----

----

| x | QUARTERLY 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 |
|---|-------------------------------------------------------------------------------------------|

| Maryland                                                       | 27-2857503                           |
|----------------------------------------------------------------|--------------------------------------|
| (State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |

| CNL Center at City Commons               |       |
|------------------------------------------|------------|
| 450 South Orange Avenue                  |       |
| Orlando, Florida                         | 32801      |
| (Address of principal executive offices) | (Zip Code) |

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

----

----

|                          |                                                                                        | PAGE   |
|-------------------------------|---------------------------------------------------------------------------------------------|--------|
| PART I. FINANCIAL INFORMATION |                                                                                        |
|                          |                                                                                        |   |
| Item 1.                       | Financial Statements:                                                                       |   |
|                          |                                                                                        |   |
|                          | Condensed Consolidated Statements of Assets and Liabilities (unaudited)                     | 2      |
|                          |                                                                                        |   |
|                          | Condensed Consolidated Statements of Operations (unaudited)                                 | 3      |
|                          |                                                                                        |   |
|                          | Condensed Consolidated Statements of Changes in Net Assets (unaudited)                      | 4      |
|                          |                                                                                        |   |
|                          | Condensed Consolidated Statements of Cash Flows (unaudited)                                 | 5      |
|                          |                                                                                        |   |
|                          | Condensed Consolidated Schedules of Investments (unaudited)                                 | 6      |
|                          |                                                                                        |   |
|                          | Notes to Condensed Consolidated Financial Statements (unaudited)                            | 25     |
|                          |                                                                                        |   |
| Item 2.                       | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 45     |
|                          |                                                                                        |   |
| Item 3.                       | Quantitative and Qualitative Disclosures about Market Risk                                  | 58     |
|                          |                                                                                        |   |
| Item 4.                       | Controls and Procedures                                                                     | 60     |
|                          |                                                                                        |   |
| PART II. OTHER INFORMATION    |                                                                                        |
|                          |                                                                                        |   |
| Item 1.                       | Legal Proceedings                                                                           | 60     |
|                          |                                                                                        |   |
| Item 1A.                      | Risk Factors                                                                                | 60     |
|                          |                                                                                        |   |
| Item 2.                       | Unregistered Sales of Equity Securities and Use of Proceeds                                 | 60     |
|                          |                                                                                        |   |
| Item 3.                       | Defaults Upon Senior Securities                                                             | 60     |
|                          |                                                                                        |   |
| Item 4.                       | Mine Safety Disclosures                                                                     | 60     |
|                          |                                                                                        |   |
| Item 5.                       | Other Information                                                                           | 60     |
|                          |                                                                                        |   |
| Item 6.                       | Exhibits                                                                                    | 60     |
|                          |                                                                                        |   |
| Signatures                    | 61                                                                                          |
|                          |                                                                                        |   |
| Exhibit Index                 | 62                                                                                          |

----

| Corporate Capital Trust, Inc. and Subsidiaries                          |
|-------------------------------------------------------------------------|
| Condensed Consolidated Statements of Assets and Liabilities (unaudited) |

|                                                                                                                                                                                     |   | March 31, 2013 |          |   | December 31, 2012 |    |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|----------------|---------------|--------|-------------------|---------|
| Assets                                                                                                                                                                                   |
| Investments, at fair value (amortized cost of $919,172,508 and $704,629,567)                                                                                                             |   | $              | 938,917,283   |   |              | $  | 710,870,599 |   |
| Cash                                                                                                                                                                                     |   |           | —       |   |              |    | 306,459 |   |
| Cash denominated in foreign currency (cost $554,444 and $—)                                                                                                                        |   |           | 553,473       |   |              |    | — |   |
| Cash collateral on deposit with custodian                                                                                                                                                |   |           | 176,028,941   |   |              |    | 87,974,019 |   |
| Dividends and interest receivable                                                                                                                                                        |   |           | 13,179,665    |   |              |    | 9,258,404 |   |
| Receivable for investments sold                                                                                                                                                          |   |           | 4,518,918     |   |              |    | 37,704,165 |   |
| Principal receivable                                                                                                                                                                     |   |           | 1,056,488     |   |              |    | 462,407 |   |
| Unrealized appreciation on derivative instruments                                                                                                                                        |   |           | 7,906,061     |   |              |    | 1,357,886 |   |
| Deferred offering expense                                                                                                                                                                |   |           | 2,719,119     |   |              |    | 2,146,007 |   |
| Prepaid and deferred expenses                                                                                                                                                            |   |           | 1,104,112     |   |              |    | 244,130 |   |
| Total assets                                                                                                                                                                             |   |           | 1,145,984,060 |   |              |    | 850,324,076 |   |
| Liabilities                                                                                                                                                                              |   |           |          |   |              |    |   |   |
| Revolving credit facility                                                                                                                                                                |   | $              | 219,440,000   |   |              | $       | 159,620,000 |   |
| Payable for investments purchased                                                                                                                                                        |   |           | 108,298,279   |   |              |    | 72,435,184 |   |
| Accrued performance-based incentive fees                                                                                                                                                 |   |           | 6,292,360     |   |              |    | 2,087,073 |   |
| Accrued investment advisory fees                                                                                                                                                         |   |           | 1,820,059     |   |              |    | 1,434,712 |   |
| Accrued reimbursement of expense support                                                                                                                                                 |   |           | 1,136,064     |   |              |    | 1,829,749 |   |
| Unrealized depreciation on derivative instruments                                                                                                                                        |   |           | 62,563        |   |              |    | 155,568 |   |
| Accrued directors' fees                                                                                                                                                                  |   |           | 18,569        |   |              |    | 10,436 |   |
| Other accrued expenses and liabilities                                                                                                                                                   |   |           | 2,094,445     |   |              |    | 1,267,540 |   |
| Total liabilities                                                                                                                                                                        |   |           | 339,162,339   |   |              |    | 238,840,262 |   |
| Net Assets                                                                                                                                                                               |   |           |          |   |              |    |   |   |
| Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 81,431,053 and 62,728,439 shares issued and outstanding at March 31, 2013 and December 31, 2012, respectively |   |           | 81,431        |   |              |    | 62,728 |   |
| Paid-in capital in excess of par value                                                                                                                                                   |   |           | 792,962,936   |   |              |    | 607,351,000 |   |
| Distributions in excess of net investment income                                                                                                                                         |   |           | (13,821,760   | )      |              |    | (3,374,805 | ) |
| Accumulated net unrealized appreciation on investments, derivative instruments and foreign currency translation                                                                          |   |           | 27,599,114    |   |              |    | 7,444,891 |   |
| Net assets                                                                                                                                                                               |   | $              | 806,821,721   |   |              | $       | 611,483,814 |   |
| Net asset value per share                                                                                                                                                                |   | $              | 9.91          |   |              | $       | 9.75 |   |

| See notes to condensed consolidated financial statements. |   |
|-----------------------------------------------------------|--------|

----

| Corporate Capital Trust, Inc. and Subsidiaries              |
|-------------------------------------------------------------|
| Condensed Consolidated Statements of Operations (unaudited) |

|                                                                                 | For the three months ended |
|--------------------------------------------------------------------------------------|----------------------------|
|                                                                                 |                       | March 31, 2013 |   |   | March 31, 2012 |   |
| Investment income                                                                    |
| Interest income                                                                      |                       | $ | 15,239,302 |   |   | $ | 3,374,128 |   |
| Dividend income                                                                      |                       |   | 98,492 |   |   |   | 3,253 |   |
| Fee income                                                                           |                       |   | 11,529 |   |   |   | — |   |
| Total investment income                                                              |                       |   | 15,349,323 |   |   |   | 3,377,381 |   |
| Operating expenses                                                                   |
| Investment advisory fees                                                             |                       |   | 4,860,666 |   |   |   | 894,160 |   |
| Performance-based incentive fees                                                     |                       |   | 4,205,287 |   |   |   | 875,246 |   |
| Interest expense                                                                     |                       |   | 1,317,059 |   |   |   | 320,129 |   |
| Offering expense                                                                     |                       |   | 1,093,596 |   |   |   | — |   |
| Administrative services                                                              |                       |   | 422,949 |   |   |   | 169,132 |   |
| Professional services                                                                |                       |   | 348,001 |   |   |   | 208,541 |   |
| Organization expenses                                                                |                       |   | — |   |   |   | 527,741 |   |
| Custodian and accounting fees                                                        |                       |   | 88,123 |   |   |   | 40,477 |   |
| Director fees and expenses                                                           |                       |   | 68,468 |   |   |   | 48,235 |   |
| Other                                                                                |                       |   | 406,156 |   |   |   | 121,357 |   |
| Total operating expenses                                                             |                       |   | 12,810,305 |   |   |   | 3,205,018 |   |
| Reimbursement of expense support                                                     |                       |   | 1,136,064 |   |   |   | — |   |
| Expense support                                                                      |                       |   | — |   |   |   | (962,798 | ) |
| Net expenses                                                                         |                       |   | 13,946,369 |   |   |   | 2,242,220 |   |
| Net investment income                                                                |                       |   | 1,402,954 |   |   |   | 1,135,161 |   |
| Realized and unrealized gain (loss):                                                 |
| Net realized gain on investments                                                     |                       |   | 1,006,434 |   |   |   | 735,251 |   |
| Net realized gain on derivative instruments                                          |                       |   | 867,966 |   |   |   | — |   |
| Net realized gain (loss) on foreign currency transactions                            |                       |   | 11,182 |   |   |   | (6,285 | ) |
| Net change in unrealized appreciation on investments                                 |                       |   | 13,503,743 |   |   |   | 3,622,449 |   |
| Net change in unrealized appreciation on derivative instruments                      |                       |   | 6,641,180 |   |   |   | — |   |
| Net change in unrealized appreciation (depreciation) on foreign currency translation |                       |   | 9,300 |   |   |   | (10,648 | ) |
| Net realized and unrealized gain                                                     |                       |   | 22,039,805 |   |   |   | 4,340,767 |   |
| Net increase in net assets resulting from operations                                 |                       | $ | 23,442,759 |   |   | $ | 5,475,928 |   |
| Net Investment Income Per Share                                                      |                       | $ | 0.02 |   |   | $ | 0.10 |   |
| Diluted and Basic Earnings Per Share                                                 |                       | $ | 0.33 |   |   | $ | 0.50 |   |
| Weighted Average Shares Outstanding                                                  |                       |   | 71,356,247 |   |   |   | 10,949,283 |   |
| Dividends Declared Per Share                                                         |                       | $ | 0.20 |   |   | $ | 0.19 |   |

| See notes to condensed consolidated financial statements. |
|-----------------------------------------------------------|

----

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

|                                                                                                          | For the three months ended |           |        |
|---------------------------------------------------------------------------------------------------------------|----------------------------|----------------|-------------|
|                                                                                                          |                       | March 31, 2013 |        |   | March 31, 2012 |   |   |
| Operations                                                                                                    |                       |           |
| Net investment income                                                                                         |                       | $              | 1,402,954   |   |   | $ | 1,135,161 |   |
| Net realized gain on investments, derivative instruments and foreign currency transactions                    |                       |           | 1,885,582   |   |   |   | 728,966 |   |
| Net change in unrealized appreciation on investments, derivative instruments and foreign currency translation |                       |           | 20,154,223  |   |   |   | 3,611,801 |   |
| Net increase in net assets resulting from operations                                                          |                       |           | 23,442,759  |   |   |   | 5,475,928 |   |
| Distributions to shareholders from                                                                            |                       |           |
| Net investment income                                                                                         |                       |           | (1,402,954  | ) |   |   | (1,141,117 | ) |
| Realized gains                                                                                                |                       |           | (1,885,582  | ) |   |   | (728,966 | ) |
| Other sources (See Note 8)                                                                                    |                       |           | (10,446,955 | ) |   |   | (117,020 | ) |
| Net decrease in net assets resulting from shareholders distributions                                          |                       |           | (13,735,491 | ) |   |   | (1,987,103 | ) |
| Capital share transactions                                                                                    |                       |           |
| Issuance of shares of common stock                                                                            |                       |           | 179,598,408 |   |   |   | 83,870,498 |   |
| Reinvestment of shareholders distributions                                                                    |                       |           | 6,850,275   |   |   |   | 1,248,460 |   |
| Repurchase of shares of common stock                                                                          |                       |           | (818,044    | ) |   |   | — |   |
| Net increase in net assets resulting from capital share transactions                                          |                       |           | 185,630,639 |   |   |   | 85,118,958 |   |
| Total increase in net assets                                                                                  |                       |           | 195,337,907 |   |   |   | 88,607,783 |   |
| Net assets at beginning of period                                                                             |                       |           | 611,483,814 |   |   |   | 65,162,729 |   |
| Net assets at end of period                                                                                   |                       | $              | 806,821,721 |   |   | $ | 153,770,512 |   |
| Capital share activity                                                                                        |                       |           |
| Shares issued from subscriptions                                                                              |                       |           | 18,097,872  |   |   |   | 8,712,413 |   |
| Shares issued from reinvestment of distributions                                                              |                       |           | 688,817     |   |   |   | 129,673 |   |
| Shares repurchased                                                                                            |                       |           | (84,075     | ) |   |   | — |   |
| Net increase in shares outstanding                                                                            |                       |           | 18,702,614  |   |   |   | 8,842,086 |   |
| Distributions in excess of net investment income at end of period                                             |                       | $              | (13,821,760 | ) |   | $ | (117,020 | ) |

| See notes to condensed consolidated financial statements. |
|-----------------------------------------------------------|

----

| Corporate Capital Trust, Inc. and Subsidiaries              |
|-------------------------------------------------------------|
| Condensed Consolidated Statements of Cash Flows (unaudited) |

|                                                                                                                    |   | For the three months ended |
|-------------------------------------------------------------------------------------------------------------------------|--------|----------------------------|
|                                                                                                                    |   |   March 31, 2013      |   |   | March 31, 2012 |   |
| Operating Activities:                                                                                                   |   |
| Net increase in net assets resulting from operations                                                                    |   | $                          | 23,442,759 |   |   | $ | 5,475,928 |   |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: |   |
| Purchases of investments                                                                                                |   |                       | (236,159,109 | ) |   |   | (135,291,836 | ) |
| Increase in payable for investments purchased                                                                           |   |                       | 35,895,662 |   |   |   | 2,422,631 |   |
| Proceeds from sales of investments                                                                                      |   |                       | 49,519,053 |   |   |   | 21,546,060 |   |
| Proceeds from principal payments                                                                                        |   |                       | 42,017,413 |   |   |   | 2,372,642 |   |
| Net realized gain (loss) on investments                                                                                 |   |                       | (1,006,434 | ) |   |   | (735,251 | ) |
| Net change in unrealized appreciation on investments                                                                    |   |                       | (13,503,743 | ) |   |   | (3,622,449 | ) |
| Net change in unrealized appreciation on derivative instruments                                                         |   |                       | (6,641,180 | ) |   |   | — |   |
| Net change in unrealized appreciation on foreign currency translation                                                   |   |                       | (9,300 | ) |   |   | 10,648 |   |
| Amortization of premium/discount - net                                                                                  |   |                       | (100,502 | ) |   |   | (11,942 | ) |
| Amortization of deferred financing cost                                                                                 |   |                       | 132,085 |   |   |   | — |   |
| Increase in short-term investments, net                                                                                 |   |                       | (68,813,362 | ) |   |   | (2,261,866 | ) |
| Increase in cash collateral on deposit with custodian                                                                   |   |                       | (88,054,922 | ) |   |   | — |   |
| Increase in dividend and interest receivable                                                                            |   |                       | (3,943,557 | ) |   |   | (2,892,557 | ) |
| Decrease (increase) in receivable for investments sold                                                                  |   |                       | 33,185,247 |   |   |   | (6,984,643 | ) |
| Increase in principal receivable                                                                                        |   |                       | (594,081 | ) |   |   | (191,605 | ) |
| Decrease in receivable from advisors                                                                                    |   |                       | — |   |   |   | 136,354 |   |
| Increase in other assets                                                                                                |   |                       | (530,790 | ) |   |   | (391 | ) |
| Increase in accrued investment advisory fees                                                                            |   |                       | 385,347 |   |   |   | 213,411 |   |
| Increase in accrued performance-based incentive fees                                                                    |   |                       | 4,205,287 |   |   |   | 698,399 |   |
| Increase in other accrued expenses and liabilities                                                                      |   |                       | 33,470 |   |   |   | 379,289 |   |
| Net cash used in operating activities                                                                                   |   |                       | (230,540,657 | ) |   |   | (118,737,178 | ) |
|                                                                                                                    |   |
| Financing Activities:                                                                                                   |   |
| Proceeds from issuance of shares of common stock                                                                        |   |                       | 179,598,408 |   |   |   | 83,870,498 |   |
| Payment on repurchase of shares of common stock                                                                         |   |                       | (818,044 | ) |   |   | — |   |
| Distributions paid                                                                                                      |   |                       | (6,885,216 | ) |   |   | (1,137,280 | ) |
| Borrowings under credit facility                                                                                        |   |                       | 59,820,000 |   |   |   | 38,400,000 |   |
| Deferred financing costs paid                                                                                           |   |                       | (926,506 | ) |   |   | (46,115 | ) |
| Net cash provided by financing activities                                                                               |   |                       | 230,788,642 |   |   |   | 121,087,103 |   |
| Effect of exchange rate changes on cash                                                                                 |   |                       | (971 | ) |   |   | 12,844 |   |
| Net increase in cash                                                                                                    |   |                       | 247,014 |   |   |   | 2,362,769 |   |
| Cash and cash denominated in foreign currency, beginning of period                                                      |   |                       | 306,459 |   |   |   | — |   |
| Cash and cash denominated in foreign currency, end of period                                                            |   | $                          | 553,473 |   |   | $ | 2,362,769 |   |
|                                                                                                                    |   |
| Supplemental disclosure of cash flow information and non-cash financing activities:                                     |   |
| Cash paid for interest                                                                                                  |   | $                          | 1,165,738 |   |   | $ | 261,538 |   |
| Dividend distributions reinvested                                                                                       |   | $                          | 6,850,275 |   |   | $ | 1,248,460 |   |
| Deferred financing costs accrued in other accrued expenses and liabilities                                              |   | $                          | 107,883 |   |   | $ | — |   |

| See notes to condensed consolidated financial statements. |
|-----------------------------------------------------------|

----

ed

| Company (a)                                           |   | Industry                                     |   | Investments             |   | InterestRate (n) |   | EURIBOR/LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |   | Fair Value |   | % of NetAssets |
|-------------------------------------------------------|--------|----------------------------------------------|--------|-------------------------|--------|------------------|--------|--------------------|--------|---------------|--------|--------------------------------|------------|----------|--------|------------|--------|----------------|
| Non-Control/Non-Affiliate Investments(d)—106.2% |   |                                         |   |                    |   |             |   |               |   |          |   |                           |       |     |   |       |   |           |   |
| AdvancePierre Foods, Inc.                             |   | Food, Beverage & Tobacco                 |   | Senior Debt(e)          |   | L + 450          |   | 1.25%              |   | 7/10/2017     |   | $                              | 3,928,159  |     | $      | 3,900,956  |   | $              | 3,991,010 |   | 0.5% |
| Allen Systems Group, Inc.                             |   | Software & Services                      |   | Senior Debt(e)(f)       |   | 10.50%           |   |               |   | 11/15/2016    |   |                           | 106,000    |     |   | 67,703     |   |           | 67,310 |   | 0.0% |
| Alliance Laundry Systems, LLC                         |   | Capital Goods                                |   | Senior Debt(e)          |   | L + 325          |   | 1.25%              |   | 12/7/2018     |   |                           | 3,535,061  |     |   | 3,518,252  |   |           | 3,568,645 |   | 0.4% |
| Ally Financial, Inc.                                  |   | Banks                                        |   | Preferred Stock(g)      |   | 8.50%            |   |               |   |          |   |                           | 118,908    |     |   | 2,996,482  |   |           | 3,184,356 |   | 0.4% |
|                                                  |   |                                         |   | Preferred Stock(g)      |   | 8.13%            |   |               |   |          |   |                           | 69,800     |     |   | 1,804,330  |   |           | 1,898,560 |   | 0.2% |
|                                                  |   |                                         |   |                    |   |             |   |               |   |          |   |                           |       |     |   | 4,800,812  |   |           | 5,082,916 |   | 0.6% |
| Altisource Solutions (LU)(h)                          |   | Real Estate                                  |   | Senior Debt(e)(g)       |   | L + 450          |   | 1.25%              |   | 11/27/2019    |   |                           | 7,526,329  |     |   | 7,453,788  |   |           | 7,639,224 |   | 0.9% |
| American Gaming Systems, LLC                          |   | Consumer Services                            |   | Senior Debt(e)(i)(j)    |   | L + 1000         |   | 1.50%              |   | 8/15/2016     |   |                           | 21,782,648 |     |   | 21,298,435 |   |           | 21,782,648 |   | 2.8% |
| American Rock Salt Co., LLC                           |   | Materials                                    |   | Senior Debt(e)          |   | L + 425          |   | 1.25%              |   | 4/25/2017     |   |                           | 8,464,050  |     |   | 8,146,025  |   |           | 8,480,809 |   | 1.1% |
|                                                  |   |                                         |   | Senior Debt(e)(f)       |   | 8.25%            |   |               |   | 5/1/2018      |   |                           | 9,632,000  |     |   | 8,922,825  |   |           | 9,150,400 |   | 1.1% |
|                                                  |   |                                         |   |                    |   |             |   |               |   |          |   |                           |       |     |   | 17,068,850 |   |           | 17,631,209 |   | 2.2% |
| Amkor Technologies, Inc.                              |   | Semiconductors & Semiconductor Equipment |   | Subordinated Debt(e)(g) |   | 7.38%            |   |               |   | 5/1/2018      |   |                           | 213,000    |     |   | 210,896    |   |           | 223,118 |   | 0.0% |
| Ardagh Packaging Holdings Ltd. (IE)(h)                |   | Capital Goods                                |   | Senior Debt(e)(g)       |   | 4.88%            |   |               |   | 11/15/2022    |   |                           | 345,000    |     |   | 345,000    |   |           | 340,688 |   | 0.0% |
|                                                  |   |                                         |   | Senior Debt(e)(f)(g)    |   | 7.38%            |   |               |   | 10/15/2017    |   |                           | 100,000    |     |   | 100,400    |   |           | 109,500 |   | 0.0% |
|                                                  |   |                                         |   |                    |   |             |   |               |   |          |   |                           |       |     |   | 445,400    |   |           | 450,188 |   | 0.0% |
| Aspect Software, Inc.                                 |   | Technology Hardware & Equipment          |   | Senior Debt(e)          |   | L + 525          |   | 1.75%              |   | 5/7/2016      |   |                           | 4,307,900  |     |   | 4,306,133  |   |           | 4,370,709 |   | 0.5% |
| Aspen Dental Management, Inc.                         |   | Health Care Equipment & Services         |   | Senior Debt(e)(j)       |   | L + 550          |   | 1.50%              |   | 10/6/2016     |   |                           | 6,099,740  |     |   | 6,035,039  |   |           | 5,882,467 |   | 0.7% |
| Asset Acceptance Capital Corp.                        |   | Diversified Financials                       |   | Senior Debt(g)          |   | L + 725          |   | 1.50%              |   | 11/14/2017    |   |                           | 906,899    |     |   | 885,640    |   |           | 917,101 |   | 0.1% |
| Avaya, Inc.                                           |   | Technology Hardware & Equipment          |   | Senior Debt(e)(f)       |   | 7.00%            |   |               |   | 4/1/2019      |   |                           | 14,063,000 |     |   | 13,208,401 |   |           | 13,746,582 |   | 1.7% |
| Bill Barrett Corp.                                    |   | Energy                                       |   | Subordinated Debt(e)(g) |   | 7.63%            |   |               |   | 10/1/2019     |   |                           | 251,000    |     |   | 256,567    |   |           | 266,688 |   | 0.0% |
| Block Communications, Inc.                            |   | Media                                        |   | Subordinated Debt(e)(f) |   | 7.25%            |   |               |   | 2/1/2020      |   |                           | 589,000    |     |   | 629,126    |   |           | 640,538 |   | 0.1% |

----

| Company (a)                               |   | Industry                               |                    | Investments                |    | InterestRate (n) |   | EURIBOR/LIBORFloor |       | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |       | Fair Value |   | % of NetAssets |
|-------------------------------------------|--------|----------------------------------------|-------------------------|----------------------------|---------|------------------|--------|--------------------|------------|---------------|--------|--------------------------------|------------|----------|------------|------------|--------|----------------|
| BNY ConvergEX Group, LLC                  |   | Diversified Financials                 |                    | Senior Debt(e)(g)          |    | L + 375          |   | 1.50%              |       | 12/19/2016    |   | $                              | 538,493    |     | $          | 530,115    |   | $              | 537,710 |   | 0.1% |
|                                      |   |                                   | Senior Debt(e)(g)       |                       | L + 375 |             | 1.50%  |               | 12/19/2016 |          |   | 1,189,528                      |       |     | 1,171,036  |       |   | 1,187,797      |   | 0.1% |
|                                      |   |                                   | Senior Debt(e)(g)       |                       | L + 700 |             | 1.75%  |               | 12/17/2017 |          |   | 3,581,959                      |       |     | 3,554,469  |       |   | 3,550,617      |   | 0.4% |
|                                      |   |                                   |                    | Senior Debt(e)(g)          |    | L + 700          |   | 1.75%              |       | 12/17/2017    |   |                           | 1,503,006  |     |       | 1,491,470  |   |           | 1,489,854 |   | 0.2% |
|                                      |   |                                   |                    |                       |    |             |   |               |       |          |   |                           |       |     |       | 6,747,090  |   |           | 6,765,978 |   | 0.8% |
| Bombardier, Inc. (CA)(h)                  |   | Capital Goods                          |                    | Subordinated Debt(e)(f)(g) |    | 4.25%            |   |               |       | 1/15/2016     |   |                           | 557,000    |     |       | 557,000    |   |           | 577,888 |   | 0.1% |
|                                      |   |                                   |                    | Subordinated Debt(e)(f)(g) |    | 6.13%            |   |               |       | 1/15/2023     |   |                           | 1,670,000  |     |       | 1,670,000  |   |           | 1,732,625 |   | 0.2% |
|                                      |   |                                   |                    |                       |    |             |   |               |       |          |   |                           |       |     |       | 2,227,000  |   |           | 2,310,513 |   | 0.3% |
| Caesars Entertainment Operating Co., Inc. |   | Consumer Services                      |                    | Senior Debt(e)(g)          |    | 11.25%           |   |               |       | 6/1/2017      |   |                           | 1,023,000  |     |       | 1,072,064  |   |           | 1,088,216 |   | 0.1% |
| Calcipar, SA (LU)(h)                      |   | Capital Goods                          |                    | Senior Debt(e)(f)(g)       |    | 6.88%            |   |               |       | 5/1/2018      |   |                           | 479,000    |     |       | 504,295    |   |           | 510,135 |   | 0.1% |
| Catalina Marketing Corp.                  |   | Media                                  |                    | Senior Debt(e)(j)          |    | L + 550          |   |               |       | 9/29/2017     |   |                           | 13,728,354 |     |       | 13,725,959 |   |           | 13,824,452 |   | 1.7% |
|                                      |   |                                   |                    | Subordinated Debt(e)(f)    |    | 10.50%           |   |               |       | 10/1/2015     |   |                           | 20,436,255 |     |       | 20,407,664 |   |           | 20,947,161 |   | 2.6% |
|                                      |   |                                   |                    |                       |    |             |   |               |       |          |   |                           |       |     |       | 34,133,623 |   |           | 34,771,613 |   | 4.3% |
| CDW Corp.                                 |   | Technology Hardware & Equipment    |                    | Subordinated Debt(e)       |    | 12.54%           |   |               |       | 10/12/2017    |   |                           | 11,610,000 |     |       | 12,389,027 |   |           | 12,466,237 |   | 1.5% |
| Celanese US Holdings, LLC                 |   | Materials                              |                    | Subordinated Debt(e)(g)    |    | 4.63%            |   |               |       | 11/15/2022    |   |                           | 2,900,000  |     |       | 2,900,000  |   |           | 2,907,250 |   | 0.4% |
| Cemex Espana S.A. (ES)(h)                 |   | Materials                              |                    | Senior Debt(e)(g)(j)(EUR)  |    | E + 450          |   |               |       | 2/14/2017     |   | €                        | 928,806    |     |       | 1,112,127  |   |           | 1,142,967 |   | 0.1% |
| Cemex Finance, LLC                        |   | Materials                              |                    | Senior Debt(e)(f)(g)       |    | 9.38%            |   |               |       | 10/12/2022    |   | $                              | 825,000    |     |       | 825,000    |   |           | 959,062 |   | 0.1% |
| Cemex Materials, LLC                      |   | Materials                              |                    | Subordinated Debt(e)(f)    |    | 7.70%            |   |               |       | 7/21/2025     |   |                           | 23,312,000 |     |       | 22,927,004 |   |           | 24,011,360 |   | 3.0% |
| 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  |   |           | 3,380,880 |   | 0.4% |
| Cengage Learning Acquisitions, Inc.       |   | Media                                  |                    | Senior Debt(e)(f)          |    | 11.50%           |   |               |       | 4/15/2020     |   |                           | 14,862,000 |     |       | 15,177,219 |   |           | 11,146,500 |   | 1.4% |
| Ceridian Corp.                            |   | Commercial & Professional Services |                    | Senior Debt(e)             |    | L + 575          |   |               |       | 5/9/2017      |   |                           | 11,320,620 |     |       | 11,297,051 |   |           | 11,541,938 |   | 1.4% |
|                                      |   |                                   | Senior Debt(e)(f)       |                       | 8.88%   |             |   |               | 7/15/2019  |          |   | 2,123,000                      |       |     | 2,123,000  |       |   | 2,470,641      |   | 0.3% |
|                                      |   |                                   | Subordinated Debt(e)(f) |                       | 11.00%  |             |   |               | 3/15/2021  |          |   | 2,032,000                      |       |     | 2,079,575  |       |   | 2,179,320      |   | 0.3% |
|                                      |   |                                   |                    |                       |    |             |   |               |       |          |   |                           |       |     | 15,499,626 |       |   | 16,191,899     |   | 2.0% |

----

| Company (a)                            |   | Industry                             |                 | Investments             |    | InterestRate (n) |   | EURIBOR/LIBORFloor |       | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |       | Fair Value |   | % of NetAssets |
|----------------------------------------|--------|--------------------------------------|----------------------|-------------------------|---------|------------------|--------|--------------------|------------|---------------|--------|--------------------------------|------------|----------|------------|------------|--------|----------------|
| CHG Companies, Inc.                    |   | Health Care Equipment & Services |                 | Senior Debt(e)          |    | L + 375          |   | 1.25%              |       | 11/19/2019    |   | $                              | 3,032,478  |     | $          | 3,003,031  |   | $              | 3,077,495 |   | 0.4% |
|                                   |   |                                 | Senior Debt(e)       |                    | L + 775 |             | 1.25%  |               | 11/19/2020 |          |   | 6,662,554                      |       |     | 6,532,084  |       |   | 6,859,665      |   | 0.9% |
|                                   |   |                                 |                 |                    |    |             |   |               |       |          |   |                           |       |     | 9,535,115  |       |   | 9,937,160      |   | 1.3% |
| Clear Channel Worldwide Holdings, Inc. |   | Media                                |                 | Subordinated Debt(e)(g) |    | 7.63%            |   |               |       | 3/15/2020     |   |                           | 1,857,000  |     |       | 1,800,459  |   |           | 1,938,244 |   | 0.2% |
| ClubCorp Club Operations, Inc.         |   | Consumer Services                    |                 | Senior Debt(e)          |    | L + 375          |   | 1.25%              |       | 11/30/2016    |   |                           | 130,383    |     |       | 124,766    |   |           | 132,909 |   | 0.0% |
| CNO Financial Group, Inc.              |   | Insurance                            |                 | Senior Debt(e)(f)(g)    |    | 6.38%            |   |               |       | 10/1/2020     |   |                           | 1,092,000  |     |       | 1,129,872  |   |           | 1,161,615 |   | 0.1% |
| Commscope, Inc.                        |   | Technology Hardware & Equipment  |                 | Subordinated Debt(e)(f) |    | 8.25%            |   |               |       | 1/15/2019     |   |                           | 11,786,000 |     |       | 12,850,599 |   |           | 12,787,810 |   | 1.6% |
| Continental Airlines, Inc.             |   | Transportation                       |                 | Senior Debt(e)(g)       |    | 7.34%            |   |               |       | 4/19/2014     |   |                           | 267,469    |     |       | 269,406    |   |           | 274,824 |   | 0.0% |
| CRC Health Corp.                       |   | Health Care Equipment & Services |                 | Senior Debt(e)          |    | L + 450          |   |               |       | 11/16/2015    |   |                           | 1,199,199  |     |       | 1,149,139  |   |           | 1,201,196 |   | 0.2% |
|                                   |   |                                 | Subordinated Debt(e) |                    | 10.75%  |             |   |               | 2/1/2016   |          |   | 6,500,000                      |       |     | 6,536,658  |       |   | 6,565,000      |   | 0.8% |
|                                   |   |                                 |                 |                    |    |             |   |               |       |          |   |                           |       |     | 7,685,797  |       |   | 7,766,196      |   | 1.0% |
| Cunningham Lindsey U.S., Inc.          |   | Insurance                            |                 | Senior Debt(e)          |    | L + 375          |   | 1.25%              |       | 12/10/2019    |   |                           | 4,604,958  |     |       | 4,560,511  |   |           | 4,694,202 |   | 0.6% |
|                                   |   |                                 |                 | Senior Debt(e)          |    | L + 800          |   | 1.25%              |       | 6/10/2020     |   |                           | 6,642,736  |     |       | 6,578,384  |   |           | 6,833,715 |   | 0.8% |
|                                   |   |                                 |                 |                    |    |             |   |               |       |          |   |                           |       |     |       | 11,138,895 |   |           | 11,527,917 |   | 1.4% |
| Data Device Corp.                      |   | Capital Goods                        |                 | Senior Debt(e)          |    | L + 600          |   | 1.50%              |       | 7/11/2018     |   |                           | 7,875,841  |     |       | 7,730,121  |   |           | 7,849,575 |   | 1.0% |
|                                   |   |                                 |                 | Senior Debt(i)          |    | L + 1000         |   | 1.50%              |       | 7/11/2019     |   |                           | 8,000,000  |     |       | 7,851,256  |   |           | 8,120,000 |   | 1.0% |
|                                   |   |                                 |                 |                    |    |             |   |               |       |          |   |                           |       |     |       | 15,581,377 |   |           | 15,969,575 |   | 2.0% |
| Datatel, Inc.                          |   | Software & Services              |                 | Senior Debt(e)          |    | L + 325          |   | 1.25%              |       | 7/19/2018     |   |                           | 392,727    |     |       | 387,892    |   |           | 398,961 |   | 0.1% |
| David's Bridal, Inc.                   |   | Retailing                            |                 | Senior Debt(e)          |    | L + 375          |   | 1.25%              |       | 10/11/2019    |   |                           | 2,190,803  |     |       | 2,170,119  |   |           | 2,222,285 |   | 0.3% |
| DJO Finance, LLC                       |   | Health Care Equipment & Services |                 | Senior Debt(e)          |    | L + 325          |   | 1.25%              |       | 9/15/2017     |   |                           | 1,845,198  |     |       | 1,847,322  |   |           | 1,876,714 |   | 0.2% |
|                                   |   |                                 | Senior Debt(e)(j)    |                    | 8.75%   |             |   |               | 3/15/2018  |          |   | 11,334,000                     |       |     | 12,135,993 |       |   | 12,637,410     |   | 1.6% |
|                                   |   |                                 |                 |                    |    |             |   |               |       |          |   |                           |       |     | 13,983,315 |       |   | 14,514,124     |   | 1.8% |
| Easton-Bell Sports, Inc.               |   | Consumer Durables & Apparel      |                 | Senior Debt(e)          |    | 9.75%            |   |               |       | 12/1/2016     |   |                           | 1,190,000  |     |       | 1,256,833  |   |           | 1,282,237 |   | 0.2% |
| Education Management, LLC              |   | Consumer Services                    |                 | Subordinated Debt(e)(g) |    | 15.00%           |   |               |       | 7/1/2018      |   |                           | 1,298,877  |     |       | 1,316,875  |   |           | 1,341,090 |   | 0.2% |
|                                   |   |                                 | Senior Debt(e)(g)    |                    | L + 700 |             | 1.25%  |               | 3/30/2018  |          |   | 7,059,021                      |       |     | 6,879,060  |       |   | 6,121,195      |   | 0.8% |
|                                   |   |                                 |                 |                    |    |             |   |               |       |          |   |                           |       |     |       | 8,195,935  |   |           | 7,462,285 |   | 1.0% |

----

| Company (a)                                   |   | Industry                        |                      | Investments                |   | InterestRate (n) |   | EURIBOR/LIBORFloor |       | Maturity Date |      | No. Shares/PrincipalAmount (b) |       | Cost (c)  |      | Fair Value |      | % of NetAssets |
|-----------------------------------------------|--------|---------------------------------|---------------------------|----------------------------|--------|------------------|--------|--------------------|------------|---------------|-----------|--------------------------------|------------|-----------|-----------|------------|-----------|----------------|
| Express, LLC / Express Finance Corp.          |   | Retailing                       |                      | Subordinated Debt(e)(g)    |   | 8.75%            |   |               |       | 3/1/2018      |      | $                              | 707,000    |      | $         | 762,426    |      | $              | 770,630 |   | 0.1% |
| Eze Software Group                            |   | Software & Services         |                      | Senior Debt(e)(j)          |   | L + 750          |   | 1.25%              |       | 2/22/2021     |      |                           | 10,432,095 |      |      | 10,327,774 |      |           | 10,666,818 |   | 1.3% |
| Fidelity National Information Services, Inc.  |   | Software & Services         |                      | Subordinated Debt(e)(g)    |   | 5.00%            |   |               |       | 3/15/2022     |      |                           | 26,000     |      |      | 27,777     |      |           | 27,593 |   | 0.0% |
|                                          |   |                            | Subordinated Debt(e)(g)   |                       | 7.88%  |             |   |               | 7/15/2020  |          |      | 114,000                        |       |      | 122,122   |       |      | 128,535        |   | 0.0% |
|                                          |   |                            |                      |                       |   |             |   |               |       |          |      |                           |       |      |      | 149,899    |      |           | 156,128 |   | 0.0% |
| Fifth & Pacific Companies, Inc.           |   | Consumer Durables & Apparel |                      | Senior Debt(e)(g)          |   | 10.50%           |   |               |       | 4/15/2019     |      |                           | 1,735,000  |      |      | 1,845,080  |      |           | 1,954,044 |   | 0.2% |
| FleetPride Corp.                              |   | Capital Goods                   |                      | Senior Debt(e)             |   | L + 400          |   | 1.25%              |       | 11/20/2019    |      |                           | 1,235,123  |      |      | 1,239,307  |      |           | 1,252,723 |   | 0.2% |
| Freedom Group                                 |   | Consumer Durables & Apparel |                      | Senior Debt(e)             |   | L + 425          |   | 1.25%              |       | 4/19/2019     |      |                           | 989,295    |      |      | 984,756    |      |           | 995,478 |   | 0.1% |
|                                          |   |                            | Senior Debt(e)(f)         |                       | 7.88%  |             |   |               | 5/1/2020   |          |      | 2,667,000                      |       |      | 2,864,246 |       |      | 2,800,350      |   | 0.3% |
|                                          |   |                            |                      |                       |   |             |   |               |       |          |      |                           |       |      | 3,849,002 |       |      | 3,795,828      |   | 0.4% |
| FTI Consulting, Inc.                          |   | Diversified Financials          |                      | Subordinated Debt(e)(f)(g) |   | 6.00%            |   |               |       | 11/15/2022    |      |                           | 2,869,000  |      |      | 2,869,000  |      |           | 3,033,967 |   | 0.4% |
| GCI, Inc.                                     |   | Telecommunication Services      |                      | Subordinated Debt(e)       |   | 6.75%            |   |               |       | 6/1/2021      |      |                           | 414,000    |      |      | 409,929    |      |           | 388,125 |   | 0.1% |
|                                          |   |                            | Subordinated Debt(e)      |                       | 8.63%  |             |   |               | 11/15/2019 |          |      | 8,575,000                      |       |      | 9,087,980 |       |      | 9,046,625      |   | 1.1% |
|                                          |   |                            |                      |                       |   |             |   |               |       |          |      |                           |       |      |      | 9,497,909  |      |           | 9,434,750 |   | 1.2% |
| Genesys Telecommunications Laboratories, Inc. |   | Software & Services         |                      | Common Stock*(i)           |   |             |   |               |       |          |      |                           | 448,908    |      |      | 448,908    |      |           | 511,755 |   | 0.1% |
|                                          |   | Senior Debt(e)                  |                      | L + 300                    |   | 1.00%            |   | 1/25/2020          |       |          | 2,355,234 |                           |       | 2,331,967 |      |       | 2,374,371 |           | 0.3% |
|                                          |   |                            | Subordinated Debt(i)(EUR) |                       | 12.50% |             |   |               | 1/31/2020  |          | €   | 2,044,000                      |       |      | 2,632,338 |       |      | 2,705,256      |   | 0.3% |
|                                          |   |                            |                      |                       |   |             |   |               |       |          |      |                           |       |      |      | 5,413,213  |      |           | 5,591,382 |   | 0.7% |
| Good Sam Enterprises, LLC                     |   | Media                           |                      | Senior Debt(e)             |   | 11.50%           |   |               |       | 12/1/2016     |      | $                              | 12,699,000 |      |      | 13,111,394 |      |           | 13,540,309 |   | 1.7% |
| Great Lakes Dredge & Dock Corp.           |   | Capital Goods                   |                      | Subordinated Debt(e)(g)    |   | 7.38%            |   |               |       | 2/1/2019      |      |                           | 782,000    |      |      | 801,355    |      |           | 825,010 |   | 0.1% |
| Guitar Center, Inc.                           |   | Retailing                       |                      | Senior Debt(e)(j)          |   | L + 350          |   |               |       | 4/9/2017      |      |                           | 23,883,361 |      |      | 23,134,179 |      |           | 23,798,814 |   | 3.0% |
| Harbor Freight Tools USA, Inc.                |   | Capital Goods                   |                      | Senior Debt(e)             |   | L + 425          |   | 1.25%              |       | 11/14/2017    |      |                           | 5,252,315  |      |      | 5,218,933  |      |           | 5,325,848 |   | 0.7% |

----

| Company (a)                          |   | Industry                             |                 | Investments             |    | InterestRate (n) |   | EURIBOR/LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |      | Fair Value |   | % of NetAssets |
|--------------------------------------|--------|--------------------------------------|----------------------|-------------------------|---------|------------------|--------|--------------------|-----------|---------------|--------|--------------------------------|------------|----------|-----------|------------|--------|----------------|
| HUB International, Ltd.              |   | Insurance                            |                 | Senior Debt(e)          |    | L + 450          |   |               |      | 6/13/2017     |   | $                              | 5,077,982  |     | $         | 5,041,482  |   | $              | 5,125,182 |   | 0.6% |
|                                 |   |                                 |                 | Senior Debt(e)          |    | L + 475          |   | 2.00%              |      | 12/13/2017    |   |                           | 328,185    |     |      | 328,185    |   |           | 332,059 |   | 0.0% |
|                                 |   |                                 |                 | Subordinated Debt(e)(f) |    | 8.13%            |   |               |      | 10/15/2018    |   |                           | 16,708,000 |     |      | 16,771,018 |   |           | 17,585,170 |   | 2.2% |
|                                 |   |                                 |                 |                    |    |             |   |               |      |          |   |                           |       |     |      | 22,140,685 |   |           | 23,042,411 |   | 2.8% |
| Hyland Software, Inc.                |   | Software & Services              |                 | Senior Debt(e)          |    | L + 425          |   | 1.25%              |      | 10/25/2019    |   |                           | 4,706,056  |     |      | 4,683,565  |   |           | 4,744,292 |   | 0.6% |
| IMS Health, Inc.                     |   | Health Care Equipment & Services |                 | Subordinated Debt(e)(f) |    | 6.00%            |   |               |      | 11/1/2020     |   |                           | 1,657,000  |     |      | 1,657,000  |   |           | 1,727,422 |   | 0.2% |
| Ineos US Finance, LLC (UK)(h)        |   | Materials                            |                 | Senior Debt(e)(f)(g)    |    | 9.00%            |   |               |      | 5/15/2015     |   |                           | 70,000     |     |      | 72,754     |   |           | 73,675 |   | 0.0% |
| Infor (US), Inc.                     |   | Software & Services              |                 | Senior Debt(e)          |    | L + 400          |   | 1.25%              |      | 4/5/2018      |   |                           | 6,294,008  |     |      | 6,333,912  |   |           | 6,404,154 |   | 0.8% |
|                                 |   |                                 | Subordinated Debt(e) |                    | 9.38%   |             |   |               | 4/1/2019  |          |   | 1,241,000                      |       |     | 1,411,103 |       |   | 1,406,984      |   | 0.2% |
|                                 |   |                                 |                 | Subordinated Debt(e)    |    | 11.50%           |   |               |      | 7/15/2018     |   |                           | 4,549,000  |     |      | 4,952,070  |   |           | 5,345,075 |   | 0.7% |
|                                 |   |                                 |                 |                    |    |             |   |               |      |          |   |                           |       |     |      | 12,697,085 |   |           | 13,156,213 |   | 1.7% |
| Intelsat Jackson Holdings SA (LU)(h) |   | Media                                |                 | Subordinated Debt(e)(g) |    | 7.25%            |   |               |      | 4/1/2019      |   |                           | 446,000    |     |      | 483,860    |   |           | 487,255 |   | 0.1% |
| Internet Brands, Inc.                |   | Media                                |                 | Senior Debt(e)(j)       |    | L + 500          |   | 1.25%              |      | 3/15/2019     |   |                           | 38,190,176 |     |      | 36,091,015 |   |           | 38,333,389 |   | 4.8% |
| iPayment, Inc.                       |   | Software & Services              |                 | Senior Debt(e)          |    | L + 425          |   | 1.50%              |      | 5/8/2017      |   |                           | 1,883,342  |     |      | 1,865,610  |   |           | 1,895,113 |   | 0.2% |
|                                 |   |                                 | Subordinated Debt(e) |                    | 10.25%  |             |   |               | 5/15/2018 |          |   | 4,100,000                      |       |     | 3,879,482 |       |   | 3,792,500      |   | 0.5% |
|                                 |   |                                 |                 |                    |    |             |   |               |      |          |   |                           |       |     |      | 5,745,092  |   |           | 5,687,613 |   | 0.7% |
| IPC Systems, Inc.                    |   | Technology Hardware & Equipment  |                 | Senior Debt(e)(j)       |    | L + 450          |   | 1.25%              |      | 7/31/2017     |   |                           | 487,330    |     |      | 475,147    |   |           | 484,893 |   | 0.1% |
|                                 |   |                                 | Senior Debt(e)       |                    | L + 650 |             | 1.25%  |               | 7/31/2017 |          |   | 6,419,901                      |       |     | 6,300,408 |       |   | 6,371,752      |   | 0.8% |
|                                 |   |                                 |                 |                    |    |             |   |               |      |          |   |                           |       |     | 6,775,555 |       |   | 6,856,645      |   | 0.9% |
| J. Crew Group, Inc.                  |   | Retailing                            |                 | Subordinated Debt(e)    |    | 8.13%            |   |               |      | 3/1/2019      |   |                           | 1,461,000  |     |      | 1,393,427  |   |           | 1,570,575 |   | 0.2% |
| J. Jill                              |   | Retailing                            |                 | Senior Debt(e)(i)       |    | L + 850          |   | 1.50%              |      | 4/29/2017     |   |                           | 10,126,531 |     |      | 10,126,531 |   |           | 10,126,531 |   | 1.3% |
| Jeld-Wen, Inc.                       |   | Capital Goods                        |                 | Senior Debt(e)(f)       |    | 12.25%           |   |               |      | 10/15/2017    |   |                           | 15,829,000 |     |      | 18,193,759 |   |           | 18,599,075 |   | 2.3% |
| Kerling PLC (UK)(h)                  |   | Materials                            |                 | Senior Debt(f)(g)(EUR)  |    | 10.63%           |   |               |      | 2/1/2017      |   | €                        | 5,353,000  |     |      | 6,613,473  |   |           | 6,365,643 |   | 0.8% |
| KeyPoint Government Solutions, Inc.  |   | Capital Goods                        |                 | Senior Debt(e)(i)       |    | L + 600          |   | 1.25%              |      | 11/13/2017    |   | $                              | 34,562,500 |     |      | 33,902,282 |   |           | 34,216,875 |   | 4.2% |

----

| Company (a)                               |   | Industry                                           |                    | Investments                |   | InterestRate (n)     |   | EURIBOR/LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |    | Fair Value |   | % of NetAssets |
|-------------------------------------------|--------|----------------------------------------------------|-------------------------|----------------------------|--------|----------------------|--------|--------------------|-----------|---------------|--------|--------------------------------|------------|----------|---------|------------|--------|----------------|
| Lord & Taylor Holdings, LLC           |   | Retailing                                          |                    | Senior Debt(e)             |   | L + 450              |   | 1.25%              |      | 1/11/2019     |   | $                              | 24,313     |     | $       | 24,478     |   | $              | 24,594 |   | 0.0% |
| Mcjunkin Corp.                            |   | Energy                                             |                    | Senior Debt(e)             |   | L + 500              |   | 1.25%              |      | 10/20/2019    |   |                           | 6,206,698  |     |    | 6,146,707  |   |           | 6,303,678 |   | 0.8% |
| MedAssets, Inc.                           |   | Health Care Equipment & Services               |                    | Subordinated Debt(e)(g)    |   | 8.00%                |   |               |      | 11/15/2018    |   |                           | 489,000    |     |    | 490,170    |   |           | 534,233 |   | 0.1% |
| MetroPCS Wireless, Inc.                   |   | Telecommunication Services                         |                    | Subordinated Debt(e)(g)    |   | 6.63%                |   |               |      | 11/15/2020    |   |                           | 1,762,000  |     |    | 1,847,692  |   |           | 1,841,290 |   | 0.2% |
| Michaels Stores, Inc.                     |   | Retailing                                          |                    | Senior Debt(e)             |   | L + 275              |   | 1.00%              |      | 1/28/2020     |   |                           | 17,198,462 |     |    | 17,198,462 |   |           | 17,401,490 |   | 2.2% |
| Misys PLC (UK)(h)                         |   | Software & Services                            |                    | Senior Debt(e)(g)          |   | L + 600              |   | 1.25%              |      | 12/12/2018    |   |                           | 1,965,135  |     |    | 1,942,723  |   |           | 1,997,884 |   | 0.2% |
| Monarch (LU)(h)                           |   | Materials                                          |                    | Senior Debt(e)(g)(j)       |   | L + 700              |   |               |      | 3/31/2020     |   |                           | 5,416,388  |     |    | 5,389,306  |   |           | 5,558,568 |   | 0.7% |
| Mueller Water Products, Inc.              |   | Capital Goods                                      |                    | Subordinated Debt(e)(g)    |   | 7.38%                |   |               |      | 6/1/2017      |   |                           | 1,034,000  |     |    | 900,578    |   |           | 1,063,727 |   | 0.1% |
| Nara Cable Funding (IE)(h)                |   | Media                                              |                    | Senior Debt(e)(f)(g)       |   | 8.88%                |   |               |      | 12/1/2018     |   |                           | 981,000    |     |    | 835,502    |   |           | 1,027,597 |   | 0.1% |
| National Vision, Inc.                     |   | Retailing                                          |                    | Senior Debt(e)             |   | L + 575              |   | 1.25%              |      | 8/2/2018      |   |                           | 3,023,312  |     |    | 2,981,933  |   |           | 3,061,104 |   | 0.4% |
| NBTY, Inc.                                |   | Household & Personal Products                  |                    | Senior Debt(e)             |   | L + 325              |   | 1.00%              |      | 10/1/2017     |   |                           | 26,355     |     |    | 26,094     |   |           | 26,725 |   | 0.0% |
| New Enterprise Stone & Lime Co., Inc. |   | Capital Goods                                      |                    | Senior Debt(e)(f)          |   | 4.00% CASH,9.00% PIK |   |               |      | 3/15/2018     |   |                           | 9,684,109  |     |    | 9,781,594  |   |           | 10,749,361 |   | 1.3% |
| North American Breweries Holdings, LLC    |   | Food, Beverage & Tobacco                       |                    | Senior Debt(e)             |   | L + 625              |   | 1.25%              |      | 12/10/2018    |   |                           | 4,956,786  |     |    | 4,860,412  |   |           | 5,086,901 |   | 0.6% |
| Nuveen Investments, Inc.                  |   | Diversified Financials                             |                    | Senior Debt(e)(g)          |   | L + 700              |   | 1.25%              |      | 2/28/2019     |   |                           | 6,967,420  |     |    | 7,070,100  |   |           | 7,144,881 |   | 0.9% |
|                                      |   |                                               | Subordinated Debt(e)(g) |                       | 5.50%  |                 |   |               | 9/15/2015 |          |   | 673,000                        |       |     | 643,554 |       |   | 661,222        |   | 0.1% |
|                                      |   |                                               |                    | Subordinated Debt(e)(f)(g) |   | 9.13%                |   |               |      | 10/15/2017    |   |                           | 3,382,000  |     |    | 3,377,634  |   |           | 3,491,915 |   | 0.4% |
|                                      |   |                                               |                    |                       |   |                 |   |               |      |          |   |                           |       |     |    | 11,091,288 |   |           | 11,298,018 |   | 1.4% |
| Ocwen Financial Corp.                     |   | Banks                                              |                    | Senior Debt(e)(g)          |   | L + 375              |   | 1.25%              |      | 2/15/2018     |   |                           | 6,935,820  |     |    | 6,901,595  |   |           | 7,067,600 |   | 0.9% |
| Office Depot, Inc.                        |   | Retailing                                          |                    | Senior Debt(e)(f)(g)       |   | 9.75%                |   |               |      | 3/15/2019     |   |                           | 2,541,000  |     |    | 2,465,719  |   |           | 2,979,322 |   | 0.4% |
| OpenLink International, Inc.              |   | Software & Services                            |                    | Senior Debt(e)             |   | L + 625              |   | 1.50%              |      | 10/28/2017    |   |                           | 46,386     |     |    | 46,723     |   |           | 46,571 |   | 0.0% |
| Pharmaceutical Product Development, Inc.  |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Senior Debt(e)             |   | L + 325              |   | 1.00%              |      | 12/5/2018     |   |                           | 798,574    |     |    | 790,081    |   |           | 810,110 |   | 0.1% |
| Prestige Brands, Inc.                     |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Subordinated Debt(e)(g)    |   | 8.13%                |   |               |      | 2/1/2020      |   |                           | 602,000    |     |    | 640,512    |   |           | 679,507 |   | 0.1% |

----

| Company (a)                                        |   | Industry                             |                 | Investments                |     | InterestRate (n) |   | EURIBOR/LIBORFloor |       | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |       | Fair Value |   | % of NetAssets |
|----------------------------------------------------|--------|--------------------------------------|----------------------|----------------------------|----------|------------------|--------|--------------------|------------|---------------|--------|--------------------------------|------------|----------|------------|------------|--------|----------------|
| Realogy Corp.                                      |   | Real Estate                          |                 | Senior Debt(e)(g)          |     | L + 425          |   |               |       | 10/10/2016    |   | $                              | 250,826    |     | $          | 238,749    |   | $              | 254,694 |   | 0.0% |
|                                               |   |                                 |                 | Senior Debt(e)(g)          |     | L + 350          |   | 1.00%              |       | 3/5/2020      |   |                           | 3,847,928  |     |       | 3,650,235  |   |           | 3,907,263 |   | 0.5% |
|                                               |   |                                 |                 | Senior Debt(e)(f)(g)       |     | 9.00%            |   |               |       | 1/15/2020     |   |                           | 4,311,000  |     |       | 5,018,088  |   |           | 5,011,537 |   | 0.6% |
|                                               |   |                                 |                 |                       |     |             |   |               |       |          |   |                           |       |     |       | 8,907,072  |   |           | 9,173,494 |   | 1.1% |
| RedPrairie Corp.                                   |   | Software & Services              |                 | Senior Debt(e)             |     | L + 550          |   | 1.25%              |       | 12/21/2018    |   |                           | 13,806,836 |     |       | 13,540,565 |   |           | 14,104,581 |   | 1.8% |
|                                               |   |                                 | Senior Debt(e)       |                       | L + 1000 |             | 1.25%  |               | 12/21/2019 |          |   | 14,717,280                     |       |     | 14,704,753 |       |   | 15,437,765     |   | 1.9% |
|                                               |   |                                 |                 |                       |     |             |   |               |       |          |   |                           |       |     |       | 28,245,318 |   |           | 29,542,346 |   | 3.7% |
| Reynolds Group Holdings, Inc.                      |   | Materials                            |                 | Senior Debt(e)             |     | 5.75%            |   |               |       | 10/15/2020    |   |                           | 533,000    |     |       | 533,000    |   |           | 542,994 |   | 0.1% |
| Rocket Software, Inc.                              |   | Software & Services              |                 | Senior Debt(e)             |     | L + 450          |   | 1.50%              |       | 2/8/2018      |   |                           | 4,166,027  |     |       | 4,155,657  |   |           | 4,194,668 |   | 0.5% |
| Roundy's Supermarkets, Inc.                        |   | Food & Staples Retailing         |                 | Senior Debt(e)(g)          |     | L + 450          |   | 1.25%              |       | 2/13/2019     |   |                           | 4,450,651  |     |       | 4,426,051  |   |           | 4,447,469 |   | 0.6% |
| Ryerson, Inc.                                      |   | Materials                            |                 | Senior Debt(e)(f)          |     | 9.00%            |   |               |       | 10/15/2017    |   |                           | 5,814,000  |     |       | 5,814,000  |   |           | 6,351,795 |   | 0.8% |
| Sabine Oil & Gas, LLC                          |   | Energy                               |                 | Senior Debt(e)(g)          |     | L + 750          |   | 1.25%              |       | 12/31/2018    |   |                           | 14,526,840 |     |       | 14,386,214 |   |           | 14,917,322 |   | 1.9% |
| Sabre, Inc.                                        |   | Transportation                       |                 | Senior Debt(e)(f)          |     | 8.50%            |   |               |       | 5/15/2019     |   |                           | 13,369,000 |     |       | 14,014,167 |   |           | 14,505,365 |   | 1.8% |
| Sanmina Corp.                                      |   | Technology Hardware & Equipment  |                 | Subordinated Debt(e)(f)(g) |     | 7.00%            |   |               |       | 5/15/2019     |   |                           | 7,879,000  |     |       | 7,867,751  |   |           | 8,233,555 |   | 1.0% |
| Schaeffler AG (DE)(h)                              |   | Automobiles & Components         |                 | Senior Debt(e)(g)(j)       |     | L + 325          |   | 1.00%              |       | 1/27/2017     |   |                           | 3,086,176  |     |       | 3,094,252  |   |           | 3,127,314 |   | 0.4% |
|                                               |   |                                 | Senior Debt(e)(f)(g) |                       | 8.50%    |             |   |               | 2/15/2019  |          |   | 5,000                          |       |     | 5,363      |       |   | 5,688          |   | 0.0% |
|                                               |   |                                 |                 |                       |     |             |   |               |       |          |   |                           |       |     | 3,099,615  |       |   | 3,133,002      |   | 0.4% |
| Sedgwick Claims Management Services Holdings, Inc. |   | Insurance                            |                 | Senior Debt(e)             |     | L + 300          |   | 1.00%              |       | 12/31/2016    |   |                           | 112,343    |     |       | 107,909    |   |           | 113,255 |   | 0.0% |
|                                               |   |                                 | Senior Debt(e)(i)(j) |                       | L + 750  |             | 1.50%  |               | 5/30/2017  |          |   | 2,127,082                      |       |     | 2,133,716  |       |   | 2,158,988      |   | 0.3% |
|                                               |   |                                 |                 |                       |     |             |   |               |       |          |   |                           |       |     |       | 2,241,625  |   |           | 2,272,243 |   | 0.3% |
| Sheridan Holdings, Inc.                            |   | Health Care Equipment & Services |                 | Senior Debt(e)(j)          |     | L + 775          |   | 1.25%              |       | 6/29/2019     |   |                           | 677,404    |     |       | 692,645    |   |           | 692,083 |   | 0.1% |
| Sidera Networks, Inc.                              |   | Media                                |                 | Senior Debt(e)             |     | L + 450          |   | 1.50%              |       | 8/26/2016     |   |                           | 2,624,844  |     |       | 2,495,508  |   |           | 2,626,485 |   | 0.3% |
| Sinclair Television Group, Inc.                    |   | Media                                |                 | Subordinated Debt(e)(f)(j) |     | 5.38%            |   |               |       | 4/1/2021      |   |                           | 5,182,000  |     |       | 5,182,000  |   |           | 5,143,135 |   | 0.6% |
|                                               |   |                                 |                 | Subordinated Debt(e)       |     | 8.38%            |   |               |       | 10/15/2018    |   |                           | 27,000     |     |       | 28,163     |   |           | 30,105 |   | 0.0% |
|                                               |   |                                 |                 |                       |     |             |   |               |       |          |   |                           |       |     |       | 5,210,163  |   |           | 5,173,240 |   | 0.6% |
| Sirius XM Radio, Inc.                              |   | Media                                |                 | Subordinated Debt(e)(f)(g) |     | 5.25%            |   |               |       | 8/15/2022     |   |                           | 9,000      |     |       | 9,088      |   |           | 9,203 |   | 0.0% |

----

| Company (a)                      |   | Industry                               |   | Investments                   |   | InterestRate (n) |   | EURIBOR/LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       | Cost (c) |   | Fair Value |   | % of NetAssets |
|----------------------------------|--------|----------------------------------------|--------|-------------------------------|--------|------------------|--------|--------------------|--------|---------------|--------|--------------------------------|------------|----------|--------|------------|--------|----------------|
| SkillSoft Corp.                  |   | Software & Services                |   | Subordinated Debt(e)          |   | 11.13%           |   |               |   | 6/1/2018      |   | $                              | 1,369,000  |     | $      | 1,441,302  |   | $              | 1,519,590 |   | 0.2% |
| Smile Brands Group, Inc.         |   | Health Care Equipment & Services   |   | Senior Debt(e)                |   | L + 525          |   | 1.75%              |   | 12/21/2017    |   |                           | 3,783,700  |     |   | 3,796,922  |   |           | 3,585,056 |   | 0.4% |
| SNL Financial, LLC               |   | Commercial & Professional Services |   | Senior Debt(e)                |   | L + 425          |   | 1.25%              |   | 10/23/2018    |   |                           | 5,652,909  |     |   | 5,636,116  |   |           | 5,683,519 |   | 0.7% |
| Springleaf Financial Funding Co. |   | Diversified Financials                 |   | Senior Debt(e)(g)             |   | L + 425          |   | 1.25%              |   | 5/10/2017     |   |                           | 2,551,580  |     |   | 2,326,846  |   |           | 2,571,521 |   | 0.3% |
| Standard Chartered Bank (SG)(h)  |   | Banks                                  |   | Subordinated Debt(f)(g)(i)(k) |   | L + 1600         |   |               |   | 4/1/2014      |   |                           | 3,310,000  |     |   | 3,332,499  |   |           | 3,425,519 |   | 0.4% |
| Summit Materials, LLC            |   | Materials                              |   | Subordinated Debt(e)(f)       |   | 10.50%           |   |               |   | 1/31/2020     |   |                           | 62,000     |     |   | 68,107     |   |           | 69,905 |   | 0.0% |
| Supervalu, Inc.                  |   | Food & Staples Retailing           |   | Subordinated Debt(e)(g)       |   | 7.25%            |   |               |   | 5/1/2013      |   |                           | 3,503,000  |     |   | 3,497,961  |   |           | 3,520,550 |   | 0.4% |
| The Gymboree Corp.               |   | Retailing                              |   | Senior Debt(e)                |   | L + 350          |   | 1.50%              |   | 2/23/2018     |   |                           | 17,904,121 |     |   | 17,273,417 |   |           | 17,395,823 |   | 2.2% |
|                             |   |                                   |   | Subordinated Debt(e)          |   | 9.13%            |   |               |   | 12/1/2018     |   |                           | 12,818,000 |     |   | 12,154,798 |   |           | 12,064,942 |   | 1.5% |
|                             |   |                                   |   |                          |   |             |   |               |   |          |   |                           |       |     |   | 29,428,215 |   |           | 29,460,765 |   | 3.7% |
| The Manitowoc Company, Inc.      |   | Capital Goods                          |   | Subordinated Debt(e)(g)       |   | 5.88%            |   |               |   | 10/15/2022    |   |                           | 183,000    |     |   | 184,103    |   |           | 192,150 |   | 0.0% |
| The SI Organization, Inc.        |   | Capital Goods                          |   | Senior Debt(e)                |   | L + 325          |   | 1.25%              |   | 11/22/2016    |   |                           | 185,534    |     |   | 176,264    |   |           | 185,920 |   | 0.0% |
| The TelX Group, Inc.             |   | Telecommunication Services             |   | Senior Debt(e)                |   | L + 500          |   | 1.25%              |   | 9/23/2017     |   |                           | 9,525,645  |     |   | 9,579,384  |   |           | 9,640,714 |   | 1.2% |
| Tomkins Air Distribution         |   | Capital Goods                          |   | Senior Debt(e)                |   | L + 800          |   | 1.25%              |   | 5/11/2020     |   |                           | 3,454,401  |     |   | 3,404,407  |   |           | 3,558,033 |   | 0.4% |
| Towergate Finance PLC (UK)(h)    |   | Insurance                              |   | Subordinated Debt(f)(g)(GBP)  |   | 10.50%           |   |               |   | 2/15/2019     |   | £                         | 4,125,000  |     |   | 6,289,100  |   |           | 6,549,778 |   | 0.8% |
| TransUnion, LLC                  |   | Diversified Financials                 |   | Subordinated Debt(e)          |   | 11.38%           |   |               |   | 6/15/2018     |   | $                              | 1,403,000  |     |   | 1,535,757  |   |           | 1,613,450 |   | 0.2% |
| Travelport, LLC                  |   | Software & Services                |   | Senior Debt(e)(j)             |   | L + 850          |   |               |   | 1/29/2016     |   |                           | 17,924,534 |     |   | 17,548,119 |   |           | 18,462,270 |   | 2.3% |
| United Rentals North America     |   | Capital Goods                          |   | Subordinated Debt(e)(g)       |   | 10.25%           |   |               |   | 11/15/2019    |   |                           | 500,000    |     |   | 584,101    |   |           | 581,250 |   | 0.1% |
| Univar, Inc.                     |   | Materials                              |   | Senior Debt(e)                |   | L + 350          |   | 1.50%              |   | 6/30/2017     |   |                           | 950,752    |     |   | 927,625    |   |           | 961,810 |   | 0.1% |
| Verisure Holding AB (SE)(h)      |   | Commercial & Professional Services |   | Senior Debt(f)(g)(EUR)        |   | 8.75%            |   |               |   | 9/1/2018      |   | €                        | 397,000    |     |   | 485,515    |   |           | 555,968 |   | 0.1% |
| Virgin Media, Inc.               |   | Media                                  |   | Senior Debt(e)(f)(g)          |   | 5.38%            |   |               |   | 4/15/2021     |   | $                              | 2,340,000  |     |   | 2,340,000  |   |           | 2,433,600 |   | 0.3% |
|                             |   |                                   |   | Subordinated Debt(e)(f)(g)    |   | 6.38%            |   |               |   | 4/15/2023     |   |                           | 1,054,000  |     |   | 1,054,000  |   |           | 1,104,065 |   | 0.1% |
|                             |   |                                   |   |                          |   |             |   |               |   |          |   |                           |       |     |   | 3,394,000  |   |           | 3,537,665 |   | 0.4% |

----

| Company (a)                                 |   | Industry                                           |                    | Investments             |   | InterestRate (n) |   | EURIBOR/LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |        | Cost (c) |      | Fair Value  |   | % of NetAssets |
|---------------------------------------------|--------|----------------------------------------------------|-------------------------|-------------------------|--------|------------------|--------|--------------------|-----------|---------------|--------|--------------------------------|-------------|----------|-----------|-------------|--------|----------------|
| VWR Funding, Inc.                           |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Senior Debt(e)          |   | L + 425          |   |               |      | 4/3/2017      |   | $                              | 145,698     |     | $         | 139,714     |   | $              | 147,519 |   | 0.0% |
|                                        |   |                                               | Subordinated Debt(e)(f) |                    | 7.25%  |             |   |               | 9/15/2017 |          |   | 5,349,000                      |        |     | 5,349,000 |        |   | 5,663,254      |   | 0.7% |
|                                        |   |                                               |                    |                    |   |             |   |               |      |          |   |                           |        |     | 5,488,714 |        |   | 5,810,773      |   | 0.7% |
| Warner Chilcott Co., LLC (IE)(h)            |   | Pharmaceuticals, Biotechnology & Life Sciences |                    | Subordinated Debt(e)(g) |   | 7.75%            |   |               |      | 9/15/2018     |   |                           | 1,225,000   |     |      | 1,219,804   |   |           | 1,309,219 |   | 0.2% |
| Wastequip, LLC                              |   | Materials                                          |                    | Senior Debt(e)          |   | L + 675          |   | 1.50%              |      | 6/15/2018     |   |                           | 11,199,780  |     |      | 10,952,744  |   |           | 11,367,776 |   | 1.4% |
| West Corp.                                  |   | Software & Services                            |                    | Subordinated Debt(e)    |   | 7.88%            |   |               |      | 1/15/2019     |   |                           | 1,575,000   |     |      | 1,560,590   |   |           | 1,677,375 |   | 0.2% |
| Wilton Brands, LLC                          |   | Materials                                          |                    | Senior Debt(e)          |   | L + 625          |   | 1.25%              |      | 8/30/2018     |   |                           | 12,661,298  |     |      | 12,430,212  |   |           | 12,845,963 |   | 1.6% |
| Zayo Group, LLC                             |   | Telecommunication Services                         |                    | Senior Debt(e)          |   | 8.13%            |   |               |      | 1/1/2020      |   |                           | 2,260,000   |     |      | 2,396,528   |   |           | 2,531,200 |   | 0.3% |
|                                        |   |                                               | Subordinated Debt(e)    |                    | 10.13% |             |   |               | 7/1/2020  |          |   | 5,000,000                      |        |     | 5,314,973 |        |   | 5,887,500      |   | 0.7% |
|                                        |   |                                               |                    |                    |   |             |   |               |      |          |   |                           |        |     |      | 7,711,501   |   |           | 8,418,700 |   | 1.0% |
| Total Non-Control/Non-Affiliate Investments |   |                                               |                    |                    |   |             |   |               |      |          |   |                           | 837,156,978 |     |      | 856,901,753 |   | 106.2%         |

----

| Company (a)                                                                       |   | Industry                              |          | Investments           |    | InterestRate (n) | EURIBOR/LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |       |   | Fair Value |   | % of NetAssets |
|-----------------------------------------------------------------------------------|--------|---------------------------------------|---------------|-----------------------|---------|------------------|--------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|------------|--------|------------|--------|----------------|
| Short Term Investments—10.2%                                                |   |                                  |          |                  |    |             |               |   |          |   |
| Goldman Sachs Financial Square Funds - Prime Obligations FundFST Preferred Shares |   | Short Term Investments(e)             |          | 0.07% (l)             |    |             |               |   | 46,732,950    |   |                           | 46,732,950 |   |     | 46,732,950 |   | 5.8%       |
| State Street Institutional Liquid Reserves Fund                                   |   | Short Term Investments                |          | 0.13% (l)             |    |             | 12/31/2099         |   | 35,282,580    |   |                           | 35,282,580 |   |     | 35,282,580 |   | 4.4%       |
| Total Short Term Investments                                                      |   |                                  | 82,015,530    |                  |    | 82,015,530       |               | 10.2%  |
| TOTAL INVESTMENTS —116.4%(m)                                                |   | $                                     | 919,172,508   |                  |    | 938,917,283      |               | 116.4% |
| LIABILITIES IN EXCESS OF OTHER ASSETS—(16.4%)                               |   |                                  | (132,095,562) |                  | (16.4)% |
| NET ASSETS—100.0%                                                           |   | $                                     | 806,821,721   |                  | 100.0%  |
| Derivative Instruments—1.0%                                                 |   |                                  |          |                  |    |             |               |   |          |   |                           |       |   |     |       |   |       |
| Total return swaps (Note 4)                                                       |   |                                  |          | Total return swaps(g) |    | N/A              |               |   | 1/15/2016     |   | N/A                            |       | $      | —  |       | $      | 7,831,162  |   | 1.0%           |
| Foreign currency forward contracts (Note 4)                                       |   | Foreign currency forward contracts(g) |          | N/A                   |    |             | 5/2013             |   | N/A           |   | $                              | —    |   | $        | (12,336)   |   | (0.0)%     |
| Total Derivative Instruments                                                      |   |                                  | —       |                  | $       | 7,818,826        |               | 1.0%   |

| *   | 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 preferred and 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 reference asset underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 78.3% of the Company's total assets represented qualifying assets as of March 31, 2013. |
| (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 March 31, 2013.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
| (k) | A portfolio company investment structured as a credit-linked floating rate note.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
| (l) | 7-day effective yield as of March 31, 2013.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
| (m) | As of March 31, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $25,584,711; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $5,839,936; the net unrealized appreciation was $19,744,775; the aggregate cost of securities for Federal income tax purposes was $919,172,508.                                                                                                                                                                                                                                                                                                                                                                                          |
| (n) | Rate provided for preferred stock investments is the dividend rate.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |

| Abbreviations: |
|----------------|
|           | CA - Canada |
|           | DE - Germany |
|           | ES - Spain |
|           | EUR - Euro; principal amount is denominated in Euros currency. €1 / US $1.280 as of March 31, 2013. |
|           | GBP - British Pound Sterling; principal amount is denominated in Pound Sterling. £1 / US $1.519 as of March 31, 2013. |
|           | IE - Ireland |
|           | L = LIBOR - London Interbank Offered Rate, typically three-month LIBOR |
|           | LU - Luxembourg |
|           | MX - Mexico |
|           | PIK - Payment-in-kind |
|           | SE - Sweden |
|           | SG - Singapore |
|           | UK - United Kingdom |

----

| 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 Stock(g)         |   |          |       |                |      |          |   |                           | 118,908    |     |   |      | 2,996,482  |   |   |            | 3,123,713 |   |   | 0.5% |
|                                                  |   |                                         |           | Preferred Stock(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 reference asset 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 three-month LIBOR                                                        |
| LU - Luxembourg                                                                                                               |
| MX - Mexico                                                                                                                   |
| PIK - Payment-in-kind                                                                                                         |
| SE - Sweden                                                                                                                   |
| SG - Singapore                                                                                                                |
| UK - United Kingdom                                                                                                           |

----

Notes to Condensed Consolidated Financial Statements

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

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

----

----

----

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

|                                |   | Three Months Ended |        |
|-------------------------------------|--------|--------------------|-------------|
|                                |   | March 31, 2013     |        |   | March 31, 2012 |   |
| Investment purchases, at cost       |   | $                  | 236,159,109 |   |   | $ | 135,291,836 |   |
| Investment sales, proceeds          |   |               | 49,519,053  |   |   |   | 21,546,060 |   |
| Principal payments/paydown proceeds |   |               | 42,017,413  |   |   |   | 2,372,642 |   |

| Asset Category               |   | Cost   |        |   | Fair Value |   |        | Percentage ofPortfolio |   |   | Percentage ofNet Assets |   |
|------------------------------|--------|--------|-------------|--------|------------|--------|-------------|------------------------|--------|--------|-------------------------|--------|
| Senior debt securities       |   | $      | 633,541,684 |   |       | $      | 647,015,592 |                   |   |   | 75.5                    | %      |   |   | 80.2 | % |
| Subordinated debt securities |   |   | 198,365,574 |   |       |   | 204,291,490 |                   |   |   | 23.8                    |   |   |   | 25.3 |   |
| Total debt securities        |   |   | 831,907,258 |   |       |   | 851,307,082 |                   |   |   | 99.3                    |   |   |   | 105.5 |   |
| Common stock                 |   |   | 448,908     |   |       |   | 511,755     |                   |   |   | 0.1                     |   |   |   | 0.1 |   |
| Preferred stock              |   |   | 4,800,812   |   |       |   | 5,082,916   |                   |   |   | 0.6                     |   |   |   | 0.6 |   |
| Total equity securities      |   |   | 5,249,720   |   |       |   | 5,594,671   |                   |   |   | 0.7                     |   |   |   | 0.7 |   |
| Subtotal                     |   |   | 837,156,978 |   |       |   | 856,901,753 |                   |   |   | 100.0                   | %      |   |   | 106.2 |   |
| Short term investments       |   |   | 82,015,530  |   |       |   | 82,015,530  |                   |   |   |                    |   |   |   | 10.2 |   |
| Total investments            |   | $      | 919,172,508 |   |       | $      | 938,917,283 |                   |   |   |                    |   |   |   | 116.4 | % |

----

| Asset Category               |   | Cost   |        |   | Fair Value |   |        | Percentage ofPortfolio |   |   | Percentage ofNet 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 | % |

| Industry Composition                                                                                               |   | March 31, 2013 |   |   | December 31, 2012 |   |
|--------------------------------------------------------------------------------------------------------------------|--------|----------------|--------|--------|-------------------|--------|
| Media                                                                                                              |   |           | 13.2   | %      |              |   | 11.0 | % |
| Capital Goods                                                                                                      |   |           | 11.6   |   |              |   | 13.7 |   |
| Software & Services                                                                                            |   |           | 11.4   |   |              |   | 9.1 |   |
| Materials                                                                                                          |   |           | 11.0   |   |              |   | 9.9 |   |
| Retailing                                                                                                          |   |           | 10.7   |   |              |   | 9.2 |   |
| Technology Hardware & Equipment                                                                                |   |           | 6.8    |   |              |   | 7.8 |   |
| Health Care Equipment & Services                                                                               |   |           | 5.2    |   |              |   | 6.2 |   |
| Insurance                                                                                                          |   |           | 5.2    |   |              |   | 6.2 |   |
| Consumer Services                                                                                                  |   |           | 3.6    |   |              |   | 3.7 |   |
| Telecommunication Services                                                                                         |   |           | 3.4    |   |              |   | 4.1 |   |
| Diversified Financials                                                                                             |   |           | 3.1    |   |              |   | 2.5 |   |
| Remaining Industries                                                                                               |   |           | 14.8   |   |              |   | 16.6 |   |
| Total                                                                                                              |   |           | 100.0  | %      |              |   | 100.0 | % |
| Geographic Dispersion (1)                                                                                          |   |           |   |   |              |   |   |   |
| United States                                                                                                      |   |           | 94.8   | %      |              |   | 94.4 | % |
| United Kingdom                                                                                                     |   |           | 1.8    |   |              |   | 2.2 |   |
| Luxembourg                                                                                                         |   |           | 1.7    |   |              |   | 1.3 |   |
| Remaining Countries                                                                                                |   |           | 1.7    |   |              |   | 2.1 |   |
| Total                                                                                                              |   |           | 100.0  | %      |              |   | 100.0 | % |
| Local Currency                                                                                                     |   |           |   |   |              |   |   |   |
| U.S. Dollar                                                                                                        |   |           | 98.0   | %      |              |   | 97.3 | % |
| Euro                                                                                                               |   |           | 1.2    |   |              |   | 1.7 |   |
| British Pound Sterling                                                                                             |   |           | 0.8    |   |              |   | 1.0 |   |
| Total                                                                                                              |   |           | 100.0  | %      |              |   | 100.0 | % |
|                                                                                                               |   |
| (1)   The geographic dispersion is determined by the portfolio company’s country of domicile. |   |

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

|                               |                                                             |   | March 31, 2013 |      |   | December 31, 2012 |   |
|------------------------------------|------------------------------------------------------------------|--------|----------------|-----------|--------|-------------------|--------|
| Derivative Instrument              | Statement Location                                               |   | Fair Value     |      |   | Fair Value        |   |
| Foreign currency forward contracts | Unrealized appreciation (depreciation) on derivative instruments |   | $              | 12,336    |   |              |   |  (146,928 | )  |
| TRS                                | Unrealized appreciation on derivative instruments                |   |           | 7,831,162 |   |              |   |              1,349,246 |   |
|                               |                                                             |   | $              | 7,843,498 |   |              |   |              1,202,318 |   |

----

|                               |                                        |   | Three Months EndedMarch 31, 2013 |
|------------------------------------|---------------------------------------------|--------|----------------------------------|
| Derivative Instrument              | Statement Location                          |   | Realized Gain (Loss)             |
| Foreign currency forward contracts | Net realized gain on derivative instruments |   | $                                | 639,318 |   |
| TRS                                | Net realized gain on derivative instruments |   |                             | 228,648 |   |
|                               |                                        |   | $                                | 867,966 |   |

|                               |                                                            |   | Three Months EndedMarch 31, 2013 |
|------------------------------------|-----------------------------------------------------------------|--------|----------------------------------|
| Derivative Instrument              | Statement Location                                              |   | Unrealized Gain (Loss)           |
| Foreign currency forward contracts | Net change in unrealized appreciation on derivative instruments |   | $                                | 159,264 |   |
| TRS                                | Net change in unrealized appreciation on derivative instruments |   |                             | 6,481,916 |   |
|                               |                                                            |   | $                                | 6,641,180 |   |

| Foreign Currency |   | Settlement Date |   |  Amount andTransaction |   | US$ Value atSettlement Date |       |   | US$ Value atMarch 31, 2013 |   |       | UnrealizedAppreciation/ (Depreciation) |   |
|------------------|--------|-----------------|--------|-----------------------------|--------|-----------------------------|------------|--------|----------------------------|--------|------------|---------------------------------------------|--------|
| EUR              |   | May 3, 2013     |   | €7,000,000 Sold       |   | $                           | 8,944,607  |   |                       | $      | 8,974,706  |                                        |   | $ | (30,099 | ) |
| EUR              |   | July 3, 2013    |   | €2,000,000 Sold       |   |                        | 2,640,300  |   |                       |   | 2,565,401  |                                        |   |   | 74,899 |   |
| GBP              |   | May 3, 2013     |   | ₤4,300,000 Sold       |   |                        | 6,500,095  |   |                       |   | 6,532,559  |                                        |   |   | (32,464 | ) |
| Total            |   |            |   |                        |   | $                           | 18,085,002 |   |                       | $      | 18,072,666 |                                        |   | $ | 12,336 |   |

| 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 | ) |

----

|                                                              |   | March 31, 2013 |      |   | December 31, 2012 |   |
|-------------------------------------------------------------------|--------|----------------|-----------|--------|-------------------|--------|
| Spread interest income                                            |   | $              | 3,447,594 |   |              | $      | 938,085 |   |
| Net realized loss                                                 |   |           | (20,326   | )      |              |   | (345,303 | ) |
| Net unrealized appreciation of reference assets    |   |           | 4,403,894 |   |              |   | 756,464 |   |
| Total fair value                                                  |   | $              | 7,831,162 |   |              | $      | 1,349,246 |   |

| Company (a)                     |   | Industry                             |   | Investment                 |   | Interest Rate |   | LIBOR Floor |   | Maturity Date |   |  Notional Amount |                  |   | Fair Value |            |  Unrealized Appreciation (Depreciation) |    |
|---------------------------------|--------|--------------------------------------|--------|----------------------------|--------|---------------|--------|-------------|--------|---------------|--------|-----------------------|-----------------------|--------|------------|-----------------|----------------------------------------------|---------|
| ABB/ Con-Cise Optical Group LLC |   | Health Care Equipment & Services |   | Senior Debt                |   | L + 425       |   | 1.25%       |   | 2/6/2019      |   | $                     |   6,207,832 |   | $     |  6,274,153 |                                         | $  |            66,321 |   |
| Alliance Laundry Systems LLC    |   | Capital Goods                        |   | Senior Debt                |   | L + 325       |   | 1.25%       |   | 12/10/2018    |   |                  | 1,523,407             |   |       |  1,533,309 |                                         |    |   9,902 |   |
| American Rock Salt Company LLC  |   | Materials                            |   | Senior Debt  (c) |   | L + 425       |   | 1.25%       |   | 4/25/2017     |   |                  | 3,739,039             |   |       | 3,744,140       |                                         |    |  5,101 |   |
| Block Communications Inc.       |   | Media                                |   | Subordinated Debt          |   | 7.250%        |   |        |   | 2/1/2020      |   |                  | 114,480               |   |       | 117,315         |                                         |    | 2,835 |   |
| BNY ConvergEX Group, LLC        |   | Diversified Financials               |   | Senior Debt (b)            |   | L + 375       |   | 1.50%       |   | 12/19/2016    |   |                  | 751,071               |   |       | 760,307         |                                         |    | 9,236 |   |

----

| Company (a)                            |   | Industry                                           |   | Investment                 |   | Interest Rate |   | LIBOR Floor |   | Maturity Date |   |  Notional Amount |                                                                                          |   | Fair Value |                                                                                          |  Unrealized Appreciation (Depreciation) |   |
|----------------------------------------|--------|----------------------------------------------------|--------|----------------------------|--------|---------------|--------|-------------|--------|---------------|--------|-----------------------|-----------------------------------------------------------------------------------------------|--------|------------|-----------------------------------------------------------------------------------------------|----------------------------------------------|--------|
| BNY ConvergEX Group, LLC               |   | Diversified Financials                             |   | Senior Debt (b)            |   | L + 375       |   | 1.50%       |   | 12/19/2016    |   |                  | 340,006                                                                                       |   |       | 344,187                                                                                       |                                         |   | 4,181 |   |
| Bright Horizons Family Solutions, Inc. |   | Consumer Services                                  |   | Senior Debt (b)            |   | L + 300       |   | 1.00%       |   | 1/30/2020     |   |                  | 12,093,966                                                                                    |   |       | 12,307,749                                                                                    |                                         |   | 213,783 |   |
| BWay Holding Company                   |   | Materials                                          |   | Senior Debt                |   | L + 325       |   | 1.25%       |   | 8/6/2017      |   |                  | 2,113,825                                                                                     |   |       | 2,136,020                                                                                     |                                         |   | 22,195 |   |
| California Pizza Kitchen, Inc.         |   | Food & Staples Retailing                       |   | Senior Debt                |   | L + 550       |   | 1.25%       |   | 7/7/2017      |   |                  | 4,262,610                                                                                     |   |       | 4,280,520                                                                                     |                                         |   | 17,910 |   |
| Camp International Holding Company     |   | Software & Services                            |   | Senior Debt  (c) |   | L + 400       |   | 1.25%       |   | 5/31/2019     |   |                  |               2,855,018 |   |       |               2,858,700 |                                         |   |                      3,682 |   |
| Catalina Marketing Corporation         |   | Media                                              |   | Subordinated Debt          |   | 10.500%       |   |        |   | 10/1/2015     |   |                  | 7,000,000                                                                                     |   |       | 7,037,745                                                                                     |                                         |   | 37,745 |   |
| CCC Holdings Inc.                      |   | Software & Services                            |   | Senior Debt                |   | L + 400       |   | 1.25%       |   | 12/20/2019    |   |                  | 1,506,742                                                                                     |   |       | 1,528,699                                                                                     |                                         |   | 21,957 |   |
| Ceridian Corporation                   |   | Commercial  & Professional Services  |   | Senior Debt                |   | 8.875%        |   |        |   | 7/15/2019     |   |                  | 4,456,480                                                                                     |   |       | 4,627,615                                                                                     |                                         |   | 171,135 |   |
| Charter Communications Operating, LLC  |   | Media                                              |   | Subordinated Debt (b)      |   | 7.250%        |   |        |   | 10/30/2017    |   |                  | 625,286                                                                                       |   |       | 618,124                                                                                       |                                         |   |  (7,162) |   |
| Charter Communications Operating, LLC  |   | Media                                              |   | Subordinated Debt (b)      |   | 6.500%        |   |        |   | 4/30/2021     |   |                  | 156,240                                                                                       |   |       | 152,280                                                                                       |                                         |   |  (3,960) |   |
| CHG Companies Inc.                     |   | Health Care Equipment & Services               |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 11/19/2019    |   |                  | 6,839,728                                                                                     |   |       | 6,995,176                                                                                     |                                         |   | 155,448 |   |
| Clear Channel Communications, Inc.     |   | Media                                              |   | Subordinated Debt (b)      |   | 6.500%        |   |        |   | 11/15/2022    |   |                  | 2,237,153                                                                                     |   |       | 2,390,850                                                                                     |                                         |   | 153,697 |   |
| Clear Channel Communications, Inc.     |   | Media                                              |   | Subordinated Debt (b)      |   | 6.500%        |   |        |   | 11/15/2022    |   |                  | 6,110,823                                                                                     |   |       | 6,379,884                                                                                     |                                         |   | 269,061 |   |
| Clearwater Paper Corp                  |   | Materials                                          |   | Subordinated Debt (b)      |   | 4.500%        |   |        |   | 2/1/2023      |   |                  | 1,587,000                                                                                     |   |       | 1,552,680                                                                                     |                                         |   |  (34,320) |   |
| Container Store, The                   |   | Retailing                                          |   | Senior Debt  (c) |   | L + 500       |   | 1.25%       |   | 4/6/2019      |   |                  | 7,317,201                                                                                     |   |       | 7,384,468                                                                                     |                                         |   | 67,267 |   |
| Continental Airlines, Inc.             |   | Transportation                                     |   | Senior Debt (b)            |   | 8.307%        |   |        |   | 4/2/2018      |   |                  | 605,308                                                                                       |   |       | 591,099                                                                                       |                                         |   |  (14,209) |   |
| Delphi Corporation                     |   | Automobiles & Components                       |   | Subordinated Debt (b)      |   | 5.000%        |   |        |   | 2/15/2023     |   |                  | 2,105,000                                                                                     |   |       | 2,227,865                                                                                     |                                         |   | 122,865 |   |
| Dupont Performance Coatings            |   | Materials                                          |   | Senior Debt (b)            |   | L + 350       |   | 1.25%       |   | 2/1/2020      |   |                  | 4,477,048                                                                                     |   |       | 4,580,698                                                                                     |                                         |   | 103,650 |   |
| Dupont Performance Coatings            |   | Materials                                          |   | Senior Debt (b)            |   | E + 400       |   | 1.25%       |   | 2/1/2020      |   |                  | 1,582,108                                                                                     |   |       | 1,606,149                                                                                     |                                         |   | 24,041 |   |
| Emergency Medical Services Corporation |   | Health Care Equipment & Services               |   | Senior Debt                |   | L + 300       |   | 1.00%       |   | 5/25/2018     |   |                  | 668,662                                                                                       |   |       | 675,034                                                                                       |                                         |   | 6,372 |   |
| First American Payment Systems, L.P.   |   | Software & Services                            |   | Senior Debt                |   | L + 450       |   | 1.25%       |   | 10/12/2018    |   |                  | 8,928,762                                                                                     |   |       | 8,954,451                                                                                     |                                         |   | 25,689 |   |
| FleetPride Corporation                 |   | Capital Goods                                      |   | Senior Debt                |   | L + 400       |   | 1.25%       |   | 11/19/2019    |   |                  | 4,510,560                                                                                     |   |       | 4,553,333                                                                                     |                                         |   | 42,773 |   |
| Fly Funding II S.a r.l.                |   | Transportation                                     |   | Senior Debt (b)            |   | L + 450       |   | 1.25%       |   | 8/8/2018      |   |                  | 4,140,284                                                                                     |   |       | 4,157,439                                                                                     |                                         |   | 17,155 |   |
| GCI Inc                                |   | Telecommunication Services                         |   | Subordinated Debt          |   | 6.750%        |   |        |   | 6/1/2021      |   |                  | 8,793,895                                                                                     |   |       | 8,295,938                                                                                     |                                         |   |          (497,957) |   |
| Great Lakes Dredge & Dock Corp     |   | Capital Goods                                      |   | Subordinated Debt (b)      |   | 7.375%        |   |        |   | 2/1/2019      |   |                  | 1,485,000                                                                                     |   |       | 1,449,055                                                                                     |                                         |   |  (35,945) |   |
| Gymboree Corporation, The              |   | Retailing                                          |   | Senior Debt                |   | L + 350       |   | 1.50%       |   | 2/23/2018     |   |                  | 4,097,160                                                                                     |   |       | 4,098,685                                                                                     |                                         |   | 1,525 |   |
| Hamilton Sundstrand Industrial         |   | Capital Goods                                      |   | Senior Debt                |   | L + 300       |   | 1.00%       |   | 12/13/2019    |   |                  | 10,540,100                                                                                    |   |       | 10,596,595                                                                                    |                                         |   | 56,495 |   |
| Heartland Dental Care, LLC             |   | Pharmaceuticals, Biotechnology & Life Sciences |   | Senior Debt                |   | L + 500       |   | 1.25%       |   | 12/21/2018    |   |                  | 6,019,017                                                                                     |   |       | 6,085,773                                                                                     |                                         |   | 66,756 |   |
| Hilcorp Energy I LP/ Hilcorp           |   | Energy                                             |   | Subordinated Debt (b)      |   | 8.000%        |   |        |   | 2/15/2020     |   |                  | 1,816,605                                                                                     |   |       | 1,819,531                                                                                     |                                         |   | 2,926 |   |
| Hilcorp Energy I LP/ Hilcorp           |   | Energy                                             |   | Subordinated Debt (b)      |   | 7.625%        |   |        |   | 4/15/2021     |   |                  | 1,612,958                                                                                     |   |       | 1,607,858                                                                                     |                                         |   |  (5,100) |   |
| Hubbard Radio, LLC                     |   | Media                                              |   | Senior Debt                |   | L + 350       |   | 1.00%       |   | 4/28/2017     |   |                  | 9,381,334                                                                                     |   |       | 9,460,943                                                                                     |                                         |   | 79,609 |   |
| Husky Injection Molding Systems Ltd.   |   | Capital Goods                                      |   | Senior Debt (b) (c)        |   | L + 325       |   | 1.25%       |   | 7/2/2018      |   |                  | 1,255,775                                                                                     |   |       | 1,247,395                                                                                     |                                         |   |  (8,380) |   |
| Integra Telecom Holdings, Inc.         |   | Telecommunication Services                         |   | Senior Debt                |   | L + 475       |   | 1.25%       |   | 2/22/2019     |   |                  | 15,537,087                                                                                    |   |       | 15,788,839                                                                                    |                                         |   | 251,752 |   |
| IPC Systems, Inc.                      |   | Technology Hardware & Equipment                |   | Senior Debt                |   | L + 650       |   | 1.25%       |   | 7/31/2017     |   |                  | 3,951,390                                                                                     |   |       | 3,951,390                                                                                     |                                         |   | - |   |
| Kinetic Concepts, Inc.                 |   | Health Care Equipment & Services               |   | Senior Debt                |   | L + 425       |   | 1.25%       |   | 5/4/2018      |   |                  | 1,966,239                                                                                     |   |       | 1,979,801                                                                                     |                                         |   | 13,562 |   |
| Kinetic Concepts, Inc.                 |   | Health Care Equipment & Services               |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 11/4/2016     |   |                  | 1,309,507                                                                                     |   |       | 1,319,343                                                                                     |                                         |   | 9,836 |   |
| Lord & Taylor Holdings LLC         |   | Retailing                                          |   | Senior Debt                |   | L + 450       |   | 1.25%       |   | 1/11/2019     |   |                  | 33,748                                                                                        |   |       | 33,612                                                                                        |                                         |   |  (136) |   |
| Manitowoc Company Inc., The            |   | Capital Goods                                      |   | Subordinated Debt (b)      |   | 5.875%        |   |        |   | 10/15/2022    |   |                  | 5,847,420                                                                                     |   |       | 6,011,383                                                                                     |                                         |   | 163,963 |   |
| McJunkin Red Man Corporation           |   | Energy                                             |   | Senior Debt                |   | L + 500       |   | 1.25%       |   | 11/8/2019     |   |                  | 6,317,198                                                                                     |   |       | 6,281,055                                                                                     |                                         |   |  (36,143) |   |
| MedAssets, Inc.                        |   | Health Care Equipment & Services               |   | Subordinated Debt (b)      |   | 8.000%        |   |        |   | 11/15/2018    |   |                  | 38,500                                                                                        |   |       | 38,238                                                                                        |                                         |   |  (262) |   |
| MedAssets, Inc.                        |   | Health Care Equipment & Services               |   | Senior Debt (b)            |   | L + 275       |   | 1.25%       |   | 12/13/2019    |   |                  | 2,217,919                                                                                     |   |       | 2,244,852                                                                                     |                                         |   | 26,933 |   |
| MGM Resorts International              |   | Consumer Services                                  |   | Senior Debt (b)            |   | L + 325       |   | 1.00%       |   | 12/20/2019    |   |                  | 7,213,334                                                                                     |   |       | 7,362,212                                                                                     |                                         |   | 148,878 |   |
| Michaels Stores, Inc.                  |   | Retailing                                          |   | Senior Debt                |   | L + 275       |   | 1.00%       |   | 1/28/2020     |   |                  | 12,500,000                                                                                    |   |       | 12,616,250                                                                                    |                                         |   | 116,250 |   |
| Misys PLC                              |   | Software & Services                            |   | Senior Debt (b)            |   | 12.000%       |   |        |   | 6/12/2019     |   |                  | 5,981,728                                                                                     |   |       | 6,507,879                                                                                     |                                         |   | 526,151 |   |
| Misys PLC                              |   | Software & Services                            |   | Senior Debt (b)            |   | L + 600       |   | 1.25%       |   | 12/12/2018    |   |                  | 1,415,577                                                                                     |   |       | 1,406,320                                                                                     |                                         |   |  (9,257) |   |
| NEP Group, Inc.                        |   | Media                                              |   | Senior Debt                |   | L + 825       |   | 1.25%       |   | 7/22/2020     |   |                  | 1,314,831                                                                                     |   |       | 1,367,955                                                                                     |                                         |   | 53,124 |   |
| NEP Group, Inc.                        |   | Media                                              |   | Senior Debt                |   | L + 350       |   | 1.25%       |   | 1/22/2020     |   |                  | 2,394,045                                                                                     |   |       | 2,430,136                                                                                     |                                         |   | 36,091 |   |

----

| Company (a)                               |   | Industry                                           |   | Investment                 |   | Interest Rate |   | LIBOR Floor |   | Maturity Date |   |  Notional Amount |        |   | Fair Value |        |  Unrealized Appreciation (Depreciation) |   |
|-------------------------------------------|--------|----------------------------------------------------|--------|----------------------------|--------|---------------|--------|-------------|--------|---------------|--------|-----------------------|-------------|--------|------------|-------------|----------------------------------------------|--------|
| NPC International, Inc.                   |   | Consumer Services                                  |   | Senior Debt                |   | L + 325       |   | 1.25%       |   | 12/28/2018    |   |                  | 1,636,028   |   |       | 1,627,281   |                                         |   |  (8,747) |   |
| NuSil Technology LLC                      |   | Materials                                          |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 4/7/2017      |   |                  | 5,882,880   |   |       | 5,916,260   |                                         |   | 33,380 |   |
| Nuveen Investments, Inc.                  |   | Diversified Financials                             |   | Senior Debt (b)            |   | L + 500       |   |        |   | 5/13/2017     |   |                  | 9,097,365   |   |       | 9,241,031   |                                         |   | 143,666 |   |
| Ocwen Financial Corporation               |   | Banks                                              |   | Senior Debt (b)            |   | L + 375       |   | 1.25%       |   | 2/15/2018     |   |                  | 11,940,000  |   |       | 12,195,000  |                                         |   | 255,000 |   |
| OneStopPlus, Inc.                         |   | Consumer Durables & Apparel                    |   | Senior Debt                |   | L + 450       |   | 1.00%       |   | 2/5/2020      |   |                  | 7,599,613   |   |       | 7,699,022   |                                         |   | 99,409 |   |
| Pharmaceutical Product Development, Inc.  |   | Pharmaceuticals, Biotechnology & Life Sciences |   | Senior Debt                |   | L + 325       |   | 1.00%       |   | 12/5/2018     |   |                  | 167,156     |   |       | 168,966     |                                         |   | 1,810 |   |
| PQ Corporation                            |   | Materials                                          |   | Senior Debt                |   | L + 350       |   | 1.00%       |   | 8/7/2017      |   |                  | 10,259,625  |   |       | 10,347,386  |                                         |   | 87,761 |   |
| PVH Corp.                                 |   | Consumer Durables & Apparel                    |   | Senior Debt (b)            |   | L + 250       |   | 0.75%       |   | 2/13/2020     |   |                  | 1,472,790   |   |       | 1,494,845   |                                         |   |       22,055 |   |
| RedPrairie Corporation                    |   | Software & Services                            |   | Senior Debt                |   | L + 550       |   | 1.25%       |   | 12/21/2018    |   |                  | 1,075,305   |   |       | 1,117,823   |                                         |   | 42,518 |   |
| Renfro Corporation                        |   | Consumer Durables & Apparel                    |   | Senior Debt                |   | L + 450       |   | 1.25%       |   | 1/30/2019     |   |                  | 3,522,389   |   |       | 3,575,490   |                                         |   | 53,101 |   |
| Roofing Supply Group, LLC                 |   | Retailing                                          |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 5/31/2019     |   |                  | 89,437      |   |       | 90,152      |                                         |   | 715 |   |
| Sabre Inc.                                |   | Transportation                                     |   | Senior Debt  (c) |   | L + 575       |   |        |   | 12/29/2017    |   |                  | 4,398,657   |   |       | 4,369,514   |                                         |   |  (29,143) |   |
| Sabre Inc.                                |   | Transportation                                     |   | Senior Debt                |   | L + 400       |   | 1.25%       |   | 2/19/2019     |   |                  | 2,166,278   |   |       | 2,204,357   |                                         |   | 38,079 |   |
| Sanmina Corp                              |   | Technology Hardware & Equipment                |   | Subordinated Debt (b)      |   | 7.000%        |   |        |   | 5/15/2019     |   |                  | 471,623     |   |       | 476,225     |                                         |   | 4,602 |   |
| Savers, Inc.                              |   | Retailing                                          |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 7/9/2019      |   |                  | 204,105     |   |       | 206,013     |                                         |   | 1,908 |   |
| Scitor Corporation                        |   | Capital Goods                                      |   | Senior Debt                |   | L + 350       |   | 1.50%       |   | 2/15/2017     |   |                  | 21,713      |   |       | 21,840      |                                         |   | 127 |   |
| Sedgwick Claims Management Services, Inc. |   | Insurance                                          |   | Senior Debt                |   | L + 300       |   | 1.00%       |   | 12/31/2016    |   |                  | 2,386,424   |   |       | 2,398,332   |                                         |   | 11,908 |   |
| SGS International Inc.                    |   | Media                                              |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 10/17/2019    |   |                  | 5,501,721   |   |       | 5,529,368   |                                         |   | 27,647 |   |
| Solera Holdings Inc                       |   | Software & Services                            |   | Subordinated Debt (b)      |   | 6.750%        |   |        |   | 6/15/2018     |   |                  | 951,518     |   |       | 942,534     |                                         |   |  (8,984) |   |
| Summit Materials, LLC                     |   | Materials                                          |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 1/30/2019     |   |                  | 1,501,263   |   |       | 1,510,646   |                                         |   | 9,383 |   |
| Summit Materials, LLC                     |   | Materials                                          |   | Subordinated Debt          |   | 10.500%       |   |        |   | 1/31/2020     |   |                  | 655,598     |   |       | 652,275     |                                         |   |  (3,323) |   |
| Supervalu Inc.                            |   | Food & Staples Retailing                       |   | Senior Debt (b) (c)        |   | L + 500       |   | 1.25%       |   | 3/21/2019     |   |                  | 13,725,337  |   |       | 14,090,793  |                                         |   | 365,456 |   |
| TelX Group, Inc., The                     |   | Telecommunication Services                         |   | Senior Debt                |   | L + 500       |   | 1.25%       |   | 9/25/2017     |   |                  | 7,000,950   |   |       | 6,987,146   |                                         |   |  (13,804) |   |
| Tempur-Pedic International Inc.           |   | Commercial  & Professional Services  |   | Senior Debt (b)            |   | L + 400       |   | 1.00%       |   | 11/20/2019    |   |                  | 6,834,981   |   |       | 6,992,807   |                                         |   | 157,826 |   |
| Terex Corp.                               |   | Capital Goods                                      |   | Subordinated Debt (b)      |   | 6.000%        |   |        |   | 5/15/2021     |   |                  | 4,626,000   |   |       | 4,857,300   |                                         |   | 231,300 |   |
| Tomkins Air Distribution                  |   | Capital Goods                                      |   | Senior Debt                |   | L + 375       |   | 1.25%       |   | 11/9/2018     |   |                  | 5,934,231   |   |       | 6,074,075   |                                         |   | 139,844 |   |
| United Rentals North America              |   | Capital Goods                                      |   | Subordinated Debt (b)      |   | 10.250%       |   |        |   | 11/15/2019    |   |                  | 3,063,488   |   |       | 3,027,600   |                                         |   |  (35,888) |   |
| United Rentals North America              |   | Capital Goods                                      |   | Subordinated Debt (b)      |   | 9.250%        |   |        |   | 12/15/2019    |   |                  | 4,587,370   |   |       | 4,523,994   |                                         |   |  (63,376) |   |
| USI Holdings Corporation                  |   | Insurance                                          |   | Senior Debt                |   | L + 400       |   | 1.25%       |   | 12/27/2019    |   |                  | 1,914,109   |   |       | 1,942,965   |                                         |   | 28,856 |   |
| VWR Funding, Inc.                         |   | Pharmaceuticals, Biotechnology & Life Sciences |   | Senior Debt                |   | L + 400       |   |        |   | 4/3/2017      |   |                  | 1,056,031   |   |       | 1,065,271   |                                         |   | 9,240 |   |
| West Corporation                          |   | Software & Services                            |   | Subordinated Debt          |   | 8.625%        |   |        |   | 10/1/2018     |   |                  | 6,029,800   |   |       | 6,335,876   |                                         |   | 306,076 |   |
| Windstream Corporation                    |   | Telecommunication Services                         |   | Senior Debt (b)            |   | L + 275       |   | 0.75%       |   | 1/23/2020     |   |                  | 3,046,718   |   |       | 3,075,297   |                                         |   | 28,579 |   |
| Zayo Group LLC                            |   | Telecommunication Services                         |   | Senior Debt                |   | L + 350       |   | 1.00%       |   | 7/2/2019      |   |                  | 1,208,151   |   |       | 1,200,043   |                                         |   |  (8,108) |   |
|                                      |   |                                               |   |                       |   |          |   |        |   |          |   | $                     | 341,924,660 |   | $          | 346,328,554 |                                         | $      | 4,403,894 |   |

| (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 March 31, 2013. |
|-----|-----------------------------------------------------------------------------|

| 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                                       |   |

----

| Company (a)                           |   | Industry                                           |   | Investment            |   | Interest Rate |   | LIBOR Floor |   | Maturity Date |   |  Notional Amount |      |   | Fair Value |      |  Unrealized Appreciation (Depreciation) |   |
|---------------------------------------|--------|----------------------------------------------------|--------|-----------------------|--------|---------------|--------|-------------|--------|---------------|--------|-----------------------|-----------|--------|------------|-----------|----------------------------------------------|--------|
| 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 |   |

----

| Company (a)        |   | Industry                |   | Investment        |   | Interest Rate |   | LIBOR Floor |   | Maturity Date |   |  Notional Amount |        |   | Fair Value |        |  Unrealized Appreciation (Depreciation) |    |
|--------------------|--------|-------------------------|--------|-------------------|--------|---------------|--------|-------------|--------|---------------|--------|-----------------------|-------------|--------|------------|-------------|----------------------------------------------|---------|
| 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 |
|----|-------------------------------------|

|                         |   | March 31, 2013 |       |
|------------------------------|--------|----------------|------------|
| Investment Type              |   | Level 1        |       |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Senior debt securities       |   | $              | —    |   |   | $ | 570,610,550 |   |   | $ | 76,405,042 |   |   | $ | 647,015,592 |   |
| Subordinated debt securities |   |           | —    |   |   |   | 198,160,715 |   |   |   | 6,130,775 |   |   |   | 204,291,490 |   |
| Common stock                 |   |           | —    |   |   |   | — |   |   |   | 511,755 |   |   |   | 511,755 |   |
| Preferred stock              |   |           | 5,082,916  |   |   |   | — |   |   |   | — |   |   |   | 5,082,916 |   |
| Subtotal                     |   |           | 5,082,916  |   |   |   | 768,771,265 |   |   |   | 83,047,572 |   |   |   | 856,901,753 |   |
| Short term investments       |   |           | 82,015,530 |   |   |   | — |   |   |   | — |   |   |   | 82,015,530 |   |
| Total                        |   | $              | 87,098,446 |   |   | $ | 768,771,265 |   |   | $ | 83,047,572 |   |   | $ | 938,917,283 |   |

| Derivative Type                    |   | Level 1 |    |   | Level 2 |   |    | Level 3 |   |   | Total     |   |
|------------------------------------|--------|---------|---------|--------|---------|--------|---------|---------|--------|--------|-----------|--------|
| Assets                             |   |    |    |   |    |   |    |    |   |   |      |   |
| Foreign currency forward contracts |   | $       | — |   |    | $      | 74,899  |    |   | $      | —   |   |   | $ | 74,899 |   |
| Total return swaps                 |   |    | — |   |    |   | — |    |   |   | 7,831,162 |   |   |   | 7,831,162 |   |
| Liabilities                        |   |    |    |   |    |   |    |    |   |   |      |   |   |   |   |   |
| Foreign currency forward contracts |   |    | — |   |    |   | (62,563 | )       |   |   | —   |   |   |   | (62,563 | ) |
| Total                              |   | $       | — |   |    | $      | 12,336  |    |   | $      | 7,831,162 |   |   | $ | 7,843,498 |   |

|                         |   | 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 |   |

----

| Asset Group       |   |    | Fair Value (1)   |   | Valuation Techniques (2) |   | Unobservable Inputs              |   | Range(Weighted Average) (3) |   | Impact to Valuation from an Increase in Input (4) |
|-------------------|--------|---------|------------------|--------|--------------------------|--------|----------------------------------|--------|-----------------------------|--------|---------------------------------------------------|
|              |   |    |             |   | Broker Quotes            |   | Mid Price                        |   | 101.5 (101.5)               |   | Increase                                          |
|              |   |    |             |   |                     |   | Yield                            |   | 8.6% (8.6%)                 |   | Decrease                                          |
|              |   | $       | 2,158,988        |   | Market Comparables       |   | Discount Margin                  |   | 782 bps (782 bps)           |   | Decrease                                          |
|              |   |    |             |   |                     |   | Leverage                         |   | 4.3x (4.3x)                 |   | Decrease                                          |
| Senior Debt       |   |    |             |   |                     |   | Illiquidity Discount             |   | 0% (0%)                     |   | Decrease                                          |
|              |   |    |             |   |                     |   | Yield                            |   | 7.51%-11.2% (10.06%)        |   | Decrease                                          |
|              |   | $       | 74,246,054       |   | Market Comparables       |   | Discount Margin                  |   | 654-1000 bps (928 bps)      |   | Decrease                                          |
|              |   |    |             |   |                     |   | Leverage                         |   | 1.6-4.9x (3.35x)            |   | Decrease                                          |
|              |   |    |             |   |                     |   | Illiquidity Discount             |   | 0%-3.75% (2.37%)            |   | Decrease                                          |
|              |   | $  | 3,425,519        |   | Broker Quotes            |   | Bid Price                        |   | 103.49 (103.49)             |   | Increase                                          |
|              |   |    |             |   |                     |   | Yield                            |   | 11.8% (11.8%)               |   | Decrease                                          |
| Subordinated Debt |   |    |             |   |                     |   | Discount Margin                  |   | 1024 (1024)                 |   | Decrease                                          |
|              |   | $       | 2,705,256        |   | Market Comparables       |   | Leverage                         |   | 3.6x (3.6x)                 |   | Decrease                                          |
|              |   |    |             |   |                     |   | EBITDA Multiple                  |   | 10.7x (10.7x)               |   | Increase                                          |
|              |   |    |             |   |                     |   | Illiquidity Discount             |   | 2% (2%)                     |   | Decrease                                          |
|              |   |    |             |   |                     |   | Illiquidity Discount             |   | 15% (15%)                   |   | Decrease                                          |
|              |   |    |             |   | Market Comparables       |   | LTM EBITDA Multiple              |   | 15.8x (15.8x)               |   | Increase                                          |
| Common Stock      |   | $       | 511,755          |   |                     |   | Forward EBITDA Multiple          |   | 11.3x (11.3x)               |   | Increase                                          |
|              |   |    |             |   | Discounted Cash Flow     |   | Weighted Average Cost of Capital |   | 12.3% (12.3%)               |   | Decrease                                          |
|              |   |    |             |   |                     |   | Exit EBITDA Multiple             |   | 7.9x (7.9x)                 |   | Increase                                          |
| Total             |   | $       |  83,047,572 |   |                     |   |                             |   |                        |   |                                              |

| (1) | The TRS was valued in accordance with the TRS agreements 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. |
|-----|------------------------------------------------------------------|

| (4) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Asset Group       |   | Fair Value (1) |            | Valuation Techniques (2) |                 | Unobservable Inputs | Range(Weighted Average) (3)      |   | Impact to Valuation from an Increase in Input (4) |
|-------------------|--------|----------------|-----------------|--------------------------|----------------------|---------------------|----------------------------------|--------|---------------------------------------------------|
| Senior Debt       |   | $              | 18,681,009      |                     | Broker Quotes        |                | Mid Price                        |   | 94.25 - 102 (100.98)                              |   | Increase |
|              |   |           |            |                     | Broker Quotes        |                | Mid Price                        |   | 98 - 101.5 (98.55)                                |   | Increase |
|              |   |           | 67,909,567      |                     | Market Comparables   |                | Yield                            |   | 5.0 - 11.9% (8.91%)                               |   | Decrease |
|              |   |           |            |                     |                 |                | Discount Margin                  |   | 437 - 1069 bps (808 bps)                          |   | Decrease |
|              |   |           |            |                     |                 |                | Illiquidity Discount             |   | 1.0 - 4.0% (2.29%)                                |   | Decrease |
| Subordinated Debt |   |           |            |                     | Broker Quotes        |                | Bid Price                        |   | 104.02 (NA)                                       |   | Increase |
|              |   |           |            |                     | Market Comparables   |                | Yield                            |   | 12.0 - 13.0% (12.54%)                             |   | Decrease |
|              |   |           |  6,208,491 |                     |                 |                | Discount Margin                  |   | 1071 - 1250 bps (1170 bps)                        |   | Decrease |
|              |   |           |            |                     |                 |                | EBITDA Multiple                  |   | 9.6x (9.6x)                                       |   | Increase |
|              |   |           |            |                     |                 |                | Illiquidity Discount             |   | 2% (2%)                                           |   | Decrease |
|              |   |           |            |                     | Market Comparables   |                | Forward EBITDA Multiple          |   | 9.8x (9.8x)                                       |   | Increase |
| Common Stock      |   |           |            |                     |                 |                | LTM EBITDA Multiple              |   | 12.9x (12.9x)                                     |   | Increase |
|              |   |           | 453,397         |                     |                 |                | Illiquidity Discount             |   | 15% (15%)                                         |   | Decrease |
|              |   |           |            |                     | Discounted Cash Flow |                | Weighted Average Cost of Capital |   | 12.2% (12.2%)                                     |   | Decrease |
| Total             |   | $              | 93,252,464      |                     |                 |                |                             |   |                                              |   |   |

| (1) | The TRS was valued in accordance with the TRS agreements 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. |
|-----|------------------------------------------------------------------|

| (4) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|                                                                                                    |   | Senior DebtSecurities |        |   | SubordinatedDebt Securities |   |      | CommonStock |   |   | Total ReturnSwaps |   |   | Total  |      |
|---------------------------------------------------------------------------------------------------------|--------|-----------------------|-------------|--------|-----------------------------|--------|-----------|-------------|--------|--------|-------------------|--------|--------|--------|-----------|
| Fair Value Balance as of January 1, 2013                                                                |   | $                     | 86,590,576  |   |                        | $      | 6,208,491 |        |   | $      | 453,397           |   |   | $      | 1,349,246 |   |   | $ | 94,601,710 |   |
| Purchases                                                                                               |   |                  | 10,202,476  |   |                        |   | —   |        |   |   | —           |   |   |   | —   |   |   |   | 10,202,476 |   |
| Net realized gain                                                                                       |   |                  | 47,195      |   |                        |   | —   |        |   |   | —           |   |   |   | 228,648   |   |   |   | 275,843 |   |
| Net change in unrealized appreciation (1)                                                               |   |                  | (290,398    | )      |                        |   | (76,764   | )           |   |   | 58,358            |   |   |   | 6,481,916 |   |   |   | 6,173,112 |   |
| Sales or repayments                                                                                     |   |                  | (3,297,909  | )      |                        |   | —   |        |   |   | —           |   |   |   | (228,648  | ) |   |   | (3,526,557 | ) |
| Net discount accretion                                                                                  |   |                  | 587,940     |   |                        |   | (952      | )           |   |   | —           |   |   |   | —   |   |   |   | 586,988 |   |
| Transfers out of Level 3                                                                                |   |                  | (17,434,838 | )      |                        |   | —   |        |   |   | —           |   |   |   | —   |   |   |   | (17,434,838 | ) |
| Transfers into Level 3                                                                                  |   |                  | —     |   |                        |   | —   |        |   |   | —           |   |   |   | —   |   |   |   | — |   |
| Fair Value Balance as of March 31, 2013                                                                 |   | $                     | 76,405,042  |   |                        | $      | 6,130,775 |        |   | $      | 511,755           |   |   | $      | 7,831,162 |   |   | $ | 90,878,734 |   |
| Change in net unrealized appreciation (depreciation) in investments still held as of March 31, 2013 (1) |   | $                     | 237,646     |   |                        | $      | (76,764   | )           |   | $      | 58,358            |   |   | $      | 6,481,916 |   |   | $ | 6,701,156 |   |

| (1) | Amount is included in the related amount on investments and derivative instruments in the condensed consolidated statements of operations. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------|

|                                                                                     |   | 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                                                                                |   |                  | 3,698,099 |   |                        |   | 5,969,804 |        |   |   | 448,908           |   |   |   | — |   |   |   | 10,116,811 |   |
| Net realized gain                                                                        |   |                  | —   |   |                        |   | —   |        |   |   | —           |   |   |   | — |   |   |   | — |   |
| Net change in unrealized appreciation (1)                                                |   |                  | 629       |   |                        |   | 11,960    |        |   |   | —           |   |   |   | — |   |   |   | 12,589 |   |
| Sales or repayments                                                                      |   |                  | 38,507    |   |                        |   | 60,809    |        |   |   | —           |   |   |   | — |   |   |   | 99,316 |   |
| Net discount accretion                                                                   |   |                  | (34,409   | )      |                        |   | (998,479  | )           |   |   | —           |   |   |   | — |   |   |   | (1,032,888 | ) |
| Transfers out of Level 3                                                                 |   |                  | 4,730     |   |                        |   | (1,004    | )           |   |   | —           |   |   |   | — |   |   |   | 3,726 |   |
| Transfers into Level 3                                                                   |   |                  | 201,067   |   |                        |   | —   |        |   |   | —           |   |   |   | — |   |   |   | 201,067 |   |
| Fair Value Balance as of March 31, 2012                                                  |   | $                     | 8,560,560 |   |                        | $      | 6,006,623 |        |   | $      | 448,908           |   |   | $      | — |   |   | $ | 15,016,091 |   |
| Change in net unrealized appreciation in investments still held as of March 31, 2012 (1) |   | $                     | 46,878    |   |                        | $      | 38,209    |        |   | $      | —           |   |   | $      | — |   |   | $ | 85,087 |   |

| (1) | Amount is included in the related amount on investments in the condensed consolidated statements of operations. |
|-----|-----------------------------------------------------------------------------------------------------------------|

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

----

|                 |                              |                                                 |   |   | Three Months Ended |
|----------------------|-----------------------------------|------------------------------------------------------|--------|--------|--------------------|
| Related Party        | Source Agreement                  | Description                                          |   |   | March 31, 2013     |   |   | March 31, 2012 |
| CNL Securities Corp. | Managing Dealer Agreement         | Selling commissions andmarketing support fees        |   | $      | 18,499,200         |   | $  |    8,869,023 |
| CNL and KKR          | Investment Advisory Agreement     | Base management fees(investment advisory fees)       |   |   | 4,860,666          |   |   | 894,160 |
| CNL and KKR          | Investment Advisory Agreement     | Performance-based incentive fees (1)                 |   |   | —            |   |   | — |
| CNL and KKR          | Investment Advisory Agreement     | Organization and offering expenses reimbursement (2) |   |   | 1,666,708          |   |   | 527,741 |
| CNL                  | Administrative Services Agreement | Administrative and compliance services               |   |   | 334,592            |   |   | 118,818 |

| (1) | During the three months ended March 31, 2013 and 2012, the Company recorded performance-based incentive fee expense of $4,205,287 and 875,246, respectively. The incentive fee 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 March 31, 2013 and 2012. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | The Advisors received reimbursement payments for offering expenses in the amount of $942,805 in the three months ended March 31, 2013. The Company recorded a reimbursement payable to the Advisors in the amount of $723,903 for offering expenses as of March 31, 2013 which is included in other accrued expenses and liabilities on the condensed consolidated statements of assets and liabilities. The Advisors received reimbursement payments for organization expenses in the amount of $205,453 in the three months ended March 31, 2012. The Company recorded a reimbursement payable to the Advisors in the amount of $322,288 for offering expenses as of March 31, 2012.  As of March 31, 2013, the outstanding unreimbursed offering expenses amounted to $3,851,265. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Period Ended      |   | Expense Support Payments Received from Advisors |      |   | Expense Support Payments Reimbursed toAdvisors(1) |   |      | Unreimbursed Expense SupportPayments |   | Eligible for Reimbursement through |
|-------------------|--------|-------------------------------------------------|-----------|--------|---------------------------------------------------|--------|-----------|--------------------------------------|--------|------------------------------------|
| December 31, 2011 |   | $                                               | 1,375,592 |   |                                              | $      | 1,375,592 |                                 |   | $                                  | — |   | December 31, 2014 |
| December 31, 2012 |   |                                            | 1,590,221 |   |                                              |   | 454,157   |                                 |   |                               | 1,136,064 |   | December 31, 2015 |
| Total             |   | $                                               | 2,965,813 |   |                                              | $      | 1,829,749 |                                 |   | $                                  | 1,136,064 |   |   |

| (1) | As of March 31, 2013 the Company has accrued $1,136,064 for potential annual year-end reimbursement payment to Advisors. |
|-----|--------------------------------------------------------------------------------------------------------------------------|

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

| Basic and Diluted Net Increase (Decrease) in Net Assets Per Share      |               |
|------------------------------------------------------------------------|--------------------|
|                                                                   | Three Months Ended |   |
|                                                                   |               | March 31, 2013 |   |   | March 31, 2012 |   |
| Net increase in net assets resulting from operations                   |               | $ | 23,442,759 |   |   | $ | 5,475,928 |   |
| Weighted average shares outstanding                                    |               |   | 71,356,247 |   |   |   | 10,949,283 |   |
| Basic/diluted net increase in net assets from operations per share (1) |               | $ | 0.33 |   |   | $ | 0.50 |   |

| (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 |   |
|------------------------------------------------------------------------|--------|-----------|--------|--------|--------|--------|------------|------------|--------|
| Total Declared Distributions for the three months ended March 31, 2013 |   | $         | 0.20   |   |   | $      | 13,735,491 |       |   |   | 100.0 | % |
| From Net Investment Income                                             |   | $         | 0.02   |   |   | $      | 1,402,954  |       |   |   | 10.2 |   |
| From Realized Gains                                                    |   |      | 0.03   |   |   |   | 1,885,582  |       |   |   | 13.7 |   |
| From Other Sources                                                     |   |      | 0.15   |   |   |   | 10,446,955 |       |   |   | 76.1 |   |

| For the three months ended March 31, 2013                                   |   | Amount |       |
|-----------------------------------------------------------------------------|--------|--------|------------|
| Unearned performance-based incentive fee                                    |   | $      | 4,205,287  |   |
| Offering expenses                                                           |   |   | 1,093,596  |   |
| Net change in unrealized appreciation on total return swap                  |   |   | 6,481,916  |   |
| Net change in unrealized appreciation on foreign currency forward contracts |   |   | 159,264    |   |
| Total of other sources available for distributions (1)                      |   | $      | 11,940,063 |   |

| (1) | The above table does not present all adjustments to calculate taxable income available for distributions.  A final determination of taxable income, and taxable income available for distributions, as well as the tax classifications of the 2013 calendar year paid distributions, is made annually at the end of the year. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

|                                   |   | Three Months EndedMarch 31, 2013 |       |   | Three Months EndedMarch 31, 2012 |   |
|----------------------------------------|--------|----------------------------------|------------|--------|----------------------------------|--------|
|                                   |   | Shares                           |       |   | Amount                           |   |   | Shares |   |   | Amount |   |
| Gross Proceeds from Offering           |   |                             | 18,097,872 |   |                             | $      | 198,097,608 |   |   |   | 8,712,413 |   |   | $ | 92,739,521 |   |
| Commissions and Marketing Support Fees |   |                             | —    |   |                             |   | (18,499,200 | ) |   |   | — |   |   |   | (8,869,023 | ) |
| Net Proceeds to Company                |   |                             | 18,097,872 |   |                             |   | 179,598,408 |   |   |   | 8,712,413 |   |   |   | 83,870,498 |   |
| Reinvestment of Distributions          |   |                             | 688,817    |   |                             |   | 6,850,275 |   |   |   | 129,673 |   |   |   | 1,248,460 |   |
| Net Proceeds from Offering             |   |                             | 18,786,689 |   |                             | $      | 186,448,683 |   |   |   | 8,842,086 |   |   | $ | 85,118,958 |   |
| Average Net Proceeds Per Share         |   | $ 9.92                           |       |   |                             | $ 9.63 |   |

----

| Repurchase Date   |   | Total Number of Shares Offeredto Repurchase |    |   | Total Number of Shares Purchased |   |   | No. of Shares Purchased/ Total Offer |   |   | Price Paidper Share |   |   | Total Consideration |   |
|-------------------|--------|---------------------------------------------|---------|--------|----------------------------------|--------|--------|--------------------------------------|--------|--------|---------------------|--------|--------|--------------------------|--------|
| February 20, 2013 |   |                                        | 785,106 |   |                             |   | 84,074 |                                 |   |   | 11                  | %      |   | $                        | 9.73   |   |   | $ | 818,045 |   |

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

|                                                                                 |   | Three Months Ended |    |
|--------------------------------------------------------------------------------------|--------|--------------------|---------|
| OPERATING PERFORMANCE PER SHARE                                                      |   | March 31, 2013     |    |   | March 31, 2012 |   |
| Net Asset Value, Beginning of Period                                                 |   | $                  | 9.75    |   |   | $ | 9.21 |   |
| Net Investment Income (Loss), Before Expense Support (1)(9)                          |   |               | 0.04    |   |   |   | 0.01 |   |
| Expense Support (1)(9)                                                               |   |               | (0.02   | ) |   |   | 0.09 |   |
| Net Investment Income (1)                                                            |   |               | 0.02    |   |   |   | 0.10 |   |
| Net Realized and Unrealized Gain (Loss) (1)(2)                                       |   |               | 0.32    |   |   |   | 0.49 |   |
| Net Increase Resulting from Investment Operations                                    |   |               | 0.34    |   |   |   | 0.59 |   |
| Distributions from Net Investment Income (3)                                         |   |               | (0.02   | ) |   |   | (0.11 | ) |
| Distributions from Realized Gains (3)                                                |   |               | (0.03   | ) |   |   | (0.07 | ) |
| Distributions from Other Sources (3)                                                 |   |               | (0.15   | ) |   |   | (0.01 | ) |
| Net Decrease Resulting from Distributions to Common Shareholders                     |   |               | (0.20   | ) |   |   | (0.19 | ) |
| Capital share transactions –Issuance of common stock above net asset value (4) |   |               | 0.02    |   |   |   | 0.05 |   |
| Net Increase Resulting from Capital Share Transactions                               |   |               | 0.02    |   |   |   | 0.05 |   |
|                                                                                 |   |               |    |   |   |   |   |   |
| Net Asset Value, End of Period                                                       |   | $                  | 9.91    |   |   | $ | 9.66 |   |
|                                                                                 |   |               |    |   |   |   |   |   |
| INVESTMENT RETURNS                                                                   |   |               |    |   |   |   |   |   |
| Total Investment Return-Net Price (5)                                                |   |               | 2.54    | % |   |   | 6.73 | % |
| Total Investment Return-Net Asset Value (6)                                          |   |               | 3.65    | % |   |   | 6.91 | % |
|                                                                                 |   |               |    |   |   |   |   |   |
| RATIOS/SUPPLEMENTAL DATA (all amounts in thousands except ratios)               |   |               |    |   |   |   |   |   |
| Net Assets, End of Period                                                            |   | $                  | 806,822 |   |   | $ | 153,771 |   |
| Average Net Assets (7)                                                               |   | $                  | 703,014 |   |   | $ | 104,551 |   |
| Average Credit Facility Borrowings(7)                                                |   | $                  | 216,164 |   |   | $ | 57,599 |   |
| Shares Outstanding, End of Period                                                    |   |               | 81,431  |   |   |   | 15,915 |   |
| Weighted Average Shares Outstanding                                                  |   |               | 71,356  |   |   |   | 10,949 |   |
|                                                                                 |   |               |    |   |   |   |   |   |
| Ratios to Average Net Assets: (7)                                                    |   |               |    |   |   |   |   |   |
| Total Operating Expenses Before Expense Support(9)                                   |   |               | 1.82    | % |   |   | 3.07 | % |
| Total Operating Expenses After Expense Support(9)                                    |   |               | 1.98    | % |   |   | 2.14 | % |
| Net Investment Income                                                                |   |               | 0.20    | % |   |   | 1.09 | % |
| Portfolio Turnover Rate                                                              |   |               | 6       | % |   |   | 13 | % |
| Asset Coverage Ratio (8)                                                             |   |               | 3.09    |   |   |   | 3.41 |   |

|   | (1) | The per share data was derived by using the weighted average shares outstanding during the 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 and average credit facility borrowings during the period is based on the daily value of net assets and borrowing balances, respectively. Ratios are not annualized. |
|--------|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (8) | Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) 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 condensed 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 condensed consolidated statements of operations. |
|--------|-----------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

----

| Revolving Credit Facility Summary for the three months ended March 31, 2013 |   |
|-----------------------------------------------------------------------------|--------|
|                                                                        |   | Loan Tranche |   |   |   |   |
|                                                                        |   |   | A |   |   |   | B1 |   |   |   | B2 |   |   |   | D |   |   | Total |   |
| Maturity                                                                    |   | August 22, 2013 |   |   | February 11, 2014 |   |   | February 11, 2015 |   |   | February 11, 2015 |   |   |   |   |
| Unused Commitment  Fee (1)                                        |   |   | 0.75 | % |   |   | 0.75 | % |   |   | 0.50 | % |   |   | 0.50 | % |   |   |   |
| Base Interest Rate  (reset monthly)                               |   | 1 mo. LIBOR |   |   | 3 mo. LIBOR |   |   | 3 mo. LIBOR |   |   | 3 mo. LIBOR |   |   |   |   |
| Spread                                                                      |   |   | 1.70 | % |   |   | 1.50 | % |   |   | 2.33 | % |   |   | 2.33 | % |   |   |   |
| Borrowing Commitment Amount                                                 |   | $ | 75,000,000 |   |   | $ | 65,000,000 |   |   | $ | 100,000,000 |   |   | $ | 100,000,000 |   |   | $ | 340,000,000 |   |
| Amount Borrowed as of March 31                                              |   |   | 75,000,000 |   |   |   | 65,000,000 |   |   |   | 79,440,000 |   |   |   | — |   |   |   | 219,440,000 |   |
| Unused Borrowing Commitment Balance as of March 31                          |   | $ | — |   |   | $ | — |   |   | $ | 20,560,000 |   |   | $ | 100,000,000 |   |   | $ | 120,560,000 |   |
| Average Borrowings                                                          |   | $ | 75,000,000 |   |   | $ | 52,546,222 |   |   | $ | 88,618,000 |   |   | $ | — |   |   | $ | 216,164,222 |   |
| Direct Interest Expense                                                     |   |   | 356,984 |   |   |   | 244,066 |   |   |   | 583,570 |   |   |   | — |   |   |   | 1,184,620 |   |
| Unused Commitment Fees                                                      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 353 |   |
| Amortization of Deferred Financing Costs                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 126,615 |   |
| Total Interest Expense                                                      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 1,311,588 |   |
| Weighted Average Interest Rate                                              |   |   | 1.94 | % |   |   | 1.90 | % |   |   | 2.70 | % |   |   | — | % |   |   | 2.24 | % |

| (1) | Unused commitment fees for the Tranche B2 Loans and the Tranche D Loans were waived for a period of 60 days following the effective date of the Third Amendment. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

| 13. | Subsequent Events |
|-----|-------------------|

----

| Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
|---------|---------------------------------------------------------------------------------------------|

----

----

| At March 31, 2013($ in millions except per share data)                                                            |   |   |     |   |
|-------------------------------------------------------------------------------------------------------------------|--------|--------|----------|--------|
| Total consolidated assets                                                                                         |   | $      | 1,145.98 |   |
| Adjusted total assets (Total consolidated assets net of payable for investments purchased)                        |   | $      | 1,037.69 |   |
| Investment in portfolio companies                                                                                 |   | $      | 856.90   |   |
| Borrowings - credit facility                                                                                      |   | $      | 219.44   |   |
| Borrowings - TRS deemed senior securities                                                                         |   | $      | 165.90   |   |
| Net assets                                                                                                        |   | $      | 806.82   |   |
| Average net assets                                                                                                |   | $      | 703.01   |   |
| Average credit facility borrowings                                                                                |   | $      | 216.16   |   |
| Net asset value per share                                                                                         |   | $      | 9.91     |   |
| Leverage ratio (Borrowings/Adjusted total assets)                                                                 |   |   | 37       | %      |
|                                                                                                              |   |   |     |   |
| PortfolioActivityfortheThreeMonthsEndedMarch31,2013($ in millions except per share data) |   |   |     |   |
| Cost of investments purchased                                                                                     |   | $      | 236.16   |   |
| Sales, principal payments and other exits                                                                         |   | $      | 91.54    |   |
| Number of portfolio companies at end of period                                                                    |   |   | 128      |   |
| Net investment income                                                                                             |   | $      | 1.40     |   |
| Net realized gains on investments and foreign currency transactions                                               |   | $      | 1.89     |   |
| Net change in unrealized appreciation on investments, derivative instruments and foreign currency translation:    |   | $      | 20.15    |   |
| Net increase in net assets from operations                                                                        |   | $      | 23.44    |   |
| Total distributions declared                                                                                      |   | $      | 13.74    |   |
| Net investment income before incentive fees per share                                                             |   | $      | 0.08     |   |
| Net investment income per share                                                                                   |   | $      | 0.02     |   |
| Earnings per share                                                                                                |   | $      | 0.33     |   |
| Distributions declared per share outstanding for the entire period                                                |   | $      | 0.20     |   |
|                                                                                                              |   |   |     |   |
| CommonStockOfferingSummaryfortheThreeMonthsEndedMarch31,2013                                                      |   |   |     |   |
| (All amounts in millionsexceptpersharedata)                                                                       |   |   |     |   |
| Gross proceeds                                                                                                    |   | $      | 198.10   |   |
| Net proceeds to Company                                                                                           |   | $      | 179.60   |   |
| Average net proceeds per share                                                                                    |   | $      | 9.92     |   |
| Shares issued in connection with common stock offering                                                            |   |   | 18.10    |   |

----

|                            |   | Investment Activity Summary for the Three Months Ended March 31, 2013 ($ in millions) |   |
|---------------------------------|--------|--------------------------------------------------------------------------------------------|--------|
|                            |   | Investment Portfolio                                                                       |   |   | TRS Portfolio |   |
| Total Fair Value                |   | $                                                                                          | 856.90 |   |   | $ | 346.33 |   |
| Incremental Investment Activity |   | $                                                                                          | 236.16 |   |   | $ | 188.00 |   |
| Investment Sales                |   | $                                                                                          | 49.52  |   |   | $ | 21.39 |   |
| No. Portfolio Companies         |   |                                                                                       | 128    |   |   |   | 73 |   |
| Portfolio Company Additions     |   |                                                                                       | 19     |   |   |   | 32 |   |
| Portfolio Company Exits         |   |                                                                                       | 17     |   |   |   | 6 |   |
| No. Debt Investments            |   |                                                                                       | 166    |   |   |   | 85 |   |
| Debt Investment Additions       |   |                                                                                       | 44     |   |   |   | 51 |   |
| Debt Investment Exits           |   |                                                                                       | 40     |   |   |   | 20 |   |
| No. Equity Investments          |   |                                                                                       | 3      |   |   |   | — |   |

----

|                         |   | Fair Value Summary As of March 31, 2013 |        |
|------------------------------|--------|-----------------------------------------|-------------|
| Asset Category               |   | Investment Portfolioat Fair Value       |        |   | Percentage of Investment Portfolio |   |   | TRS Portfolio at Fair Value |   |   | Percentage ofTRS Portfolio |   |
| Senior debt securities       |   | $                                       | 647,015,592 |   |   |   | 75.5 | % |   | $ | 285,814,006 |   |   |   | 82.5 | % |
| Subordinated debt securities |   |                                    | 204,291,490 |   |   |   | 23.8 |   |   |   | 60,514,548 |   |   |   | 17.5 |   |
| Total debt securities        |   |                                    | 851,307,082 |   |   |   | 99.3 |   |   |   | 346,328,554 |   |   |   | 100.0 |   |
| Common stock                 |   |                                    | 511,755     |   |   |   | 0.1 |   |   |   | — |   |   |   | — |   |
| Preferred stock              |   |                                    | 5,082,916   |   |   |   | 0.6 |   |   |   | — |   |   |   | — |   |
| Total equity securities      |   |                                    | 5,594,671   |   |   |   | 0.7 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                       | 856,901,753 |   |   |   | 100.0 | % |   | $ | 346,328,554 |   |   |   | 100.0 | % |

|                         |   | Investment Portfolio Cost and TRS Notional Amount Summary As of March 31, 2013 |        |
|------------------------------|--------|--------------------------------------------------------------------------------|-------------|
| Asset Category               |   | Investment Portfolioat Amortized Cost                                          |        |   | Percentage of Investment Portfolio |   |   | TRS Portfolio at Notional Amount |   |   | Percentage of TRS Portfolio |   |
| Senior debt securities       |   | $                                                                              | 633,541,684 |   |   |   | 75.7 | % |   | $ | 282,008,906 |   |   |   | 82.5 | % |
| Subordinated debt securities |   |                                                                           | 198,365,574 |   |   |   | 23.7 |   |   |   | 59,915,754 |   |   |   | 17.5 |   |
| Total debt securities        |   |                                                                           | 831,907,258 |   |   |   | 99.4 |   |   |   | 341,924,660 |   |   |   | 100.0 |   |
| Common stock                 |   |                                                                           | 448,908     |   |   |   | 0.1 |   |   |   | — |   |   |   | — |   |
| Preferred stock              |   |                                                                           | 4,800,812   |   |   |   | 0.5 |   |   |   | — |   |   |   | — |   |
| Total equity securities      |   |                                                                           | 5,249,720   |   |   |   | 0.6 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                                                              | 837,156,978 |   |   |   | 100.0 | % |   | $ | 341,924,660 |   |   |   | 100.0 | % |

|                                                                    |   | Investment Portfolio as of |   | TRS Portfolio as of |
|-------------------------------------------------------------------------|--------|----------------------------|--------|---------------------|
| Floating interest rate debt investments:                                |   | March 31, 2013             |   | December 31, 2012   |   | March 31, 2013 |   | December 31, 2012 |
| Percent of portfolio (1)                                                |   | 57.2                       | %      |                | 57.3 | % |   | 79.1 | % |   | 73.7 | % |
| Percent of floating rate debt investments with interest rate floors (1) |   | 85.8                       | %      |                | 87.3 | % |   | 94.7 | % |   | 87.0 | % |
| Weighted average interest rate floor (2)                                |   | 1.3                        | %      |                | 1.4 | % |   | 1.2 | % |   | 1.2 | % |
| Weighted average coupon spread (2)                                      |   | 585                        | bps    |                | 595 | bps |   | 409 | bps |   | 433 | bps |
| Weighted average years to maturity (2)                                  |   | 5.1                        |   |                | 5.2 |   |   | 5.7 |   |   | 5.8 |   |
|                                                                    |   |                       |   |                |   |   |   |   |   |   |   |   |
| Fixed interest rate debt investments:                                   |   |                       |   |                |   |   |   |   |   |   |   |   |
| Percent of portfolio (1)                                                |   | 42.8                       | %      |                | 42.7 | % |   | 20.9 | % |   | 26.3 | % |
| Weighted average coupon rate (2)                                        |   | 9.3                        | %      |                | 9.5 | % |   | 8.0 | % |   | 8.3 | % |
| Weighted average years to maturity (2)                                  |   | 5.7                        |   |                | 5.6 |   |   | 7.1 |   |   | 7.0 |   |

| (1)   | Percentages are based on fair value. |
|-----------------|--------------------------------------|

| (2)   | Weighted average interest rate floor, coupon, coupon spreads and years to maturity are calculated based on par values. |
|-----------------|------------------------------------------------------------------------------------------------------------------------|

----

|                                 |   | Investment Portfolio as of |   |   | TRS Portfolio as of |   |
|--------------------------------------|--------|----------------------------|--------|--------|---------------------|--------|
| IndustryClassification               |   | March 31, 2013             |   |   | December 31, 2012   |   |   | March 31, 2013 |   |   | December 31, 2012 |   |
| Media                                |   |                       | 13.2   | %      |                |   | 11.0 | % |   |   | 10.2 | % |   |   | 13.8 | % |
| Capital Goods                        |   |                       | 11.6   |   |                |   | 13.7 |   |   |   | 12.7 |   |   |   | 15.0 |   |
| Software & Services              |   |                       | 11.4   |   |                |   | 9.1 |   |   |   | 8.6 |   |   |   | 15.6 |   |
| Materials                            |   |                       | 11.0   |   |                |   | 9.9 |   |   |   | 9.3 |   |   |   | 3.7 |   |
| Retailing                            |   |                       | 10.7   |   |                |   | 9.2 |   |   |   | 7.1 |   |   |   | — |   |
| Technology Hardware & Equipment  |   |                       | 6.8    |   |                |   | 7.8 |   |   |   | 1.3 |   |   |   | 2.4 |   |
| Health Care Equipment & Services |   |                       | 5.2    |   |                |   | 6.2 |   |   |   | 5.6 |   |   |   | 7.7 |   |
| Insurance                            |   |                       | 5.2    |   |                |   | 6.2 |   |   |   | 1.3 |   |   |   | 1.8 |   |
| Consumer Services                    |   |                       | 3.6    |   |                |   | 3.7 |   |   |   | 6.1 |   |   |   | 5.4 |   |
| Telecommunication Services           |   |                       | 3.4    |   |                |   | 4.1 |   |   |   | 10.2 |   |   |   | 8.2 |   |
| Diversified Financials               |   |                       | 3.1    |   |                |   | 2.5 |   |   |   | 3.0 |   |   |   | 4.5 |   |
| Remaining Industries                 |   |                       | 14.8   |   |                |   | 16.6 |   |   |   | 24.6 |   |   |   | 21.9 |   |
| Total                                |   |                       | 100.0  | %      |                |   | 100.0 | % |   |   | 100.0 | % |   |   | 100.0 | % |

----

----

|                                      |   | Per Share |     |   | Amount |   |
|-------------------------------------------|--------|-----------|----------|--------|--------|--------|
| For the three months ended March 31, 2013 |   | $         | 0.195052 |   |   | $      | 13,735,491 |   |

| For the three months ended March 31, 2013                  |   | Amount($ millions) |   |
|------------------------------------------------------------|--------|--------------------|--------|
| Unearned performance-based incentive fee                   |   | $                  | 4.21   |   |
| Offering expenses                                          |   |               | 1.09   |   |
| Net change in unrealized appreciation on total return swap |   |               | 6.48   |   |
| Total of other sources available for distributions (1)     |   | $                  | 11.78  |   |

| (1)   | The above table does not present all adjustments to calculate taxable income available for distributions.  The final determination of taxable income, as well as the tax classifications of the 2013 calendar year paid distributions, is made annually at the end of the year. |
|-----------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| As of March 31, 2013                                                        |   | Amount($ millions) |   |
|-----------------------------------------------------------------------------|--------|--------------------|--------|
| Cumulative net realized gains (a)                                           |   | $                  | 4.93   |   |
| Unrealized depreciation in investment portfolio (b)                         |   |               | 5.84   |   |
| Maximum potential performance-based incentive fee on net realized gains (1) |   |               | 0.99   |   |

----

|                                      |   | For the three months ended March 31, ($ millions) |    |
|-------------------------------------------|--------|---------------------------------------------------|---------|
|                                      |   | 2013                                              |    |   | 2012 |   |
| Net Investment Income (GAAP)              |   | $                                                 | 1.40    |   |   | $ | 1.14 |   |
| Unearned performance-based incentive fees |   |                                              | 4.20    |   |   |   | 0.87 |   |
| Reimbursement of expense support          |   |                                              | 1.14    |   |   |   | — |   |
| Expense support                           |   |                                              | — |   |   |   | (0.96 | ) |
| Adjusted Net Investment Income (non-GAAP) |   | $                                                 | 6.74    |   |   | $ | 1.05 |   |
| Net Investment Income Per Share           |   | $                                                 | 0.02    |   |   | $ | 0.10 |   |
| Adjusted Net Investment Income Per Share  |   | $                                                 | 0.09    |   |   | $ | 0.10 |   |

----

----

----

----

|                                      |   | Total  |   |   | < 1 year |   |   | 1-3 years |   |   | 3-5 years |   |   | After 5 years |    |
|-------------------------------------------|--------|--------|--------|--------|-------------|--------|--------|-----------|--------|--------|-----------|--------|--------|---------------|---------|
| Revolving Credit Facility (1)        |   | $      | 219.44 |   |        | $      | 75.00  |      |   | $      | 144.44    |   |   | $             | — |   |   | $ | — |   |
| Interest and Credit Facility Fees Payable |   |   | 0.38   |   |        |   | 0.31   |      |   |   | 0.07      |   |   |          | — |   |   |   | — |   |

| (1) | At March 31, 2013 our unused commitment amount of Tranche B2 Loans and Tranche D Loans was $20.56 million and $100.00 million, respectively, under our revolving credit facility. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Item 3. | Quantitative and Qualitative Disclosures about Market Risks |
|---------|-------------------------------------------------------------|

----

|                                                                                   |   |      |   |               |           | ($ amounts in millions except per share data) |   |
|----------------------------------------------------------------------------------------|--------|-----------|--------|--------------------|----------------|-----------------------------------------------|--------|
|                                                                                   |   | ParAmount |   | WeightedAvg. Floor |           | Increases in LIBOR                            |   |
| +50 bps                                                                                |   | +100 bps  |   | +150 bps           |           | +200 bps                                      |   |
|                                                                                   |   |      |   |               |           |                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |
| No base rate floor                                                                     |   | $         | 68.96  |               |           |                                          |   | $ | 0.304 |   | $ | 0.608 |   | $ | 0.913 |   | $ | 1.218 |   |
| Base rate floor                                                                        |   | $         | 415.22 |               |           | 1.31%                                         |   |   | 0.000 |   |   | 0.144 |   |   | 1.676 |   |   | 3.446 |   |
| Increase in Floating Rate Interest Income                                              |   |      |   |               |           |                                          |   |   | 0.304 |   |   | 0.752 |   |   | 2.589 |   |   | 4.664 |   |
|                                                                                   |   |      |   |               | LIBOR + Spread |                                          |   |   |   |   |   |   |   |   |   |   |   |   |
| Tranche A Loans                                                                        |   | $         | 75.00  |               |           | L(30) + 170 bps                               |   | $ | (0.375 | ) | $ | (0.750 | ) | $ | (1.125 | ) | $ | (1.500 | ) |
| Tranche B1 Loans                                                                       |   | $         | 65.00  |               |           | L(90) + 150 bps                               |   |   | (0.325 | ) |   | (0.650 | ) |   | (0.975 | ) |   | (1.300 | ) |
| Tranche B2 Loans                                                                       |   | $         | 79.44  |               |           | L(90) + 233 bps                               |   |   | (0.397 | ) |   | (0.794 | ) |   | (1.192 | ) |   | (1.589 | ) |
| Increase to Floating Rate Interest Expense                                             |   |      |   |               |           |                                          |   |   | (1.097 | ) |   | (2.194 | ) |   | (3.292 | ) |   | (4.389 | ) |
| Change in Floating Rate Net Interest Income, before TRS                                |   |      |   |               |           |                                          |   |   | (0.793 | ) |   | (1.442 | ) |   | (0.703 | ) |   | 0.275 |   |
| Net change in TRS unrealized appreciation (depreciation) (1)                           |   |      |   |               |           |                                          |   |   | (1.646 | ) |   | (3.028 | ) |   | (3.559 | ) |   | (4.080 | ) |
| Overall Change in Floating Rate Net Interest Income, including TRS                     |   |      |   |               |           |                                          |   | $ | (2.439 | ) | $ | (4.470 | ) | $ | (4.262 | ) | $ | (3.805 | ) |
| Change in Floating Rate Net Interest Income Per Share Outstanding as of March 31, 2013 |   |      |   |               |           |                                          |   | $ | (0.03 | ) | $ | (0.06 | ) | $ | (0.05 | ) | $ | (0.05 | ) |

| (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 March 31, 2013, 79.1% of the TRS reference assets, or approximately $274.09 million measured at market value, featured floating or variable interest rates.  At March 31, 2013, approximately 94.7% of the TRS reference assets with variable interest rates featured minimum base rate floors, or approximately $259.41 million measured at fair value, and the weighted average base rate floor for such TRS reference assets was 1.17%.  As of March 31, 2013, the total notional amount of the portfolio of TRS reference assets was $341.92 million, and the settled notional amount was $310.87 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 TRS notional amount would equal $341.92 million upon which the financing payments to BNS are based. |
|-----------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

Item 4.

PART II. OTHER INFORMATION

| Item 1. | Legal Proceedings - None |
|--------------|-------------------------------|

| Item 1A. | Risk Factors - None |
|---------------|---------------------|

| Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds - None |
|--------------|--------------------------------------------------------------------|

| Item 3. | Defaults Upon Senior Securities - None |
|--------------|----------------------------------------|

| Item 4. | Mine Safety Disclosures – Not applicable |
|--------------|------------------------------------------------|

| Item 5. | Other Information - None |
|--------------|--------------------------|

| Item 6. | Exhibits |
|--------------|----------|

----

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) |

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EXHIBIT INDEX

|   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.)                                                                                                             |

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| 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.)        |
|   |   |                                                                                                                                                                                                                                                                                                                                                                                                               |
| 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.)                                                                                                                                                                            |

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