Investments

12 Months Ended

Feb. 28, 2023

Saratoga Investment Corp. [Member]

Investments [Line Items]

Investments

Note 3. Investments

As noted above, the Company values all investments in accordance with ASC 820. As defined in ASC 820, fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between independent market participants at the measurement date.

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

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

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

● Level 2— Pricing inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date. Such inputs may be quoted prices for similar assets or liabilities, quoted markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full character of the financial instrument, or inputs that are derived principally from, or corroborated by, observable market information. Investments that are generally included in this category include illiquid debt securities and less liquid, privately held or restricted equity securities, for which some level of recent trading activity has been observed.

● Level 3—Pricing inputs are unobservable for the investment and includes situations where there is little, if any, market activity for the investment. The inputs may be based on the Company’s own assumptions about how market participants would price the asset or liability or may use Level 2 inputs, as adjusted, to reflect specific investment attributes relative to a broader market assumption. Even if observable market data for comparable performance or valuation measures (earnings multiples, discount rates, other financial/valuation ratios, etc.) are available, such investments are grouped as Level 3 if any significant data point that is not also market observable (private company earnings, cash flows, etc.) is used in the valuation technique. We use multiple techniques for determining fair value based on the nature of the investment and experience with those types of investments and specific portfolio companies. The selections of the valuation techniques and the inputs and assumptions used within those techniques often require subjective judgements and estimates. These techniques include market comparables, discounted cash flows and enterprise value waterfalls. Fair value is best expressed as a range of values from which the Company determines a single best estimate. The types of inputs and assumptions that may be considered in determining the range of values of our investments include the nature and realizable value of any collateral, the portfolio company’s ability to make payments, market yield trend analysis and volatility in future interest rates, call and put features, the markets in which the portfolio company does business, comparison to publicly traded companies, discounted cash flows and other relevant factors.

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

The following table presents fair value measurements of investments, by major class, as of February 28, 2023 (dollars in thousands), according to the fair value hierarchy:

	Fair Value Measurements						Valued Using Net Asset
	Level 1		Level 2		Level 3		Value*		Total
First lien term loans	$	-	$	-	$	798,534	$	-	$	798,534
Second lien term loans		-		-		14,936		-		14,936
Unsecured loans		-		-		20,661		-		20,661
Structured finance securities		-		-		41,362		-		41,362
Equity interests		-		-		83,990		13,107		97,097
Total	$	-	$	-	$	959,483	$	13,107	$	972,590

* The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy.

The following table presents fair value measurements of investments, by major class, as of February 28, 2022 (dollars in thousands), according to the fair value hierarchy:

	Fair Value Measurements						Valued Using Net Asset
	Level 1		Level 2		Level 3		Value*		Total
First lien term loans	$	-	$	-	$	631,572	$	-	$	631,572
Second lien term loans		-		-		44,386		-		44,386
Unsecured loans		-		-		15,931		-		15,931
Structured finance securities		-		-		38,030		-		38,030
Equity interests		-		-		75,632		12,016		87,648
Total	$	-	$	-	$	805,551	$	12,016	$	817,567

* The Company’s equity investment in SLF JV is measured using the proportionate share of the NAV, or equivalent, as a practical expedient and thus has not been classified in the fair value hierarchy.

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, 2023 (dollars in thousands):

	First lien term loans			Second lien term loans			Unsecured term loans			Structured finance securities			Equity interests			Total
Balance as of February 28, 2022	$	631,572		$	44,386		$	15,931		$	38,030		$	75,632		$	805,551
Payment-in-kind and other adjustments to cost		391			283			238			(3,329	)		535			(1,882	)
Net accretion of discount on investments		1,831			(14	)		-			-			-			1,817
Net change in unrealized appreciation (depreciation) on investments		(10,465	)		(703	)		(167	)		(4,731	)		4,215			(11,851	)
Purchases		345,955			4,950			4,659			11,392			13,660			380,616
Sales and repayments		(170,913	)		(33,966	)		-			-			(17,336	)		(222,215	)
Net realized gain (loss) from investments		163			-			-			-			7,284			7,447
Balance as of February 28, 2023	$	798,534		$	14,936		$	20,661		$	41,362		$	83,990		$	959,483
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the year	$	(10,575	)	$	(892	)	$	(167	)	$	(4,731	)	$	6,111		$	(10,254	)

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

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

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2, or 3 during the year ended February 28, 2023.

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, 2022 (dollars in thousands):

	First lien term loans			Second lien term loans			Unsecured term loans			Structured finance securities			Equity interests			Total
Balance as of February 28, 2021	$	440,456		$	24,930		$	2,141		$	49,779		$	37,007		$	554,313
Payment-in-kind and other adjustments to cost		(546	)		111			718			(1,574	)		943			(348	)
Net accretion of discount on investments		2,008			35			-			-			-			2,043
Net change in unrealized appreciation (depreciation) on investments		1,670			(515	)		(54	)		(1,676	)		18,703			18,128
Purchases		364,216			19,825			13,126			-			47,783			444,950
Sales and repayments		(176,264	)		-			-			(8,359	)		(42,309	)		(226,932	)
Net realized gain (loss) from investments		32			-			-			(140	)		13,505			13,397
Balance as of February 28, 2022	$	631,572		$	44,386		$	15,931		$	38,030		$	75,632		$	805,551
Net change in unrealized appreciation (depreciation) for the year relating to those Level 3 assets that were still held by the Company at the end of the year	$	2,605		$	(515	)	$	(54	)	$	(1,222	)	$	21,361		$	22,175

Transfers and restructurings, if any, are recognized at the beginning of the period in which they occur. There were no transfers or restructurings in or out of Levels 1, 2, or 3 during the year ended February 28, 2022

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2023 were as follows (dollars in thousands):

	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average*
First lien term loans	$	798,534	Market Comparables	Market Yield (%)	10.5% - 23.1%	12.8%
				Revenue Multiples (x)	4.1x	4.1x
				EBITDA Multiples (x)	8.0x	8.0x
Second lien term loans		14,936	Market Comparables	Market Yield (%)	15.6% - 61.8%	45.8%
Unsecured term loans		20,661	Market Comparables	Market Yield (%)	10.0% - 28.8%	12.6%
			Market Comparables	Market Quote (%)	100.0%	100%
			Collateral Value Coverage	Net Asset Value (%)	100.0%	100%
Structured finance securities		41,362	Discounted Cash Flow	Discount Rate (%)	12.0% - 22.0%	17.6%
				Recovery Rate (%)	35.0% - 70.0%	70.0%
				Prepayment Rate (%)	20.0%	20.0%
Equity interests		83,990	Enterprise Value Waterfall	EBITDA Multiples (x)	5.5x - 28.6x	11.0x
				Revenue Multiples (x)	1.3x - 11.2x	6.4x
Total	$	959,483

* The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

The valuation techniques and significant unobservable inputs used in recurring Level 3 fair value measurements of assets as of February 28, 2022 were as follows (dollars in thousands):

	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average*
First lien term loans	$	631,572	Market Comparables	Market Yield (%)	6.0% - 11.3%	8.4%
				Revenue Multiples (x)	3.5x	3.5x
Second lien term loans		44,386	Market Comparables	Market Yield (%)	8.9% - 32.9%	15.6%
				EBITDA Multiples (x)	7.5x	7.5x
Unsecured term loans		15,931	Market Comparables	Market Yield (%)	22.3%	22.3%
				Net Asset Value	100.0%	100.0%
Structured finance securities		38,030	Discounted Cash Flow	Discount Rate (%)	10.0% - 15.0%	14,2%
				Recovery Rate (%)	35.0% - 70.0%	70.0%
				Prepayment Rate (%)	20.0%	20.0%
Equity interests		75,632	Enterprise Value Waterfall	EBITDA Multiples (x)	4.0x - 28.6x	9.3x
				Revenue Multiples (x)	1.0x - 11.7x	6.6x
				Third-party bid	100.0%	100.0%
Total	$	805,551

* The weighted average in the table above is calculated based on each investment’s fair value weighting, using the applicable unobservable input.

For investments utilizing a market comparables valuation technique, a significant increase (decrease) in the market yield, in isolation, would result in a significantly lower (higher) fair value measurement, and a significant increase (decrease) in any of the earnings before interest, tax, depreciation and amortization (“EBITDA”) or revenue valuation multiples, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a discounted cash flow valuation technique, a significant increase (decrease) in the discount rate, and prepayment rate, in isolation, would result in a significantly lower (higher) fair value measurement while a significant increase (decrease) in recovery rate, in isolation, would result in a significantly higher (lower) fair value measurement. For investments utilizing a market quote, third party bid or net asset value in deriving a value, a significant increase (decrease) in the market quote, bid or net asset value in isolation, would result in a significantly higher (lower) fair value measurement.

The composition of our investments as of February 28, 2023 at amortized cost and fair value was as follows (dollars in thousands):

	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
First lien term loans	$	808,464		83.7	%	$	798,534		82.1	%
Second lien term loans		21,114		2.2			14,936		1.5
Unsecured loans		21,001		2.2			20,661		2.1
Structured finance securities		49,711		5.1			41,362		4.3
Equity interests		66,199		6.8			97,097		10.0
Total	$	966,489		100.0	%	$	972,590		100.0	%

The composition of our investments as of February 28, 2022 at amortized cost and fair value was as follows (dollars in thousands):

	Investments at Amortized Cost		Amortized Cost Percentage of Total Portfolio			Investments at Fair Value		Fair Value Percentage of Total Portfolio
First lien term loans	$	631,037		79.3	%	$	631,572		77.3	%
Second lien term loans		49,862		6.3			44,386		5.4
Unsecured loans		16,104		2.0			15,931		1.9
Structured finance securities		41,648		5.2			38,030		4.7
Equity interests		57,597		7.2			87,648		10.7
Total	$	796,248		100.0	%	$	817,567		100.0	%

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

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

Our investments in Saratoga CLO and SLF 2022 are carried at fair value, which is based on a discounted cash flow valuation technique that utilizes prepayment, re-investment and loss inputs based on historical experience and projected performance, economic factors, the characteristics of the underlying cash flow, and comparable yields for equity interests in collateralized loan obligation funds similar to Saratoga CLO and SLF 2022, when available, as determined by our Manager and recommended to our board of directors. Specifically, we use Intex cash flows, or an appropriate substitute, to form the basis for the valuation of our investment in Saratoga CLO and SLF 2022. The cash flows use a set of inputs including projected default rates, recovery rates, reinvestment rates and prepayment rates in order to arrive at estimated valuations. The inputs are based on available market data and projections provided by third parties as well as management estimates. We ran Intex models based on inputs about the refinanced Saratoga CLO’s structure and the SLF 2022 structure, including capital structure, cost of liabilities and reinvestment period. We use the output from the Intex models (i.e., the estimated cash flows) to perform a discounted cash flow analysis on expected future cash flows to determine a valuation for our investments in Saratoga CLO and SLF 2022 at February 28, 2023. The inputs at February 28, 2023 for the valuation model include:

● Default rate: 2.0%

● Recovery rate: 35%-70%

● Discount rate: 14.0%-22.0%

● Prepayment rate: 20.0%

● Reinvestment rate / price: $97.00 for eighteen months; then L+365bps / $99.00

Investment Concentration

Set forth is a brief description of each portfolio company in which the fair value of our investment represents greater than 5% of our total assets as of February 28, 2023, excluding Saratoga CLO, SLF JV and SLF 2022 (see Note 4 and Note 5 for more information on Saratoga CLO, SLF JV and SLF 2022, respectively).

HemaTerra Holdings Company, LLC

HemaTerra Holding Company, LLC (“HemaTerra”) provides SaaS-based software solutions addressing complex supply chain issues across a variety of medical environments, including blood, plasma, tissue, implants and DNA sample management, to customers in blood centers, hospitals, pharmaceuticals, and law enforcement settings.

Buildout, Inc.

Buildout, Inc. provides SaaS-based real estate marketing and customer relationship management software to commercial real estate brokerages. Buildout provides a suite of software solutions brokers use to manage relationships, efficiently create and distribute marketing materials over a wide variety of channels, including direct mail, multiple listing websites, brokerage website, property specific websites and manage back office functions like commission calculations and broker productivity.

Artemis Wax Corp.

Artemis Wax Corporation is a U.S. based retail aggregator of European Wax Center (“EWC”) franchise locations with a concentration in the northeast. Founded in 2004, EWC is the largest U.S. body waxing national chain with more than 800 locations across the country.

Granite Comfort, LP

Granite Comfort, LP is a U.S. based heating, ventilation and air conditioning (“HVAC”) company. The company provides traditional service and replacement of HVAC / plumbing systems, as well as a rental model that is in the early stages of implementation.

Saratoga CLO [Member]

Investments [Line Items]

Investments

Note 4. Investment in Saratoga CLO

On January 22, 2008, the Company entered into a collateral management agreement with Saratoga CLO, pursuant to which the Company acts as its collateral manager. The Saratoga CLO was initially refinanced in October 2013 with its reinvestment period extended to October 2016. On November 15, 2016, the Company completed a second refinancing of the Saratoga CLO with its reinvestment period extended to October 2018.

On December 14, 2018, the Company completed a third refinancing and upsize of the Saratoga CLO (the “2013-1 Reset CLO Notes”). The third Saratoga CLO refinancing, among other things, extended its reinvestment period to January 2021, and extended its legal maturity date to January 2030. A non-call period of January 2020 was also added. Following this refinancing, the Saratoga CLO portfolio increased its aggregate principal amount from approximately $300.0 million to approximately $500.0 million of predominantly senior secured first lien term loans. In addition to refinancing its liabilities, the Company invested an additional $13.8 million in all of the newly issued subordinated notes of the Saratoga CLO and also purchased $2.5 million in aggregate principal amount of the Class F-R-2 and $7.5 million in aggregate principal amount of the Class G-R-2 notes tranches at par, with a coupon of 3M USD LIBOR plus 8.75% and 3M USD LIBOR plus 10.00%, respectively. As part of this refinancing, the Company also redeemed our existing $4.5 million in aggregate amount of the Class F notes tranche at par and the $20.0 million CLO 2013-1 Warehouse Loan was repaid.

On February 11, 2020, the Company entered into an unsecured loan agreement (“CLO 2013-1 Warehouse 2 Loan”) with Saratoga Investment Corp. CLO 2013-1 Warehouse 2, Ltd. (“CLO 2013-1 Warehouse 2”), a wholly owned subsidiary of Saratoga CLO.

On February 26, 2021, the Company completed the fourth refinancing of the Saratoga CLO. This refinancing, among other things, extended the Saratoga CLO reinvestment period to April 2024, and extended its legal maturity to April 2033. A non-call period ended February 2022 was also added. In addition, and as part of the refinancing, the Saratoga CLO has also been upsized from $500 million in assets to approximately $650 million. As part of this refinancing and upsizing, the Company invested an additional $14.0 million in all of the newly issued subordinated notes of the Saratoga CLO, and purchased $17.9 million in aggregate principal amount of the Class F-R-3 Notes tranche at par. Concurrently, the existing $2.5 million of Class F-R-2 Notes, $7.5 million of Class G-R-2 Notes and $25.0 million of the CLO 2013-1 Warehouse 2 Loan were repaid. The Company also paid $2.6 million of transaction costs related to the refinancing and upsizing on behalf of the Saratoga CLO, to be reimbursed from future equity distributions. At August 31, 2021, the outstanding receivable of $2.6 million was repaid in full.

On August 9, 2021, the Company exchanged its existing $17.9 million Class F-R-3 Note for $8.5 million Class F-1-R-3 Notes and $9.4 million Class F-2-R-3 Notes at par. On August 11, 2021, the Company sold its Class F-1-R-3 Notes to third parties, resulting in a realized loss of $0.1 million.

The Saratoga CLO remains effectively 100.0% owned and managed by the Company. We receive a base management fee of 0.10% per annum and a subordinated management fee of 0.40% per annum of the outstanding principal amount of Saratoga CLO’s assets, paid quarterly to the extent of available proceeds. Following the third refinancing and the issuance of the 2013-1 Reset CLO Notes on December 14, 2018, we are no longer entitled to an incentive management fee equal to 20.0% of excess cash flow to the extent the Saratoga CLO subordinated notes receive an internal rate of return paid in cash equal to or greater than 12.0%.

For the years ended February 28, 2023, February 28, 2022 and February 28, 2021, we accrued management fee income of $3.3 million, $3.3 million and $2.5 million, respectively, and interest income of $1.2 million, $4.9 million and $3.5 million, respectively, from the Saratoga CLO.

As of February 28, 2023, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $21.2 million. As of February 28, 2023, the fair value of its investment in the Class F-R-3 Notes of Saratoga CLO was $8.8 million. As of February 28, 2023, Saratoga CLO had investments with a principal balance of $645.6 million and a weighted average spread over LIBOR of 3.8% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. As of February 28, 2023, the present value of the projected future cash flows of the subordinated notes, was approximately $21.2 million, using a 22.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 which consists of additional investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021; to date the Company has since received distributions of $77.7 million, management fees of $31.9 million and incentive fees of $1.2 million.

As of February 28, 2022, the Company determined that the fair value of its investment in the subordinated notes of Saratoga CLO was $28.7 million. As of February 28, 2022, the fair value of its investment in the Class F-R-3 Notes of Saratoga CLO was $9.4 million. As of February 28, 2022, Saratoga CLO had investments with a principal balance of $660.2 million and a weighted average spread over LIBOR of 3.7% and had debt with a principal balance of $611.0 million with a weighted average spread over LIBOR of 2.2%. As of February 28, 2022, the present value of the projected future cash flows of the subordinated notes, was approximately $27.9 million, using a 15.0% discount rate. The Company’s total investment in the subordinate notes of Saratoga CLO is $57.8 million which consists of additional investments of $30 million in January 2008, $13.8 million in December 2018 and $14.0 million in February 2021; to date the Company has since received distributions of $72.8 million, management fees of $28.6 million and incentive fees of $1.2 million.

The separate audited financial statements of the Saratoga CLO as of February 28, 2023 and February 28, 2022, pursuant to Rule 3-09 of SEC rules Regulation S-X, and for the years ended February 28, 2023, February 28, 2022 and February 28, 2021, are presented on page S-1.

SLF JV [Member]

Investments [Line Items]

Investments

Note 5. Investment in SLF JV

On October 26, 2021, the Company and TJHA entered into the LLC Agreement to co-manage SLF JV. SLF JV is invested in Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd (“SLF 2021”), which is a wholly owned subsidiary of SLF JV. SLF 2021 was formed for the purpose of making investments in a diversified portfolio of broadly syndicated first lien and second lien term loans or bonds in the primary and secondary markets.

On September 30, 2022, SLF 2021 was renamed to Saratoga Investment Corp Senior Loan Fund 2022-1, Ltd. (“SLF 2022”).

The Company and TJHA have equal voting interest on all material decisions with respect to SLF JV, including those involving its investment portfolio, and equal control of corporate governance. No management fee is charged to SLF JV as control and management of SLF JV is shared equally.

The Company and TJHA have committed to provide up to a combined $50.0 million of financing to SLF JV through cash contributions, with the Company providing $43.75 million and TJHA providing $6.25 million, resulting in an 87.5% and 12.5% ownership between the two parties. The financing is issued in the form of an unsecured note and equity. The unsecured note will pay a fixed rate of 10.0% per annum and is due and payable in full on June 15, 2023. As of February 28, 2023, the Company and TJHA’s investment in SLF JV consisted of an unsecured note of $17.6 million and $2.5 million, respectively; and membership interest of $17.6 million and $2.5 million, respectively. As of February 28, 2022, the Company and TJHA’s investment in SLF JV consisted of an unsecured note of $13.1 million and $1.9 million, respectively; and membership interest of $13.1 million and $1.9 million, respectively. As of February 28, 2023, and February 28, 2022, the Company’s investment in the unsecured note of SLF JV had a fair value of $17.6 million and $13.1 million, respectively, and the Company’s investment in the membership interests of SLF JV had a fair value of $13.1 million and $12.0 million, respectively.

The Company has determined that SLF JV is an investment company under ASC 946; however, in accordance with such guidance the Company will generally not consolidate its investment in a company other than a wholly owned investment company subsidiary. SLF JV is not a wholly owned investment company subsidiary as the Company and TJHA each have an equal 50% voting interest in SLF JV and thus neither party has a controlling financial interest. Furthermore, ASC 810, Consolidation concludes that in a joint venture where both members have equal decision making authority, it is not appropriate for one member to consolidate the joint venture since neither has control. Accordingly, the Company does not consolidate SLF JV.

For the year ended February 28, 2023, the Company earned approximately $1.5 million of interest income related to SLF JV, which is included in interest income. As of February 28, 2023, approximately $0.4 million of interest income related to SLF JV was included in interest receivable.

For the period from October 26, 2021, through February 28, 2022, the Company earned approximately $0.1 million of interest income related to SLF JV, which is included in interest income. As of February 28, 2022, approximately $0.1 million of interest income related to SLF JV was included in interest receivable.

SLF JV’s initial investment in SLF 2022 was in the form of an unsecured loan. The unsecured loan paid a floating rate of LIBOR plus 7.00% per annum and was due and payable in full on June 9, 2023. The unsecured loan was repaid in full on October 28, 2022, as part of the CLO closing.

On October 28, 2022, SLF 2022 issued $402.1 million of the 2022 JV CLO Notes through the JV CLO trust. The 2022 JV CLO Notes were issued pursuant to the JV Indenture, with the Trustee. As part of the transaction, the Company purchased 87.50% of the Class E Notes from SLF 2022 with a par value of $12.25 million. As of February 28, 2023 and February 28, 2022, the fair value of these Class E Notes were $11.4 million and $0.0 million, respectively.