Great Elm Capital : Q1 2021 Earnings Presentation

Great Elm Capital Corp.

(NASDAQ: GECC)

Investor Presentation

Quarter Ended March 31, 2021

May 7, 2021

© 2021 Great Elm Capital Corp.

Forward Looking Statement

Statements in this communication that are not historical facts are "forward-looking" statements within the meaning of the federal securities laws. These statements are often, but not always, made through the use of words or phrases such as "expect," "anticipate," "should," "will," "estimate," "designed," "seek," "continue," "upside," "potential," "preliminary" and similar expressions. All such forward-looking statements involve estimates and assumptions that are subject to risks, uncertainties and other factors that could cause actual results to differ materially from the results expressed in the statements. Among the key factors that could cause actual results to differ materially from those projected in the forward-looking statements are: conditions in the credit markets, the price of GECC common stock, the performance of GECC's portfolio and investment manager and risks associated with the economic impact of the COVID-19 pandemic on GECC and its portfolio companies. Information concerning these and other factors can be found in GECC's Annual Report on Form 10-K and other reports filed with the SEC. GECC assumes no obligation to, and expressly disclaims any duty to, update any forward-looking statements contained in this communication or to conform prior statements to actual results or revised expectations except as required by law. Readers are cautioned not to place undue reliance on these forward-looking statements that speak only as of the date hereof.

You should consider the investment objective, risks, charges and expenses of GECC carefully before investing. GECC's filings with the SEC contain this and other information about GECC and are available by contacting GECC at the phone number and address at the end of this presentation. The SEC also maintains a website that contains the aforementioned documents. The address of the SEC's website is http://www.sec.gov. These documents should be read and considered carefully before investing.

The performance, distributions and financial data contained herein represent past performance, distributions and results and neither guarantees nor is indicative of future performance, distributions or results. Investment return and principal value of an investment will fluctuate so that an investor's shares may be worth more or less than the original cost. GECC's market price and net asset value will fluctuate with market conditions. Current performance may be lower or higher than the performance data quoted. All information and data, including portfolio holdings and performance characteristics, is as of March 31, 2021, unless otherwise noted, and is subject to change.

This presentation does not constitute an offer of any securities for sale.

May 2021

© 2021 Great Elm Capital Corp.

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About GECC

Great Elm

Capital Corp.

Investment Objective

Portfolio

(as of 3/31/2020)

• Externally managed, total-return-focused BDC
• Liquid balance sheet
• Directors of GECC, employees of GECM and officers and directors of GECM's parent, including investment funds managed by directors of GECM's parent, own approximately 42.5% of GECC's outstanding shares
• To generate current income and capital appreciation by investing in debt and income generating equity securities, including investments in specialty finance businesses
• $193.6 million of portfolio fair value; $91.5 million of net asset value
• Debt investments carry a weighted average current yield of 10.9%1
• 43 investments (33 debt, 10 equity) in 33 companies across 24 industries, excluding investments in SPACs

1. Weighted average current yield is based upon the stated coupon rate and fair value of outstanding debt securities at the measurement date.

May 2021

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First Quarter 2021 Overview: Capital Deployment and Monetization

Deployment of

Capital

Monetization of Investments

Attractive

Funding

Sources

1. As of May 5, 2021

• During Q1 2021, deployed $43.9 million, excluding SPACs, into 21 investments at a weighted average current yield of 9.85% and a weighted average price of 96% of par
• Deployed approximately $14.5 million into SPAC securities during the period
• During Q1 2021, monetized $23.7 million, excluding SPACs, across 20 investments, in whole or in part, at a weighted average current yield of 11.6% and a weighted average price of 89% of par
• • This includes the complete exit of 10 positions during the quarter
• Monetized $4.5 million of SPAC securities during the period
• GECCL 6.50% Notes due September 2022
• GECCN 6.50% Notes due June 2024
• GECCM 6.75% Notes due January 2025
• New $25.0 Million Credit Facility(1) with a 3 Year Term at LIBOR rate plus 3.50%

May 2021

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First Quarter 2021: Net Investment Income ("NII") Analysis

• NII for the quarter ended March 31, 2021 was approximately $1.5 million, or $0.06 per share(1), as compared to NII of $1.6 million or $0.07 per share for the quarter ended December 31, 2020
• • NII was impacted by slower than anticipated deployment of capital

$ in $000s

$7,000

$6,000

$5,000 $4,000

$3,000 $2,000 $1,000 $0

NII by Quarter

During the quarter ended June 30, 2020, we began repositioning the portfolio, including taking actions to create liquidity that had the effect of depressing net investment income ("NII")

Specifically, as the impact of COVID-19 increased volatility in the leveraged credit secondary markets, we monetized investments in anticipation of more attractive redeployment opportunities

Q1 2018

Q2 2018

Q3 2018

Q4 2018

Q1 2019

Q2 2019

Q3 2019

Q4 2019

Q1 2020

Q2 2020

Q3 2020

Q4 2020

Q1 2021

1. Based on weighted average shares outstanding of 23,401,837 for the quarter ended March 31, 2021, and 22,249,283 for the quarter ended December 31, 2020.

May 2021

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