2012, and the results of its operations, changes in its net assets, and its cash flows for the years ended February 28, 2013, February 29, 2012 and February 28, 2011, in conformity with U.S. generally accepted accounting principles.

 

/s/ Ernst & Young LLP

New York, New York

June 7, 2013

 

S-2

----

 

**GSC Investment Corp. CLO 2007**

 

**Statements of Assets and Liabilities**

 
| ** **                                                                                                           | ** ** | **As of**                  | ** **  |
|----------------------------------------------------------------------------------------------------------------------|------------|---------------------------------|-------------|
| ** **                                                                                                           | ** ** | **February 28, 2013** | ** **  | **February 29, 2012** | ** ** |
|                                                                                                                 |       |                            |        |   |   |
| ASSETS                                                                                                               |       |                            |        |   |   |
|                                                                                                                 |       |                            |        |   |   |
| Investments                                                                                                          |       |                            |        |   |   |
| Fair value loans (amortized cost of $366,099,395   and $372,748,714, respectively)                                   |       | $                               | 362,494,006 |   | $ | 365,780,893 |   |
| Fair value other/structured finance securities   (amortized cost of $13,743,946 and $17,274,888, respectively)       |       | 11,925,973                      |        | 15,583,573 |   |
| Total investments at fair value                                                                                      |       | 374,419,979                     |        | 381,364,466 |   |
| Cash and cash equivalents                                                                                            |       | 28,804,871                      |        | 17,815,082 |   |
| Receivable from open trades                                                                                          |       | 5,131,538                       |        | 10,046,640 |   |
| Interest receivable                                                                                                  |       | 1,584,985                       |        | 1,581,438 |   |
| Deferred bond issuance                                                                                               |       | 2,092,787                       |        | 2,819,118 |   |
| Total assets                                                                                                         |       | $                               | 412,034,160 |   | $ | 413,626,744 |   |
|                                                                                                                 |       |                            |        |   |   |
| LIABILITIES                                                                                                          |       |                            |        |   |   |
|                                                                                                                 |       |                            |        |   |   |
| Interest payable                                                                                                     |       | $                               | 666,121     |   | $ | 826,741 |   |
| Payable from open trades                                                                                             |       | 16,346,250                      |        | 24,857,147 |   |
| Accrued senior collateral management fee                                                                             |       | 43,171                          |        | 45,516 |   |
| Accrued subordinate collateral management fee                                                                        |       | 172,682                         |        | 182,064 |   |
| Class A notes                                                                                                   |       | 296,000,000                     |        | 296,000,000 |   |
| Class B notes                                                                                                   |       | 22,000,000                      |        | 22,000,000 |   |
| Discount on class B notes                                                                                            |       | (417,011                        | )           | (477,483 | ) |
| Class C notes                                                                                                   |       | 14,000,000                      |        | 14,000,000 |   |
| Class D notes                                                                                                   |       | 16,000,000                      |        | 16,000,000 |   |
| Discount on class D notes                                                                                            |       | (441,136                        | )           | (505,106 | ) |
| Class E notes                                                                                                   |       | 17,960,044                      |        | 17,960,044 |   |
| Discount on class E notes                                                                                            |       | (1,134,778                      | )           | (1,299,337 | ) |
| Subordinated notes                                                                                                   |       | 30,000,000                      |        | 30,000,000 |   |
| Total liabilities                                                                                                    |       | $                               | 411,195,343 |   | $ | 419,589,586 |   |
|                                                                                                                 |       |                            |        |   |   |
| NET ASSETS                                                                                                           |       |                            |        |   |   |
|                                                                                                                 |       |                            |        |   |   |
| Ordinary equity, par value $1.00, 250 ordinary shares   authorized, 250 and 250 issued and outstanding, respectively |       | $                               | 250         |   | $ | 250 |   |
| Accumulated loss                                                                                                     |       | (5,963,092                      | )           | (3,132,908 | ) |
| Net income (loss)                                                                                                    |       | 6,801,659                       |        | (2,830,184 | ) |
| Total net assets                                                                                                     |       | 838,817                         |        | (5,962,842 | ) |
|                                                                                                                 |       |                            |        |   |   |
| Total liabilities and net assets                                                                                     |       | $                               | 412,034,160 |   | $ | 413,626,744 |   |

 

See accompanying notes to financial statements.

 

S-3

----

 

**GSC Investment Corp. CLO 2007**

 

**Statements of Operations**

 
| ** **                                                        | ** ** | **For the year ended   February 28, 2013** | ** ** | **For the year ended   February 29, 2012** | ** ** | **For the year ended   February 28, 2011** | ** ** |
|-------------------------------------------------------------------|------------|----------------------------------------------------------------|------------|----------------------------------------------------------------|------------|----------------------------------------------------------------|------------|
|                                                              |       |                                                           |       |                                                           |       |                                                           |       |
| INVESTMENT INCOME                                                 |       |                                                           |       |                                                           |       |                                                           |       |
| Interest from investments                                         |       | $                                                              | 19,328,855 |                                                           | $          | 20,032,687                                                     |       | $ | 20,838,831 |   |
| Interest from cash and cash equivalents                           |       | 16,587                                                         |       | 12,165                                                         |       | 22,769                                                         |       |
| Other income                                                      |       | 967,991                                                        |       | 509,365                                                        |       | 416,035                                                        |       |
| Total investment income                                           |       | 20,313,433                                                     |       | 20,554,217                                                     |       | 21,277,635                                                     |       |
|                                                              |       |                                                           |       |                                                           |       |                                                           |       |
| EXPENSES                                                          |       |                                                           |       |                                                           |       |                                                           |       |
| Interest expense                                                  |       | 15,613,003                                                     |       | 14,480,621                                                     |       | 13,260,221                                                     |       |
| Professional fees                                                 |       | 417,086                                                        |       | 400,628                                                        |       | 257,209                                                        |       |
| Misc. Fee Expense                                                 |       | 133,794                                                        |       | 176,768                                                        |       | 3,532                                                          |       |
| Senior collateral management fee                                  |       | 400,014                                                        |       | 402,303                                                        |       | 406,471                                                        |       |
| Subordinate collateral management fee                             |       | 1,600,057                                                      |       | 1,609,213                                                      |       | 1,625,886                                                      |       |
| Trustee expenses                                                  |       | 100,820                                                        |       | 100,551                                                        |       | 101,625                                                        |       |
| Amortization expense                                              |       | 1,015,332                                                      |       | 1,016,124                                                      |       | 1,015,333                                                      |       |
| Total expenses                                                    |       | 19,280,106                                                     |       | 18,186,208                                                     |       | 16,670,277                                                     |       |
|                                                              |       |                                                           |       |                                                           |       |                                                           |       |
| NET INVESTMENT INCOME                                             |       | 1,033,327                                                      |       | 2,368,009                                                      |       | 4,607,358                                                      |       |
|                                                              |       |                                                           |       |                                                           |       |                                                           |       |
| REALIZED AND UNREALIZED GAIN (LOSS) ON   INVESTMENTS:             |       |                                                           |       |                                                           |       |                                                           |       |
| Net realized gain/(loss) on investments                           |       | 2,532,558                                                      |       | (4,547,952                                                     | )          | 750,253                                                        |       |
| Net unrealized appreciation/(depreciation) on   investments       |       | 3,235,774                                                      |       | (650,241                                                       | )          | 11,697,708                                                     |       |
| Net gain/(loss) on investments                                    |       | 5,768,332                                                      |       | (5,198,193                                                     | )          | 12,447,961                                                     |       |
|                                                              |       |                                                           |       |                                                           |       |                                                           |       |
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING   FROM OPERATIONS |       | $                                                              | 6,801,659  |                                                           | $          | (2,830,184                                                     | )          | $ | 17,055,319 |   |

 

See accompanying notes to financial statements.

 

S-4

----

 

**GSC Investment Corp. CLO 2007**

 

**Schedule of Investments**

 

**February 28, 2013**

 
| **Issuer_Name**                                                                 | ** ** | **Industry**                        | ** ** | **Asset_Name**                                 | ** ** | **Asset_Type** | ** ** | **Current Rate** | ** ** | **Maturity Date** | ** ** | **Principal / Number of   Shares** | ** ** | **Cost** | ** **      | **Fair Value** | ** ** |
|---------------------------------------------------------------------------------|------------|-------------------------------------|------------|------------------------------------------------|------------|----------------|------------|-----------------------|------------|------------------------|------------|---------------------------------------------------|------------|----------|-----------------|---------------------|------------|
| Elyria Foundry Company, LLC                                                     |       | Industrial   Equipment              |       | Warrants                                       |       | Equity         |       | 0.00                  | %          |                   |       | —                                            |       | $        | —          |                | $          | — |   |
| Network Communications, Inc.                                               |       | Business   Equipment and Services   |       | Common                                         |       | Equity         |       | 0.00                  | %          |                   |       | 169,143                                           |       | 169,143  |            | 659,658             |       |
| OLD AII, Inc (fka Aleris International Inc.)                               |       | Conglomerate                        |       | Common                                         |       | Equity         |       | 0.00                  | %          |                   |       | 2,624                                             |       | 224,656  |            | 128,576             |       |
| PATS Aircraft, LLC                                                              |       | Aerospace   and Defense             |       | Common                                         |       | Equity         |       | 0.00                  | %          |                   |       | 51,813                                            |       | 282,326  |            | 282,329             |       |
| SuperMedia Inc. (fka Idearc Inc.)                                               |       | Publishing                          |       | Common   Stock                                 |       | Equity         |       | 0.00                  | %          |                   |       | 10,821                                            |       | 28,784   |            | 5,411               |       |
| Academy, LTD.                                                              |       | Retailers   (Except Food and Drugs) |       | Initial   Term Loan (2012)                     |       | Loan           |       | 4.75                  | %          | 8/3/2018               |       | $                                                 | 1,980,037  |     | 1,966,002       |                | 2,000,927  |   |
| ACCO Brands Corporation                                                         |       | Conglomerate                        |       | Term   B Loan                                  |       | Loan           |       | 4.25                  | %          | 5/1/2019               |       | $                                                 | 351,944    |     | 348,847         |                | 354,584    |   |
| Acosta, Inc.                                                               |       | Food   Products                     |       | Term   D Loan                                  |       | Loan           |       | 5.00                  | %          | 3/2/2018               |       | $                                                 | 4,183,659  |     | 4,120,774       |                | 4,216,082  |   |
| Aderant North America, Inc.                                                |       | Business   Equipment and Services   |       | Term   Loan (First Lien)                       |       | Loan           |       | 6.25                  | %          | 12/20/2018             |       | $                                                 | 3,500,000  |     | 3,495,662       |                | 3,552,500  |   |
| Aeroflex Incorporated                                                           |       | Aerospace   and Defense             |       | Tranche   B Term Loan                          |       | Loan           |       | 5.75                  | %          | 5/9/2018               |       | $                                                 | 3,345,517  |     | 3,333,081       |                | 3,369,204  |   |
| Alcatel-Lucent USA Inc.                                                         |       | Telecommunications/Cellular         |       | US   Term Loan                                 |       | Loan           |       | 0.00                  | %          | 1/30/2019              |       | $                                                 | 1,075,000  |     | 1,069,625       |                | 1,087,008  |   |
| Alere Inc. (fka IM US Holdings, LLC)                                            |       | Healthcare                          |       | Incremental   B-1 Term Loan                    |       | Loan           |       | 4.75                  | %          | 6/30/2017              |       | $                                                 | 1,980,000  |     | 1,941,348       |                | 1,999,444  |   |
| Aptalis Pharma, Inc. (fka Axcan Intermediate   Holdings Inc.)              |       | Drugs                               |       | Term   B-1 Loan                                |       | Loan           |       | 5.50                  | %          | 2/10/2017              |       | $                                                 | 1,960,000  |     | 1,953,535       |                | 1,963,920  |   |
| Aramark Corporation                                                             |       | Food   Products                     |       | LC-2   Facility                                |       | Loan           |       | 3.45                  | %          | 7/26/2016              |       | $                                                 | 79,187     |     | 79,187          |                | 79,600     |   |
| Aramark Corporation                                                             |       | Food   Products                     |       | LC-3   Facility                                |       | Loan           |       | 3.45                  | %          | 7/26/2016              |       | $                                                 | 43,961     |     | 43,961          |                | 44,190     |   |
| Aramark Corporation                                                             |       | Food   Products                     |       | U.S.   Term B Loan (Extending)                 |       | Loan           |       | 3.45                  | %          | 7/26/2016              |       | $                                                 | 1,204,093  |     | 1,204,093       |                | 1,210,366  |   |
| Aramark Corporation                                                             |       | Food   Products                     |       | U.S.   Term C Loan                             |       | Loan           |       | 3.52                  | %          | 7/26/2016              |       | $                                                 | 2,545,700  |     | 2,545,700       |                | 2,558,963  |   |
| Armstrong World Industries, Inc                                            |       | Building   and Development          |       | Term   Loan B-1                                |       | Loan           |       | 4.00                  | %          | 3/10/2018              |       | $                                                 | 2,122,931  |     | 2,109,740       |                | 2,124,268  |   |
| Asurion, LLC (fka Asurion Corporation)                                          |       | Insurance                           |       | Amortizing   Term Loan                         |       | Loan           |       | 4.75                  | %          | 7/23/2017              |       | $                                                 | 968,750    |     | 960,226         |                | 973,594    |   |
| Asurion, LLC (fka Asurion Corporation)                                          |       | Insurance                           |       | Incremental   Tranche B-1 Term Loan            |       | Loan           |       | 4.50                  | %          | 5/24/2019              |       | $                                                 | 5,659,091  |     | 5,602,698       |                | 5,674,144  |   |
| Auction.Com, LLC                                                                |       | Business   Equipment and Services   |       | Term   Loan A-4                                |       | Loan           |       | 4.96                  | %          | 8/30/2016              |       | $                                                 | 1,018,699  |     | 1,017,479       |                | 1,013,606  |   |
| Aurora Diagnostics, LLC                                                         |       | Conglomerate                        |       | Tranche   B Term Loan                          |       | Loan           |       | 6.25                  | %          | 5/26/2016              |       | $                                                 | 3,188,889  |     | 3,198,281       |                | 3,077,278  |   |
| Autotrader.com, Inc.                                                       |       | Automotive                          |       | Tranche   B-1 Term Loan                        |       | Loan           |       | 4.00                  | %          | 12/15/2016             |       | $                                                 | 3,830,768  |     | 3,830,768       |                | 3,853,522  |   |
| Avantor Performance Materials Holdings, Inc.                               |       | Chemicals/Plastics                  |       | Term   Loan                                    |       | Loan           |       | 5.25                  | %          | 6/24/2017              |       | $                                                 | 4,925,000  |     | 4,907,124       |                | 4,925,000  |   |
| AZ Chem US Inc.                                                                 |       | Chemicals/Plastics                  |       | Term   Loan                                    |       | Loan           |       | 5.25                  | %          | 12/22/2017             |       | $                                                 | 1,570,579  |     | 1,532,447       |                | 1,585,170  |   |
| Biomet, Inc.                                                               |       | Healthcare                          |       | Dollar   Term B-1 Loan                         |       | Loan           |       | 4.00                  | %          | 7/25/2017              |       | $                                                 | 1,990,013  |     | 1,990,013       |                | 2,003,445  |   |
| Bombardier Recreational Products Inc.                                           |       | Leisure   Goods/Activities/Movies   |       | Term   B Loan                                  |       | Loan           |       | 5.00                  | %          | 1/30/2019              |       | $                                                 | 1,000,000  |     | 990,101         |                | 1,007,500  |   |
| Brock Holdings III, Inc.                                                   |       | Industrial   Equipment              |       | Term   Loan (First Lien)                       |       | Loan           |       | 0.00                  | %          | 3/16/2017              |       | $                                                 | 2,000,000  |     | 2,022,500       |                | 2,013,340  |   |
| Burlington Coat Factory Warehouse Corporation                                   |       | Retailers   (Except Food and Drugs) |       | Term   B-1 Loan                                |       | Loan           |       | 5.50                  | %          | 2/23/2017              |       | $                                                 | 2,776,843  |     | 2,767,803       |                | 2,802,306  |   |
| C.H.I. Overhead Doors, Inc. (CHI)                                          |       | Home   Furnishings                  |       | Term   Loan (First Lien)                       |       | Loan           |       | 7.25                  | %          | 8/17/2017              |       | $                                                 | 2,976,290  |     | 2,931,556       |                | 2,983,730  |   |
| Camp International Holding Company                                              |       | Aerospace   and Defense             |       | Refinanced   Term Loan (First Lien)            |       | Loan           |       | 5.25                  | %          | 5/31/2019              |       | $                                                 | 997,500    |     | 988,136         |                | 1,005,400  |   |
| Capital Automotive L.P.                                                         |       | Conglomerate                        |       | Tranche   B Term Loan                          |       | Loan           |       | 5.25                  | %          | 3/11/2017              |       | $                                                 | 2,811,086  |     | 2,817,777       |                | 2,823,961  |   |
| Capstone Logistics, LLC                                                         |       | Business   Equipment and Services   |       | Term   Note A                                  |       | Loan           |       | 7.50                  | %          | 9/16/2016              |       | $                                                 | 2,699,305  |     | 2,669,394       |                | 2,658,816  |   |
| Capsugel Holdings US, Inc.                                                 |       | Drugs                               |       | Initial   Term Loan (New)                      |       | Loan           |       | 4.75                  | %          | 8/1/2018               |       | $                                                 | 3,605,198  |     | 3,595,976       |                | 3,641,214  |   |
| Celanese US Holdings LLC                                                        |       | Chemicals/Plastics                  |       | Dollar   Term C Loan (Extended)                |       | Loan           |       | 3.06                  | %          | 10/31/2016             |       | $                                                 | 2,198,534  |     | 2,219,212       |                | 2,208,911  |   |
| Cenveo Corporation                                                              |       | Publishing                          |       | Term   B Facility                              |       | Loan           |       | 7.00                  | %          | 12/21/2016             |       | $                                                 | 2,437,399  |     | 2,421,925       |                | 2,444,516  |   |
| Charter Communications Operating, LLC                                           |       | Cable   and Satellite Television    |       | Term   C Loan                                  |       | Loan           |       | 3.46                  | %          | 9/6/2016               |       | $                                                 | 2,047,547  |     | 2,044,048       |                | 2,057,785  |   |
| Charter Communications Operating, LLC                                           |       | Cable   and Satellite Television    |       | Term   D Loan                                  |       | Loan           |       | 4.00                  | %          | 5/15/2019              |       | $                                                 | 1,985,000  |     | 1,976,313       |                | 2,000,503  |   |
| CHS/ Community Health Systems, Inc.                                        |       | Healthcare                          |       | Extended   Term Loan                           |       | Loan           |       | 3.79                  | %          | 1/25/2017              |       | $                                                 | 4,064,516  |     | 3,963,653       |                | 4,090,935  |   |
| Cinedigm Digital Funding I, LLC                                                 |       | Business   Equipment and Services   |       | Term   Loan                                    |       | Loan           |       | 5.75                  | %          | 2/28/2018              |       | $                                                 | 1,066,260  |     | 1,059,429       |                | 1,068,925  |   |
| Contec, LLC                                                                     |       | Electronics/Electric                |       | Second   Lien Term Notes                       |       | Loan           |       | 10.00                 | %          | 11/2/2016              |       | $                                                 | 401,202    |     | 2,400,891       |                | 2,578,210  |   |
| Covanta Energy Corporation                                                      |       | Ecological   Services and Equipment |       | Term   Loan                                    |       | Loan           |       | 4.00                  | %          | 3/28/2019              |       | $                                                 | 496,250    |     | 494,095         |                | 501,833    |   |
| CPI International Acquisition, Inc. (f/k/a   Catalyst Holdings, Inc.) |       | Electronics/Electric                |       | Term   B Loan                                  |       | Loan           |       | 5.00                  | %          | 2/13/2017              |       | $                                                 | 4,805,833  |     | 4,789,964       |                | 4,829,862  |   |
| Crown Castle Operating Company                                                  |       | Telecommunications/Cellular         |       | Tranche   B Term Loan                          |       | Loan           |       | 4.00                  | %          | 1/31/2019              |       | $                                                 | 1,980,000  |     | 1,963,120       |                | 1,989,484  |   |
| Culligan International Company                                                  |       | Conglomerate                        |       | Dollar   Loan (First Lien)                     |       | Loan           |       | 6.25                  | %          | 12/19/2017             |       | $                                                 | 795,675    |     | 732,459         |                | 729,372    |   |
| Culligan International Company                                                  |       | Conglomerate                        |       | Dollar   Loan (Second Lien)                    |       | Loan           |       | 9.50                  | %          | 6/19/2018              |       | $                                                 | 783,162    |     | 720,189         |                | 604,343    |   |
| DaVita HealthCare Partners Inc. (fka DaVita Inc.)                               |       | Healthcare                          |       | Tranche   B Term Loan                          |       | Loan           |       | 4.50                  | %          | 10/20/2016             |       | $                                                 | 3,949,622  |     | 3,949,622       |                | 3,977,822  |   |
| DCS Business Services, Inc.                                                |       | Financial   Intermediaries          |       | Term   B Loan                                  |       | Loan           |       | 7.25                  | %          | 3/19/2018              |       | $                                                 | 3,970,010  |     | 3,919,904       |                | 3,910,460  |   |
| Del Monte Foods Company                                                         |       | Food   Products                     |       | Initial   Term Loan                            |       | Loan           |       | 4.00                  | %          | 3/8/2018               |       | $                                                 | 4,438,139  |     | 4,473,061       |                | 4,443,687  |   |
| Delphi Corporation                                                              |       | Electronics/Electric                |       | Tranche   A Term Loan Retired 03/01/2013       |       | Loan           |       | 4.25                  | %          | 3/31/2016              |       | $                                                 | 1,683,357  |     | 1,685,403       |                | 1,682,650  |   |
| Digitalglobe, Inc.                                                         |       | Ecological   Services and Equipment |       | Term   Loan                                    |       | Loan           |       | 0.00                  | %          | 1/31/2020              |       | $                                                 | 250,000    |     | 250,000         |                | 250,783    |   |
| DS Waters of America, Inc.                                                 |       | Beverage   and Tobacco              |       | Term   Loan (First Lien)                       |       | Loan           |       | 10.50                 | %          | 8/29/2017              |       | $                                                 | 2,977,500  |     | 2,928,511       |                | 3,037,050  |   |
| Dunkin’ Brands, Inc.                                                  |       | Food   Services                     |       | Term   B-3 Loan                                |       | Loan           |       | 0.00                  | %          | 2/14/2020              |       | $                                                 | 4,000,000  |     | 3,990,000       |                | 3,990,000  |   |
| DynCorp International Inc.                                                      |       | Aerospace   and Defense             |       | Term   Loan                                    |       | Loan           |       | 6.25                  | %          | 7/7/2016               |       | $                                                 | 574,161    |     | 567,732         |                | 577,606    |   |
| Education Management LLC                                                        |       | Leisure   Goods/Activities/Movies   |       | Tranche   C-2 Term Loan                        |       | Loan           |       | 4.31                  | %          | 6/1/2016               |       | $                                                 | 3,925,006  |     | 3,727,372       |                | 3,263,878  |   |
| eInstruction Corporation                                                        |       | Electronics/Electric                |       | Initial   Term Loan                            |       | Loan           |       | 0.00                  | %          | 7/2/2013               |       | $                                                 | 2,997,722  |     | 2,931,236       |                | 899,317    |   |
| Electrical Components International, Inc.                                  |       | Electronics/Electric                |       | Synthetic   Revolving Loan                     |       | Loan           |       | 6.75                  | %          | 2/4/2016               |       | $                                                 | 117,647    |     | 116,611         |                | 117,647    |   |
| Electrical Components International, Inc.                                  |       | Electronics/Electric                |       | Term   Loan                                    |       | Loan           |       | 6.75                  | %          | 2/4/2017               |       | $                                                 | 1,786,475  |     | 1,768,892       |                | 1,786,475  |   |
| Evergreen Acqco 1 LP                                                            |       | Retailers   (Except Food and Drugs) |       | New   Term Loan                                |       | Loan           |       | 5.00                  | %          | 7/9/2019               |       | $                                                 | 497,503    |     | 492,828         |                | 501,702    |   |
| Federal-Mogul Corporation                                                       |       | Automotive                          |       | Tranche   B Term Loan                          |       | Loan           |       | 2.14                  | %          | 12/29/2014             |       | $                                                 | 2,589,036  |     | 2,498,894       |                | 2,467,351  |   |
| Federal-Mogul Corporation                                                       |       | Automotive                          |       | Tranche   C Term Loan                          |       | Loan           |       | 2.14                  | %          | 12/28/2015             |       | $                                                 | 1,320,937  |     | 1,264,234       |                | 1,258,853  |   |
| First Data Corporation                                                          |       | Financial   Intermediaries          |       | 2017   Dollar Term Loan                        |       | Loan           |       | 5.20                  | %          | 3/24/2017              |       | $                                                 | 2,111,028  |     | 2,027,434       |                | 2,111,914  |   |
| First Data Corporation                                                          |       | Financial   Intermediaries          |       | 2018   Dollar Term Loan                        |       | Loan           |       | 4.20                  | %          | 3/23/2018              |       | $                                                 | 2,290,451  |     | 2,216,829       |                | 2,261,591  |   |
| Freescale Semiconductor, Inc.                                              |       | Electronics/Electric                |       | Tranche   B-1 Term Loan Retired 03/01/2013     |       | Loan           |       | 4.45                  | %          | 12/1/2016              |       | $                                                 | 2,534,348  |     | 2,450,139       |                | 2,535,945  |   |
| FTD Group, Inc.                                                            |       | Retailers   (Except Food and Drugs) |       | Initial   Term Loan                            |       | Loan           |       | 4.75                  | %          | 6/11/2018              |       | $                                                 | 3,715,723  |     | 3,683,533       |                | 3,715,723  |   |
| Generac Power Systems, Inc.                                                |       | Industrial   Equipment              |       | Term   Loan                                    |       | Loan           |       | 6.25                  | %          | 5/30/2018              |       | $                                                 | 906,111    |     | 890,154         |                | 923,590    |   |
| General Nutrition Centers, Inc.                                            |       | Retailers   (Except Food and Drugs) |       | Amended   Tranche B Term Loan                  |       | Loan           |       | 3.75                  | %          | 3/2/2018               |       | $                                                 | 4,746,591  |     | 4,757,841       |                | 4,774,548  |   |
| Global Tel*Link Corporation                                                     |       | Business   Equipment and Services   |       | Replacement   Term Loan                        |       | Loan           |       | 6.00                  | %          | 12/14/2017             |       | $                                                 | 1,964,912  |     | 1,960,077       |                | 1,967,368  |   |
| Goodyear Tire & Rubber Company, The                                    |       | Chemicals/Plastics                  |       | Loan   (Second Lien)                           |       | Loan           |       | 4.75                  | %          | 4/30/2019              |       | $                                                 | 4,000,000  |     | 3,929,629       |                | 4,015,000  |   |
| Grifols Inc.                                                                    |       | Drugs                               |       | New   U.S. Tranche B Term Loan                 |       | Loan           |       | 4.25                  | %          | 6/1/2017               |       | $                                                 | 3,465,982  |     | 3,457,357       |                | 3,481,371  |   |
| Grosvenor Capital Management Holdings, LLLP                                     |       | Brokers/Dealers/Investment   Houses |       | Tranche   C Term Loan                          |       | Loan           |       | 4.25                  | %          | 12/5/2016              |       | $                                                 | 3,336,378  |     | 3,252,391       |                | 3,311,355  |   |
| Hanger Orthopedic Group, Inc.                                              |       | Healthcare                          |       | Term   C Loan                                  |       | Loan           |       | 4.00                  | %          | 12/1/2016              |       | $                                                 | 3,910,667  |     | 3,920,277       |                | 3,925,332  |   |
| HCA Inc.                                                                        |       | Healthcare                          |       | Tranche   B-3 Term Loan                        |       | Loan           |       | 3.45                  | %          | 5/1/2018               |       | $                                                 | 5,734,690  |     | 5,440,293       |                | 5,764,912  |   |
| Health Management Associates, Inc.                                         |       | Healthcare                          |       | Term   B Loan                                  |       | Loan           |       | 4.50                  | %          | 11/16/2018             |       | $                                                 | 2,970,000  |     | 2,945,366       |                | 2,993,344  |   |
| Hertz Corporation, The                                                          |       | Automotive                          |       | Tranche   B-1 Term Loan                        |       | Loan           |       | 0.00                  | %          | 3/11/2018              |       | $                                                 | 3,000,000  |     | 3,045,000       |                | 3,045,000  |   |
| HIBU PLC (fka Yell Group PLC)                                                   |       | Business   Equipment and Services   |       | Facility   B1 - YB (USA) LLC (11/2009)         |       | Loan           |       | 3.95                  | %          | 7/31/2014              |       | $                                                 | 3,030,606  |     | 2,983,167       |                | 530,356    |   |
| HMH Holdings (Delaware) Inc.                                                    |       | Conglomerate                        |       | Term   Loan (Exit Facility)                    |       | Loan           |       | 7.25                  | %          | 5/22/2018              |       | $                                                 | 992,500    |     | 974,925         |                | 997,463    |   |
| Hologic, Inc.                                                              |       | Healthcare                          |       | Tranche   A Term Loan                          |       | Loan           |       | 3.20                  | %          | 8/1/2017               |       | $                                                 | 2,437,500  |     | 2,432,069       |                | 2,439,328  |   |
| Hunter Defense Technologies, Inc.                                          |       | Aerospace   and Defense             |       | Term   Loan                                    |       | Loan           |       | 3.54                  | %          | 8/22/2014              |       | $                                                 | 3,679,939  |     | 3,647,610       |                | 3,385,544  |   |
| Huntsman International LLC                                                      |       | Chemicals/Plastics                  |       | Extended   Term B Loan                         |       | Loan           |       | 2.75                  | %          | 4/19/2017              |       | $                                                 | 3,920,000  |     | 3,883,690       |                | 3,920,000  |   |
| Infor (US), Inc. ((fka Lawson Software Inc.)                               |       | Business   Equipment and Services   |       | Tranche   B-2 Term Loan                        |       | Loan           |       | 5.25                  | %          | 4/5/2018               |       | $                                                 | 1,990,013  |     | 1,971,642       |                | 2,011,166  |   |
| Inventiv Health, Inc. (fka Ventive   Health, Inc)                     |       | Conglomerate                        |       | Consolidated   Term Loan                       |       | Loan           |       | 7.50                  | %          | 8/4/2016               |       | $                                                 | 492,090    |     | 492,090         |                | 484,093    |   |
| J. Crew Group, Inc.                                                        |       | Retailers   (Except Food and Drugs) |       | Term   B-1 Loan                                |       | Loan           |       | 4.00                  | %          | 3/7/2018               |       | $                                                 | 982,500    |     | 982,500         |                | 982,726    |   |
| JFB Firth Rixson Inc.                                                           |       | Industrial   Equipment              |       | 2013   Replacement Dollar Term Facility Loan   |       | Loan           |       | 4.25                  | %          | 6/30/2017              |       | $                                                 | 2,590,213  |     | 2,577,375       |                | 2,598,838  |   |
| Kalispel Tribal Economic Authority                                              |       | Lodging   and Casinos               |       | Term   Loan                                    |       | Loan           |       | 7.50                  | %          | 2/24/2017              |       | $                                                 | 3,625,323  |     | 3,577,074       |                | 3,634,387  |   |
| Kinetic Concepts, Inc.                                                     |       | Healthcare                          |       | Dollar   Term C-1 Loan                         |       | Loan           |       | 5.50                  | %          | 5/4/2018               |       | $                                                 | 495,000    |     | 478,661         |                | 501,034    |   |
| Kronos Worldwide, Inc.                                                     |       | Chemicals/Plastics                  |       | Initial   Term Loan                            |       | Loan           |       | 7.00                  | %          | 6/13/2018              |       | $                                                 | 500,000    |     | 500,000         |                | 504,065    |   |
| MetroPCS Wireless, Inc.                                                    |       | Telecommunications                  |       | Tranche   B-2 Term Loan                        |       | Loan           |       | 4.07                  | %          | 11/3/2016              |       | $                                                 | 2,489,192  |     | 2,491,685       |                | 2,495,938  |   |
| Michaels Stores, Inc.                                                      |       | Retailers   (Except Food and Drugs) |       | Term   B Loan                                  |       | Loan           |       | 3.75                  | %          | 1/28/2020              |       | $                                                 | 500,000    |     | 500,000         |                | 501,110    |   |
| Microsemi Corporation                                                           |       | Electronics/Electric                |       | Term   Loan                                    |       | Loan           |       | 3.75                  | %          | 2/20/2020              |       | $                                                 | 2,688,796  |     | 2,682,872       |                | 2,697,212  |   |
| National CineMedia, LLC                                                         |       | Leisure   Goods/Activities/Movies   |       | Term   Loan                                    |       | Loan           |       | 3.46                  | %          | 11/26/2019             |       | $                                                 | 1,086,207  |     | 1,050,910       |                | 1,089,607  |   |
| Newsday, LLC                                                                    |       | Publishing                          |       | Term   Loan                                    |       | Loan           |       | 3.70                  | %          | 10/12/2016             |       | $                                                 | 3,000,000  |     | 2,996,317       |                | 2,992,500  |   |
| Novelis, Inc.                                                              |       | Conglomerate                        |       | Term   B-2 Loan                                |       | Loan           |       | 4.00                  | %          | 3/10/2017              |       | $                                                 | 987,500    |     | 968,539         |                | 988,734    |   |
| Novelis, Inc.                                                              |       | Conglomerate                        |       | Term   Loan                                    |       | Loan           |       | 4.00                  | %          | 3/10/2017              |       | $                                                 | 3,920,009  |     | 3,946,297       |                | 3,924,909  |   |
| NPC International, Inc.                                                    |       | Food   Services                     |       | Term   Loan                                    |       | Loan           |       | 4.50                  | %          | 12/28/2018             |       | $                                                 | 490,833    |     | 490,833         |                | 495,128    |   |
| NRG Energy, Inc.                                                           |       | Utilities                           |       | Term   Loan                                    |       | Loan           |       | 3.25                  | %          | 7/1/2018               |       | $                                                 | 3,940,000  |     | 3,910,795       |                | 3,958,557  |   |
| NuSil Technology LLC.                                                           |       | Chemicals/Plastics                  |       | Term   Loan                                    |       | Loan           |       | 5.00                  | %          | 4/7/2017               |       | $                                                 | 820,339    |     | 820,339         |                | 824,695    |   |
| OEP Pearl Dutch Acquisition B.V.                                                |       | Chemicals/Plastics                  |       | Initial   BV Term Loan                         |       | Loan           |       | 6.50                  | %          | 3/30/2018              |       | $                                                 | 148,875    |     | 146,330         |                | 149,992    |   |
| On Assignment, Inc.                                                        |       | Business   Equipment and Services   |       | Initial   Term B Loan                          |       | Loan           |       | 5.00                  | %          | 5/15/2019              |       | $                                                 | 2,413,048  |     | 2,399,166       |                | 2,434,114  |   |
| Onex Carestream Finance LP                                                      |       | Healthcare                          |       | Term   Loan                                    |       | Loan           |       | 5.00                  | %          | 2/25/2017              |       | $                                                 | 4,909,816  |     | 4,893,453       |                | 4,916,739  |   |
| OpenLink International, Inc.                                               |       | Business   Equipment and Services   |       | Initial   Term Loan                            |       | Loan           |       | 7.75                  | %          | 10/30/2017             |       | $                                                 | 990,000    |     | 974,594         |                | 988,763    |   |
| P.F. Chang’s China Bistro, Inc. (Wok   Acquisition Corp.)             |       | Food/Drug   Retailers               |       | Term   Borrowing                               |       | Loan           |       | 5.25                  | %          | 6/22/2019              |       | $                                                 | 997,500    |     | 988,412         |                | 1,007,475  |   |
| PATS Aircraft, LLC                                                              |       | Aerospace   and Defense             |       | Term   Loan                                    |       | Loan           |       | 8.50                  | %          | 10/6/2016              |       | $                                                 | 357,331    |     | 239,023         |                | 276,932    |   |
| Penn National Gaming, Inc.                                                 |       | Lodging   and Casinos               |       | Term   A Facility                              |       | Loan           |       | 1.72                  | %          | 7/14/2016              |       | $                                                 | 2,775,888  |     | 2,719,125       |                | 2,776,748  |   |
| Penn National Gaming, Inc.                                                 |       | Lodging   and Casinos               |       | Term   B Facility                              |       | Loan           |       | 3.75                  | %          | 7/16/2018              |       | $                                                 | 985,013    |     | 983,123         |                | 988,431    |   |
| PetCo Animal Supplies, Inc.                                                |       | Retailers   (Except Food and Drugs) |       | New   Loans                                    |       | Loan           |       | 4.00                  | %          | 11/24/2017             |       | $                                                 | 1,496,173  |     | 1,494,329       |                | 1,501,784  |   |
| Pharmaceutical Product Development, Inc.   (Jaguar Holdings, LLC)          |       | Conglomerate                        |       | 2013   Term Loan                               |       | Loan           |       | 4.25                  | %          | 12/5/2018              |       | $                                                 | 1,980,000  |     | 1,950,704       |                | 1,989,583  |   |
| Physician Oncology Services, LP                                                 |       | Healthcare                          |       | Delayed   Draw Term Loan                       |       | Loan           |       | 7.75                  | %          | 1/31/2017              |       | $                                                 | 51,020     |     | 50,682          |                | 50,765     |   |
| Physician Oncology Services, LP                                                 |       | Healthcare                          |       | Effective   Date Term Loan                     |       | Loan           |       | 7.75                  | %          | 1/31/2017              |       | $                                                 | 419,961    |     | 417,178         |                | 417,861    |   |
| Pinnacle Foods Finance LLC                                                      |       | Food   Products                     |       | Extended   Initial Term Loan                   |       | Loan           |       | 3.70                  | %          | 10/2/2016              |       | $                                                 | 5,726,579  |     | 5,491,534       |                | 5,761,168  |   |
| Preferred Proppants, LLC                                                        |       | Nonferrous   Metals/Minerals        |       | Term   B Loan                                  |       | Loan           |       | 7.50                  | %          | 12/15/2016             |       | $                                                 | 1,980,000  |     | 1,949,170       |                | 1,841,400  |   |
| Prestige Brands, Inc.                                                      |       | Drugs                               |       | Term   B-1 Loan                                |       | Loan           |       | 3.76                  | %          | 1/31/2019              |       | $                                                 | 679,545    |     | 669,390         |                | 683,507    |   |
| Pro Mach, Inc.                                                             |       | Industrial   Equipment              |       | Term   Loan                                    |       | Loan           |       | 5.00                  | %          | 7/6/2017               |       | $                                                 | 1,956,155  |     | 1,941,853       |                | 1,961,045  |   |
| Quintiles Transnational Corp.                                                   |       | Conglomerate                        |       | Term   B-2 Loan                                |       | Loan           |       | 4.50                  | %          | 6/8/2018               |       | $                                                 | 3,681,541  |     | 3,653,803       |                | 3,716,810  |   |
| Ranpak Corp.                                                                    |       | Food/Drug   Retailers               |       | USD   Term Loan (First Lien)                   |       | Loan           |       | 4.75                  | %          | 4/20/2017              |       | $                                                 | 2,396,012  |     | 2,387,700       |                | 2,384,032  |   |
| Rexnord LLC/RBS Global, Inc.                                               |       | Industrial   Equipment              |       | Term   B Loan Refinancing                      |       | Loan           |       | 4.50                  | %          | 4/1/2018               |       | $                                                 | 1,995,000  |     | 1,995,000       |                | 2,005,454  |   |
| Reynolds Group Holdings Inc.                                                    |       | Industrial   Equipment              |       | U.S.   Term Loan                               |       | Loan           |       | 4.75                  | %          | 9/28/2018              |       | $                                                 | 1,995,000  |     | 1,995,000       |                | 2,017,244  |   |
| Rocket Software, Inc.                                                      |       | Business   Equipment and Services   |       | Term   Loan (First Lien)                       |       | Loan           |       | 5.75                  | %          | 2/8/2018               |       | $                                                 | 1,980,000  |     | 1,947,152       |                | 1,986,197  |   |
| Roundy’s Supermarkets, Inc.                                           |       | Food/Drug   Retailers               |       | Tranche   B Term Loan                          |       | Loan           |       | 5.75                  | %          | 2/13/2019              |       | $                                                 | 992,500    |     | 979,782         |                | 937,297    |   |
| Rovi Solutions Corporation / Rovi   Guides, Inc.                           |       | Electronics/Electric                |       | Tranche   A-2 Loan                             |       | Loan           |       | 2.46                  | %          | 3/29/2017              |       | $                                                 | 1,860,226  |     | 1,843,739       |                | 1,855,576  |   |
| Rovi Solutions Corporation / Rovi   Guides, Inc.                           |       | Electronics/Electric                |       | Tranche   B-2 Loan                             |       | Loan           |       | 4.00                  | %          | 3/29/2019              |       | $                                                 | 1,384,706  |     | 1,378,679       |                | 1,389,899  |   |
| Royal Adhesives and Sealants, LLC                                               |       | Chemicals/Plastics                  |       | Term   A Loan                                  |       | Loan           |       | 7.25                  | %          | 11/29/2015             |       | $                                                 | 4,498,210  |     | 4,459,450       |                | 4,432,399  |   |
| RPI Finance Trust                                                               |       | Drugs                               |       | 6.75   Year Term Loan(2012)                    |       | Loan           |       | 3.50                  | %          | 5/9/2018               |       | $                                                 | 5,398,833  |     | 5,373,794       |                | 5,449,474  |   |
| Scientific Games International Inc.                                             |       | Electronics/Electric                |       | Tranche   B-1 Term Loan                        |       | Loan           |       | 3.21                  | %          | 6/30/2015              |       | $                                                 | 1,977,810  |     | 1,965,672       |                | 1,985,226  |   |
| Scitor Corporation                                                              |       | Business   Equipment and Services   |       | Term   Loan                                    |       | Loan           |       | 5.00                  | %          | 2/15/2017              |       | $                                                 | 463,977    |     | 462,444         |                | 460,692    |   |
| Securus Technologies Holdings, Inc (fka   Securus Technologies, Inc.) |       | Telecommunications                  |       | Tranche   2 Term Loan (First Lien)             |       | Loan           |       | 6.50                  | %          | 5/31/2017              |       | $                                                 | 1,985,000  |     | 1,967,961       |                | 1,975,075  |   |
| Sensata Technology BV/Sensata Technology Finance   Company, LLC                 |       | Electronics/Electric                |       | Term   Loan                                    |       | Loan           |       | 3.75                  | %          | 5/12/2018              |       | $                                                 | 2,969,849  |     | 2,969,849       |                | 2,986,540  |   |
| Sensus USA Inc. (fka Sensus Metering Systems)                                   |       | Utilities                           |       | Term   Loan (First Lien)                       |       | Loan           |       | 4.75                  | %          | 5/9/2017               |       | $                                                 | 1,965,000  |     | 1,958,111       |                | 1,961,070  |   |
| ServiceMaster Company, The                                                      |       | Conglomerate                        |       | Tranche   B Term Loan                          |       | Loan           |       | 4.45                  | %          | 1/31/2017              |       | $                                                 | 2,851,387  |     | 2,861,398       |                | 2,857,089  |   |
| SI Organization, Inc., The                                                 |       | Aerospace   and Defense             |       | New   Tranche B Term Loan                      |       | Loan           |       | 4.50                  | %          | 11/22/2016             |       | $                                                 | 3,920,000  |     | 3,895,621       |                | 3,906,946  |   |
| Sonneborn, LLC                                                                  |       | Chemicals/Plastics                  |       | Initial   US Term Loan                         |       | Loan           |       | 6.50                  | %          | 3/30/2018              |       | $                                                 | 843,625    |     | 829,202         |                | 849,952    |   |
| Sophia, L.P.                                                                    |       | Electronics/Electric                |       | Term   B Loan                                  |       | Loan           |       | 4.50                  | %          | 7/19/2018              |       | $                                                 | 969,244    |     | 954,866         |                | 976,310    |   |
| SRA International Inc.                                                          |       | Aerospace   and Defense             |       | Term   Loan                                    |       | Loan           |       | 6.50                  | %          | 7/20/2018              |       | $                                                 | 3,268,571  |     | 3,165,384       |                | 3,154,171  |   |
| SRAM, LLC                                                                       |       | Industrial   Equipment              |       | Term   Loan (First Lien)                       |       | Loan           |       | 4.77                  | %          | 6/7/2018               |       | $                                                 | 3,441,181  |     | 3,411,986       |                | 3,458,386  |   |
| SS&C Technologies, Inc., /Sunshine   Acquisition II, Inc.         |       | Business   Equipment and Services   |       | Funded   Term B-1 Loan                         |       | Loan           |       | 5.00                  | %          | 6/7/2019               |       | $                                                 | 811,071    |     | 803,796         |                | 817,138    |   |
| SS&C Technologies, Inc., /Sunshine   Acquisition II, Inc.         |       | Business   Equipment and Services   |       | Funded   Term B-2 Loan                         |       | Loan           |       | 5.00                  | %          | 6/7/2019               |       | $                                                 | 83,904     |     | 83,151          |                | 84,531     |   |
| SunCoke Energy, Inc.                                                       |       | Nonferrous   Metals/Minerals        |       | Tranche   B Term Loan                          |       | Loan           |       | 4.00                  | %          | 7/26/2018              |       | $                                                 | 1,367,311  |     | 1,357,359       |                | 1,370,729  |   |
| SunGard Data Systems Inc (Solar Capital Corp.)                                  |       | Conglomerate                        |       | Tranche   B U.S. Term Loan                     |       | Loan           |       | 3.85                  | %          | 2/28/2016              |       | $                                                 | 4,253,748  |     | 4,184,167       |                | 4,260,086  |   |
| SunGard Data Systems Inc (Solar Capital Corp.)                                  |       | Conglomerate                        |       | Tranche   C Term Loan                          |       | Loan           |       | 3.95                  | %          | 2/28/2017              |       | $                                                 | 497,687    |     | 493,012         |                | 500,544    |   |
| SuperMedia Inc. (fka Idearc Inc.)                                               |       | Publishing                          |       | Loan                                           |       | Loan           |       | 11.00                 | %          | 12/31/2015             |       | $                                                 | 289,811    |     | 281,918         |                | 214,875    |   |
| Syniverse Holdings, Inc.                                                   |       | Telecommunications                  |       | Initial   Term Loan                            |       | Loan           |       | 5.00                  | %          | 4/23/2019              |       | $                                                 | 497,500    |     | 493,115         |                | 500,609    |   |
| Taminco Global Chemical Corporation                                             |       | Chemicals/Plastics                  |       | Tranche   B-2 Dollar Term Loan                 |       | Loan           |       | 4.25                  | %          | 2/15/2019              |       | $                                                 | 1,488,750  |     | 1,478,991       |                | 1,498,859  |   |
| Team Health, Inc.                                                          |       | Healthcare                          |       | Tranche   B Term Loan                          |       | Loan           |       | 3.75                  | %          | 6/29/2018              |       | $                                                 | 4,432,500  |     | 4,415,534       |                | 4,432,500  |   |
| TECTUM HOLDINGS INC                                                             |       | Industrial   Equipment              |       | Term   Loan                                    |       | Loan           |       | 7.50                  | %          | 12/3/2015              |       | $                                                 | 4,000,000  |     | 3,981,089       |                | 3,980,000  |   |
| Texas Competitive Electric Holdings Company, LLC   (TXU)                        |       | Utilities                           |       | 2014   Term Loan (Non-Extending)               |       | Loan           |       | 3.73                  | %          | 10/10/2014             |       | $                                                 | 5,580,862  |     | 5,527,535       |                | 4,012,249  |   |
| Tomkins, LLC / Tomkins, Inc. (f/k/a Pinafore,   LLC / Pinafore, Inc.) |       | Conglomerate                        |       | Term   B-2 Loan                                |       | Loan           |       | 3.75                  | %          | 9/29/2016              |       | $                                                 | 2,431,854  |     | 2,437,744       |                | 2,450,093  |   |
| TransDigm Inc.                                                                  |       | Aerospace   and Defense             |       | Tranche   C Term Loan                          |       | Loan           |       | 3.75                  | %          | 2/28/2020              |       | $                                                 | 4,945,974  |     | 4,955,789       |                | 4,955,587  |   |
| Tricorbraun Inc. (fka Kranson   Industries, Inc.)                          |       | Containers/Glass   Products         |       | Term   Loan                                    |       | Loan           |       | 5.50                  | %          | 5/3/2018               |       | $                                                 | 1,990,000  |     | 1,981,374       |                | 2,008,666  |   |
| Truven Health Analytics Inc. (fka Thomson Reuters   (Healthcare) Inc.)          |       | Healthcare                          |       | New   Tranche B Term Loan                      |       | Loan           |       | 5.75                  | %          | 6/6/2019               |       | $                                                 | 497,500    |     | 488,158         |                | 501,853    |   |
| Tube City IMS Corporation                                                       |       | Steel                               |       | Term   Loan                                    |       | Loan           |       | 5.75                  | %          | 3/20/2019              |       | $                                                 | 992,500    |     | 983,864         |                | 1,001,184  |   |
| U.S. Security Associates Holdings, Inc.                                    |       | Business   Equipment and Services   |       | Delayed   Draw Term Loan                       |       | Loan           |       | 6.00                  | %          | 7/28/2017              |       | $                                                 | 161,778    |     | 160,586         |                | 162,688    |   |
| U.S. Security Associates Holdings, Inc.                                    |       | Business   Equipment and Services   |       | Term   Loan B                                  |       | Loan           |       | 6.00                  | %          | 7/28/2017              |       | $                                                 | 123,747    |     | 123,243         |                | 124,444    |   |
| U.S. Security Associates Holdings, Inc.                                    |       | Business   Equipment and Services   |       | Term   Loan B                                  |       | Loan           |       | 6.00                  | %          | 7/28/2017              |       | $                                                 | 826,540    |     | 820,452         |                | 831,193    |   |
| U.S. Silica Company                                                             |       | Nonferrous   Metals/Minerals        |       | Loan                                           |       | Loan           |       | 4.75                  | %          | 6/8/2017               |       | $                                                 | 1,970,000  |     | 1,962,974       |                | 1,974,925  |   |
| U.S. Xpress Enterprises, Inc.                                              |       | Industrial   Equipment              |       | Extended   Term Loan                           |       | Loan           |       | 9.00                  | %          | 11/13/2016             |       | $                                                 | 2,913,628  |     | 2,858,339       |                | 2,906,344  |   |
| United Surgical Partners International, Inc.                               |       | Healthcare                          |       | New   Tranche B Term Loan                      |       | Loan           |       | 6.00                  | %          | 4/3/2019               |       | $                                                 | 2,481,281  |     | 2,448,808       |                | 2,486,715  |   |
| Univar Inc.                                                                     |       | Chemicals/Plastics                  |       | Term   B Loan                                  |       | Loan           |       | 5.00                  | %          | 6/30/2017              |       | $                                                 | 3,924,924  |     | 3,924,007       |                | 3,902,670  |   |
| Univision Communications Inc.                                                   |       | Telecommunications                  |       | 2013   Converted Extended First-Lien Term Loan |       | Loan           |       | 4.75                  | %          | 3/1/2020               |       | $                                                 | 3,000,000  |     | 2,981,257       |                | 3,000,870  |   |
| UPC Financing Partnership                                                       |       | Broadcast   Radio and Television    |       | Facility   AF                                  |       | Loan           |       | 4.00                  | %          | 1/31/2021              |       | $                                                 | 1,000,000  |     | 970,954         |                | 1,010,000  |   |
| Valeant Pharmaceuticals International, Inc.                                |       | Drugs                               |       | Series D-1   Tranche B Term Loan          |       | Loan           |       | 3.50                  | %          | 2/13/2019              |       | $                                                 | 2,985,000  |     | 2,972,608       |                | 3,006,462  |   |
| Vantiv, LLC (fka Fifth Third Processing Solutions,   LLC)                       |       | Financial   Intermediaries          |       | Tranche   B Term Loan                          |       | Loan           |       | 3.75                  | %          | 3/27/2019              |       | $                                                 | 1,063,393  |     | 1,058,765       |                | 1,065,520  |   |
| Verint Systems Inc.                                                             |       | Business   Equipment and Services   |       | Term   Loan 2011                               |       | Loan           |       | 4.50                  | %          | 10/27/2017             |       | $                                                 | 1,920,000  |     | 1,913,087       |                | 1,921,920  |   |
| Vertafore, Inc.                                                            |       | Business   Equipment and Services   |       | Term   Loan (First Lien)                       |       | Loan           |       | 5.25                  | %          | 7/29/2016              |       | $                                                 | 2,984,781  |     | 2,984,781       |                | 3,018,360  |   |
| Visant Corporation (fka Jostens)                                                |       | Leisure   Goods/Activities/Movies   |       | Tranche   B Term Loan (2011)                   |       | Loan           |       | 5.25                  | %          | 12/22/2016             |       | $                                                 | 3,696,942  |     | 3,696,942       |                | 3,518,269  |   |
| Washington Inventory Service                                                    |       | Business   Equipment and Services   |       | U.S.   Term Loan (First Lien)                  |       | Loan           |       | 5.75                  | %          | 12/20/2018             |       | $                                                 | 2,000,000  |     | 2,029,513       |                | 2,007,500  |   |
| Weight Watchers International, Inc.                                        |       | Food   Products                     |       | Term   D Loan                                  |       | Loan           |       | 2.56                  | %          | 6/30/2016              |       | $                                                 | 2,700,529  |     | 2,667,383       |                | 2,701,879  |   |
| Wendy’s International, Inc                                            |       | Food   Services                     |       | Term   Loan                                    |       | Loan           |       | 4.75                  | %          | 5/15/2019              |       | $                                                 | 997,500    |     | 988,532         |                | 1,006,098  |   |
| West Corporation                                                                |       | Telecommunications                  |       | Term   B-8 Loan                                |       | Loan           |       | 4.25                  | %          | 6/30/2018              |       | $                                                 | 2,971,535  |     | 3,023,298       |                | 2,978,964  |   |
| Wolverine World Wide, Inc.                                                 |       | Clothing/Textiles                   |       | Tranche   B Term Loan                          |       | Loan           |       | 4.00                  | %          | 10/9/2019              |       | $                                                 | 854,821    |     | 846,633         |                | 861,233    |   |
| Yankee Candle Company, Inc., The                                           |       | Retailers   (Except Food and Drugs) |       | Initial   Term Loan                            |       | Loan           |       | 5.25                  | %          | 4/2/2019               |       | $                                                 | 2,256,466  |     | 2,236,833       |                | 2,268,877  |   |
| BABSN 2007-1A                                                                   |       | Financial   Intermediaries          |       | Floating   - 01/2021 - D1 - 05617AAA9          |       | ABS            |       | 3.55                  | %          | 1/18/2021              |       | $                                                 | 1,500,000  |     | 1,258,888       |                | 1,050,000  |   |
| GALE 2007-3A                                                                    |       | Financial   Intermediaries          |       | Floating   - 04/2021 - E - 363205AA3           |       | ABS            |       | 3.80                  | %          | 4/19/2021              |       | $                                                 | 4,000,000  |     | 3,386,571       |                | 2,800,000  |   |
| KATO 2006-9A                                                                    |       | Financial   Intermediaries          |       | Floating   - 01/2019 - B2L - 486010AA9         |       | ABS            |       | 3.80                  | %          | 1/25/2019              |       | $                                                 | 5,000,000  |     | 4,339,337       |                | 3,500,000  |   |
| STCLO 2007-6A                                                                   |       | Financial   Intermediaries          |       | Floating   - 04/2021 - D- 86176YAG7            |       | ABS            |       | 3.90                  | %          | 4/17/2021              |       | $                                                 | 5,000,000  |     | 4,054,244       |                | 3,500,000  |   |
|                                                                            |       |                                |       |                                           |       |           |       |                  |       |                   | ** ** | ** **                                        | ** ** | **$**    | **379,843,341** | ** **          | **$**      | **374,419,979** | ** ** |

 

S-5

----

 

**GSC Investment Corp.**

 

**Schedule of Investments**

 

**February 29, 2012**

 
| **Issuer_Name**                                                                                             | ** ** | **Industry**                                        | ** ** | **Asset_Name**                                 | ** ** | **Asset_Type**                        | ** ** | **Current Rate** | ** ** | **Maturity Date** | ** ** | **Principal / Number of   Shares** | ** ** | **Cost** | ** **      | **Fair Value** | ** ** |
|-------------------------------------------------------------------------------------------------------------|------------|-----------------------------------------------------|------------|------------------------------------------------|------------|---------------------------------------|------------|-----------------------|------------|------------------------|------------|---------------------------------------------------|------------|----------|-----------------|---------------------|------------|
| Elyria Foundry Company, LLC                                                                                 |       | Industrial   Equipment                              |       | Warrants                                       |       | Equity                                |       | 0.00                  | %          |                   |       | 2,000                                             |       | $        | —          |                | $          | — |   |
| Network Communications, Inc.                                                                           |       | Business   Equipment and Services                   |       | Common                                         |       | Equity                                |       | 0.00                  | %          |                   |       | 169,143                                           |       | 169,143  |            | 659,658             |       |
| OLD AII, Inc (fka Aleris International Inc.)                                                           |       | Conglomerate                                        |       | Common                                         |       | Equity                                |       | 0.00                  | %          |                   |       | 2,624                                             |       | 224,656  |            | 128,576             |       |
| PATS Aircraft, LLC                                                                                          |       | Aerospace   and Defense                             |       | Common                                         |       | Equity                                |       | 0.00                  | %          |                   |       | 51,813                                            |       | 282,326  |            | 282,329             |       |
| SuperMedia Inc. (fka Idearc Inc.)                                                                           |       | Publishing                                          |       | Common   Stock                                 |       | Equity                                |       | 0.00                  | %          |                   |       | 10,821                                            |       | 28,784   |            | 5,411               |       |
| Academy, LTD.                                                                                          |       | Retailers   (Except Food and Drugs)                 |       | Initial   Term Loan                            |       | Loan                                  |       | 6.00                  | %          | 8/3/2018               |       | $                                                 | 2,000,000  |     | 1,986,129       |                | 1,999,540  |   |
| Acosta, Inc.                                                                                           |       | Business   Equipment and Services                   |       | Term   B Loan                                  |       | Loan                                  |       | 4.75                  | %          | 3/1/2018               |       | $                                                 | 4,243,447  |     | 4,177,485       |                | 4,210,561  |   |
| Advanced Lighting Technologies, Inc.                                                                   |       | Electronics/Electric                                |       | Deferred   Draw Term Loan (First Lien)         |       | Loan                                  |       | 3.00                  | %          | 6/1/2013               |       | $                                                 | 251,309    |     | 241,553         |                | 240,628    |   |
| Advanced Lighting Technologies, Inc.                                                                   |       | Electronics/Electric                                |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 3.00                  | %          | 6/1/2013               |       | $                                                 | 4,582,873  |     | 4,478,009       |                | 4,388,101  |   |
| Aeroflex Incorporated                                                                                       |       | Aerospace   and Defense                             |       | Tranche   B Term Loan                          |       | Loan                                  |       | 4.25                  | %          | 5/9/2018               |       | $                                                 | 3,814,483  |     | 3,797,573       |                | 3,715,459  |   |
| Aerostructures Acquisition LLC                                                                              |       | Aerospace   and Defense                             |       | Term   Loan                                    |       | Loan                                  |       | 7.25                  | %          | 3/1/2013               |       | $                                                 | 554,722    |     | 543,949         |                | 542,240    |   |
| Alere Inc. (fka IM US Holdings, LLC)                                                                        |       | Healthcare                                          |       | Incremental   B-1 Term Loan                    |       | Loan                                  |       | 4.50                  | %          | 6/30/2017              |       | $                                                 | 2,000,000  |     | 1,951,950       |                | 1,992,500  |   |
| Aptalis Pharma, Inc. (fka Axcan Intermediate   Holdings Inc.)                                          |       | Drugs                                               |       | Term   Loan                                    |       | Loan                                  |       | 5.50                  | %          | 2/10/2017              |       | $                                                 | 1,980,000  |     | 1,971,816       |                | 1,963,170  |   |
| Ashland Inc.                                                                                                |       | Chemicals/Plastics                                  |       | Term   B Loan                                  |       | Loan                                  |       | 3.75                  | %          | 8/23/2018              |       | $                                                 | 996,964    |     | 994,651         |                | 1,000,872  |   |
| Asurion, LLC (fka Asurion Corporation)                                                                      |       | Insurance                                           |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 5.50                  | %          | 5/24/2018              |       | $                                                 | 5,659,091  |     | 5,608,344       |                | 5,635,040  |   |
| Aurora Diagnostics, LLC                                                                                     |       | Conglomerate                                        |       | Tranche   B Term Loan                          |       | Loan                                  |       | 6.25                  | %          | 5/26/2016              |       | $                                                 | 508,611    |     | 508,611         |                | 499,288    |   |
| Autotrader.com, Inc.                                                                                   |       | Automotive                                          |       | Tranche   B-1 Term Loan                        |       | Loan                                  |       | 4.00                  | %          | 12/15/2016             |       | $                                                 | 3,869,758  |     | 3,869,758       |                | 3,868,790  |   |
| Avantor Performance Materials Holdings, Inc.                                                           |       | Chemicals/Plastics                                  |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 6/24/2017              |       | $                                                 | 4,975,000  |     | 4,952,760       |                | 4,875,500  |   |
| AZ Chem US Inc.                                                                                             |       | Chemicals/Plastics                                  |       | Term   Loan                                    |       | Loan                                  |       | 7.25                  | %          | 12/22/2017             |       | $                                                 | 2,000,000  |     | 1,941,354       |                | 2,014,720  |   |
| BakerCorp International, Inc. (f/k/a B-Corp   Holdings, Inc.)                                     |       | Equipment   Leasing                                 |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 6/1/2018               |       | $                                                 | 497,500    |     | 495,278         |                | 496,754    |   |
| Bass Pro Group, LLC                                                                                         |       | Retailers   (Except Food and Drugs)                 |       | Term   Loan                                    |       | Loan                                  |       | 5.25                  | %          | 6/13/2017              |       | $                                                 | 2,985,000  |     | 2,958,694       |                | 2,977,000  |   |
| BJ’s Wholesale Club, Inc.                                                                         |       | Retailers   (Except Food and Drugs)                 |       | Initial   Loan (First Lien) Retired 03/14/2012 |       | Loan                                  |       | 7.00                  | %          | 9/28/2018              |       | $                                                 | 1,995,000  |     | 1,901,076       |                | 2,013,015  |   |
| C.H.I. Overhead Doors, Inc. (CHI)                                                                      |       | Home   Furnishings                                  |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 7.25                  | %          | 8/17/2017              |       | $                                                 | 3,079,513  |     | 3,022,863       |                | 3,035,876  |   |
| Capstone Logistics, LLC                                                                                     |       | Business   Equipment and Services                   |       | Term   Note A                                  |       | Loan                                  |       | 7.50                  | %          | 9/16/2016              |       | $                                                 | 2,991,353  |     | 2,948,863       |                | 2,946,483  |   |
| Capsugel Holdings US, Inc.                                                                             |       | Drugs                                               |       | Initial   Term Loan                            |       | Loan                                  |       | 5.25                  | %          | 8/1/2018               |       | $                                                 | 3,990,000  |     | 3,979,634       |                | 4,012,783  |   |
| Celanese US Holdings LLC                                                                                    |       | Chemicals/Plastics                                  |       | Dollar   Term C Loan (Extended)                |       | Loan                                  |       | 3.33                  | %          | 10/31/2016             |       | $                                                 | 3,464,824  |     | 3,506,288       |                | 3,478,198  |   |
| Cenveo Corporation                                                                                          |       | Publishing                                          |       | Term   B Facility                              |       | Loan                                  |       | 6.25                  | %          | 12/21/2016             |       | $                                                 | 2,737,105  |     | 2,715,168       |                | 2,719,150  |   |
| Charter Communications Operating, LLC                                                                       |       | Cable   and Satellite Television                    |       | Term   C Loan                                  |       | Loan                                  |       | 3.83                  | %          | 9/6/2016               |       | $                                                 | 3,979,695  |     | 3,972,997       |                | 3,949,291  |   |
| CHS/ Community Health Systems, Inc.                                                                    |       | Healthcare                                          |       | Extended   Term Loan                           |       | Loan                                  |       | 4.08                  | %          | 1/25/2017              |       | $                                                 | 4,170,088  |     | 4,042,207       |                | 4,120,589  |   |
| Cinedigm Digital Funding I, LLC                                                                             |       | Business   Equipment and Services                   |       | Term   Loan                                    |       | Loan                                  |       | 5.25                  | %          | 4/29/2016              |       | $                                                 | 1,482,007  |     | 1,471,669       |                | 1,468,121  |   |
| Cinemark USA, Inc.                                                                                     |       | Leisure   Goods/Activities/Movies                   |       | Extended   Term Loan                           |       | Loan                                  |       | 3.63                  | %          | 4/30/2016              |       | $                                                 | 5,587,889  |     | 5,348,623       |                | 5,576,546  |   |
| Consolidated Container Company LLC                                                                          |       | Chemicals/Plastics                                  |       | Loan   (First Lien)                            |       | Loan                                  |       | 2.50                  | %          | 3/28/2014              |       | $                                                 | 5,195,532  |     | 4,906,062       |                | 5,052,655  |   |
| Contec, LLC                                                                                                 |       | Electronics/Electric                                |       | Tranche   B Term Loan                          |       | Loan                                  |       | 0.00                  | %          | 7/28/2014              |       | $                                                 | 2,644,318  |     | 2,613,795       |                | 1,057,727  |   |
| Covanta Energy Corporation                                                                                  |       | Ecological   Services and Equipment                 |       | Funded   Letter of Credit                      |       | Loan                                  |       | 1.98                  | %          | 2/10/2014              |       | $                                                 | 877,007    |     | 860,931         |                | 871,525    |   |
| Covanta Energy Corporation                                                                                  |       | Ecological   Services and Equipment                 |       | Term   Loan                                    |       | Loan                                  |       | 1.79                  | %          | 2/10/2014              |       | $                                                 | 1,698,170  |     | 1,666,874       |                | 1,687,557  |   |
| CPI International Acquisition, Inc. (f/k/a   Catalyst Holdings, Inc.)                             |       | Electronics/Electric                                |       | Term   B Loan                                  |       | Loan                                  |       | 5.00                  | %          | 2/13/2017              |       | $                                                 | 4,950,000  |     | 4,929,526       |                | 4,912,875  |   |
| CRC Health Corporation                                                                                      |       | Healthcare                                          |       | Term   B-2 Loan                                |       | Loan                                  |       | 5.08                  | %          | 11/16/2015             |       | $                                                 | 1,991,877  |     | 1,896,087       |                | 1,782,730  |   |
| Crown Castle Operating Company                                                                              |       | Telecommunications/Cellular                         |       | Tranche   B Term Loan                          |       | Loan                                  |       | 4.00                  | %          | 1/31/2019              |       | $                                                 | 2,000,000  |     | 1,980,071       |                | 1,990,540  |   |
| CSC Holdings, LLC (fka CSC Holdings Inc   (Cablevision))                                                    |       | Cable   and Satellite Television                    |       | Term   A-3 Loan                                |       | Loan                                  |       | 2.24                  | %          | 3/31/2015              |       | $                                                 | 1,360,526  |     | 1,355,021       |                | 1,333,316  |   |
| Culligan International Company                                                                              |       | Conglomerate                                        |       | Dollar   Loan                                  |       | Loan                                  |       | 2.50                  | %          | 11/24/2012             |       | $                                                 | 2,393,216  |     | 2,360,219       |                | 1,714,141  |   |
| DaVita Inc.                                                                                                 |       | Healthcare                                          |       | Tranche   B Term Loan                          |       | Loan                                  |       | 0.00                  | %          | 10/20/2016             |       | $                                                 | 3,989,924  |     | 3,989,924       |                | 3,999,061  |   |
| Del Monte Foods Company                                                                                     |       | Food   Products                                     |       | Initial   Term Loan                            |       | Loan                                  |       | 4.50                  | %          | 3/8/2018               |       | $                                                 | 1,492,500  |     | 1,489,291       |                | 1,464,098  |   |
| Dollar General Corporation                                                                                  |       | Retailers   (Except Food and Drugs)                 |       | Tranche   B-1 Term Loan                        |       | Loan                                  |       | 3.14                  | %          | 7/7/2014               |       | $                                                 | 5,378,602  |     | 5,196,110       |                | 5,382,905  |   |
| DS Waters of America, Inc.                                                                             |       | Beverage   and Tobacco                              |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 0.00                  | %          | 8/29/2017              |       | $                                                 | 3,000,000  |     | 2,446,849       |                | 2,456,712  |   |
| DynCorp International Inc.                                                                                  |       | Aerospace   and Defense                             |       | Term   Loan                                    |       | Loan                                  |       | 6.25                  | %          | 7/7/2016               |       | $                                                 | 732,056    |     | 721,414         |                | 729,538    |   |
| Education Management LLC                                                                                    |       | Leisure   Goods/Activities/Movies                   |       | Tranche   C-2 Term Loan                        |       | Loan                                  |       | 4.63                  | %          | 6/1/2016               |       | $                                                 | 3,967,860  |     | 3,706,684       |                | 3,712,448  |   |
| eInstruction Corporation                                                                                    |       | Electronics/Electric                                |       | Initial   Term Loan                            |       | Loan                                  |       | 6.51                  | %          | 7/2/2013               |       | $                                                 | 3,005,574  |     | 2,923,634       |                | 2,705,017  |   |
| Electrical Components International, Inc.                                                              |       | Electronics/Electric                                |       | Synthetic   Revolving Loan                     |       | Loan                                  |       | 6.75                  | %          | 2/4/2016               |       | $                                                 | 117,647    |     | 116,257         |                | 104,118    |   |
| Electrical Components International, Inc.                                                              |       | Electronics/Electric                                |       | Term   Loan                                    |       | Loan                                  |       | 6.75                  | %          | 2/4/2017               |       | $                                                 | 1,804,706  |     | 1,782,426       |                | 1,597,165  |   |
| Federal-Mogul Corporation                                                                                   |       | Automotive                                          |       | Tranche   B Term Loan                          |       | Loan                                  |       | 2.20                  | %          | 12/29/2014             |       | $                                                 | 2,616,289  |     | 2,475,132       |                | 2,500,204  |   |
| Federal-Mogul Corporation                                                                                   |       | Automotive                                          |       | Tranche   C Term Loan                          |       | Loan                                  |       | 2.19                  | %          | 12/28/2015             |       | $                                                 | 1,334,841  |     | 1,257,114       |                | 1,275,614  |   |
| Fidelity National Information Services, Inc.                                                           |       | Business   Equipment and Services                   |       | Term   B Loan                                  |       | Loan                                  |       | 4.25                  | %          | 7/18/2016              |       | $                                                 | 1,000,000  |     | 990,338         |                | 1,004,450  |   |
| First Data Corporation                                                                                      |       | Financial   Intermediaries                          |       | 2018   Dollar Term Loan                        |       | Loan                                  |       | 4.24                  | %          | 3/23/2018              |       | $                                                 | 2,290,451  |     | 2,202,287       |                | 2,041,845  |   |
| First Data Corporation                                                                                      |       | Financial   Intermediaries                          |       | Non   Extending B-1 Term Loan                  |       | Loan                                  |       | 2.99                  | %          | 9/24/2014              |       | $                                                 | 1,971,336  |     | 1,933,908       |                | 1,890,472  |   |
| First Data Corporation                                                                                      |       | Financial   Intermediaries                          |       | Non   Extending B-2 Term Loan                  |       | Loan                                  |       | 2.99                  | %          | 9/24/2014              |       | $                                                 | 990,052    |     | 971,955         |                | 949,440    |   |
| FleetPride Corporation                                                                                      |       | Business   Equipment and Services                   |       | Term   Loan                                    |       | Loan                                  |       | 6.75                  | %          | 12/6/2017              |       | $                                                 | 1,000,000  |     | 980,767         |                | 995,000    |   |
| FR Acquisitions Holding Corporation (Luxembourg),   S.A.R.L.                                                |       | Aerospace   and Defense                             |       | Facility   B (Dollar)                          |       | Loan                                  |       | 5.08                  | %          | 12/18/2015             |       | $                                                 | 1,295,106  |     | 1,291,993       |                | 1,221,454  |   |
| FR Acquisitions Holding Corporation (Luxembourg),   S.A.R.L.                                                |       | Aerospace   and Defense                             |       | Facility   C (Dollar)                          |       | Loan                                  |       | 5.58                  | %          | 12/20/2016             |       | $                                                 | 1,295,106  |     | 1,291,613       |                | 1,227,929  |   |
| Freescale Semiconductor, Inc.                                                                          |       | Electronics/Electric                                |       | Tranche   B-1 Term Loan                        |       | Loan                                  |       | 4.52                  | %          | 12/1/2016              |       | $                                                 | 1,534,348  |     | 1,468,484       |                | 1,496,711  |   |
| Fresenius Medical Care AG & Co.,   KGaA/Fresenius Medical Care Holdings, Inc.                 |       | Healthcare                                          |       | Tranche   B Term Loan                          |       | Loan                                  |       | 1.95                  | %          | 3/31/2013              |       | $                                                 | 4,224,718  |     | 4,206,870       |                | 4,209,889  |   |
| FTD Group, Inc.                                                                                        |       | Retailers   (Except Food and Drugs)                 |       | Initial   Term Loan                            |       | Loan                                  |       | 4.75                  | %          | 6/11/2018              |       | $                                                 | 3,982,494  |     | 3,943,002       |                | 3,902,844  |   |
| Generac Power System, Inc.                                                                             |       | Business   Equipment and Services                   |       | Tranche   B Term Loan                          |       | Loan                                  |       | 3.75                  | %          | 2/9/2019               |       | $                                                 | 500,000    |     | 497,509         |                | 497,855    |   |
| General Nutrition Centers, Inc.                                                                        |       | Retailers   (Except Food and Drugs)                 |       | Tranche   B Term Loan                          |       | Loan                                  |       | 4.25                  | %          | 3/2/2018               |       | $                                                 | 3,750,000  |     | 3,621,437       |                | 3,738,900  |   |
| Goodyear Tire & Rubber Company, The                                                                |       | Chemicals/Plastics                                  |       | Loan   (Second Lien)                           |       | Loan                                  |       | 1.75                  | %          | 4/30/2014              |       | $                                                 | 5,700,000  |     | 5,339,456       |                | 5,607,375  |   |
| Graphic Packaging International, Inc.                                                                  |       | Forest   Products                                   |       | Term   B Loan Retired 03/16/2012               |       | Loan                                  |       | 2.34                  | %          | 5/16/2014              |       | $                                                 | 3,045,465  |     | 2,910,836       |                | 3,041,993  |   |
| Grifols Inc.                                                                                                |       | Drugs                                               |       | New   U.S. Tranche B Term Loan                 |       | Loan                                  |       | 0.00                  | %          | 6/1/2017               |       | $                                                 | 500,000    |     | 497,500         |                | 499,530    |   |
| Grosvenor Capital Management Holdings, LLLP                                                                 |       | Brokers/Dealers/Investment   Houses                 |       | Tranche   C Term Loan                          |       | Loan                                  |       | 4.31                  | %          | 12/5/2016              |       | $                                                 | 3,430,885  |     | 3,321,594       |                | 3,276,495  |   |
| Hanger Orthopedic Group, Inc.                                                                          |       | Healthcare                                          |       | Term   C Loan                                  |       | Loan                                  |       | 4.01                  | %          | 12/1/2016              |       | $                                                 | 3,960,000  |     | 3,972,323       |                | 3,905,550  |   |
| HCA Inc.                                                                                                    |       | Healthcare                                          |       | Tranche   B-3 Term Loan                        |       | Loan                                  |       | 3.49                  | %          | 5/1/2018               |       | $                                                 | 5,734,690  |     | 5,383,348       |                | 5,638,634  |   |
| Health Management Associates, Inc.                                                                     |       | Healthcare                                          |       | Term   B Loan                                  |       | Loan                                  |       | 4.50                  | %          | 11/16/2018             |       | $                                                 | 3,000,000  |     | 2,970,763       |                | 2,981,640  |   |
| Hilsinger Company, The                                                                                      |       | Personal &   Non Durable Consumer Products |       | Term   Loan                                    |       | Loan                                  |       | 5.26                  | %          | 12/31/2013             |       | $                                                 | 1,218,491  |     | 1,203,274       |                | 1,072,272  |   |
| Hunter Defense Technologies, Inc.                                                                      |       | Aerospace   and Defense                             |       | Term   Loan                                    |       | Loan                                  |       | 3.83                  | %          | 8/22/2014              |       | $                                                 | 4,459,263  |     | 4,388,148       |                | 3,879,559  |   |
| Huntsman International LLC                                                                                  |       | Chemicals/Plastics                                  |       | Extended   Term B Loan                         |       | Loan                                  |       | 0.00                  | %          | 4/19/2017              |       | $                                                 | 4,000,000  |     | 3,955,000       |                | 3,923,200  |   |
| Hygenic Corporation, The                                                                                    |       | Personal &   Non Durable Consumer Products |       | Term   Loan                                    |       | Loan                                  |       | 2.76                  | %          | 4/30/2013              |       | $                                                 | 1,563,048  |     | 1,536,828       |                | 1,438,004  |   |
| Infor Enterprise Solutions Holdings, Inc.   (fka Magellan Holdings, Inc.)(Infor Global Solutions) |       | Electronics/Electric                                |       | Extended   Delayed Draw Term Loan (First Lien) |       | Loan                                  |       | 6.00                  | %          | 7/28/2015              |       | $                                                 | 1,314,907  |     | 1,229,818       |                | 1,276,828  |   |
| Infor Enterprise Solutions Holdings, Inc.   (fka Magellan Holdings, Inc.)(Infor Global Solutions) |       | Electronics/Electric                                |       | Extended   Initial U.S. Term Loan (First Lien) |       | Loan                                  |       | 6.00                  | %          | 7/28/2015              |       | $                                                 | 2,520,239  |     | 2,356,915       |                | 2,447,253  |   |
| Inventiv Health, Inc. (fka Ventive   Health, Inc)                                                 |       | Conglomerate                                        |       | Consolidated   Term Loan                       |       | Loan                                  |       | 6.50                  | %          | 8/4/2016               |       | $                                                 | 494,587    |     | 494,587         |                | 475,422    |   |
| J. Crew Group, Inc.                                                                                    |       | Retailers   (Except Food and Drugs)                 |       | Loan                                           |       | Loan                                  |       | 4.75                  | %          | 3/7/2018               |       | $                                                 | 992,500    |     | 992,500         |                | 970,963    |   |
| Kalispel Tribal Economic Authority                                                                          |       | Lodging   and Casinos                               |       | Term   Loan                                    |       | Loan                                  |       | 7.50                  | %          | 2/25/2017              |       | $                                                 | 3,859,091  |     | 3,794,849       |                | 3,627,546  |   |
| Key Safety Systems, Inc.                                                                               |       | Automotive                                          |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 2.59                  | %          | 3/8/2014               |       | $                                                 | 3,821,774  |     | 3,604,295       |                | 3,667,718  |   |
| Kinetic Concepts, Inc.                                                                                 |       | Healthcare                                          |       | Dollar   Term B-1 Loan                         |       | Loan                                  |       | 7.00                  | %          | 5/4/2018               |       | $                                                 | 500,000    |     | 483,349         |                | 508,125    |   |
| Leslie’s Poolmart, Inc.                                                                           |       | Retailers   (Except Food and Drugs)                 |       | Tranche   B Term Loan                          |       | Loan                                  |       | 4.50                  | %          | 11/21/2016             |       | $                                                 | 3,960,000  |     | 3,965,615       |                | 3,920,400  |   |
| Metal Services, LLC                                                                                         |       | Nonferrous   Metals/Minerals                        |       | Delayed   Draw Term Loan                       |       | Loan                                  |       | 9.75                  | %          | 9/29/2017              |       | $                                                 | 132,353    |     | 129,737         |                | 132,022    |   |
| Metal Services, LLC                                                                                         |       | Nonferrous   Metals/Minerals                        |       | U.S.   Term Loan                               |       | Loan                                  |       | 9.75                  | %          | 9/29/2017              |       | $                                                 | 1,367,647  |     | 1,340,612       |                | 1,364,228  |   |
| Microsemi Corporation                                                                                       |       | Electronics/Electric                                |       | Term   Loan                                    |       | Loan                                  |       | 0.00                  | %          | 2/2/2018               |       | $                                                 | 3,000,000  |     | 2,992,500       |                | 2,997,750  |   |
| National CineMedia, LLC                                                                                     |       | Leisure   Goods/Activities/Movies                   |       | Term   Loan                                    |       | Loan                                  |       | 2.05                  | %          | 2/13/2015              |       | $                                                 | 2,655,172  |     | 2,572,741       |                | 2,608,707  |   |
| Nielsen Finance LLC                                                                                         |       | Business   Equipment and Services                   |       | Class A   Dollar Term Loan                |       | Loan                                  |       | 2.26                  | %          | 8/9/2013               |       | $                                                 | 720,738    |     | 710,645         |                | 717,134    |   |
| Novelis, Inc.                                                                                          |       | Conglomerate                                        |       | Term   B-2 Loan                                |       | Loan                                  |       | 4.00                  | %          | 3/10/2017              |       | $                                                 | 997,500    |     | 973,592         |                | 993,141    |   |
| Novelis, Inc.                                                                                          |       | Conglomerate                                        |       | Term   Loan                                    |       | Loan                                  |       | 4.00                  | %          | 3/10/2017              |       | $                                                 | 3,960,000  |     | 3,993,151       |                | 3,939,487  |   |
| Novell, Inc. (fka Attachmate Corporation,   NetIQ Corporation)                                         |       | Conglomerate                                        |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 6.50                  | %          | 4/27/2017              |       | $                                                 | 4,937,500  |     | 4,913,011       |                | 4,873,313  |   |
| NPC International, Inc.                                                                                |       | Food   Services                                     |       | Term   Loan                                    |       | Loan                                  |       | 6.75                  | %          | 12/28/2018             |       | $                                                 | 500,000    |     | 490,246         |                | 502,970    |   |
| NRG Energy, Inc.                                                                                       |       | Utilities                                           |       | Term   Loan                                    |       | Loan                                  |       | 4.00                  | %          | 7/1/2018               |       | $                                                 | 3,980,000  |     | 3,951,892       |                | 3,961,334  |   |
| NuSil Technology LLC.                                                                                       |       | Chemicals/Plastics                                  |       | Term   Loan                                    |       | Loan                                  |       | 5.25                  | %          | 4/7/2017               |       | $                                                 | 905,085    |     | 905,085         |                | 902,071    |   |
| Onex Carestream Finance LP                                                                                  |       | Healthcare                                          |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 2/25/2017              |       | $                                                 | 4,961,770  |     | 4,941,092       |                | 4,707,479  |   |
| OpenLink International, Inc.                                                                           |       | Business   Equipment and Services                   |       | Initial   Term Loan                            |       | Loan                                  |       | 7.75                  | %          | 10/30/2017             |       | $                                                 | 1,000,000  |     | 981,105         |                | 1,000,000  |   |
| PATS Aircraft, LLC                                                                                          |       | Aerospace   and Defense                             |       | Term   Loan                                    |       | Loan                                  |       | 8.50                  | %          | 10/6/2016              |       | $                                                 | 431,472    |     | 248,964         |                | 388,325    |   |
| Pelican Products, Inc.                                                                                 |       | Business   Equipment and Services                   |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 3/7/2017               |       | $                                                 | 2,673,704  |     | 2,673,704       |                | 2,653,651  |   |
| Penn National Gaming, Inc.                                                                             |       | Lodging   and Casinos                               |       | Term   A Facility                              |       | Loan                                  |       | 1.79                  | %          | 7/14/2016              |       | $                                                 | 2,925,000  |     | 2,847,453       |                | 2,837,250  |   |
| Penn National Gaming, Inc.                                                                             |       | Lodging   and Casinos                               |       | Term   B Facility                              |       | Loan                                  |       | 3.75                  | %          | 7/16/2018              |       | $                                                 | 995,000    |     | 992,736         |                | 996,930    |   |
| PetCo Animal Supplies, Inc.                                                                            |       | Retailers   (Except Food and Drugs)                 |       | New   Loan                                     |       | Loan                                  |       | 0.00                  | %          | 11/24/2017             |       | $                                                 | 1,500,000  |     | 1,498,125       |                | 1,493,115  |   |
| Pharmaceutical Product Development, Inc.   (Jaguar Holdings, LLC)                                      |       | Conglomerate                                        |       | Term   Loan                                    |       | Loan                                  |       | 6.25                  | %          | 12/5/2018              |       | $                                                 | 2,000,000  |     | 1,970,941       |                | 2,017,860  |   |
| Pharmaceutical Research Associates Group B.V.                                                               |       | Drugs                                               |       | Dutch   Dollar Term Loan                       |       | Loan                                  |       | 3.81                  | %          | 12/15/2014             |       | $                                                 | 799,151    |     | 753,650         |                | 775,176    |   |
| Physician Oncology Services, LP                                                                             |       | Healthcare                                          |       | Delayed   Draw Term Loan                       |       | Loan                                  |       | 6.25                  | %          | 1/31/2017              |       | $                                                 | 51,020     |     | 50,596          |                | 49,235     |   |
| Physician Oncology Services, LP                                                                             |       | Healthcare                                          |       | Effective   Date Term Loan                     |       | Loan                                  |       | 6.25                  | %          | 1/31/2017              |       | $                                                 | 419,961    |     | 416,468         |                | 405,262    |   |
| Pinnacle Foods Finance LLC                                                                                  |       | Food   Products                                     |       | Term   Loan                                    |       | Loan                                  |       | 2.84                  | %          | 4/2/2014               |       | $                                                 | 4,796,078  |     | 4,694,850       |                | 4,766,054  |   |
| Polyone Corporation                                                                                         |       | Chemicals/Plastics                                  |       | Loan                                           |       | Loan                                  |       | 5.00                  | %          | 12/20/2017             |       | $                                                 | 500,000    |     | 495,160         |                | 500,730    |   |
| PRA International                                                                                           |       | Drugs                                               |       | U.S.   Term Loan                               |       | Loan                                  |       | 3.81                  | %          | 12/15/2014             |       | $                                                 | 2,512,401  |     | 2,439,376       |                | 2,437,029  |   |
| Preferred Proppants, LLC                                                                                    |       | Business   Equipment and Services                   |       | Term   B Loan                                  |       | Loan                                  |       | 7.50                  | %          | 12/15/2016             |       | $                                                 | 2,000,000  |     | 1,960,652       |                | 1,945,000  |   |
| Pre-Paid Legal Services, Inc.                                                                          |       | Conglomerate                                        |       | Tranche   A Term Loan                          |       | Loan                                  |       | 7.50                  | %          | 12/31/2016             |       | $                                                 | 2,695,122  |     | 2,659,371       |                | 2,607,530  |   |
| Prestige Brands, Inc.                                                                                  |       | Drugs                                               |       | Term   B Loan                                  |       | Loan                                  |       | 5.25                  | %          | 1/31/2019              |       | $                                                 | 1,000,000  |     | 985,047         |                | 1,003,060  |   |
| Pro Mach, Inc.                                                                                         |       | Industrial   Equipment                              |       | Term   Loan                                    |       | Loan                                  |       | 6.25                  | %          | 7/6/2017               |       | $                                                 | 1,990,000  |     | 1,972,106       |                | 1,930,300  |   |
| Quintiles Transnational Corp.                                                                               |       | Conglomerate                                        |       | Term   B Loan                                  |       | Loan                                  |       | 5.00                  | %          | 6/8/2018               |       | $                                                 | 3,980,000  |     | 3,944,328       |                | 3,953,692  |   |
| RailAmerica, Inc.                                                                                      |       | Industrial   Equipment                              |       | Initial   Loan                                 |       | Loan                                  |       | 0.00                  | %          | 3/1/2019               |       | $                                                 | 500,000    |     | 497,500         |                | 497,500    |   |
| Ranpak Corp.                                                                                                |       | Food   Products                                     |       | USD   Term Loan (First Lien)                   |       | Loan                                  |       | 4.75                  | %          | 4/20/2017              |       | $                                                 | 2,744,392  |     | 2,732,572       |                | 2,716,948  |   |
| Rexnord LLC/RBS Global, Inc.                                                                           |       | Industrial   Equipment                              |       | Tranche   B-2 Term B Loan Retired 03/15/2012   |       | Loan                                  |       | 2.50                  | %          | 7/19/2013              |       | $                                                 | 1,607,683  |     | 1,566,832       |                | 1,590,609  |   |
| Reynolds Group Holdings Inc.                                                                                |       | Industrial   Equipment                              |       | Tranche   B Term Loan                          |       | Loan                                  |       | 6.50                  | %          | 2/9/2018               |       | $                                                 | 1,963,643  |     | 1,963,643       |                | 1,977,880  |   |
| Reynolds Group Holdings Inc.                                                                                |       | Industrial   Equipment                              |       | Tranche   C Term Loan                          |       | Loan                                  |       | 6.50                  | %          | 8/9/2018               |       | $                                                 | 1,973,590  |     | 1,955,434       |                | 1,992,398  |   |
| Rocket Software, Inc.                                                                                  |       | Business   Equipment and Services                   |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 7.00                  | %          | 2/8/2018               |       | $                                                 | 2,000,000  |     | 1,960,110       |                | 1,997,500  |   |
| Roundy’s Supermarkets, Inc.                                                                       |       | Food/Drug   Retailers                               |       | Tranche   B Term Loan                          |       | Loan                                  |       | 5.75                  | %          | 2/13/2019              |       | $                                                 | 1,000,000  |     | 985,035         |                | 1,000,780  |   |
| Royal Adhesives and Sealants, LLC                                                                           |       | Chemicals/Plastics                                  |       | Term   A Loan                                  |       | Loan                                  |       | 7.25                  | %          | 11/29/2015             |       | $                                                 | 4,785,882  |     | 4,729,636       |                | 4,715,862  |   |
| RPI Finance Trust                                                                                           |       | Drugs                                               |       | 6.75   Year Term Loan                          |       | Loan                                  |       | 4.00                  | %          | 5/9/2018               |       | $                                                 | 5,472,500  |     | 5,447,342       |                | 5,462,868  |   |
| Safety-Kleen Systems, Inc.                                                                             |       | Business   Equipment and Services                   |       | Term   Loan B                                  |       | Loan                                  |       | 5.00                  | %          | 2/21/2017              |       | $                                                 | 250,000    |     | 247,501         |                | 250,000    |   |
| Savers, Inc.                                                                                           |       | Food/Drug   Retailers                               |       | New   Term Loan                                |       | Loan                                  |       | 4.25                  | %          | 3/4/2017               |       | $                                                 | 464,891    |     | 464,891         |                | 464,426    |   |
| Scientific Games International Inc.                                                                         |       | Electronics/Electric                                |       | Tranche   B-1 Term Loan                        |       | Loan                                  |       | 0.00                  | %          | 6/30/2015              |       | $                                                 | 2,000,000  |     | 1,985,000       |                | 1,985,000  |   |
| Scitor Corporation                                                                                          |       | Business   Equipment and Services                   |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 2/15/2017              |       | $                                                 | 476,818    |     | 474,846         |                | 458,937    |   |
| Scotsman Industries, Inc.                                                                              |       | Industrial   Equipment                              |       | Term   Loan                                    |       | Loan                                  |       | 5.75                  | %          | 4/30/2016              |       | $                                                 | 1,873,081  |     | 1,867,006       |                | 1,863,716  |   |
| Seminole Tribe of Florida                                                                                   |       | Lodging   and Casinos                               |       | Term   B-1 Delay Draw Loan                     |       | Loan                                  |       | 2.13                  | %          | 3/5/2014               |       | $                                                 | 616,208    |     | 605,662         |                | 607,476    |   |
| Seminole Tribe of Florida                                                                                   |       | Lodging   and Casinos                               |       | Term   B-2 Delay Draw Loan                     |       | Loan                                  |       | 2.13                  | %          | 3/5/2014               |       | $                                                 | 2,230,224  |     | 2,192,054       |                | 2,198,622  |   |
| Seminole Tribe of Florida                                                                                   |       | Lodging   and Casinos                               |       | Term   B-3 Delay Draw Loan                     |       | Loan                                  |       | 2.13                  | %          | 3/5/2014               |       | $                                                 | 1,108,287  |     | 1,082,950       |                | 1,092,583  |   |
| Sensata Technology BV/Sensata Technology Finance   Company, LLC                                             |       | Electronics/Electric                                |       | Term   Loan                                    |       | Loan                                  |       | 0.00                  | %          | 5/12/2018              |       | $                                                 | 3,000,000  |     | 3,000,000       |                | 2,994,150  |   |
| Sensus USA Inc. (fka Sensus Metering Systems)                                                               |       | Utilities                                           |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 4.75                  | %          | 5/9/2017               |       | $                                                 | 1,985,000  |     | 1,976,380       |                | 1,981,030  |   |
| SI Organization, Inc., The                                                                             |       | Aerospace   and Defense                             |       | New   Tranche B Term Loan                      |       | Loan                                  |       | 4.50                  | %          | 11/22/2016             |       | $                                                 | 3,960,000  |     | 3,928,772       |                | 3,794,987  |   |
| Sophia, L.P.                                                                                                |       | Electronics/Electric                                |       | Initial   Term Loan                            |       | Loan                                  |       | 6.25                  | %          | 7/19/2018              |       | $                                                 | 1,000,000  |     | 985,259         |                | 1,010,630  |   |
| SRA International Inc.                                                                                      |       | Aerospace   and Defense                             |       | Term   Loan                                    |       | Loan                                  |       | 6.52                  | %          | 7/20/2018              |       | $                                                 | 3,725,714  |     | 3,582,427       |                | 3,665,171  |   |
| SRAM, LLC                                                                                                   |       | Industrial   Equipment                              |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 4.76                  | %          | 6/7/2018               |       | $                                                 | 3,886,998  |     | 3,850,268       |                | 3,882,139  |   |
| SunCoke Energy, Inc.                                                                                   |       | Nonferrous   Metals/Minerals                        |       | Tranche   B Term Loan                          |       | Loan                                  |       | 4.00                  | %          | 7/26/2018              |       | $                                                 | 4,484,984  |     | 4,452,979       |                | 4,473,771  |   |
| SunGard Data Systems Inc (Solar Capital Corp.)                                                              |       | Conglomerate                                        |       | Incremental   Term B Loan                      |       | Loan                                  |       | 3.74                  | %          | 2/28/2014              |       | $                                                 | 356,996    |     | 356,996         |                | 355,911    |   |
| SunGard Data Systems Inc (Solar Capital Corp.)                                                              |       | Conglomerate                                        |       | Tranche   A U.S. Term Loan                     |       | Loan                                  |       | 2.00                  | %          | 2/28/2014              |       | $                                                 | 140,691    |     | 138,222         |                | 140,363    |   |
| SunGard Data Systems Inc (Solar Capital Corp.)                                                              |       | Conglomerate                                        |       | Tranche   B U.S. Term Loan                     |       | Loan                                  |       | 4.06                  | %          | 2/28/2016              |       | $                                                 | 3,253,748  |     | 3,173,463       |                | 3,246,265  |   |
| Sunquest Information Systems, Inc. (Misys   Hospital Systems, Inc.)                               |       | Conglomerate                                        |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 6.25                  | %          | 12/16/2016             |       | $                                                 | 992,500    |     | 980,580         |                | 986,714    |   |
| SuperMedia Inc. (fka Idearc Inc.)                                                                           |       | Publishing                                          |       | Loan                                           |       | Loan                                  |       | 11.00                 | %          | 12/31/2015             |       | $                                                 | 326,109    |     | 317,228         |                | 164,685    |   |
| Taminco Global Chemical Corporation                                                                         |       | Chemicals/Plastics                                  |       | Dollar   Term Loan                             |       | Loan                                  |       | 6.25                  | %          | 2/15/2019              |       | $                                                 | 500,000    |     | 490,024         |                | 501,875    |   |
| TDG Holding Company (fka Dwyer   Acquisition, Inc.)                                                    |       | Business   Equipment and Services                   |       | Term   Loan                                    |       | Loan                                  |       | 7.00                  | %          | 12/23/2015             |       | $                                                 | 3,463,273  |     | 3,422,302       |                | 3,411,324  |   |
| Team Health, Inc.                                                                                      |       | Healthcare                                          |       | Tranche   B Term Loan                          |       | Loan                                  |       | 3.75                  | %          | 6/29/2018              |       | $                                                 | 4,477,500  |     | 4,457,147       |                | 4,331,981  |   |
| Texas Competitive Electric Holdings Company, LLC   (TXU)                                                    |       | Utilities                                           |       | 2014   Term Loan (Non-Extending)               |       | Loan                                  |       | 3.76                  | %          | 10/10/2014             |       | $                                                 | 5,580,862  |     | 5,494,432       |                | 3,406,670  |   |
| TransDigm Inc.                                                                                              |       | Aerospace   and Defense                             |       | Tranche   B-1 Term Loan                        |       | Loan                                  |       | 4.00                  | %          | 2/14/2017              |       | $                                                 | 3,988,779  |     | 4,002,125       |                | 3,985,269  |   |
| TransFirst Holdings, Inc.                                                                              |       | Financial   Intermediaries                          |       | Term   Loan (First Lien)                       |       | Loan                                  |       | 3.00                  | %          | 6/16/2014              |       | $                                                 | 2,387,500  |     | 2,350,983       |                | 2,282,044  |   |
| U.S. Security Associates Holdings, Inc.                                                                |       | Business   Equipment and Services                   |       | Delayed   Draw Term Loan                       |       | Loan                                  |       | 6.00                  | %          | 7/28/2017              |       | $                                                 | 163,000    |     | 161,527         |                | 161,778    |   |
| U.S. Security Associates Holdings, Inc.                                                                |       | Business   Equipment and Services                   |       | Term   Loan B                                  |       | Loan                                  |       | 6.00                  | %          | 7/28/2017              |       | $                                                 | 125,000    |     | 124,375         |                | 124,688    |   |
| U.S. Security Associates Holdings, Inc.                                                                |       | Business   Equipment and Services                   |       | Term   Loan B                                  |       | Loan                                  |       | 6.00                  | %          | 7/28/2017              |       | $                                                 | 834,908    |     | 827,364         |                | 832,820    |   |
| U.S. Silica Company                                                                                         |       | Nonferrous   Metals/Minerals                        |       | Loan                                           |       | Loan                                  |       | 4.75                  | %          | 6/8/2017               |       | $                                                 | 1,990,000  |     | 1,981,242       |                | 1,972,588  |   |
| Univar Inc.                                                                                                 |       | Chemicals/Plastics                                  |       | Term   B Loan                                  |       | Loan                                  |       | 5.00                  | %          | 6/30/2017              |       | $                                                 | 3,964,975  |     | 3,963,846       |                | 3,928,021  |   |
| UPC Financing Partnership                                                                                   |       | Broadcast   Radio and Television                    |       | Facility   AB                                  |       | Loan                                  |       | 4.75                  | %          | 12/31/2017             |       | $                                                 | 1,000,000  |     | 971,447         |                | 998,250    |   |
| USI Holdings Corporation                                                                                    |       | Building   and Development                          |       | Tranche   B Term Loan                          |       | Loan                                  |       | 2.75                  | %          | 5/5/2014               |       | $                                                 | 4,782,211  |     | 4,685,075       |                | 4,678,581  |   |
| Valeant Pharmaceuticals International, Inc.                                                            |       | Drugs                                               |       | Tranche   B Term Loan                          |       | Loan                                  |       | 3.75                  | %          | 2/13/2019              |       | $                                                 | 1,000,000  |     | 995,002         |                | 996,880    |   |
| Vantiv, LLC (fka Fifth Third Processing Solutions,   LLC)                                                   |       | Financial   Intermediaries                          |       | Term   B-1 Loan (First Lien)                   |       | Loan                                  |       | 4.50                  | %          | 11/3/2016              |       | $                                                 | 3,979,950  |     | 3,988,810       |                | 3,982,776  |   |
| Verint Systems Inc.                                                                                         |       | Business   Equipment and Services                   |       | Term   Loan 2011                               |       | Loan                                  |       | 4.50                  | %          | 10/27/2017             |       | $                                                 | 1,985,000  |     | 1,976,319       |                | 1,978,807  |   |
| Visant Corporation (fka Jostens)                                                                            |       | Leisure   Goods/Activities/Movies                   |       | Tranche   B Term Loan (2011)                   |       | Loan                                  |       | 5.25                  | %          | 12/22/2016             |       | $                                                 | 3,767,519  |     | 3,767,519       |                | 3,611,430  |   |
| Weight Watchers International, Inc.                                                                    |       | Food   Products                                     |       | Term   B Loan                                  |       | Loan                                  |       | 1.88                  | %          | 1/26/2014              |       | $                                                 | 1,229,200  |     | 1,220,261       |                | 1,221,518  |   |
| Weight Watchers International, Inc.                                                                    |       | Food   Products                                     |       | Term   D Loan                                  |       | Loan                                  |       | 2.88                  | %          | 6/30/2016              |       | $                                                 | 2,728,226  |     | 2,684,697       |                | 2,714,585  |   |
| Wendy’s/Arby’s Restaurants, LLC                                                                   |       | Food/Drug   Retailers                               |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 5/24/2017              |       | $                                                 | 1,122,902  |     | 1,118,702       |                | 1,123,745  |   |
| Wil Research Laboratories, LLC                                                                              |       | Business   Equipment and Services                   |       | Term   B Loan                                  |       | Loan                                  |       | 4.00                  | %          | 9/26/2013              |       | $                                                 | 1,808,039  |     | 1,726,498       |                | 1,663,396  |   |
| WireCo WorldGroup Inc.                                                                                      |       | Nonferrous   Metals/Minerals                        |       | Term   Loan                                    |       | Loan                                  |       | 5.00                  | %          | 2/10/2014              |       | $                                                 | 1,992,943  |     | 1,967,101       |                | 1,953,084  |   |
| Yankee Candle Company, Inc., The                                                                       |       | Retailers   (Except Food and Drugs)                 |       | Term   Loan                                    |       | Loan                                  |       | 2.25                  | %          | 2/6/2014               |       | $                                                 | 2,537,336  |     | 2,419,740       |                | 2,523,428  |   |
| Yell Group Plc                                                                                              |       | Publishing                                          |       | Facility   B1 - YB (USA) LLC (11/2009)         |       | Loan                                  |       | 3.99                  | %          | 7/31/2014              |       | $                                                 | 3,139,856  |     | 3,090,757       |                | 961,141    |   |
| ALM 2010-1A                                                                                                 |       | Financial   Intermediaries                          |       | Floating   - 05/2020 - B - 00162VAE5           |       | Other/Structured   Finance Securities |       | 2.78                  | %          | 5/20/2020              |       | $                                                 | 4,000,000  |     | 3,716,602       |                | 3,657,600  |   |
| BABSN 2007-1A                                                                                               |       | Financial   Intermediaries                          |       | Floating   - 01/2021 - D1 - 05617AAA9          |       | Other/Structured   Finance Securities |       | 3.81                  | %          | 1/18/2021              |       | $                                                 | 1,500,000  |     | 1,236,977       |                | 1,050,000  |   |
| GALE 2007-3A                                                                                                |       | Financial   Intermediaries                          |       | Floating   - 04/2021 - E - 363205AA3           |       | Other/Structured   Finance Securities |       | 4.06                  | %          | 4/19/2021              |       | $                                                 | 4,000,000  |     | 3,311,208       |                | 2,800,000  |   |
| KATO 2006-9A                                                                                                |       | Financial   Intermediaries                          |       | Floating   - 01/2019 - B2L - 486010AA9         |       | Other/Structured   Finance Securities |       | 4.06                  | %          | 1/25/2019              |       | $                                                 | 5,000,000  |     | 4,227,490       |                | 3,500,000  |   |
| STCLO 2007-6A                                                                                               |       | Financial   Intermediaries                          |       | Floating   - 04/2021 - D- 86176YAG7            |       | Other/Structured   Finance Securities |       | 4.17                  | %          | 4/17/2021              |       | $                                                 | 5,000,000  |     | 4,077,713       |                | 3,500,000  |   |
|                                                                                                        |       |                                                |       |                                           |       |                                  |       |                  |       |                   |       |                                              | ** ** | **$**    | **390,023,602** | ** **          | **$**      | **381,364,466** | ** ** |

 

S-6

----

** **

**GSC Investment Corp. CLO 2007**

** **

**Statements of Changes in Net Assets**

 
| ** **                                                  | ** ** | **For the year ended   February 28, 2013** | ** ** | **For the year ended   February 29, 2012** | ** ** | **For the year ended   February 28, 2011** | ** ** |
|-------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|
|                                                        |       |                                                                |       |                                                                |       |                                                                |       |
| INCREASE FROM OPERATIONS:                                   |       |                                                                |       |                                                                |       |                                                                |       |
| Net investment income                                       |       | $                                                                   | 1,033,327  |                                                                | $          | 2,368,009                                                           |       | $ | 4,607,358 |   |
| Net realized gain (loss) from investments                   |       | 2,532,558                                                           |       | (4,547,952                                                          | )          | 750,253                                                             |       |
| Net unrealized appreciation/(depreciation) on   investments |       | 3,235,774                                                           |       | (650,241                                                            | )          | 11,697,708                                                          |       |
| Net increase (decrease) in net assets from operations       |       | 6,801,659                                                           |       | (2,830,184                                                          | )          | 17,055,319                                                          |       |
|                                                        |       |                                                                |       |                                                                |       |                                                                |       |
| Total increase/(decrease) in net assets                     |       | 6,801,659                                                           |       | (2,830,184                                                          | )          | 17,055,319                                                          |       |
| Net assets at beginning of period                           |       | (5,962,842                                                          | )          | (3,132,658                                                          | )          | (20,187,977                                                         | )          |
| Net assets at end of period                                 |       | $                                                                   | 838,817    |                                                                | $          | (5,962,842                                                          | )          | $ | (3,132,658 | ) |

 

See accompanying notes to financial statements.

 

S-7

----

** **

**GSC Investment Corp. CLO 2007**

 

**Statements of Cash Flows**

 
| ** **                                                                                                                                 | ** ** | **For the year ended   February 28, 2013** | ** ** | **For the year ended   February 29, 2012** | ** ** | **For the year ended   February 28, 2011** | ** ** |
|--------------------------------------------------------------------------------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|
|                                                                                                                                       |       |                                                                |       |                                                                |       |                                                                |       |
| **Operating activities**                                                                                                                   |       |                                                                |       |                                                                |       |                                                                |       |
| NET INCREASE (DECREASE) IN NET ASSETS FROM   OPERATIONS                                                                                    |       | $                                                                   | 6,801,659  |                                                                | $          | (2,830,184                                                          | )          | $ | 17,055,319 |   |
| ADJUSTMENTS TO RECONCILE NET INCREASE (DECREASE)   IN NET ASSETS FROM OPERATIONS TO NET CASH PROVIDED BY (USED BY) OPERATING   ACTIVITIES: |       |                                                                |       |                                                                |       |                                                                |       |
| Paid-in-kind interest income                                                                                                               |       | —                                                              |       | (223,448                                                            | )          | (361,110                                                            | )          |
| Net accretion of discount on investments                                                                                                   |       | (1,383,978                                                          | )          | (2,997,514                                                          | )          | (4,841,672                                                          | )          |
| Amortization of notes and deferred issuance costs                                                                                          |       | 1,015,332                                                           |       | 1,016,124                                                           |       | 1,015,333                                                           |       |
| Net realized (gain) loss from investments                                                                                                  |       | (2,532,558                                                          | )          | 4,547,952                                                           |       | (750,253                                                            | )          |
| Net unrealized appreciation on investments                                                                                                 |       | (3,235,774                                                          | )          | 650,241                                                             |       | (11,697,708                                                         | )          |
| Proceeds from sale and redemption of investments                                                                                           |       | 165,363,963                                                         |       | 216,319,521                                                         |       | 129,804,279                                                         |       |
| Purchase of investments                                                                                                                    |       | (151,267,166                                                        | )          | (208,491,101                                                        | )          | (156,112,238                                                        | )          |
| (Increase) decrease in operating assets:                                                                                                   |       |                                                                |       |                                                                |       |                                                                |       |
| Interest receivable                                                                                                                        |       | (3,547                                                              | )          | 155,579                                                             |       | 112,547                                                             |       |
| Receivable from open trades                                                                                                                |       | 4,915,102                                                           |       | (10,046,640                                                         | )          | —                                                              |       |
| Increase (decrease) in operating liabilities:                                                                                              |       |                                                                |       |                                                                |       |                                                                |       |
| Interest payable                                                                                                                           |       | (160,620                                                            | )          | 125,101                                                             |       | 21,097                                                              |       |
| Payable from open trades                                                                                                                   |       | (8,510,897                                                          | )          | (293,957                                                            | )          | 24,668,506                                                          |       |
| Accrued senior collateral management fee                                                                                                   |       | (2,345                                                              | )          | (835                                                                | )          | 249                                                                 |       |
| Accrued subordinate collateral management fee                                                                                              |       | (9,382                                                              | )          | (3,338                                                              | )          | (96,424                                                             | )          |
| NET CASH PROVIDED BY (USED BY) OPERATING   ACTIVITIES                                                                                      |       | 10,989,789                                                          |       | (2,072,499                                                          | )          | (1,182,075                                                          | )          |
|                                                                                                                                       |       |                                                                |       |                                                                |       |                                                                |       |
| NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS                                                                                       |       | 10,989,789                                                          |       | (2,072,499                                                          | )          | (1,182,075                                                          | )          |
| CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD                                                                                             |       | 17,815,082                                                          |       | 19,887,581                                                          |       | 21,069,656                                                          |       |
| CASH AND CASH EQUIVALENTS, END OF PERIOD                                                                                                   |       | $                                                                   | 28,804,871 |                                                                | $          | 17,815,082                                                          |       | $ | 19,887,581 |   |
|                                                                                                                                       |       |                                                                |       |                                                                |       |                                                                |       |
| Supplemental Information:                                                                                                                  |       |                                                                |       |                                                                |       |                                                                |       |
| Interest paid during the period                                                                                                            |       | $                                                                   | 15,773,621 |                                                                | $          | 14,355,520                                                          |       | $ | 13,239,125 |   |
|                                                                                                                                       |       |                                                                |       |                                                                |       |                                                                |       |
| Supplemental non-cash information:                                                                                                         |       |                                                                |       |                                                                |       |                                                                |       |
| Paid-in-kind interest income                                                                                                               |       | $                                                                   | —     |                                                                | $          | (223,448                                                            | )          | $ | (361,110 | ) |
| Net accretion of discount on investments                                                                                                   |       | $                                                                   | (1,383,978 | )                                                                   | $          | (2,997,514                                                          | )          | $ | (4,841,672 | ) |
| Amortization of notes and deferred issuance costs                                                                                          |       | $                                                                   | 1,015,332  |                                                                | $          | 1,016,124                                                           |       | $ | 1,015,333 |   |

 

See accompanying notes to financial statements.

 

S-8

----

 

**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

**1. Organization and Purpose**

 

GSC Investment Corp. CLO 2007, Ltd (the “Issuer”, “we”, “our”, “us”, “CLO” and “Saratoga CLO”), an exempted company with limited liability incorporated under the laws of the Cayman Islands was formed on November 28, 2007 and commenced operations on January 22, 2008. The Issuer was established to acquire or participate in U.S. dollar-denominated corporate debt obligations.

 

On January 22, 2008, the Issuer issued $400.0 million of notes, consisting of Class A Floating Rate Senior Notes, Class B Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating Rate Notes, and Subordinated Notes. The notes were issued pursuant to an indenture, dated January 22, 2008 (the “Indenture”), with U.S. Bank National Association (the “Trustee”) servicing as the Trustee thereunder. As of February 28, 2013, Saratoga Investment Corp. owned 100% of the Subordinated Notes of the CLO. The Issuer’s defined investment period ended on January 23, 2013. Following the defined investment period, proceeds from principal payments in the investment portfolio of the Issuer are used to pay down its outstanding notes, sequentially in order of seniority.

 

Pursuant to a collateral management agreement (the “Collateral Management Agreement”), Saratoga Investment Corp. (the “Collateral Manager”), provides investment management services to the Issuer, and makes day-to-day investment decisions concerning the assets of the Issuer. The Collateral Manager also performs certain administrative services on behalf of the Issuer under the Collateral Management Agreement.

 

**2. Significant Accounting Policies**

 

*Basis of Presentation*

 

The accompanying financial statements have been prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and are stated in U.S. dollars.  The following is a summary of the significant accounting policies followed by the Issuer in the preparation of its financial statements.

 

*Use of Estimates*

 

The preparation of the financial statements in conformity with U.S. GAAP requires the Collateral Manager to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, including the fair value of investments, and the amounts of income and expenses during the reporting period. Actual results could differ from these estimates and such differences could be material.

 

S-9

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

*Cash and Cash Equivalents*

 

The Issuer defines cash and cash equivalents as highly liquid financial instruments with original maturities of three months or less. Cash and cash equivalents may include investments in money market mutual funds, which are carried at fair value. At February 28, 2013 and February 29, 2012, cash and cash equivalents amounted to $28.8 million and $17.8 million, respectively, and were swept on an overnight basis into a money market deposit account and invested in shares of JP Morgan Liquidity Institutional fund held at the Trustee.

 

*Valuation of Investments*

 

The Issuer 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 Issuer to assume that its investments are to be sold at the Statement of Assets and Liabilities 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 the Collateral Manager to approve a fair value determination to reflect significant events affecting the value of these investments. The Collateral Manager values investments for which market quotations are not readily available at fair value. Determinations of fair value may involve significant judgments and estimates. The types of factors that may be considered in determining the fair value of investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flow and other relevant factors.

 

Because such valuations, and particularly valuations of private investments and private companies, are inherently uncertain, they may fluctuate over short periods of time and may be based on estimates. The determination of fair value may differ materially from the values that would have been used if a ready market for these investments existed. Our net asset value could be materially affected if the determinations regarding the fair value of our investments were materially higher or lower than the values that are ultimately realized upon the disposal of such investments.

 

S-10

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

*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 Issuer 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 amortizations of premium on investments.

 

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected. Accrued interest is generally reserved when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as a reduction in principal depending upon the Collateral Manager’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.

 

*Paid-in-Kind Interest*

 

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

 

*Deferred Bond Issuance Costs*

 

Included in deferred bond issuance costs are structuring fees of the investment bank, rating agency fees and legal fees associated with the establishment of the Issuer in November 2007.

 

Such costs have been capitalized and amortized using an effective yield method, over the life of the facility.

 

*Collateral Management Fees*

 

The Issuer is externally managed by the Collateral Manager pursuant to the Collateral Management Agreement. As compensation for the performance of its obligations under the Collateral Management Agreement, the Collateral Manager is entitled to receive from the Issuer a senior collateral management fee (the “Senior Collateral Management Fee”), a subordinated collateral management fee (the “Subordinated Collateral Management Fee”) and an incentive collateral management fee (the “Incentive Collateral Management Fee”). The Senior Collateral Management Fee is payable in arrears quarterly (subject to availability of funds and to the satisfaction of payment obligations on the debt obligations of the Issuer (the “Priority of Payments”) in an amount equal to 

 

S-11

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

0.10% per annum of the aggregate principal amount of the Issuer’s investments.  The Subordinated Collateral Management Fee is payable in arrears quarterly (subject to availability of funds and to the Priority of Payments) in an amount equal to 0.40% per annum of the aggregate principal amount of the Issuer’s investments. The Incentive Management Fee equals 20% of the amount of interest and principal payments remaining available for distribution to the Collateral Manager under the Priority of Payments at which the Incentive Management Fee may be paid. The Incentive Management Fee will be payable in accordance with the Priority of Payments on each payment date if the Subordinated Notes internal rate of return for such payment date is greater than or equal to 12%.

 

*Expenses*

 

The Issuer bears its own organizational and offering expenses, all expenses related to its investment program and expenses incurred in connection with its operations including, but not limited to, external legal, administrative, trustee, accounting, tax and audit expenses, costs related to trading, acquiring, monitoring or disposing of investments of the Issuer, and interest and other borrowing expenses, expenses of preparing and distributing reports, financial statements, and litigation or other extraordinary expenses. The Issuer has retained the Trustee to provide trustee services. Additionally, the Trustee performs loan administration, debt covenant compliance calculations, and monitoring and reporting services.  For the years ended February 28, 2013, February 29, 2012 and February 28, 2011, the Issuer paid $0.1 million, respectively, for trustee services provided and is included in other expenses in the Statement of Operations.

 

*Interest Expense*

 

The Issuer has issued rated and unrated notes to finance its operations. Interest on debt is calculated by the Trustee for the Issuer. Interest is accrued and generally paid quarterly. For the years ended February 28, 2013, February 29, 2012 and February 28, 2011, $8.8 million, $7.9 million and $6.7 million of payments to the Subordinated Notes were included in interest expense in the Statement of Operations, respectively.

 

*Risk Management*

 

In the ordinary course of its business, the Issuer 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 Issuer 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.

 

S-12

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

The Issuer 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.

 

*Recent Accounting Pronouncements*

 

In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities, which requires entities to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance is effective for fiscal years and interim periods beginning on or after January 1, 2013 with retrospective application for all comparative periods presented. The adoption of this guidance, which is related to disclosure only, is not expected to have a material impact on the Issuer’s financial position, results of operations or cash flows.

 

**3. Fair Value Measurements**

 

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

 

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

 

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

 

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

 

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

 

S-13

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** **

**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

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

 

In addition to using the above inputs in investment valuations, the Issuer continues to employ the valuation policy that is consistent with ASC 820.

 

The following table presents fair value measurements of investments, by major class, as of February 28, 2013, according to the fair value hierarchy:

 
| ** **                    | ** ** | **Fair Value Measurements** | ** ** |
|-------------------------------|------------|---------------------------------------|------------|
| ** **                    | ** ** | **Level 1**                      | ** ** | **Level 2** | ** ** | **Level 3** | ** ** | **Total** | ** ** |
| Term loans                    |       | $                                     | —     |   | $ | 358,237,074 |   | $ | 4,256,932 |   | $ | 362,494,006 |   |
| Structured finance securities |       | —                                |       | — |   | 10,850,000 |   | 10,850,000 |   |
| Equity interest               |       | 5,410                                 |       | — |   | 1,070,563 |   | 1,075,973 |   |
| **Total**                     | ** ** | **$**                                 | **5,410**  | ** ** | **$** | **358,237,074** | ** ** | **$** | **16,177,495** | ** ** | **$** | **374,419,979** | ** ** |

 

The following table presents fair value measurements of investments, by major class, as of February 29, 2012, according to the fair value hierarchy:

 
| ** **                    | ** ** | **Fair Value Measurements** | ** ** |
|-------------------------------|------------|---------------------------------------|------------|
| ** **                    | ** ** | **Level 1**                      | ** ** | **Level 2** | ** ** | **Level 3** | ** ** | **Total** | ** ** |
| Term loans                    |       | $                                     | —     |   | $ | 365,780,893 |   | $ | — |   | $ | 365,780,893 |   |
| Structured finance securities |       | —                                |       | — |   | 14,507,600 |   | 14,507,600 |   |
| Equity interest               |       | 5,410                                 |       | — |   | 1,070,563 |   | 1,075,973 |   |
| **Total**                     | ** ** | **$**                                 | **5,410**  | ** ** | **$** | **365,780,893** | ** ** | **$** | **15,578,163** | ** ** | **$** | **381,364,466** | ** ** |

 

Transfers into or out of Level 1, 2 or 3 are recognized at the reporting date.

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the year ended February 28, 2013:

 
| ** **                                | ** ** | **Term Loans** | ** ** | **Structured Finance   Securities** | ** ** | **Equity Interest** | ** ** |
|-------------------------------------------|------------|---------------------|------------|------------------------------------------|------------|--------------------------|------------|
| Balance as of February 29, 2012      |       | $                   | —     |                                     | $          | 14,507,600               |       | $ | 1,070,563 |   |
| Net unrealized gains (losses)             |       | (102,541            | )          | (126,657                                 | )          | —                   |       |
| Purchases and other adjustments to cost   |       | 4,018,668           |       | 219,455                                  |       | —                   |       |
| Sales and redemptions                     |       | (74,141             | )          | (4,000,000                               | )          | —                   |       |
| Net realized gain (loss) from investments |       | 26,621              |       | 249,602                                  |       | —                   |       |
| Net transfers in and/or out of Level 3(1) |       | 388,325             |       | —                                   |       | —                   |       |
| Balance as of February 28, 2013      |       | $                   | 4,256,932  |                                     | $          | 10,850,000               |       | $ | 1,070,563 |   |

 

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(1)    The Issuer’s investment in PATS Aircraft, LLC was transferred into Level 3 during the year ended February, 28, 2013 due to changes in liquidity. These changes impacted the Collateral Manager’s ability to obtain observable market information. Accordingly, the determination of fair value for this investment required significant management judgment and estimation, resulting in a Level 3 classification for the year ended February 28, 2013.

 

S-14

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

The following table provides a reconciliation of the beginning and ending balances for investments that use Level 3 inputs for the year ended February 29, 2012:

 
| ** **                                | ** ** | **Term Loans** | ** ** | **Structured Finance   Securities** | ** ** | **Equity Interest** | ** ** |
|-------------------------------------------|------------|---------------------|------------|------------------------------------------|------------|--------------------------|------------|
| Balance as of February 29, 2011      |       | $                   | 2,243,464  |                                     | $          | 14,507,600               |       | $ | 849,125 |   |
| Net unrealized gains (losses)             |       | 3,022,852           |       | —                                   |       | (60,888                  | )          |
| Purchases and other adjustments to cost   |       | 77,814              |       | —                                   |       | 282,326                  |       |
| Sales and redemptions                     |       | (2,375,630          | )          | —                                   |       | —                   |       |
| Net realized gain (loss) from investments |       | (2,968,500          | )          | —                                   |       | —                   |       |
| Net transfers in and/or out of Level 3    |       | —              |       | —                                   |       | —                   |       |
| Balance as of February 28, 2012      |       | $                   | —     |                                     | $          | 14,507,600               |       | $ | 1,070,563 |   |

 

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

 

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

 

The net unrealized loss on level 3 investments held as of February 28, 2013 and February 29, 2012, is $1.8 million and $1.7 million, respectively, and is included in net unrealized appreciation on investments in the Statements of Operations.

 

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2013 were as follows:

 
| ** **                    | ** ** | **Fair Value** | ** ** | **Valuation Technique** | ** **          | **Unobservable Input** | ** **         | **Range** | ** ** |
|-------------------------------|------------|---------------------|------------|------------------------------|---------------------|-----------------------------|--------------------|-----------|------------|
|                          |       |                |       |                         |                |                        |               |      |       |
| Term loans                    |       | $                   | 4,256,932  |                         | Yield   Analysis    |                        | Market   Yield     |      | 7.7%-17.0% |   |
|                          |       |                |       |                         |                |                        |               |      |       |
| Structured Finance Securities |       | $                   | 10,850,000 |                         | Yield   Analysis    |                        | Market   Yield     |      | 8.9%-10.7% |   |
|                          |       |                |       |                         |                |                        |               |      |       |
| Equity Interest               |       | $                   | 1,070,563  |                         | Market   Comparable |                        | EBITDA   Multiples |      | 5.5x-8.0x  |   |

 

Significant unobservable inputs used in the fair value measurement of the Issuer’s term loans and structured finance securities include comparable market yields.  For investments utilizing a yield analysis valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement.  Generally, a change in the assumption for comparable yields is accompanied by a directionally opposite change in the assumption used for pricing.

 

Significant unobservable inputs used in the fair value measurement of the Issuer’s equity interests include EBITDA multiples.  For investments utilizing EBITDA multiples, a significant increase (decrease) in the EBITDA multiple, in isolation, would result in a significant higher (lower) fair value measurement.

 

S-15

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

**4. Financing**

 

On January 22, 2008, the Issuer issued $400.0 million of notes, consisting of Class A Floating Rate Senior Notes, Class B Floating Rate Senior Notes, Class C Deferrable Floating Rate Notes, Class D Deferrable Floating Rate Notes, Class E Deferrable Floating Rate Notes (collectively the “Secured Notes”), and Subordinated Notes. The notes were issued pursuant to the Indenture.

 

The Secured Notes are limited recourse obligations of the Issuer. The Subordinated Notes are unsecured, limited recourse debt obligations of the Issuer. The relative order of seniority of payment of each class of securities is, as follows: first, Class A Notes, second, Class B Notes, third, Class C Notes, fourth, Class D Notes, fifth, Class E Notes and sixth, the Subordinated Notes, with (a) each class of securities (other than the Subordinated Notes) in such list being senior to each other class of securities that follows such class of securities in such list and (b) each class of securities (other than the Class A Notes) in such list being subordinate to each other class of securities that precedes such class of securities in such list. The Subordinated Notes are subordinated to the Secured Notes and are entitled to periodic payments from interest proceeds available in accordance with the Priority of Payments.

 

The table below sets forth certain information for each outstanding class of notes issued pursuant to the Indenture.

 
| **Debt Security**                      | ** ** | **Interest Rate** | ** ** | **Maturity**          | ** ** | **Principal Amount** | ** **  | **Amount Outstanding** | ** ** |
|---------------------------------------------|------------|------------------------|------------|-----------------------|------------|---------------------------|-------------|-----------------------------|------------|
| Class A Floating Rate Senior Notes     |       | LIBOR + 0.75%          |       | January 21, 2020 |       | $                         | 296,000,000 |                        | $          | 296,000,000 |   |
| Class B Floating Rate Senior Notes     |       | LIBOR + 2.50%          |       | January 21, 2020 |       | 22,000,000                |        | 22,000,000                  |       |
| Class C Deferrable Floating Rate Notes |       | LIBOR + 3.75%          |       | January 21, 2020 |       | 14,000,000                |        | 14,000,000                  |       |
| Class D Deferrable Floating Rate Notes |       | LIBOR + 4.70%          |       | January 21, 2020 |       | 16,000,000                |        | 16,000,000                  |       |
| Class E Deferrable Floating Rate Notes |       | LIBOR + 6.45%          |       | January 21, 2020 |       | 22,000,000                |        | 17,960,044                  |       |
| Subordinated Notes                          |       | N/A                    |       | January 21, 2020 |       | 30,000,000                |        | 30,000,000                  |       |
|                                        |       |                   |       |                  |       | $                         | 400,000,000 |                        | $          | 395,960,044 |   |

 

The following table shows each outstanding class of notes issued, pursuant to the Indenture, at fair value at February 28, 2013 and February 29, 2012.

 
| ** **                                  | ** ** | **Fair Value**             | ** **  |
|---------------------------------------------|------------|---------------------------------|-------------|
| **Debt Security**                      | ** ** | **February 28, 2013** | ** **  | **February 29, 2012** | ** ** |
| Class A Floating Rate Senior Notes     |       | $                               | 292,879,007 |   | $ | 285,891,473 |   |
| Class B Floating Rate Senior Notes     |       | 22,900,917                      |        | 21,676,954 |   |
| Class C Deferrable Floating Rate Notes |       | 14,592,983                      |        | 13,128,032 |   |
| Class D Deferrable Floating Rate Notes |       | 16,414,949                      |        | 14,517,373 |   |
| Class E Deferrable Floating Rate Notes |       | 17,999,348                      |        | 15,228,326 |   |
| Subordinated Notes                          |       | 25,516,959                      |        | 25,846,414 |   |
|                                        |       | $                               | 390,304,163 |   | $ | 376,288,572 |   |

 

S-16

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** **

**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

** **

The following table provides the weighted average interest rate for the years ended February 28, 2013, February 29, 2012 and February 28, 2011:

 
| ** **                                  | ** ** | ** **             | ** ** | **Weighted Average Interest Rate** | ** ** |
|---------------------------------------------|------------|------------------------|------------|---------------------------------------------------|------------|
| **Debt Security**                      | ** ** | **Interest Rate** | ** ** | **February 28, 2013**                   | ** ** | **February 29, 2012** | ** ** | **February 28, 2011** | ** ** |
| Class A Floating Rate Senior Notes     |       | LIBOR   + 0.75%        |       | 1.15                                              | %          | 1.12 | % | 1.10 | % |
| Class B Floating Rate Senior Notes     |       | LIBOR   + 2.50%        |       | 2.90                                              | %          | 2.87 | % | 2.85 | % |
| Class C Deferrable Floating Rate Notes |       | LIBOR   + 3.75%        |       | 4.15                                              | %          | 4.12 | % | 4.10 | % |
| Class D Deferrable Floating Rate Notes |       | LIBOR   + 4.70%        |       | 5.10                                              | %          | 5.07 | % | 5.05 | % |
| Class E Deferrable Floating Rate Notes |       | LIBOR   + 6.45%        |       | 6.85                                              | %          | 6.82 | % | 6.80 | % |
| Subordinated Notes                          |       | N/A                    |       | N/A                                               |       | N/A |   | N/A |   |

 

The Indenture provides that payments on the Subordinated Notes shall rank subordinate in priority of payment to payments due on all classes of Secured Notes and subordinate in priority of payment to the payment of fees and expenses. Distributions on the Subordinated Notes are limited to the assets of the Issuer remaining after payment of all of the liabilities of the Issuer that rank senior in priority of payment to the Subordinated Notes. To the extent that the proceeds from the collateral are not sufficient to make distributions on the Subordinated Notes the Issuer will have no further obligation in respect of the Subordinated Notes.

 

Interest proceeds and, after the Secured Notes have been paid in full, principal proceeds, in each case will be distributed to the holders of the Subordinated Notes in accordance with the Indenture.

 

Distributions, if any, on the Subordinated Notes will be payable quarterly on the 20th day of each January, April, July and October of each calendar year or, if any such day is not a business day, on the next succeeding business day (each, a “Payment Date”), commencing on the first Payment Date, and on January 21, 2020 (or if any such day is not a business day, the next succeeding business day) (the “Stated Redemption Date”) (if not redeemed prior to such date) sequentially in order of seniority. At the Stated Redemption Date, the Subordinated Notes will be redeemed after payment in full of all of the Secured Notes and the payment of all administrative and other fees and expenses. The failure to pay interest proceeds or principal proceeds to the holders of the Subordinated Notes will not be an event of default under the Indenture.

 

In May of 2009, GSC Investment Corp. CLO 2007 Ltd. defaulted on its Class E overcollateralization ratio of 105.10%, at which point, $4.0 million of interest proceeds were used to repay the Class E Notes through November 2009.  Interest on the Class C, Class D, and Class E Notes was deferred and repaid in January of 2010 upon the Issuer’s return to compliance.  Distributions to the Subordinated Notes resumed in April of 2010.

 

As of February 28, 2013, the remaining unamortized discount on the Class B Notes, Class D Notes and Class E Notes were $0.4 million, $0.4 million and $1.1 million, respectively.

 

S-17

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

**5. Income Tax**

 

Under the current laws, the Issuer is not subject to net income taxation in the United States or the Cayman Islands. Accordingly, no provision for income taxes has been made in the accompanying financial statements.

 

Pursuant to ASC Topic 740, *Accounting for Uncertainty in Income Taxes*, the Issuer adopted the provisions of the FASB relating to accounting for uncertainty in income taxes which clarifies the accounting for income taxes by prescribing the minimum recognition threshold a tax position must meet before being recognized in the financial statements and applies to all open tax years as of the effective date. The Collateral Manager has analyzed such tax positions for uncertain tax positions for tax years that may be open (2008 — 2013). The Issuer identifies its major tax jurisdictions as U.S. Federal, state and foreign jurisdictions where the Issuer makes investments. As of February 28, 2013 and February 29, 2012, there was no impact to the financial statements as a result of the Issuer’s accounting for uncertainty in income taxes. The Issuer does not have any unrecognized tax benefits or liabilities for the years ended February 28, 2013, February 29, 2012 and February 28, 2011. Also, the Issuer recognizes interest and, if applicable, penalties for any uncertain tax positions, as a component of income tax expense. No interest or penalty expense was recorded by the Issuer for the years ended February 28, 2013, February 29, 2012 and February 28, 2011.

 

**6. Commitments and Contingencies**

 

In the ordinary course of its business, the Issuer 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 Issuer. Based on its history and experience, the Collateral Manager feels that the likelihood of such an event is remote.

 

In the ordinary course of business, the Issuer 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 Issuer. As of February 28, 2013 and February 29, 2012, the Issuer is not subject to any material legal proceedings.

 

The terms of Collateralized Debt Investments may require the Issuer to provide funding for any unfunded portion of a Collateralized Debt Investment at the request of the borrower. At February 28, 2013 and February 29, 2012, the Issuer had no unfunded commitments.

 

**7. Related-Party Transactions**

 

In the ordinary course of business and as permitted per the terms of the Indenture, the Issuer may acquire or sell investments to or from related parties at the fair value at such time. For the years ended February 28, 2013, February 29, 2012 and February 28, 2011, the Issuer bought no investments from related parties and sold no investments to related parties.

 

S-18

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

The Subordinated Notes are wholly owned by the Collateral Manager.  The Subordinated Notes do not have a stated coupon rates, but are entitled to residual cash flows from the CLO’s investments after all of the other tranches of debt and certain other fees and expenses are paid. For the years ended February 28, 2013, February 29, 2012 and February 28, 2011, $8.8 million, $7.9 million and $6.7 million of payments were made to the Subordinated Notes and were recorded as interest expense on the Statement of Operations, respectively.

 

**8. Shareholders’ Capital**

 

Capital contributions and distributions shall be made at such time and in such amounts as determined by the Collateral Manager and the Indenture.

 

The majority holder of the Subordinated Notes has various control rights over the CLO, including the ability to call the CLO prior to its legal maturity, replace the Collateral Manager under certain circumstances, and refinance any of the outstanding debt tranches.  The voting structure of the Subordinated Notes may require either majority or unanimous approval depending upon the issue.

 

The authorized share capital of the Issuer consists of 50,000 ordinary shares, 250 of which are owned by Maples Finance Limited and are held under the terms of a declaration of trust.

 

As of February 28, 2013 and February 29, 2012, net assets were $0.8 million and $(6.0) million, respectively.  These amounts include accumulated losses of $(6.0) million and $(3.1) million, respectively, which includes cumulative net investment income or loss, cumulative amounts of gains and losses realized from investment transactions, net unrealized appreciation or depreciation of investments, as well as the cumulative effect of accounting mismatches between investments accounted for at fair value and amortized cost or accrual-basis assets and liabilities as discussed in Significant Accounting Policies, above.  The Issuer’s investments continue to generate sufficient liquidity to satisfy its obligations on periodic payment dates as well as comply with all performance criteria as of the Statements of Assets and Liabilities date.

 

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**GSC INVESTMENT CORP. CLO 2007, LTD.**

 

**NOTES TO FINANCIAL STATEMENTS**

 

**9. Financial Highlights**

 

The following is a schedule of financial highlights for the years ended February 28, 2013, February 29, 2012 and February 28, 2011:

 
| ** **                                           | ** ** | **February 28, 2013** | ** ** | **February 29, 2012** | ** ** | **February 28, 2011** | ** ** |
|------------------------------------------------------|------------|---------------------------------|------------|---------------------------------|------------|---------------------------------|------------|
|                                                 |       |                            |       |                            |       |                            |       |
| Average subordinated notes’ capital balance (1) |       | $                               | 27,165,497 |                            | $          | 20,808,673                      |       | $ | 17,775,209 |   |
|                                                 |       |                            |       |                            |       |                            |       |
| **Ratios and supplemental data:**                    |       |                            |       |                            |       |                            |       |
| Total Return (2)                                     |       | 73.51                           | %          | 41.28                           | %          | 283.76                          | %          |
| Net investment income (3)                            |       | 3.80                            | %          | 11.38                           | %          | 25.92                           | %          |
| Total expenses (3)                                   |       | 70.97                           | %          | 87.40                           | %          | 93.78                           | %          |
| Senior collateral monitoring fee (3)                 |       | 1.47                            | %          | 1.93                            | %          | 2.29                            | %          |
| Subordinate collateral monitoring fee (3)            |       | 5.89                            | %          | 7.73                            | %          | 9.15                            | %          |
|                                                      |            |                                 |            |                                 |            |                                 |            |  |  |  |

 

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(1)   Subordinated notes’ capital balance is calculated based on the sum of the subordinated notes outstanding amount and total net assets, net of ordinary equity.

(2)   Total return is calculated based on a time-weighted rate of return methodology. Quarterly rates of return are compounded to derive the total return reflected above. Total return is calculated for the subordinated notes’ capital taken as a whole and assumes the purchase of the subordinated notes’ capital on the first day of the period and the sale of the last day of the period. 

(3)   Calculated based on average subordinated notes’ capital balance.

 

**10. Subsequent Events**

 

The Collateral Manager has evaluated events or transactions that have occurred since February 28, 2013 through June 7, 2013, the date the financial statements were available for issuance. The Manager has determined that there are no material events that would require the disclosure in the financial statements.

 

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