----

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| x | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
|---|--------------------------------------------------------------------------------------------|

| o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
|---|------------------------------------------------------------------------------------------------|

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| Maryland                                                          | 27-2857503                          |
|-------------------------------------------------------------------|-------------------------------------|
| (State or other jurisdictionof incorporation or organization)     | (I.R.S. EmployerIdentification No.) |
|                                                              |                                |
| CNL Center at City Commons450 South Orange AvenueOrlando, Florida | 32801                               |
| (Address of principal executive offices)                          | (Zip Code)                          |

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| Title of each class |   | Name of exchange on which registered |
|---------------------|--------|--------------------------------------|
| None                |   | Not applicable                       |

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

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|       |          |                                                                                                               |      |
|------------|---------------|--------------------------------------------------------------------------------------------------------------------|-----------|
|       |          |                                                                                                               | Page      |
|       |          |                                                                                                               |      |
| Part I.    |          |                                                                                                               |
|       |          | Statement Regarding Forward Looking Information                                                                    | 1         |
|       | Item 1.  | Business                                                                                                           | 1         |
|       | Item 1A. | Risk Factors                                                                                                       | 6         |
|       | Item 1B. | Unresolved Staff Comments                                                                                          | 23        |
|       | Item 2.  | Properties                                                                                                         | 23        |
|       | Item 3.  | Legal Proceedings                                                                                                  | 23        |
|       | Item 4.       | Mine Safety Disclosures                                                                                            |   23 |
| Part II.   |          |                                                                                                               |
|       | Item 5.  | Market for Registrant’s Common Equity, Related Shareholder Matters and Issuer Purchases of Equity Securities | 24        |
|       | Item 6.  | Selected Financial Data                                                                                            | 27        |
|       | Item 7.  | Management’s Discussion and Analysis of Financial Condition and Results of Operations                        | 28        |
|       | Item 7A. | Quantitative and Qualitative Disclosures About Market Risk                                                         | 41        |
|       | Item 8.  | Financial Statements and Supplementary Data                                                                        | 43        |
|       | Item 9.  | Changes in and Disagreements With Accountants on Accounting and Financial Disclosure                               | 43        |
|       | Item 9A. | Controls and Procedures                                                                                            | 43        |
|       | Item 9B. | Other Information                                                                                                  | 44        |
|       |          |                                                                                                               |      |
| Part III.  |          |                                                                                                               |
|       | Item 10. | Directors, Executive Officers and Corporate Governance                                                             | 45        |
|       | Item 11. | Executive Compensation                                                                                             | 45        |
|       | Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters                     | 45        |
|       | Item 13. | Certain Relationships and Related Transactions and Director Independence                                           | 45        |
|       | Item 14. | Principal Accountant Fees and Services                                                                             | 45        |
|       |          |                                                                                                               |      |
| Part IV.   |          |                                                                                                               |
|       | Item 15. | Exhibits, Financial Statement Schedules                                                                            | 45        |
|       |          |                                                                                                               |      |
| Signatures | 48            |

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PART I

Statement Regarding Forward Looking Information

| Item  1. | Business |
|---------------|----------|

----

|   | • | Enterprise Size. We seek to provide capital to medium- and large-sized companies, which typically have more defensible market positions, stronger franchises and operations and better credit characteristics relative to their smaller peers. Although there are no strict lower or upper limits on the enterprise value of a company in which we may invest, we expect to focus on companies with enterprise values ranging from $100 million to $4 billion. We use the term “enterprise value” to refer to the acquisition value of an entire company based on the combined debt and equity value of such company. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Capital Structure. Our portfolio consists primarily of senior and subordinated debt, which may in some cases be accompanied by warrants, options, equity co-investments, or other forms of equity participation. We seek to invest in companies that generate free cash flow at the time of our investment and benefit from material investments from well-known equity investors. |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Management Team. We seek to prioritize investing in companies with strong, existing management teams that we believe have a clear strategic vision, long-standing experience in their industry and a successful operating track record. We favor companies in which management’s incentives appear to be closely aligned with the long-term performance of the business, such as through equity ownership. |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Stage of Business Life Cycle. We seek mature, privately owned businesses that have long track records of stable, positive cash flow. We do not intend to invest in start-up companies or companies with speculative business plans. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Industry Focus. While we will consider opportunities within all industries, we seek to prioritize industries having, in our view, favorable characteristics from a lending perspective. For example, we seek companies in established industries with stable competitive and regulatory frameworks, where the main participants have enjoyed predictable, less-volatile earnings. We give less emphasis to industries that are frequently characterized by less predictable and more volatile earnings. |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Geography. As a business development company under the 1940 Act, we focus on and invest at least 70% of our total assets in U.S. companies. To the extent we invest in foreign companies, we intend to do so in accordance with 1940 Act limitations and only in jurisdictions with established legal frameworks and a history of respecting creditor rights, including countries that are members of the European Union, as well as Canada, Australia and Japan. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                         |   | As of December 31, 2012            |        |
|------------------------------|--------|------------------------------------|-------------|
| Asset Category               |   | Investment Portfolio at Fair Value |        |   | Percentage of Investment Portfolio |   |   | TRS Reference Assetsat Fair Value |   |   | Percentage ofTRS Portfolio |   |
| Senior debt securities       |   | $                                  | 522,442,812 |   |   |   | 74.9 | % |   | $ | 128,005,782 |   |   |   | 77.7 | % |
| Subordinated debt securities |   |                               | 169,788,339 |   |   |   | 24.3 |   |   |   | 36,762,456 |   |   |   | 22.3 |   |
| Total debt securities        |   |                               | 692,231,151 |   |   |   | 99.2 |   |   |   | 164,768,238 |   |   |   | 100.0 |   |
| Common stock                 |   |                               | 453,397     |   |   |   | 0.1 |   |   |   | — |   |   |   | — |   |
| Preferred stock              |   |                               | 4,983,883   |   |   |   | 0.7 |   |   |   | — |   |   |   | — |   |
| Total equity securities      |   |                               | 5,437,280   |   |   |   | 0.8 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                  | 697,668,431 |   |   |   | 100.0 | % |   | $ | 164,768,238 |   |   |   | 100.0 | % |

|   | • | Proprietary Sourcing and Deal Origination. Our Advisors, through their deep industry relationships and investment teams that actively source new investments, provide us with immediate access to an established source of proprietary deal flow. CNL and KKR have built leading franchises and deep relationships with major companies, financial institutions and other investment and advisory institutions for sourcing new investments. KKR’s investment professionals are also organized into industry groups that conduct their own primary research, develop views on industry themes and trends and proactively work to identify companies in which to invest, often on an exclusive basis. We believe that our Advisors’ broad networks and the internal deal generation strategies of their investment teams create favorable opportunities to deploy capital across a broad range of originated transactions that have attractive investment characteristics. |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Focusing on Preserving Capital and Minimizing Losses. We believe that protecting principal and avoiding capital losses are critical to generating attractive risk-adjusted returns. Toward that end, our investment process is designed to: (i) utilize our Advisors' proprietary knowledge and deep industry relationships to identify attractive prospective portfolio companies, (ii) conduct rigorous due diligence to evaluate the creditworthiness of, and potential returns from, credit investments in such portfolio companies, (iii) stress test prospective investments to assess the viability of potential portfolio companies in a downside scenario and their ability to repay principal and (iv) structure investments and design covenants and other rights that anticipate and mitigate issues identified through this process. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | • | Experienced Management and Investment Expertise. Our Advisors each bring with them more than 35 years of investment experience that spans a broad range of economic, market and financial conditions. By accessing their combined resources, skills and experience, we believe we benefit from CNL’s contrarian investment philosophy of focusing on underserved, undercapitalized markets and KKR’s rigorous investment approach, industry expertise and experience investing throughout a company’s capital structure. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Disciplined Credit Analysis and Portfolio Monitoring. Our Advisors provide us with immediate access to an established platform for evaluating investments, managing risk and focusing on opportunities that generate superior returns with appropriate levels of risk. Through KKR, we benefit from an investment infrastructure that currently employs more than 200 investment professionals, including more than 50 credit-focused investment professionals that currently track over 400 corporate credits. This platform should allow for intensive due diligence to filter investment opportunities and help select investments that offer the most favorable risk/reward characteristics. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Versatile Transaction Structuring and Flexible Capital. Our Advisors have experience and expertise in evaluating and structuring investments at all levels of a company’s capital structure and with varying features, providing numerous tools to manage risk while preserving opportunities for income and capital appreciation. We seek to capitalize on this expertise to produce an investment portfolio that performs in a broad range of economic conditions while meeting the unique needs of a broad range of borrowers. Although we are subject to regulation as a business development company, we are not subject to many of the regulatory limitations that govern traditional lending institutions. As a result, we believe that we can be more flexible in selecting and structuring investments and adjusting investment criteria. We believe borrowers view this flexibility as a benefit, making us an attractive financing partner. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Long-Term Investment Horizon. We believe that our flexibility to make investments with a long-term perspective provides us with the opportunity to generate favorable returns on invested capital and expands the types of investments that we may consider. The long-term nature of our capital helps us avoid disposing of assets at unfavorable prices and we believe makes us a better partner for portfolio companies. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | • | Limited Leverage. We anticipate maintaining a relatively low level of leverage compared to traditional financial institutions and many unregulated investment funds. We believe that limiting our leverage will reduce volatility and risk in our portfolio. Furthermore, by maintaining prudent leverage levels, we believe we will be better positioned to weather market downturns. We do not foresee at any time reaching the 200% asset coverage ratio limitation, as defined in1940 Act, for business development companies.  We expect to borrow funds, consisting of senior securities, at an asset coverage ratio of approximately 250%. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

| Item 1A. | Risk Factors |
|---------------|--------------|

----

----

----

----

----

----

----

|   | ● | Senior Debt. When we invest in senior debt, we generally seek to take a security interest in the available assets of these portfolio companies, including in equity interests in any of their subsidiaries. There is a risk that the collateral securing our investments may decrease in value over time or lose its entire value, may be difficult to sell in a timely manner, may be difficult to appraise and may fluctuate in value based upon the success of the business and market conditions, including as a result of the inability of the portfolio company to raise additional capital. Also, in some circumstances, our lien could be subordinated to claims of other creditors. In addition, deterioration in a portfolio company’s financial condition and prospects, including its inability to raise additional capital, may be accompanied by deterioration in the value of the collateral for the loan. Consequently, the fact that a loan is secured does not guarantee that we will receive principal and interest payments according to the loan’s terms, or at all, or that we will be able to collect on the loan should we be forced to enforce our remedies. |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | Subordinated Debt. Our subordinated debt investments are generally subordinated to senior debt and are generally unsecured. This may result in a heightened level of risk and volatility or a loss of principal, which could lead to the loss of the entire investment. These investments may involve additional risks that could adversely affect our investment returns. To the extent interest payments associated with such debt are deferred, such debt may be subject to greater fluctuations in valuations, and such debt could subject us and our shareholders to non-cash income. Since we will not receive any principal repayments prior to the maturity of some of our subordinated debt investments, such investments will be of greater risk than amortizing loans. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | Equity Investments. We expect to make selected equity investments. In addition, when we invest in senior and subordinated debt, we may acquire warrants or options to purchase equity securities or benefit from other types of equity participation. Our goal is ultimately to dispose of these equity interests and realize gains upon our disposition of such interests. However, the equity interests we receive may not appreciate in value and, in fact, may decline in value. Accordingly, we may not be able to realize gains from our equity interests, and any gains that we do realize on the disposition of any equity interests may not be sufficient to offset any other losses we experience. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | ● | Original issue discount instruments may have unreliable valuations because the accruals require judgments about collectability. |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------|

|   | ● | Original issue discount instruments may create heightened credit risks because the inducement to trade higher rates for the deferral of cash payments typically represents, to some extent, speculation on the part of the borrower. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | For accounting purposes, cash distributions to shareholders representing original issue discount income do not come from paid-in capital, although they may be paid from the offering proceeds. Thus, although a distribution of original issue discount income comes from the cash invested by the shareholders, the 1940 Act does not require that shareholders be given notice of this fact. |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | In the case of payment-in-kind, or “PIK,” “toggle” debt, the PIK election has the simultaneous effects of increasing the assets under management, thus increasing the base management fee, and increasing the investment income, thus increasing the potential for realizing incentive fees. |
|--------|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | Original issue discount creates risk of non-refundable cash payments to the advisor based on non-cash accruals that may never be realized. |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | ● | foreign governmental laws, rules and policies, including those restricting the ownership of assets in the foreign country or the repatriation of profits from the foreign country to the United States; |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | foreign currency devaluations that reduce the value of and returns on our foreign investments; |
|--------|---------|------------------------------------------------------------------------------------------------|

|   | ● | adverse changes in the availability, cost and terms of investments due to the varying economic policies of a foreign country in which we invest; |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | adverse changes in tax rates, the tax treatment of transaction structures and other changes in operating expenses of a particular foreign country in which we invest; |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | ● | the assessment of foreign-country taxes (including withholding taxes, transfer taxes and value added taxes, any or all of which could be significant) on income or gains from our investments in the foreign country; |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | adverse changes in foreign-country laws, including those relating to taxation, bankruptcy and ownership of assets; |
|--------|---------|--------------------------------------------------------------------------------------------------------------------|

|   | ● | changes that adversely affect the social, political and/or economic stability of a foreign country in which we invest; |
|--------|---------|------------------------------------------------------------------------------------------------------------------------|

|   | ● | high inflation in the foreign countries in which we invest, which could increase the costs to us of investing in those countries; |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------|

|   | ● | deflationary periods in the foreign countries in which we invest, which could reduce demand for our assets in those countries and diminish the value of such investments and the related investment returns to us; and |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | legal and logistical barriers in the foreign countries in which we invest that materially and adversely limit our ability to enforce our contractual rights with respect to those investments. |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | ● | have reduced access to the capital markets, resulting in diminished capital resources and ability to withstand financial distress; |
|--------|---------|------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | may have limited financial resources and may be unable to meet their obligations under their debt securities that we hold, which may be accompanied by a deterioration in the value of any collateral and a reduction in the likelihood of us realizing any guarantees we may have obtained in connection with our investment; |
|--------|---------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | may have shorter operating histories, narrower product lines and smaller market shares than larger businesses, which tend to render them more vulnerable to competitors’ actions and changing market conditions, as well as general economic downturns; |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | are more likely to depend on the management talents and efforts of a small group of persons; therefore, the death, disability, resignation or termination of one or more of these persons could have a material adverse impact on our portfolio company and, in turn, on us; and |
|--------|---------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | generally have less predictable operating results, may from time to time be parties to litigation, may be engaged in rapidly changing businesses with products subject to a substantial risk of obsolescence, and may require substantial additional capital to support their operations, finance expansion or maintain their competitive position. In addition, our executive officers, directors and members of the Advisors’ management may, in the ordinary course of business, be named as defendants in litigation arising from our investments in the portfolio companies. |
|--------|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|   | ● | the failure to make principal payments when due or interest payments within three business days of when due; |
|--------|---------|--------------------------------------------------------------------------------------------------------------|

|   | ● | borrowings under the facility exceeding the applicable advance rates; |
|--------|---------|-----------------------------------------------------------------------|

|   | ● | the purchase by CCT Funding of certain ineligible assets; |
|--------|---------|-----------------------------------------------------------|

|   | ● | the insolvency or bankruptcy of us or CCT Funding; |
|--------|---------|----------------------------------------------------|

----

|   | ● | the decline of CCT Funding’s net asset value below a specified threshold; and |
|--------|---------|-------------------------------------------------------------------------------------|

|   | ● | fraud or other illicit acts by us, KKR or CNL in our or their respective investment advisory capacities. |
|--------|---------|----------------------------------------------------------------------------------------------------------|

|   | ● | certain key employees ceasing to be directors, principals, officers or investment managers of KKR; |
|--------|---------|----------------------------------------------------------------------------------------------------|

|   | ● | the bankruptcy or insolvency of KKR or CNL; |
|--------|---------|---------------------------------------------|

|   | ● | KKR’s ceasing to act as sub-advisor for us or CCT Funding, or CNL’s ceasing to act as investment adviser for us or CCT Funding; |
|--------|---------|---------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | our ceasing to act as CCT Funding’s investment manager, becoming bankrupt or insolvent, defaulting on certain material agreements or failing to maintain a net asset value above a specified threshold; and |
|--------|---------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | ● | fraud or other illicit acts by us, KKR or CNL in our or their respective investment advisory capacities. |
|--------|---------|----------------------------------------------------------------------------------------------------------|

----

----

----

|   | ● | changes in the value of our portfolio of investments and derivative instruments; |
|--------|---------|----------------------------------------------------------------------------------|

|   | ● | changes in regulatory policies or tax guidelines, particularly with respect to RICs or business development companies; |
|--------|---------|------------------------------------------------------------------------------------------------------------------------|

|   | ● | loss of RIC or business development company status; |
|--------|---------|-----------------------------------------------------|

|   | ● | distributions that exceed our net investment income and net income as reported according to GAAP; |
|--------|---------|---------------------------------------------------------------------------------------------------|

|   | ● | changes in earnings or variations in operating results; |
|--------|---------|---------------------------------------------------------|

|   | ● | changes in accounting guidelines governing valuation of our investments; |
|--------|---------|--------------------------------------------------------------------------|

|   | ● | any shortfall in revenue or net income or any increase in losses from levels expected by investors; |
|--------|---------|-----------------------------------------------------------------------------------------------------|

|   | ● | departure of either of our Advisors or certain of their respective key personnel; |
|--------|---------|-----------------------------------------------------------------------------------|

|   | ● | general economic trends and other external factors; and |
|--------|---------|---------------------------------------------------------|

|   | ● | loss of a major funding source. |
|--------|---------|---------------------------------|

----

|  Item 1B. | Unresolved Staff Comments |
|---------------------|---------------------------|

| Item 2. | Properties |
|--------------|------------|

| Item  3. | Legal Proceedings |
|---------------|-------------------|

| Item 4. | Mine Safety Disclosures |
|--------------|-------------------------|

----

PART II

| Item  5. | Market for Registrant’s Common Equity, Related Shareholder Matters and Issuer Purchases of Equity Securities |
|---------------|--------------------------------------------------------------------------------------------------------------------|

|                                   |   |  End of Quarter |   |   |                |   |
|----------------------------------------|--------|----------------------|--------|--------|---------------------|--------|
|                                   |   | NAV(1)               |   |   | PublicOfferingPrice |   |   | Net POP(2) |   |   | Net POPPremium toNAV(3) |   |   | Declared Distributionsper Share |   |
| Year Ended December 31, 2012 |   |                 |   |   |                |   |   |   |   |   |   |   |   |   |   |
| First Quarter                          |   | $                    | 9.66   |   |                | $      | 10.85 |   |   | $ | 9.76 |   |   |   | 1 | % |   | $ | 0.19 |   |
| Second Quarter                         |   | $                    | 9.64   |   |                | $      | 10.85 |   |   | $ | 9.76 |   |   |   | 1 | % |   | $ | 0.19 |   |
| Third Quarter                          |   | $                    | 9.78   |   |                | $      | 10.95 |   |   | $ | 9.86 |   |   |   | 1 | % |   | $ | 0.19 |   |
| Fourth Quarter                         |   | $                    | 9.75   |   |                | $      | 10.95 |   |   | $ | 9.86 |   |   |   | 1 | % |   | $ | 0.19 |   |
| Year Ended December 31, 2011 |   |                 |   |   |                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Second Quarter                         |   | $                    | 9.00   |   |                | $      | 10.00 |   |   | $ | 9.00 |   |   |   | 0 | % |   | $ | 0.00 |   |
| Third Quarter                          |   | $                    | 8.81   |   |                | $      | 10.00 |   |   | $ | 9.00 |   |   |   | 2 | % |   | $ | 0.19 |   |
| Fourth Quarter                         |   | $                    | 9.21   |   |                | $      | 10.25 |   |   | $ | 9.22 |   |   |   | 0 | % |   | $ | 0.18 |   |

| (1) | Net asset value per share (“NAV”) is determined as of the last day in the period. The NAVs are based on outstanding shares at the end of the period. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | Net public offering price excluding sales load (“Net POP”) is equal to public offering price less a 10% allowance for selling commissions and marketing support fees. Net POP is also the price employed in the distribution reinvestment plan. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (3) | Calculated at end of the period, Net POP divided by NAV, less 100%.                                                                                                                                                                                         |

----

|                                   |   | As of December 31, 2012 |       |
|----------------------------------------|--------|------------------------------|------------|
|                                   |   | Shares                  |       |   | Amount  |   |
| Gross Proceeds from Offering           |   |                         | 61,542,375 |   |   | $ | 659,266,958 |   |
| Commissions and Marketing Support Fees |   |                         |       |   |   |   | (62,232,876 | ) |
| Reinvestment of Distributions          |   |                         | 1,236,728  |   |   |   | 12,098,346 |   |
| Net Proceeds to Company                |   |                         | 62,779,103 |   |   | $ | 609,132,428 |   |
| Average Net Proceeds Per Share         |   | $9.70                        |       |

| (1)            |   | (2)                    |          |   | (3)                                                            |   |    | (4)                                                                    |   |
|----------------|--------|------------------------|---------------|--------|----------------------------------------------------------------|--------|---------|------------------------------------------------------------------------|--------|
| Title of Class |   | AmountAuthorized  |          |   | Amount Held by Us or for Our Account  |   |    | Amount Outstanding Exclusiveof Amount Under Column (3)  |   |
| Common Stock   |   |                   | 1,000,000,000 |   |                                                           |   | — |                                                                   |   |   | 76,357,864 |   |

| Period                                     |   | TotalNumber ofSharesPurchased |   |   | Average PricePaid per Share |   |   | Total Number ofShares Purchased asPart of PubliclyAnnouncedPrograms |   |   | MaximumNumber of Sharesthat May Yet BePurchased Underthe Program |   |
|--------------------------------------------|--------|-------------------------------|--------|--------|----------------------------------|--------|--------|---------------------------------------------------------------------|--------|--------|------------------------------------------------------------------|--------|
| October 1, 2012 through October 31, 2012   |   |                          | -      |   |                             |   | -      |                                                                |   |   | -                                                                |   |   |   | - |   |
| November 1, 2012 through November 30, 2012 |   |                          | 25,405 |   |                             | $      | 9.79   |                                                                |   |   | 25,405                                                           |   |   |   | - |   |
| December 1, 2012 through December 31, 2012 |   |                          | -      |   |                             |   | -      |                                                                |   |   | -                                                                |   |   |   | - |   |
| Total                                      |   |                          | 25,405 |   |                             | $      | 9.79   |                                                                |   |   | 25,405                                                           |   |   |   | - |   |

----

|    |   | Cash Distributions Declared Per Share |     |
|---------|--------|---------------------------------------|----------|
| Quarter |   | 2012                                  |     |   | 2011 |   |
| First   |   | $                                     | 0.185700 |   |   | $ | — |   |
| Second  |   |                                  | 0.189878 |   |   |   | — |   |
| Third   |   |                                  | 0.189878 |   |   |   | 0.175006 |   |
| Fourth  |   |                                  | 0.189878 |   |   |   | 0.191492 |   |
| Total   |   | $                                     | 0.755334 |   |   | $ | 0.366498 |   |

| Record Date                       |   | DistributionPayment Date |   | Declared DistributionPer Share Per Record Date |     |
|-----------------------------------|--------|--------------------------|--------|------------------------------------------------|----------|
| January 2, 8, 15, 22 and 29, 2013 |   | January 30, 2013         |   | $                                              | 0.015004 |   |
| February 5, 12, 19 and 26, 2013   |   | February 27, 2013        |   | $                                              | 0.015004 |   |
| March 5, 12, 19 and 26, 2013      |   | March 27, 2013           |   | $                                              | 0.015004 |   |
| April 2, 9, 16, 23 and 30         |   | May 1, 2013              |   | $                                              | 0.015004 |   |
| May 7, 14, 21 and 28              |   | May 29, 2013             |   | $                                              | 0.015004 |   |
| June 4, 11, 18 and 25             |   | June 26, 2013            |   | $                                              | 0.015004 |   |

----

Item 6. Selected Financial Data

|                                                                         |                               | (U.S. dollar amounts in thousands, except per share data) |    |
|------------------------------------------------------------------------------|------------------------------------|-----------------------------------------------------------------------------------------|---------|
|                                                                         |                               |                                                                                    |    |   |   |   |  Period from |   |
|                                                                         |                               |                                                                                    |    |   |   |   |  June 9, 2010 |   |
| Statement of operations data:                                                |                               |                                                                                    |    |   |   |   |  (Inception) to |   |
|                                                                         |  Year Ended December 31, |                                                                                    |    | December 31, |   |
|                                                                         |  2012                         |                                                                                    |    |  2011 |   |   | 2010 |   |
|                                                                         |                               |                                                                                    |    |   |   |   |   |   |
| Investment income                                                            |                               | $                                                                                       | 35,582  |   |   | $ | 959 |   |   | $ | — |   |
| Operating expenses                                                           |                               |                                                                                    |    |   |   |   |   |   |   |   |   |   |
| Total expenses                                                               |                               |                                                                                    | 19,651  |   |   |   | 1,481 |   |   |   | — |   |
| Reimbursement of expense support                                             |                               |                                                                                    | 1,829   |   |   |   | — |   |   |   |   |   |
| Advisors’ Expense support                                              |                               |                                                                                    | (1,590  | ) |   |   | (1,376 | ) |   |   | — |   |
| Net expenses                                                                 |                               |                                                                                    | 19,890  |   |   |   | 106 |   |   |   | — |   |
| Net investment income                                                        |                               |                                                                                    | 15,692  |   |   |   | 853 |   |   |   | — |   |
| Realized and unrealized gain                                                 |                               |                                                                                    | 9,962   |   |   |   | 529 |   |   |   | — |   |
| Net increase in net assets resulting from operations                         |                               | $                                                                                       | 25,654  |   |   | $ | 1,382 |   |   | $ | — |   |
| Per share data:                                                              |                               |                                                                                    |    |   |   |   |   |   |   |   |   |   |
| Net investment income - basic and diluted                                    |                               | $                                                                                       | 0.50    |   |   | $ | 0.67 |   |   |   |   |   |
| Net increase in net assets resulting from operations—basic and diluted |                               | $                                                                                       | 0.82    |   |   | $ | 1.09 |   |   |   |   |   |
| Distributions declared                                                       |                               | $                                                                                       | 0.76    |   |   | $ | 0.37 |   |   |   |   |   |
| Balance sheet data:                                                          |                               |                                                                                    |    |   |   |   |   |   |   |   |   |   |
| Total assets                                                                 |                               | $                                                                                       | 850,324 |   |   | $ | 116,223 |   |   | $ | 200 |   |
| Credit facility                                                              |                               | $                                                                                       | 159,620 |   |   | $ | 25,340 |   |   |   | — |   |
| Total net assets                                                             |                               | $                                                                                       | 611,484 |   |   | $ | 65,163 |   |   | $ | 200 |   |
| Other data:                                                                  |                               |                                                                                    |    |   |   |   |   |   |   |   |   |   |
| Total investment return-net price(1)                                         |                               |                                                                                    | 14.2    | % |   |   | 6.5 | % |   |   | — |   |
| Total investment return-net asset value(2)                                   |                               |                                                                                    | 14.3    | % |   |   | 6.5 | % |   |   |   |   |
| Number of portfolio companies at period end                                  |                               |                                                                                    | 126     |   |   |   | 110 |   |   |   | — |   |
| Total portfolio investments for the period                                   |                               | $                                                                                       | 991,952 |   |   | $ | 106,811 |   |   |   | — |   |
| Investment sales and prepayments for the period                              |                               | $                                                                                       | 410,530 |   |   | $ | 482 |   |   |   | — |   |

| (1) | Total investment return-net price is a measure of total return for shareholders who purchased the Company’s common stock at the beginning of the period, including dividends declared during the period. Total investment return-net price is based on (i) the purchase of one share at the public offering price, net of sales load, on the first day of the period, (ii) the sale at the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) the cash payment for distributions payable, if any, on the last day of the period. The total investment return-net price calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at the then public offering price, net of sales load, on each monthly distribution payment date. There is no public market for the Company’s shares and the market value at sale is assumed to be equal to net asset value per share on the last day of the period.  The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results.  Investment performance is presented without regard to sales load that may be incurred by our shareholders in the purchase of the Company’s shares of common stock. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s common stock at the beginning and end of the period, including dividends declared during the period. Total investment return-net asset value is based on (i) the beginning period net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) the value of distributions payable, if any, on the last day of the period. The total investment return-net asset value calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at the then public offering price, net of sales load, on each monthly distribution payment date. There is no public market for the Company’s shares.  The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results.  Investment performance is presented without regard to sales load that may be incurred by our shareholders in the purchase of the Company’s shares of common stock. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

Item 7.  Management’s Discussion and Analysis of Financial Condition and Results of Operations

----

----

| ($ in millions except per share data)                                         |   |
|-------------------------------------------------------------------------------|--------|
| Year ended December 31,                                                       |   | 2012 |   |   | 2011 |   |
| Total assets                                                                  |   | $ | 850.32 |   |   | $ | 116.22 |   |
| Adjusted total assets (Total assets net of payable for investments purchased) |   | $ | 777.89 |   |   | $ | 91.51 |   |
| Investment in portfolio companies                                             |   | $ | 697.67 |   |   | $ | 106.59 |   |
| Borrowings -credit facility                                                   |   | $ | 159.62 |   |   | $ | 25.34 |   |
| Borrowings - TRS deemed senior securities                                     |   | $ | 76.05 |   |   | $ | — |   |
| Net assets                                                                    |   | $ | 611.48 |   |   | $ | 65.16 |   |
| Average net assets                                                            |   | $ | 304.26 |   |   | $ | 20.93 |   |
| Average credit facility borrowings                                            |   | $ | 110.07 |   |   | $ | 4.08 |   |
| Net asset value per share                                                     |   | $ | 9.75 |   |   | $ | 9.21 |   |
| Leverage ratio (Borrowings/Adjusted total assets)                             |   |   | 30 | % |   |   | 28 | % |

| PortfolioActivityfortheYearEndedDecember31,                                                                    |   |   | 2012   |   |   |   | 2011   |   |
|----------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|--------|--------|--------|--------|
| Cost of investments purchased                                                                                  |   | $      | 991.95 |   |   | $      | 106.81 |   |
| Sales, principal payments and other exits                                                                      |   | $      | 410.53 |   |   | $      | 0.48   |   |
| Number of portfolio companies at end of period                                                                 |   |   | 126    |   |   |   | 110    |   |
| Net investment income                                                                                          |   | $      | 15.69  |   |   | $      | 0.85   |   |
| Net realized gains on investments and foreign currency transactions                                            |   | $      | 3.04   |   |   | $      | 0.01   |   |
| Net change in unrealized appreciation on investments, derivative instruments and foreign currency translation: |   | $      | 6.92   |   |   | $      | 0.52   |   |
| Net increase in net assets from operations                                                                     |   | $      | 25.65  |   |   | $      | 1.38   |   |
| Total distributions declared                                                                                   |   | $      | 23.32  |   |   | $      | 0.86   |   |
| Calendar year paid distribution as % of taxable income                                                         |   |   | 97     | %      |   |   | 88     | %      |
| Net investment income before incentive fees per share                                                          |   | $      | 0.56   |   |   | $      | 0.89   |   |
| Net investment income per share                                                                                |   | $      | 0.50   |   |   | $      | 0.67   |   |
| Earnings per share                                                                                             |   | $      | 0.82   |   |   | $      | 1.09   |   |
| Distributions declared per share outstanding for the entire period                                             |   | $      | 0.76   |   |   | $      | 0.37   |   |

| CommonStockOfferingSummaryfortheYearEndedDecember 31, |   |   | 2012   |   |   |   | 2011  |   |
|-------------------------------------------------------|--------|--------|--------|--------|--------|--------|-------|--------|
| Gross proceeds                                        |   | $      | 588.37 |   |   | $      | 70.90 |   |
| Net proceeds to Company                               |   | $      | 532.86 |   |   | $      | 64.17 |   |
| Average net proceeds per share                        |   | $      | 9.77   |   |   | $      | 9.14  |   |
| Shares issued in connection with offering             |   |   | 54.52  |   |   |   | 7.02  |   |

----

----

|                         |   | As of December 31, 2012            |        |
|------------------------------|--------|------------------------------------|-------------|
| Asset Category               |   | Investment Portfolio at Fair Value |        |   | Percentage ofInvestmentPortfolio |   |   | TRS Reference Assetsat Fair Value |   |   | Percentage ofTRS Portfolio |   |
| Senior debt securities       |   | $                                  | 522,442,812 |   |   |   | 74.9 | % |   | $ | 128,005,782 |   |   |   | 77.7 | % |
| Subordinated debt securities |   |                               | 169,788,339 |   |   |   | 24.3 |   |   |   | 36,762,456 |   |   |   | 22.3 |   |
| Total debt securities        |   |                               | 692,231,151 |   |   |   | 99.2 |   |   |   | 164,768,238 |   |   |   | 100.0 |   |
| Common stock                 |   |                               | 453,397     |   |   |   | 0.1 |   |   |   | — |   |   |   | — |   |
| Preferred stock              |   |                               | 4,983,883   |   |   |   | 0.7 |   |   |   | — |   |   |   | — |   |
| Total equity securities      |   |                               | 5,437,280   |   |   |   | 0.8 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                  | 697,668,431 |   |   |   | 100.0 | % |   | $ | 164,768,238 |   |   |   | 100.0 | % |

|                         |   | As of December 31, 2012                |        |
|------------------------------|--------|----------------------------------------|-------------|
| Asset Category               |   | Investment Portfolio at Amortized Cost |        |   | Percentage ofInvestmentPortfolio |   |   | TRS Reference Assetsat Notional Amount |   |   | Percentage ofTRS Portfolio |   |
| Senior debt securities       |   | $                                      | 519,196,084 |   |   |   | 75.1 | % |   | $ | 127,732,013 |   |   |   | 77.9 | % |
| Subordinated debt securities |   |                                   | 166,981,595 |   |   |   | 24.1 |   |   |   | 36,279,761 |   |   |   | 22.1 |   |
| Total debt securities        |   |                                   | 686,177,679 |   |   |   | 99.2 |   |   |   | 164,011,774 |   |   |   | 100.0 |   |
| Common stock                 |   |                                   | 448,908     |   |   |   | 0.1 |   |   |   | — |   |   |   | — |   |
| Preferred stock              |   |                                   | 4,800,812   |   |   |   | 0.7 |   |   |   | — |   |   |   | — |   |
| Total equity securities      |   |                                   | 5,249,720   |   |   |   | 0.8 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                      | 691,427,399 |   |   |   | 100.0 | % |   | $ | 164,011,774 |   |   |   | 100.0 | % |

----

|                         |   | As of December 31, 2011               |        |
|------------------------------|--------|---------------------------------------|-------------|
| Asset Category               |   | Investment Portfolioat Amortized Cost |        |   | Investment Portfolio at Fair Value |   |   | Percentage ofInvestment Portfolio |   |
| Senior debt securities       |   | $                                     | 71,398,157  |   |   | $ | 71,609,433 |   |   |   | 67.2 | % |
| Subordinated debt securities |   |                                  | 34,613,494  |   |   |   | 34,877,800 |   |   |   | 32.7 |   |
| Total debt securities        |   |                                  | 106,011,651 |   |   |   | 106,487,233 |   |   |   | 99.9 |   |
| Preferred stock              |   |                                  | 99,595      |   |   |   | 102,524 |   |   |   | 0.1 |   |
| Total                        |   | $                                     | 106,111,246 |   |   | $ | 106,589,757 |   |   |   | 100.0 | % |

|                                                                    |   | Portfolio DebtInvestments as of December 31, |   | TRS Reference Assetsas of December 31, |
|-------------------------------------------------------------------------|--------|---------------------------------------------------|--------|----------------------------------------|
| Floating interest rate investments:                                     |   | 2012                                              |   | 2011                                   |   | 2012 |
| Percent of portfolio (1)                                                |   | 57.3                                              | %      |                                   | 58.5 | % |   | 73.7 | % |
| Percent of floating rate debt investments with interest rate floors (1) |   | 87.3                                              | %      |                                   | 65.2 | % |   | 87.0 | % |
| Weighted average interest rate floor                                    |   | 1.4                                               | %      |                                   | 1.5 | % |   | 1.2 | % |
| Weighted average coupon spread (2)                                      |   | 595                                               | bps    |                                   | 468 | bps |   | 433 | bps |
| Weighted average years to maturity (2)                                  |   | 5.2                                               |   |                                   | 4.9 |   |   | 5.8 |   |
|                                                                    |   |                                              |   |                                   |   |   |   |   |   |
| Fixed interest rate investments:                                        |   |                                              |   |                                   |   |   |   |   |   |
| Percent of portfolio (1)                                                |   | 42.7                                              | %      |                                   | 41.5 | % |   | 26.3 | % |
| Weighted average coupon rate (2)                                        |   | 9.5                                               | %      |                                   | 9.3 | % |   | 8.3 | % |
| Weighted average years to maturity (2)                                  |   | 5.6                                               |   |                                   | 5.3 |   |   | 7.0 |   |

----

|                                   |   | Portfolio Investmentsas of December 31, |   |   | TRS Reference Assetsas of December 31, |   |
|----------------------------------------|--------|-----------------------------------------|--------|--------|----------------------------------------|--------|
| IndustryClassification                 |   | 2012                                    |   |   | 2011                                   |   |   | 2012 |   |
| Capital Goods                          |   |                                    | 13.7   | %      |                                   | 3.4    | % |   | 15.0 | % |
| Media                                  |   |                                    | 11.0   |   |                                   | 8.1    |   |   | 13.8 |   |
| Materials                              |   |                                    | 9.9    |   |                                   | 3.4    |   |   | 3.7 |   |
| Retailing                              |   |                                    | 9.2    |   |                                   | 12.6   |   |   |                     — |   |
| Software & Services                |   |                                    | 9.1    |   |                                   | 14.6   |   |   | 15.6 |   |
| Technology Hardware & Equipment    |   |                                    | 7.8    |   |                                   | 4.6    |   |   | 2.4 |   |
| Insurance                              |   |                                    | 6.2    |   |                                   | 2.4    |   |   | 1.8 |   |
| Health Care Equipment & Services   |   |                                    | 6.2    |   |                                   | 6.9    |   |   | 7.7 |   |
| Telecommunication Services             |   |                                    | 4.1    |   |                                   | 9.0    |   |   | 8.2 |   |
| Consumer Services                      |   |                                    | 3.7    |   |                                   | 4.9    |   |   | 5.4 |   |
| Commercial & Professional Services |   |                                    | 3.4    |   |                                   | 3.2    |   |   |                     — |   |
| Remaining Industries                   |   |                                    | 15.7   |   |                                   | 26.9   |   |   | 26.4 |   |
| Total                                  |   |                                    | 100.0  | %      |                                   | 100.0  | % |   | 100.0 | % |

----

----

----

| For the Year Ended December 31, |   | Per Share |     |   | Amount |   |
|---------------------------------|--------|-----------|----------|--------|--------|--------|
| 2011                            |   | $         | 0.366498 |   |   | $      | 855,670 |   |
| 2012                            |   | $         | 0.755374 |   |   | $      | 23,321,854 |   |

----

----

----

----

|                                      |   | Total  |   |   | < 1 year |   |   | 1-3 years |   |   | 3-5 years |   |   | After 5 years |    |
|-------------------------------------------|--------|--------|--------|--------|-------------|--------|--------|-----------|--------|--------|-----------|--------|--------|---------------|---------|
| Revolving Credit Facility (1)             |   | $      | 159.62 |   |        | $      | 159.62 |      |   | $      | —   |   |   | $             | — |   |   | $ | — |   |
| Interest and Credit Facility Fees Payable |   |   | 0.25   |   |        |   | 0.25   |      |   |   | —   |   |   |          | — |   |   |   | — |   |

| Item  7A.  | Quantitative and Qualitative Disclosures About Market Risk |
|----------------------|------------------------------------------------------------|

----

----

|                                                                                      |   |      |   |       | ($ amounts in millions except per share data) |   |
|-------------------------------------------------------------------------------------------|--------|-----------|--------|------------|-----------------------------------------------|--------|
|                                                                                      |   |  Par |   | Weighted   |   Increases in LIBOR                     |
|                                                                                      |   | Amount    |   | Avg. Floor | +50 bps                                       |   | +100 bps |   | +150 bps |   | +200 bps |   |
|                                                                                      |   |      |   |       |                                          |   |   |   |   |   |   |   |   |   |   |   |   |
| No base rate floor                                                                        |   | $         | 50.57  |       |                                          | $      | 0.225 |   | $ | 0.451 |   | $ | 0.676 |   | $ | 0.901 |   |
| Base rate floor                                                                           |   | $         | 348.96 |       | 1.35%                                         |   | 0.000 |   |   | 0.120 |   |   | 1.399 |   |   | 2.911 |   |
| Increase in Floating Rate Interest Income                                                 |   |      |   |       |                                          |   | 0.225 |   |   | 0.571 |   |   | 2.075 |   |   | 3.812 |   |
|                                                                                      |   |      |   |       |                                          |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                                      |   |      |   |       | LIBOR + Spread                                |   |   |   |   |   |   |   |   |   |   |   |   |
| Tranche A Loans                                                                           |   | $         | 75.00  |       | L(30) + 170 bps                               | $      | (0.375 | ) | $ | (0.750 | ) | $ | (1.125 | ) | $ | (1.500 | ) |
| Tranche B (B2) Loans                                                                      |   | $         | 84.62  |       | L(90) + 235 bps                               |   | (0.423 | ) |   | (0.846 | ) |   | (1.269 | ) |   | (1.692 | ) |
| Increase to Floating Rate Interest Expense                                                |   |      |   |       |                                          |   | (0.798 | ) |   | (1.596 | ) |   | (2.394 | ) |   | (3.192 | ) |
| Change in Floating Rate Net Interest Income, before TRS                                   |   |      |   |       |                                          |   | (0.573 | ) |   | (1.025 | ) |   | (0.319 | ) |   | 0.620 |   |
| Net change in TRS unrealized appreciation (depreciation) (1)                              |   |      |   |       |                                          |   | (0.751 | ) |   | (1.417 | ) |   | (1.723 | ) |   | (2.020 | ) |
| Overall Change in Floating Rate Net Interest Income, including TRS                        |   |      |   |       |                                          | $      | (1.324 | ) | $ | (2.442 | ) | $ | (2.042 | ) | $ | (1.400 | ) |
| Change in Floating Rate Net Interest Income Per Share Outstanding as of December 31, 2012 |   |      |   |       |                                          | $      | (0.02 | ) | $ | (0.04 | ) | $ | (0.03 | ) | $ | (0.02 | ) |

| (1) | Pursuant to the TRS Agreements, Halifax Funding receives from BNS all collected interest and fees derived from  the TRS reference assets and pays to BNS interest at a rate equal to three-month LIBOR+80 bps per annum on the settled notional amount of TRS reference assets. As of December 31, 2012, 73.7% of the TRS reference assets, or approximately $121.46 million measured at market value, featured floating or variable interest rates.  At December 31, 2012, approximately 87.0% of the TRS reference assets with variable interest rates featured minimum base rate floors, or approximately $105.70 million measured at fair value, and the weighted average base rate floor for such TRS reference assets was 1.22%.  As of December 31, 2012, the total notional amount of the portfolio of TRS reference assets was $164.01 million, and the settled notional amount was $105.36 million.  For the purpose of presenting this net interest sensitivity analysis, we have assumed that all TRS reference assets are settled as of January 1, 2013 and that the settled notional amount would equal $164.01 million upon which the financing payments are based. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Item  8. | Financial Statements and Supplementary Data. |
|---------------|----------------------------------------------|

| Item  9. | Changes in and Disagreements With Accountants on Accounting and Financial Disclosure |
|---------------|--------------------------------------------------------------------------------------|

| Item  9A. | Controls and Procedures |
|----------------|-------------------------|

----

| Item  9B. | Other Information |
|----------------|-------------------|

----

PART III

| Item  10. | Directors, Executive Officers and Corporate Governance |
|----------------|--------------------------------------------------------|

| Item  11. | Executive Compensation |
|----------------|------------------------|

| Item  12. | Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters |
|----------------|------------------------------------------------------------------------------------------------|

| Item 13.     | Certain Relationships and Related Transactions and Director Independence |
|---------------------------------------|--------------------------------------------------------------------------|

| Item 14.     | Principal Accountant Fees and Services |
|---------------------------------------|----------------------------------------|

PART IV

Exhibits and Financial Statement Schedules

|            |                                                                                                                                                                                                                                                                                                   |   |
|-----------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
| a.              | The following financial statements are filed as part of this report in Part II, Item 8:                                                                                                                                                                                                                |   |
|            |                                                                                                                                                                                                                                                                                                   | Page   |
|            | Report of Independent Registered Certified Public Accounting Firm                                                                                                                                                                                                                                      | F-1    |
|            | Consolidated Statements of Assets and Liabilities                                                                                                                                                                                                                                                      | F-2    |
|            | Consolidated Statements of Operations                                                                                                                                                                                                                                                                  | F-3    |
|            | Consolidated Statements of Changes in Net Assets                                                                                                                                                                                                                                                       | F-4    |
|            | Consolidated Statements of Cash Flows                                                                                                                                                                                                                                                                  | F-5    |
|            | Consolidated Schedule of Investments                                                                                                                                                                                                                                                                   | F-6    |
|            | Notes to Consolidated Financial Statements                                                                                                                                                                                                                                                             | F-21   |
|            |                                                                                                                                                                                                                                                                                                   |
| b.              | No financial statement schedules are being filed because the required information is not applicable or is presented in the consolidated financial statements or notes.                                                                                                                                 |
|            |                                                                                                                                                                                                                                                                                                   |
| c.              | The following exhibits are filed or incorporated as part of this report.                                                                                                                                                                                                                               |
|            |                                                                                                                                                                                                                                                                                                   |
|   3.1 | Second Amended and Restated Articles of Incorporation of the Registrant. (Incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on May 8, 2012.)                                                                                                            |
|            |                                                                                                                                                                                                                                                                                                   |
|   3.2 | Amended and Restated Bylaws of the Registrant. (Incorporated by reference to Exhibit 2(b) filed with Pre-Effective Amendment No. 3 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on March 29, 2011.)                                                 |
|            |                                                                                                                                                                                                                                                                                                   |
| 10.1            | Form of Managing Dealer Agreement by and between the Registrant and CNL Securities Corp. (Incorporated by reference to Exhibit 2(h)(1) filed with Pre-Effective Amendment No. 2 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on February 18, 2011.) |
|            |                                                                                                                                                                                                                                                                                                   |
| 10.2            | Form of Participating Broker Agreement. (Incorporated by reference to Exhibit 2(h)(2) filed with Pre-Effective Amendment No. 2 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on February 18, 2011.)                                                  |
|            |                                                                                                                                                                                                                                                                                                   |
| 10.3            | Form of Distribution Reinvestment Plan. (Incorporated by reference to Exhibit 2(e) filed with Pre-Effective Amendment No. 2 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on February 18, 2011.)                                                     |

----

| 10.4   | Form of Intellectual Property License Agreement by and between the Registrant and CNL Intellectual Properties, Inc. (Incorporated by reference to Exhibit 2(k)(3) filed with Pre-Effective Amendment No. 2 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on February 18, 2011.)                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.5   | Administrative Services Agreement by and between the Registrant and CNL Fund Advisors Company. (Incorporated by reference to Exhibit 2(k)(2) filed with Pre-Effective Amendment No. 3 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on March 29, 2011.)                                                                                                                                                               |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.6   | Custodian Agreement. (Incorporated by reference to Exhibit 2(j) filed with Pre-Effective Amendment No. 3 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on March 29, 2011.)                                                                                                                                                                                                                                            |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.7   | Investment Advisory Agreement by and between the Registrant and CNL Fund Advisors Company. (Incorporated by reference to Exhibit 2(g)(1) filed with Pre-Effective Amendment No. 3 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on March 29, 2011.)                                                                                                                                                                   |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.8   | Sub-Advisory Agreement by and among the Registrant, CNL Fund Advisors Company and KKR Asset Management LLC. (Incorporated by reference to Exhibit 2(g)(2) filed with Pre-Effective Amendment No. 3 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on March 29, 2011.)                                                                                                                                                  |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.9   | Amended and Restated Escrow Agreement by and among the Registrant, UMB Bank N.A., and CNL Securities Corp. (Incorporated by reference to Exhibit 10.10 to the Company’s Quarterly Report on Form 10-Q filed on August 12, 2011.)                                                                                                                                                                                                                                  |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.10  | Selected Dealer Agreement among the Registrant, CNL Securities Corp., CNL Fund Advisors Company, CNL Financial Group, LLC, KKR Asset Management LLC and Ameriprise Financial Services, Inc. (Incorporated by reference to Exhibit 10.12 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.) (Confidential portions of this exhibit have been omitted pursuant to a request for confidential treatment and filed separately with the SEC.) |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.11  | Limited Liability Company Agreement of CCT Funding LLC. (Incorporated by reference to Exhibit 10.13 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.)                                                                                                                                                                                                                                                                                   |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.12  | Credit Agreement between CCT Funding LLC and Deutsche Bank AG, New York Branch. (Incorporated by reference to Exhibit 10.14 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.) (Confidential portions of this exhibit have been omitted pursuant to a request for confidential treatment and filed separately with the SEC.)                                                                                                             |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.13  | Custodial Agreement among the Registrant, CCT Funding LLC, Deutsche Bank AG, New York Branch and Deutsche Bank Trust Company Americas. (Incorporated by reference to Exhibit 10.15 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.) (Confidential portions of this exhibit have been omitted pursuant to a request for confidential treatment and filed separately with the SEC.)                                                      |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.14  | Asset Contribution Agreement between the Registrant and CCT Funding LLC. (Incorporated by reference to Exhibit 10.16 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.)                                                                                                                                                                                                                                                                  |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.15  | Security Agreement between CCT Funding LLC and Deutsche Bank AG, New York Branch. (Incorporated by reference to Exhibit 10.17 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.)                                                                                                                                                                                                                                                         |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.16  | Investment Management Agreement between the Registrant and CCT Funding LLC. (Incorporated by reference to Exhibit 10.18 to the Company’s Quarterly Report on Form 10-Q filed on November 10, 2011.)                                                                                                                                                                                                                                                               |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.17  | First Amendment to Credit Agreement between CCT Funding LLC and Deutsche Bank AG, New York Branch. (Incorporated by reference to Exhibit 10.17 to the Company’s Annual Report on Form 10-K filed on March 16, 2012.) (Confidential portions of this exhibit have been omitted pursuant to a request for confidential treatment and filed separately with the SEC.)                                                                                                |
|   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| 10.18  | Amended and Restated Expense Support and Conditional Reimbursement Agreement by and among the Registrant, CNL Fund Advisors Company and KKR Asset Management LLC. (Incorporated by reference to Exhibit 10.18 to the Company’s Annual Report on Form 10-K filed on March 16, 2012.)                                                                                                                                                                               |

----

| 10.19  | Amendment No. 1 to Investment Advisory Agreement by and between the Registrant and CNL Fund Advisors Company. (Incorporated by reference to Exhibit 10.19 to the Company’s Annual Report on Form 10-K filed on March 16, 2012.)                                                                                                                                                                       |
|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 10.20  | Second Amendment to Credit Agreement between CCT Funding LLC and Deutsche Bank AG, New York Branch. (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on August 24, 2012.) (Confidential portions of this exhibit have been omitted pursuant to a request for confidential treatment and filed separately with the SEC.)                                   |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 10.21  | ISDA 2002 Master Agreement, together with the Schedule thereto and Credit Support Annex to such Schedule, each dated as of November 15, 2012, by and between Halifax Funding LLC and The Bank of Nova Scotia. (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on November 21, 2012.)                                                                     |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 10.22  | Confirmation Letter Agreement, dated as of November 15, 2012, by and between Halifax Funding LLC and The Bank of Nova Scotia. (Incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed on November 21, 2012.)                                                                                                                                                     |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 10.23  | Custodian Agreement, dated as of November 15, 2012, by and among Corporate Capital Trust, Inc., Halifax Funding LLC, The Bank of Nova Scotia, and The Bank of Nova Scotia Trust Company of New York. (Incorporated by reference to Exhibit 10.3 to the Company’s Current Report on Form 8-K filed on November 21, 2012.)                                                                              |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 10.24  | Amendment to Amended and Restated Expense Support and Conditional Reimbursement Agreement by and among the Registrant, CNL Fund Advisors Company and KKR Asset Management LLC. (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on January 7, 2013.)                                                                                                      |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 10.25  | Third Amendment to Credit Agreement between CCT Funding LLC, the lenders referred to therein and Deutsche Bank AG, New York Branch. (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on February 14, 2013.) (Confidential portions of this exhibit have been omitted pursuant to a request for confidential treatment and filed separately with the SEC.) |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 14.1   | Amended and Restated Code of Ethics of the Registrant (Incorporated by reference to Exhibit 14.1 to the Company’s Annual Report on Form 10-K filed on March 16, 2012.)                                                                                                                                                                                                                                |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 31.1   | Certification of Chief Executive Officer of Corporate Capital Trust, Inc., Pursuant to Rule 13a-14(a), as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)                                                                                                                                                                                                              |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 31.2   | Certification of Chief Financial Officer of Corporate Capital Trust, Inc., Pursuant to Rule 13a-14(a), as Adopted Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)                                                                                                                                                                                                              |
|   |                                                                                                                                                                                                                                                                                                                                                                                                        |
| 32.1   | Certification of Chief Executive Officer and Chief Financial Officer of Corporate Capital Trust, Inc., Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.)                                                                                                                                                                     |

----

SIGNATURES

|   | CORPORATE CAPITAL TRUST, INC. |
|--------|-------------------------------|
|   |                          |   |
|   | By:                           | /s/    Andrew A. Hyltin         |
|   |                          | ANDREW A. HYLTIN |
|   |                          | Chief Executive Officer |
|   |                          | (Principal Executive Officer) |
|   |                          |   |
|   | By:                           | /s/    Paul S. Saint-Pierre         |
|   |                          | PAUL S. SAINT-PIERRE |
|   |                          | Chief Financial Officer |
|   |                          | (Principal Financial Officer) |

----

| Signature                                                                                       |   | Title                                                          |   | Date                |
|-------------------------------------------------------------------------------------------------|--------|----------------------------------------------------------------|--------|---------------------|
|                                                                                            |   |                                                           |   |                |
| /s/    Thomas K. Sittema            |   | Director and Chairman of the Board                             |   | March 18, 2013 |
| Thomas K. Sittema                                                                               |   |                                                           |   |                |
|                                                                                            |   |                                                           |   |                |
| /s/    Erik A. Falk                 |   | Director                                                       |   | March 18, 2013 |
| Erik A. Falk                                                                                    |   |                                                           |   |                |
|                                                                                            |   |                                                           |   |                |
| /s/    Frederick Arnold             |   | Independent Director                                           |   | March 18, 2013 |
| Frederick Arnold                                                                                |   |                                                           |   |                |
|                                                                                            |   |                                                           |   |                |
| /s/    James H. Kropp               |   | Independent Director                                           |   | March 18, 2013 |
| James H. Kropp                                                                                  |   |                                                           |   |                |
|                                                                                            |   |                                                           |   |                |
| /s/    Kenneth C. Wright            |   | Independent Director                                           |   | March 18, 2013 |
| Kenneth C. Wright                                                                               |   |                                                           |   |                |
|                                                                                            |   |                                                           |   |                |
| /s/    Andrew A. Hyltin             |   | Chief Executive Officer(Principal Executive Officer) |   | March 18, 2013 |
| Andrew A. Hyltin                                                                                |   |                                                           |   |
|                                                                                            |   |                                                           |   |                |
| /s/    Paul S. Saint-Pierre         |   | Chief Financial Officer(Principal Financial Officer)           |   | March 18, 2013 |
| Paul S. Saint-Pierre                                                                            |   |                                                           |   |

----

----

| Corporate Capital Trust, Inc. and Subsidiaries    |
|---------------------------------------------------|
| Consolidated Statements of Assets and Liabilities |

|                                                                                                 | December 31, 2012 |   |        | December 31, 2011 |   |
|------------------------------------------------------------------------------------------------------|-------------------|--------|-------------|-------------------|--------|
| Assets                                                                                               |              |   |        |              |   |   |
| Investments at fair value (amortized cost of $704,629,567 and $113,825,998)                          |              | $      | 710,870,599 |              |   | $ | 114,304,509 |   |
| Cash                                                                                                 |              |   | 306,459     |              |   |   | — |   |
| Cash collateral on deposit with custodian                                                            |              |   | 87,974,019  |              |   |   | — |   |
| Dividends and interest receivable                                                                    |              |   | 9,258,404   |              |   |   | 1,055,807 |   |
| Receivable for investments sold                                                                      |              |   | 37,704,165  |              |   |   | — |   |
| Principal receivable                                                                                 |              |   | 462,407     |              |   |   | 59,399 |   |
| Unrealized appreciation on derivative instruments                                                    |              |   | 1,357,886   |              |   |   | — |   |
| Receivable from advisors                                                                             |              |   | —     |              |   |   | 564,756 |   |
| Deferred offering expense                                                                            |              |   | 2,146,007   |              |   |   | — |   |
| Prepaid and deferred expenses                                                                        |              |   | 244,130     |              |   |   | 238,808 |   |
| Total assets                                                                                         |              | $      | 850,324,076 |              |   | $ | 116,223,279 |   |
| Liabilities                                                                                          |              |   |        |              |   |   |   |   |
| Revolving credit facility                                                                            |              | $      | 159,620,000 |              |   | $ | 25,340,000 |   |
| Payable for investments purchased                                                                    |              |   | 72,435,184  |              |   |   | 24,714,313 |   |
| Unrealized depreciation on derivative instruments                                                    |              |   | 155,568     |              |   |   | — |   |
| Accrued performance-based incentive fees                                                             |              |   | 2,087,073   |              |   |   | 282,570 |   |
| Accrued investment advisory fees                                                                     |              |   | 1,434,712   |              |   |   | 160,679 |   |
| Accrued reimbursement of expense support                                                             |              |   | 1,829,749   |              |   |   | — |   |
| Shareholders' distributions payable                                                                  |              |   | —     |              |   |   | 398,637 |   |
| Other accrued expenses and liabilities                                                               |              |   | 1,277,976   |              |   |   | 164,351 |   |
| Total liabilities                                                                                    |              |   | 238,840,262 |              |   |   | 51,060,550 |   |
| Net Assets                                                                                           |              |   |        |              |   |   |   |   |
| Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 62,728,439                |              |   |        |              |   |
| and 7,073,166 shares issued and outstanding at December 31, 2012 and December 31, 2011, respectively |              |   | 62,728      |              |   |   | 7,073 |   |
| Paid-in capital in excess of par value                                                               |              |   | 607,351,000 |              |   |   | 64,626,198 |   |
| Undistributed (distributions in excess of) net investment income                                     |              |   | (3,374,805  | )                 |   |   | 5,956 |   |
| Accumulated net unrealized appreciation on investments,                                              |              |   |        |              |   |   |   |   |
| derivative instruments and foreign currency translation                                              |              |   | 7,444,891   |              |   |   | 523,502 |   |
| Net assets                                                                                           |              | $      | 611,483,814 |              |   | $ | 65,162,729 |   |
| Net asset value per share                                                                            |              | $      | 9.75        |              |   | $ | 9.21 |   |
|                                                                                                 |              |   |        |              |   |   |   |   |
| See notes to consolidated financial statements.                                                      |
|                                                                                                 |              |   |        |              |   |   |   |   |
| F-2                                                                                                  |

----

| Corporate Capital Trust, Inc. and Subsidiaries |
|------------------------------------------------|
| Consolidated Statements of Operations          |

|                                                 |   |              |       |   |              |   |       | Period from       |   |
|------------------------------------------------------|--------|-------------------|------------|--------|-------------------|--------|------------|-------------------|--------|
|                                                 |   |              |       |   |              |   |       | June 9, 2010      |   |
|                                                 |   | Year ended        |       |   | (inception) to    |   |
|                                                 |   | December 31, 2012 |       |   | December 31, 2011 |   |       | December 31, 2010 |   |
| Investment income                                    |   |              |       |   |              |   |       |              |   |
| Interest income                                      |   | $                 | 34,209,926 |   |              | $      | 955,830    |              |   | $ | — |   |
| Fee income                                           |   |              | 1,269,301  |   |              |   | —    |              |   |   | — |   |
| Dividend income                                      |   |              | 103,253    |   |              |   | 3,056      |              |   |   | — |   |
| Total investment income                              |   |              | 35,582,480 |   |              |   | 958,886    |              |   |   | — |   |
| Operating expenses                                   |   |              |       |   |              |   |       |              |   |   |   |   |
| Investment advisory fees                             |   |              | 9,193,161  |   |              |   | 347,428    |              |   |   | — |   |
| Interest expense                                     |   |              | 2,873,729  |   |              |   | 85,944     |              |   |   | — |   |
| Performance-based incentive fees                     |   |              | 1,981,350  |   |              |   | 282,570    |              |   |   | — |   |
| Offering expense                                     |   |              | 1,208,772  |   |              |   | —    |              |   |   | — |   |
| Professional services                                |   |              | 1,092,349  |   |              |   | 233,268    |              |   |   | — |   |
| Administrative services                              |   |              | 1,061,111  |   |              |   | 183,918    |              |   |   | — |   |
| Organization expenses                                |   |              | 896,218    |   |              |   | —    |              |   |   | — |   |
| Custodian and accounting fees                        |   |              | 202,414    |   |              |   | 114,875    |              |   |   | — |   |
| Director fees and expenses                           |   |              | 180,475    |   |              |   | 82,025     |              |   |   | — |   |
| Other                                                |   |              | 961,577    |   |              |   | 151,287    |              |   |   | — |   |
| Total operating expenses                             |   |              | 19,651,156 |   |              |   | 1,481,315  |              |   |   | — |   |
| Reimbursement of expense support                     |   |              | 1,829,749  |   |              |   | —    |              |   |   | — |   |
| Expense support                                      |   |              | (1,590,221 | )      |              |   | (1,375,592 | )                 |   |   | — |   |
| Net expenses                                         |   |              | 19,890,684 |   |              |   | 105,723    |              |   |   | — |   |
| Net investment income                                |   |              | 15,691,796 |   |              |   | 853,163    |              |   |   | — |   |
| Realized and unrealized gain (loss):                 |   |              |       |   |              |   |       |              |   |   |   |   |
| Net realized gain on investments                     |   |              | 3,479,314  |   |              |   | 5,113      |              |   |   | — |   |
| Net realized loss on derivative instruments          |   |              | (432,972   | )      |              |   | —    |              |   |   | — |   |
| Net realized loss on foreign currency transactions   |   |              | (5,960     | )      |              |   | —    |              |   |   | — |   |
| Net change in unrealized appreciation on investments |   |              | 5,762,521  |   |              |   | 478,511    |              |   |   | — |   |
| Net change in unrealized appreciation on derivative  |   |              |       |   |              |   |       |              |   |   |   |   |
| instruments                                          |   |              | 1,202,318  |   |              |   | —    |              |   |   | — |   |
| Net change in unrealized appreciation (depreciation) |   |              |       |   |              |   |       |              |   |   |   |   |
| on foreign currency translation                      |   |              | (43,450    | )      |              |   | 44,991     |              |   |   | — |   |
| Net realized and unrealized gain                     |   |              | 9,961,771  |   |              |   | 528,615    |              |   |   | — |   |
|                                                 |   |              |       |   |              |   |       |              |   |   |   |   |
| Net increase in net assets resulting from operations |   | $                 | 25,653,567 |   |              | $      | 1,381,778  |              |   | $ | — |   |
| Net Investment Income Per Share                      |   | $                 | 0.50       |   |              | $      | 0.67       |              |   | $ | — |   |
| Diluted and Basic Earnings Per Share                 |   | $                 | 0.82       |   |              | $      | 1.09       |              |   | $ | — |   |
| Weighted Average Shares Outstanding                  |   |              | 31,394,766 |   |              |   | 1,269,117  |              |   |   | 22,222 |   |
| Dividends Declared Per Share                         |   | $                 | 0.76       |   |              | $      | 0.37       |              |   | $ | — |   |

|                                            |   |   |   |   |   |   |   |   |   |   |   |   |
|-------------------------------------------------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|--------|
| See notes to consolidated financial statements. |
|                                            |   |   |   |   |   |   |   |   |   |   |   |   |
| F-3                                             |

----

| Corporate Capital Trust, Inc. and Subsidiaries   |
|--------------------------------------------------|
| Consolidated Statements of Changes in Net Assets |

|                                                                 |   |              |        |   |              |   |       | Period from       |   |
|----------------------------------------------------------------------|--------|-------------------|-------------|--------|-------------------|--------|------------|-------------------|--------|
|                                                                 |   |              |        |   |              |   |       | June 9, 2010      |   |
|                                                                 |   | Year ended        |        |   | (inception) to    |   |
|                                                                 |   | December 31, 2012 |        |   | December 31, 2011 |   |       | December 31, 2010 |   |
| Operations                                                           |   |              |        |   |              |   |       |              |   |
| Net investment income                                                |   | $                 | 15,691,796  |   |              | $      | 853,163    |              |   | $ | — |   |
| Net realized gain on investments and foreign currency transactions   |   |              | 3,040,382   |   |              |   | 5,113      |              |   |   | — |   |
| Net change in unrealized appreciation (depreciation) on investments, |   |              |        |   |              |   |       |              |   |   |   |   |
| derivative instruments and foreign currency translation              |   |              | 6,921,389   |   |              |   | 523,502    |              |   |   | — |   |
| Net increase in net assets resulting from operations                 |   |              | 25,653,567  |   |              |   | 1,381,778  |              |   |   | — |   |
| Distributions to shareholders from                                   |   |              |        |   |              |   |       |              |   |   |   |   |
| Net investment income                                                |   |              | (15,697,752 | )      |              |   | (853,163   | )                 |   |   | — |   |
| Realized gains                                                       |   |              | (3,040,382  | )      |              |   | (2,507     | )                 |   |   | — |   |
| Other sources                                                        |   |              | (4,583,720  | )      |              |   | —    |              |   |   | — |   |
| Net decrease in net assets resulting from shareholders distributions |   |              | (23,321,854 | )      |              |   | (855,670   | )                 |   |   | — |   |
| Capital share transactions                                           |   |              |        |   |              |   |       |              |   |   |   |   |
| Issuance of shares of common stock                                   |   |              | 532,863,358 |   |              |   | 64,170,724 |              |   |   | 200,000 |   |
| Reinvestment of shareholder distributions                            |   |              | 11,832,449  |   |              |   | 265,897    |              |   |   | — |   |
| Repurchase of shares of common stock                                 |   |              | (706,435    | )      |              |   | —    |              |   |   | — |   |
| Net increase in net assets resulting from capital share transactions |   |              | 543,989,372 |   |              |   | 64,436,621 |              |   |   | 200,000 |   |
| Total increase in net assets                                         |   |              | 546,321,085 |   |              |   | 64,962,729 |              |   |   | 200,000 |   |
| Net assets at beginning of year/period                               |   |              | 65,162,729  |   |              |   | 200,000    |              |   |   | — |   |
| Net assets at end of year/period                                     |   | $                 | 611,483,814 |   |              | $      | 65,162,729 |              |   | $ | 200,000 |   |
| Capital share activity                                               |   |              |        |   |              |   |       |              |   |   |   |   |
| Shares issued from subscriptions                                     |   |              | 54,520,455  |   |              |   | 7,021,920  |              |   |   | 22,222 |   |
| Shares issued from reinvestment of distributions                     |   |              | 1,207,704   |   |              |   | 29,024     |              |   |   | — |   |
| Shares repurchased                                                   |   |              | (72,886     | )      |              |   | —    |              |   |   | — |   |
| Net increase in shares outstanding                                   |   |              | 55,655,273  |   |              |   | 7,050,944  |              |   |   | 22,222 |   |
| Undistributed (distributions in excess of) net investment income     |   |              |        |   |              |   |       |              |   |   |   |   |
| at end of year/period                                                |   | $                 | (3,374,805  | )      |              | $      | 5,956      |              |   | $ | — |   |

|  See notes to consolidated financial statements. |
|-------------------------------------------------------|
|                                                  |   |   |   |   |   |   |   |   |   |   |   |   |
| F-4                                                   |

----

| Corporate Capital Trust, Inc. and Subsidiaries |
|------------------------------------------------|
| Consolidated Statements of Cash Flows          |

|                                                                                 |   |               |         |   |              |   |         | Period from       |   |
|--------------------------------------------------------------------------------------|--------|--------------------|--------------|--------|-------------------|--------|--------------|-------------------|--------|
|                                                                                 |   |               |         |   |              |   |         | 9-Jun-2010        |   |
|                                                                                 |   | For the year ended |         |   | (inception) to    |   |
|                                                                                 |   | December 31, 2012  |         |   | December 31, 2011 |   |         | December 31, 2010 |   |
|                                                                                 |   |               |         |   |              |   |         |              |   |
| Operating Activities:                                                                |   |               |         |   |              |   |         |              |   |
| Net increase in net assets resulting from operations                                 |   | $                  | 25,653,567   |   |              | $      | 1,381,778    |              |   | $ | — |   |
| Adjustments to reconcile net increase in net assets resulting from operations to net |   |               |         |   |              |   |         |              |   |
| cash used in operating activities:                                                   |   |               |         |   |              |   |         |              |   |   |   |   |
| Purchases of investments                                                             |   |               | (991,951,587 | )      |              |   | (106,811,148 | )                 |   |   | — |   |
| Increase in payable for investments purchased                                        |   |               | 47,659,733   |   |              |   | 24,759,304   |              |   |   | — |   |
| Paid-in-kind interest                                                                |   |               | (270,090     | )      |              |   | —      |              |   |   |   |   |
| Proceeds from sales of investments                                                   |   |               | 358,597,920  |   |              |   | 481,516      |              |   |   | — |   |
| Proceeds from principal payments                                                     |   |               | 51,931,990   |   |              |   | 294,863      |              |   |   | — |   |
| Net realized (gain) loss on investments                                              |   |               | (3,479,314   | )      |              |   | (5,113       | )                 |   |   | — |   |
| Net change in unrealized appreciation on investments                                 |   |               | (5,762,521   | )      |              |   | (478,511     | )                 |   |   | — |   |
| Net change in unrealized appreciation on derivative instruments                      |   |               | (1,202,318   | )      |              |   | —      |              |   |   | — |   |
| Net change in unrealized depreciation on foreign currency translation                |   |               | 43,450       |   |              |   | (44,991      | )                 |   |   | — |   |
| Amortization of premium/discount - net                                               |   |               | (145,072     | )      |              |   | 44,756       |              |   |   | — |   |
| Amortization of deferred financing cost                                              |   |               | 152,315      |   |              |   | —      |              |   |   | — |   |
| Increase in short-term investments, net                                              |   |               | (5,487,416   | )      |              |   | (7,714,752   | )                 |   |   | — |   |
| Increase in cash collateral on deposit with custodian                                |   |               | (87,974,019  | )      |              |   | —      |              |   |   | — |   |
| Increase in dividend and interest receivable                                         |   |               | (8,184,909   | )      |              |   | (1,055,807   | )                 |   |   | — |   |
| Increase in receivable for investments sold                                          |   |               | (37,704,165  | )      |              |   | —      |              |   |   | — |   |
| Increase in principal receivable                                                     |   |               | (403,008     | )      |              |   | (59,399      | )                 |   |   | — |   |
| Decrease in receivable from advisors                                                 |   |               | 564,756      |   |              |   | (564,756     | )                 |   |   | — |   |
| Increase in other assets                                                             |   |               | (2,155,047   | )      |              |   | (110,123     | )                 |   |   | — |   |
| Increase in accrued investment advisory fees                                         |   |               | 1,274,033    |   |              |   | 160,679      |              |   |   | — |   |
| Increase in accrued performance-based incentive fees                                 |   |               | 1,804,503    |   |              |   | 282,570      |              |   |   | — |   |
| Increase in other liabilities                                                        |   |               | 2,943,374    |   |              |   | 152,351      |              |   |   | — |   |
| Net cash used in operating activities                                                |   |               | (654,093,825 | )      |              |   | (89,286,783  | )                 |   |   | — |   |
|                                                                                 |   |               |         |   |              |   |         |              |   |   |   |   |
| Financing Activities:                                                                |   |               |         |   |              |   |         |              |   |   |   |   |
| Proceeds from issuance of shares of common stock                                     |   |               | 532,863,358  |   |              |   | 64,170,724   |              |   |   | 200,000 |   |
| Payment on repurchase of shares of common stock                                      |   |               | (706,435     | )      |              |   | —      |              |   |   | — |   |
| Distributions paid                                                                   |   |               | (11,888,042  | )      |              |   | (191,136     | )                 |   |   | — |   |
| Borrowings under credit facility                                                     |   |               | 189,000,000  |   |              |   | 25,340,000   |              |   |   | — |   |
| Repayments of credit facility                                                        |   |               | (54,720,000  | )      |              |   | —      |              |   |   | — |   |
| Deferred financing costs paid                                                        |   |               | (148,597     | )      |              |   | (232,805     | )                 |   |   | — |   |
| Net cash provided by financing activities                                            |   |               | 654,400,284  |   |              |   | 89,086,783   |              |   |   | 200,000 |   |
| Net increase (decrease) in cash                                                      |   |               | 306,459      |   |              |   | (200,000     | )                 |   |   | — |   |
| Cash, beginning of period                                                            |   |               | —      |   |              |   | 200,000      |              |   |   | 200,000 |   |
| Cash, end of period                                                                  |   | $                  | 306,459      |   |              | $      | —      |              |   | $ | 200,000 |   |
|                                                                                 |   |               |         |   |              |   |         |              |   |   |   |   |
|                                                                                 |   |               |         |   |              |   |         |              |   |   |   |   |
| Supplemental disclosure of cash flow information and non-cash financing              |   |               |         |   |              |   |         |              |   |   |   |   |
| activities:                                                                          |   |               |         |   |              |   |         |              |   |   |   |   |
| Cash paid during period for:                                                         |   |               |         |   |              |   |         |              |   |   |   |   |
| Interest                                                                             |   | $                  | 2,482,446    |   |              | $      | 27,795       |              |   | $ | — |   |
| Dividend distributions reinvested                                                    |   | $                  | 11,832,449   |   |              | $      | 265,897      |              |   | $ | — |   |
|                                                                                 |   |               |         |   |              |   |         |              |   |   |   |   |
| See notes to consolidated financial statements.                                      |

----

| Company (a)                                           |   | Industry (n)                                 |           | Investments                |   | Interest Rate |       | EURIBOR/ LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |   |      | Fair Value |   |   | % of Net Assets |
|-------------------------------------------------------|--------|----------------------------------------------|----------------|----------------------------|--------|---------------|------------|---------------------|-----------|---------------|--------|--------------------------------|------------|----------|--------|-----------|------------|--------|--------|-----------------|
| Non-Control/Non-Affiliate Investments(d)—114.1% |   |                                         |           |                       |   |          |       |                |      |          |   |                           |       |
| AdvancePierre Foods, Inc.                             |   | Food, Beverage & Tobacco                 |           | Senior Debt(e)             |   | L + 450       |       | 1.25%               |      | 7/10/2017     |   | $                              | 3,938,004  |     |   | $         | 3,909,668  |   |   | $               | 3,987,230 |   |   | 0.6% |
| Allen Systems Group, Inc.                             |   | Software & Services                      |           | Senior Debt(e)(f)          |   | 10.50%        |       |                |      | 11/15/2016    |   |                           | 106,000    |     |   |      | 66,130     |   |   |            | 78,440 |   |   | 0.0% |
| Alliance Laundry Systems, LLC                         |   | Capital Goods                                |           | Senior Debt(e)             |   | L + 425       |       | 1.25%               |      | 12/10/2018    |   |                           | 3,553,052  |     |   |      | 3,535,505  |   |   |            | 3,588,582 |   |   | 0.6% |
| Ally Financial, Inc.                                  |   | Banks                                        |           | Preferred Stocks(g)        |   |          |       |                |      |          |   |                           | 118,908    |     |   |      | 2,996,482  |   |   |            | 3,123,713 |   |   | 0.5% |
|                                                  |   |                                         |           | Preferred Stocks(g)        |   |          |       |                |      |          |   |                           | 69,800     |     |   |      | 1,804,330  |   |   |            | 1,860,170 |   |   | 0.3% |
|                                                  |   |                                         | 4,800,812      |                       |   |          | 4,983,883  |                |      | 0.8%          |
| Altisource Solutions (LU)(h)                          |   | Real Estate                                  |           | Senior Debt(e)(g)          |   | L+ 450        |       | 1.25%               |      | 11/27/2019    |   |                           | 7,545,192  |     |   |      | 7,470,313  |   |   |            | 7,582,918 |   |   | 1.2% |
| American Gaming Systems, LLC                          |   | Consumer Services                            |           | Senior Debt(i)             |   | L + 1000      |       | 1.50%               |      | 8/15/2016     |   |                           | 11,974,375 |     |   |      | 11,523,790 |   |   |            | 11,974,375 |   |   | 2.0% |
|                                                  |   |                                         |           | Senior Debt(i)             |   | L + 1000      |       | 1.50%               |      | 8/15/2016     |   |                           | 780,938    |     |   |      | (28,850    | )      |   |            | — |   |   | 0.0% |
|                                                  |   |                                         |           | Senior Debt(i)(j)          |   | L + 1000      |       | 1.50%               |      | 8/15/2016     |   |                           | 780,938    |     |   |      | 752,433    |   |   |            | 780,938 |   |   | 0.1% |
|                                                  |   |                                         | 12,247,373     |                       |   |          | 12,755,313 |                |      | 2.1%          |
| American Rock Salt Co., LLC                           |   | Materials                                    |           | Senior Debt(e)             |   | L + 425       |       | 1.25%               |      | 4/25/2017     |   |                           | 8,485,587  |     |   |      | 8,151,298  |   |   |            | 8,398,355 |   |   | 1.4% |
| Amkor Technologies, Inc.                              |   | Semiconductors & Semiconductor Equipment |           | Subordinated Debt(e)(g)    |   | 7.38%         |       |                |      | 5/1/2018      |   |                           | 213,000    |     |   |      | 210,801    |   |   |            | 220,455 |   |   | 0.0% |
| Amsurg Corp.                                          |   | Health Care Equipment & Services         |           | Subordinated Debt(e)(f)(g) |   | 5.63%         |       |                |      | 11/30/2020    |   |                           | 943,000    |     |   |      | 943,000    |   |   |            | 980,720 |   |   | 0.2% |
| Aramark Corp.                                         |   | Commercial & Professional Services       |           | Subordinated Debt(e)       |   | 8.50%         |       |                |      | 2/1/2015      |   |                           | 2,836,000  |     |   |      | 2,896,962  |   |   |            | 2,850,208 |   |   | 0.5% |
| Ardagh Packaging Holdings, Ltd. (IE)(h)               |   | Capital Goods                                |           | Senior Debt(e)(f)(g)       |   | 7.38%         |       |                |      | 10/15/2017    |   |                           | 100,000    |     |   |      | 100,409    |   |   |            | 108,750 |   |   | 0.0% |
| Aspect Software, Inc.                                 |   | Technology Hardware & Equipment          |           | Senior Debt(e)             |   | L + 525       |       | 1.75%               |      | 5/7/2016      |   |                           | 4,360,693  |     |   |      | 4,358,808  |   |   |            | 4,393,398 |   |   | 0.7% |
|                                                  |   |                                         | Senior Debt(e) |                       | 10.63% |          |       |                | 5/15/2017 |          |   | 9,009,000                      |       |     |   | 9,484,716 |       |   |   | 8,153,145       |   |   | 1.3% |
|                                                  |   |                                         | 13,843,524     |                       |   |          | 12,546,543 |                |      | 2.0%          |
| Aspen Dental Management, Inc.                         |   | Health Care Equipment & Services         |           | Senior Debt(e)             |   | L + 550       |       | 1.50%               |      | 10/6/2016     |   |                           | 6,115,182  |     |   |      | 6,048,762  |   |   |            | 5,839,999 |   |   | 0.9% |
| Asset Acceptance Capital Corp.                        |   | Diversified Financials                       |           | Senior Debt(g)(i)          |   | L + 725       |       | 1.50%               |      | 11/14/2017    |   |                           | 918,991    |     |   |      | 896,692    |   |   |            | 929,894 |   |   | 0.2% |
| AssuraMed Holding, Inc.                               |   | Health Care Equipment & Services         |           | Senior Debt(e)             |   | L + 800       |       | 1.25%               |      | 4/24/2020     |   |                           | 5,147,021  |     |   |      | 5,045,289  |   |   |            | 5,206,536 |   |   | 0.8% |

----

| Company (a)                               |   | Industry (n)                        |       | Investments               |   | Interest Rate |       | EURIBOR/ LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |   |       | Fair Value |   |   | % of Net Assets |
|-------------------------------------------|--------|-------------------------------------|------------|---------------------------|--------|---------------|------------|---------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|--------|------------|------------|--------|--------|-----------------|
| Asurion, LLC                              |   | Software & Services             |       | Senior Debt(e)            |   | L + 400       |       | 1.50%               |   | 5/24/2018     |   | $                              | 3,285,425  |   |     | $      | 3,241,516  |       |   | $      | 3,323,421       |   |   | 0.5% |
|                                      |   |                                |       | Senior Debt(e)            |   | L + 750       |       | 1.50%               |   | 5/24/2019     |   |                           | 396,303    |   |     |   | 396,303    |       |   |   | 409,074         |   |   | 0.1% |
|                                      |   |                                | 3,637,819  |                      |   |          | 3,732,495  |                |   | 0.6%          |
| Avaya, Inc.                               |   | Technology Hardware & Equipment |       | Senior Debt(e)(f)         |   | 7.00%         |       |                |   | 4/1/2019      |   |                           | 14,555,000 |   |     |   | 13,662,021 |       |   |   | 13,608,925      |   |   | 2.2% |
| Bill Barrett Corp.                        |   | Energy                              |       | Subordinated Debt(e)(g)   |   | 7.63%         |       |                |   | 10/1/2019     |   |                           | 251,000    |   |     |   | 256,692    |       |   |   | 264,805         |   |   | 0.0% |
| BNY ConvergEX Group, LLC                  |   | Diversified Financials              |       | Senior Debt(e)(g)         |   | L + 375       |       | 1.50%               |   | 12/19/2016    |   |                           | 109,585    |   |     |   | 108,431    |       |   |   | 106,024         |   |   | 0.0% |
|                                      |   |                                |       | Senior Debt(e)(g)         |   | L + 375       |       | 1.50%               |   | 12/19/2016    |   |                           | 241,455    |   |     |   | 238,911    |       |   |   | 233,608         |   |   | 0.0% |
|                                      |   |                                |       | Senior Debt(e)(g)(i)      |   | L + 700       |       | 1.75%               |   | 12/17/2017    |   |                           | 1,386,716  |   |     |   | 1,380,562  |       |   |   | 1,306,980       |   |   | 0.2% |
|                                      |   |                                |       | Senior Debt(e)(g)(i)      |   | L + 700       |       | 1.75%               |   | 12/17/2017    |   |                           | 581,872    |   |     |   | 579,290    |       |   |   | 548,415         |   |   | 0.1% |
|                                      |   |                                | 2,307,194  |                      |   |          | 2,195,027  |                |   | 0.3%          |
| Bright Horizons Family Solutions, Inc.    |   | Consumer Services                   |       | Senior Debt(i)            |   | L + 425       |       | 1.00%               |   | 5/23/2017     |   |                           | 1,003,991  |   |     |   | 999,465    |       |   |   | 1,014,031       |   |   | 0.2% |
| Building Materials Corporation of America |   | Capital Goods                       |       | Subordinated Debt(e)(f)   |   | 6.75%         |       |                |   | 5/1/2021      |   |                           | 41,000     |   |     |   | 44,058     |       |   |   | 45,305          |   |   | 0.0% |
| Caesars Entertainment Operating Co., Inc. |   | Consumer Services                   |       | Senior Debt(e)(g)         |   | 11.25%        |       |                |   | 6/1/2017      |   |                           | 1,023,000  |   |     |   | 1,074,569  |       |   |   | 1,095,889       |   |   | 0.2% |
| Catalina Marketing Corp.                  |   | Media                               |       | Senior Debt(e)            |   | L + 550       |       |                |   | 9/29/2017     |   |                           | 8,431,567  |   |     |   | 8,356,238  |       |   |   | 8,465,841       |   |   | 1.4% |
|                                      |   |                                |       | Subordinated Debt(e)(f)   |   | 10.50%        |       |                |   | 10/1/2015     |   |                           | 20,436,255 |   |     |   | 20,405,415 |       |   |   | 20,691,708      |   |   | 3.4% |
|                                      |   |                                | 28,761,653 |                      |   |          | 29,157,549 |                |   | 4.8%          |
| CDW Corp.                                 |   | Technology Hardware & Equipment |       | Subordinated Debt(e)      |   | 12.54%        |       |                |   | 10/12/2017    |   |                           | 12,626,000 |   |     |   | 13,510,212 |       |   |   | 13,494,037      |   |   | 2.2% |
| Celanese US Holdings, LLC                 |   | Materials                           |       | Subordinated Debt(e)(g)   |   | 4.63%         |       |                |   | 11/15/2022    |   |                           | 2,900,000  |   |     |   | 2,900,000  |       |   |   | 3,037,750       |   |   | 0.5% |
| Cemex Espana S.A. (ES)(h)                 |   | Materials                           |       | Senior Debt(e)(g)(j)(EUR) |   | E + 500       |       |                |   | 2/14/2017     |   | €                        | 928,806    |   |     |   | 1,112,127  |       |   |   | 1,173,874       |   |   | 0.2% |
| Cemex Finance, LLC                        |   | Materials                           |       | Senior Debt(e)(f)(g)      |   | 9.38%         |       |                |   | 10/12/2022    |   | $                              | 825,000    |   |     |   | 825,000    |       |   |   | 928,125         |   |   | 0.1% |
| Cemex Finance Europe BV                   |   | Materials                           |       | Subordinated Debt(g)      |   | 4.75%         |       |                |   | 3/5/2014      |   | €                        | 419,000    |   |     |   | 480,548    |       |   |   | 565,503         |   |   | 0.1% |
| Cemex Materials, LLC                      |   |   Materials                    |       | Subordinated Debt(e)(f)   |   | 7.70%         |       |                |   | 7/21/2025     |   | $                              | 12,670,000 |   |     |   | 11,742,203 |       |   |   | 12,828,375      |   |   | 2.1% |
| Cemex S.A.B. de C.V. (MX)(h)              |   | Materials                           |       | Senior Debt(e)(g)(j)      |   | L + 525       |       |                |   | 2/14/2017     |   |                           | 3,441,100  |   |     |   | 3,191,620  |       |   |   | 3,294,853       |   |   | 0.5% |
| Cengage Learning Acquisitions, Inc.       |   | Media                               |       | Senior Debt(e)(f)         |   | 11.50%        |       |                |   | 4/15/2020     |   |                           | 14,622,000 |   |     |   | 15,000,475 |       |   |   | 12,611,475      |   |   | 2.1% |

----

| Company (a)                            |   | Industry (n)                           |                 | Investments             |    | Interest Rate |       | EURIBOR/ LIBORFloor |       | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |      |       |   | Fair Value |      |       | % of Net Assets |
|----------------------------------------|--------|----------------------------------------|----------------------|-------------------------|---------|---------------|------------|---------------------|------------|---------------|--------|--------------------------------|------------|--------|----------|-----------|------------|--------|------------|-----------|------------|-----------------|
| Ceridian Corp.                         |   | Commercial & Professional Services |                 | Senior Debt(e)          |    | L + 575       |       |                |       | 5/9/2017      |   | $                              | 11,345,455 |   |     | $         | 11,320,689 |   |       | $         | 11,359,637 |            |   | 1.9% |
|                                   |   |                                   | Senior Debt(e)(f)    |                    | 8.88%   |          |       |                | 7/15/2019  |          |   | 2,123,000                      |       |   |     | 2,123,000 |       |   |       | 2,303,455 |       |            | 0.4% |
|                                   |   |                                   | 13,443,689           |                    |    |          | 13,663,092 |                |       | 2.3%          |
| CHG Companies, Inc.                    |   | Health Care Equipment & Services   |                 | Senior Debt(e)(j)       |    | L + 375       |       | 1.25%               |       | 11/19/2019    |   |                           | 3,072,501  |   |     |      | 3,042,000  |   |       |      | 3,077,617  |            |   | 0.5% |
|                                   |   |                                   | Senior Debt(e)(j)    |                    | L + 775 |          | 1.25%      |                | 11/19/2020 |          |   | 6,662,554                      |       |   |     | 6,530,148 |       |   |       | 6,708,359 |       |            | 1.1% |
|                                   |   |                                   | 9,572,148            |                    |    |          | 9,785,976  |                |       | 1.6%          |
| Clear Channel Worldwide Holdings, Inc. |   | Media                                  |                 | Subordinated Debt(e)(g) |    | 7.63%         |       |                |       | 3/15/2020     |   |                           | 1,857,000  |   |     |      | 1,798,731  |   |       |      | 1,870,927  |            |   | 0.3% |
| ClubCorp Club Operations, Inc.         |   | Consumer Services                      |                 | Senior Debt(e)          |    | L + 375       |       | 1.50%               |       | 11/30/2016    |   |                           | 135,707    |   |     |      | 129,525    |   |       |      | 137,745    |            |   | 0.0% |
| CNO Financial Group, Inc.              |   | Insurance                              |                 | Senior Debt(e)(f)(g)    |    | 6.38%         |       |                |       | 10/1/2020     |   |                           | 1,092,000  |   |     |      | 1,130,752  |   |       |      | 1,135,680  |            |   | 0.2% |
| Commscope, Inc.                        |   | Technology Hardware & Equipment    |                 | Subordinated Debt(e)(f) |    | 8.25%         |       |                |       | 1/15/2019     |   |                           | 632,000    |   |     |      | 665,688    |   |       |      | 692,040    |            |   | 0.1% |
| Continental Airlines, Inc.             |   | Transportation                         |                 | Senior Debt(e)(g)       |    | 7.34%         |       |                |       | 4/19/2014     |   |                           | 267,469    |   |     |      | 269,827    |   |       |      | 275,493    |            |   | 0.0% |
| CRC Health Corp.                       |   | Health Care Equipment & Services   |                 | Senior Debt(e)          |    | L + 450       |       |                |       | 11/16/2015    |   |                           | 1,199,199  |   |     |      | 1,145,033  |   |       |      | 1,160,225  |            |   | 0.2% |
|                                   |   |                                   | Subordinated Debt(e) |                    | 10.75%  |          |       |                | 2/1/2016   |          |   | 1,114,000                      |       |   |     | 1,075,056 |       |   |       | 1,086,150 |       |            | 0.2% |
|                                   |   |                                   | 2,220,089            |                    |    |          | 2,246,375  |                |       | 0.4%          |
| Cunningham Lindsey U.S., Inc.          |   | Insurance                              |                 | Senior Debt(e)          |    | L + 375       |       | 1.25%               |       | 12/10/2019    |   |                           | 4,616,499  |   |     |      | 4,570,570  |   |       |      | 4,656,894  |            |   | 0.8% |
|                                   |   |                                   |                 | Senior Debt(e)          |    | L + 800       |       | 1.25%               |       | 6/10/2020     |   |                           | 6,642,736  |   |     |      | 6,576,851  |   |       |      | 6,808,804  |            |   | 1.1% |
|                                   |   |                                   | 11,147,421           |                    |    |          | 11,465,698 |                |       | 1.9%          |
| Data Device Corp.                      |   | Capital Goods                          |                 | Senior Debt(e)          |    | L + 600       |       | 1.50%               |       | 7/11/2018     |   |                           | 7,895,679  |   |     |      | 7,750,227  |   |       |      | 7,875,940  |            |   | 1.3% |
|                                   |   |                                   |                 | Senior Debt(i)          |    | L + 1000      |       | 1.50%               |       | 7/11/2019     |   |                           | 8,000,000  |   |     |      | 7,847,290  |   |       |      | 7,840,000  |            |   | 1.3% |
|                                   |   |                                   | 15,597,517           |                    |    |          | 15,715,940 |                |       | 2.6%          |
| Datatel, Inc.                          |   | Software & Services                |                 | Senior Debt(e)          |    | L + 500       |       | 1.25%               |       | 7/19/2018     |   |                           | 393,711    |   |     |      | 388,439    |   |       |      | 399,322    |            |   | 0.1% |
| David's Bridal, Inc.                   |   | Retailing                              |                 | Senior Debt(e)          |    | L + 375       |       | 1.25%               |       | 10/11/2019    |   |                           | 2,196,294  |   |     |      | 2,174,957  |   |       |      | 2,204,991  |            |   | 0.4% |
| DJO Finance, LLC                       |   | Health Care Equipment & Services   |                 | Senior Debt(e)          |    | L + 500       |       | 1.25%               |       | 9/15/2017     |   |                           | 1,974,614  |   |     |      | 1,976,879  |   |       |      | 1,990,243  |            |   | 0.3% |
|                                   |   |                                   | Senior Debt(e)(f)    |                    | 8.75%   |          |       |                | 3/15/2018  |          |   | 8,188,000                      |       |   |     | 8,638,609 |       |   |       | 8,945,390 |       |            | 1.5% |
|                                   |   |                                   | 10,615,488           |                    |    |          | 10,935,633 |                |       | 1.8%          |
| DuPont Fabros Technology, LP           |   | Real Estate                            |                 | Subordinated Debt(e)(g) |    | 8.50%         |       |                |       | 12/15/2017    |   |                           | 100,000    |   |     |      | 105,687    |   |       |      | 109,250    |            |   | 0.0% |

----

| Company (a)                                   |   | Industry (n)                    |              | Investments                |   | Interest Rate |       | EURIBOR/ LIBORFloor |     | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |      |       |   | Fair Value |      |       | % of Net Assets |
|-----------------------------------------------|--------|---------------------------------|-------------------|----------------------------|--------|---------------|------------|---------------------|----------|---------------|--------|--------------------------------|------------|--------|----------|-----------|------------|--------|------------|-----------|------------|-----------------|
| E*Trade Financial Corp.                       |   | Diversified Financials          |              | Subordinated Debt(e)(g)    |   | 6.75%         |       |                |     | 6/1/2016      |   | $                              | 10,000     |   |     | $         | 10,548     |   |       | $         | 10,525     |            |   | 0.0% |
| Easton-Bell Sports, Inc.                      |   | Consumer Durables & Apparel |              | Senior Debt(e)             |   | 9.75%         |       |                |     | 12/1/2016     |   |                           | 1,190,000  |   |     |      | 1,260,844  |   |       |      | 1,279,369  |            |   | 0.2% |
| Education Management, LLC                     |   | Consumer Services               |              | Senior Debt(e)(g)          |   | L + 700       |       | 1.25%               |     | 3/30/2018     |   |                           | 7,078,341  |   |     |      | 6,890,723  |   |       |      | 5,919,263  |            |   | 1.0% |
|                                          |   |                            |              | Subordinated Debt(e)(g)    |   | 8.75%         |       |                |     | 6/1/2014      |   |                           | 5,818,000  |   |     |      | 5,658,279  |   |       |      | 4,668,945  |            |   | 0.8% |
|                                          |   |                            | 12,549,002        |                       |   |          | 10,588,208 |                |     | 1.8%          |
| Express, LLC / Express Finance Corp.          |   | Retailing                       |              | Subordinated Debt(e)(g)    |   | 8.75%         |       |                |     | 3/1/2018      |   |                           | 707,000    |   |     |      | 764,744    |   |       |      | 765,328    |            |   | 0.1% |
| Fage Dairy Industry, SA                       |   | Food, Beverage & Tobacco    |              | Subordinated Debt(e)(f)(g) |   | 9.88%         |       |                |     | 2/1/2020      |   |                           | 22,000     |   |     |      | 22,220     |   |       |      | 23,375     |            |   | 0.0% |
| Fidelity National Information Services, Inc.  |   | Software & Services         |              | Subordinated Debt(e)(g)    |   | 5.00%         |       |                |     | 3/15/2022     |   |                           | 26,000     |   |     |      | 27,817     |   |       |      | 27,885     |            |   | 0.0% |
|                                          |   |                            |              | Subordinated Debt(e)(g)    |   | 7.88%         |       |                |     | 7/15/2020     |   |                           | 114,000    |   |     |      | 122,352    |   |       |      | 128,963    |            |   | 0.0% |
|                                          |   |                            | 150,169           |                       |   |          | 156,848    |                |     | 0.0%          |
| Fifth & Pacific Companies, Inc.           |   | Consumer Durables & Apparel |              | Senior Debt(e)(f)(g)       |   | 10.50%        |       |                |     | 4/15/2019     |   |                           | 1,735,000  |   |     |      | 1,848,140  |   |       |      | 1,921,512  |            |   | 0.3% |
| FleetPride Corp.                              |   | Capital Goods                   |              | Senior Debt(e)             |   | L + 400       |       | 1.25%               |     | 11/20/2019    |   |                           | 587,783    |   |     |      | 577,559    |   |       |      | 589,896    |            |   | 0.1% |
| Freedom Group                                 |   | Consumer Durables & Apparel |              | Senior Debt(e)             |   | L + 425       |       | 1.25%               |     | 4/19/2019     |   |                           | 991,786    |   |     |      | 987,087    |   |       |      | 969,471    |            |   | 0.2% |
|                                          |   |                            | Senior Debt(e)(f) |                       | 7.88%  |          |       |                | 5/1/2020 |          |   | 2,667,000                      |       |   |     | 2,869,583 |       |   |       | 2,747,010 |       |            | 0.4% |
|                                          |   |                            | 3,856,670         |                       |   |          | 3,716,481  |                |     | 0.6%          |
| FTI Consulting, Inc.                          |   | Diversified Financials          |              | Subordinated Debt(e)(f)(g) |   | 6.00%         |       |                |     | 11/15/2022    |   |                           | 2,869,000  |   |     |      | 2,869,000  |   |       |      | 2,983,760  |            |   | 0.5% |
| GCI, Inc.                                     |   | Telecommunication Services      |              | Subordinated Debt(e)       |   | 8.63%         |       |                |     | 11/15/2019    |   |                           | 8,575,000  |   |     |      | 9,102,913  |   |       |      | 9,110,937  |            |   | 1.5% |
| Genesys Telecommunications Laboratories, Inc. |   | Software & Services         |              | Common Stocks*(i)          |   |          |       |                |     |          |   |                           | 448,908    |   |     |      | 448,908    |   |       |      | 453,397    |            |   | 0.1% |
|                                          |   |                            |              | Subordinated Debt(i)(EUR)  |   | 12.50%        |       |                |     | 1/31/2020     |   | €                        | 2,044,000  |   |     |      | 2,630,959  |   |       |      | 2,765,429  |            |   | 0.5% |
|                                          |   |                            | 3,079,867         |                       |   |          | 3,218,826  |                |     | 0.6%          |
| Good Sam Enterprises, LLC                     |   | Media                           |              | Senior Debt(e)             |   | 11.50%        |       |                |     | 12/1/2016     |   | $                              | 12,224,000 |   |     |      | 12,629,848 |   |       |      | 13,079,680 |            |   | 2.1% |
| Great Lakes Dredge & Dock Corp.           |   | Capital Goods                   |              | Subordinated Debt(e)(g)    |   | 7.38%         |       |                |     | 2/1/2019      |   |                           | 782,000    |   |     |      | 802,077    |   |       |      | 838,695    |            |   | 0.1% |
| Guitar Center, Inc.                           |   | Retailing                       |              | Senior Debt(e)             |   | L + 350       |       |                |     | 4/9/2017      |   |                           | 12,249,203 |   |     |      | 11,485,884 |   |       |      | 11,848,042 |            |   | 2.0% |

----

| Company (a)                            |   | Industry (n)                         |       | Investments                |   | Interest Rate |       | EURIBOR/ LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |   |       |   | Fair Value |   |       | % of Net Assets |
|----------------------------------------|--------|--------------------------------------|------------|----------------------------|--------|---------------|------------|---------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|--------|------------|--------|------------|--------|------------|-----------------|
| Hamilton Sundstrand Industrial (LU)(h) |   | Capital Goods                        |       | Senior Debt(e)(j)          |   | L + 375       |       | 1.25%               |   | 12/13/2019    |   | $                              | 1,708,186  |   |     | $      | 1,691,104  |   |       | $      | 1,727,403  |            |   | 0.3% |
|                                   |   |                                 |       | Subordinated Debt(e)       |   | 7.75%         |       |                |   | 12/15/2020    |   |                           | 407,000    |   |     |   | 407,000    |   |       |   | 421,245    |            |   | 0.1% |
|                                   |   |                                 | 2,098,104  |                       |   |          | 2,148,648  |                |   | 0.4%          |
| Harbor Freight Tools USA, Inc.         |   | Capital Goods                        |       | Senior Debt(e)             |   | L + 425       |       | 1.25%               |   | 11/14/2017    |   |                           | 5,265,512  |   |     |   | 5,230,767  |   |       |   | 5,336,596  |            |   | 0.9% |
| HUB International, Ltd.                |   | Insurance                            |       | Senior Debt(e)             |   | L + 450       |       |                |   | 6/13/2017     |   |                           | 5,090,802  |   |     |   | 5,052,085  |   |       |   | 5,138,885  |            |   | 0.8% |
|                                   |   |                                 |       | Senior Debt(e)             |   | L + 475       |       | 2.00%               |   | 12/13/2017    |   |                           | 329,014    |   |     |   | 329,014    |   |       |   | 333,179    |            |   | 0.1% |
|                                   |   |                                 |       | Subordinated Debt(e)(f)    |   | 8.13%         |       |                |   | 10/15/2018    |   |                           | 16,708,000 |   |     |   | 16,772,986 |   |       |   | 17,125,700 |            |   | 2.8% |
|                                   |   |                                 | 22,154,085 |                       |   |          | 22,597,764 |                |   | 3.7%          |
| Hubbard Radio, LLC                     |   | Media                                |       | Senior Debt                |   | L + 725       |       | 1.50%               |   | 4/30/2018     |   |                           | 14,669,501 |   |     |   | 14,799,961 |   |       |   | 14,962,891 |            |   | 2.4% |
| Hyland Software, Inc.                  |   | Software & Services              |       | Senior Debt(e)             |   | L + 425       |       | 1.25%               |   | 10/25/2019    |   |                           | 4,717,850  |   |     |   | 4,694,621  |   |       |   | 4,737,760  |            |   | 0.8% |
| Immucor, Inc.                          |   | Health Care Equipment & Services |       | Senior Debt(e)(j)          |   | L + 450       |       | 1.25%               |   | 8/19/2018     |   |                           | 2,371,805  |   |     |   | 2,378,649  |   |       |   | 2,406,351  |            |   | 0.4% |
| IMS Health, Inc.                       |   | Health Care Equipment & Services |       | Subordinated Debt(e)(f)(g) |   | 6.00%         |       |                |   | 11/1/2020     |   |                           | 1,657,000  |   |     |   | 1,657,000  |   |       |   | 1,735,707  |            |   | 0.3% |
| Ineos US Finance, LLC (UK)(h)          |   | Materials                            |       | Senior Debt(e)(f)(g)       |   | 9.00%         |       |                |   | 5/15/2015     |   |                           | 70,000     |   |     |   | 73,053     |   |       |   | 74,375     |            |   | 0.0% |
| Infor (US), Inc.                       |   | Software & Services              |       | Senior Debt(e)             |   | L + 400       |       | 1.25%               |   | 4/5/2018      |   |                           | 6,309,822  |   |     |   | 6,351,814  |   |       |   | 6,379,104  |            |   | 1.0% |
|                                   |   |                                 |       | Subordinated Debt(e)(f)    |   | 11.50%        |       |                |   | 7/15/2018     |   |                           | 4,549,000  |   |     |   | 4,968,034  |   |       |   | 5,322,330  |            |   | 0.9% |
|                                   |   |                                 | 11,319,848 |                       |   |          | 11,701,434 |                |   | 1.9%          |
| Interactive Data Corp.                 |   | Diversified Financials               |       | Senior Debt(e)             |   | L + 325       |       | 1.25%               |   | 2/11/2018     |   |                           | 17,629     |   |     |   | 17,312     |   |       |   | 17,750     |            |   | 0.0% |
| iPayment, Inc.                         |   | Software & Services              |       | Senior Debt(e)             |   | L + 425       |       | 1.50%               |   | 5/8/2017      |   |                           | 1,910,441  |   |     |   | 1,891,869  |   |       |   | 1,905,665  |            |   | 0.3% |
|                                   |   |                                 |       | Subordinated Debt(e)       |   | 10.25%        |       |                |   | 5/15/2018     |   |                           | 4,100,000  |   |     |   | 3,871,723  |   |       |   | 3,290,250  |            |   | 0.5% |
|                                   |   |                                 | 5,763,592  |                       |   |          | 5,195,915  |                |   | 0.8%          |
| IPC Systems, Inc.                      |   | Technology Hardware & Equipment  |       | Senior Debt(e)             |   | L + 650       |       | 1.25%               |   | 7/31/2017     |   |                           | 6,307,434  |   |     |   | 6,185,294  |   |       |   | 6,178,668  |            |   | 1.0% |
| J. Crew Group, Inc.                    |   | Retailing                            |       | Subordinated Debt(e)       |   | 8.13%         |       |                |   | 3/1/2019      |   |                           | 1,471,000  |   |     |   | 1,400,873  |   |       |   | 1,555,582  |            |   | 0.3% |
| J. Jill                                |   | Retailing                            |       | Senior Debt(e)(i)          |   | L + 850       |       | 1.50%               |   | 4/29/2017     |   |                           | 10,265,611 |   |     |   | 10,265,611 |   |       |   | 10,265,611 |            |   | 1.7% |
| Jeld-Wen, Inc.                         |   | Capital Goods                        |       | Senior Debt(e)(f)          |   | 12.25%        |       |                |   | 10/15/2017    |   |                           | 15,171,000 |   |     |   | 17,515,794 |   |       |   | 17,522,505 |            |   | 2.9% |
| Kerling PLC (UK)(h)                    |   | Materials                            |       | Senior Debt(f)(g)(EUR)     |   | 10.63%        |       |                |   | 2/1/2017      |   | €                        | 5,353,000  |   |     |   | 6,596,985  |   |       |   | 6,783,069  |            |   | 1.1% |
| KeyPoint Government Solutions, Inc.    |   | Capital Goods                        |       | Senior Debt(e)(i)          |   | L + 600       |       | 1.25%               |   | 11/13/2017    |   | $                              | 35,000,000 |   |     |   | 34,284,382 |   |       |   | 34,650,000 |            |   | 5.7% |

----

| Company (a)                               |   | Industry (n)                                       |      | Investments             |   | Interest Rate        |      | EURIBOR/ LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |   |       |   | Fair Value |   |       | % of Net Assets |
|-------------------------------------------|--------|----------------------------------------------------|-----------|-------------------------|--------|----------------------|-----------|---------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|--------|------------|--------|------------|--------|------------|-----------------|
| Mcjunkin Corp.                            |   | Energy                                             |      | Senior Debt(e)          |   | L + 500              |      | 1.25%               |   | 10/20/2019    |   | $                              | 6,222,293  |   |     | $      | 6,160,357  |   |       | $      | 6,160,357  |            |   | 1.0% |
| MedAssets, Inc.                           |   | Health Care Equipment & Services               |      | Subordinated Debt(e)(g) |   | 8.00%                |      |                |   | 11/15/2018    |   |                           | 489,000    |   |     |   | 490,217    |   |       |   | 530,565    |            |   | 0.1% |
| MetroPCS Wireless, Inc.                   |   | Telecommunication Services                         |      | Subordinated Debt(e)(g) |   | 7.88%                |      |                |   | 9/1/2018      |   |                           | 1,762,000  |   |     |   | 1,834,495  |   |       |   | 1,907,365  |            |   | 0.3% |
| Misys PLC (UK)(h)                         |   | Software & Services                            |      | Senior Debt(e)(g)       |   | L + 600              |      | 1.25%               |   | 12/12/2018    |   |                           | 1,970,073  |   |     |   | 1,947,131  |   |       |   | 1,993,881  |            |   | 0.3% |
| Mueller Water Products, Inc.              |   | Capital Goods                                      |      | Subordinated Debt(e)(g) |   | 7.38%                |      |                |   | 6/1/2017      |   |                           | 1,034,000  |   |     |   | 894,507    |   |       |   | 1,067,605  |            |   | 0.2% |
| Nara Cable Funding (IE)(h)                |   | Media                                              |      | Senior Debt(e)(f)(g)    |   | 8.88%                |      |                |   | 12/1/2018     |   |                           | 981,000    |   |     |   | 831,210    |   |       |   | 998,168    |            |   | 0.2% |
| National Vision, Inc.                     |   | Retailing                                          |      | Senior Debt(e)(i)       |   | L + 575              |      | 1.25%               |   | 8/2/2018      |   |                           | 3,038,620  |   |     |   | 2,995,492  |   |       |   | 3,084,199  |            |   | 0.5% |
| NBTY, Inc.                                |   | Household & Personal Products                  |      | Senior Debt(e)          |   | L + 325              |      | 1.00%               |   | 10/1/2017     |   |                           | 26,355     |   |     |   | 26,081     |   |       |   | 26,659     |            |   | 0.0% |
| New Enterprise Stone & Lime Co., Inc. |   | Capital Goods                                      |      | Senior Debt(e)(f)       |   | 4.00% CASH,9.00% PIK |      |                |   | 3/15/2018     |   |                           | 9,267,090  |   |     |   | 9,366,315  |   |       |   | 9,660,941  |            |   | 1.6% |
| Nexstar Broadcasting, Inc.                |   | Media                                              |      | Senior Debt(e)(g)       |   | L + 350              |      | 1.00%               |   | 12/3/2019     |   |                           | 953,393    |   |     |   | 948,656    |   |       |   | 962,927    |            |   | 0.2% |
|                                      |   |                                               |      | Senior Debt(e)(g)(j)    |   | L + 350              |      | 1.00%               |   | 12/3/2019     |   |                           | 170,525    |   |     |   | 169,678    |   |       |   | 172,870    |            |   | 0.0% |
|                                      |   |                                               |      | Senior Debt(e)(g)       |   | 8.88%                |      |                |   | 4/15/2017     |   |                           | 170,000    |   |     |   | 176,601    |   |       |   | 186,575    |            |   | 0.0% |
|                                      |   |                                               | 1,294,935 |                    |   |                 | 1,322,372 |                |   | 0.2%          |
| North American Breweries, Inc.            |   | Food, Beverage & Tobacco                       |      | Senior Debt(e)(j)       |   | L + 625              |      | 1.25%               |   | 12/28/2018    |   |                           | 4,969,209  |   |     |   | 4,869,824  |   |       |   | 4,994,055  |            |   | 0.8% |
| Nuveen Investments, Inc.                  |   | Diversified Financials                             |      | Senior Debt(e)(g)       |   | L + 700              |      | 1.25%               |   | 2/28/2019     |   |                           | 6,967,420  |   |     |   | 7,072,254  |   |       |   | 7,119,867  |            |   | 1.2% |
| Ocwen Financial Corp.                     |   | Banks                                              |      | Senior Debt(e)(g)(j)    |   | L + 550              |      | 1.50%               |   | 9/1/2016      |   |                           | 14,118,598 |   |     |   | 13,976,986 |   |       |   | 14,224,488 |            |   | 2.3% |
| Office Depot, Inc.                        |   | Retailing                                          |      | Senior Debt(e)(f)(g)    |   | 9.75%                |      |                |   | 3/15/2019     |   |                           | 5,743,000  |   |     |   | 5,649,001  |   |       |   | 6,030,150  |            |   | 1.0% |
| Petco Animal Supplies, Inc.               |   | Retailing                                          |      | Senior Debt(e)          |   | L + 325              |      | 1.25%               |   | 11/24/2017    |   |                           | 118,888    |   |     |   | 113,832    |   |       |   | 119,971    |            |   | 0.0% |
| Pharmaceutical Product Development, Inc.  |   | Pharmaceuticals, Biotechnology & Life Sciences |      | Senior Debt(e)          |   | L + 500              |      | 1.25%               |   | 12/5/2018     |   |                           | 800,576    |   |     |   | 791,408    |   |       |   | 814,730    |            |   | 0.1% |
| Prestige Brands, Inc.                     |   | Pharmaceuticals, Biotechnology & Life Sciences |      | Subordinated Debt(e)(g) |   | 8.13%                |      |                |   | 2/1/2020      |   |                           | 602,000    |   |     |   | 641,657    |   |       |   | 669,725    |            |   | 0.1% |
| Realogy Corp.                             |   | Real Estate                                        |      | Senior Debt(e)(g)       |   | L + 425              |      |                |   | 10/10/2016    |   |                           | 4,126,264  |   |     |   | 3,915,765  |   |       |   | 4,145,163  |            |   | 0.6% |

----

| Company (a)                                        |   | Industry (n)                           |                 | Investments                   |   | Interest Rate |       | EURIBOR/ LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |   |       |   | Fair Value |   |       | % of Net Assets |
|----------------------------------------------------|--------|----------------------------------------|----------------------|-------------------------------|--------|---------------|------------|---------------------|-----------|---------------|--------|--------------------------------|------------|--------|----------|--------|------------|--------|------------|--------|------------|-----------------|
| RedPrairie Corp.                                   |   | Software & Services                |                 | Senior Debt(e)(j)             |   | L + 550       |       | 1.25%               |      | 12/15/2018    |   | $                              | 13,765,573 |   |     | $      | 13,490,261 |   |       | $      | 13,784,500 |            |   | 2.3% |
|                                               |   |                                   |                 | Senior Debt(e)(j)             |   | L + 1000      |       | 1.25%               |      | 12/15/2019    |   |                           | 10,729,285 |   |     |   | 10,514,699 |   |       |   | 10,854,442 |            |   | 1.8% |
|                                               |   |                                   | 24,004,960           |                          |   |          | 24,638,942 |                |      | 4.1%          |
| Reynolds Group Holdings, Inc.                      |   | Capital Goods                          |                 | Senior Debt(e)(f)             |   | 5.75%         |       |                |      | 10/15/2020    |   |                           | 533,000    |   |     |   | 533,000    |   |       |   | 550,323    |            |   | 0.1% |
| Rocket Software, Inc.                              |   | Software & Services                |                 | Senior Debt(e)(j)             |   | L + 450       |       | 1.25%               |      | 2/8/2018      |   |                           | 4,176,561  |   |     |   | 4,165,748  |   |       |   | 4,203,708  |            |   | 0.7% |
| Roundy's Supermarkets, Inc.                        |   | Food & Staples Retailing           |                 | Senior Debt(e)(g)             |   | L + 450       |       | 1.25%               |      | 2/13/2019     |   |                           | 4,465,368  |   |     |   | 4,439,740  |   |       |   | 4,212,115  |            |   | 0.7% |
| Ryerson, Inc.                                      |   | Materials                              |                 | Senior Debt(e)(f)             |   | 9.00%         |       |                |      | 10/15/2017    |   |                           | 6,755,000  |   |     |   | 6,755,641  |   |       |   | 6,873,212  |            |   | 1.1% |
| Sabre, Inc.                                        |   | Transportation                         |                 | Senior Debt(e)(j)             |   | L + 600       |       | 1.25%               |      | 12/29/2017    |   |                           | 29         |   |     |   | (539       | )      |       |   | 29         |            |   | 0.0% |
|                                               |   |                                   |                 | Senior Debt(e)(f)             |   | 8.50%         |       |                |      | 5/15/2019     |   |                           | 8,879,000  |   |     |   | 9,106,811  |   |       |   | 9,456,135  |            |   | 1.5% |
|                                               |   |                                   | 9,106,272            |                          |   |          | 9,456,164  |                |      | 1.5%          |
| Sanmina Corp.                                      |   | Technology Hardware & Equipment    |                 | Subordinated Debt(e)(f)(g)    |   | 7.00%         |       |                |      | 5/15/2019     |   |                           | 7,879,000  |   |     |   | 7,867,583  |   |       |   | 8,036,580  |            |   | 1.3% |
| Schaeffler AG (DE)(h)                              |   | Automobiles & Components           |                 | Senior Debt(e)(g)(j)          |   | L + 475       |       | 1.25%               |      | 1/27/2017     |   |                           | 3,086,176  |   |     |   | 3,094,939  |   |       |   | 3,120,679  |            |   | 0.5% |
|                                               |   |                                   | Senior Debt(e)(f)(g) |                          | 8.50%  |          |       |                | 2/15/2019 |          |   | 5,000                          |       |   |     | 5,376  |       |   |       | 5,650  |       |            | 0.0% |
|                                               |   |                                   | 3,100,315            |                          |   |          | 3,126,329  |                |      | 0.5%          |
| Sedgwick Claims Management Services Holdings, Inc. |   | Insurance                              |                 | Senior Debt(e)(i)             |   | L + 350       |       | 1.50%               |      | 12/31/2016    |   |                           | 112,518    |   |     |   | 107,817    |   |       |   | 112,799    |            |   | 0.0% |
|                                               |   |                                   |                 | Senior Debt(e)(i)             |   | L + 750       |       | 1.50%               |      | 5/30/2017     |   |                           | 1,338,888  |   |     |   | 1,318,149  |   |       |   | 1,358,971  |            |   | 0.3% |
|                                               |   |                                   | 1,425,966            |                          |   |          | 1,471,770  |                |      | 0.3%          |
| Sidera Networks, Inc.                              |   | Media                                  |                 | Senior Debt(e)                |   | L + 450       |       | 1.50%               |      | 8/26/2016     |   |                           | 2,631,540  |   |     |   | 2,493,867  |   |       |   | 2,634,593  |            |   | 0.4% |
| Sinclair Television Group, Inc.                    |   | Media                                  |                 | Subordinated Debt(e)          |   | 8.38%         |       |                |      | 10/15/2018    |   |                           | 27,000     |   |     |   | 28,202     |   |       |   | 30,173     |            |   | 0.0% |
| Sirius XM Radio, Inc.                              |   | Media                                  |                 | Subordinated Debt(e)(f)(g)    |   | 5.25%         |       |                |      | 8/15/2022     |   |                           | 9,000      |   |     |   | 9,090      |   |       |   | 9,090      |            |   | 0.0% |
| SkillSoft Corp.                                    |   | Software & Services                |                 | Subordinated Debt(e)          |   | 11.13%        |       |                |      | 6/1/2018      |   |                           | 1,369,000  |   |     |   | 1,444,147  |   |       |   | 1,514,456  |            |   | 0.2% |
| Smile Brands Group, Inc.                           |   | Health Care Equipment & Services   |                 | Senior Debt(e)                |   | L + 525       |       | 1.75%               |      | 12/21/2017    |   |                           | 3,793,377  |   |     |   | 3,807,218  |   |       |   | 3,565,774  |            |   | 0.6% |
| SNL Financial, LLC                                 |   | Commercial & Professional Services |                 | Senior Debt(e)                |   | L + 425       |       | 1.25%               |      | 10/23/2018    |   |                           | 5,667,077  |   |     |   | 5,649,799  |   |       |   | 5,671,809  |            |   | 0.9% |
| Springleaf Financial Funding Co.                   |   | Diversified Financials                 |                 | Senior Debt(e)(g)             |   | L + 425       |       | 1.25%               |      | 5/10/2017     |   |                           | 2,551,580  |   |     |   | 2,315,867  |   |       |   | 2,542,012  |            |   | 0.4% |
| Standard Chartered Bank (SG)(h)                    |   | Banks                                  |                 | Subordinated Debt(f)(g)(i)(k) |   | L + 1600      |       |                |      | 4/1/2014      |   |                           | 3,310,000  |   |     |   | 3,334,829  |   |       |   | 3,443,062  |            |   | 0.6% |

----

| Company (a)                   |   | Industry (n)                                       |                    | Investments                  |   | Interest Rate |       | EURIBOR/ LIBORFloor |       | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |      |       |   | Fair Value |      |       | % of Net Assets |
|-------------------------------|--------|----------------------------------------------------|-------------------------|------------------------------|--------|---------------|------------|---------------------|------------|---------------|--------|--------------------------------|------------|--------|----------|-----------|------------|--------|------------|-----------|------------|-----------------|
| Supervalu, Inc.               |   | Food & Staples Retailing                       |                    | Subordinated Debt(e)(g)      |   | 7.25%         |       |                |       | 5/1/2013      |   | $                              | 3,503,000  |   |     | $         | 3,485,074  |   |       | $         | 3,533,651  |            |   | 0.6% |
|                          |   |                                               | Subordinated Debt(e)(g) |                         | 7.50%  |          |       |                | 11/15/2014 |          |   | 5,397,000                      |       |   |     | 5,234,840 |       |   |       | 5,235,090 |       |            | 0.9% |
|                          |   |                                               | 8,719,914               |                         |   |          | 8,768,741  |                |       | 1.5%          |
| The Gymboree Corp.            |   | Retailing                                          |                    | Senior Debt(e)               |   | L + 350       |       | 1.50%               |       | 2/23/2018     |   |                           | 17,904,121 |   |     |      | 17,246,576 |   |       |      | 16,538,932 |            |   | 2.7% |
|                          |   |                                               |                    | Subordinated Debt(e)         |   | 9.13%         |       |                |       | 12/1/2018     |   |                           | 12,818,000 |   |     |      | 12,135,027 |   |       |      | 11,408,020 |            |   | 1.9% |
|                          |   |                                               | 29,381,603              |                         |   |          | 27,946,952 |                |       | 4.6%          |
| The Manitowoc Co., Inc.       |   | Capital Goods                                      |                    | Subordinated Debt(e)(g)      |   | 5.88%         |       |                |       | 10/15/2022    |   |                           | 183,000    |   |     |      | 184,113    |   |       |      | 183,000    |            |   | 0.0% |
| The Neiman Marcus Group, Inc. |   | Retailing                                          |                    | Senior Debt(e)               |   | L + 350       |       | 1.25%               |       | 5/16/2018     |   |                           | 188,713    |   |     |      | 182,590    |   |       |      | 189,272    |            |   | 0.0% |
| The SI Organization, Inc.     |   | Capital Goods                                      |                    | Senior Debt(e)               |   | L + 325       |       | 1.25%               |       | 11/22/2016    |   |                           | 186,009    |   |     |      | 176,191    |   |       |      | 185,699    |            |   | 0.0% |
| The TelX Group, Inc.          |   | Telecommunication Services                         |                    | Senior Debt(e)               |   | L + 500       |       | 1.25%               |       | 9/23/2017     |   |                           | 9,549,578  |   |     |      | 9,606,080  |   |       |      | 9,657,059  |            |   | 1.6% |
| Tomkins Air Distribution      |   | Capital Goods                                      |                    | Senior Debt(e)               |   | L + 800       |       | 1.25%               |       | 5/11/2020     |   |                           | 3,454,401  |   |     |      | 3,403,012  |   |       |      | 3,540,761  |            |   | 0.6% |
| Towergate Finance PLC (UK)(h) |   | Insurance                                          |                    | Subordinated Debt(f)(g)(GBP) |   | 10.50%        |       |                |       | 2/15/2019     |   | £                         | 4,125,000  |   |     |      | 6,280,442  |   |       |      | 6,834,873  |            |   | 1.1% |
| TransUnion, LLC               |   | Diversified Financials                             |                    | Subordinated Debt(e)         |   | 11.38%        |       |                |       | 6/15/2018     |   | $                              | 1,403,000  |   |     |      | 1,541,024  |   |       |      | 1,634,495  |            |   | 0.3% |
| Univar, Inc.                  |   | Materials                                          |                    | Senior Debt(e)               |   | L + 350       |       | 1.50%               |       | 6/30/2017     |   |                           | 953,180    |   |     |      | 928,828    |   |       |      | 951,826    |            |   | 0.2% |
| Verisure Holding AB (SE)(h)   |   | Commercial & Professional Services             |                    | Senior Debt(f)(g)(EUR)       |   | 8.75%         |       |                |       | 9/1/2018      |   | €                        | 397,000    |   |     |      | 484,437    |   |       |      | 571,182    |            |   | 0.1% |
| Vision Solutions, Inc.        |   | Commercial & Professional Services             |                    | Senior Debt(e)(i)            |   | L + 450       |       | 1.50%               |       | 7/23/2016     |   | $                              | 1,275,000  |   |     |      | 1,263,440  |   |       |      | 1,271,813  |            |   | 0.2% |
| VWR Funding, Inc.             |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Senior Debt(e)               |   | L + 425       |       |                |       | 4/3/2017      |   |                           | 146,077    |   |     |      | 139,766    |   |       |      | 146,853    |            |   | 0.0% |
|                          |   |                                               | Subordinated Debt(e)(f) |                         | 7.25%  |          |       |                | 9/15/2017  |          |   | 5,349,000                      |       |   |     | 5,349,000 |       |   |       | 5,616,450 |       |            | 0.9% |
|                          |   |                                               |                    |                         |   | 5,488,766     |       |                |       | 5,763,303     |   |                           | 0.9%       |
| Warner Chilcott Co., LLC (IE) |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Subordinated Debt(e)(g)(h)   |   | 7.75%         |       |                |       | 9/15/2018     |   |                           | 1,225,000  |   |     |      | 1,219,535  |   |       |      | 1,304,625  |            |   | 0.2% |
| Wastequip, LLC                |   | Materials                                          |                    | Senior Debt(e)(i)            |   | L + 675       |       | 1.50%               |       | 6/15/2018     |   |                           | 11,227,991 |   |     |      | 10,969,880 |   |       |      | 11,452,550 |            |   | 1.9% |
| West Corp.                    |   | Software & Services                            |                    | Subordinated Debt(e)         |   | 7.88%         |       |                |       | 1/15/2019     |   |                           | 1,575,000  |   |     |      | 1,560,147  |   |       |      | 1,630,125  |            |   | 0.3% |
| Wilton Brands, LLC            |   | Materials                                          |                    | Senior Debt(e)               |   | L + 625       |       | 1.25%               |       | 8/30/2018     |   |                           | 12,823,623 |   |     |      | 12,581,156 |   |       |      | 12,983,918 |            |   | 2.1% |
| Zayo Group, LLC               |   | Telecommunication Services                         |                    | Senior Debt(e)               |   | 8.13%         |       |                |       | 1/1/2020      |   | $                              | 2,260,000  |   |     | $         | 2,400,874  |   |       | $         | 2,514,250  |            |   | 0.4% |
|                          |   |                                               |                    | Subordinated Debt(e)         |   | 10.13%        |       |                |       | 7/1/2020      |   |                           | 5,000,000  |   |     |      | 5,324,088  |   |       |      | 5,687,500  |            |   | 0.9% |
|                          |   |                                               | 7,724,962               |                         |   |          | 8,201,750  |                |       | 1.3%          |

----

| Company (a)                                                   |   | Industry (n)                       |        | Investments |   | Interest Rate |        | EURIBOR/ LIBORFloor |   | Maturity Date |       | No. Shares/PrincipalAmount (b) |   |   | Cost (c)   |   |   |   | Fair Value |   |   | % of Net Assets |
|---------------------------------------------------------------|--------|------------------------------------|-------------|-------------|--------|---------------|-------------|---------------------|--------|---------------|------------|--------------------------------|--------|--------|------------|--------|--------|--------|------------|--------|--------|-----------------|
| Total Non-Control/Non-Affiliate Investments                   |   |                               | 691,427,399 |        |   |          | 697,668,431 |                |   | 114.1%        |
| Short Term Investments—2.2%                             |   |                               |        |        |   |          |        |                |   |          |       |                           |   |   |       |   |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund |   | Short Term Investments(e)          |        | 0.08%(l)    |   |          |        |                |   |          | 2,049,281  |                           |   |   | 2,049,281  |   |   |   | 2,049,281  |   |   | 0.4%            |
| State Street Institutional Liquid Reserves Fund               |   | Short Term Investments             |        | 0.16%(l)    |   |          |        | 12/31/2099          |   |          | 11,152,887 |                           |   |   | 11,152,887 |   |   |   | 11,152,887 |   |   | 1.8%            |
| Total Short Term Investments                                  |   |                               | 13,202,168  |        |   |          | 13,202,168  |                |   | 2.2%          |
| TOTAL INVESTMENTS —116.3%(m)                            |   | $                                  | 704,629,567 |        |   |          | 710,870,599 |                |   | 116.3%        |
| LIABILITIES IN EXCESS OF OTHER ASSETS—(16.3%)           |   |                               |        |        |   |          | (99,386,785 | )                   |   | (16.3)%       |
| NET ASSETS—100.0%                                       |   |                               |        |        |   | $             | 611,483,814 |                |   | 100.0%        |
| Derivative Instruments—0.20%                            |   |                               |        |        |   |          |        |                |   |          |       |                           |   |   |       |   |
| Total return swaps (Note 4) (g)                               |   | Total return swaps                 |        | N/A         |   |          |        | 1/15/2016           |   |          | N/A        |                           |   | $      | —    |   |   | $      | 1,349,246  |   |   | 0.2%            |
| Foreign currency forward contracts (Note 4) (g)               |   | Foreign currency forward contracts |        | N/A         |   |          |        | 1/2013              |   |          | N/A        |                           |   |   | —    |   |   |   | (146,928   | )      |   | (0.0)%          |
| Total Derivative Instruments                                  |   |                               | —     |        |   | $             | 1,202,318   |                |   | 0.2%          |

| *   | Non-income producing security.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (a) | Security may be an obligation of one or more entities affiliated with the named company.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| (b) | Denominated in U.S. Dollars unless otherwise noted.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
| (c) | Represents amortized cost for debt securities and cost for common stock.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| (d) | Non-Control/Non-Affiliate investments are defined by the Investment Company Act of 1940, as amended (“1940 Act”) as investments that are neither Control Investments nor Affiliate Investments. Controlled investments are defined by the 1940 Act as investments in which more than 25% of the voting securities are owned or where the ability to nominate greater than 50% of the board representation is maintained. Affiliate investments are defined by the 1940 Act as investments in which between 5% and 25% of the voting securities are owned and the investments are not classified as Controlled investments.                                                                                                                                                                        |
| (e) | Security or portion thereof is held within CCT Funding, LLC and is pledged as collateral supporting the amounts outstanding under the revolving credit facility with Deutsche Bank.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
| (f) | This security was acquired in a transaction that was exempt from the registration requirements of the Securities Act of 1933, as amended (the "Securities Act"), pursuant to Rule 144A thereunder. This security may be resold only in transactions that are exempt from the registration requirements of the Securities Act, normally to qualified institutional buyers.                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| (g) | The investment is not a qualifying asset as defined in Section 55(a) under the Investment Company Act of 1940, as amended, or the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company's total assets. The Company calculates its compliance with the qualifying assets test on a "look through" basis by disregarding the value of the Company's total return swaps and treating each loan underlying the total return swaps as either a qualifying assets or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 79.3% of the Company's total assets represented qualifying assets as of December 31, 2012. |
| (h) | A portfolio company domiciled in a foreign country.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
| (i) | Investments classified as Level 3 whereby fair value was determined by the Company's Board of Directors (see Note 2).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
| (j) | Position or portion thereof unsettled as of December 31, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
| (k) | A portfolio company investment structured as a credit-linked floating rate note.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
| (l) | 7-day effective yield as of December 31, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |
| (m) | As of December 31, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $14,999,786; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $8,758,754; the net unrealized appreciation was $6,241,032; the aggregate cost of securities for Federal income tax purposes was $704,629,567.                                                                                                                                                                                                                                                                                                                                                                            |
| (n) | Unaudited.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |

| Abbreviations:                                                                                                                |
|-------------------------------------------------------------------------------------------------------------------------------|
| DE - Germany                                                                                                                  |
| ES - Spain                                                                                                                    |
| EUR - Euro; principal amount is denominated in Euros currency. €1 / US $1.320 as of December 31, 2012.                  |
| GBP - British Pound Sterling; principal amount is denominated in Pound Sterling. £1 / US $1.624 as of December 31, 2012. |
| IE - Ireland                                                                                                                  |
| L = LIBOR - London Interbank Offered Rate, typically 3-Month                                                                  |
| LU - Luxembourg                                                                                                               |
| MX - Mexico                                                                                                                   |
| PIK - Payment-in-kind                                                                                                         |
| SE - Sweden                                                                                                                   |
| SG - Singapore                                                                                                                |
| UK - United Kingdom                                                                                                           |

----

Condensed Consolidated Schedule of Investments

| Company (b)                                           |   | Industry (c)                                 |                 | Investments                        |          | InterestRate   |   | EURIBOR/LIBORFloor |     | MaturityDate |                 |          | PrincipalAmount / No. Shares (m) |      |             | Cost (d)      |      |      | Fair Value       |          |      | % of Net Assets |
|-------------------------------------------------------|--------|----------------------------------------------|----------------------|------------------------------------|---------------|----------------|--------|--------------------|----------|--------------|----------------------|---------------|----------------------------------|-----------|------------------|---------------|-----------|-----------|------------------|---------------|-----------|-----------------|
| Non-Control/Non-Affiliate Investments(a)—163.6% |   |                                         |                 |                               |          |           |   |               |     |         |                 |          |                             |      |             |          |      |      |             |          |      |            |   |   |
| Alliant Holdings I, Inc.                              |   | Insurance                                    |                 | Senior Debt(e)                     |          | L + 300        |   |               |     |         | 8/21/2014            |          |                             | $         | 85,889           |          |      | $         | 78,083           |          |      | $               | 83,689 |   |   | 0.1% |
| Allison Transmission, Inc.                            |   | Automobiles & Components                 |                 | Senior Debt(e)                     |          | L + 250        |   |               |     |         | 8/7/2014             |          |                             |      | 7,564            |          |      |      | 7,018            |          |      |            | 7,389 |   |   | 0.0% |
| Ally Financial, Inc.                                  |   | Banks                                        |                 | Preferred Stocks(e)(f)             |          |           |   |               |     |         |                 |          |                             |      | 5,575            |          |      |      | 99,595           |          |      |            | 102,524 |   |   | 0.2% |
| Amkor Technologies, Inc.                              |   | Semiconductors & Semiconductor Equipment |                 | Subordinated Debt(e)(f)            |          | 7.38%          |   |               |     |         | 5/1/2018             |          |                             |      | 208,000          |          |      |      | 205,404          |          |      |            | 212,680 |   |   | 0.3% |
| Aramark Corp.                                         |   | Commercial & Professional Services       |                 | Subordinated Debt(e)               |          | 8.50%          |   |               |     |         | 2/1/2015             |          |                             |      | 1,187,000        |          |      |      | 1,222,134        |          |      |            | 1,216,675 |   |   | 1.9% |
| Aspect Software, Inc.                                 |   | Technology Hardware & Equipment          |                 | Subordinated Debt(e)               |          | 10.63%         |   |               |     |         | 5/15/2017            |          |                             |      | 1,484,000        |          |      |      | 1,529,365        |          |      |            | 1,539,650 |   |   | 2.4% |
| Aspen Dental Management, Inc.                         |   | Health Care Equipment & Services         |                 | Senior Debt(e)(g)                  |          | L + 450        |   | 1.50%              |     |         | 10/6/2016            |          |                             |      | 155,886          |          |      |      | 150,857          |          |      |            | 151,989 |   |   | 0.2% |
| Asset Acceptance Capital Corp.                        |   | Diversified Financials                       |                 | Senior Debt(e)(f)(h)               |          | L + 725        |   | 1.50%              |     |         | 11/14/2017           |          |                             |      | 480,179          |          |      |      | 449,331          |          |      |            | 463,373 |   |   | 0.7% |
| Associated Materials, LLC                             |   | Capital Goods                                |                 | Senior Debt(e)                     |          | 9.13%          |   |               |     |         | 11/1/2017            |          |                             |      | 13,000           |          |      |      | 13,184           |          |      |            | 11,343 |   |   | 0.0% |
| Avaya, Inc.                                           |   | Technology Hardware & Equipment          |                 | Senior Debt(e)(g)Senior Debt(e)(g) |          | L + 275L + 450 |   |               |     |         | 10/24/201410/26/2017 |     |                             |      | 1,142,373974,527 |     |      |      | 1,067,943883,793 |     |      |            | 1,095,010890,474 |     |   | 1.7% 1.4% |
|                                                  |   |                                         |                 |                               |          |           |   |               |     |         |                 |          |                             |      |             |          |      | 1,951,736 |             |          |      | 1,985,484       |   |   | 3.0% |
| Avis Budget Car Rental, LLC                           |   | Transportation                               |                 | Senior Debt(e)(f)                  |          | L + 500        |   | 1.25%              |     |         | 9/22/2018            |          |                             |      | 276,675          |          |      |      | 271,282          |          |      |            | 278,837 |   |   | 0.4% |
| BJ’s Wholesale Club, Inc.                       |   | Food & Staples Retailing                 |                 | Senior Debt(e)                     |          | L + 575        |   | 1.25%              |     |         | 9/28/2018            |          |                             |      | 1,113,299        |          |      |      | 1,093,129        |          |      |            | 1,118,164 |   |   | 1.7% |
| Boise Paper Holdings, LLC                             |   | Materials                                    |                 | Subordinated Debt(e)(f)            |          | 9.00%          |   |               |     |         | 11/1/2017            |          |                             |      | 146,000          |          |      |      | 154,801          |          |      |            | 156,950 |   |   | 0.2% |
| Cablevision Systems Corp.                             |   | Media                                        |                 | Subordinated Debt(e)(f)            |          | 7.75%          |   |               |     |         | 4/15/2018            |          |                             |      | 426,000          |          |      |      | 431,245          |          |      |            | 451,560 |   |   | 0.7% |
| Caesars Entertainment Operating Co., Inc.             |   | Consumer Services                            |                 | Senior Debt(e)(g)                  |          | L + 300        |   |               |     |         | 1/28/2015            |          |                             |      | 12,797           |          |      |      | 11,723           |          |      |            | 11,157 |   |   | 0.0% |
|                                                  |   | Senior Debt(e)                               |                 | 11.25%                             |          |           |   |               | 6/1/2017 |         |                 |          | 1,070,000                        |      |             |          | 1,135,422 |      |             |          | 1,135,537 |            |   | 1.7% |
|                                                  |   |                                         |                 |                               |          |           |   |               |     |         |                 |          |                             |      |             |          |      |      | 1,147,145        |          |      |            | 1,146,694 |   |   | 1.8% |
| California Pizza Kitchen, Inc.                        |   | Food & Staples Retailing                 |                 | Senior Debt(e)(g)(h)               |          | L + 550        |   | 1.25%              |     |         | 7/7/2017             |          |                             |      | 1,068,431        |          |      |      | 1,023,743        |          |      |            | 1,041,721 |   |   | 1.6% |
| Calpine Corp.                                         |   | Utilities                                    |                 | Senior Debt(e)(f)(g)               |          | L + 325        |   | 1.25%              |     |         | 4/1/2018             |          |                             |      | 68,276           |          |      |      | 65,451           |          |      |            | 67,090 |   |   | 0.1% |
| CDW, LLC                                              |   | Technology Hardware & Equipment          |                 | Senior Debt(e)                     |          | L + 350        |   |               |     |         | 10/10/2014           |          |                             |      | 1,229,473        |          |      |      | 1,201,984        |          |      |            | 1,194,316 |   |   | 1.8% |
|                                                  |   |                                         | Subordinated Debt(e) |                               | 11.50% CASH   |           |   |               |     | 10/12/2015   |                 |          |                             | 135,000   |             |          |      | 142,433   |             |          |      | 141,750         |   |   | 0.2% |
|                                                  |   |                                         |                 |                               | or 12.50% PIK |           |   |               |     |         |                 |          |                             |      |             |          |      | 1,344,417 |             |          |      | 1,336,066       |   |   | 2.1% |
| Cengage Learning Acquisitions, Inc.                   |   | Media                                        |                 | Senior Debt(e)(g)                  |          | L + 225        |   |               |     |         | 7/3/2014             |          |                             |      | 1,954,781        |          |      |      | 1,624,504        |          |      |            | 1,670,243 |   |   | 2.6% |
| Ceridian Corp.                                        |   | Software & Services                      |                 | Senior Debt(e)(g)                  |          | L + 300        |   |               |     |         | 11/10/2014           |          |                             |      | 1,793,378        |          |      |      | 1,652,772        |          |      |            | 1,621,330 |   |   | 2.5% |
| Charter Communications Operating Holdings, LLC        |   | Media                                        |                 | Subordinated Debt(e)(f)            |          | 7.25%          |   |               |     |         | 10/30/2017           |          |                             |      | 573,000          |          |      |      | 583,128          |          |      |            | 603,799 |   |   | 0.9% |
| CHS / Community Health Systems, Inc.                  |   | Health Care Equipment & Services         |                 | Subordinated Debt(e)(f)            |          | 8.88%          |   |               |     |         | 7/15/2015            |          |                             |      | 433,565          |          |      |      | 439,405          |          |      |            | 447,656 |   |   | 0.7% |
| Citco III, Ltd. (IE)(i)                               |   | Diversified Financials                       |                 | Senior Debt(e)(f)(g)               |          | L + 500        |   | 1.25%              |     |         | 6/29/2018            |          |                             |      | 17,307           |          |      |      | 17,349           |          |      |            | 16,572 |   |   | 0.0% |
| ClubCorp Club Operations, Inc.                        |   | Consumer Services                            |                 | Senior Debt(e)(g)                  |          | L + 450        |   | 1.50%              |     |         | 11/30/2016           |          |                             |      | 137,092          |          |      |      | 129,554          |          |      |            | 136,864 |   |   | 0.2% |
| Continental Airlines, Inc.                            |   | Transportation                               |                 | Senior Debt(e)(f)                  |          | 8.31%          |   |               |     |         | 4/2/2018             |          |                             |      | 691,761          |          |      |      | 686,329          |          |      |            | 672,738 |   |   | 1.0% |
| CRC Health Corp.                                      |   | Health Care Equipment & Services         |                 | Senior Debt(e)                     |          | L + 450        |   |               |     |         | 11/16/2015           |          |                             |      | 973,846          |          |      |      | 926,057          |          |      |            | 883,766 |   |   | 1.4% |
|                                                  |   |                                         | Subordinated Debt(e) |                               | 10.75%        |           |   |               |     | 2/1/2016     |                 |          |                             | 1,114,000 |             |          |      | 1,065,237 |             |          |      | 1,058,300       |   |   | 1.6% |
|                                                  |   |                                         |                 |                               |          |           |   |               |     |         |                 |          |                             |      |             |          |      | 1,991,294 |             |          |      | 1,942,066       |   |   | 3.0% |

----

| Company (b)                                  |   | Industry (c)                         |              | Investments                                    |    | InterestRate          |   | EURIBOR/LIBORFloor |   | MaturityDate |                        |                 | PrincipalAmount / No. Shares (m) |    |                  | Cost (d)             |    |      | Fair Value            |                 |    | % of Net Assets |
|----------------------------------------------|--------|--------------------------------------|-------------------|------------------------------------------------|---------|-----------------------|--------|--------------------|--------|--------------|-----------------------------|----------------------|----------------------------------|---------|-----------------------|----------------------|---------|-----------|-----------------------|----------------------|---------|-----------------|
| Cricket Communications, Inc.                 |   | Telecommunication Services           |              | Senior Debt(e)(f)                              |    | 7.75%                 |   |               |   |         | 5/15/2016                   |                 |                             | $       | 1,529,000             |                 |    | $         | 1,541,150             |                 |    | $               | 1,578,692 |   |   | 2.4% |
| Datatel, Inc.                                |   | Software & Services              |              | Senior Debt(e)Senior Debt(e)Senior Debt(e)(g)  |    | L + 350L + 725L + 525 |   | 1.50%1.50% 1.50%   |   |         | 2/20/20172/19/20189/15/2018 |       |                             |    | 556,984150,000406,204 |       |    |      | 554,944153,568400,111 |       |    |            | 557,750150,750406,840 |       |   | 0.9% 0.2% 0.6% |
|                                         |   |                                 |              |                                           |    |                  |   |               |   |         |                        |                 |                             |    |                  |                 |    | 1,108,623 |                  |                 |    | 1,115,340       |   |   | 1.7% |
| DineEquity, Inc.                             |   | Consumer Services                    |              | Senior Debt(e)(f)(g)                           |    | L + 300               |   | 1.25%              |   |         | 10/19/2017                  |                 |                             |    | 75,685                |                 |    |      | 72,728                |                 |    |            | 74,791 |   |   | 0.1% |
| DuPont Fabros Technology, LP                 |   | Real Estate                          |              | Subordinated Debt(e)(f)                        |    | 8.50%                 |   |               |   |         | 12/15/2017                  |                 |                             |    | 100,000               |                 |    |      | 106,616               |                 |    |            | 107,000 |   |   | 0.2% |
| E*TRADE Financial Corp.                      |   | Diversified Financials               |              | Subordinated Debt(e)(f)                        |    | 7.88%                 |   |               |   |         | 12/1/2015                   |                 |                             |    | 1,269,000             |                 |    |      | 1,264,604             |                 |    |            | 1,275,345 |   |   | 2.0% |
| Easton-Bell Sports, Inc.                     |   | Consumer Durables & Apparel      |              | Senior Debt(e)                                 |    | 9.75%                 |   |               |   |         | 12/1/2016                   |                 |                             |    | 1,190,000             |                 |    |      | 1,275,766             |                 |    |            | 1,297,100 |   |   | 2.0% |
| Education Management, LLC                    |   | Consumer Services                    |              | Subordinated Debt(e)(f)                        |    | 8.75%                 |   |               |   |         | 6/1/2014                    |                 |                             |    | 1,728,000             |                 |    |      | 1,732,881             |                 |    |            | 1,732,320 |   |   | 2.7% |
| Emergency Medical Services Corp.             |   | Health Care Equipment & Services |              | Senior Debt(e)(g)                              |    | L + 375               |   | 1.50%              |   |         | 5/25/2018                   |                 |                             |    | 216,967               |                 |    |      | 205,433               |                 |    |            | 211,814 |   |   | 0.3% |
| Express, LLC / Express Finance Corp.         |   | Retailing                            |              | Subordinated Debt(e)(f)                        |    | 8.75%                 |   |               |   |         | 3/1/2018                    |                 |                             |    | 43,000                |                 |    |      | 46,248                |                 |    |            | 46,547 |   |   | 0.1% |
| Fidelity National Information Services, Inc. |   | Software & Services              |              | Subordinated Debt(e)(f)Subordinated Debt(e)(f) |    | 7.63% 7.88%           |   |               |   |         | 7/15/20177/15/2020          |                 |                             |    | 46,000122,000         |                 |    |      | 48,686130,244         |                 |    |            | 49,795131,760 |   |   | 0.1% 0.2% |
|                                         |   |                                 |              |                                           |    |                  |   |               |   |         |                        |                 |                             |    |                  |                 | 178,930 |      |                  |                 | 181,555 |            |   | 0.3% |
| Fifth Third Processing Solutions, LLC        |   | Software & Services              |              | Senior Debt(e)(g)                              |    | L + 325               |   | 1.25%              |   |         | 11/3/2016                   |                 |                             |    | 61,304                |                 |    |      | 59,554                |                 |    |            | 61,258 |   |   | 0.1% |
| FTI Consulting, Inc.                         |   | Diversified Financials               |              | Subordinated Debt(e)(f)                        |    | 6.75%                 |   |               |   |         | 10/1/2020                   |                 |                             |    | 87,000                |                 |    |      | 86,817                |                 |    |            | 89,827 |   |   | 0.1% |
| GCI, Inc.                                    |   | Telecommunication Services           |              | Subordinated Debt(e)                           |    | 8.63%                 |   |               |   |         | 11/15/2019                  |                 |                             |    | 2,294,000             |                 |    |      | 2,438,105             |                 |    |            | 2,434,507 |   |   | 3.7% |
| General Nutrition Centers, Inc.              |   | Retailing                            |              | Senior Debt(e)(f)                              |    | L + 300               |   | 1.25%              |   |         | 3/2/2018                    |                 |                             |    | 23,369                |                 |    |      | 23,370                |                 |    |            | 23,029 |   |   | 0.0% |
| Good Sam Enterprises, LLC                    |   | Media                                |              | Senior Debt(e)                                 |    | 11.50%                |   |               |   |         | 12/1/2016                   |                 |                             |    | 1,375,000             |                 |    |      | 1,343,093             |                 |    |            | 1,347,500 |   |   | 2.1% |
| Goodman Global, Inc.                         |   | Capital Goods                        |              | Senior Debt(e)(g)                              |    | L + 700               |   | 2.00%              |   |         | 10/30/2017                  |                 |                             |    | 948,221               |                 |    |      | 952,962               |                 |    |            | 954,541 |   |   | 1.5% |
| Great Lakes Dredge & Dock Corp.          |   | Capital Goods                        |              | Subordinated Debt(e)(f)                        |    | 7.38%                 |   |               |   |         | 2/1/2019                    |                 |                             |    | 96,000                |                 |    |      | 94,738                |                 |    |            | 95,040 |   |   | 0.1% |
| Guitar Center, Inc.                          |   | Retailing                            |              | Senior Debt(e)(g)                              |    | L + 525               |   |               |   |         | 4/9/2017                    |                 |                             |    | 4,238,739             |                 |    |      | 3,716,872             |                 |    |            | 3,736,449 |   |   | 5.7% |
| The Gymboree Corp.                           |   | Retailing                            |              | Senior Debt(e)(g)Subordinated Debt(e)          |    | L + 3509.13%          |   | 1.50%              |   |         | 2/23/201812/1/2018          |                 |                             |    | 904,502748,000        |                 |    |      | 847,281609,721        |                 |    |            | 807,607654,500 |   |   | 1.2% 1.0% |
|                                         |   |                                 |              |                                           |    |                  |   |               |   |         |                        |                 |                             |    |                  |                 |    |      | 1,457,002             |                 |    |            | 1,462,107 |   |   | 2.2% |
| High Plains Broadcasting Operating Co.       |   | Media                                |              | Senior Debt(g)                                 |    | L + 675               |   | 3.00%              |   |         | 9/14/2016                   |                 |                             |    | 351,687               |                 |    |      | 347,295               |                 |    |            | 349,561 |   |   | 0.5% |
| HUB International, Ltd.                      |   | Insurance                            |              | Senior Debt(e)(g)                              |    | L + 250               |   | 2.00%              |   |         | 6/13/2014                   |                 |                             |    | 1,134,886             |                 |    |      | 1,088,373             |                 |    |            | 1,089,139 |   |   | 0.5% |
|                                         |   |                                 | Senior Debt(e)(g) |                                           | L + 475 |                  |   |               |   | 6/13/2014    |                        |                 |                             | 332,350 |                  |                 |    | 332,350   |                  |                 |    | 331,283         |   |   | 1.7% |
|                                         |   |                                 |              |                                           |    |                  |   |               |   |         |                        |                 |                             |    |                  |                 |    | 1,420,723 |                  |                 |    | 1,420,422       |   |   | 2.2% |
| Hubbard Radio, LLC                           |   | Media                                |              | Senior Debt(e)(g)                              |    | L + 375               |   | 1.50%              |   |         | 4/28/2017                   |                 |                             |    | 606,123               |                 |    |      | 601,661               |                 |    |            | 598,359 |   |   | 0.9% |
|                                         |   |                                 |              | Senior Debt(e)(g)                              |    | L + 725               |   | 1.50%              |   |         | 4/30/2018                   |                 |                             |    | 2,834,070             |                 |    |      | 2,819,267             |                 |    |            | 2,798,644 |   |   | 4.3% |
|                                         |   |                                 |              |                                           |    |                  |   |               |   |         |                        |                 |                             |    |                  |                 |    |      | 3,420,928             |                 |    |            | 3,397,003 |   |   | 5.2% |

----

| Company (b)                                   |   | Industry (c)                         |                    | Investments                   |    | InterestRate |   | EURIBOR/LIBORFloor |      | MaturityDate |       |   | PrincipalAmount / No. Shares (m) |      |      | Cost (d) |    |      | Fair Value |   |    | % of Net Assets |
|-----------------------------------------------|--------|--------------------------------------|-------------------------|-------------------------------|---------|--------------|--------|--------------------|-----------|--------------|------------|--------|----------------------------------|-----------|-----------|----------|---------|-----------|------------|--------|---------|-----------------|
| Husky Injection Molding Systems, Ltd. (CA)(i) |   | Capital Goods                        |                    | Senior Debt(e)(f)(g)          |    | L + 525      |   | 1.25%              |      |         | 6/29/2018  |   |                             | $         | 1,159,646 |     |    | $         | 1,149,330  |   |    | $               | 1,159,194 |   |   | 1.8% |
| Immucor, Inc.                                 |   | Health Care Equipment & Services |                    | Senior Debt(e)(g)             |    | L + 575      |   | 1.50%              |      |         | 8/19/2018  |   |                             |      | 2,528,757 |     |    |      | 2,533,137  |   |    |            | 2,547,407 |   |   | 3.9% |
| Ineos Holdings, Ltd. (UK)(i)                  |   | Materials                            |                    | Subordinated Debt(f)(g) (EUR) |    | E + 600 PIK  |   | 3.00%              |      |         | 6/16/2015  |   |                             | €   | 889,214   |     |    | $         | 1,109,884  |   |    | $               | 1,061,432 |   |   | 1.6% |
| Infor Enterprise Solutions Holdings, Inc.     |   | Software & Services              |                    | Senior Debt(e)(g)             |    | L + 575      |   |               |      |         | 7/28/2015  |   |                             | $         | 1,610,000 |     |    |      | 1,541,287  |   |    |            | 1,521,450 |   |   | 2.3% |
| Interactive Data Corp.                        |   | Diversified Financials               |                    | Senior Debt(e)(g)             |    | L + 325      |   | 1.25%              |      |         | 2/11/2018  |   |                             |      | 18,262    |     |    |      | 17,899     |   |    |            | 18,037 |   |   | 0.0% |
| iPayment, Inc.                                |   | Software & Services              |                    | Senior Debt(e)(g)             |    | L + 425      |   | 1.50%              |      |         | 5/8/2017   |   |                             |      | 1,953,798 |     |    |      | 1,931,324  |   |    |            | 1,932,629 |   |   | 3.0% |
|                                          |   | Subordinated Debt(e)(j)              |                    | 10.25%                        |    |         |   |               | 5/15/2018 |         |       |   | 415,000                          |      |      |     | 375,604 |      |       |   | 390,100 |            |   | 0.6% |
|                                          |   |                                 |                    |                          |    |         |   |               |      |         |       |   |                             |      |      |     |    |      | 2,306,928  |   |    |            | 2,322,729 |   |   | 3.6% |
| IPC Systems, Inc.                             |   | Technology Hardware & Equipment  |                    | Senior Debt(e)(g)             |    | L + 225      |   |               |      |         | 6/2/2014   |   |                             |      | 4,855     |     |    |      | 4,515      |   |    |            | 4,535 |   |   | 0.0% |
| J. Crew Group, Inc.                           |   | Retailing                            |                    | Senior Debt(e)(g)             |    | L + 350      |   | 1.25%              |      |         | 3/7/2018   |   |                             |      | 2,765,351 |     |    |      | 2,588,677  |   |    |            | 2,604,366 |   |   | 4.0% |
|                                          |   |                                 | Subordinated Debt(e)    |                          | 8.13%   |         |   |               |      | 3/1/2019     |       |   |                             | 1,026,000 |      |     |    | 963,411   |       |   |    | 979,830         |   |   | 1.5% |
|                                          |   |                                 |                    |                          |    |         |   |               |      |         |       |   |                             |      |      |     |    | 3,552,088 |       |   |    | 3,584,196       |   |   | 5.5% |
| Jo-Ann Stores, Inc.                           |   | Retailing                            |                    | Senior Debt(e)                |    | L + 350      |   | 1.25%              |      |         | 3/16/2018  |   |                             |      | 23,488    |     |    |      | 23,262     |   |    |            | 22,453 |   |   | 0.0% |
| Kinetic Concepts, Inc.                        |   | Health Care Equipment & Services |                    | Senior Debt(e)(f)             |    | L + 525      |   | 1.25%              |      |         | 11/4/2016  |   |                             |      | 329,847   |     |    |      | 320,184    |   |    |            | 329,642 |   |   | 0.5% |
|                                          |   | Senior Debt(e)(f)(g)                 |                    | L + 575                       |    | 1.25%        |   |               | 5/4/2018  |         |       |   | 375,178                          |      |      |     | 366,342 |      |       |   | 379,071 |            |   | 0.6% |
|                                          |   |                                 |                    |                          |    |         |   |               |      |         |       |   |                             |      |      |     | 686,526 |      |       |   | 708,713 |            |   | 1.1% |
| Lamar Media Corp.                             |   | Media                                |                    | Subordinated Debt(e)(f)       |    | 6.63%        |   |               |      |         | 8/15/2015  |   |                             |      | 206,000   |     |    |      | 206,000    |   |    |            | 210,120 |   |   | 0.3% |
| Lawson Software, Inc.                         |   | Software & Services              |                    | Senior Debt(e)                |    | L + 525      |   | 1.50%              |      |         | 7/5/2017   |   |                             |      | 1,766,446 |     |    |      | 1,735,811  |   |    |            | 1,726,542 |   |   | 2.6% |
| Local TV Finance, LLC                         |   | Media                                |                    | Senior Debt(e)                |    | L + 200      |   |               |      |         | 5/7/2013   |   |                             |      | 370,225   |     |    |      | 352,992    |   |    |            | 358,191 |   |   | 0.5% |
| The Manitowoc Co., Inc.                       |   | Capital Goods                        |                    | Subordinated Debt(e)(f)       |    | 9.50%        |   |               |      |         | 2/15/2018  |   |                             |      | 21,000    |     |    |      | 22,983     |   |    |            | 22,365 |   |   | 0.0% |
| McJunkin Red Man Corp.                        |   | Energy                               |                    | Senior Debt(e)                |    | 9.50%        |   |               |      |         | 12/15/2016 |   |                             |      | 3,393,000 |     |    |      | 3,374,953  |   |    |            | 3,443,895 |   |   | 5.3% |
| MedAssets, Inc.                               |   | Health Care Equipment & Services |                    | Senior Debt(e)(f)(g)          |    | L + 375      |   | 1.50%              |      |         | 11/16/2016 |   |                             |      | 699,792   |     |    |      | 699,730    |   |    |            | 698,742 |   |   | 1.1% |
|                                          |   |                                 | Subordinated Debt(e)(f) |                          | 8.00%   |         |   |               |      | 11/15/2018   |       |   |                             | 316,000   |      |     |    | 311,267   |       |   |    | 309,680         |   |   | 0.5% |
|                                          |   |                                 |                    |                          |    |         |   |               |      |         |       |   |                             |      |      |     |    | 1,010,997 |       |   |    | 1,008,422       |   |   | 1.5% |
| MetroPCS Wireless, Inc.                       |   | Telecommunication Services           |                    | Subordinated Debt(e)(f)       |    | 7.88%        |   |               |      |         | 9/1/2018   |   |                             |      | 281,000   |     |    |      | 284,117    |   |    |            | 284,864 |   |   | 0.4% |
| Michaels Stores, Inc.                         |   | Retailing                            |                    | Senior Debt(e)                |    | L + 225      |   |               |      |         | 10/31/2013 |   |                             |      | 215,942   |     |    |      | 202,264    |   |    |            | 212,726 |   |   | 0.3% |
|                                          |   |                                 | Senior Debt(e)(g)       |                          | L + 450 |         |   |               |      | 7/31/2016    |       |   |                             | 681,714   |      |     |    | 667,113   |       |   |    | 671,659         |   |   | 1.0% |
|                                          |   |                                 |                    |                          |    |         |   |               |      |         |       |   |                             |      |      |     |    |      | 869,377    |   |    |            | 884,385 |   |   | 1.4% |
| Momentive Performance Materials USA, Inc.     |   | Materials                            |                    | Senior Debt(e)(g)             |    | L + 350      |   |               |      |         | 5/5/2015   |   |                             |      | 1,212,164 |     |    |      | 1,161,622  |   |    |            | 1,158,623 |   |   | 1.8% |
| Mondrian Investment Partners, Ltd. (UK)(i)    |   | Diversified Financials               |                    | Senior Debt(e)(f)(g)          |    | L + 425      |   | 1.25%              |      |         | 7/12/2018  |   |                             |      | 488,020   |     |    |      | 484,049    |   |    |            | 488,020 |   |   | 0.7% |
| Mueller Water Products, Inc.                  |   | Capital Goods                        |                    | Subordinated Debt(e)(f)       |    | 7.38%        |   |               |      |         | 6/1/2017   |   |                             |      | 1,034,000 |     |    |      | 871,542    |   |    |            | 940,940 |   |   | 1.4% |
|                                          |   | Subordinated Debt(e)(f)              |                    | 8.75%                         |    |         |   |               | 9/1/2020  |         |       |   | 250,000                          |      |      |     | 253,683 |      |       |   | 271,562 |            |   | 0.4% |
|                                          |   |                                 |                    |                          |    |         |   |               |      |         |       |   |                             |      |      |     |    | 1,125,225 |       |   |    | 1,212,502       |   |   | 1.9% |

----

| Company (b)                                        |   | Industry (c)                                       |                 | Investments             |    | InterestRate |   | EURIBOR/LIBORFloor |      | MaturityDate |       |   | PrincipalAmount / No. Shares (m) |      |      | Cost (d) |    |      | Fair Value |   |    | % of Net Assets |
|----------------------------------------------------|--------|----------------------------------------------------|----------------------|-------------------------|---------|--------------|--------|--------------------|-----------|--------------|------------|--------|----------------------------------|-----------|-----------|----------|---------|-----------|------------|--------|---------|-----------------|
| N.E.W. Holdings I, LLC                             |   | Software & Services                            |                 | Senior Debt(e)          |    | L + 425      |   | 1.75%              |      |         | 3/23/2016  |   |                             | $         | 8,655     |     |    | $         | 8,250      |   |    | $               | 8,407 |   |   | 0.0% |
|                                               |   | Subordinated Debt(e)(h)                            |                 | L + 750                 |    | 2.00%        |   |               | 3/23/2017 |         |       |   | 998,480                          |      |      |     | 986,123 |      |       |   | 963,533 |            |   | 1.5% |
|                                               |   |                                               |                 |                    |    |         |   |               |      |         |       |   |                             |      |      |     | 994,373 |      |       |   | 971,940 |            |   | 1.5% |
| NBTY, Inc.                                         |   | Household & Personal Products                  |                 | Senior Debt(e)(g)       |    | L + 325      |   | 1.00%              |      |         | 10/1/2017  |   |                             |      | 26,355    |     |    |      | 26,031     |   |    |            | 26,126 |   |   | 0.0% |
| The Neiman Marcus Group, Inc.                      |   | Retailing                                          |                 | Senior Debt(e)          |    | L + 350      |   | 1.25%              |      |         | 5/16/2018  |   |                             |      | 188,713   |     |    |      | 181,660    |   |    |            | 182,344 |   |   | 0.3% |
|                                               |   |                                               | Subordinated Debt(e) |                    | 10.38%  |         |   |               |      | 10/15/2015   |       |   |                             | 1,967,000 |      |     |    | 2,040,359 |       |   |    | 2,043,241       |   |   | 3.1% |
|                                               |   |                                               |                 |                    |    |         |   |               |      |         |       |   |                             |      |      |     |    |      | 2,222,019  |   |    |            | 2,225,585 |   |   | 3.4% |
| Nexstar Broadcasting, Inc.                         |   | Media                                              |                 | Senior Debt(e)(f)       |    | 8.88%        |   |               |      |         | 4/15/2017  |   |                             |      | 170,000   |     |    |      | 177,868    |   |    |            | 174,250 |   |   | 0.3% |
| NPC International, Inc.                            |   | Consumer Services                                  |                 | Senior Debt(e)(g)       |    | L + 525      |   | 1.50%              |      |         | 11/7/2018  |   |                             |      | 1,515,463 |     |    |      | 1,519,252  |   |    |            | 1,521,146 |   |   | 2.3% |
| NuSil Technology, LLC                              |   | Materials                                          |                 | Senior Debt(e)(g)       |    | L + 400      |   | 1.25%              |      |         | 4/7/2017   |   |                             |      | 25,312    |     |    |      | 25,312     |   |    |            | 24,848 |   |   | 0.0% |
| Nuveen Investments, Inc.                           |   | Diversified Financials                             |                 | Senior Debt(e)(f)       |    | L + 300      |   |               |      |         | 11/13/2014 |   |                             |      | 25,629    |     |    |      | 25,290     |   |    |            | 24,556 |   |   | 0.0% |
|                                               |   | Senior Debt(e)(f)                                  |                 | L + 550                 |    |         |   |               | 5/13/2017 |         |       |   | 133,224                          |      |      |     | 130,890 |      |       |   | 128,395 |            |   | 0.2% |
|                                               |   |                                               | Senior Debt(e)(f)(g) |                    | L + 600 |         | 1.25%  |               |      | 5/13/2017    |       |   |                             | 282,184   |      |     |    | 276,540   |       |   |    | 278,891         |   |   | 0.4% |
|                                               |   |                                               |                 | Subordinated Debt(e)(f) |    | 10.50%       |   |               |      |         | 11/15/2015 |   |                             |      | 1,715,000 |     |    |      | 1,671,568  |   |    |            | 1,702,137 |   |   | 2.6% |
|                                               |   |                                               |                 |                    |    |         |   |               |      |         |       |   |                             |      |      |     |    |      | 2,104,288  |   |    |            | 2,133,979 |   |   | 3.3% |
| Ocwen Financial Corp.                              |   | Banks                                              |                 | Senior Debt(e)(f)(g)    |    | L + 550      |   | 1.50%              |      |         | 9/1/2016   |   |                             |      | 1,400,877 |     |    |      | 1,381,333  |   |    |            | 1,380,359 |   |   | 2.1% |
| Penn National Gaming, Inc.                         |   | Consumer Services                                  |                 | Subordinated Debt(e)(f) |    | 8.75%        |   |               |      |         | 8/15/2019  |   |                             |      | 401,000   |     |    |      | 432,531    |   |    |            | 436,087 |   |   | 0.7% |
| Petco Animal Supplies, Inc.                        |   | Retailing                                          |                 | Senior Debt(e)          |    | L + 325      |   | 1.25%              |      |         | 11/24/2017 |   |                             |      | 120,101   |     |    |      | 114,129    |   |    |            | 117,280 |   |   | 0.2% |
| Pharmaceutical Product Development, Inc.           |   | Pharmaceuticals, Biotechnology & Life Sciences |                 | Senior Debt(e)(f)(g)    |    | L + 500      |   | 1.25%              |      |         | 12/5/2018  |   |                             |      | 808,662   |     |    |      | 798,202    |   |    |            | 804,938 |   |   | 1.2% |
| Pinnacle Entertainment, Inc.                       |   | Consumer Services                                  |                 | Subordinated Debt(e)(f) |    | 8.63%        |   |               |      |         | 8/1/2017   |   |                             |      | 167,000   |     |    |      | 176,491    |   |    |            | 176,602 |   |   | 0.3% |
| Pinnacle Foods Finance, LLC                        |   | Food & Staples Retailing                       |                 | Senior Debt(e)(g)       |    | L + 250      |   |               |      |         | 4/2/2014   |   |                             |      | 547,748   |     |    |      | 530,579    |   |    |            | 537,133 |   |   | 0.8% |
| Realogy Corp.                                      |   | Real Estate                                        |                 | Senior Debt(e)          |    | L + 425      |   |               |      |         | 10/10/2016 |   |                             |      | 1,566,113 |     |    |      | 1,379,558  |   |    |            | 1,403,269 |   |   | 2.2% |
|                                               |   |                                               | Senior Debt(e)       |                    | L - 15  |         |   |               |      | 10/10/2016   |       |   |                             | 123,163   |      |     |    | 108,445   |       |   |    | 110,357         |   |   | 0.2% |
|                                               |   |                                               |                 |                    |    |         |   |               |      |         |       |   |                             |      |      |     |    |      | 1,488,003  |   |    |            | 1,513,626 |   |   | 2.3% |
| Ryerson, Inc.                                      |   | Materials                                          |                 | Senior Debt(e)(f)       |    | L + 737.5    |   |               |      |         | 11/1/2014  |   |                             |      | 98,000    |     |    |      | 97,346     |   |    |            | 90,160 |   |   | 0.1% |
|                                               |   |                                               |                 | Senior Debt(e)(f)       |    | 12.00%       |   |               |      |         | 11/1/2015  |   |                             |      | 44,000    |     |    |      | 46,519     |   |    |            | 44,440 |   |   | 0.1% |
|                                               |   |                                               |                 |                    |    |         |   |               |      |         |       |   |                             |      |      |     |    |      | 143,865    |   |    |            | 134,600 |   |   | 0.2% |
| Sabre, Inc.                                        |   | Transportation                                     |                 | Senior Debt(e)(g)       |    | L + 200      |   |               |      |         | 9/30/2014  |   |                             |      | 3,257,513 |     |    |      | 2,788,750  |   |    |            | 2,704,632 |   |   | 4.2% |
| SandRidge Energy, Inc.                             |   | Energy                                             |                 | Subordinated Debt(e)(f) |    | L + 362.5    |   |               |      |         | 4/1/2014   |   |                             |      | 23,000    |     |    |      | 22,952     |   |    |            | 22,352 |   |   | 0.0% |
| Scitor Corp.                                       |   | Capital Goods                                      |                 | Senior Debt(e)(g)       |    | L + 350      |   | 1.50%              |      |         | 2/15/2017  |   |                             |      | 23,310    |     |    |      | 23,255     |   |    |            | 22,203 |   |   | 0.0% |
| Sedgwick Claims Management Services Holdings, Inc. |   | Insurance                                          |                 | Senior Debt(e)(g)(h)    |    | L + 350      |   | 1.50%              |      |         | 12/31/2016 |   |                             |      | 113,219   |     |    |      | 107,480    |   |    |            | 111,662 |   |   | 0.2% |
|                                               |   | Senior Debt(e)(h)                                  |                 | L + 750                 |    | 1.50%        |   |               | 5/30/2017 |         |       |   | 907,195                          |      |      |     | 882,412 |      |       |   | 898,123 |            |   | 1.4% |
|                                               |   |                                               |                 |                    |    |         |   |               |      |         |       |   |                             |      |      |     |    | 989,892   |       |   |    | 1,009,785       |   |   | 1.5% |

----

| Company (b)                      |   | Industry (c)                                       |                    | Investments             |   | Interest Rate  |   | EURIBOR/LIBORFloor |      | MaturityDate |       |   | PrincipalAmount / No.Shares (m) |      |      | Cost (d) |      |      | Fair Value |   |      | % of Net Assets |
|----------------------------------|--------|----------------------------------------------------|-------------------------|-------------------------|--------|----------------|--------|--------------------|-----------|--------------|------------|--------|---------------------------------|-----------|-----------|----------|-----------|-----------|------------|--------|-----------|-----------------|
| Sheridan Holdings, Inc.          |   | Health Care Equipment & Services               |                    | Senior Debt(e)(g)       |   | L + 225        |   |               |      |         | 6/13/2014  |   |                            | $         | 348,178   |     |      | $         | 321,180    |   |      | $               | 329,899 |   |   | 0.5% |
| The SI Organization, Inc.        |   | Capital Goods                                      |                    | Senior Debt(e)(g)       |   | L + 325        |   | 1.25%              |      |         | 11/22/2016 |   |                            |      | 187,907   |     |      |      | 175,980    |   |      |            | 177,572 |   |   | 0.3% |
| Sinclair Television Group, Inc.  |   | Media                                              |                    | Subordinated Debt(e)(f) |   | 8.38%          |   |               |      |         | 10/15/2018 |   |                            |      | 27,000    |     |      |      | 28,364     |   |      |            | 27,877 |   |   | 0.0% |
| Skilled Healthcare Group, Inc.   |   | Health Care Equipment & Services               |                    | Senior Debt(e)(f)(g)    |   | L + 375        |   | 1.50%              |      |         | 4/9/2016   |   |                            |      | 16,179    |     |      |      | 15,723     |   |      |            | 15,125 |   |   | 0.0% |
| SNL Financial, LC                |   | Commercial & Professional Services             |                    | Senior Debt(e)(g)(h)    |   | L + 700        |   | 1.50%              |      |         | 8/17/2018  |   |                            |      | 709,520   |     |      |      | 712,180    |   |      |            | 707,746 |   |   | 1.1% |
| Solutia, Inc.                    |   | Materials                                          |                    | Subordinated Debt(e)(f) |   | 7.88%          |   |               |      |         | 3/15/2020  |   |                            |      | 120,000   |     |      |      | 126,355    |   |      |            | 130,500 |   |   | 0.2% |
| The Sports Authority, Inc.       |   | Retailing                                          |                    | Senior Debt(e)(g)       |   | L + 600        |   | 1.50%              |      |         | 11/16/2017 |   |                            |      | 1,413,097 |     |      |      | 1,366,092  |   |      |            | 1,367,171 |   |   | 2.1% |
| Springleaf Financial Funding Co. |   | Diversified Financials                             |                    | Senior Debt(e)(f)(g)    |   | L + 425        |   | 1.25%              |      |         | 5/10/2017  |   |                            |      | 2,551,580 |     |      |      | 2,275,043  |   |      |            | 2,230,502 |   |   | 3.4% |
| Sprint Nextel Corp.              |   | Telecommunication Services                         |                    | Subordinated Debt(e)(f) |   | 8.38%          |   |               |      |         | 8/15/2017  |   |                            |      | 664,000   |     |      |      | 574,028    |   |      |            | 595,110 |   |   | 0.9% |
| SSI Investments II, Ltd.         |   | Software & Services                            |                    | Subordinated Debt(e)    |   | 11.13%         |   |               |      |         | 6/1/2018   |   |                            |      | 1,422,000 |     |      |      | 1,512,863  |   |      |            | 1,503,765 |   |   | 2.3% |
| Symphony / IRI Group, Inc.       |   | Commercial & Professional Services             |                    | Senior Debt(e)(g)       |   | L + 375        |   | 1.25%              |      |         | 12/1/2017  |   |                            |      | 20,023    |     |      |      | 19,610     |   |      |            | 19,914 |   |   | 0.0% |
| The TelX Group, Inc.             |   | Telecommunication Services                         |                    | Senior Debt(e)(g)       |   | L + 650        |   | 1.25%              |      |         | 9/25/2017  |   |                            |      | 333,726   |     |      |      | 314,266    |   |      |            | 333,726 |   |   | 0.5% |
| TowerCo Finance, LLC             |   | Real Estate                                        |                    | Senior Debt             |   | L + 375        |   | 1.50%              |      |         | 2/2/2017   |   |                            |      | 30,333    |     |      |      | 29,710     |   |      |            | 30,345 |   |   | 0.0% |
| TransUnion, LLC                  |   | Diversified Financials                             |                    | Subordinated Debt(e)    |   | 11.38%         |   |               |      |         | 6/15/2018  |   |                            |      | 1,403,000 |     |      |      | 1,559,885  |   |      |            | 1,602,927 |   |   | 2.5% |
| Triple Point Technology, Inc.    |   | Software & Services                            |                    | Senior Debt(e)          |   | L + 650        |   | 1.50%              |      |         | 10/27/2017 |   |                            |      | 200,566   |     |      |      | 192,696    |   |      |            | 201,067 |   |   | 0.3% |
| Univar, Inc.                     |   | Materials                                          |                    | Senior Debt(e)(g)       |   | L + 350        |   | 1.50%              |      |         | 6/30/2017  |   |                            |      | 962,906   |     |      |      | 933,677    |   |      |            | 931,010 |   |   | 1.4% |
| Vision Solutions, Inc.           |   | Commercial & Professional Services             |                    | Senior Debt(e)(h)       |   | L + 450        |   | 1.50%              |      |         | 7/23/2016  |   |                            |      | 1,443,750 |     |      |      | 1,427,658  |   |      |            | 1,429,312 |   |   | 2.2% |
| VWR Funding, Inc.                |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Senior Debt(e)(g)       |   | L + 250        |   |               |      |         | 6/30/2014  |   |                            |      | 147,590   |     |      |      | 136,713    |   |      |            | 140,358 |   |   | 0.2% |
|                             |   |                                               |                    | Subordinated Debt(e)    |   | 10.25% CASH or |   |               |      |         | 7/15/2015  |   |                            |      | 3,051,000 |     |      |      | 3,155,464  |   |      |            | 3,150,157 |   |   | 4.8% |
|                             |   |                                               |                    |                    |   | 11.25% PIK     |   |               |      |         |       |   |                            |      |      |     |      |      | 3,292,177  |   |      |            | 3,290,515 |   |   | 5.0% |
| Warner Chilcott Co., LLC         |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Subordinated Debt(e)(f) |   | 7.75%          |   |               |      |         | 9/15/2018  |   |                            |      | 1,225,000 |     |      |      | 1,218,819  |   |      |            | 1,251,031 |   |   | 1.9% |
| West Corp.                       |   | Software & Services                            |                    | Senior Debt             |   | L + 425        |   |               |      |         | 7/15/2016  |   |                            |      | 5,000     |     |      |      | 4,846      |   |      |            | 4,979 |   |   | 0.0% |
|                             |   |                                               | Subordinated Debt(e)(g) |                    | 7.88%  |           |   |               |      | 1/15/2019    |       |   |                            | 1,743,000 |      |     |      | 1,730,393 |       |   |      | 1,729,927       |   |   | 2.7% |
|                             |   |                                               | Subordinated Debt(e)    |                    | 8.63%  |           |   |               |      | 10/1/2018    |       |   |                            | 2,600,000 |      |     |      | 2,646,996 |       |   |      | 2,626,000       |   |   | 4.0% |
|                             |   |                                               |                    |                    |   |           |   |               |      |         |       |   |                            |      |      |     |      |      | 4,382,235  |   |      |            | 4,360,906 |   |   | 6.7% |
| Wm. Bolthouse Farms, Inc.        |   | Food, Beverage & Tobacco                       |                    | Senior Debt(e)          |   | L + 750        |   | 2.00%              |      |         | 8/11/2016  |   |                            |      | 500,000   |     |      |      | 499,608    |   |      |            | 498,905 |   |   | 0.8% |
| Zayo Group, LLC                  |   | Telecommunication Services                         |                    | Senior Debt(e)(g)       |   | L + 550        |   | 1.50%              |      |         | 12/1/2016  |   |                            |      | 2,749,427 |     |      |      | 2,715,285  |   |      |            | 2,740,835 |   |   | 4.2% |
|                             |   | Senior Debt(e)(g)                                  |                    | 10.25%                  |   |           |   |               | 3/15/2017 |         |       |   | 1,549,000                       |      |      |     | 1,649,012 |      |       |   | 1,653,557 |            |   | 2.5% |
|                             |   |                                               |                    |                    |   |           |   |               |      |         |       |   |                            |      |      |     |      | 4,364,297 |       |   |      | 4,394,392       |   |   | 6.7% |

----

| Company (b)                                                   |   | Industry (c)           |   | Investments               |   | InterestRate |   | EURIBOR/LIBORFloor |   | MaturityDate |   |   | PrincipalAmount / No.Shares (m) |   |      | Cost (d) |      |   | Fair Value  |   |        | % of NetAssets |
|---------------------------------------------------------------|--------|------------------------|--------|---------------------------|--------|--------------|--------|--------------------|--------|--------------|--------|--------|---------------------------------|--------|-----------|----------|-----------|--------|-------------|--------|-------------|----------------|
| Total Non-Control/Non-Affiliate Investments                   |   |                   |   |                      |   |         |   |               |   |         |   |   |                            |   |      |     |      | $      | 106,111,246 |   |        | $              | 106,589,757 |   |   | 163.6% |
| Short Term Investments—11.8%                            |   |                   |   |                      |   |         |   |               |   |         |   |   |                            |   |      |     |      |   |        |   |        |           |   |   |   |   |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund |   |                   |   | Short Term Investments(e) |   | 0.11%(k)     |   |               |   |         | NA     |   |                            |   | 6,541,055 |     |      |   | 6,541,055   |   |        |           | 6,541,055 |   |   | 10.0% |
| State Street Institutional Liquid Reserves Fund               |   | Short Term Investments |   | 0.15%(k)                  |   |         |   |               | NA     |         |   |   | 1,173,697                       |   |      |     | 1,173,697 |   |        |   | 1,173,697   |           |   | 1.8% |
| Total Short Term Investments                                  |   |                   |   |                      |   |         |   |               |   |         |   |   |                            |   |      |     |      |   | 7,714,752   |   |        |           | 7,714,752 |   |   | 11.8% |
| TOTAL INVESTMENTS —175.4%(l)                            |   |                   |   |                      |   |         |   |               |   |         |   |   |                            |   |      |     |      | $      | 113,825,998 |   |        |           | 114,304,509 |   |   | 175.4% |
| LIABILITIES IN EXCESS OF OTHER ASSETS—(75.4%)           |   |                   |   |                      |   |         |   |               |   |         |   |   |                            |   |      |     |      |   |        |   | (49,141,780 | )              |   | -75.4% |
| NET ASSETS—100.0%                                       |   |                   |   |                      |   |         |   |               |   |         |   |   |                            |   |      |     |      |   |        |   |        | $              | 65,162,729 |   |   | 100.0% |

| (a) | Non-Control/Non-Affiliate investments are defined by the Investment Company Act of 1940, as amended (“1940 Act”) as investments that are neither Control Investments nor Affiliate Investments. Controlled investments are defined by the 1940 Act as investments in which more than 25% of the voting securities are owned or where the ability to nominate greater than 50% of the board representation is maintained. Affiliate investments are defined by the 1940 Act as investments in which between 5% and 25% of the voting securities are owned and the investments are not classified as Controlled investments. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (b) | Security may be an obligation of one or more entities affiliated with the named company.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
| (c) | Unaudited.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| (d) | Represents amortized cost for debt securities and cost for preferred stock.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| (e) | Security or portion thereof held withinCCT Funding, LLC and is pledged as collateral supporting the amounts outstanding under the revolving credit facility with Deutsche Bank.                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
| (f) | The investment is not a qualifying asset under the Investment Company Act of 1940, as amended, or the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company’s total assets. As of December 31, 2011, 71.6% of the Company’s total assets represented qualifying assets.                                                                                                                                                                                                    |
| (g) | Position or portion thereof unsettled as of December 31, 2011.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
| (h) | Fair value was determined by the Company’s Board of Directors (see Note 2).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| (i) | A portfolio company domiciled in a foreign country.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| (j) | This security was acquired in a transaction that was exempt from the registration requirements of the Securities Act of 1933, as amended (the “Securities Act”), pursuant to Rule 144A thereunder. This security may be resold only in transactions that are exempt from the registration requirements of the Securities Act, normally to qualified institutional buyers.                                                                                                                                                                                                                                                  |
| (k) | 7-day effective yield as of December 31, 2011.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
| (l) | As of December 31, 2011, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $971,241; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $492,730; the net unrealized appreciation was $478,511; the aggregate cost of securities for Federal income tax purposes was $113,825,998.                                                                                                                                                                                                            |
| (m) | Denominated in U.S. Dollars unless otherwise noted.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |

----

| 1. | Principal Business and Organization |
|----|-------------------------------------|

| 2. | Significant Accounting Policies |
|----|---------------------------------|

----

----

----

| 3. | Investments |
|----|-------------|

|                                |   | Year Ended December 31, 2012 |        |   | Year Ended December 31, 2011 |   |
|-------------------------------------|--------|------------------------------|-------------|--------|------------------------------|--------|
| Investment purchases, at cost       |   | $                            | 991,951,587 |   |                         | $      | 106,811,148 |   |
| Investment sales, proceeds          |   |                         | 358,597,920 |   |                         |   | 481,516 |   |
| Principal payments/paydown proceeds |   |                         | 51,931,990  |   |                         |   | — |   |

| Asset Category               |   | Cost   |        |   | Fair Value |   |        | Percentageof Portfolio |   |   | Percentageof Net Assets |   |
|------------------------------|--------|--------|-------------|--------|------------|--------|-------------|------------------------|--------|--------|------------------------------|--------|
| Senior debt securities       |   | $      | 519,196,084 |   |       | $      | 522,442,812 |                   |   |   | 74.9                         | %      |   |   | 85.4 | % |
| Subordinated debt securities |   |   | 166,981,595 |   |       |   | 169,788,339 |                   |   |   | 24.3                         |   |   |   | 27.8 |   |
| Total debt securities        |   |   | 686,177,679 |   |       |   | 692,231,151 |                   |   |   | 99.2                         |   |   |   | 113.2 |   |
| Common stock                 |   |   | 448,908     |   |       |   | 453,397     |                   |   |   | 0.1                          |   |   |   | 0.1 |   |
| Preferred Stock              |   |   | 4,800,812   |   |       |   | 4,983,883   |                   |   |   | 0.7                          |   |   |   | 0.8 |   |
| Total equity securities      |   |   | 5,249,720   |   |       |   | 5,437,280   |                   |   |   | 0.8                          |   |   |   | 0.9 |   |
| Subtotal                     |   |   | 691,427,399 |   |       |   | 697,668,431 |                   |   |   | 100.0                        | %      |   |   | 114.1 |   |
| Short term investments       |   |   | 13,202,168  |   |       |   | 13,202,168  |                   |   |   |                         |   |   |   | 2.2 |   |
| Total investments            |   | $      | 704,629,567 |   |       | $      | 710,870,599 |                   |   |   |                         |   |   |   | 116.3 | % |

| Asset Category               |   | Cost   |        |   | Fair Value |   |        | Percentageof Portfolio |   |   | Percentageof Net Assets |   |
|------------------------------|--------|--------|-------------|--------|------------|--------|-------------|------------------------|--------|--------|-------------------------|--------|
| Senior debt securities       |   | $      | 71,398,157  |   |       | $      | 71,609,433  |                   |   |   | 67.2                    | %      |   |   | 109.9 | % |
| Subordinated debt securities |   |   | 34,613,494  |   |       |   | 34,877,800  |                   |   |   | 32.7                    |   |   |   | 53.5 |   |
| Total debt securities        |   |   | 106,011,651 |   |       |   | 106,487,233 |                   |   |   | 99.9                    |   |   |   | 163.4 |   |
| Preferred stock              |   |   | 99,595      |   |       |   | 102,524     |                   |   |   | 0.1                     |   |   |   | 0.2 |   |
| Subtotal                     |   |   | 106,111,246 |   |       |   | 106,589,757 |                   |   |   | 100.0                   | %      |   |   | 163.6 |   |
| Short term investments       |   |   | 7,714,752   |   |       |   | 7,714,752   |                   |   |   |                    |   |   |   | 11.8 |   |
| Total investments            |   | $      | 113,825,998 |   |       | $      | 114,304,509 |                   |   |   |                    |   |   |   | 175.4 | % |

----

| Industry Composition                                                                              |   | December 31, 2012 |    |   | December 31, 2011 |    |
|---------------------------------------------------------------------------------------------------|--------|-------------------|---------|--------|-------------------|---------|
| Capital Goods                                                                                     |   |              | 13.7    | %      |              |    | 3.4 | % |
| Media                                                                                             |   |              | 11.0    |   |              |    | 8.1 |   |
| Materials                                                                                         |   |              | 9.9     |   |              |    | 3.4 |   |
| Retailing                                                                                         |   |              | 9.2     |   |              |    | 12.6 |   |
| Software & Services                                                                           |   |              | 9.1     |   |              |    | 14.6 |   |
| Technology Hardware & Equipment                                                               |   |              | 7.8     |   |              |    | 4.6 |   |
| Insurance                                                                                         |   |              | 6.2     |   |              |    | 2.4 |   |
| Health Care Equipment & Services                                                              |   |              | 6.2     |   |              |    | 6.9 |   |
| Telecommunication Services                                                                        |   |              | 4.1     |   |              |    | 9.0 |   |
| Consumer Services                                                                                 |   |              | 3.7     |   |              |    | 4.9 |   |
| Commercial & Professional Services                                                            |   |              | 3.4     |   |              |    | 3.2 |   |
| Remaining Industries                                                                              |   |              | 15.7    |   |              |    | 26.9 |   |
| Total                                                                                             |   |              | 100.0   | %      |              |    | 100.0 | % |
|                                                                                              |   |              |    |   |              |    |   |   |
| Geographic Dispersion (1)                                                                         |   |              |    |   |              |    |   |   |
| United States                                                                                     |   |              | 94.4    | %      |              |    | 97.4 | % |
| United Kingdom                                                                                    |   |              | 2.2     |   |              |    | 1.5 |   |
| Luxembourg                                                                                        |   |              | 1.3     |   |              |    | — |   |
| Singapore                                                                                         |   |              | 0.5     |   |              |    | — |   |
| Mexico                                                                                            |   |              | 0.5     |   |              |    | — |   |
| Canada                                                                                            |   |              | — |   |              |    | 1.1 |   |
| Germany                                                                                           |   |              | 0.5     |   |              |    | — |   |
| Spain                                                                                             |   |              | 0.2     |   |              |    | — |   |
| Remaining Countries                                                                               |   |              | 0.4     |   |              | <0.1 |   |
| Total                                                                                             |   |              | 100.0   | %      |              |    | 100.0 | % |
|                                                                                              |   |              |    |   |              |    |   |   |
| Local Currency                                                                                    |   |              |    |   |              |    |   |   |
| U.S. Dollar                                                                                       |   |              | 97.3    | %      |              |    | 99.0 | % |
| Euro                                                                                              |   |              | 1.7     |   |              |    | 1.0 |   |
| British Pound Sterling                                                                            |   |              | 1.0     |   |              |    | — |   |
| Total                                                                                             |   |              | 100.0   | %      |              |    | 100.0 | % |
|                                                                                              |   |              |    |   |              |    |   |   |
| (1) The geographic dispersion is determined by the portfolio company’s country of domicile. |

| 4. | Derivative Instruments |
|----|------------------------|

|                               |                                                             |   | December 31, 2012 |            |
|------------------------------------|------------------------------------------------------------------|--------|-------------------|-----------------|
| Derivative Instrument              | Statement Location                                               |   | Fair Value        |            |
| Foreign currency forward contracts | Unrealized appreciation (depreciation) on derivative instruments |   | $                 | (146,928        | ) |
| TRS                                | Unrealized appreciation on derivative instruments                |   |              |  1,349,246 |   |
|                               |                                                             |   | $                 | 1,202,318       |   |

----

|                               |                                                            |   |   | December 31, 2012      |   |
|------------------------------------|-----------------------------------------------------------------|--------|--------|------------------------|--------|
| Derivative Instrument              | Statement Location                                              |   |   | Realized Gain (Loss)   |   |
| Foreign currency forward contracts | Net realized loss on derivative instruments                     |   | $      | (432,972               | )      |
|                               |                                                            |   |   |                   |   |
|                               |                                                            |   |   | Unrealized Gain (Loss) |   |
| Foreign currency forward contracts | Net change in unrealized appreciation on derivative instruments |   |   | (146,928               | )      |
| TRS                                | Net change in unrealized appreciation on derivative instruments |   |   |  1,349,246        |   |
|                               |                                                            |   | $      | 1,202,318              |   |

| Foreign Currency |   | Settlement Date |   |   Amount andTransaction |      |   | US$ Value atSettlement Date |   |       | US$ Value atDecember 31, 2012 |   |   | UnrealizedAppreciation/ (Depreciation) |   |
|------------------|--------|-----------------|--------|------------------------------|----------------|--------|-----------------------------|--------|------------|-------------------------------|--------|--------|---------------------------------------------|--------|
| EUR              |   | Jan. 3, 2013    |   | €                      | 2,300,000 Sold |   |                        | $      | 2,917,964  |                          |   | $      | 3,035,887                                   |   |   | $ | (117,923 | ) |
| EUR              |   | Jan. 31, 2013   |   | €                      | 6,241,682 Sold |   |                        |   | 8,249,319  |                          |   |   | 8,240,679                                   |   |   |   | 8,640 |   |
| GBP              |   | Jan. 18, 2013   |   | ₤                      | 4,255,000 Sold |   |                        |   | 6,874,110  |                          |   |   | 6,911,755                                   |   |   |   | (37,645 | ) |
| Total            |   |            |   |                         |           |   |                        | $      | 18,041,393 |                          |   | $      | 18,188,321                                  |   |   | $ | (146,928 | ) |

----

|                                        |   | December 31, 2012 |      |
|---------------------------------------------|--------|-------------------|-----------|
| Spread interest income                      |   | $                 | 938,085   |   |
| Net realized loss                           |   |              | (345,303  | ) |
| Unrealized appreciation of reference assets |   |              | 756,464   |   |
| Total fair value                            |   | $                 | 1,349,246 |   |

----

| Company (a)                           |   | Industry                                           |   | Investment            |   | Interest Rate |    |   | LIBOR Floor |   | Maturity Date |     | Notional Amount |   |    | Fair Value  |   |   | Unrealized Appreciation (Depreciation) |        |
|---------------------------------------|--------|----------------------------------------------------|--------|-----------------------|--------|---------------|---------|--------|-------------|--------|---------------|----------|-----------------|--------|---------|-------------|--------|--------|----------------------------------------|-------------|
| Block Communications, Inc.            |   | Media                                              |   | Subordinated Debt     |   |          | 7.250%  |   |        |   |          | 2/1/2020 |            | $      | 114,480 |        |   | $      | 114,345                                |        |   | $ | (135 | ) |
| California Pizza Kitchen, Inc.        |   | Food & Staples Retailing                       |   | Senior Debt           |   |          | L+550   |   |        |   | 1.25%         |     | 7/7/2017        |   |    | 4,262,610   |   |   |                                   | 4,241,136   |   |   |   | (21,474 | ) |
| Camp International Holding Co.        |   | Software & Services                            |   | Senior Debt           |   |          | L+400   |   |        |   | 1.25%         |     | 5/31/2019       |   |    | 2,173,058   |   |   |                                   | 2,171,980   |   |   |   | (1,078 | ) |
| Catalina Marketing Corp.              |   | Media                                              |   | Subordinated Debt     |   |          | 10.500% |   |        |   |          |     | 10/1/2015       |   |    | 7,000,000   |   |   |                                   | 6,871,323   |   |   |   | (128,677 | ) |
| CCC Information Services, Inc.        |   | Software & Services                            |   | Senior Debt (c)       |   |          | L+470   |   |        |   | 1.25%         |     | 12/14/2019      |   |    | 1,510,518   |   |   |                                   | 1,521,266   |   |   |   | 10,748 |   |
| Charter Communications Operating, LLC |   | Media                                              |   | Subordinated Debt (b) |   |          | 7.250%  |   |        |   |          |     | 10/30/2017      |   |    | 625,286     |   |   |                                   | 622,421     |   |   |   | (2,865 | ) |
| CHG Companies, Inc.                   |   | Health Care Equipment & Services               |   | Senior Debt (c)       |   |          | L+375   |   |        |   | 1.25%         |     | 11/19/2019      |   |    | 6,912,675   |   |   |                                   | 6,970,839   |   |   |   | 58,164 |   |
| Clear Channel Communications, Inc.    |   | Media                                              |   | Subordinated Debt (b) |   |          | 6.500%  |   |        |   |          |     | 11/15/2022      |   |    | 2,237,153   |   |   |                                   | 2,342,578   |   |   |   | 105,425 |   |
| Clear Channel Communications, Inc.    |   | Media                                              |   | Subordinated Debt (b) |   |          | 6.500%  |   |        |   |          |     | 11/15/2022      |   |    | 6,110,822   |   |   |                                   | 6,411,284   |   |   |   | 300,462 |   |
| Continental Airlines, Inc.            |   | Transportation                                     |   | Senior Debt (b)       |   |          | 8.307%  |   |        |   |          |     | 10/2/2019       |   |    | 605,308     |   |   |                                   | 569,131     |   |   |   | (36,177 | ) |
| First American Payment Systems, LP    |   | Software & Services                            |   | Senior Debt           |   |          | L+450   |   |        |   | 1.25%         |     | 10/12/2018      |   |    | 8,951,140   |   |   |                                   | 8,913,603   |   |   |   | (37,537 | ) |
| FleetPride Corp.                      |   | Capital Goods                                      |   | Senior Debt (c)       |   |          | L+400   |   |        |   | 1.25%         |     | 11/19/2019      |   |    | 4,521,864   |   |   |                                   | 4,517,596   |   |   |   | (4,268 | ) |
| Fly Leasing, Ltd.                     |   | Transportation                                     |   | Senior Debt (b)(c)    |   |          | L+450   |   |        |   | 1.25%         |     | 8/8/2018        |   |    | 4,193,364   |   |   |                                   | 4,176,908   |   |   |   | (16,456 | ) |
| GCI Inc.                              |   | Telecommunication Services                         |   | Subordinated Debt     |   |          | 6.750%  |   |        |   |          |     | 6/1/2021        |   |    | 6,643,615   |   |   |                                   | 6,576,845   |   |   |   | (66,770 | ) |
| Gymboree Corporation                  |   | Retailing                                          |   | Senior Debt           |   |          | L+350   |   |        |   | 1.50%         |     | 2/23/2018       |   |    | 4,097,160   |   |   |                                   | 3,885,421   |   |   |   | (211,739 | ) |
| Hamilton Sundstrand Industrial        |   | Capital Goods                                      |   | Senior Debt           |   |          | L+375   |   |        |   | 1.25%         |     | 12/13/2019      |   |    | 7,920,000   |   |   |                                   | 8,060,000   |   |   |   | 140,000 |   |
| Heartland Dental Care                 |   | Pharmaceuticals, Biotechnology & Life Sciences |   | Senior Debt (c)       |   |          | L+500   |   |        |   | 1.25%         |     | 12/21/2018      |   |    | 4,202,808   |   |   |                                   | 4,202,808   |   |   |   | — |   |
| Hilcorp Energy I LP                   |   | Energy                                             |   | Subordinated Debt (b) |   |          | 8.000%  |   |        |   |          |     | 2/15/2020       |   |    | 1,816,605   |   |   |                                   | 1,808,310   |   |   |   | (8,295 | ) |
| Hubbard Radio, LLC                    |   | Media                                              |   | Senior Debt (c)       |   |          | L+375   |   |        |   | 1.50%         |     | 4/28/2017       |   |    | 493,735     |   |   |                                   | 494,963     |   |   |   | 1,228 |   |
| Husky Injection Molding Systems, Ltd. |   | Capital Goods                                      |   | Senior Debt (b)(c)    |   |          | L+450   |   |        |   | 1.25%         |     | 7/2/2018        |   |    | 1,255,775   |   |   |                                   | 1,248,913   |   |   |   | (6,862 | ) |
| Immucor, Inc.                         |   | Health Care Equipment & Services               |   | Senior Debt (c)       |   |          | L+450   |   |        |   | 1.25%         |     | 8/19/2018       |   |    | 47,868      |   |   |                                   | 47,878      |   |   |   | 10 |   |
| IPC Systems, Inc.                     |   | Technology Hardware & Equipment                |   | Senior Debt           |   |          | L+650   |   |        |   |          |     | 7/31/2017       |   |    | 3,951,390   |   |   |                                   | 3,897,764   |   |   |   | (53,626 | ) |
| Jo-Ann Stores, Inc.                   |   | Retailing                                          |   | Senior Debt (c)       |   |          | L+350   |   |        |   | 1.25%         |     | 3/16/2018       |   |    | 22,847      |   |   |                                   | 22,827      |   |   |   | (20 | ) |
| Kinetic Concepts, Inc.                |   | Health Care Equipment & Services               |   | Senior Debt (c)       |   |          | L+425   |   |        |   | 1.25%         |     | 5/4/2018        |   |    | 1,971,180   |   |   |                                   | 1,971,209   |   |   |   | 29 |   |
| Kinetic Concepts, Inc.                |   | Health Care Equipment & Services               |   | Senior Debt (c)       |   |          | L+375   |   |        |   | 1.25%         |     | 11/4/2016       |   |    | 1,312,798   |   |   |                                   | 1,312,321   |   |   |   | (477 | ) |
| Local TV Finance, LLC                 |   | Media                                              |   | Senior Debt (c)       |   |          | L+400   |   |        |   |          |     | 5/7/2015        |   |    | 371,846     |   |   |                                   | 370,317     |   |   |   | (1,529 | ) |
| Lord & Taylor Holdings, LLC       |   | Retailing                                          |   | Senior Debt (c)       |   |          | L+450   |   |        |   | 1.25%         |     | 1/11/2019       |   |    | 33,748      |   |   |                                   | 33,633      |   |   |   | (115 | ) |
| MedAssets, Inc.                       |   | Health Care Equipment & Services               |   | Senior Debt (b)       |   |          | L+275   |   |        |   | 1.25%         |     | 12/13/2019      |   |    | 2,340,811   |   |   |                                   | 2,346,693   |   |   |   | 5,882 |   |
| MGM Resorts International             |   | Consumer Services                                  |   | Senior Debt (b)       |   |          | L+325   |   |        |   | 1.00%         |     | 12/20/2019      |   |    | 7,231,413   |   |   |                                   | 7,340,429   |   |   |   | 109,016 |   |
| Misys PLC                             |   | Software & Services                            |   | Senior Debt (b)       |   |          | 12.000% |   |        |   |          |     | 6/12/2019       |   |    | 5,981,728   |   |   |                                   | 5,979,313   |   |   |   | (2,415 | ) |
| NPC International, Inc.               |   | Consumer Services                                  |   | Senior Debt (c)       |   |          | L+325   |   |        |   | 1.25%         |     | 12/28/2018      |   |    | 1,636,027   |   |   |                                   | 1,623,924   |   |   |   | (12,103 | ) |
| NuSil Technology LLC                  |   | Materials                                          |   | Senior Debt (c)       |   |          | L+375   |   |        |   | 1.25%         |     | 4/7/2017        |   |    | 502,540     |   |   |                                   | 501,129     |   |   |   | (1,411 | ) |
| Nuveen Investments, Inc.              |   | Diversified Financials                             |   | Senior Debt (b)(c)    |   |          | L+550   |   |        |   |          |     | 5/13/2017       |   |    | 7,058,793   |   |   |                                   | 7,065,412   |   |   |   | 6,619 |   |
| Nuveen Investments, Inc.              |   | Diversified Financials                             |   | Senior Debt (b)       |   |          | L+600   |   |        |   | 1.25%         |     | 5/13/2017       |   |    | 284,653     |   |   |                                   | 282,819     |   |   |   | (1,834 | ) |
| Nuveen Investments, Inc.              |   | Diversified Financials                             |   | Senior Debt (b)       |   |          | L+550   |   |        |   |          |     | 5/13/2017       |   |    | 25,646      |   |   |                                   | 25,719      |   |   |   | 73 |   |
| PQ Corp.                              |   | Materials                                          |   | Senior Debt           |   |          | L+425   |   |        |   | 1.25%         |     | 5/8/2017        |   |    | 5,582,056   |   |   |                                   | 5,587,953   |   |   |   | 5,897 |   |
| PVH Corp.                             |   | Consumer Durables & Apparel                    |   | Senior Debt (b)(c)    |   |          | L+250   |   |        |   | 0.75%         |     | 12/19/2019      |   |    | 1,472,790   |   |   |                                   | 1,487,592   |   |   |   | 14,802 |   |
| RedPrairie Corp.                      |   | Software & Services                            |   | Senior Debt (c)       |   |          | L+550   |   |        |   | 1.25%         |     | 12/21/2018      |   |    | 1,078,000   |   |   |                                   | 1,096,857   |   |   |   | 18,857 |   |
| Roofing Supply Group, LLC             |   | Retailing                                          |   | Senior Debt (c)       |   |          | L+375   |   |        |   | 1.25%         |     | 5/31/2019       |   |    | 89,662      |   |   |                                   | 89,699      |   |   |   | 37 |   |
| Sabre, Inc.                           |   | Transportation                                     |   | Senior Debt (c)       |   |          | L+575   |   |        |   |          |     | 12/29/2017      |   |    | 4,398,657   |   |   |                                   | 4,397,084   |   |   |   | (1,573 | ) |
| Sabre, Inc.                           |   | Transportation                                     |   | Senior Debt (c)       |   |          | L+600   |   |        |   | 1.25%         |     | 12/29/2017      |   |    | 2,212,085   |   |   |                                   | 2,211,865   |   |   |   | (220 | ) |
| Savers, Inc.                          |   | Retailing                                          |   | Senior Debt (c)       |   |          | L+375   |   |        |   | 1.25%         |     | 7/9/2019        |   |    | 204,618     |   |   |                                   | 204,681     |   |   |   | 63 |   |
| Scitor Corp.                          |   | Capital Goods                                      |   | Senior Debt (c)       |   |          | L+350   |   |        |   | 1.50%         |     | 2/15/2017       |   |    | 21,713      |   |   |                                   | 21,761      |   |   |   | 48 |   |
| SGS International, Inc.               |   | Media                                              |   | Senior Debt           |   |          | L+375   |   |        |   | 1.25%         |     | 10/17/2019      |   |    | 5,515,510   |   |   |                                   | 5,543,226   |   |   |   | 27,716 |   |
| Skilled Healthcare Group, Inc.        |   | Health Care Equipment & Services               |   | Senior Debt (b)       |   |          | L+525   |   |        |   | 1.50%         |     | 4/9/2016        |   |    | 14,806      |   |   |                                   | 14,738      |   |   |   | (68 | ) |
| Spectrum Brands, Inc.                 |   | Household & Personal Products                  |   | Senior Debt (b)       |   |          | L+325   |   |        |   | 1.25%         |     | 12/17/2019      |   |    | 1,525,129   |   |   |                                   | 1,551,848   |   |   |   | 26,719 |   |
| Tempur-Pedic International, Inc.      |   | Commercial & Professional Services             |   | Senior Debt (b)(c)    |   |          | L+400   |   |        |   | 1.00%         |     | 11/14/2019      |   |    | 6,852,112   |   |   |                                   | 7,000,436   |   |   |   | 148,324 |   |
| Terex Corp.                           |   | Capital Goods                                      |   | Subordinated Debt (b) |   |          | 6.000%  |   |        |   |          |     | 5/15/2021       |   |    | 4,626,000   |   |   |                                   | 4,857,300   |   |   |   | 231,300 |   |
| The TelX Group, Inc.                  |   | Telecommunication Services                         |   | Senior Debt (c)       |   |          | L+500   |   |        |   | 1.25%         |     | 9/23/2017       |   |    | 7,018,541   |   |   |                                   | 6,998,936   |   |   |   | (19,605 | ) |
| Tomkins Air Distribution              |   | Capital Goods                                      |   | Senior Debt           |   |          | L+375   |   |        |   | 1.25%         |     | 11/9/2018       |   |    | 5,949,104   |   |   |                                   | 6,058,021   |   |   |   | 108,917 |   |
| USI Holdings Corp.                    |   | Insurance                                          |   | Subordinated Debt     |   |          | 7.750%  |   |        |   |          |     | 1/15/2021       |   |    | 1,076,000   |   |   |                                   | 1,062,550   |   |   |   | (13,450 | ) |
| USI Holdings Corp.                    |   | Insurance                                          |   | Senior Debt (c)       |   |          | L+400   |   |        |   | 1.25%         |     | 12/27/2019      |   |    | 1,918,906   |   |   |                                   | 1,940,121   |   |   |   | 21,215 |   |
| West Corp.                            |   | Software & Services                            |   | Subordinated Debt     |   |          | 8.625%  |   |        |   |          |     | 10/1/2018       |   |    | 6,029,800   |   |   |                                   | 6,095,500   |   |   |   | 65,700 |   |
| West Corp.                            |   | Software & Services                            |   | Senior Debt (c)       |   |          | L+425   |   |        |   | 1.25%         |     | 7/15/2016       |   |    | 5,021       |   |   |                                   | 5,013       |   |   |   | (8 | ) |
|                                  |   |                                               |   |                  |   |          |    |   |        |   |          |     |            |   | $       | 164,011,774 |   |   | $                                      | 164,768,238 |   |   | $ | 756,464 |   |

|   | (a) | Security may be an obligation of one or more entities affiliated with the named company. |
|--------|-----|------------------------------------------------------------------------------------------|

|   | (b) | The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act. |
|--------|-----|------------------------------------------------------------------------------------------|

|   | (c) | Reference asset position or portion thereof unsettled as of December 31, 2012. |
|--------|-----|--------------------------------------------------------------------------------|

----

| 5. | Fair Value of Financial Instruments |
|----|-------------------------------------|

|                         |   | December 31, 2012 |       |
|------------------------------|--------|-------------------|------------|
| Investment Type              |   | Level 1           |       |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Senior debt securities       |   | $                 | —    |   |   | $ | 435,852,236 |   |   | $ | 86,590,576 |   |   | $ | 522,442,812 |   |
| Subordinated debt securities |   |              | —    |   |   |   | 163,579,848 |   |   |   | 6,208,491 |   |   |   | 169,788,339 |   |
| Common stock                 |   |              | —    |   |   |   | — |   |   |   | 453,397 |   |   |   | 453,397 |   |
| Preferred stock              |   |              | 4,983,883  |   |   |   | — |   |   |   | — |   |   |   | 4,983,883 |   |
| Subtotal                     |   |              | 4,983,883  |   |   |   | 599,432,084 |   |   |   | 93,252,464 |   |   |   | 697,668,431 |   |
| Short term investments       |   |              | 13,202,168 |   |   |   | — |   |   |   | — |   |   |   | 13,202,168 |   |
| Total                        |   | $                 | 18,186,051 |   |   | $ | 599,432,084 |   |   | $ | 93,252,464 |   |   | $ | 710,870,599 |   |

| Derivative Type                    |   | Level 1 |    |   | Level 2 |   |     | Level 3 |   |   | Total     |   |
|------------------------------------|--------|---------|---------|--------|---------|--------|----------|---------|--------|--------|-----------|--------|
| Assets                             |   |    |    |   |    |   |     |    |   |   |      |   |
| Foreign currency forward contracts |   | $       | — |   |    | $      | 8,640    |    |   | $      | —   |   |   | $ | 8,640 |   |
| Total return swaps                 |   |    | — |   |    |   | —  |    |   |   | 1,349,246 |   |   |   | 1,349,246 |   |
| Liabilities                        |   |    |    |   |    |   |     |    |   |   |      |   |   |   |   |   |
| Foreign currency forward contracts |   |    | — |   |    |   | (155,568 | )       |   |   | —   |   |   |   | (155,568 | ) |
| Total                              |   | $       | — |   |    | $      | (146,928 | )       |   | $      | 1,349,246 |   |   | $ | 1,202,318 |   |

|                         |   | December 31, 2011 |      |
|------------------------------|--------|-------------------|-----------|
| Investment Type              |   | Level 1           |      |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Senior debt securities       |   | $                 | —   |   |   | $ | 66,957,496 |   |   | $ | 4,651,937 |   |   | $ | 71,609,433 |   |
| Subordinated debt securities |   |              | —   |   |   |   | 33,914,267 |   |   |   | 963,533 |   |   |   | 34,877,800 |   |
| Preferred stock              |   |              | 102,524   |   |   |   | — |   |   |   | — |   |   |   | 102,524 |   |
| Subtotal                     |   |              | 102,524   |   |   |   | 100,871,763 |   |   |   | 5,615,470 |   |   |   | 106,589,757 |   |
| Short term investments       |   |              | 7,714,752 |   |   |   | — |   |   |   | — |   |   |   | 7,714,752 |   |
| Total                        |   | $                 | 7,817,276 |   |   | $ | 100,871,763 |   |   | $ | 5,615,470 |   |   | $ | 114,304,509 |   |

| Asset Group       |   | Fair Value (1) |       | Valuation Techniques (2) |                 | Unobservable Inputs |                             | Range(Weighted Average) (3) |                       |
|-------------------|--------|----------------|------------|--------------------------|----------------------|---------------------|----------------------------------|-----------------------------|----------------------------|
|              |   | $              | 18,681,009 |                     | Broker Quotes        |                | Mid Price                        |                        |                       | 94.25 - 102 (100.98) |   |
|              |   |           |       |                     | Broker Quotes        |                | Mid Price                        |                        |                       | 98 - 101.5 (98.55) |   |
| Senior Debt       |   |           | 67,909,567 |                     | Market Comparables   |                | Yield                            |                        |                       | 5.0 - 11.9% (8.91%) |   |
|              |   |           |       |                     |                 | Discount Margin     |                             |                        | 437 - 1069 bps (808 bps)   |   |
|              |   |           |       |                     |                 |                | Illiquidity Discount             |                        |                       | 1.0 - 4.0% (2.29%) |   |
|              |   |           |       |                     | Broker Quotes        |                | Bid Price                        |                        |                       | 104.02 (NA) |   |
|              |   |           |       |                     | Market Comparables   |                | Yield                            |                        |                       | 12.0 - 13.0% (12.54%) |   |
| Subordinated Debt |   |           | 6,208,491  |                     |                 | Discount Margin     |                             |                        | 1071 - 1250 bps (1170 bps) |   |
|              |   |           |       |                     |                 |                | EBITDA Multiple                  |                        |                       | 9.6x (NA) |   |
|              |   |           |       |                     |                 |                | Illiquidity Discount             |                        |                       | 2% (NA) |   |
|              |   |           |       |                     | Market Comparables   |                | Forward EBITDA Multiple          |                        |                       | 9.8x (NA) |   |
| Common Stock      |   |           |       |                     |                 | LTM EBITDA Multiple |                             |                        | 12.9x (NA)                 |   |
|              |   |           | 453,397    |                     |                 |                | Illiquidity Discount             |                        |                       | 15% (NA) |   |
|              |   |           |       |                     | Discounted Cash Flow |                | Weighted Average Cost of Capital |                        |                       | 12.2% (NA) |   |
| Total             |   | $              | 93,252,464 |                     |                 |                |                             |                        |                       |   |   |

----

| (1) | The TRS was valued in accordance with the TRS Agreement as discussed below. |
|-----|-----------------------------------------------------------------------------|

| (2) | For the assets and investment that have more than one valuation technique, the Company may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0 – 100%. Broker quotes obtained for valuation purposes are reviewed by the Company relative to other valuation techniques. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (3) | Weighted average amounts are based on the estimated fair values. If noted as NA, then the number of inputs is too few to compute the weighted average for the range. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                                                                                                       |   | Senior DebtSecurities |        |   | SubordinatedDebt Securities |   |       | CommonStock |   |   | Total ReturnSwaps |   |   | Total  |      |
|------------------------------------------------------------------------------------------------------------|--------|-----------------------|-------------|--------|-----------------------------|--------|------------|-------------|--------|--------|-------------------|--------|--------|--------|-----------|
| Fair Value Balance as of January 1, 2012                                                                   |   | $                     | 4,651,937   |   |                        | $      | 963,533    |        |   | $      | —           |   |   | $      | —   |   |   | $ | 5,615,470 |   |
| Purchases                                                                                                  |   |                  | 81,956,118  |   |                        |   | 7,090,290  |        |   |   | 448,908           |   |   |   | —   |   |   |   | 89,495,316 |   |
| Net realized gain                                                                                          |   |                  | 605,740     |   |                        |   | 11,961     |        |   |   | —           |   |   |   | —   |   |   |   | 617,701 |   |
| Net change in unrealized appreciation (1)                                                                  |   |                  | 1,111,508   |   |                        |   | 249,561    |        |   |   | 4,489             |   |   |   | 1,349,246 |   |   |   | 2,714,804 |   |
| Sales or repayments                                                                                        |   |                  | (20,197,792 | )      |                        |   | (998,480   | )           |   |   | —           |   |   |   | —   |   |   |   | (21,196,272 | ) |
| Net discount accretion                                                                                     |   |                  | 119,934     |   |                        |   | (2,492     | )           |   |   | —           |   |   |   | —   |   |   |   | 117,442 |   |
| Transfers out of Level 3                                                                                   |   |                  | (6,808,399  | )      |                        |   | (1,105,882 | )           |   |   | —           |   |   |   | —   |   |   |   | (7,914,281 | ) |
| Transfers into Level 3                                                                                     |   |                  | 25,151,530  |   |                        |   | —    |        |   |   | —           |   |   |   | —   |   |   |   | 25,151,530 |   |
| Fair Value Balance as of December 31, 2012                                                                 |   | $                     | 86,590,576  |   |                        | $      | 6,208,491  |        |   | $      | 453,397           |   |   | $      | 1,349,246 |   |   | $ | 94,601,710 |   |
|                                                                                                       |   |                  |        |   |                        |   |       |        |   |   |              |   |   |   |      |   |   |   |   |   |
| Change in net unrealized appreciation (depreciation) in investments still held as of December 31, 2012 (1) |   | $                     | 1,361,674   |   |                        | $      | 242,703    |        |   | $      | 4,489             |   |   | $      | 1,349,246 |   |   | $ | 2,958,112 |   |

----

|                                                                                                       |   | Senior Debt Securities |      |   | Subordinated Debt |   |    | Total  |   |
|------------------------------------------------------------------------------------------------------------|--------|------------------------|-----------|--------|-------------------|--------|---------|--------|--------|
| Fair Value Balance as of July 1, 2011                                                                      |   | $                      | —   |   |              | $      | — |   |   | $ | — |   |
| Purchases                                                                                                  |   |                   | 4,659,521 |   |              |   | 985,747 |   |   |   | 5,645,268 |   |
| Net change in unrealized appreciation (1)                                                                  |   |                   | 49,134    |   |              |   | (22,590 | )      |   |   | 26,544 |   |
| Sales or repayments                                                                                        |   |                   | (59,343   | )      |              |   | — |   |   |   | (59,343 | ) |
| Net discount accretion                                                                                     |   |                   | 2,625     |   |              |   | 376     |   |   |   | 3,001 |   |
| Fair Value Balance as of December 31, 2011                                                                 |   | $                      | 4,651,937 |   |              | $      | 963,533 |   |   | $ | 5,615,470 |   |
|                                                                                                       |   |                   |      |   |              |   |    |   |   |   |   |   |
| Change in net unrealized appreciation (depreciation) in investments still held as of December 31, 2011 (1) |   | $                      | 49,134    |   |              | $      | (22,590 | )      |   | $ | 26,544 |   |
|                                                                                                       |   |                   |      |   |              |   |    |   |   |   |   |   |
| (1) Amount is included in the related amount on investments in the consolidated statements of operations.  |

| 6. | Agreements and Related Party Transactions |
|----|-------------------------------------------|

----

| Related Party        |   | Source Agreement                  |   | Description                                          |   | Year EndedDecember 31, 2012 |       |   | Year EndedDecember 31, 2011 |   |
|----------------------|--------|-----------------------------------|--------|------------------------------------------------------|--------|-----------------------------|------------|--------|-----------------------------|--------|
| CNL Securities Corp. |   | Managing Dealer Agreement         |   | Selling commissions andmarketing support fees        |   | $                           | 55,505,646 |   |                        | $      | 6,727,230 |   |
| CNL and KKR          |   | Investment Advisory Agreement     |   | Base management fees(investment advisory fees)       |   |                        | 9,193,161  |   |                        |   | 347,428 |   |
| CNL and KKR          |   | Investment Advisory Agreement     |   | Performance-based incentive fees (1)                 |   |                        | —    |   |                        |   | 176,847 |   |
| CNL and KKR          |   | Investment Advisory Agreement     |   | Organization and offering expenses reimbursement (2) |   |                        | 4,250,997  |   |                        |   | — |   |
| CNL                  |   | Administrative Services Agreement |   | Administrative and compliance services               |   |                        | 752,985    |   |                        |   | 159,884 |   |

| (1) | During the year ended December 31, 2012, the Company recorded performance-based incentive fee expense of $1,981,350, comprised of (i) $1,981,350 expense provision for incentive fee on capital gains and (ii) no expense provision for subordinated incentive fee on income. The incentive fee on capital gains was accrued based on the hypothetical liquidation of the investment portfolio as of the end of each reporting period. The incentive fee on capital gains was not earned by the Advisors or payable to the Advisors as of December 31, 2012. As of December 31, 2011, the Company accrued performance-based incentive fee of $282,570, including subordinated incentive fee on income of $176,847 and incentive fee on capital gains of $105,723. The incentive fee on capital gains was not earned or payable to the Advisors as of December 31, 2011. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | The Advisors received reimbursement payments for organization and offering expenses in the amount of $3,814,094 in the year ended December 31, 2012, including $896,218 for organization expenses and $2,917,876 for offering expenses. The Company recorded a reimbursement payable to the Advisors in the amount of $436,903 for offering expenses as of December 31, 2012 which is included in other accrued expenses and liabilities on the consolidated statements of assets and liabilities. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Year Ended                                                                                                                      |   | Expense SupportPaymentsReceived fromAdvisors |      |   | Expense SupportPaymentsReimbursed toAdvisors(1) |   |    | UnreimbursedSupportPayments |   | Eligible forReimbursementthrough |
|---------------------------------------------------------------------------------------------------------------------------------|--------|----------------------------------------------|-----------|--------|-------------------------------------------------|--------|---------|-----------------------------|--------|----------------------------------|
| December 31, 2011                                                                                                               |   | $                                            | 1,375,592 |   |                                            | $      | — |                        |   | $                                | 1,375,592 |   | December 31, 2014 |
| December 31, 2012                                                                                                               |   |                                         | 1,590,221 |   |                                            |   | — |                        |   |                             | 1,590,221 |   | December 31, 2015 |
| Total                                                                                                                           |   | $                                            | 2,965,813 |   |                                            | $      | — |                        |   | $                                | 2,965,813 |   |   |
|                                                                                                                            |   |                                         |      |   |                                            |   |    |                        |   |                             |   |   |   |
| (1) As of December 31, 2012 the Company has accrued $1,829,749 for potential annual year-end reimbursement payment to Advisors. |

----

| 7. | Earnings Per Share |
|----|--------------------|

| Basic and Diluted Net Increase (Decrease) in Net Assets Per Share                                                                                                                    |   |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                                 |   |  Year EndedDecember 31, 2012 |   |   |  Year EndedDecember 31, 2011 |   |   | Period fromJune 9, 2010(inception) toDecember 31, 2010 |   |
| Net increase in net assets resulting from operations                                                                                                                                 |   | $ | 25,653,567 |   |   | $ | 1,381,778 |   |   | $ | — |   |
| Weighted average shares outstanding                                                                                                                                                  |   |   | 31,394,766 |   |   |   | 1,269,117 |   |   |   | 22,222 |   |
| Basic/diluted net increase in net assets from operations per share (1)                                                                                                               |   | $ | 0.82 |   |   |   | 1.09 |   |   |   | — |   |
|                                                                                                                                                                                 |   |   |   |   |   |   |   |   |   |   |   |   |
| (1) Diluted and basic net increase in net assets from operations per share were equivalent in each period because there were no common stock equivalents outstanding in each period. |

| 8. | Distributions |
|----|---------------|

| Declared Distributions                                                                                                                                   |   | Per Share |   |   | Amount |   |       | Allocation |   |
|----------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-----------|--------|--------|--------|--------|------------|------------|--------|
| For three months ended March 31, 2012 (13 record dates)                                                                                                  |   | $         | 0.19   |   |   | $      | 1,987,103  |       |   |   |   |
| For three months ended June 30, 2012 (13 record dates)                                                                                                   |   |      | 0.19   |   |   |   | 4,107,381  |       |   |   |   |
| For three months ended September 30, 2012 (13 record dates)                                                                                              |   |      | 0.19   |   |   |   | 7,066,863  |       |   |   |   |
| For three months ended December 31, 2012 (13 record dates)                                                                                               |   |      | 0.19   |   |   |   | 10,160,507 |       |   |   |   |
| Total Declared Distributions for the year ended December 31, 2012                                                                                        |   | $         | 0.76   |   |   | $      | 23,321,854 |       |   |   | 100.0 | % |
| From Net Investment Income                                                                                                                               |   | $         | 0.51   |   |   | $      | 15,697,751 |       |   |   | 67.3 |   |
| From Realized Gains                                                                                                                                      |   |      | 0.10   |   |   |   | 3,040,382  |       |   |   | 13.0 |   |
| From Other Sources (1)                                                                                                                                   |   |      | 0.15   |   |   |   | 4,583,721  |       |   |   | 19.7 |   |
|                                                                                                                                                     |   |      |   |   |   |   |       |       |   |   |   |   |
| (1) Includes adjustments made to GAAP net investment income to arrive at taxable income available for distributions, as more fully described in Note 13. |

----

| Declared Distributions                                            |   | Per Share |     |   | Amount |   |    | Allocation |   |
|-------------------------------------------------------------------|--------|-----------|----------|--------|--------|--------|---------|------------|--------|
| For three months ended September 30, 2011 (14 record dates)       |   | $         | 0.19     |   |   | $      | 127,941 |       |   |   |   |
| For three months ended December 31, 2011 (13 record dates)        |   |      | 0.18     |   |   |   | 727,729 |       |   |   |   |
| Total Declared Distributions for the year ended December 31, 2011 |   | $         | 0.37     |   |   | $      | 855,670 |       |   |   | 100.0 | % |
| From Net Investment Income                                        |   | $         | 0.37     |   |   | $      | 853,163 |       |   |   | 99.7 |   |
| From Realized Gains                                               |   |      | <0.01 |   |   |   | 2,507   |       |   |   | 0.3 |   |

| 9. | Share Transactions |
|----|--------------------|

|                                   |   | Year EndedDecember 31, 2012 |       |   | Year EndedDecember 31, 2011 |   |        | Period from June 9, 2010(inception) throughDecember 31, 2010 |   |
|----------------------------------------|--------|-----------------------------|------------|--------|-----------------------------|--------|-------------|--------------------------------------------------------------|--------|
|                                   |   | Shares                      |       |   | Amount                      |   |        | Shares                                                       |   |   | Amount |   |   | Shares |   |   | Amount |   |
| Gross Proceeds from Offering           |   |                        | 54,520,455 |   |                        | $      | 588,369,004 |                                                         |   |   | 7,021,920 |   |   | $ | 70,897,954 |   |   |   | 22,222 |   |   | $ | 200,000 |   |
| Commissions and Marketing Support Fees |   |                        | —    |   |                        |   | (55,505,646 | )                                                            |   |   | — |   |   |   | (6,727,230 | ) |   |   | — |   |   |   | — |   |
| Net Proceeds to Company                |   |                        | 54,520,455 |   |                        |   | 532,863,358 |                                                         |   |   | 7,021,920 |   |   |   | 64,170,724 |   |   |   | 22,222 |   |   |   | 200,000 |   |
| Reinvestment of Distributions          |   |                        | 1,207,704  |   |                        |   | 11,832,449  |                                                         |   |   | 29,024 |   |   |   | 265,897 |   |   |   | — |   |   |   | — |   |
| Net Proceeds from Offering             |   |                        | 55,728,159 |   |                        | $      | 544,695,807 |                                                         |   |   | 7,050,944 |   |   | $ | 64,436,621 |   |   |   | 22,222 |   |   | $ | 200,000 |   |
| Average Net Proceeds Per Share         |   |                        | $9.77      |   |                        |   | $9.14       |                                                         |   |   | $9.00 |   |

| Repurchase Date   |   | Total Number of Tender Offer Shares |    |   | Total Number of Shares Purchased |   |   | No. of Shares Purchased/ Tender Offer Shares |   |   | Price Paidper Share |   |   | TotalConsideration |   |
|-------------------|--------|-------------------------------------|---------|--------|----------------------------------|--------|--------|----------------------------------------------|--------|--------|---------------------|--------|--------|--------------------|--------|
| August 15, 2012   |   |                                | 236,604 |   |                             |   | 47,481 |                                         |   |   | 20                  | %      |   | $                  | 9.64   |   |   | $ | 457,720 |   |
| November 15, 2012 |   |                                | 470,031 |   |                             |   | 25,405 |                                         |   |   | 5                   | %      |   | $                  | 9.79   |   |   | $ | 248,716 |   |
| Total             |   |                                | 706,635 |   |                             |   | 72,886 |                                         |   |   | 10                  | %      |   |               |   |   |   | $ | 706,436 |   |

----

| 10. | Financial Highlights |
|-----|----------------------|

| OPERATING PERFORMANCE PER SHARE                                                      |   | Year endedDecember 31, 2012 |    |   | June 17, 2011(commencement of operations)throughDecember 31, 2011 |   |
|--------------------------------------------------------------------------------------|--------|-----------------------------|---------|--------|------------------------------------------------------------------------|--------|
| Net Asset Value, Beginning of Year/Period                                            |   | $                           | 9.21    |   |                                                                   | $      | 9.00 |   |
| Net Investment Income (Loss), Before Expense Support (1)(9)                          |   |                        | 0.51    |   |                                                                   |   | (0.23 | ) |
| Expense Support (1)(9)                                                               |   |                        | (0.01   | )      |                                                                   |   | 0.60 |   |
| Net Investment Income (1)                                                            |   |                        | 0.50    |   |                                                                   |   | 0.37 |   |
| Net Realized and Unrealized Gain (Loss) (1)(2)                                       |   |                        | 0.70    |   |                                                                   |   | 0.08 |   |
| Net Increase Resulting from Investment Operations                                    |   |                        | 1.20    |   |                                                                   |   | 0.45 |   |
| Distributions from Net Investment Income (3)                                         |   |                        | (0.51   | )      |                                                                   |   | (0.37 | ) |
| Distributions from Realized Gains (3)                                                |   |                        | (0.10   | )      |                                                                   |   | — |   |
| Distributions from Other Sources (3)                                                 |   |                        | (0.15   | )      |                                                                   |   | — |   |
| Net Decrease Resulting from Distributions to Common Shareholders                     |   |                        | (0.76   | )      |                                                                   |   | (0.37 | ) |
| Capital share transactions –Issuance of common stock above net asset value (4) |   |                        | 0.10    |   |                                                                   |   | 0.13 |   |
| Net Increase Resulting from Capital Share Transactions                               |   |                        | 0.10    |   |                                                                   |   | 0.13 |   |
| Net Asset Value, End of Year/Period                                                  |   | $                           | 9.75    |   |                                                                   | $      | 9.21 |   |
|                                                                                 |   |                        |    |   |                                                                   |   |   |   |
| INVESTMENT RETURNS                                                                   |   |                        |    |   |                                                                   |   |   |   |
| Total Investment Return-Net Price (5)                                                |   |                        | 14.2    | %      |                                                                   |   | 6.52 | % |
| Total Investment Return-Net Asset Value (6)                                          |   |                        | 14.3    | %      |                                                                   |   | 6.52 | % |
|                                                                                 |   |                        |    |   |                                                                   |   |   |   |
| RATIOS/SUPPLEMENTAL DATA (all amounts in thousands)                             |   |                        |    |   |                                                                   |   |   |   |
| Net Assets, End of Year/Period                                                       |   | $                           | 611,484 |   |                                                                   | $      | 65,163 |   |
| Average Net Assets (7)                                                               |   | $                           | 304,261 |   |                                                                   | $      | 20,926 |   |
| Average Credit Facility Borrowings                                                   |   | $                           | 110,072 |   |                                                                   | $      | 4,080 |   |
| Shares Outstanding, End of Year/Period                                               |   |                        | 62,728  |   |                                                                   |   | 7,073 |   |
| Weighted Average Shares Outstanding                                                  |   |                        | 31,395  |   |                                                                   |   | 2,309 |   |
| Ratios to Average Net Assets: (7)                                                    |   |                        |    |   |                                                                   |   |   |   |
| Total Expenses Before Operating Expense Support                                      |   |                        | 6.46    | %      |                                                                   |   | 7.08 | % |
| Total Expenses After Operating Expense Support                                       |   |                        | 6.54    | %      |                                                                   |   | 0.51 | % |
| Net Investment Income                                                                |   |                        | 5.16    | %      |                                                                   |   | 4.08 | % |
| Portfolio Turnover Rate                                                              |   |                        | 85      | %      |                                                                   |   | 1 | % |
| Asset Coverage Ratio (8)                                                             |   |                        | 3.59    |   |                                                                   |   | 3.57 |   |

|   | (1) | The per share data was derived by using the weighted average shares outstanding during the year/period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|--------|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | (2) | The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a share outstanding throughout the entire period may not agree with the change in the aggregate net realized and unrealized gains and losses in portfolio securities for the period because of the timing of sales of the Company’s shares in relation to fluctuating market values for the portfolio securities.                                                                                                                                                                                                                                              |
|   | (3) | The per share data for distributions is the actual amount of distributions paid or payable per share of common stock outstanding during the entire period; distributions per share are rounded to the nearest $0.01.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
|   | (4) | The continuous issuance of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date times (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding at the end of the period. |

----

|   | (5)       | Total investment return-net price is a measure of total return for shareholders who purchased the Company’s common stock at the beginning of the period, including dividends declared during the period. Total investment return-net price is based on (i) the purchase of one share at the public offering price, net of sales load, on the first day of the period, (ii) the sale at the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) the cash payment for distributions payable, if any, on the last day of the period. The total investment return-net price calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at the then public offering price, net of sales load, on each monthly distribution payment date. Since there is no public market for the Company’s shares, then the terminal sales price per share is assumed to be equal to net asset value per share on the last day of the period. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Investmentperformance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s shares of common stock. |
|--------|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   | (6)       | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s common stock at the beginning and end of the period, including dividends declared during the period. Total investment return-net asset value is based on (i) the beginning period net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period, of (A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) the value of distributions payable, if any, on the last day of the period. The total investment return-net asset value calculation assumes that (i) monthly cash distributions are reinvested in accordance with the Company’s distribution reinvestment plan and (ii) the fractional shares issued pursuant to the distribution reinvestment plan are issued at the then public offering price, net of sales load, on each monthly distribution payment date. Since there is no public market for the Company’s shares, then terminal market value per share is assumed to be equal to net asset value per share on the last day of the period. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s shares of common stock.                 |
|   | (7)       | The computation of average net assets during the period is based on the daily value of net assets.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |
|   | (8)       | Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total debt outstanding at the end of the period, divided by (ii) total debt outstanding at the end of the period. For purposes of the asset coverage ratio test applicable to the Company as a business development company, the Company regards the TRS total notional amount at the end of the period, less the total amount of cash collateral posted by Halifax Funding under the TRS, as a senior security for the life of the TRS. These data are presented in Note 4 of the consolidated financial statements.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
|   |  (9) | Expense support is equal to the difference between (A) reimbursement of expense support and (B) expense support, as reported on the consolidated statements of operations.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |

| 11. | Revolving Credit Facility and Borrowings |
|-----|------------------------------------------|

| Revolving Credit Facility Summary for the year ended December 31, 2012 |   |
|------------------------------------------------------------------------|--------|
|                                                                   |   | Loan Tranche |   |   |   |   |
|                                                                   |   |   | A |   |   |   | B |   |   |   | C |   |   | Total |   |
| Borrowing Commitment Amount (Tranche C Uncommitted)                    |   | $ | 75,000,000 |   |   | $ | 100,000,000 |   |   | $ | 65,000,000 |   |   | $ | 240,000,000 |   |
| Amount Borrowed as of January 1                                        |   |   | 25,340,000 |   |   |   | — |   |   |   | — |   |   |   | 25,340,000 |   |
| Net Amount Borrowed                                                    |   |   | 49,660,000 |   |   |   | 84,620,000 |   |   |   | — |   |   |   | 134,280,000 |   |
| Amount Borrowed as of December 31                                      |   |   | 75,000,000 |   |   |   | 84,620,000 |   |   |   | — |   |   |   | 159,620,000 |   |
| Unused Borrowing Commitment Balance as of December 31                  |   | $ | — |   |   | $ | 15,380,000 |   |   | $ | 65,000,000 |   |   | $ | 80,380,000 |   |
|                                                                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Unused Commitment Fee                                                  |   |   | 0.75 | % |   |   | 0.75 | % |   |   | — | % |   |   |   |   |
| Base Interest Rate (reset monthly)                                     |   |   | one-monthLIBOR |   |   |   | three-monthLIBOR |   |   |   | three-monthLIBOR |   |   |   |   |   |
| Spread                                                                 |   |   | 1.70 | % |   |   | 2.35 | % |   |   | 1.70 | % |   |   |   |   |
| Average Borrowings                                                     |   | $ | 68,471,476 |   |   | $ | 39,199,508 |   |   | $ | 2,400,710 |   |   | $ | 110,071,694 |   |
| Direct Interest Expense                                                |   |   | 1,349,380 |   |   |   | 1,083,412 |   |   |   | 49,465 |   |   |   | 2,482,257 |   |
| Unused Commitment Fees                                                 |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 235,734 |   |
| Amortization of Deferred Financing Costs                               |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 148,475 |   |
| Total Interest Expense                                                 |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 2,866,466 |   |
| Weighted Average Interest Rate                                         |   |   | 1.97 | % |   |   | 2.76 | % |   |   | 2.06 | % |   |   | 2.26 | % |

----

| Revolving Credit Facility Summaryfor the year ended December 31, 2011 |   |
|-----------------------------------------------------------------------|--------|
|                                                                  |   | Loan Tranche |   |
|                                                                  |   |   | A |   |
| Borrowing Commitment Amount                                           |   | $ | 75,000,000 |   |
| Amount Borrowed as of January 1                                       |   |   | — |   |
| Net Amount Borrowed                                                   |   |   | 25,340,000 |   |
| Amount Borrowed as of December 31                                     |   |   | 25,340,000 |   |
| Unused Borrowing Commitment Balance as of December 31                 |   | $ | 49,660,000 |   |
|                                                                  |   |   |   |   |
| Unused Commitment Fee                                                 |   |   | 0.75 | % |
| Base Interest Rate (reset monthly)                                    |   |   | one-month LIBOR |   |
| Spread                                                                |   |   | 1.70 | % |
| Average Borrowings                                                    |   | $ | 15,320,755 |   |
| Direct Interest Expense                                               |   |   | 44,412 |   |
| Amortization of Deferred Financing Costs                              |   |   | 41,532 |   |
| Total Interest Expense                                                |   |   | 85,944 |   |
| Weighted Average Interest Rate                                        |   |   | 1.96 | % |

| 12. | Guarantees and Commitments |
|-----|----------------------------|

| 13. | Federal Income Taxes |
|-----|----------------------|

| Capital Accounts                                                 |   | 2012   |       |   | 2011   |   |
|------------------------------------------------------------------|--------|--------|------------|--------|--------|--------|
| Paid in capital                                                  |   | $      | (1,208,915 | )      |   | $      | (3,350 | ) |
| Undistributed (distributions in excess of) net investment income |   |   | 4,249,297  |   |   |   | 5,956 |   |
| Accumulated capital gain                                         |   |   | (3,040,382 | )      |   |   | (2,606 | ) |

|                                                 |   | Years ended December 31, |       |
|------------------------------------------------------|--------|--------------------------|------------|
|                                                 |   | 2012                     |       |   | 2011 |   |
| Net increase in net assets resulting from operations |   | $                        | 25,653,567 |   |   | $ | 1,381,778 |   |
| Net change in unrealized appreciation on investments |   |                     | (5,762,521 | ) |   |   | (478,511 | ) |
| Performance-based incentive fee on unrealized gains  |   |                     | 1,981,350  |   |   |   | 105,723 |   |
| Offering expense                                     |   |                     | 1,208,772  |   |   |   | — |   |
| Organization expenses                                |   |                     | 836,470    |   |   |   | — |   |
| Other book-tax differences                           |   |                     | 39,097     |   |   |   | (41,498 | ) |
| Taxable income available for distributions           |   | $                        | 23,956,735 |   |   | $ | 967,492 |   |

----

|                                                     |   | 2012   |       |   | 2011       |   |
|----------------------------------------------------------|--------|--------|------------|--------|------------|--------|
| Paid Distributions attributable to:                      |   | Amount |       |   | Percentage |   |   | Amount |   |   | Percentage |   |
| Ordinary income                                          |   | $      | 22,984,443 |   |       |   | 98.6 | % (1) |   | $ | 855,670 |   |   |   | 100 | % |
| Realized long term capital gains                         |   |   | 337,411    |   |       |   | 1.4 | % |   |   | — |   |   |   | — |   |
| Total                                                    |   | $      | 23,321,854 |   |       |   | 100.0 | % |   | $ | 855,670 |   |   |   | 100 | % |
| Percentage of taxable income available for distributions |   |   | 97         | %      |       |   |   |   |   |   | 88 | % |   |   |   |   |

|                                      |   | 2012   |      |   | 2011   |   |
|-------------------------------------------|--------|--------|-----------|--------|--------|--------|
|                                      |   |   |      |   |   |   |
| Undistributed ordinary income – net |   | $      | 751,056   |   |   | $      | 111,679 |   |
| Unrealized gains – net              |   |   | 4,159,853 |   |   |   | 417,779 |   |
| Total accumulated earnings – net    |   | $      | 4,910,909 |   |   | $      | 529,458 |   |

| 14. | Selected quarterly financial data (unaudited) |
|-----|-----------------------------------------------|

|                                                            |   | Quarter Ended     |       |
|-----------------------------------------------------------------|--------|-------------------|------------|
|                                                            |   | December 31, 2012 |       |   | September 30, 2012 |   |   | June 30, 2012 |   |   | March 31, 2012 |   |
| Total Investment Income                                         |   | $                 | 14,475,985 |   |   | $ | 11,479,268 |   |   | $ | 6,249,846 |   |   | $ | 3,377,381 |   |
| Total Investment Income per Common Share                        |   |              | 0.27       |   |   |   | 0.30 |   |   |   | 0.28 |   |   |   | 0.31 |   |
| Net Investment Income                                           |   |              | 6,545,151  |   |   |   | 4,297,655 |   |   |   | 3,713,829 |   |   |   | 1,135,161 |   |
| Net Investment Income per Common Share                          |   |              | 0.12       |   |   |   | 0.11 |   |   |   | 0.17 |   |   |   | 0.10 |   |
| Net Realized and Unrealized Gain (Loss)                         |   |              | 381,202    |   |   |   | 6,877,932 |   |   |   | (1,638,130 | ) |   |   | 4,340,767 |   |
| Net Realized and Unrealized Gain (Loss) per Common Share        |   |              | 0.01       |   |   |   | 0.18 |   |   |   | (0.07 | ) |   |   | 0.40 |   |
| Net Increase (Decrease) in Net Assets Resulting from Operations |   |              | 6,926,353  |   |   |   | 11,175,587 |   |   |   | 2,075,699 |   |   |   | 5,475,928 |   |
| Basic and Diluted Earnings (Loss) per Common Share              |   |              | 0.13       |   |   |   | 0.30 |   |   |   | 0.09 |   |   |   | 0.50 |   |
| Net Asset Value per Common Share at End of Quarter              |   |              | 9.75       |   |   |   | 9.78 |   |   |   | 9.64 |   |   |   | 9.66 |   |

|                                                            |   | Quarter Ended     |      |
|-----------------------------------------------------------------|--------|-------------------|-----------|
|                                                            |   | December 31, 2011 |      |   | September 30, 2011 |   |   | June 30, 2011 |   |
| Total Investment Income                                         |   | $                 | 884,236   |   |   | $ | 74,650 |   |   | $ | — |   |
| Total Investment Income per Common Share                        |   |              | 0.21      |   |   |   | 0.10 |   |   |   | — |   |
| Net Investment Income                                           |   |              | 778,513   |   |   |   | 74,650 |   |   |   | — |   |
| Net Investment Income per Common Share                          |   |              | 0.18      |   |   |   | 0.10 |   |   |   | — |   |
| Net Realized and Unrealized Gain (Loss)                         |   |              | 812,353   |   |   |   | (283,738 | ) |   |   | — |   |
| Net Realized and Unrealized Gain (Loss) per Common Share        |   |              | 0.19      |   |   |   | (0.39 | ) |   |   | — |   |
| Net Increase (Decrease) in Net Assets Resulting from Operations |   |              | 1,590,866 |   |   |   | (209,088 | ) |   |   | — |   |
| Basic and Diluted Earnings (Loss) per Common Share              |   |              | 0.38      |   |   |   | (0.28 | ) |   |   | — |   |
| Net Asset Value per Common Share at End of Quarter              |   |              | 9.21      |   |   |   | 8.81 |   |   |   | 9.00 |   |

| 15. | Subsequent Events |
|-----|-------------------|

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