----

----

| 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)                            | 23     |
|                                                 |                                                                                        |   |
| Item 2.                                              | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 44     |
|                                                 |                                                                                        |   |
| Item 3.                                              | Quantitative and Qualitative Disclosures about Market Risk                                  | 61     |
|                                                 |                                                                                        |   |
| Item 4.                                              | Controls and Procedures                                                                     | 63     |
|                                                 |                                                                                        |   |
| PART II. OTHER INFORMATION                           |                                                                                        |
|                                                 |                                                                                        |   |
| Item 1.                                              | Legal Proceedings                                                                           | 63     |
|                                                 |                                                                                        |   |
| Item 1A.                                             | Risk Factors                                                                                | 63     |
|                                                 |                                                                                        |   |
| Item 2.                                              | Unregistered Sales of Equity Securities and Use of Proceeds                                 | 63     |
|                                                 |                                                                                        |   |
| Item 3.                                              | Defaults Upon Senior Securities                                                             | 63     |
|                                                 |                                                                                        |   |
| Item 4.                                              | Mine Safety Disclosures                                                                     | 63     |
|                                                 |                                                                                        |   |
| Item 5.                                              | Other Information                                                                           | 63     |
|                                                 |                                                                                        |   |
| Item 6.                                              | Exhibits                                                                                    | 63     |
|                                                 |                                                                                        |   |
| Signatures                                           |                                                                                        | 64     |
|                                                 |                                                                                        |   |
| Exhibit Index                                        |                                                                                        | 65     |

----

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

|                                                                                                                                                                                     |   | June 30, 2013 |          |   | December 31, 2012 |   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|---------------|---------------|--------|-------------------|--------|
| Assets                                                                                                                                                                                   |   |          |          |   |              |   |   |   |
| Investments, at fair value (amortized cost of $1,177,747,620 and $704,629,567) – including $159,345,198 and $0 of investments pledged to creditors (Note 11)                       |   | $             | 1,183,018,263 |   |              | $      | 710,870,599 |   |
| Cash                                                                                                                                                                                     |   |          | —       |   |              |   | 306,459 |   |
| Cash collateral on deposit with custodian                                                                                                                                                |   |          | 107,948,112   |   |              |   | 87,974,019 |   |
| Dividends and interest receivable                                                                                                                                                        |   |          | 14,623,197    |   |              |   | 9,258,404 |   |
| Receivable for investments sold                                                                                                                                                          |   |          | 89,663,866    |   |              |   | 37,704,165 |   |
| Principal receivable                                                                                                                                                                     |   |          | 1,514,613     |   |              |   | 462,407 |   |
| Unrealized appreciation on derivative instruments                                                                                                                                        |   |          | 7,207,871     |   |              |   | 1,357,886 |   |
| Receivable from advisors                                                                                                                                                                 |   |          | 934,534       |   |              |   | — |   |
| Deferred offering expense                                                                                                                                                                |   |          | 3,491,623     |   |              |   | 2,146,007 |   |
| Prepaid and deferred expenses                                                                                                                                                            |   |          | 1,517,290     |   |              |   | 244,130 |   |
| Total assets                                                                                                                                                                             |   |          | 1,409,919,369 |   |              |   | 850,324,076 |   |
| Liabilities                                                                                                                                                                              |
| Revolving credit facilities                                                                                                                                                              |   | $             | 169,440,000   |   |              | $      | 159,620,000 |   |
| Payable for investments purchased                                                                                                                                                        |   |          | 220,611,091   |   |              |   | 72,435,184 |   |
| Accrued performance-based incentive fees                                                                                                                                                 |   |          | 2,223,930     |   |              |   | 2,087,073 |   |
| Accrued investment advisory fees                                                                                                                                                         |   |          | 2,301,552     |   |              |   | 1,434,712 |   |
| Accrued reimbursement of expense support                                                                                                                                                 |   |          | 1,136,064     |   |              |   | 1,829,749 |   |
| Unrealized depreciation on derivative instruments                                                                                                                                        |   |          | —       |   |              |   | 155,568 |   |
| Accrued directors' fees                                                                                                                                                                  |   |          | 32,680        |   |              |   | 10,436 |   |
| Other accrued expenses and liabilities                                                                                                                                                   |   |          | 2,152,089     |   |              |   | 1,267,540 |   |
| Total liabilities                                                                                                                                                                        |   |          | 397,897,406   |   |              |   | 238,840,262 |   |
| Net Assets                                                                                                                                                                               |
| Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 103,452,253 and 62,728,439 shares issued and outstanding at June 30, 2013 and December 31, 2012, respectively |   |          | 103,452       |   |              |   | 62,728 |   |
| Paid-in capital in excess of par value                                                                                                                                                   |   |          | 1,012,554,315 |   |              |   | 607,351,000 |   |
| Distributions in excess of net investment income                                                                                                                                         |   |          | (13,104,460   | )      |              |   | (3,374,805 | ) |
| Accumulated net unrealized appreciation on investments, derivative instruments and foreign currency translation                                                                          |   |          | 12,468,656    |   |              |   | 7,444,891 |   |
| Net assets                                                                                                                                                                               |   | $             | 1,012,021,963 |   |              | $      | 611,483,814 |   |
| Net asset value per share                                                                                                                                                                |   | $             | 9.78          |   |              | $      | 9.75 |   |
|                                                                                                                                                                                     |

----

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

|                                                                           |   | For the three months ended |        |   | For the six months ended |   |
|--------------------------------------------------------------------------------|--------|----------------------------|-------------|--------|--------------------------|--------|
|                                                                           |   | June 30, 2013              |        |   | June 30, 2012            |   |   | June 30, 2013 |   |   | June 30, 2012 |   |
| Investment income                                                              |   |                       |        |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Interest income                                                                |   | $                          | 19,501,587  |   |                     | $      | 6,249,211 |   |   | $ | 34,740,889 |   |   | $ | 9,623,339 |   |
| Fee income                                                                     |   |                       | 934,534     |   |                     |   | — |   |   |   | 946,063 |   |   |   | — |   |
| Dividend income                                                                |   |                       | 98,777      |   |                     |   | 635 |   |   |   | 197,269 |   |   |   | 3,888 |   |
| Total investment income                                                        |   |                       | 20,534,898  |   |                     |   | 6,249,846 |   |   |   | 35,884,221 |   |   |   | 9,627,227 |   |
| Operating expenses                                                             |   |                       |        |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Investment advisory fees                                                       |   |                       | 6,490,803   |   |                     |   | 1,621,659 |   |   |   | 11,351,469 |   |   |   | 2,515,819 |   |
| Interest expense                                                               |   |                       | 1,538,269   |   |                     |   | 513,635 |   |   |   | 2,855,328 |   |   |   | 833,764 |   |
| Offering expense                                                               |   |                       | 1,553,084   |   |                     |   | 83,822 |   |   |   | 2,646,680 |   |   |   | 83,822 |   |
| Administrative services                                                        |   |                       | 477,417     |   |                     |   | 264,869 |   |   |   | 900,366 |   |   |   | 434,001 |   |
| Professional services                                                          |   |                       | 319,940     |   |                     |   | 346,809 |   |   |   | 667,941 |   |   |   | 555,350 |   |
| Organization expenses                                                          |   |                       | —     |   |                     |   | 368,477 |   |   |   | — |   |   |   | 896,218 |   |
| Performance-based incentive fees                                               |   |                       | (4,068,430  | )      |                     |   | (342,279 | ) |   |   | 136,857 |   |   |   | 532,967 |   |
| Custodian and accounting fees                                                  |   |                       | 126,362     |   |                     |   | 28,277 |   |   |   | 214,485 |   |   |   | 68,754 |   |
| Director fees and expenses                                                     |   |                       | 81,585      |   |                     |   | 50,989 |   |   |   | 150,053 |   |   |   | 99,224 |   |
| Other                                                                          |   |                       | 449,325     |   |                     |   | 197,089 |   |   |   | 855,481 |   |   |   | 318,446 |   |
| Total operating expenses                                                       |   |                       | 6,968,355   |   |                     |   | 3,133,347 |   |   |   | 19,778,660 |   |   |   | 6,338,365 |   |
| Reimbursement of expense support                                               |   |                       | —     |   |                     |   | 30,093 |   |   |   | 1,136,064 |   |   |   | 30,093 |   |
| Expense support                                                                |   |                       | —     |   |                     |   | (627,423 | ) |   |   | — |   |   |   | (1,590,221 | ) |
| Net expenses                                                                   |   |                       | 6,968,355   |   |                     |   | 2,536,017 |   |   |   | 20,914,724 |   |   |   | 4,778,237 |   |
| Net investment income                                                          |   |                       | 13,566,543  |   |                     |   | 3,713,829 |   |   |   | 14,969,497 |   |   |   | 4,848,990 |   |
| Realized and unrealized gain (loss):                                           |   |                       |        |   |                     |   |   |   |   |   |   |   |   |   |   |   |
| Net realized gain on investments                                               |   |                       | 3,584,224   |   |                     |   | 536,644 |   |   |   | 4,590,658 |   |   |   | 1,271,895 |   |
| Net realized gain on derivative instruments                                    |   |                       | 1,781,965   |   |                     |   | — |   |   |   | 2,649,931 |   |   |   | — |   |
| Net realized gain (loss) on foreign currency transactions                      |   |                       | (408,278    | )      |                     |   | 49,171 |   |   |   | (397,096 | ) |   |   | 42,886 |   |
| Net change in unrealized appreciation (depreciation) on investments            |   |                       | (14,474,132 | )      |                     |   | (2,098,928 | ) |   |   | (970,389 | ) |   |   | 1,523,521 |   |
| Net change in unrealized appreciation (depreciation) on derivative instruments |   |                       | (635,627    | )      |                     |   | — |   |   |   | 6,005,553 |   |   |   | — |   |
| Net change in unrealized depreciation on foreign currency translation          |   |                       | (20,699     | )      |                     |   | (125,017 | ) |   |   | (11,399 | ) |   |   | (135,665 | ) |
| Net realized and unrealized gain (loss)                                        |   |                       | (10,172,547 | )      |                     |   | (1,638,130 | ) |   |   | 11,867,258 |   |   |   | 2,702,637 |   |
| Net increase in net assets resulting from operations                           |   | $                          | 3,393,996   |   |                     | $      | 2,075,699 |   |   | $ | 26,836,755 |   |   | $ | 7,551,627 |   |
| Net Investment Income Per Share                                                |   | $                          | 0.15        |   |                     | $      | 0.17 |   |   | $ | 0.18 |   |   | $ | 0.29 |   |
| Diluted and Basic Earnings Per Share                                           |   | $                          | 0.04        |   |                     | $      | 0.09 |   |   | $ | 0.33 |   |   | $ | 0.46 |   |
| Weighted Average Shares Outstanding                                            |   |                       | 92,302,446  |   |                     |   | 22,102,008 |   |   |   | 81,887,209 |   |   |   | 16,525,646 |   |
| Dividends Declared Per Share                                                   |   | $                          | 0.19        |   |                     | $      | 0.19 |   |   | $ | 0.39 |   |   | $ | 0.38 |   |

----

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

|                                                                                                          |   | For the six months ended |
|---------------------------------------------------------------------------------------------------------------|--------|--------------------------|
|                                                                                                          |   | June 30, 2013            |   | June 30, 2012 |
| Operations                                                                                                    |   |
| Net investment income                                                                                         |   | $                        | 14,969,497 |   |   | $ | 4,848,990 |   |
| Net realized gain on investments, derivative instruments and foreign currency transactions                    |   |                     | 6,843,493 |   |   |   | 1,314,781 |   |
| Net change in unrealized appreciation on investments, derivative instruments and foreign currency translation |   |                     | 5,023,765 |   |   |   | 1,387,856 |   |
| Net increase in net assets resulting from operations                                                          |   |                     | 26,836,755 |   |   |   | 7,551,627 |   |
| Distributions to shareholders from                                                                            |   |
| Net investment income                                                                                         |   |                     | (14,969,497 | ) |   |   | (4,854,946 | ) |
| Realized gains                                                                                                |   |                     | (6,843,493 | ) |   |   | (1,239,538 | ) |
| Distributions in excess of net investment income (see Note 8)                                                 |   |                     | (9,729,655 | ) |   |   | — |   |
| Net decrease in net assets resulting from shareholders distributions                                          |   |                     | (31,542,645 | ) |   |   | (6,094,484 | ) |
| Capital share transactions                                                                                    |   |
| Issuance of shares of common stock                                                                            |   |                     | 390,878,592 |   |   |   | 214,058,425 |   |
| Reinvestment of shareholders distributions                                                                    |   |                     | 15,865,179 |   |   |   | 3,348,013 |   |
| Repurchase of shares of common stock                                                                          |   |                     | (1,499,732 | ) |   |   | — |   |
| Net increase in net assets resulting from capital share transactions                                          |   |                     | 405,244,039 |   |   |   | 217,406,438 |   |
| Total increase in net assets                                                                                  |   |                     | 400,538,149 |   |   |   | 218,863,581 |   |
| Net assets at beginning of period                                                                             |   |                     | 611,483,814 |   |   |   | 65,162,729 |   |
| Net assets at end of period                                                                                   |   | $                        | 1,012,021,963 |   |   | $ | 284,026,310 |   |
| Capital share activity                                                                                        |   |
| Shares issued from subscriptions                                                                              |   |                     | 39,284,016 |   |   |   | 22,043,951 |   |
| Shares issued from reinvestment of distributions                                                              |   |                     | 1,592,660 |   |   |   | 344,681 |   |
| Shares repurchased                                                                                            |   |                     | (152,862 | ) |   |   | — |   |
| Net increase in shares outstanding                                                                            |   |                     | 40,723,814 |   |   |   | 22,388,632 |   |
|                                                                                                          |   |                     |   |   |   |   |   |   |
| Distributions in excess of net investment income at end of period                                             |   | $                        | (13,104,460 | ) |   | $ | — |   |

----

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

|                                                                                                                          |   | For the six months ended |         |
|-------------------------------------------------------------------------------------------------------------------------------|--------|--------------------------|--------------|
|                                                                                                                          |   | June 30, 2013            |         |   | June 30, 2012 |   |
| Operating Activities:                                                                                                         |   |                     |         |   |   |   |   |   |
| Net increase in net assets resulting from operations                                                                          |   | $                        | 26,836,755   |   |   | $ | 7,551,627 |   |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:  |   |                     |         |   |   |   |   |   |
| Purchases of investments                                                                                                      |   |                     | (785,208,326 | ) |   |   | (344,500,850 | ) |
| Increase in payable for investments purchased                                                                                 |   |                     | 148,192,053  |   |   |   | 37,697,605 |   |
| Paid-in-kind interest                                                                                                         |   |                     | (584,802     | ) |   |   | — |   |
| Proceeds from sales of investments                                                                                            |   |                     | 288,501,782  |   |   |   | 38,806,238 |   |
| Proceeds from principal payments                                                                                              |   |                     | 59,695,638   |   |   |   | 9,401,188 |   |
| Net realized gain on investments                                                                                              |   |                     | (4,590,658   | ) |   |   | (1,271,895 | ) |
| Net change in unrealized depreciation (appreciation) on investments                                                           |   |                     | 970,389      |   |   |   | (1,523,521 | ) |
| Net change in unrealized appreciation on derivative instruments                                                               |   |                     | (6,005,553   | ) |   |   | — |   |
| Net change in unrealized appreciation on foreign currency translation                                                         |   |                     | 11,399       |   |   |   | 135,665 |   |
| Amortization of premium/discount - net                                                                                        |   |                     | (239,824     | ) |   |   | (119,510 | ) |
| Amortization of deferred financing cost                                                                                       |   |                     | 364,124      |   |   |   | 35,276 |   |
| Increase in short-term investments, net                                                                                       |   |                     | (30,691,864  | ) |   |   | (2,997,951 | ) |
| Increase in cash collateral on deposit with custodian                                                                         |   |                     | (19,974,093  | ) |   |   | — |   |
| Increase in dividend and interest receivable                                                                                  |   |                     | (5,392,214   | ) |   |   | (4,370,178 | ) |
| Increase in receivable for investments sold                                                                                   |   |                     | (51,959,701  | ) |   |   | (2,877,307 | ) |
| Increase in principal receivable                                                                                              |   |                     | (1,052,206   | ) |   |   | (508,986 | ) |
| Decrease (increase) in receivable from advisors                                                                               |   |                     | (934,534     | ) |   |   | 290,619 |   |
| Increase in other assets                                                                                                      |   |                     | (1,464,979   | ) |   |   | (730,792 | ) |
| Increase in accrued investment advisory fees                                                                                  |   |                     | 866,840      |   |   |   | 512,912 |   |
| Increase in accrued performance-based incentive fees                                                                          |   |                     | 136,857      |   |   |   | 356,120 |   |
| Increase in accrued directors' fees                                                                                           |   |                     | 22,244       |   |   |   | — |   |
| Increase in other accrued expenses and liabilities                                                                            |   |                     | 55,834       |   |   |   | 680,532 |   |
| Net cash used in operating activities                                                                                         |   |                     | (382,444,839 | ) |   |   | (263,433,208 | ) |
|                                                                                                                          |   |                     |         |   |   |   |   |   |
| Financing Activities:                                                                                                         |   |                     |         |   |   |   |   |   |
| Proceeds from issuance of shares of common stock                                                                              |   |                     | 390,878,592  |   |   |   | 214,058,425 |   |
| Payment on repurchase of shares of common stock                                                                               |   |                     | (1,499,732   | ) |   |   | — |   |
| Distributions paid                                                                                                            |   |                     | (15,677,466  | ) |   |   | (3,145,108 | ) |
| Borrowings under credit facilities                                                                                            |   |                     | 159,820,000  |   |   |   | 52,600,000 |   |
| Repayments of credit facilities                                                                                               |   |                     | (150,000,000 | ) |   |   | — |   |
| Deferred financing costs paid                                                                                                 |   |                     | (1,382,891   | ) |   |   | — |   |
| Net cash provided by financing activities                                                                                     |   |                     | 382,138,503  |   |   |   | 263,513,317 |   |
| Effect of exchange rate changes on cash                                                                                       |   |                     | (123         | ) |   |   | 1,427 |   |
| Net increase (decrease) in cash                                                                                               |   |                     | (306,459     | ) |   |   | 81,536 |   |
| Cash and cash denominated in foreign currency, beginning of period                                                            |   |                     | 306,459      |   |   |   | — |   |
| Cash and cash denominated in foreign currency, end of period                                                                  |   | $                        | —      |   |   | $ | 81,536 |   |
|                                                                                                                          |   |                     |         |   |   |   |   |   |
| Supplemental disclosure of cash flow information and non-cash financing activities:                                           |   |                     |         |   |   |   |   |   |
| Cash paid for interest                                                                                                        |   | $                        | 2,498,714    |   |   | $ | 561,644 |   |
| Dividend distributions reinvested                                                                                             |   | $                        | 15,865,179   |   |   | $ | 3,348,013 |   |
| Deferred financing costs accrued in other accrued expenses and liabilities                                                    |   | $                        | 135,030      |   |   | $ | — |   |

----

Condensed Consolidated Schedule of Investments (unaudited)

|  Company (a)                                           |   |  Industry                       |   |  Investments       |   | Interest Rate |   | EURIBOR/ LIBOR Floor |   | Maturity Date |   |   No. Shares/ Principal Amount (b) |       |    Cost (c) |   | Fair Value |   | % of Net Assets |
|-------------------------------------------------------------|--------|--------------------------------------|--------|-------------------------|--------|---------------|--------|----------------------|--------|---------------|--------|----------------------------------------------|------------|-----------------------|--------|------------|--------|-----------------|
|  Non-Control/Non-Affiliate Investments(d)—112.6% |   |                                 |   |                    |   |          |   |                 |   |          |   |                                         |       |                  |   |       |
| Air Distribution Technologies, Inc.                         |   | Capital Goods                        |   | Senior Debt(e)          |   | L + 800       |   | 1.25%                |   | 5/11/2020     |   | $                                            | 3,454,401  |                  | $      | 3,405,822  |   | $               | 3,566,669 |   | 0.4% |
| Algeco/Scotsman Holdings S.A.R.L.(LU)(f)                    |   | Consumer Durables & Apparel      |   | Subordinated Debt(g)    |   | 15.75% PIK    |   |                 |   | 5/1/2018      |   |                                         | 24,489,185 |                  |   | 24,251,821 |   |            | 24,917,746 |   | 2.5% |
| Allen Systems Group, Inc.                                   |   | Software & Services              |   | Senior Debt(h)(i)       |   | 10.50%        |   |                 |   | 11/15/2016    |   |                                         | 106,000    |                  |   | 69,393     |   |            | 68,900 |   | 0.0% |
| Altisource Solutions (LU)(f)                                |   | Real Estate                          |   | Senior Debt(e)(g)       |   | L + 450       |   | 1.25%                |   | 11/27/2019    |   |                                         | 17,621,432 |                  |   | 17,602,090 |   |            | 17,731,566 |   | 1.8% |
| American Builders & Contractors Supply Co, Inc.         |   | Capital Goods                        |   | Subordinated Debt(h)(i) |   | 5.63%         |   |                 |   | 4/15/2021     |   |                                         | 5,114,000  |                  |   | 5,114,000  |   |            | 5,024,505 |   | 0.5% |
| American Gaming Systems, LLC                                |   | Consumer Services                    |   | Senior Debt(e)(j)       |   | L + 1000      |   | 1.50%                |   | 8/15/2016     |   |                                         | 21,782,648 |                  |   | 21,326,692 |   |            | 21,782,648 |   | 2.1% |
| American Rock Salt Co., LLC                                 |   | Materials                            |   | Senior Debt(e)          |   | L + 425       |   | 1.25%                |   | 4/25/2017     |   |                                         | 8,442,513  |                  |   | 8,141,550  |   |            | 8,440,402 |   | 0.8% |
|                                                        |   |                                 |   | Senior Debt(h)(i)       |   | 8.25%         |   |                 |   | 5/1/2018      |   |                                         | 9,690,000  |                  |   | 9,002,957  |   |            | 9,205,500 |   | 0.9% |
|                                                        |   |                                 |   |                    |   |          |   |                 |   |          |   |                                         |       |                  |   | 17,144,507 |   |            | 17,645,902 |   | 1.7% |
| Applied Systems, Inc.                                       |   | Software & Services              |   | Senior Debt(e)(k)       |   | L + 725       |   | 1.00%                |   | 6/8/2017      |   |                                         | 1,216,771  |                  |   | 1,233,501  |   |            | 1,226,663 |   | 0.1% |
| Arysta Lifescience SPC, LLC                                 |   | Food, Beverage & Tobacco         |   | Senior Debt(e)(g)(k)    |   | L + 700       |   | 1.25%                |   | 11/30/2020    |   |                                         | 16,305,199 |                  |   | 16,142,147 |   |            | 16,101,384 |   | 1.6% |
| Aspen Dental Management, Inc.                               |   | Health Care Equipment & Services |   | Senior Debt(e)          |   | L + 550       |   | 1.50%                |   | 10/6/2016     |   |                                         | 6,069,958  |                  |   | 6,014,059  |   |            | 5,849,922 |   | 0.6% |
| Audatex North America, Inc.                                 |   | Software & Services              |   | Subordinated Debt       |   | L + 300       |   |                 |   | 5/16/2017     |   |                                         | 8,154,000  |                  |   | 8,154,000  |   |            | 8,133,615 |   | 0.8% |
| Avaya Inc.                                                  |   | Technology Hardware & Equipment  |   | Senior Debt(e)          |   | L + 675       |   | 1.25%                |   | 3/31/2018     |   |                                         | 31,768,977 |                  |   | 31,609,539 |   |            | 29,871,416 |   | 3.0% |
|                                                        |   |                                 |   | Senior Debt(e)(h)       |   | 7.00%         |   |                 |   | 4/1/2019      |   |                                         | 11,036,000 |                  |   | 10,260,910 |   |            | 9,959,990 |   | 1.0% |
|                                                        |   |                                 |   | Subordinated Debt(e)(h) |   | 9.00%         |   |                 |   | 4/1/2019      |   |                                         | 7,048,000  |                  |   | 7,033,697  |   |            | 6,766,080 |   | 0.7% |
|                                                        |   |                                 |   |                    |   |          |   |                 |   |          |   |                                         |       |                  |   | 48,904,146 |   |            | 46,597,486 |   | 4.7% |
| Block Communications, Inc.                                  |   | Media                                |   | Subordinated Debt(e)(h) |   | 7.25%         |   |                 |   | 2/1/2020      |   |                                         | 589,000    |                  |   | 627,963    |   |            | 618,450 |   | 0.1% |
| Brake Bros Ltd.(UK)(f)                                      |   | Food, Beverage & Tobacco         |   | Senior Debt(g)(GBP)     |   | 3% PIK, L+325 |   |                 |   | 3/12/2017     |   | £                                       | 8,561,450  |                  |   | 11,723,548 |   |            | 11,567,484 |   | 1.1% |
| Caraustar Industries, Inc.                                  |   | Materials                            |   | Senior Debt(e)          |   | L + 625       |   | 1.25%                |   | 5/1/2019      |   | $                                            | 3,719,593  |                  |   | 3,692,371  |   |            | 3,752,140 |   | 0.4% |
| Catalina Marketing Corp.                                    |   | Media                                |   | Senior Debt(e)          |   | L + 550       |   |                 |   | 9/29/2017     |   |                                         | 8,728,354  |                  |   | 8,758,402  |   |            | 8,793,816 |   | 0.9% |
|                                                        |   |                                 |   | Subordinated Debt(h)(i) |   | 10.50%        |   |                 |   | 10/1/2015     |   |                                         | 27,154,000 |                  |   | 27,309,467 |   |            | 27,493,425 |   | 2.7% |
|                                                        |   |                                 |   |                    |   |          |   |                 |   |          |   |                                         |       |                  |   | 36,067,869 |   |            | 36,287,241 |   | 3.6% |

----

|  Company (a)                   |   |  Industry                         |   |  Investments       |   | Interest Rate |   | EURIBOR/ LIBOR Floor |   | Maturity Date |   | No. Shares/ Principal Amount (b) |       | Cost (c) |    |    Fair Value |   | % of Net Assets |
|-------------------------------------|--------|----------------------------------------|--------|-------------------------|--------|---------------|--------|----------------------|--------|---------------|--------|----------------------------------|------------|----------|---------|-------------------------|--------|-----------------|
| CDW Corp.                           |   | Technology Hardware & Equipment    |   | Subordinated Debt(e)    |   | 12.54%        |   |                 |   | 10/12/2017    |   | $                                | 11,610,000 |     |  $ | 12,352,091              |   |  $         | 12,248,550 |   | 1.2% |
| Cedar Bay Generating Co., LP        |   | Utilities                              |   | Senior Debt(e)(g)       |   | L + 500       |   | 1.25%                |   | 4/23/2020     |   |                             | 6,411,094  |     |    | 6,348,115               |   |            | 6,427,121 |   | 0.6% |
| Cemex Espana S.A. (ES)(f)           |   | Materials                              |   | Senior Debt(g)(EUR)     |   | E + 450       |   |                 |   | 2/14/2017     |   | €                          | 928,806    |     |    | 1,114,972               |   |            | 1,194,871 |   | 0.1% |
| Cemex Materials, LLC                |   | Materials                              |   | Subordinated Debt(e)(h) |   | 7.70%         |   |                 |   | 7/21/2025     |   | $                                | 23,312,000 |     |    | 22,932,819              |   |            | 22,379,520 |   | 2.2% |
| Cemex S.A.B. de C.V. (MX)(f)        |   | Materials                              |   | Senior Debt(g)          |   | L + 450       |   |                 |   | 2/14/2017     |   |                             | 3,441,100  |     |    | 3,192,435               |   |            | 3,380,880 |   | 0.3% |
| Cengage Learning Acquisitions, Inc. |   | Media                                  |   | Senior Debt(e)(k)(o)    |   | L + 550       |   |                 |   | 7/5/2017      |   |                             | 2,700,837  |     |    | 2,021,298               |   |            | 2,000,861 |   | 0.2% |
|                                |   |                                   |   | Senior Debt(e)(h)(o)    |   | 11.50%        |   |                 |   | 4/15/2020     |   |                             | 12,154,000 |     |    | 12,399,696              |   |            | 8,933,190 |   | 0.9% |
|                                |   |                                   |   |                    |   |          |   |                 |   |          |   |                             |       |     |    | 14,420,994              |   |            | 10,934,051 |   | 1.1% |
| Ceridian Corp.                      |   | Commercial & Professional Services |   | Senior Debt(e)          |   | L + 575       |   |                 |   | 5/9/2017      |   |                             | 5,320,620  |     |    | 5,298,269               |   |            | 5,351,373 |   | 0.5% |
|                                |   |                                   |   | Senior Debt(h)(i)       |   | 8.88%         |   |                 |   | 7/15/2019     |   |                             | 2,123,000  |     |    | 2,123,000               |   |            | 2,359,184 |   | 0.2% |
|                                |   |                                   |   | Subordinated Debt(h)(i) |   | 11.00%        |   |                 |   | 3/15/2021     |   |                             | 16,201,000 |     |    | 17,640,088              |   |            | 17,902,105 |   | 1.8% |
|                                |   |                                   |   |                    |   |          |   |                 |   |          |   |                             |       |     |    | 25,061,357              |   |            | 25,612,662 |   | 2.5% |
| CHG Companies, Inc.                 |   | Health Care Equipment & Services   |   | Senior Debt(e)(k)       |   | L + 775       |   | 1.25%                |   | 11/19/2020    |   |                             | 11,763,681 |     |    | 11,610,616              |   |            | 11,959,722 |   | 1.2% |
| Commscope, Inc.                     |   | Technology Hardware & Equipment    |   | Subordinated Debt(h)(i) |   | 8.25%         |   |                 |   | 1/15/2019     |   |                             | 11,786,000 |     |    | 12,812,969              |   |            | 12,581,555 |   | 1.2% |
| CompuCom Systems, Inc.              |   | Software & Services                |   | Subordinated Debt(h)    |   | 7.00%         |   |                 |   | 5/1/2021      |   |                             | 9,847,000  |     |    | 9,551,719               |   |            | 9,551,590 |   | 0.9% |
| CRC Health Corp.                    |   | Health Care Equipment & Services   |   | Senior Debt(e)          |   | L + 450       |   |                 |   | 11/16/2015    |   |                             | 1,184,319  |     |    | 1,138,768               |   |            | 1,187,280 |   | 0.1% |
|                                |   |                                   |   | Subordinated Debt(i)    |   | 10.75%        |   |                 |   | 2/1/2016      |   |                             | 6,500,000  |     |    | 6,534,328               |   |            | 6,605,625 |   | 0.7% |
|                                |   |                                   |   |                    |   |          |   |                 |   |          |   |                             |       |     |    | 7,673,096               |   |            | 7,792,905 |   | 0.8% |
| CSM Bakery Products (NL)(f)         |   | Food, Beverage & Tobacco           |   | Senior Debt(e)(g)(k)    |   | L + 750       |   | 1.00%                |   | 5/23/2021     |   |                             | 495,838    |     |    | 502,036                 |   |            | 502,036 |   | 0.1% |
| CTI Foods Holding Co., LLC          |   | Food, Beverage & Tobacco           |   | Senior Debt(e)(k)       |   | L + 725       |   | 1.00%                |   | 5/9/2021      |   |                             | 23,219,000 |     |    | 22,870,715              |   |            | 23,219,000 |   | 2.3% |
| Cunningham Lindsey U.S., Inc.       |   | Insurance                              |   | Senior Debt(e)          |   | L + 800       |   | 1.25%                |   | 6/10/2020     |   |                             | 5,178,315  |     |    | 5,129,363               |   |            | 5,255,989 |   | 0.5% |
| Data Device Corp.                   |   | Capital Goods                          |   | Senior Debt(e)          |   | L + 600       |   | 1.50%                |   | 7/11/2018     |   |                             | 7,856,002  |     |    | 7,716,029               |   |            | 7,816,722 |   | 0.8% |
|                                |   |                                   |   | Senior Debt(j)          |   | L + 1000      |   | 1.50%                |   | 7/11/2019     |   |                             | 8,000,000  |     |    | 7,855,343               |   |            | 7,560,000 |   | 0.7% |
|                                |   |                                   |   |                    |   |          |   |                 |   |          |   |                             |       |     |    | 15,571,372              |   |            | 15,376,722 |   | 1.5% |
| DJO Finance, LLC                    |   | Health Care Equipment & Services   |   | Senior Debt(e)          |   | 8.75%         |   |                 |   | 3/15/2018     |   |                             | 10,863,000 |     |    | 11,576,302              |   |            | 11,732,040 |   | 1.2% |
| Eagle Midco, Inc.                   |   | Software & Services                |   | Subordinated Debt(e)(h) |   | 9.00% PIK     |   |                 |   | 6/15/2018     |   |                             | 39,815,000 |     |    | 38,982,909              |   |            | 38,810,385 |   | 3.8% |

----

|  Company (a)                             |   |  Industry                  |   |  Investments          |   | Interest Rate |   | EURIBOR/ LIBOR Floor |   | Maturity Date |   |  No. Shares/ Principal Amount (b)  |       | Cost (c) |    | Fair Value |   | % of Net Assets |
|-----------------------------------------------|--------|---------------------------------|--------|----------------------------|--------|---------------|--------|----------------------|--------|---------------|--------|----------------------------------------------|------------|----------|---------|------------|--------|-----------------|
| Easton-Bell Sports, Inc.                      |   | Consumer Durables & Apparel |   | Senior Debt(e)(j)          |   | 11.50% PIK    |   |                 |   | 12/31/2015    |   | $                                            | 14,979,711 |     |  $ | 14,979,711 |   |  $         | 14,979,711 |   | 1.5% |
| Education Management, LLC                     |   | Consumer Services               |   | Senior Debt(e)(g)          |   | L + 700       |   | 1.25%                |   | 3/30/2018     |   |                                         | 7,039,700  |     |    | 6,867,521  |   |            | 6,476,524 |   | 0.6% |
|                                          |   |                            |   | Subordinated Debt(e)(g)(h) |   | 15.00%        |   |                 |   | 7/1/2018      |   |                                         | 1,298,877  |     |    | 1,311,869  |   |            | 1,347,585 |   | 0.1% |
|                                          |   |                            |   |                       |   |          |   |                 |   |          |   |                                         |       |     |    | 8,179,390  |   |            | 7,824,109 |   | 0.7% |
| Eze Software Group                            |   | Software & Services         |   | Senior Debt(e)(k)          |   | L + 750       |   | 1.25%                |   | 4/5/2021      |   |                                         | 12,961,704 |     |    | 12,919,004 |   |            | 13,134,484 |   | 1.3% |
| Flagstone Foods Holding Corp.                 |   | Food & Staples Retailing    |   | Senior Debt(j)             |   | L + 575       |   | 1.25%                |   | 4/15/2018     |   |                                         | 20,203,649 |     |    | 20,004,727 |   |            | 20,203,649 |   | 2.0% |
| Gastar Exploration USA, Inc.                  |   | Energy                          |   | Senior Debt(e)(g)(h)       |   | 8.63%         |   |                 |   | 5/15/2018     |   |                                         | 1,630,000  |     |    | 1,630,000  |   |            | 1,564,800 |   | 0.2% |
| GCI, Inc.                                     |   | Telecommunication Services      |   | Subordinated Debt(i)       |   | 6.75%         |   |                 |   | 6/1/2021      |   |                                         | 5,532,000  |     |    | 5,301,809  |   |            | 5,172,420 |   | 0.5% |
|                                          |   |                            |   | Subordinated Debt(i)       |   | 8.63%         |   |                 |   | 11/15/2019    |   |                                         | 8,575,000  |     |    | 9,072,519  |   |            | 8,789,375 |   | 0.9% |
|                                          |   |                            |   |                       |   |          |   |                 |   |          |   |                                         |       |     |    | 14,374,328 |   |            | 13,961,795 |   | 1.4% |
| Genesys Telecommunications Laboratories, Inc. |   | Software & Services         |   | Common Stock(j)*           |   |          |   |                 |   |          |   |                                         | 448,908    |     |    | 448,908    |   |            | 623,982 |   | 0.1% |
|                                          |   |                            |   | Subordinated Debt(j)(EUR)  |   | 12.50%        |   |                 |   | 1/31/2020     |   | €                                      | 2,044,000  |     |    | 2,633,747  |   |            | 2,753,692 |   | 0.3% |
|                                          |   |                            |   |                       |   |          |   |                 |   |          |   |                                         |       |     |    | 3,082,655  |   |            | 3,377,674 |   | 0.4% |
| Good Sam Enterprises, LLC                     |   | Media                           |   | Senior Debt(e)             |   | 11.50%        |   |                 |   | 12/1/2016     |   | $                                            | 12,699,000 |     |    | 13,089,354 |   |            | 13,524,435 |   | 1.3% |
| Guitar Center, Inc.                           |   | Retailing                       |   | Senior Debt(e)(k)          |   | L + 600       |   |                 |   | 4/9/2017      |   |                                         | 23,824,298 |     |    | 23,267,372 |   |            | 23,670,394 |   | 2.3% |
| Gymboree Corp.                                |   | Retailing                       |   | Senior Debt(e)             |   | L + 350       |   | 1.50%                |   | 2/23/2018     |   |                                         | 12,926,375 |     |    | 12,560,249 |   |            | 12,486,038 |   | 1.2% |
|                                          |   |                            |   | Subordinated Debt(e)       |   | 9.13%         |   |                 |   | 12/1/2018     |   |                                         | 12,818,000 |     |    | 12,177,443 |   |            | 12,048,920 |   | 1.2% |
|                                          |   |                            |   |                       |   |          |   |                 |   |          |   |                                         |       |     |    | 24,737,692 |   |            | 24,534,958 |   | 2.4% |
| Hot Topic, Inc.                               |   | Consumer Durables & Apparel |   | Senior Debt(e)(h)          |   | 9.25%         |   |                 |   | 6/15/2021     |   |                                         | 5,066,000  |     |    | 5,019,522  |   |            | 5,129,325 |   | 0.5% |
| HUB International, Ltd.                       |   | Insurance                       |   | Subordinated Debt(h)(i)    |   | 8.13%         |   |                 |   | 10/15/2018    |   |                                         | 16,708,000 |     |    | 16,768,068 |   |            | 17,376,320 |   | 1.7% |
| Infor (US), Inc.                              |   | Software & Services         |   | Subordinated Debt(i)       |   | 9.38%         |   |                 |   | 4/1/2019      |   |                                         | 1,241,000  |     |    | 1,404,953  |   |            | 1,344,934 |   | 0.1% |
|                                          |   |                            |   | Subordinated Debt(e)       |   | 11.50%        |   |                 |   | 7/15/2018     |   |                                         | 4,549,000  |     |    | 4,938,055  |   |            | 5,151,743 |   | 0.5% |
|                                          |   |                            |   |                       |   |          |   |                 |   |          |   |                                         |       |     |    | 6,343,008  |   |            | 6,496,677 |   | 0.6% |
| Integra Telecom Holdings, Inc.                |   | Telecommunication Services      |   | Senior Debt(e)             |   | L + 850       |   | 1.25%                |   | 2/19/2020     |   |                                         | 3,963,823  |     |    | 4,062,829  |   |            | 4,074,948 |   | 0.4% |
| Internet Brands, Inc.                         |   | Media                           |   | Senior Debt(e)             |   | L + 500       |   | 1.25%                |   | 3/18/2019     |   |                                         | 38,860,781 |     |    | 36,842,218 |   |            | 39,018,750 |   | 3.9% |

----

|  Company (a)                         |   |  Industry                      |   |  Investments          |   | Interest Rate            |   | EURIBOR/ LIBOR Floor |   | Maturity Date |   | No. Shares/ Principal Amount (b) |       | Cost (c) |   | Fair Value |   | % of Net Assets |
|-------------------------------------------|--------|-------------------------------------|--------|----------------------------|--------|--------------------------|--------|----------------------|--------|---------------|--------|----------------------------------|------------|----------|--------|------------|--------|-----------------|
| iPayment, Inc.                            |   | Software & Services             |   | Senior Debt(e)             |   | L + 425                  |   | 1.50%                |   | 5/8/2017      |   | $                                | 1,883,342  |     | $      | 1,866,532  |   | $               | 1,866,081 |   | 0.2% |
|                                      |   |                                |   | Subordinated Debt(e)       |   | 10.25%                   |   |                 |   | 5/15/2018     |   |                             | 4,100,000  |     |   | 3,887,348  |   |            | 3,362,000 |   | 0.3% |
|                                      |   |                                |   |                       |   |                     |   |                 |   |          |   |                             |       |     |   | 5,753,880  |   |            | 5,228,081 |   | 0.5% |
| IPC Systems, Inc.                         |   | Technology Hardware & Equipment |   | Senior Debt(e)             |   | L + 650                  |   | 1.25%                |   | 7/31/2017     |   |                             | 487,330    |     |   | 475,475    |   |            | 470,273 |   | 0.0% |
|                                      |   |                                |   | Senior Debt(e)             |   | L + 650                  |   | 1.25%                |   | 7/31/2017     |   |                             | 6,403,771  |     |   | 6,290,085  |   |            | 6,179,639 |   | 0.6% |
|                                      |   |                                |   |                       |   |                     |   |                 |   |          |   |                             |       |     |   | 6,765,560  |   |            | 6,649,912 |   | 0.6% |
| J. Crew Group, Inc.                       |   | Retailing                           |   | Subordinated Debt(i)       |   | 8.13%                    |   |                 |   | 3/1/2019      |   |                             | 749,000    |     |   | 706,130    |   |            | 786,450 |   | 0.1% |
| J. Jill                                   |   | Retailing                           |   | Senior Debt(e)(j)          |   | L + 850                  |   | 1.50%                |   | 4/29/2017     |   |                             | 8,800,474  |     |   | 8,800,474  |   |            | 8,800,474 |   | 0.9% |
| Jeld-Wen, Inc.                            |   | Capital Goods                       |   | Senior Debt(e)(h)          |   | 12.25%                   |   |                 |   | 10/15/2017    |   |                             | 15,829,000 |     |   | 18,082,619 |   |            | 18,045,060 |   | 1.8% |
| Kerling PLC (UK)(f)                       |   | Materials                           |   | Senior Debt(g)(h)(EUR)     |   | 10.63%                   |   |                 |   | 2/1/2017      |   | €                          | 5,353,000  |     |   | 6,631,023  |   |            | 7,263,858 |   | 0.7% |
| KeyPoint Government Solutions, Inc.       |   | Capital Goods                       |   | Senior Debt(e)(j)          |   | L + 600                  |   | 1.25%                |   | 11/13/2017    |   | $                                | 34,125,000 |     |   | 33,496,584 |   |            | 33,783,750 |   | 3.3% |
| Lightower Fiber, LLC                      |   | Telecommunication Services          |   | Senior Debt(e)             |   | L + 675                  |   | 1.25%                |   | 4/12/2021     |   |                             | 3,380,541  |     |   | 3,347,321  |   |            | 3,397,444 |   | 0.3% |
| Maxim Crane L.P. (UK)                     |   | Capital Goods                       |   | Senior Debt(e)(h)          |   | 12.25%                   |   |                 |   | 4/15/2015     |   |                             | 1,994,000  |     |   | 2,090,807  |   |            | 2,093,700 |   | 0.2% |
| Misys Ltd. (UK)(f)                        |   | Software & Services             |   | Senior Debt(e)(g)          |   | L + 600                  |   | 1.25%                |   | 12/12/2018    |   |                             | 1,960,198  |     |   | 1,938,343  |   |            | 1,982,250 |   | 0.2% |
| Mitel US Holdings, Inc.                   |   | Technology Hardware & Equipment |   | Senior Debt(e)(g)          |   | L + 575                  |   | 1.25%                |   | 2/27/2019     |   |                             | 234,275    |     |   | 238,275    |   |            | 234,861 |   | 0.0% |
| Monarch (LU)(f)                           |   | Materials                           |   | Senior Debt(e)(g)          |   | L + 700                  |   | 1.25%                |   | 4/3/2020      |   |                             | 5,416,388  |     |   | 5,390,158  |   |            | 5,443,470 |   | 0.5% |
| New Enterprise Stone & Lime Co., Inc. |   | Capital Goods                       |   | Senior Debt(h)(i)          |   | 4% cash,9% PIK |   |                 |   | 3/15/2018     |   |                             | 9,684,109  |     |   | 9,780,284  |   |            | 10,604,099 |   | 1.0% |
| NewWave Communications, Inc.              |   | Media                               |   | Senior Debt(e)(k)          |   | L + 400                  |   | 1.00%                |   | 4/30/2020     |   |                             | 6,843,115  |     |   | 6,814,147  |   |            | 6,877,331 |   | 0.7% |
|                                      |   |                                |   | Senior Debt(e)(k)          |   | L + 800                  |   | 1.00%                |   | 10/30/2020    |   |                             | 7,601,394  |     |   | 7,525,380  |   |            | 7,715,415 |   | 0.8% |
|                                      |   |                                |   |                       |   |                     |   |                 |   |          |   |                             |       |     |   | 14,339,527 |   |            | 14,592,746 |   | 1.5% |
| North American Breweries Holdings, LLC    |   | Food, Beverage & Tobacco        |   | Senior Debt(e)             |   | L + 625                  |   | 1.25%                |   | 12/11/2018    |   |                             | 4,944,363  |     |   | 4,851,455  |   |            | 4,962,904 |   | 0.5% |
| Nuveen Investments, Inc.                  |   | Diversified Financials              |   | Senior Debt(e)(g)          |   | L + 525                  |   | 1.25%                |   | 2/28/2019     |   |                             | 6,967,420  |     |   | 7,066,675  |   |            | 6,900,638 |   | 0.7% |
|                                      |   |                                |   | Subordinated Debt(e)(g)    |   | 5.50%                    |   |                 |   | 9/15/2015     |   |                             | 673,000    |     |   | 646,226    |   |            | 656,175 |   | 0.1% |
|                                      |   |                                |   | Subordinated Debt(e)(g)(h) |   | 9.13%                    |   |                 |   | 10/15/2017    |   |                             | 3,382,000  |     |   | 3,377,808  |   |            | 3,390,455 |   | 0.3% |
|                                      |   |                                |   |                       |   |                     |   |                 |   |          |   |                             |       |     |   | 11,090,709 |   |            | 10,947,268 |   | 1.1% |

----

|  Company (a)                                  |   |  Industry                         |   |  Investments          |   | Interest Rate |   | EURIBOR/ LIBOR Floor |   | Maturity Date |   | No. Shares/ Principal Amount (b) |       | Cost (c) |   | Fair Value |   | % of Net Assets |
|----------------------------------------------------|--------|----------------------------------------|--------|----------------------------|--------|---------------|--------|----------------------|--------|---------------|--------|----------------------------------|------------|----------|--------|------------|--------|-----------------|
| OpenLink International, Inc.                       |   | Software & Services                |   | Senior Debt(e)             |   | L + 625       |   | 1.50%                |   | 10/30/2017    |   | $                                | 46,268     |     | $      | 46,590     |   | $               | 46,326 |   | 0.0% |
| Oxea S.A.R.L.(LU)(f)                               |   | Materials                              |   | Senior Debt(e)(g)(k)       |   | L + 725       |   | 1.00%                |   | 6/5/2020      |   |                             | 2,799,007  |     |   | 2,785,012  |   |            | 2,799,007 |   | 0.3% |
| Packaging Coordinators, Inc.                       |   | Materials                              |   | Senior Debt(j)             |   | L + 825       |   |                 |   | 10/31/2020    |   |                             | 11,826,714 |     |   | 11,710,578 |   |            | 11,826,714 |   | 1.2% |
| Polyconcept Investments BV (NL) (f)                |   | Consumer Durables & Apparel        |   | Senior Debt(g)(j)          |   | L + 875       |   | 1.25%                |   | 6/1/2020      |   |                             | 46,726,678 |     |   | 46,726,678 |   |            | 46,726,678 |   | 4.6% |
| RedPrairie Corp.                                   |   | Software & Services                |   | Senior Debt(e)             |   | L + 550       |   | 1.25%                |   | 12/21/2018    |   |                             | 7,787,270  |     |   | 7,638,050  |   |            | 7,835,941 |   | 0.8% |
|                                               |   |                                   |   | Senior Debt(e)             |   | L + 1000      |   | 1.25%                |   | 12/21/2019    |   |                             | 15,149,821 |     |   | 15,167,172 |   |            | 15,699,002 |   | 1.6% |
|                                               |   |                                   |   |                       |   |          |   |                 |   |          |   |                             |       |     |   | 22,805,222 |   |            | 23,534,943 |   | 2.4% |
| Reynolds Group Holdings, Inc.                      |   | Materials                              |   | Senior Debt(i)             |   | 5.75%         |   |                 |   | 10/15/2020    |   |                             | 533,000    |     |   | 533,000    |   |            | 536,998 |   | 0.1% |
| Roundy's Supermarkets, Inc.                        |   | Food & Staples Retailing           |   | Senior Debt(e)(g)          |   | L + 450       |   | 1.25%                |   | 2/13/2019     |   |                             | 4,441,572  |     |   | 4,417,931  |   |            | 4,341,637 |   | 0.4% |
| Ryerson, Inc.                                      |   | Materials                              |   | Senior Debt(e)(h)          |   | 9.00%         |   |                 |   | 10/15/2017    |   |                             | 5,814,000  |     |   | 5,814,000  |   |            | 5,901,210 |   | 0.6% |
| Sabine Oil & Gas, LLC                          |   | Energy                                 |   | Senior Debt(e)(g)          |   | L + 750       |   | 1.25%                |   | 12/31/2018    |   |                             | 14,526,840 |     |   | 14,394,503 |   |            | 14,526,840 |   | 1.4% |
| Sabre, Inc.                                        |   | Transportation                         |   | Senior Debt(h)(i)          |   | 8.50%         |   |                 |   | 5/15/2019     |   |                             | 13,369,000 |     |   | 13,992,390 |   |            | 14,237,985 |   | 1.4% |
| SandRidge Energy, Inc.                             |   | Energy                                 |   | Subordinated Debt(g)       |   | 7.50%         |   |                 |   | 3/15/2021     |   |                             | 11,233,000 |     |   | 10,529,098 |   |            | 10,727,515 |   | 1.1% |
| Sanmina Corp.                                      |   | Technology Hardware & Equipment    |   | Subordinated Debt(g)(h)(i) |   | 7.00%         |   |                 |   | 5/15/2019     |   |                             | 7,879,000  |     |   | 7,868,404  |   |            | 8,115,370 |   | 0.8% |
| Schaeffler AG (DE)(f)                              |   | Automobiles & Components           |   | Senior Debt(g)(h)(i)       |   | 8.50%         |   |                 |   | 2/15/2019     |   |                             | 5,000      |     |   | 5,351      |   |            | 5,575 |   | 0.0% |
| Securitas Direct AB (SE)(f)                        |   | Commercial & Professional Services |   | Senior Debt(g)(h)(EUR)     |   | 8.75%         |   |                 |   | 9/1/2018      |   | €                          | 397,000    |     |   | 486,594    |   |            | 555,511 |   | 0.1% |
| Sedgwick Claims Management Services Holdings, Inc. |   | Insurance                              |   | Senior Debt(e)             |   | L + 300       |   | 1.00%                |   | 12/31/2016    |   | $                                | 112,343    |     |   | 108,174    |   |            | 112,670 |   | 0.0% |
|                                               |   |                                   |   | Senior Debt(e)(k)          |   | L + 700       |   | 1.00%                |   | 12/15/2018    |   |                             | 40,973,204 |     |   | 40,768,338 |   |            | 41,357,328 |   | 4.1% |
|                                               |   |                                   |   |                       |   |          |   |                 |   |          |   |                             |       |     |   | 40,876,512 |   |            | 41,469,998 |   | 4.1% |
| Sheridan Holdings, Inc.                            |   | Health Care Equipment & Services   |   | Senior Debt(e)(k)          |   | L + 775       |   | 1.25%                |   | 7/1/2019      |   |                             | 677,404    |     |   | 692,645    |   |            | 685,871 |   | 0.1% |
| Sinclair Television Group, Inc.                    |   | Media                                  |   | Subordinated Debt          |   | 5.38%         |   |                 |   | 4/1/2021      |   |                             | 5,182,000  |     |   | 5,182,000  |   |            | 4,974,720 |   | 0.5% |
| SkillSoft Corp.                                    |   | Software & Services                |   | Subordinated Debt(i)       |   | 11.13%        |   |                 |   | 6/1/2018      |   |                             | 1,369,000  |     |   | 1,438,672  |   |            | 1,500,766 |   | 0.1% |
| Smile Brands Group, Inc.                           |   | Health Care Equipment & Services   |   | Senior Debt(e)             |   | L + 525       |   | 1.75%                |   | 12/21/2017    |   |                             | 3,774,023  |     |   | 3,786,619  |   |            | 3,707,996 |   | 0.4% |
| Sonic Automotive, Inc.                             |   | Retailing                              |   | Subordinated Debt(g)(h)(i) |   | 5.00%         |   |                 |   | 5/15/2023     |   |                             | 493,000    |     |   | 493,000    |   |            | 478,210 |   | 0.0% |

----

| Company (a)                                 |   |  Industry                                     |   |  Investments             |   |   Interest Rate |   | EURIBOR/ LIBOR Floor |   |   Maturity Date |   | No. Shares/ Principal Amount (b) |       | Cost (c) |   | Fair Value    |   | % of Net Assets |
|---------------------------------------------|--------|----------------------------------------------------|--------|-------------------------------|--------|----------------------|--------|----------------------|--------|----------------------|--------|----------------------------------|------------|----------|--------|---------------|--------|-----------------|
| Standard Chartered Bank (SG)(f)             |   | Banks                                              |   | Subordinated Debt(g)(h)(j)(l) |   | L + 1600             |   |                 |   | 4/1/2014             |   | $                                | 3,310,000  |     | $      | 3,330,075     |   | $               | 3,392,419 |   | 0.3% |
| StoneRiver Holdings, Inc.                   |   | Insurance                                          |   | Senior Debt(e)(k)             |   | L + 725              |   | 1.25%                |   | 5/30/2020            |   |                             | 24,097,643 |     |   | 23,977,155    |   |            | 24,007,277 |   | 2.4% |
| Summit Materials, LLC                       |   | Materials                                          |   | Subordinated Debt(h)(i)       |   | 10.50%               |   |                 |   | 1/31/2020            |   |                             | 462,000    |     |   | 521,603       |   |            | 494,340 |   | 0.1% |
| The TelX Group, Inc.                        |   | Telecommunication Services                         |   | Senior Debt(e)                |   | L + 500              |   | 1.25%                |   | 9/25/2017            |   |                             | 5,511,761  |     |   | 5,529,502     |   |            | 5,522,096 |   | 0.5% |
|                                        |   |                                               |   | Subordinated Debt(h)(j)(k)    |   | 12.00%               |   |                 |   | 9/26/2019            |   |                             | 5,435,478  |     |   | 5,938,259     |   |            | 5,668,116 |   | 0.6% |
|                                        |   |                                               |   |                          |   |                 |   |                 |   |                 |   |                             |       |     |   | 11,467,761    |   |            | 11,190,212 |   | 1.1% |
| Towergate Finance PLC (UK)(f)               |   | Insurance                                          |   | Subordinated Debt(g)(h)(GBP)  |   | 10.50%               |   |                 |   | 2/15/2019            |   | £                           | 14,608,000 |     |   | 23,428,010    |   |            | 22,662,392 |   | 2.2% |
| Travelport, LLC                             |   | Software & Services                            |   | Senior Debt(e)(k)             |   | L + 450              |   | 1.25%                |   | 6/21/2019            |   | $                                | 6,696,112  |     |   | 6,595,670     |   |            | 6,637,521 |   | 0.7% |
|                                        |   |                                               |   | Senior Debt(e)                |   | L + 800              |   | 1.50%                |   | 1/31/2016            |   |                             | 18,868,125 |     |   | 18,479,284    |   |            | 19,386,998 |   | 1.9% |
|                                        |   |                                               |   |                          |   |                 |   |                 |   |                 |   |                             |       |     |   | 25,074,954    |   |            | 26,024,519 |   | 2.6% |
| Virgin Media, Inc.                          |   | Media                                              |   | Subordinated Debt(g)(h)(i)    |   | 6.38%                |   |                 |   | 4/15/2023            |   |                             | 4,000      |     |   | 4,000         |   |            | 4,030 |   | 0.0% |
| VWR Funding, Inc.                           |   | Pharmaceuticals, Biotechnology & Life Sciences |   | Subordinated Debt(i)          |   | 7.25%                |   |                 |   | 9/15/2017            |   |                             | 5,349,000  |     |   | 5,349,000     |   |            | 5,536,215 |   | 0.5% |
| Wastequip, LLC                              |   | Materials                                          |   | Senior Debt(e)                |   | L + 675              |   | 1.50%                |   | 12/15/2017           |   |                             | 11,171,569 |     |   | 10,935,789    |   |            | 11,339,142 |   | 1.1% |
| Websense, Inc.                              |   | Technology Hardware & Equipment                |   | Senior Debt(e)(k)             |   | L + 750              |   | 1.00%                |   | 11/19/2020           |   |                             | 32,018,197 |     |   | 31,858,106    |   |            | 32,058,220 |   | 3.2% |
| West Corp.                                  |   | Software & Services                            |   | Subordinated Debt(e)(g)       |   | 7.88%                |   |                 |   | 1/15/2019            |   |                             | 1,575,000  |     |   | 1,561,035     |   |            | 1,638,000 |   | 0.2% |
| Wilton Brands, LLC                          |   | Materials                                          |   | Senior Debt(e)                |   | L + 625              |   | 1.25%                |   | 8/30/2018            |   |                             | 12,498,974 |     |   | 12,279,221    |   |            | 12,555,219 |   | 1.2% |
| Zayo Group, LLC                             |   | Telecommunication Services                         |   | Senior Debt(i)                |   | 8.13%                |   |                 |   | 1/1/2020             |   |                             | 2,260,000  |     |   | 2,392,862     |   |            | 2,452,100 |   | 0.2% |
|                                        |   |                                               |   | Subordinated Debt(i)          |   | 10.13%               |   |                 |   | 7/1/2020             |   |                             | 5,000,000  |     |   | 5,308,382     |   |            | 5,550,000 |   | 0.6% |
|                                        |   |                                               |   |                          |   |                 |   |                 |   |                 |   |                             |       |     |   | 7,701,244     |   |            | 8,002,100 |   | 0.8% |
| Total Non-Control/Non-Affiliate Investments |   |                                               |   |                          |   |                 |   |                 |   |                 |   |                             |       |     |   | 1,133,853,588 |   |            | 1,139,124,231 |   | 112.6% |

----

|  Company (a)                                                                  |   |  Industry |   |  Investments                     |   | Interest Rate |   | EURIBOR/ LIBOR Floor |   |   Maturity Date |   | No. Shares/ Principal Amount (b) |       | Cost (c) |   | Fair Value    |   | % of Net Assets |
|------------------------------------------------------------------------------------|--------|----------------|--------|---------------------------------------|--------|---------------|--------|----------------------|--------|----------------------|--------|----------------------------------|------------|----------|--------|---------------|--------|-----------------|
| Short Term Investments—4.3%                                                  |   |           |   |                                  |   |          |   |                 |   |                 |   |                             |       |     |   |          |   |            |   |   |   |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund FST Preferred Shares |   |           |   | Short Term Investments(e)             |   | 0.02%(m)      |   |                 |   |                 |   | $                                | 28,960,866 |     | $      | 28,960,866    |   | $               | 28,960,866 |   | 2.8% |
| State Street Institutional Liquid Reserves Fund, Institutional Class               |   |           |   | Short Term Investments                |   | 0.09%(m)      |   |                 |   |                 |   |                             | 14,933,166 |     |   | 14,933,166    |   |            | 14,933,166 |   | 1.5% |
| Total Short Term Investments                                                       |   |           |   |                                  |   |          |   |                 |   |                 |   |                             |       |     |   | 43,894,032    |   |            | 43,894,032 |   | 4.3% |
| TOTAL INVESTMENTS —116.9%(n)                                                 |   |           |   |                                  |   |          |   |                 |   |                 |   |                             |       |     | $      | 1,177,747,620 |   |            | 1,183,018,263 |   | 116.90% |
| LIABILITIES IN EXCESS OF OTHER ASSETS—(16.9%)                                |   |           |   |                                  |   |          |   |                 |   |                 |   |                             |       |     |   |          |   |            | (170,996,300 | )  | (16.90)% |
| NET ASSETS—100.0%                                                            |   |           |   |                                  |   |          |   |                 |   |                 |   |                             |       |     |   |          |   | $               | 1,012,021,963 |   | 100.00% |
| Derivative Instruments—0.7% (Note 4)                                         |   |           |   |                                  |   |          |   |                 |   |                 |   |                             |       |     |   |          |   |            |   |   |   |
| Foreign currency forward contracts                                                 |   |           |   | Foreign currency forward contracts(g) |   | N/A           |   |                 |   |                 |   |                             |       |     | $      | —       |   | $               | 1,250,293 |   | 0.1% |
| Total return swaps                                                                 |   |           |   | Total return swaps(g)(j)              |   | N/A           |   |                 |   |                 |   |                             |       |     |   | —       |   |            | 5,957,578 |   | 0.6% |
| Total Derivative Instruments                                                       |   |           |   |                                  |   |          |   |                 |   |                 |   | $                                | —    |     | $      | 7,207,871     |   | 0.7%            |

| *   | 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) | A portfolio company domiciled in a foreign country.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |

----

| (g) | The investment is not a qualifying asset as defined in Section 55(a) under the Investment Company Act of 1940, as amended, or the 1940 Act.  A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is made, qualifying assets represent at least 70% of the company's total assets. The Company calculates its compliance with the qualifying assets test on a "look through" basis by disregarding the value of the Company's total return swaps and treating each loan underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company.  On this basis, 80.6% of the Company's total assets represented qualifying assets as of June 30, 2013. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (h) | 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.                                                                                                                                                                                                                                                                                                                                                                                                                                                      |
| (i) | Security or portion thereof is pledged as collateral supporting the amounts outstanding under the committed facility agreement with BNP Paribas Prime Brokerage, Inc. and eligible to be hypothecated as allowed under Rule 15c2-1(a)(1) of the Exchange Act subject to the limits of the Rehypothecation Agreement.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
| (j) | Investments classified as Level 3 whereby fair value was determined by the Company's Board of Directors (see Note 2).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
| (k) | Position or portion thereof unsettled as of June 30, 2013.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| (l) | A portfolio company investment structured as a credit-linked floating rate note.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |
| (m) | 7-day effective yield as of June 30, 2013.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
| (n) | As of June 30, 2013, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $16,379,004; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $11,108,361; the net unrealized appreciation was $5,270,643; the aggregate cost of securities for Federal income tax purposes was $1,177,747,620.                                                                                                                                                                                                                                                                                                                                                                                              |
| (o) | Investment was on non-accrual status as of June 30, 2013.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |

| Abbreviations:                                                                                                            |
|---------------------------------------------------------------------------------------------------------------------------|
| DE - Germany                                                                                                              |
| ES - Spain                                                                                                                |
| EUR - Euro; principal amount is denominated in Euros currency.  €1 / US $1.301 as of June 30, 2013.       |
| GBP - British Pound Sterling; principal amount is denominated in Pound Sterling. £1 / US $1.521 as of June 30, 2013. |
| L = LIBOR - London Interbank Offered Rate, typically 3-Month                                                              |
| LU - Luxembourg                                                                                                           |
| MX - Mexico                                                                                                               |
| NL - Netherlands                                                                                                          |
| 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% (Note 4)                   |   |                                   |        |        |   |          |        |                |   |          |       |                           |   |   |       |   |
| Total return swaps                                            |   | Total return swaps (g)                 |        | N/A         |   |          |        | 1/15/2016           |   |          | N/A        |                           |   | $      | —    |   |   | $      | 1,349,246  |   |   | 0.2%            |
| Foreign currency forward contracts                            |   | Foreign currency forward contracts (g) |        | 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 |        |   | Six Months Ended |   |
|-------------------------------------|--------|--------------------|-------------|--------|------------------|--------|
|                                |   | June 30, 2013      |        |   | June 30, 2012    |   |   | June 30, 2013 |   |   | June 30, 2012 |   |
| Investment purchases, at cost       |   | $                  | 549,049,217 |   |             | $      | 208,485,240 |   |   | $ | 785,208,326 |   |   | $ | 344,500,850 |   |
| Investment sales, proceeds          |   |               | 238,982,729 |   |             |   | 17,265,916 |   |   |   | 288,501,782 |   |   |   | 38,811,976 |   |
| Principal payments/paydown proceeds |   |               | 17,678,225  |   |             |   | 7,028,546 |   |   |   | 59,695,638 |   |   |   | 9,401,188 |   |

| Asset Category               |   | Cost   |          |   | Fair Value |   |          | Percentage ofPortfolio |   |   | Percentage ofNet Assets |   |
|------------------------------|--------|--------|---------------|--------|------------|--------|---------------|------------------------|--------|--------|-------------------------|--------|
| Senior debt securities       |   | $      | 806,929,296   |   |       | $      | 812,544,936   |                   |   |   | 71.3                    | %      |   |   | 80.3 | % |
| Subordinated debt securities |   |   | 326,475,384   |   |       |   | 325,955,313   |                   |   |   | 28.6                    |   |   |   | 32.2 |   |
| Total debt securities        |   |   | 1,133,404,680 |   |       |   | 1,138,500,249 |                   |   |   | 99.9                    |   |   |   | 112.5 |   |
| Common stock                 |   |   | 448,908       |   |       |   | 623,982       |                   |   |   | 0.1                     |   |   |   | 0.1 |   |
| Subtotal                     |   |   | 1,133,853,588 |   |       |   | 1,139,124,231 |                   |   |   | 100.0                   | %      |   |   | 112.6 |   |
| Short term investments       |   |   | 43,894,032    |   |       |   | 43,894,032    |                   |   |   |                    |   |   |   | 4.3 |   |
| Total investments            |   | $      | 1,177,747,620 |   |       | $      | 1,183,018,263 |                   |   |   |                    |   |   |   | 116.9 | % |

----

| 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                 |   | June 30, 2013 |   |   | December 31, 2012 |   |
|--------------------------------------|--------|---------------|--------|--------|-------------------|--------|
| Software & Services              |   |          | 12.4   | %      |              |   | 9.1 | % |
| Media                                |   |          | 10.6   |   |              |   | 11.0 |   |
| Technology Hardware & Equipment  |   |          | 10.5   |   |              |   | 7.8 |   |
| Insurance                            |   |          | 9.8    |   |              |   | 6.2 |   |
| Materials                            |   |          | 9.4    |   |              |   | 9.9 |   |
| Consumer Durables & Apparel      |   |          | 8.1    |   |              |   | 1.0 |   |
| Capital Goods                        |   |          | 7.8    |   |              |   | 13.7 |   |
| Retailing                            |   |          | 5.1    |   |              |   | 9.2 |   |
| Food, Beverage & Tobacco         |   |          | 5.0    |   |              |   | 1.3 |   |
| Health Care Equipment & Services |   |          | 3.7    |   |              |   | 6.2 |   |
| Telecommunication Services           |   |          | 3.6    |   |              |   | 4.1 |   |
| Consumer Services                    |   |          | 2.6    |   |              |   | 3.7 |   |
| Remaining Industries                 |   |          | 11.4   |   |              |   | 16.8 |   |
| Total                                |   |          | 100.0  | %      |              |   | 100.0 | % |
| Geographic Dispersion (1)            |   |          |   |   |              |   |   |   |
| United States                        |   |          | 86.8   | %      |              |   | 94.4 | % |
| Luxembourg                           |   |          | 4.5    |   |              |   | 1.3 |   |
| Netherlands                          |   |          | 4.1    |   |              |   | — |   |
| United Kingdom                       |   |          | 3.8    |   |              |   | 2.2 |   |
| Remaining Countries                  |   |          | 0.8    |   |              |   | 2.1 |   |
| Total                                |   |          | 100.0  | %      |              |   | 100.0 | % |
| Local Currency                       |   |          |   |   |              |   |   |   |
| U.S. Dollar                          |   |          | 96.0   | %      |              |   | 97.3 | % |
| British Pound Sterling               |   |          | 3.0    |   |              |   | 1.0 |   |
| Euro                                 |   |          | 1.0    |   |              |   | 1.7 |   |
| Total                                |   |          | 100.0  | %      |              |   | 100.0 | % |

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

|                               |                                                             |   | Fair Value    |      |
|------------------------------------|------------------------------------------------------------------|--------|---------------|-----------|
| Derivative Instrument              | Statement Location                                               |   | June 30, 2013 |      |   | December 31, 2012 |   |
| Foreign currency forward contracts | Unrealized appreciation (depreciation) on derivative instruments |   | $             | 1,250,293 |   |   | $ | (146,928 | ) |
| TRS                                | Unrealized appreciation on derivative instruments                |   |          | 5,957,578 |   |   |   | 1,349,246 |   |
| Total                              |                                                             |   | $             | 7,207,871 |   |   | $ | 1,202,318 |   |

----

|                               |                                               |   | Three Months EndedJune 30, 2013 |      |   | Six Months EndedJune 30, 2013 |   |
|------------------------------------|----------------------------------------------------|--------|---------------------------------|-----------|--------|-------------------------------|--------|
| Derivative Instrument              | Statement Location                                 |   | Realized Gain (Loss)            |      |
| Foreign currency forward contracts | Net realized gain (loss) on derivative instruments |   | $                               | (514,749  | )      |                          | $      | 124,569 |   |
| TRS                                | Net realized gain on derivative instruments        |   |                            | 2,296,714 |   |                          |   | 2,525,362 |   |
| Total                              |                                               |   | $                               | 1,781,965 |   |                          | $      | 2,649,931 |   |

|                               |                                                                           |   | Three Months EndedJune 30, 2013 |       |   | Six Months EndedJune 30, 2013 |   |
|------------------------------------|--------------------------------------------------------------------------------|--------|---------------------------------|------------|--------|-------------------------------|--------|
| Derivative Instrument              | Statement Location                                                             |   | Unrealized Gain (Loss)          |       |
| Foreign currency forward contracts | Net change in unrealized appreciation (depreciation) on derivative instruments |   | $                               | 1,237,957  |   |                          | $      | 1,397,221 |   |
| TRS                                | Net change in unrealized appreciation (depreciation) on derivative instruments |   |                            | (1,873,584 | )      |                          |   | 4,608,332 |   |
| Total                              |                                                                           |   | $                               | (635,627   | )      |                          | $      | 6,005,553 |   |

| Foreign Currency |   | Settlement Date |   | Amount andTransaction |            | US$ Value atSettlement Date |   | US$ Value atJune 30, 2013 |   | UnrealizedAppreciation |
|------------------|--------|-----------------|--------|-----------------------|-----------------|-----------------------------|--------|---------------------------|--------|------------------------|
| EUR              |   | July 3, 2013    |   | €               | 2,000,000 Sold  |                        | $      | 2,640,300                 |   |  $                | 2,603,309 |   |  $ | 36,991 |
| EUR              |   | Sep. 10, 2013   |   | €               | 8,100,000 Sold  |                        |   | 10,740,276                |   |                   | 10,546,547 |   |   | 193,729 |
| GBP              |   | Sep. 10, 2013   |   | ₤               | 15,100,000 Sold |                        |   | 23,571,930                |   |                   | 22,955,805 |   |   | 616,125 |
| GBP              |   | Sep. 17, 2013   |   | ₤               | 8,498,000 Sold  |                        |   | 13,321,975                |   |                   | 12,918,527 |   |   | 403,448 |
| Total            |   |            |   |                  |            |                        | $      | 50,274,481                |   |  $                | 49,024,188 |   |  $ | 1,250,293 |

| 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) |

----

|                                                           |   | June 30, 2013 |       |   | December 31, 2012 |   |
|----------------------------------------------------------------|--------|---------------|------------|--------|-------------------|--------|
| Spread interest income                                         |   | $             | 5,265,980  |   |              | $      | 938,085 |   |
| Net realized gain (loss)                                       |   |          | 2,846,488  |   |              |   | (345,303 | ) |
| Net unrealized appreciation (depreciation) of reference assets |   |          | (2,154,890 | )      |              |   | 756,464 |   |
| TRS Total fair value                                           |   | $             | 5,957,578  |   |              | $      | 1,349,246 |   |

----

| Company (a)                         | Industry                            | Investment      |   | Interest Rate |   |   | LIBOR Floor |   | Maturity Date |   | Notional Amount |   |   | Fair Value |   |   | Unrealized Appreciation (Depreciation) |       |
|-------------------------------------|-------------------------------------|-----------------|--------|---------------|--------|--------|-------------|--------|---------------|--------|-----------------|--------|--------|------------|--------|--------|----------------------------------------|------------|
| Air Distribution Technologies, Inc. | Capital Goods                       | Senior Debt     |   |          | L+375  |   |        |   | 1.25%         |   | 11/9/2018       |   | $      | 5,919,359  |   |   | $                                      | 6,032,299  |   |   | $ | 112,940 |   |
| American Rock Salt Co., LLC         | Materials                           | Senior Debt     |   |          | L+425  |   |        |   | 1.25%         |   | 4/25/2017       |   |   | 3,729,525  |   |   |                                   | 3,734,399  |   |   |   | 4,874 |   |
| Applied Systems, Inc.               | Software & Services             | Senior Debt (c) |   |          | L+725  |   |        |   | 1.00%         |   | 6/8/2017        |   |   | 4,753,942  |   |   |                                   | 4,742,247  |   |   |   | (11,695 | ) |
| Avaya Inc.                          | Technology Hardware & Equipment | Senior Debt     |   |          | L+675  |   |        |   | 1.25%         |   | 3/31/2018       |   |   | 11,500,798 |   |   |                                   | 10,865,406 |   |   |   | (635,392 | ) |

| Block Communications, Inc.                         | Media                                              | Subordinated Debt     |   |                      | 7.250%  |   |   |   |     | 2/1/2020   |       |      | 114,480   |        |   |      | 113,130   |        |   |     | (1,350   | )          |
|----------------------------------------------------|----------------------------------------------------|-----------------------|--------|---------------------------|---------|--------|--------|--------|----------|------------|------------|-----------|-----------|-------------|--------|-----------|-----------|-------------|--------|----------|----------|------------|
| Bon-Ton Department Stores, Inc.                    | Retailing                                          | Senior Debt (b)       |   |                      | 8.000%  |   |   |   |     | 6/15/2021  |       |      | 3,777,000 |        |   |      | 3,822,597 |        |   |     | 45,597   |       |
| Builders FirstSource, Inc.                         | Capital Goods                                      | Senior Debt (b)       |   |                      | 7.625%  |   |   |   |     | 6/1/2021   |       |      | 2,649,000 |        |   |      | 2,574,028 |        |   |     | (74,972  | )          |
| Cequel Communications Holdings, LLC                | Media                                              | Subordinated Debt     |   |                      | 5.125%  |   |   |   |     | 12/15/2021 |       |      | 8,007,000 |        |   |      | 7,526,580 |        |   |     | (480,420 | )          |
| Ceridian Corp.                                     | Commercial & Professional Services             | Senior Debt           |   |                      | 8.875%  |   |   |   |     | 7/15/2019  |       |      | 4,456,480 |        |   |      | 4,433,876 |        |   |     | (22,604  | )          |
| Clearwater Paper Corp.                             | Materials                                          | Subordinated Debt (b) |   |                      | 4.500%  |   |   |   |     | 2/1/2023   |       |      | 1,587,000 |        |   |      | 1,499,524 |        |   |     | (87,476  | )          |
| Commscope, Inc.                                    | Technology Hardware & Equipment                | Subordinated Debt     |   | 6.625% cash or 7.375% PIK |    |   |   |   | 6/1/2020 |       |       | 8,908,000 |      |        |   | 8,551,680 |      |        |   | (356,320 | )        |
| Container Store, Inc.                              | Retailing                                          | Senior Debt           |   |                      | L+425   |   |   |   | 1.25%    |       | 4/6/2019   |      |      | 2,323,876   |   |      |      | 2,330,057   |   |     |     | 6,181      |   |
| CSM Bakery Products                                | Food, Beverage & Tobacco                       | Senior Debt (b)(c)    |   |                      | L+375   |   |   |   | 1.00%    |       | 5/23/2020  |      |      | 14,532,574  |   |      |      | 14,523,473  |   |     |     | (9,101     | ) |
| GCI, Inc.                                          | Telecommunication Services                         | Subordinated Debt     |   |                      | 6.750%  |   |   |   |     |       | 6/1/2021   |      |      | 8,793,895   |   |      |      | 8,229,570   |   |     |     | (564,325   | ) |
| Gymboree Corp.                                     | Retailing                                          | Senior Debt           |   |                      | L+350   |   |   |   | 1.50%    |       | 2/23/2018  |      |      | 4,097,160   |   |      |      | 4,080,691   |   |     |     | (16,469    | ) |
| Heartland Dental Care, LLC                         | Pharmaceuticals, Biotechnology & Life Sciences | Senior Debt           |   |                      | L+500   |   |   |   | 1.25%    |       | 12/21/2018 |      |      | 5,988,923   |   |      |      | 6,085,123   |   |     |     | 96,200     |   |
| Internet Brands, Inc.                              | Media                                              | Senior Debt           |   |                      | L+500   |   |   |   | 1.25%    |       | 3/18/2019  |      |      | 453,328     |   |      |      | 447,451     |   |     |     | (5,877     | ) |
| IPC Systems, Inc.                                  | Technology Hardware & Equipment                | Senior Debt           |   |                      | L+650   |   |   |   | 1.25%    |       | 7/31/2017  |      |      | 3,951,390   |   |      |      | 3,992,577   |   |     |     | 41,187     |   |
| Maxim Crane L.P.                                   | Capital Goods                                      | Senior Debt           |   |                      | 12.250% |   |   |   |     |       | 4/15/2015  |      |      | 1,308,883   |   |      |      | 1,280,963   |   |     |     | (27,920    | ) |
| McJunkin Corp.                                     | Energy                                             | Senior Debt           |   |                      | L+475   |   |   |   | 1.25%    |       | 11/8/2019  |      |      | 4,246,423   |   |      |      | 4,210,468   |   |     |     | (35,955    | ) |
| Misys Ltd.                                         | Software & Services                            | Senior Debt (b)       |   |                      | 12.000% |   |   |   |     |       | 6/12/2019  |      |      | 5,981,728   |   |      |      | 6,579,671   |   |     |     | 597,943    |   |
| Misys Ltd.                                         | Software & Services                            | Senior Debt (b)       |   |                      | L+600   |   |   |   | 1.25%    |       | 12/12/2018 |      |      | 1,412,020   |   |      |      | 1,389,371   |   |     |     | (22,649    | ) |
| Neenah Paper, Inc.                                 | Materials                                          | Subordinated Debt (b) |   |                      | 5.250%  |   |   |   |     |       | 5/15/2021  |      |      | 2,227,000   |   |      |      | 2,161,473   |   |     |     | (65,527    | ) |
| NEP Group, Inc.                                    | Media                                              | Senior Debt           |   |                      | L+825   |   |   |   | 1.25%    |       | 7/22/2020  |      |      | 1,314,831   |   |      |      | 1,330,916   |   |     |     | 16,085     |   |
| OneStopPlus, Inc.                                  | Consumer Durables & Apparel                    | Senior Debt           |   |                      | L+450   |   |   |   | 1.00%    |       | 2/5/2020   |      |      | 2,642,989   |   |      |      | 2,680,106   |   |     |     | 37,117     |   |
| RedPrairie Corp.                                   | Software & Services                            | Senior Debt           |   |                      | L+550   |   |   |   | 1.25%    |       | 12/21/2018 |      |      | 1,072,610   |   |      |      | 1,097,442   |   |     |     | 24,832     |   |
| RedPrairie Corp.                                   | Software & Services                            | Senior Debt           |   |                      | L+1000  |   |   |   | 1.25%    |       | 12/21/2019 |      |      | 5,054,580   |   |      |      | 4,791,568   |   |     |     | (263,012   | ) |
| Sanmina Corp.                                      | Technology Hardware & Equipment                | Subordinated Debt (b) |   |                      | 7.000%  |   |   |   |     |       | 5/15/2019  |      |      | 471,622     |   |      |      | 475,065     |   |     |     | 3,443      |   |
| Sedgwick Claims Management Services Holdings, Inc. | Insurance                                          | Senior Debt           |   |                      | L+325   |   |   |   | 1.00%    |       | 6/15/2018  |      |      | 2,386,424   |   |      |      | 2,388,596   |   |     |     | 2,172      |   |
| Select Medical Corp.                               | Health Care Equipment & Services               | Subordinated Debt (b) |   |                      | 6.375%  |   |   |   |     |       | 6/1/2021   |      |      | 9,674,000   |   |      |      | 9,190,300   |   |     |     | (483,700   | ) |
| Summit Materials, LLC                              | Materials                                          | Subordinated Debt     |   |                      | 10.500% |   |   |   |     |       | 1/31/2020  |      |      | 655,598     |   |      |      | 634,725     |   |     |     | (20,873    | ) |
| The TelX Group, Inc.                               | Telecommunication Services                         | Senior Debt           |   |                      | L+500   |   |   |   | 1.25%    |       | 9/25/2017  |      |      | 6,983,360   |   |      |      | 7,025,536   |   |     |     | 42,176     |   |
| TOTAL                                              |                                               |                  |   |                      |    |   |   |   |     |       |       |      | $         | 140,975,798 |   |      | $         | 138,820,908 |   |     | $        | (2,154,890 | ) |

| (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 June 30, 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 |   |
| 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 | ) |

----

| Company (a)                      | Industry                                          | Investment            |   | Interest Rate |   |   | LIBOR Floor |   | Maturity Date |   | Notional Amount |   |   | Fair Value  |   |   | Unrealized Appreciation (Depreciation) |        |
|----------------------------------|---------------------------------------------------|-----------------------|--------|---------------|--------|--------|-------------|--------|---------------|--------|-----------------|--------|--------|-------------|--------|--------|----------------------------------------|-------------|
| Sabre, Inc.                      | Transportation                                    | Senior Debt (c)       |   |          | L+600  |   |        |   | 1.25%         |   | 12/29/2017      |   |   | 2,212,085   |   |   |                                   | 2,211,865   |   |   |   | (220 | ) |
| Savers, Inc.                     | Retailing                                         | Senior Debt (c)       |   |          | L+375  |   |        |   | 1.25%         |   | 7/9/2019        |   |   | 204,618     |   |   |                                   | 204,681     |   |   |   | 63 |   |
| Scitor Corp.                     | Capital Goods                                     | Senior Debt (c)       |   |          | L+350  |   |        |   | 1.50%         |   | 2/15/2017       |   |   | 21,713      |   |   |                                   | 21,761      |   |   |   | 48 |   |
| SGS International, Inc.          | Media                                             | Senior Debt           |   |          | L+375  |   |        |   | 1.25%         |   | 10/17/2019      |   |   | 5,515,510   |   |   |                                   | 5,543,226   |   |   |   | 27,716 |   |
| Skilled Healthcare Group, Inc.   | Health Care Equipment & Services              | Senior Debt (b)       |   |          | L+525  |   |        |   | 1.50%         |   | 4/9/2016        |   |   | 14,806      |   |   |                                   | 14,738      |   |   |   | (68 | ) |
| Spectrum Brands, Inc.            | Household & Personal Products                 | Senior Debt (b)       |   |          | L+325  |   |        |   | 1.25%         |   | 12/17/2019      |   |   | 1,525,129   |   |   |                                   | 1,551,848   |   |   |   | 26,719 |   |
| Tempur-Pedic International, Inc. | Commercial  & Professional Services | Senior Debt (b)(c)    |   |          | L+400  |   |        |   | 1.00%         |   | 11/14/2019      |   |   | 6,852,112   |   |   |                                   | 7,000,436   |   |   |   | 148,324 |   |
| Terex Corp.                      | Capital Goods                                     | Subordinated Debt (b) |   |          | 6.000% |   |        |   |          |   | 5/15/2021       |   |   | 4,626,000   |   |   |                                   | 4,857,300   |   |   |   | 231,300 |   |
| The TelX Group, Inc.             | Telecommunication Services                        | Senior Debt (c)       |   |          | L+500  |   |        |   | 1.25%         |   | 9/23/2017       |   |   | 7,018,541   |   |   |                                   | 6,998,936   |   |   |   | (19,605 | ) |
| Tomkins Air Distribution         | Capital Goods                                     | Senior Debt           |   |          | L+375  |   |        |   | 1.25%         |   | 11/9/2018       |   |   | 5,949,104   |   |   |                                   | 6,058,021   |   |   |   | 108,917 |   |
| USI Holdings Corp.               | Insurance                                         | Subordinated Debt     |   |          | 7.750% |   |        |   |          |   | 1/15/2021       |   |   | 1,076,000   |   |   |                                   | 1,062,550   |   |   |   | (13,450 | ) |
| USI Holdings Corp.               | Insurance                                         | Senior Debt (c)       |   |          | L+400  |   |        |   | 1.25%         |   | 12/27/2019      |   |   | 1,918,906   |   |   |                                   | 1,940,121   |   |   |   | 21,215 |   |
| West Corp.                       | Software & Services                           | Subordinated Debt     |   |          | 8.625% |   |        |   |          |   | 10/1/2018       |   |   | 6,029,800   |   |   |                                   | 6,095,500   |   |   |   | 65,700 |   |
| West Corp.                       | Software & Services                           | Senior Debt (c)       |   |          | L+425  |   |        |   | 1.25%         |   | 7/15/2016       |   |   | 5,021       |   |   |                                   | 5,013       |   |   |   | (8 | ) |
|                             |                                              |                  |   |          |   |   |        |   |          |   |            |   | $      | 164,011,774 |   |   | $                                      | 164,768,238 |   |   | $ | 756,464 |   |

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

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

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

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

|                         |   | June 30, 2013 |       |
|------------------------------|--------|---------------|------------|
| Investment Type              |   | Level 1       |       |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Senior debt securities       |   | $             | —    |   |   | $ | 646,881,312 |   |   | $ | 165,663,624 |   |   | $ | 812,544,936 |   |
| Subordinated debt securities |   |          | —    |   |   |   | 314,141,086 |   |   |   | 11,814,227 |   |   |   | 325,955,313 |   |
| Common stock                 |   |          | —    |   |   |   | — |   |   |   | 623,982 |   |   |   | 623,982 |   |
| Subtotal                     |   |          | —    |   |   |   | 961,022,398 |   |   |   | 178,101,833 |   |   |   | 1,139,124,231 |   |
| Short term investments       |   |          | 43,894,032 |   |   |   | — |   |   |   | — |   |   |   | 43,894,032 |   |
| Total                        |   | $             | 43,894,032 |   |   | $ | 961,022,398 |   |   | $ | 178,101,833 |   |   | $ | 1,183,018,263 |   |

| Derivative Type                    |   | Level 1 |    |   | Level 2 |   |      | Level 3 |   |   | Total     |   |
|------------------------------------|--------|---------|---------|--------|---------|--------|-----------|---------|--------|--------|-----------|--------|
| Assets                             |   |    |    |   |    |   |      |    |   |   |      |   |
| Foreign currency forward contracts |   | $       | — |   |    | $      | 1,250,293 |    |   | $      | —   |   |   | $ | 1,250,293 |   |
| Total return swaps                 |   |    | — |   |    |   | —   |    |   |   | 5,957,578 |   |   |   | 5,957,578 |   |
| Total                              |   | $       | — |   |    | $      | 1,250,293 |    |   | $      | 5,957,578 |   |   | $ | 7,207,871 |   |

----

|                         |   | 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 toValuation froman Increase inInput (4) |
|---------------------------------------------------------------|-----------------------------------------------|----------------------------------|------------------------|-----------------------------|------------------------------------------------|
| Senior Debt                                                   |                                          | Broker Quotes                    | Mid Price              | 94.5 (94.5)                 | Increase                                       |
|                                                          | Market Comparables                            | Yield                            | 12.8% (12.8%)          | Decrease                    |
| $    7,560,000                            | Discount Margin                               | 1123 bps (1123 bps)              | Decrease               |
|                                                          | Debt/EBITDA multiple                          | 5.1x (5.1x)                      | Decrease               |
|                                                          | Illiquidity Discount                          | 4% (4%)                          | Decrease               |
|    158,103,624                                 | Market Comparables                            | Yield                            | 7.00%-11.50% (8.99%)   | Decrease                    |
| Discount Margin                                               | 567-1076 bps (801 bps)                        | Decrease                         |
| Debt/EBITDA multiple                                          | 1.9-5.8x (3.9x)                               | Decrease                         |
| Illiquidity Discount                                          | 0-3.00% (1.81%)                               | Decrease                         |
| Subordinated Debt                                             |       3,392,419 | Broker Quotes                    | Bid Price              | 102.49 (102.49)             | Increase                                       |
|       8,421,808                 | Market Comparables                            | Yield                            | 11.04%-11.50% (11.19%) | Decrease                    |
| Discount Margin                                               | 909-994 bps (937 bps)                         | Decrease                         |
| Debt/EBITDA multiple                                          | 4.4-6.2x (5.6x)                               | Decrease                         |
| Illiquidity Discount                                          | 2.00% (2.00%)                                 | Decrease                         |
| Common Stock                                                  |                                          |                             | Illiquidity Discount   | 15% (15%)                   | Decrease                                       |
|                                                          | Market Comparables                            | LTM EBITDA Multiple              | 14.6x (14.6x)          | Increase                    |
|          623,982 |                                          | Forward EBITDA Multiple          | 10.9x (10.9x)          | Increase                    |
|                                                          | Discounted Cash Flow                          | Weighted Average Cost of Capital | 12.9% (12.9%)          | Decrease                    |
|                                                          | Exit EBITDA Multiple                          | 10.5x (10.5x)                    | Increase               |
| Total                                                         | $ 178,101,833                                 |                             |                   |                        |                                           |

| (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                                          |
|      67,909,567 | Broker Quotes                                                       | Mid Price                | 98 - 101.5 (98.55)               | Increase                    |
| 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                        |         6,208,491           | Broker Quotes            | Bid Price                        | 104.02 (104.02)             | Increase                                          |
| Market Comparables                       | Yield                                                               | 12.0 - 13.0% (12.54%)    | Decrease                         |
| Discount Margin                          | 1071 - 1250 bps (1170 bps)                                          | Decrease                 |
| EBITDA Multiple                          | 9.6x (9.6x)                                                         | Increase                 |
| Illiquidity Discount                     | 2% (2%)                                                             | Decrease                 |
|                                     |                                                                |                     | Forward EBITDA Multiple          | 9.8x (9.8x)                 | Increase                                          |
| Common Stock                             |                                                                | Market Comparables       | 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%. Indicative 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 April 1, 2013                                                                                         |   | $                     | 76,405,042  |   |                        | $      | 6,130,775  |        |   | $      | 511,755           |   |   | $      | 7,831,162  |   |   | $ | 90,878,734 |   |
| Purchases                                                                                                                      |   |                  | 92,616,432  |   |                        |   | 5,938,259  |        |   |   | —           |   |   |   | —    |   |   |   | 98,554,691 |   |
| Net realized gain                                                                                                              |   |                  | 13,097      |   |                        |   | —    |        |   |   | —           |   |   |   | 2,296,714  |   |   |   | 2,309,811 |   |
| Net change in unrealized appreciation (1)                                                                                      |   |                  | (329,986    | )      |                        |   | (253,793   | )           |   |   | 112,227           |   |   |   | (1,873,584 | ) |   |   | (2,345,136 | ) |
| Sales or repayments                                                                                                            |   |                  | (3,102,269  | )      |                        |   | —    |        |   |   | —           |   |   |   | (2,296,714 | ) |   |   | (5,398,983 | ) |
| Net discount accretion                                                                                                         |   |                  | 61,308      |   |                        |   | (1,014     | )           |   |   | —           |   |   |   | —    |   |   |   | 60,294 |   |
| Transfers out of Level 3                                                                                                       |   |                  | —     |   |                        |   | —    |        |   |   | —           |   |   |   | —    |   |   |   | — |   |
| Transfers into Level 3                                                                                                         |   |                  | —     |   |                        |   | —    |        |   |   | —           |   |   |   | —    |   |   |   | — |   |
| Fair Value Balance as of June 30, 2013                                                                                         |   | $                     | 165,663,624 |   |                        | $      | 11,814,227 |        |   | $      | 623,982           |   |   | $      | 5,957,578  |   |   | $ | 184,059,411 |   |
| Change in net unrealized appreciation (depreciation) in investments still held     as of June 30, 2013 (1) |   | $                     | (304,713    | )      |                        | $      | (253,793   | )           |   | $      | 112,227           |   |   | $      | (1,873,584 | ) |   | $ | (2,319,863 | ) |

| (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, 2013                                                                                           |   | $                     | 86,590,576  |   |                        | $      | 6,208,491  |        |   | $      | 453,397           |   |   | $      | 1,349,246  |   |   | $ | 94,601,710 |   |
| Purchases                                                                                                                          |   |                  | 102,818,908 |   |                        |   | 5,938,259  |        |   |   | —           |   |   |   | —    |   |   |   | 108,757,167 |   |
| Net realized gain                                                                                                                  |   |                  | 60,292      |   |                        |   | —    |        |   |   | —           |   |   |   | 2,525,362  |   |   |   | 2,585,654 |   |
| Net change in unrealized appreciation (1)                                                                                          |   |                  | (620,384    | )      |                        |   | (330,557   | )           |   |   | 170,585           |   |   |   | 4,608,332  |   |   |   | 3,827,976 |   |
| Sales or repayments                                                                                                                |   |                  | (6,400,178  | )      |                        |   | —    |        |   |   | —           |   |   |   | (2,525,362 | ) |   |   | (8,925,540 | ) |
| Net discount accretion                                                                                                             |   |                  | 649,248     |   |                        |   | (1,966     | )           |   |   | —           |   |   |   | —    |   |   |   | 647,282 |   |
| Transfers out of Level 3                                                                                                           |   |                  | (17,434,838 | )      |                        |   | —    |        |   |   | —           |   |   |   | —    |   |   |   | (17,434,838 | ) |
| Transfers into Level 3                                                                                                             |   |                  | —     |   |                        |   | —    |        |   |   | —           |   |   |   | —    |   |   |   | — |   |
| Fair Value Balance as of June 30, 2013                                                                                             |   | $                     | 165,663,624 |   |                        | $      | 11,814,227 |        |   | $      | 623,982           |   |   | $      | 5,957,578  |   |   | $ | 184,059,411 |   |
| Change in net unrealized appreciation (depreciation) in investments still held    as of June 30, 2013 (1) |   | $                     | (51,517     | )      |                        | $      | (330,557   | )           |   | $      | 170,585           |   |   | $      | 4,608,332  |   |   | $ | 4,396,843 |   |

| (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   |   |
|--------------------------------------------------------------------------------------------------------------------------------|--------|-----------------------|------------|--------|-----------------------------|--------|-----------|-------------|--------|--------|---------|--------|
| Fair Value Balance as of April 1, 2012                                                                                         |   | $                     | 8,560,560  |   |                        | $      | 6,006,623 |        |   | $      | 448,908 |   |   | $ | 15,016,091 |   |
| Purchases                                                                                                                      |   |                  | 10,487,336 |   |                        |   | 1,120,486 |        |   |   | — |   |   |   | 11,607,822 |   |
| Sales                                                                                                                          |   |                  | —    |   |                        |   | —   |        |   |   | — |   |   |   | — |   |
| Net realized gain                                                                                                              |   |                  | 338        |   |                        |   | —   |        |   |   | — |   |   |   | 338 |   |
| Net change in unrealized appreciation (1)                                                                                      |   |                  | 105,524    |   |                        |   | (67,137   | )           |   |   | 31,423  |   |   |   | 69,810 |   |
| Principal reduction                                                                                                            |   |                  | (2,258,210 | )      |                        |   | —   |        |   |   | — |   |   |   | (2,258,210 | ) |
| Net discount accretion                                                                                                         |   |                  | 5,239      |   |                        |   | 313       |        |   |   | — |   |   |   | 5,552 |   |
| Transfers into Level 3                                                                                                         |   |                  | —    |   |                        |   | —   |        |   |   | — |   |   |   | — |   |
| Fair Value Balance as of June 30, 2012                                                                                         |   | $                     | 16,900,787 |   |                        | $      | 7,060,285 |        |   | $      | 480,331 |   |   | $ | 24,441,403 |   |
| Change in net unrealized appreciation (depreciation) in investments still held     as of June 30, 2012 (1) |   | $                     | 124,738    |   |                        | $      | (67,128   | )           |   | $      | 31,423  |   |   | $ | 57,610 |   |

| (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   |   |
|--------------------------------------------------------------------------------------------------------------------------------|--------|-----------------------|------------|--------|-----------------------------|--------|-----------|-------------|--------|--------|---------|--------|
| Fair Value Balance as of January 1, 2012                                                                                       |   | $                     | 4,651,937  |   |                        | $      | 963,533   |        |   | $      | — |   |   | $ | 5,615,470 |   |
| Purchases                                                                                                                      |   |                  | 14,185,435 |   |                        |   | 7,090,290 |        |   |   | 448,908 |   |   |   | 21,724,633 |   |
| Sales                                                                                                                          |   |                  | —    |   |                        |   | —   |        |   |   | — |   |   |   | — |   |
| Net realized gain                                                                                                              |   |                  | 967        |   |                        |   | 11,960    |        |   |   | — |   |   |   | 12,927 |   |
| Net change in unrealized appreciation (1)                                                                                      |   |                  | 144,031    |   |                        |   | (6,328    | )           |   |   | 31,423  |   |   |   | 169,126 |   |
| Principal reduction                                                                                                            |   |                  | (2,292,619 | )      |                        |   | (998,479  | )           |   |   | — |   |   |   | (3,291,098 | ) |
| Net discount accretion                                                                                                         |   |                  | 9,969      |   |                        |   | (691      | )           |   |   | — |   |   |   | 9,278 |   |
| Transfers into Level 3                                                                                                         |   |                  | 201,067    |   |                        |   | —   |        |   |   | — |   |   |   | 201,067 |   |
| Fair Value Balance as of June 30, 2012                                                                                         |   | $                     | 16,900,787 |   |                        | $      | 7,060,285 |        |   | $      | 480,331 |   |   | $ | 24,441,403 |   |
| Change in net unrealized appreciation (depreciation) in investments still held     as of June 30, 2012 (1) |   | $                     | 171,616    |   |                        | $      | (28,919   | )           |   | $      | 31,423  |   |   | $ | 142,697 |   |

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

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

| (i)     | a subordinated incentive fee on pre-incentive fee net investment income, that is paid quarterly if earned, and it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.75% of average adjusted capital up to a limit of 0.4375% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.1875% of average adjusted capital and |
|-----------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (ii)    | an incentive fee on capital gains that is paid annually if earned, and it is equal to 20% of (A) all realized gains on a cumulative basis from inception, net of (i) all realized losses on a cumulative basis, (ii) unrealized depreciation at year end and (iii) disregarding any net realized gains associated with the TRS interest spread (which represents the difference between (a) the interest and fees received on total return swaps, and (b) the financing fees paid to the total return swaps counterparty), and subtracting  (B) the aggregate amount of any previously paid incentive fee on capital gains. |
|------------------------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|                 |   |                                                                               |   | Three Months Ended |       |   | Six Months Ended |   |
|----------------------|--------|------------------------------------------------------------------------------------|--------|--------------------|------------|--------|------------------|--------|
| Related Party        |   | Source Agreement & Description                                                 |   | June 30, 2013      |       |   | June 30, 2012    |   |   | June 30, 2013 |   |   | June 30, 2012 |   |
| CNL Securities Corp. |   | Managing Dealer Agreement: selling commissions and marketing support fees          |   | $                  | 21,278,714 |   |             | $      | 13,767,017 |   |   | $ | 39,777,914 |   |   | $ | 22,636,040 |   |
| CNL and KKR          |   | Investment Advisory Agreement: base management fees (investment advisory fees)     |   |               | 6,490,803  |   |             |   | 1,621,659 |   |   |   | 11,351,469 |   |   |   | 2,515,819 |   |
| CNL and KKR          |   | Investment Advisory Agreement: performance-based incentive fees(1)                 |   |               | —    |   |             |   | — |   |   |   | — |   |   |   | — |   |
| CNL and KKR          |   | Investment Advisory Agreement: organization and offering expenses reimbursement(2) |   |               | 2,325,588  |   |             |   | 1,087,899 |   |   |   | 3,992,296 |   |   |   | 1,615,640 |   |
| CNL                  |   | Administrative Services Agreement: administrative and compliance services          |   |               | 355,409    |   |             |   | 199,597 |   |   |   | 690,001 |   |   |   | 318,415 |   |

| (1) | During the six months ended June 30, 2013 and 2012, the Company recorded performance-based incentive fee expense of $136,857 and $532,967, 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 June 30, 2013 and 2012. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | The Advisors received reimbursement payments for offering expenses in the amount of $3,637,309 in the six months ended June 30, 2013, including $436,903 that was recorded as reimbursement payable at December 31, 2012. The Company recorded a reimbursement payable to the Advisors in the amount of $791,890 for offering expenses as of June 30, 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 and offering expenses in the amount of $1,184,860 in the six months ended June 30, 2012, including $896,218 for organization expenses and $288,642 for offering expenses. The Company recorded a reimbursement payable to the Advisors in the amount of $430,780 for offering expenses as of June 30, 2012 which is included in other accrued expenses and liabilities on the condensed statements of assets and liabilities. As of June 30, 2013, the outstanding unreimbursed Offering expenses, net of reimbursement payable, amounted to $1,627,885. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Period Ended      |   | Expense SupportPayments Receivedfrom Advisors |      |   | Reimbursement Paymentsto Advisors |   |      | UnreimbursedExpenseSupport Payments(1) |   |   | ReimbursementPaymentsEligibility through |   |
|-------------------|--------|-----------------------------------------------|-----------|--------|----------------------------------------|--------|-----------|----------------------------------------|--------|--------|------------------------------------------|--------|
| December 31, 2011 |   | $                                             | 1,375,592 |   |                                   | $      | 1,375,592 |                                   |   | $      | —                                  |   |   |   | — |   |
| 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 June 30, 2013 the Company has accrued $1,136,064 for Reimbursement Payment to Advisors. |
|-----|-----------------------------------------------------------------------------------------------|

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

| Basic and Diluted Net Increase (Decrease) in Net Assets Per Share      |          |
|------------------------------------------------------------------------|---------------|
|                                                                   |          | Three Months Ended |   |   | Six Months Ended |   |
|                                                                   | June 30, 2013 |   |   | June 30, 2012 |   |   | June 30, 2013 |   |   | June 30, 2012 |   |
| Net increase in net assets resulting from operations                   |          | $ | 3,393,996 |   |   | $ | 2,075,699 |   |   | $ | 26,836,755 |   |   | $ | 7,551,627 |   |
| Weighted average shares outstanding                                    |          |   | 92,302,446 |   |   |   | 22,102,008 |   |   |   | 81,887,209 |   |   |   | 16,525,646 |   |
| Basic/diluted net increase in net assets from operations per share (1) |          | $ | 0.04 |   |   | $ | 0.09 |   |   | $ | 0.33 |   |   | $ | 0.46 |   |

| (1) | Diluted and basic net increase in net assets from operations per share were equivalent in each period because there were no common stock equivalents outstanding in each period. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

| Declared Distributions                                              |   | Per Share |   |   | Amount |   |       | Allocation |   |
|---------------------------------------------------------------------|--------|-----------|--------|--------|--------|--------|------------|------------|--------|
| For three months ended March 31, 2013 (13 record dates)             |   | $         | 0.20   |   |   | $      | 13,735,491 |       |   |   |   |
| For three months ended June 30, 2013 (13 record dates)              |   |      | 0.19   |   |   |   | 17,807,154 |       |   |   |   |
| Total Declared Distributions for the six months ended June 30, 2013 |   | $         | 0.39   |   |   | $      | 31,542,645 |       |   |   | 100.0 | % |
| From Net Investment Income                                          |   | $         | 0.19   |   |   | $      | 14,969,497 |       |   |   | 47.5 |   |
| From Realized Gains                                                 |   |      | 0.08   |   |   |   | 6,843,493  |       |   |   | 21.7 |   |
| Distributions in Excess of Net Investment Income                    |   |      | 0.12   |   |   |   | 9,729,655  |       |   |   | 30.8 |   |

----

| For the six months ended June 30, 2013                                      |   | Amount |      |
|-----------------------------------------------------------------------------|--------|--------|-----------|
| Ordinary income component of tax basis accumulated earnings                 |   | $      | 819,014   |   |
| Unearned performance-based incentive fee                                    |   |   | 136,857   |   |
| Offering expenses                                                           |   |   | 2,646,680 |   |
| Net change in unrealized appreciation on total return swaps                 |   |   | 4,608,332 |   |
| Net change in unrealized appreciation on foreign currency forward contracts |   |   | 1,397,221 |   |
| Total(1)                                                                    |   | $      | 9,608,104 |   |

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

|                                   |   | Six Months Ended June 30, 2013 |       |   | Six Months Ended June 30, 2012 |   |
|----------------------------------------|--------|--------------------------------|------------|--------|--------------------------------|--------|
|                                   |   | Shares                         |       |   | Amount                         |   |   | Shares |   |   | Amount |   |
| Gross Proceeds from Offering           |   |                           | 39,284,016 |   |                           | $      | 430,656,506 |   |   |   | 22,043,951 |   |   | $ | 236,694,465 |   |
| Commissions and Marketing Support Fees |   |                           | —    |   |                           |   | (39,777,914 | ) |   |   | — |   |   |   | (22,636,040 | ) |
| Net Proceeds to Company                |   |                           | 39,284,016 |   |                           |   | 390,878,592 |   |   |   | 22,043,951 |   |   |   | 214,058,425 |   |
| Reinvestment of Distributions          |   |                           | 1,592,660  |   |                           |   | 15,865,179 |   |   |   | 344,681 |   |   |   | 3,348,013 |   |
| Net Proceeds from Offering             |   |                           | 40,876,676 |   |                           | $      | 406,743,771 |   |   |   | 22,388,632 |   |   | $ | 217,406,438 |   |
| Average Net Proceeds Per Share         |   | $9.95                          |       |   | $9.71                          |   |

| Repurchase Date   |   | Total Number of Shares Offered to Repurchase |      |   | Total Number of Shares Purchased |   |    | No. of Shares Purchased/ Total Offer |   |   | Price Paid per Share |   |   | Total Consideration |   |
|-------------------|--------|----------------------------------------------|-----------|--------|----------------------------------|--------|---------|--------------------------------------|--------|--------|----------------------|--------|--------|---------------------|--------|
| February 20, 2013 |   |                                         | 785,106   |   |                             |   | 84,074  |                                 |   |   | 11                   | %      |   | $                   | 9.73   |   |   | $ | 818,045 |   |
| May 24, 2013      |   |                                         | 1,158,737 |   |                             |   | 68,788  |                                 |   |   | 6                    | %      |   |                | 9.91   |   |   |   | 681,687 |   |
| Total             |   |                                         | 1,943,843 |   |                             |   | 152,862 |                                 |   |   | 8                    | %      |   |                |   |   |   | $ | 1,499,732 |   |

----

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

|                                                                   |   | Six Months Ended |      |
|------------------------------------------------------------------------|--------|------------------|-----------|
| OPERATING PERFORMANCE PER SHARE                                        |   | June 30, 2013    |      |   | June 30, 2012 |   |
| Net Asset Value, Beginning of Period                                   |   | $                | 9.75      |   |   | $ | 9.21 |   |
| Net Investment Income, Before Expense Support/ Reimbursement (1)       |   |             | 0.19      |   |   |   | 0.20 |   |
| Expense Support/ Reimbursement (1)                                     |   |             | (0.01     | ) |   |   | 0.09 |   |
| Net Investment Income (1)                                              |   |             | 0.18      |   |   |   | 0.29 |   |
| Net Realized and Unrealized Gain (1)(2)                                |   |             | 0.21      |   |   |   | 0.42 |   |
| Net Increase Resulting from Investment Operations                      |   |             | 0.39      |   |   |   | 0.71 |   |
| Distributions from Net Investment Income (3)                           |   |             | (0.19     | ) |   |   | (0.29 | ) |
| Distributions from Realized Gains (3)                                  |   |             | (0.08     | ) |   |   | (0.09 | ) |
| Distributions in Excess of Net Investment Income(3)(10)                |   |             | (0.12     | ) |   |   | — |   |
| Net Decrease Resulting from Distributions to Common Shareholders       |   |             | (0.39     | ) |   |   | (0.38 | ) |
| Capital Share Transactions                                             |   |             |      |   |   |   |   |   |
| Issuance of common stock above net asset value (4)                     |   |             | 0.03      |   |   |   | 0.10 |   |
| Repurchases of common stock (5)                                        |   |             | —   |   |   |   | — |   |
| Net Increase Resulting from Capital Share Transactions                 |   |             | 0.03      |   |   |   | 0.10 |   |
| Net Asset Value, End of Period                                         |   | $                | 9.78      |   |   | $ | 9.64 |   |
| INVESTMENT RETURNS                                                     |   |             |      |   |   |   |   |   |
| Total Investment Return-Net Price (6)                                  |   |             | 3.19      | % |   |   |  8.60 | % |
| Total Investment Return-Net Asset Value (7)                            |   |             | 4.30      | % |   |   |  8.77 | % |
|                                                                   |   |             |      |   |   |   |   |   |
| RATIOS/SUPPLEMENTAL DATA (all amounts in thousands except ratios) |   |             |      |   |   |   |   |   |
| Net Assets, End of Period                                              |   | $                | 1,012,022 |   |   | $ | 284,026 |   |
| Average Net Assets (8)                                                 |   | $                | 808,277   |   |   | $ | 158,526 |   |
| Average Credit Facility Borrowings(8)                                  |   | $                | 217,535   |   |   | $ | 62,108 |   |
| Shares Outstanding, End of Period                                      |   |             | 103,452   |   |   |   | 29,462 |   |
| Weighted Average Shares Outstanding                                    |   |             | 81,887    |   |   |   | 16,526 |   |
| Ratios to Average Net Assets: (8)                                      |   |             |      |   |   |   |   |   |
| Total Operating Expenses Before Expense Support/Reimbursement          |   |             | 2.45      | % |   |   | 4.00 | % |
| Total Operating Expenses After Expense Support/Reimbursement           |   |             | 2.59      | % |   |   | 3.01 | % |
| Net Investment Income                                                  |   |             | 1.85      | % |   |   | 3.06 | % |
| Portfolio Turnover Rate                                                |   |             | 32        | % |   |   | 16 | % |
| Asset Coverage Ratio (9)                                               |   |             | 6.00      |   |   |   | 4.64 |   |

|   |   |
|--------|--------|

|   | (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) | The per share impact of the Company’s repurchase of common stock is a reduction to net asset value of less than $0.01 per share during the applicable period. |
|--------|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (6) | 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. |
|--------|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (7) | 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. |
|--------|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (8) | 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. |
|--------|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (9) | 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. |
|--------|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | (10) | See Note 8 of the condensed consolidated financial statements for further insight into the sources of distributions that contribute to the occurrence of distributions in excess of net investment income. |
|--------|------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

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

| Summary of Revolving Credit Facilities as of June 30, 2013 |   |
|------------------------------------------------------------|--------|
|                                                       |   | Deutsche Bank Credit Facility |   |   | BNP Credit Facility |   |
| Maturity                                                   |   | August 22, 2013 to February 11, 2015 |   |   | June 29, 2014 |   |
| Unused Commitment  Fee                           |   | 0.50% to 0.75% |   |   |   | 0.55 | % |
| Stated Interest Rate                                       |   | L + 1.50% to 2.33% |   |   |   | L+ 1.10% |   |
| Borrowing Commitment Amount                                |   | $ | 340,000,000 |   |   | $ | 200,000,000 |   |
| Amount Borrowed as of June 30                              |   |   | 69,440,000 |   |   |   | 100,000,000 |   |
| Unused Borrowing Commitment Balance as of June 30          |   | $ | 270,560,000 |   |   | $ | 100,000,000 |   |
| For the three months ended June 30, 2013:                  |   |   |   |   |   |   |   |   |
| Average Borrowings (1)                                     |   | $ | 204,604,835 |   |   | $ | 68,421,053 |   |
| Direct Interest Expense                                    |   |   | 1,085,710 |   |   |   | 46,727 |   |
| Unused Commitment Fees                                     |   |   | 155,461 |   |   |   | 18,333 |   |
| Amortization of Deferred Financing Costs                   |   |   | 202,093 |   |   |   | 21,325 |   |
| Total Interest Expense                                     |   | $ | 1,443,264 |   |   | $ | 86,385 |   |
| Weighted Average Interest Rate                             |   |   | 2.15 | % |   |   | 1.29 | % |

| For the six months ended June 30, 2013:  |   |   |        |   |   |   |       |   |
|------------------------------------------|--------|--------|-------------|--------|--------|--------|------------|--------|
| Average Borrowings (1)                   |   | $      | 210,352,597 |   |   | $      | 68,421,053 |   |
| Direct Interest Expense                  |   |   | 2,270,330   |   |   |   | 46,727     |   |
| Unused Commitment Fees                   |   |   | 155,814     |   |   |   | 18,333     |   |
| Amortization of Deferred Financing Costs |   |   | 328,708     |   |   |   | 21,325     |   |
| Total Interest Expense                   |   | $      | 2,754,852   |   |   | $      | 86,385     |   |
| Weighted Average Interest Rate           |   |   | 2.19        | %      |   |   | 1.29       | %      |

----

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

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

----

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

----

|   | (i) | the business terms for investing debt and equity capital in the portfolio company are negotiated in all respects, |
|--------|-----|-------------------------------------------------------------------------------------------------------------------|

|   | (ii) | KKR or one or more of its affiliates is directly sourcing and negotiating the business terms of the Co-Investment Transaction, and |
|--------|------|------------------------------------------------------------------------------------------------------------------------------------|

|   | (iii) | we can establish and liquidate our investment position alongside other investment funds that are managed by KKR or that represent affiliates of KKR. |
|--------|-------|------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | An increase in the proportion of debt investments of portfolio companies that are originated directly by KKR and its affiliates as primary market negotiated transactions, and a commensurate reduction in the proportion of our portfolio that is comprised of debt investments that are acquired and liquidated through secondary market transactions, thereby altering the liquidity characteristics of our Investment Portfolio; |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | An increase in the average amount invested per portfolio company as a result of (i) a reduction in the overall number of portfolio companies held in the Investment Portfolio and (ii) the  likely increase in the average amount of capital that is committed to primary market negotiated transactions, including Co-Investment Transactions, thereby altering the investment diversification and concentration characteristics of our Investment Portfolio; |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | An increase in the number of investments and the proportion of our portfolio that will rely on valuation inputs that are unobservable and where initially there is little, if any, market activity for the Co Investment Transaction, thereby relying to a greater extent on the Company’s board of directors to determine in good faith the fair value of an increasing number of our investments, including Co-Investment Transactions in accordance with the our valuation policies and procedures; |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | · | The addition of new borrowing arrangements, including secured credit facilities and unsecured debt issuance, to finance Co-Investment Transactions with borrowed capital in addition to equity capital available to us, while adhering to the borrowing limitations that already apply to us and other business development companies pursuant to the 1940 Act. |
|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| At June 30, 2013($ in millions except per share data)                                                          |   |     |   |   |
|----------------------------------------------------------------------------------------------------------------|--------|----------|--------|--------|
| Total consolidated assets                                                                                      | $      | 1,409.92 |   |
| Adjusted total assets (Total consolidated assets net of payable for investments purchased)                     | $      | 1,189.31 |   |
| Investment in portfolio companies                                                                              | $      | 1,139.12 |   |
| Borrowings - credit facilities                                                                                 | $      | 169.44   |   |
| Borrowings - TRS deemed senior securities                                                                      | $      | 33.03    |   |
| Net assets                                                                                                     | $      | 1,012.02 |   |
| Average net assets                                                                                             | $      | 808.28   |   |
| Average credit facility borrowings                                                                             | $      | 217.53   |   |
| Net asset value per share                                                                                      | $      | 9.78     |   |
| Leverage ratio (Borrowings/Adjusted total assets) as of June 30, 2013                                          |   | 17       | %      |
| Weighted average asset coverage ratio (six months ended June 30, 2013)                                         |   | 3.51     |   |
|                                                                                                           |   |     |   |
| PortfolioActivityfortheSixMonthsEndedJune30,2013($ in millions except per share data) |   |     |   |   |
| Cost of investments purchased                                                                                  | $      | 785.21   |   |
| Sales, principal payments and paydown proceeds                                                                 | $      | 348.20   |   |
| Net investment income                                                                                          | $      | 14.97    |   |
| Net realized gains on investments, derivative instruments and foreign currency transactions                    | $      | 6.84     |   |
| Net change in unrealized appreciation on investments, derivative instruments and foreigncurrency translation   | $      | 5.02     |   |
| Net increase in net assets from operations                                                                     | $      | 26.84    |   |
| Total distributions declared                                                                                   | $      | 31.54    |   |
| Net investment income before incentive fees per share                                                          | $      | 0.18     |   |
| Net investment income per share                                                                                | $      | 0.18     |   |
| Earnings per share                                                                                             | $      | 0.33     |   |
| Distributions declared per share outstanding for the entire period                                             | $      | 0.39     |   |
|                                                                                                           |   |     |   |
| CommonStockOfferingSummaryfortheSixMonthsEndedJune30,2013                                                      |   |     |   |   |
| (All amounts in millionsexceptpersharedata)                                                                    |   |     |   |   |
| Gross proceeds                                                                                                 | $      | 430.66   |   |
| Net proceeds to Company                                                                                        | $      | 406.74   |   |
| Average net proceeds per share                                                                                 | $      | 9.95     |   |
| Shares issued in connection with common stock offering                                                         |   | 39.28    |   |

----

|                            |   | Investment Activity Summary for theThree Months Ended June 30, 2013 ($ in millions) |     |
|---------------------------------|--------|------------------------------------------------------------------------------------------|----------|
|                            |   | Investment Portfolio                                                                     |     |   | TRS Portfolio |   |
| Total Fair Value                |   | $                                                                                        | 1,139.12 |   |   | $ | 138.82 |   |
| Incremental Investment Activity |   | $                                                                                        | 549. 05  |   |   | $ | 100.24 |   |
| Investment Sales                |   | $                                                                                        | 238.98   |   |   | $ | 267.57 |   |
| No. Portfolio Companies         |   |                                                                                     | 98       |   |   |   | 30 |   |
| Portfolio Company Additions     |   |                                                                                     | 27       |   |   |   | 11 |   |
| Portfolio Company Exits         |   |                                                                                     | 57       |   |   |   | 54 |   |
| No. Debt Investments            |   |                                                                                     | 121      |   |   |   | 32 |   |
| Debt Investment Additions       |   |                                                                                     | 43       |   |   |   | 14 |   |
| Debt Investment Exits           |   |                                                                                     | 89       |   |   |   | 67 |   |
| No. Equity Investments          |   |                                                                                     | 1        |   |   |   | — |   |

|                         |   | Fair Value Summary As of June 30, 2013 |          |
|------------------------------|--------|----------------------------------------|---------------|
| Asset Category               |   | Investment Portfolio at Fair Value     |          |   | Percentage of Investment Portfolio |   |   | TRS Portfolio at Fair Value |   |   | Percentage of TRS Portfolio |   |
| Senior debt securities:      |   |                                   |          |   |   |   |   |   |   |   |   |   |   |   |   |   |
| First lien                   |   | $                                      | 478,373,824   |   |   |   | 42.0 | %  |   | $ | 70,882,995 |   |   |   | 51.1 | % |
| Second lien                  |   |                                   | 325,117,803   |   |   |   | 28.5 |   |   |   | 22,547,962 |   |   |   | 16.2 |   |
| Secured bonds                |   |                                   | 9,053,309     |   |   |   | 0.8 |   |   |   | 7,007,904 |   |   |   | 5.1 |   |
| Total senior debt securities |   |                                   | 812,544,936   |   |   |   | 71.3 |   |   |   | 100,438,861 |   |   |   | 72.4 |   |
| Subordinated debt securities |   |                                   | 325,955,313   |   |   |   | 28.6 |   |   |   | 38,382,047 |   |   |   | 27.6 |   |
| Total debt securities        |   |                                   | 1,138,500,249 |   |   |   | 99.9 |   |   |   | 138,820,908 |   |   |   | 100.0 |   |
| Common stock                 |   |                                   | 623,982       |   |   |   | 0.1 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                      | 1,139,124,231 |   |   |   | 100.0 | % |   | $ | 138,820,908 |   |   |   | 100.0 | % |

----

|                         |   | Investment Portfolio Cost and TRS Notional Amount Summary As of June 30, 2013 |          |
|------------------------------|--------|-------------------------------------------------------------------------------|---------------|
|   Asset Category        |   | Investment Portfolio at Amortized Cost                                        |          |   | Percentage of Investment Portfolio |   |   | TRS Portfolio at Notional Amount |   |   | Percentage of TRS Portfolio |   |
| Senior debt securities:      |   |                                                                          |          |   |   |   |   |   |   |   |   |   |
| First lien                   |   | $                                                                             | 476,717,445   |   |   |   | 42.0 | % |   | $ | 71,240,759 |   |   |   | 50.5 | % |
| Second lien                  |   |                                                                          | 321,439,329   |   |   |   | 28.4 |   |   |   | 22,190,964 |   |   |   | 15.8 |   |
| Secured bonds                |   |                                                                          | 8,772,522     |   |   |   | 0.8 |   |   |   | 7,105,480 |   |   |   | 5.0 |   |
| Total senior debt securities |   |                                                                          | 806,929,296   |   |   |   | 71.2 |   |   |   | 100,537,203 |   |   |   | 71.3 |   |
| Subordinated debt securities |   |                                                                          | 326,475,384   |   |   |   | 28.8 |   |   |   | 40,438,595 |   |   |   | 28.7 |   |
| Total debt securities        |   |                                                                          | 1,133,404,680 |   |   |   | 100.0 |   |   |   | 140,975,798 |   |   |   | 100.0 |   |
| Common stock                 |   |                                                                          | 448,908       |   |   |   | 0.0 |   |   |   | — |   |   |   | — |   |
| Total                        |   | $                                                                             | 1,133,853,588 |   |   |   | 100.0 | % |   | $ | 140,975,798 |   |   |   | 100.0 | % |

|                                                                |   | Investment Portfolio as of |   | TRS Portfolio as of |
|---------------------------------------------------------------------|--------|----------------------------|--------|---------------------|
| Floating interest rate debt investments:                            |   | June 30, 2013              |   | December 31, 2012   |   | June 30, 2013 |   | December 31, 2012 |
| Percent of portfolio                                                |   |                       | 60.5   | %                   |   |   | 57.8 | % |   |   | 58.8 | % |   |   | 74.2 | % |
| Percent of floating rate debt investments with interest rate floors |   |                       | 88.0   | %                   |   |   | 87.3 | % |   |   | 100.0 | % |   |   | 87.0 | % |
| Weighted average interest rate floor                                |   |                       | 1.2    | %                   |   |   | 1.3 | % |   |   | 1.2 | % |   |   | 1.2 | % |
| Weighted average coupon spread                                      |   |                       | 673    | bps                 |   |   | 595 | bps |   |   | 528 | bps |   |   | 433 | bps |
| Weighted average years to maturity                                  |   |                       | 5.5    |                |   |   | 5.2 |   |   |   | 2.0 |   |   |   | 5.8 |   |
|                                                                |   |                       |   |                |   |   |   |   |   |   |   |   |   |   |   |   |
| Fixed interest rate debt investments:                               |   |                       |   |                |   |   |   |   |   |   |   |   |   |   |   |   |
| Percent of portfolio                                                |   |                       | 39.5   | %                   |   |   | 42.2 | % |   |   | 41.2 | % |   |   | 25.8 | % |
| Weighted average coupon rate                                        |   |                       | 9.8    | %                   |   |   | 9.5 | % |   |   | 7.3 | % |   |   | 8.3 | % |
| Weighted average years to maturity                                  |   |                       | 5.6    |                |   |   | 5.6 |   |   |   | 7.4 |   |   |   | 7.0 |   |

----

|                                 |   | Investment Portfolio as of |   |   | TRS Portfolio as of |   |
|--------------------------------------|--------|----------------------------|--------|--------|---------------------|--------|
| IndustryClassification               |   | June 30, 2013              |   |   | December 31, 2012   |   |   | June 30, 2013 |   |   | December 31, 2012 |   |
| Software & Services              |   |                       | 12.4   | %      |                |   | 9.1 | % |   |   | 13.4 | % |   |   | 15.6 | % |
| Media                                |   |                       | 10.6   |   |                |   | 11.0 |   |   |   | 6.8 |   |   |   | 13.8 |   |
| Technology Hardware & Equipment  |   |                       | 10.5   |   |                |   | 7.8 |   |   |   | 17.2 |   |   |   | 2.4 |   |
| Insurance                            |   |                       | 9.8    |   |                |   | 6.2 |   |   |   | 1.7 |   |   |   | 1.8 |   |
| Materials                            |   |                       | 9.4    |   |                |   | 9.9 |   |   |   | 5.8 |   |   |   | 3.7 |   |
| Consumer Durables & Apparel      |   |                       | 8.1    |   |                |   | 1.0 |   |   |   | 1.9 |   |   |   | 0.9 |   |
| Capital Goods                        |   |                       | 7.8    |   |                |   | 13.7 |   |   |   | 7.1 |   |   |   | 15.0 |   |
| Retailing                            |   |                       | 5.1    |   |                |   | 9.2 |   |   |   | 7.4 |   |   |   | 2.6 |   |
| Food, Beverage & Tobacco         |   |                       | 5.0    |   |                |   | 1.3 |   |   |   | 10.5 |   |   |   | — |   |
| Health Care Equipment & Services |   |                       | 3.7    |   |                |   | 6.2 |   |   |   | 6.6 |   |   |   | 7.7 |   |
| Telecommunication Services           |   |                       | 3.6    |   |                |   | 4.1 |   |   |   | 11.0 |   |   |   | 8.2 |   |
| Consumer Services                    |   |                       | 2.6    |   |                |   | 3.7 |   |   |   | — |   |   |   | 5.4 |   |
| Remaining Industries                 |   |                       | 11.4   |   |                |   | 16.8 |   |   |   | 10.6 |   |   |   | 22.9 |   |
| Total                                |   |                       | 100.0  | %      |                |   | 100.0 | % |   |   | 100.0 | % |   |   | 100.0 | % |

----

----

----

|                                     |   | Per Share |     | Amount |
|------------------------------------------|--------|-----------|----------|--------|
| For the three months ended June 30, 2013 |   | $         | 0.195052 |   |   | $ | 17,807,1544 |   |
| For the six months ended June 30, 2013   |   |      | 0.390104 |   |   |   | 31,542,6455 |   |

| For the six months ended June 30, 2013                                      |   | Amount($ millions) |   |
|-----------------------------------------------------------------------------|--------|--------------------|--------|
| Ordinary income component of tax basis accumulated earnings                 |   | $                  | 0.82   |   |
| Unearned performance-based incentive fees                                   |   |               | 0.14   |   |
| Offering expenses                                                           |   |               | 2.64   |   |
| Net change in unrealized appreciation on total return swaps                 |   |               | 4.61   |   |
| Net change in unrealized appreciation on foreign currency forward contracts |   |               | 1.40   |   |
| Total of other sources available for distributions (1)                      |   | $                  | 9.61   |   |

| (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. See Note 8 to the condensed consolidated financial statements. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

----

|                                      |   | For the three months ended June 30, ($ millions) |
|-------------------------------------------|--------|--------------------------------------------------|
|                                      |   | 2013                                             |   |   | 2012 |   |
| Net Investment Income (GAAP)              |   | $                                                | 13.57 |   |   | $ | 3.71 |   |
| Unearned performance-based incentive fees |   |                                             | (4.07 | ) |   |   | (0.34 | ) |
| Reimbursement of expense support          |   |                                             | — |   |   |   | 0.03 |   |
| Expense support                           |   |                                             | — |   |   |   | (0.63 | ) |
| Adjusted Net Investment Income (non-GAAP) |   | $                                                | 9.50 |   |   | $ | 2.77 |   |
| Net Investment Income Per Share           |   | $                                                | 0.15 |   |   | $ | 0.17 |   |
| Adjusted Net Investment Income Per Share  |   | $                                                | 0.10 |   |   | $ | 0.13 |   |

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| As of June 30, 2013                                                                 |   | Amount($ millions) |   |
|-------------------------------------------------------------------------------------|--------|--------------------|--------|
| Cumulative net realized gains since inception (a)                                   |   | $                  | 7.05   |   |
| Less: Unrealized depreciation in investment portfolio (b)                           |   |               | 11.11  |   |
| Excess cumulative net realized gains potentially eligible for earned incentive fees |   | $                  | 0.00   |   |
| Potential for earned performance-based incentive fee on net realized gains(1)       |   | $                  | 0.00   |   |

| (1) | The actual incentive fee on capital gains that may be earned and payable to the Advisors, as determined at the end of the year, is 20% of the excess, if any, of (a) over (b), less any prior period payments of incentive fees on capital gain, if any. Prior period payments of incentive fees on capital gains are equal to $0. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                      |   | For the six months ended June 30, ($ millions) |
|-------------------------------------------|--------|------------------------------------------------|
|                                      |   | 2013                                           |   |   | 2012 |   |
| Net Investment Income (GAAP)              |   | $                                              | 14.97 |   |   | $ | 4.85 |   |
| Unearned performance-based incentive fees |   |                                           | 0.13 |   |   |   | 0.53 |   |
| Reimbursement of expense support          |   |                                           | 1.14 |   |   |   | 0.03 |   |
| Expense support                           |   |                                           | — |   |   |   | (1.59 | ) |
| Adjusted Net Investment Income (non-GAAP) |   | $                                              | 16.24 |   |   | $ | 3.82 |   |
| Net Investment Income Per Share           |   | $                                              | 0.18 |   |   | $ | 0.29 |   |
| Adjusted Net Investment Income Per Share  |   | $                                              | 0.20 |   |   | $ | 0.23 |   |

----

----

|   | (i) | a subordinated incentive fee on pre-incentive fee net investment income, that is paid quarterly if earned, and it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.75% of average adjusted capital up to a limit of 0.4375% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.1875% of average adjusted capital, and |
|--------|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|   | (ii) | an incentive fee on capital gains that is paid annually if earned, and it is equal to 20% of (A) all realized gains on a cumulative basis from inception, net of (i) all realized losses on a cumulative basis, (ii) unrealized depreciation at year-end and (iii) disregarding any net realized gains associated with the TRS interest spread (which represents the difference between (a) the interest and fees received on total return swaps, and (b) the financing fees paid to the total return swaps counterparty), and subtracting (B) the aggregate amount of any previously paid incentive fee on capital gains. |
|--------|------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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|                                      |   | Total  |   |   | < 1 year |   |   | 1-3 years |   |   | 3-5 years |   |   | After 5 years |    |
|-------------------------------------------|--------|--------|--------|--------|-------------|--------|--------|-----------|--------|--------|-----------|--------|--------|---------------|---------|
| Deutsche Bank Credit Facility (1)         |   | $      | 69.44  |   |        | $      | 69.44  |      |   | $      | —   |   |   | $             | — |   |   | $ | — |   |
| BNP Credit Facility (2)                   |   |   | 100.00 |   |        |   | 100.00 |      |   |   |      |   |   |          |    |   |   |   |   |   |
| Interest and Credit Facility Fees Payable |   |   | 0.24   |   |        |   | 0.18   |      |   |   | 0.06      |   |   |          | — |   |   |   | — |   |
| TOTAL                                     |   | $      | 169.68 |   |        | $      | 169.62 |      |   | $      | 0.06      |   |   | $             | — |   |   | $ | — |   |

| (1) | At June 30, 2013 our unused commitment amount was $270.56 million under the Deutsche Bank revolving credit facility. |
|-----|----------------------------------------------------------------------------------------------------------------------|

| (2) | At June 30, 2013 our unused commitment amount was $100.00 million under the BNP revolving credit facility. |
|-----|------------------------------------------------------------------------------------------------------------|

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

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|                                                                                  |   |       |   |   |                |            |    | ($ amounts in millions except per share data) |   |
|---------------------------------------------------------------------------------------|--------|------------|--------|--------|---------------------|-----------------|---------|-----------------------------------------------|--------|
|                                                                                  |   |       |   |   |                |            |    | Increases in LIBOR                            |   |
|                                                                                  |   | Par Amount |   |   | Weighted Avg. Floor |            | +50 bps |                                          |   | +100 bps |   |   | +150 bps |   |   | +200 bps |   |
| No base rate floor                                                                    |   | $          | 82.72  |   |                |            |    | $                                             | 0.370  |   |   | $ | 0.739 |   |   | $ | 1.109 |   |   | $ | 1.479 |   |
| Base rate floor                                                                       |   | $          | 606.19 |   |                | 1.25%           |    |                                          | 0.000  |   |   |   | 0.343 |   |   |   | 2.704 |   |   |   | 5.277 |   |
| Increase in Floating Rate Interest Income                                             |   |       |   |   |                |            |    |                                          | 0.370  |   |   |   | 1.082 |   |   |   | 3.813 |   |   |   | 6.756 |   |
|                                                                                  |   |       |   |   |                | LIBOR + Spread  |    |                                          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Deutsche Bank Credit Facility Tranche A Loans                                         |   | $          | 69.44  |   |                | L(30) + 170 bps |    | $                                             | (0.347 | ) |   | $ | (0.694 | ) |   | $ | (1.042 | ) |   | $ | (1.389 | ) |
| BNP Credit Facility                                                                   |   | $          | 100.00 |   |                | L(30) + 110 bps |    |                                          | (0.500 | ) |   |   | (1.000 | ) |   |   | (1.500 | ) |   |   | (2.000 | ) |
| Increase to Floating Rate Interest Expense                                            |   |       |   |   |                |            |    |                                          | (0.847 | ) |   |   | (1.694 | ) |   |   | (2.542 | ) |   |   | (3.389 | ) |
| Change in Floating Rate Net Interest Income, before TRS                               |   |       |   |   |                |            |    |                                          | (0.477 | ) |   |   | (0.612 | ) |   |   | 1.271 |   |   |   | 3.367 |   |
| Net change in TRS unrealized appreciation (depreciation) (1)                          |   |       |   |   |                |            |    |                                          | (0.705 | ) |   |   | (1.343 | ) |   |   | (1.713 | ) |   |   | (2.075 | ) |
| Overall Change in Floating Rate Net Interest Income, including TRS                    |   |       |   |   |                |            |    | $                                             | (1.182 | ) |   | $ | (1.955 | ) |   | $ | (0.442 | ) |   | $ | 1.292 |   |
| Change in Floating Rate Net Interest Income Per Share Outstanding as of June 30, 2013 |   |       |   |   |                |            |    | $                                             | (0.01  | ) |   | $ | (0.02 | ) |   | $ | (0.00 | ) |   | $ | 0.01 |   |

| (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 June 30, 2013, 58.8% of the TRS reference assets, or approximately $82.45 million measured at par value, featured floating or variable interest rates.  At June 30, 2013, 100% of the TRS reference assets with variable interest rates featured minimum base rate floors, or approximately $82.45 million measured at par value, and the weighted average base rate floor for such TRS reference assets was 1.19%.  As of June 30, 2013, the total notional amount of the portfolio of TRS reference assets was $140.98 million, and the settled notional amount was $212.99 million.  For the purpose of presenting this net interest sensitivity analysis, we have assumed that all TRS reference assets are settled as of June 30, 2013 and that the TRS notional amount would equal $140.98 million upon which the financing payments to BNS are based. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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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 |
|--------------|----------|

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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.)                                                                                                             |

----

| 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  | 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.)                                                                                                             |
|   |                                                                                                                                                                                                                                                                                                                                                                                                               |
| 10.24  | 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.)        |
|   |                                                                                                                                                                                                                                                                                                                                                                                                               |
| 10.25  | Committed Facility Agreement, dated as of June 4, 2013, by and between Corporate Capital Trust, Inc. and BNP Paribas Prime Brokerage, Inc. (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on June 18, 2013.)                                                                                                                                                   |
|   |                                                                                                                                                                                                                                                                                                                                                                                                               |
| 10.26  | U.S. PB Agreement, dated as of June 4, 2013, by and between Corporate Capital Trust, Inc. and BNP Paribas Prime Brokerage, Inc. (Incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K filed on June 18, 2013.)                                                                                                                                                              |

----

| 10.27  | Special Custody and Pledge Agreement, dated as of June 4, 2013, by and between Corporate Capital Trust, Inc., BNP Paribas Prime Brokerage, Inc. and State Street Bank and Trust Company. (Incorporated by reference to Exhibit 10.3 to the Company’s Current Report on Form 8-K filed on June 18, 2013.)       |
|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |                                                                                                                                                                                                                                                                                                                 |
| 10.28  | Control Agreement, dated as of July 22, 2013 ,by and among Halifax Funding LLC, The Bank of Nova Scotia, and State Street Bank and Trust Company (Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on July 26, 2013.)                                               |
|   |                                                                                                                                                                                                                                                                                                                 |
| 10.29  | Amending Agreement, dated as of July 22, 2013, 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 10.2 to the Company’s Current Report on Form 8-K filed on July 26, 2013.) |
|   |                                                                                                                                                                                                                                                                                                                 |
| 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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