----

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

----

----

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|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|--------|
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   | PAGE   |
| PART I. FINANCIAL INFORMATION                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 1.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Financial Statements:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Condensed Consolidated Statements of Assets and Liabilities (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |   | 2      |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Condensed Consolidated Statement of Operations (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |   | 3      |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Condensed Consolidated Statements of Changes in Net Assets (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |   | 4      |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Condensed Consolidated Statement of Cash Flows (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |   | 5      |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Condensed Consolidated Schedule of Investments (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |   | 6      |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Notes to Condensed Consolidated Financial Statements (unaudited)                                                                                                                                                                                        |   | 24     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 2.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Management’s Discussion and Analysis of Financial Condition and Results of Operations                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |   | 38     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 3.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Quantitative and Qualitative Disclosures about Market Risk                                                                                                                   |   | 50     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 4.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Controls and Procedures                                                                                                                                                      |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| PART II. OTHER INFORMATION                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 1.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Legal Proceedings                                                                                                                                                            |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 1A.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | Risk Factors                                                                                                                                                                 |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 2.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Unregistered Sales of Equity Securities and Use of Proceeds                                                                                                                  |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 3.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Defaults Upon Senior Securities                                                                                                                                              |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 4.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Mine Safety Disclosures                                                                                                                                                      |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 5.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Other Information                                                                                                                                                            |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Item 6.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | Exhibits                                                                                                                                                                     |   | 52     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Signatures                                                                                                                                    |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 53     |   |
|                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |   |   |   |
| Exhibit Index                                                                                                                                                               |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 54     |   |

----

| Item 1. | Financial Statements |
|--------------|----------------------|

Condensed Consolidated Statements of Assets and Liabilities (unaudited)

|                                                                                                                              |   |               |        |   |              |   |
|-----------------------------------------------------------------------------------------------------------------------------------|--------|--------------------|-------------|--------|-------------------|--------|
|                                                                                                                              |   | September 30, 2012 |        |   | December 31, 2011 |   |
| Assets                                                                                                                            |   |               |        |   |              |   |
| Investments at fair value (amortized cost of $602,757,860 and $113,825,998)                                                       |   | $                  | 611,305,845 |   |              | $      | 114,304,509 |   |
| Cash                                                                                                                              |   |               | 13,267      |   |              |   | — |   |
| Dividends and interest receivable                                                                                                 |   |               | 12,190,728  |   |              |   | 1,055,807 |   |
| Receivable for investments sold                                                                                                   |   |               | 21,134,376  |   |              |   | — |   |
| Principal receivable                                                                                                              |   |               | 491,009     |   |              |   | 59,399 |   |
| Receivable from advisors                                                                                                          |   |               | —     |   |              |   | 564,756 |   |
| Deferred financing costs                                                                                                          |   |               | 156,327     |   |              |   | 203,275 |   |
| Deferred offering expense                                                                                                         |   |               | 1,543,461   |   |              |   | — |   |
| Prepaid expenses                                                                                                                  |   |               | 88,033      |   |              |   | 35,533 |   |
| Total assets                                                                                                                      |   | $                  | 646,923,046 |   |              | $      | 116,223,279 |   |
| Liabilities                                                                                                                       |   |               |        |   |              |   |   |   |
| Revolving credit facility                                                                                                         |   | $                  | 160,920,000 |   |              | $      | 25,340,000 |   |
| Payable for investments purchased                                                                                                 |   |               | 30,813,133  |   |              |   | 24,714,313 |   |
| Unrealized depreciation on foreign currency forward contracts                                                                     |   |               | 211,385     |   |              |   | — |   |
| Accrued performance-based incentive fees                                                                                          |   |               | 2,026,285   |   |              |   | 282,570 |   |
| Accrued investment advisory fees                                                                                                  |   |               | 1,022,300   |   |              |   | 160,679 |   |
| Accrued reimbursement of expense support                                                                                          |   |               | 825,417     |   |              |   | — |   |
| Shareholders’ distributions payable                                                                                         |   |               | —     |   |              |   | 398,637 |   |
| Accrued administrative services                                                                                                   |   |               | 168,869     |   |              |   | 56,390 |   |
| Accrued directors’ fees                                                                                                     |   |               | 14,406      |   |              |   | 5,400 |   |
| Other accrued expenses and liabilities                                                                                            |   |               | 924,747     |   |              |   | 102,561 |   |
| Total liabilities                                                                                                                 |   |               | 196,926,542 |   |              |   | 51,060,550 |   |
| Net Assets                                                                                                                        |   |               |        |   |              |   |   |   |
| Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 46,014,393 and 7,073,166 shares issued and outstanding |   |               | 46,014      |   |              |   | 7,073 |   |
| Paid-in capital in excess of par value                                                                                            |   |               | 443,855,165 |   |              |   | 64,626,198 |   |
| Undistributed (distributions in excess of) net investment income                                                                  |   |               | (2,245,082  | )      |              |   | 5,956 |   |
| Accumulated net unrealized appreciation on investments and foreign currency translation                                           |   |               | 8,340,407   |   |              |   | 523,502 |   |
| Net assets                                                                                                                        |   | $                  | 449,996,504 |   |              | $      | 65,162,729 |   |
| Net asset value per share                                                                                                         |   | $                  | 9.78        |   |              | $      | 9.21 |   |

----

Condensed Consolidated Statement of Operations (unaudited)

|                                                                  |   |                       |       |   |                      |   |     |               |   |   |               |   |
|-----------------------------------------------------------------------|--------|----------------------------|------------|--------|---------------------------|--------|----------|--------------------|--------|--------|--------------------|--------|
|                                                                  |   | For the three months ended |       |   | For the nine months ended |   |
|                                                                  |   | September 30, 2012         |       |   | September 30, 2011        |   |     | September 30, 2012 |   |   | September 30, 2011 |   |
| Investment income                                                     |   |                       |       |   |                      |   |     |               |   |   |               |   |
| Interest income                                                       |   | $                          | 11,223,248 |   |                      | $      | 74,650   |               |   | $      | 20,182,506         |   |   | $ | 74,650 |   |
| Fee income                                                            |   |                       | 255,758    |   |                      |   | —  |               |   |   | 919,839            |   |   |   | — |   |
| Dividend income                                                       |   |                       | 262        |   |                      |   | —  |               |   |   | 4,150              |   |   |   | — |   |
| Total investment income                                               |   |                       | 11,479,268 |   |                      |   | 74,650   |               |   |   | 21,106,495         |   |   |   | 74,650 |   |
| Operating expenses                                                    |   |                       |       |   |                      |   |     |               |   |   |               |   |   |   |   |   |
| Investment advisory fees                                              |   |                       | 2,703,871  |   |                      |   | 40,371   |               |   |   | 5,219,690          |   |   |   | 41,344 |   |
| Performance-based incentive fees                                      |   |                       | 1,387,595  |   |                      |   | —  |               |   |   | 1,920,562          |   |   |   | — |   |
| Organization expenses                                                 |   |                       | —    |   |                      |   | —  |               |   |   | 896,218            |   |   |   | — |   |
| Interest expense                                                      |   |                       | 921,135    |   |                      |   | 11,826   |               |   |   | 1,754,899          |   |   |   | 11,826 |   |
| Professional services                                                 |   |                       | 199,081    |   |                      |   | 54,653   |               |   |   | 754,431            |   |   |   | 59,630 |   |
| Administrative services                                               |   |                       | 351,135    |   |                      |   | 81,711   |               |   |   | 785,136            |   |   |   | 95,002 |   |
| Director fees and expenses                                            |   |                       | 36,192     |   |                      |   | 47,890   |               |   |   | 135,416            |   |   |   | 55,178 |   |
| Offering expense                                                      |   |                       | 403,644    |   |                      |   | —  |               |   |   | 487,466            |   |   |   | — |   |
| Custodian and accounting fees                                         |   |                       | 58,507     |   |                      |   | 34,783   |               |   |   | 127,261            |   |   |   | 40,076 |   |
| Other                                                                 |   |                       | 322,199    |   |                      |   | 80,824   |               |   |   | 640,645            |   |   |   | 89,282 |   |
| Total operating expenses                                              |   |                       | 6,383,359  |   |                      |   | 352,058  |               |   |   | 12,721,724         |   |   |   | 392,338 |   |
| Reimbursement of expense support                                      |   |                       | 798,254    |   |                      |   | —  |               |   |   | 828,347            |   |   |   | — |   |
| Expense support                                                       |   |                       | —    |   |                      |   | (352,058 | )                  |   |   | (1,590,221         | )      |   |   | (392,338 | ) |
| Net expenses                                                          |   |                       | 7,181,613  |   |                      |   | —  |               |   |   | 11,959,850         |   |   |   | — |   |
| Net investment income                                                 |   |                       | 4,297,655  |   |                      |   | 74,650   |               |   |   | 9,146,645          |   |   |   | 74,650 |   |
| Realized and unrealized gain (loss):                                  |   |                       |       |   |                      |   |     |               |   |   |               |   |   |   |   |   |
| Net realized gain (loss) on investments                               |   |                       | 478,015    |   |                      |   | (285     | )                  |   |   | 1,749,910          |   |   |   | (285 | ) |
| Net realized gain (loss) on foreign currency transactions             |   |                       | (29,132    | )      |                      |   | —  |               |   |   | 13,754             |   |   |   | — |   |
| Net change in unrealized appreciation (depreciation) on investments   |   |                       | 6,545,953  |   |                      |   | (283,453 | )                  |   |   | 8,069,474          |   |   |   | (283,453 | ) |
| Net change in unrealized depreciation on foreign currency translation |   |                       | (116,904   | )      |                      |   | —  |               |   |   | (252,569           | )      |   |   | — |   |
| Net realized and unrealized gain (loss)                               |   |                       | 6,877,932  |   |                      |   | (283,738 | )                  |   |   | 9,580,569          |   |   |   | (283,738 | ) |
| Net increase (decrease) in net assets resulting from operations       |   | $                          | 11,175,587 |   |                      | $      | (209,088 | )                  |   | $      | 18,727,214         |   |   | $ | (209,088 | ) |
| Net Investment Income Per Share                                       |   | $                          | 0.11       |   |                      | $      | 0.10     |               |   | $      | 0.39               |   |   | $ | 0.27 |   |
| Diluted and Basic Earnings (Loss) Per Share                           |   | $                          | 0.30       |   |                      | $      | (0.28    | )                  |   | $      | 0.79               |   |   | $ | (0.76 | ) |
| Weighted Average Shares Outstanding                                   |   |                       | 37,881,506 |   |                      |   | 736,093  |               |   |   | 23,696,227         |   |   |   | 275,541 |   |
| Dividends Declared Per Share                                          |   | $                          | 0.19       |   |                      | $      | 0.19     |               |   | $      | 0.57               |   |   | $ | 0.19 |   |

----

Condensed Consolidated Statements of Changes in Net Assets (unaudited)

|                                                                                                 |   | For the nine months ended |        |
|------------------------------------------------------------------------------------------------------|--------|--------------------------------|-------------|
|                                                                                                 |   | September 30, 2012             |        |   | September 30, 2011 |   |
| Operations                                                                                           |   |                           |        |   |   |   |
| Net investment income                                                                                |   | $                              | 9,146,645   |   |   | $ | 74,650 |   |
| Net realized gain (loss) on investments and foreign currency transactions                            |   |                           | 1,763,664   |   |   |   | (285 | ) |
| Net change in unrealized appreciation (depreciation) on investments and foreign currency translation |   |                           | 7,816,905   |   |   |   | (283,453 | ) |
| Net increase (decrease) in net assets resulting from operations                                      |   |                           | 18,727,214  |   |   |   | (209,088 | ) |
| Distributions to shareholders from                                                                   |   |                           |        |   |   |   |   |   |
| Net investment income                                                                                |   |                           | (9,152,601  | ) |   |   | (74,650 | ) |
| Realized gains                                                                                       |   |                           | (1,763,664  | ) |   |   | — |   |
| Other sources                                                                                        |   |                           | (2,245,082  | ) |   |   | (53,291 | ) |
| Net decrease in net assets resulting from shareholders distributions                                 |   |                           | (13,161,347 | ) |   |   | (127,941 | ) |
| Capital share transactions                                                                           |   |                           |        |   |   |   |   |   |
| Issuance of shares of common stock                                                                   |   |                           | 372,910,130 |   |   |   | 15,463,347 |   |
| Reinvestment of shareholder distributions                                                            |   |                           | 6,815,498   |   |   |   | 73,931 |   |
| Repurchase of shares of common stock                                                                 |   |                           | (457,720    | ) |   |   | — |   |
| Net increase in net assets resulting from capital share transactions                                 |   |                           | 379,267,908 |   |   |   | 15,537,278 |   |
| Total increase in net assets                                                                         |   |                           | 384,833,775 |   |   |   | 15,200,249 |   |
| Net assets at beginning of period                                                                    |   |                           | 65,162,729  |   |   |   | 200,000 |   |
| Net assets at end of period                                                                          |   | $                              | 449,996,504 |   |   | $ | 15,400,249 |   |
| Capital share activity                                                                               |   |                           |        |   |   |   |   |   |
| Shares issued from subscriptions                                                                     |   |                           | 38,290,080  |   |   |   | 1,718,149 |   |
| Shares issued from reinvestment of distributions                                                     |   |                           | 698,628     |   |   |   | 8,215 |   |
| Shares repurchased                                                                                   |   |                           | (47,481     | ) |   |   | — |   |
| Net increase in shares outstanding                                                                   |   |                           | 38,941,227  |   |   |   | 1,726,364 |   |
| Distributions in excess of net investment income at end of period                                    |   | $                              | (2,245,082  | ) |   | $ | (53,291 | ) |

----

| Corporate Capital Trust, Inc. and Subsidiary                                                                            |
|-------------------------------------------------------------------------------------------------------------------------|
| Condensed Consolidated Statement of Cash Flows (unaudited)                                                              |
|                                                                                                                    |   |   |   |   |   |   |
|                                                                                                                    |   | For the nine months ended |   |
|                                                                                                                    |   | September 30, 2012 |   |   | September 30, 2011 |   |
|                                                                                                                    |   |   |   |   |   |   |
| Operating Activities:                                                                                                   |   |   |   |   |   |   |
| Net increase (decrease) in net assets resulting from operations                                                         |   | $ | 18,727,214 |   |   | $ | (209,088 | ) |
| Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities: |   |   |   |   |   |   |   |   |
|     Purchases of investments                                                                        |   |   | (598,361,856 | ) |   |   | (15,267,304 | ) |
|     Increase in payable for investments purchased                                                   |   |   | 6,053,829 |   |   |   | 5,045,476 |   |
|     Proceeds from sales of investments                                                              |   |   | 100,188,011 |   |   |   | 33,270 |   |
|     Net realized (gain) loss on investments                                                         |   |   | (1,749,910 | ) |   |   | 285 |   |
|     Net change in unrealized (appreciation) depreciation on investments                             |   |   | (8,069,474 | ) |   |   | 283,453 |   |
|     Net change in unrealized depreciation on foreign currency translation                           |   |   | 252,569 |   |   |   | — |   |
|     Increase in short-term investments, net                                                         |   |   | (5,226,245 | ) |   |   | (5,140,857 | ) |
|     Proceeds from principal payments                                                                |   |   | 16,323,261 |   |   |   | 10,923 |   |
|     Amortization of premium/discount - net                                                          |   |   | (105,123 | ) |   |   | 11,030 |   |
|     Amortization of deferred financing cost                                                         |   |   | 107,699 |   |   |   | — |   |
|     Increase in dividend and interest receivable                                                    |   |   | (11,131,114 | ) |   |   | (180,168 | ) |
|     Increase in receivable for investments sold                                                     |   |   | (21,134,376 | ) |   |   | — |   |
|     Increase in principal receivable                                                                |   |   | (431,610 | ) |   |   | (4,681 | ) |
|     Decrease (increase) in receivable from advisors                                                 |   |   | 564,756 |   |   |   | (111,169 | ) |
|     Increase in other assets                                                                        |   |   | (1,595,961 | ) |   |   | (70,035 | ) |
|     Increase in accrued investment advisory fees                                                    |   |   | 1,687,038 |   |   |   | — |   |
|     Increase in accrued performance-based incentive fees                                            |   |   | 1,743,715 |   |   |   | — |   |
|     Increase in other liabilities                                                                   |   |   | 943,671 |   |   |   | 171,649 |   |
|         Net cash used in operating activities                                   |   |   | (501,213,906 | ) |   |   | (15,427,216 | ) |
|                                                                                                                    |   |   |   |   |   |   |   |   |
| Financing Activities:                                                                                                   |   |   |   |   |   |   |   |   |
| Proceeds from issuance of shares of common stock                                                                        |   |   | 372,910,130 |   |   |   | 15,463,347 |   |
| Payment on redemption of shares of common stock                                                                         |   |   | (457,720 | ) |   |   | — |   |
| Distributions paid                                                                                                      |   |   | (6,744,486 | ) |   |   | (54,010 | ) |
| Borrowings under credit facility                                                                                        |   |   | 135,580,000 |   |   |   | — |   |
| Deferred financing costs                                                                                                |   |   | (60,751 | ) |   |   | (182,121 | ) |
|     Net cash provided by financing activities                                                       |   |   | 501,227,173 |   |   |   | 15,227,216 |   |
| Net increase (decrease) in cash                                                                                         |   |   | 13,267 |   |   |   | (200,000 | ) |
| Cash, beginning of period                                                                                               |   |   | — |   |   |   | 200,000 |   |
| Cash, end of period                                                                                                     |   | $ | 13,267 |   |   | $ | — |   |
|                                                                                                                    |   |   |   |   |   |   |   |   |
| Supplemental disclosure of cash flow information and non-cash financing activities:                                     |   |   |   |   |   |   |   |   |
| Cash paid during period for:                                                                                            |   |   |   |   |   |   |   |   |
|    Interest                                                                                              |   | $ | 1,193,510 |   |   | $ | — |   |
| Dividend distributions reinvested                                                                                       |   | $ | 6,815,498 |   |   | $ | 73,931 |   |

----

----

ons

| Company (a)                                           |   | Industry                                     |       | Investments                |   | InterestRate |   |  LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |       |   | Fair Value |                                                                            | % of NetAssets |     |
|-------------------------------------------------------|--------|----------------------------------------------|------------|----------------------------|--------|--------------|--------|------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|------------|--------|------------|---------------------------------------------------------------------------------|----------------|----------|
| Non-Control/Non-Affiliate Investments(d)—132.9% |   |                                         |       |                       |   |         |   |             |   |          |   |                           |
| ACCO Brands Corp.                                     |   | Commercial & Professional Services       |       | Subordinated Debt(e)(f)(g) |   | 6.75%        |   |             |   | 4/30/2020     |   | $                              | 1,603,000  |   | $        | 1,631,945  |   | $          | 1,671,127                                                                       |           | 0.4%     |   |
| Allen Systems Group, Inc.                             |   | Software & Services                      |       | Senior Debt(g)(h)          |   | L + 575      |   | 1.75%            |   | 11/21/2015    |   |                           | 7,659,654  |   |     | 7,226,555  |   |       | 7,420,289                                                                       |           | 1.7%     |   |
|                                                  |   |                                         |       | Senior Debt(e)(g)          |   | 10.50%       |   |             |   | 11/15/2016    |   |                           | 106,000    |   |     | 64,637     |   |       | 73,670                                                                          |           | 0.0%     |   |
|                                                  |   |                                         | 7,291,192  |                       |   | 7,493,959    |   | 1.7%             |   |
| Alliant Holdings I, Inc.                              |   | Insurance                                    |       | Senior Debt(g)             |   | L + 300      |   |             |   | 8/21/2014     |   |                           | 84,076     |   |     | 78,374     |   |       | 83,740                                                                          |           | 0.0%     |   |
|                                                  |   |                                         |       | Subordinated Debt(e)(g)(i) |   | 11.00%       |   |             |   | 5/1/2015      |   |                           | 12,199,000 |   |     | 12,696,733 |   |       | 12,564,970                                                                      |           | 2.8%     |   |
|                                                  |   |                                         | 12,775,107 |                       |   | 12,648,710   |   | 2.8%             |   |
| Allison Transmission, Inc.                            |   | Automobiles & Components                 |       | Senior Debt(f)(g)          |   | L + 350      |   |             |   | 8/7/2017      |   |                           | 7,507      |   |     | 7,182      |   |       | 7,533                                                                           |           | 0.0%     |   |
| American Gaming Systems, LLC                          |   | Consumer Services                            |       | Senior Debt(h)             |   | L + 1000     |   | 1.50%            |   | 8/24/2016     |   |                           | 11,974,375 |   |     | 11,501,066 |   |       | 11,974,375                                                                      |           | 2.7%     |   |
|                                                  |   |                                         |       | Senior Debt(h)(i)(n)       |   | L + 1000     |   | 1.50%            |   | 8/24/2016     |   |                           | 780,938    |   |     | (30,488)   |   |       |             — |           | —% |   |
|                                                  |   |                                         |       | Senior Debt(h)(i)(n)       |   | L + 1000     |   | 1.50%            |   | 8/24/2016     |   |                           | 780,938    |   |     | (30,488)   |   |       |             — |           | —% |   |
|                                                  |   |                                         | 11,440,090 |                       |   | 11,974,375   |   | 2.7%             |   |
| American Rock Salt Company, LLC                       |   | Materials                                    |       | Senior Debt(g)(i)          |   | L + 425      |   | 1.25%            |   | 4/25/2017     |   |                           | 8,507,124  |   |     | 8,157,699  |   |       | 8,415,672                                                                       |           | 1.9%     |   |
| Amkor Technologies, Inc.                              |   | Semiconductors & Semiconductor Equipment |       | Subordinated Debt(f)(g)    |   | 7.38%        |   |             |   | 5/1/2018      |   |                           | 213,000    |   |     | 210,730    |   |       | 221,520                                                                         |           | 0.1%     |   |
| Aramark Corp.                                         |   | Commercial & Professional Services       |       | Subordinated Debt(g)       |   | 8.50%        |   |             |   | 2/1/2015      |   |                           | 2,863,000  |   |     | 2,931,445  |   |       | 2,931,025                                                                       |           | 0.7%     |   |
| Ardagh Packaging Holdings Ltd. (IE)(j)                |   | Capital Goods                                |       | Senior Debt(e)(f)(g)       |   | 7.38%        |   |             |   | 10/15/2017    |   |                           | 100,000    |   |     | 100,437    |   |       | 107,250                                                                         |           | 0.0%     |   |
| Aspect Software, Inc.                                 |   | Technology Hardware &                    |       | Senior Debt(g)(i)          |   | L + 450      |   | 1.75%            |   | 5/7/2016      |   |                           | 178,628    |   |     | 176,631    |   |       | 176,507                                                                         |           | 0.0%     |   |
|                                                  |   | Equipment                                    |       | Senior Debt(g)             |   | 10.63%       |   |             |   | 5/15/2017     |   |                           | 9,009,000  |   |     | 9,507,124  |   |       | 9,256,747                                                                       |           | 2.1%     |   |
|                                                  |   |                                         | 9,683,755  |                       |   | 9,433,254    |   | 2.1%             |   |
| Aspen Dental Management, Inc.                         |   | Health Care Equipment & Services         |       | Senior Debt(g)             |   | L + 550      |   | 1.50%            |   | 10/6/2016     |   |                           | 5,327,871  |   |     | 5,253,504  |   |       | 5,322,890                                                                       |           | 1.2%     |   |
| Asset Acceptance Capital Corp.                        |   | Diversified Financials                       |       | Senior Debt(f)(g)(h)       |   | L + 725      |   | 1.50%            |   | 11/14/2017    |   |                           | 931,083    |   |     | 908,014    |   |       | 942,721                                                                         |           | 0.2%     |   |
| Asurion, LLC                                          |   | Software & Services                      |       | Senior Debt(g)             |   | L + 400      |   | 1.50%            |   | 5/24/2018     |   |                           | 3,285,425  |   |     | 3,239,833  |   |       | 3,311,101                                                                       |           | 0.7%     |   |
|                                                  |   |                                         |       | Senior Debt(g)             |   | L + 750      |   | 1.50%            |   | 5/24/2019     |   |                           | 396,303    |   |     | 396,303    |   |       | 411,093                                                                         |           | 0.1%     |   |
|                                                  |   |                                         | 3,636,136  |                       |   | 3,722,194    |   | 0.8%             |   |

----

| Company (a)                                         |   | Industry                            |              | Investments                |   | InterestRate |   |  LIBORFloor |     | Maturity Date |   | No. Shares/PrincipalAmount (b) |      |   | Cost (c)  |      |   | Fair Value |      | % of NetAssets |   |
|-----------------------------------------------------|--------|-------------------------------------|-------------------|----------------------------|--------|--------------|--------|------------------|----------|---------------|--------|--------------------------------|-----------|--------|-----------|-----------|--------|------------|-----------|----------------|--------|
| Atlantic Broadband Finance, LLC                     |   | Media                               |              | Senior Debt(g)             |   | L + 400      |   | 1.25%            |     | 4/4/2019      |   | $                              | 359,344   |   | $         | 360,206   |   | $          | 360,947   |           | 0.1%   |   |
| Avaya, Inc.                                         |   | Technology Hardware & Equipment |              | Senior Debt(e)(g)          |   | 7.00%        |   |             |     | 4/1/2019      |   |                           | 9,555,000 |   |      | 9,026,562 |   |       | 8,886,150 |           | 2.0%   |   |
| Avis Budget Car Rental, LLC                         |   | Transportation                      |              | Senior Debt(f)(g)          |   | L + 500      |   | 1.25%            |     | 9/22/2018     |   |                           | 156,025   |   |      | 153,259   |   |       | 157,429   |           | 0.0%   |   |
| AWAS Finance Luxembourg S.Ã  r.l. (LU)(j) |   | Transportation                      |              | Senior Debt(f)(g)          |   | L + 450      |   | 1.25%            |     | 7/16/2018     |   |                           | 459,768   |   |      | 455,248   |   |       | 464,964   |           | 0.1%   |   |
| Belden, Inc.                                        |   | Capital Goods                       |              | Subordinated Debt(e)(f)(g) |   | 5.50%        |   |             |     | 9/1/2022      |   |                           | 4,734,000 |   |      | 4,743,204 |   |       | 4,840,515 |           | 1.1%   |   |
| Bill Barrett Corp.                                  |   | Energy                              |              | Subordinated Debt(f)(g)    |   | 7.63%        |   |             |     | 10/1/2019     |   |                           | 251,000   |   |      | 256,899   |   |       | 266,060   |           | 0.1%   |   |
| Block Communications, Inc.                          |   | Media                               |              | Subordinated Debt(e)(g)    |   | 7.25%        |   |             |     | 2/1/2020      |   |                           | 108,000   |   |      | 111,115   |   |       | 114,750   |           | 0.0%   |   |
| BNY ConvergEX Group, LLC                            |   | Diversified Financials              |              | Senior Debt(f)(g)          |   | L + 375      |   | 1.50%            |     | 12/19/2016    |   |                           | 109,865   |   |      | 108,643   |   |       | 106,203   |           | 0.0%   |   |
|                                                |   |                                |              | Senior Debt(f)(g)          |   | L + 375      |   | 1.50%            |     | 12/19/2016    |   |                           | 250,758   |   |      | 247,969   |   |       | 242,400   |           | 0.1%   |   |
|                                                |   |                                |              | Senior Debt(f)(g)(h)       |   | L + 700      |   | 1.75%            |     | 12/17/2017    |   |                           | 1,386,716 |   |      | 1,380,320 |   |       | 1,289,646 |           | 0.3%   |   |
|                                                |   |                                |              | Senior Debt(f)(g)(h)       |   | L + 700      |   | 1.75%            |     | 12/17/2017    |   |                           | 581,872   |   |      | 579,188   |   |       | 541,141   |           | 0.1%   |   |
|                                                |   |                                | 2,316,120         |                       |   | 2,179,390    |   | 0.5%             |     |
| Boise Paper Holdings, LLC                           |   | Materials                           |              | Subordinated Debt(f)(g)    |   | 9.00%        |   |             |     | 11/1/2017     |   |                           | 146,000   |   |      | 153,882   |   |       | 160,600   |           | 0.0%   |   |
| Bright Horizons Family Solutions, Inc.              |   | Consumer Services                   |              | Senior Debt(g)(h)          |   | L + 425      |   | 1.00%            |     | 5/23/2017     |   |                           | 1,006,520 |   |      | 1,001,763 |   |       | 1,011,553 |           | 0.2%   |   |
| Building Materials Corporation Of America           |   | Capital Goods                       |              | Subordinated Debt(e)(g)    |   | 6.75%        |   |             |     | 5/1/2021      |   |                           | 1,802,000 |   |      | 1,939,639 |   |       | 1,973,190 |           | 0.4%   |   |
| Cablevision Systems Corp.                           |   | Media                               |              | Subordinated Debt(f)(g)    |   | 7.75%        |   |             |     | 4/15/2018     |   |                           | 1,238,000 |   |      | 1,258,377 |   |       | 1,371,085 |           | 0.3%   |   |
| Caesars Entertainment Operating Co., Inc.           |   | Consumer Services                   |              | Senior Debt(f)(g)          |   | L + 300      |   |             |     | 1/28/2015     |   |                           | 12,699    |   |      | 11,860    |   |       | 12,343    |           | 0.0%   |   |
|                                                |   |                                | Senior Debt(f)(g) |                       | 11.25% |         |   |             | 6/1/2017 |          |   | 1,023,000                      |      |   | 1,076,807 |      |   | 1,099,725  |      | 0.2%           |   |
|                                                |   |                                | 1,088,667         |                       |   | 1,112,068    |   | 0.2%             |     |
| California Pizza Kitchen, Inc.                      |   | Food & Staples Retailing        |              | Senior Debt(g)             |   | L + 550      |   | 1.25%            |     | 7/7/2017      |   |                           | 4,316,622 |   |      | 4,273,046 |   |       | 4,318,414 |           | 1.0%   |   |
| Calpine Corp.                                       |   | Utilities                           |              | Senior Debt(f)(g)(i)       |   | L + 325      |   | 1.25%            |     | 10/9//2019    |   |                           | 363,956   |   |      | 362,136   |   |       | 366,118   |           | 0.1%   |   |
| Camp International Holding Co.                      |   | Software & Services             |              | Senior Debt(g)             |   | L + 525      |   | 1.25%            |     | 5/31/2019     |   |                           | 2,162,287 |   |      | 2,167,584 |   |       | 2,185,532 |           | 0.5%   |   |

----

| Company (a)                                    |   | Industry                             |       | Investments               |   | InterestRate |   |  LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |       |   | Fair Value |       | % of NetAssets |   |
|------------------------------------------------|--------|--------------------------------------|------------|---------------------------|--------|--------------|--------|------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|------------|--------|------------|------------|----------------|--------|
| Catalina Marketing Corp.                       |   | Media                                |       | Senior Debt(g)            |   | L + 550      |   |             |   | 9/29/2017     |   | $                              | 8,431,567  |   | $        | 8,352,833  |   | $          | 8,505,764  |           | 1.9%   |   |
|                                           |   |                                 |       | Subordinated Debt(e)(g)   |   | 10.50%       |   |             |   | 10/1/2015     |   |                           | 19,902,000 |   |     | 19,855,667 |   |       | 20,001,510 |           | 4.4%   |   |
|                                           |   |                                 | 28,208,500 |                      |   | 28,507,274   |   | 6.3%             |   |
| CDW Corp.                                      |   | Technology Hardware & Equipment  |       | Subordinated Debt(g)      |   | 12.54%       |   |             |   | 10/12/2017    |   |                           | 8,698,000  |   |     | 9,351,817  |   |       | 9,285,115  |           | 2.1%   |   |
| Cemex Materials, LLC                           |   | Materials                            |       | Subordinated Debt(f)(EUR) |   | 4.75%        |   |             |   | 3/5/2014      |   | €                        | 419,000    |   | $        | 472,523    |   | $          | 522,283    |           | 0.1%   |   |
|                                           |   |                                 |       | Subordinated Debt(e)(g)   |   | 7.70%        |   |             |   | 7/21/2025     |   | $                              | 8,300,000  |   |     | 7,448,232  |   |       | 7,843,500  |           | 1.7%   |   |
|                                           |   |                                 | 7,920,755  |                      |   | 8,365,783    |   | 1.8%             |   |
| Cengage Learning Acquisitions, Inc.            |   | Media                                |       | Senior Debt(e)(g)         |   | 11.50%       |   |             |   | 4/15/2020     |   |                           | 14,622,000 |   |     | 15,011,768 |   |       | 15,645,540 |           | 3.5%   |   |
| Cequel Communications, LLC                     |   | Media                                |       | Subordinated Debt(e)(g)   |   | 8.63%        |   |             |   | 11/15/2017    |   |                           | 524,000    |   |     | 564,442    |   |       | 559,370    |           | 0.1%   |   |
| Ceridian Corp.                                 |   | Software & Services              |       | Senior Debt(g)            |   | L + 575      |   |             |   | 5/9/2017      |   |                           | 1,766,730  |   |     | 1,740,783  |   |       | 1,779,247  |           | 0.4%   |   |
|                                           |   |                                 |       | Senior Debt(e)(g)         |   | 8.88%        |   |             |   | 7/15/2019     |   |                           | 2,123,000  |   |     | 2,123,000  |   |       | 2,292,840  |           | 0.5%   |   |
|                                           |   |                                 | 3,863,783  |                      |   | 4,072,087    |   | 0.9%             |   |
| Charter Communications Operating Holdings, LLC |   | Media                                |       | Subordinated Debt(f)(g)   |   | 7.25%        |   |             |   | 10/30/2017    |   |                           | 573,000    |   |     | 582,057    |   |       | 624,570    |           | 0.1%   |   |
| Chesapeake Energy Corp.                        |   | Energy                               |       | Subordinated Debt(f)(g)   |   | L + 700      |   | 1.50%            |   | 12/2/2017     |   |                           | 2,331,000  |   |     | 2,264,319  |   |       | 2,341,070  |           | 0.5%   |   |
| ClubCorp Club Operations, Inc.                 |   | Consumer Services                    |       | Senior Debt(g)            |   | L + 450      |   | 1.50%            |   | 11/30/2016    |   |                           | 136,053    |   |     | 129,525    |   |       | 137,074    |           | 0.0%   |   |
| Commscope, Inc.                                |   | Technology Hardware & Equipment  |       | Subordinated Debt(e)(g)   |   | 8.25%        |   |             |   | 1/15/2019     |   |                           | 632,000    |   |     | 666,734    |   |       | 682,560    |           | 0.2%   |   |
| Continental Airlines, Inc.                     |   | Transportation                       |       | Senior Debt(f)(g)         |   | 7.34%        |   |             |   | 4/19/2014     |   |                           | 357,706    |   |     | 361,483    |   |       | 372,014    |           | 0.1%   |   |
|                                           |   |                                 |       | Senior Debt(f)(g)         |   | 8.31%        |   |             |   | 4/2/2018      |   |                           | 680,669    |   |     | 676,541    |   |       | 728,316    |           | 0.2%   |   |
|                                           |   |                                 | 1,038,024  |                      |   | 1,100,330    |   | 0.3%             |   |
| CRC Health Corp.                               |   | Health Care Equipment & Services |       | Senior Debt(g)            |   | L + 450      |   |             |   | 11/16/2015    |   |                           | 1,199,199  |   |     | 1,140,995  |   |       | 1,167,720  |           | 0.3%   |   |
|                                           |   |                                 |       | Subordinated Debt(g)      |   | 10.75%       |   |             |   | 2/1/2016      |   |                           | 1,114,000  |   |     | 1,072,323  |   |       | 1,036,020  |           | 0.2%   |   |
|                                           |   |                                 | 2,213,318  |                      |   | 2,203,740    |   | 0.5%             |   |
| Cricket Communications, Inc.                   |   | Telecommunication Services           |       | Senior Debt(f)(g)         |   | 7.75%        |   |             |   | 5/15/2016     |   |                           | 1,563,000  |   |     | 1,575,300  |   |       | 1,648,965  |           | 0.4%   |   |

----

| Company (a)                                  |   | Industry                             |                    | Investments             |   | InterestRate |   |  LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |       |   | Fair Value |       | % of NetAssets |   |
|----------------------------------------------|--------|--------------------------------------|-------------------------|-------------------------|--------|--------------|--------|------------------|-----------|---------------|--------|--------------------------------|------------|--------|----------|------------|--------|------------|------------|----------------|--------|
| Data Device Corp.                            |   | Capital Goods                        |                    | Senior Debt(g)          |   | L + 600      |   | 1.50%            |      | 7/11/2018     |   | $                              | 7,915,517  |   | $        | 7,761,818  |   | $          | 7,889,119  |           | 1.8%   |   |
|                                         |   |                                 |                    | Senior Debt(g)(h)       |   | L + 1000     |   | 1.50%            |      | 7/11/2019     |   |                           | 8,000,000  |   |     | 7,843,494  |   |       | 7,880,000  |           | 1.8%   |   |
|                                         |   |                                 | 15,605,312              |                    |   | 15,769,119   |   | 3.6%             |      |
| DineEquity, Inc.                             |   | Consumer Services                    |                    | Senior Debt(f)(g)       |   | L + 300      |   | 1.25%            |      | 10/19/2017    |   |                           | 55,868     |   |     | 53,851     |   |       | 56,314     |           | 0.0%   |   |
| DJO Finance, LLC                             |   | Health Care Equipment & Services |                    | Senior Debt(g)          |   | L + 500      |   | 1.25%            |      | 9/15/2017     |   |                           | 1,979,586  |   |     | 1,981,959  |   |       | 1,991,464  |           | 0.4%   |   |
|                                         |   |                                 |                    | Senior Debt(e)(g)(i)    |   | 8.75%        |   |             |      | 3/15/2018     |   |                           | 8,188,000  |   |     | 8,657,585  |   |       | 8,709,985  |           | 1.9%   |   |
|                                         |   |                                 | 10,639,544              |                    |   | 10,701,449   |   | 2.3%             |      |
| DuPont Fabros Technology, LP                 |   | Real Estate                          |                    | Subordinated Debt(f)(g) |   | 8.50%        |   |             |      | 12/15/2017    |   |                           | 100,000    |   |     | 105,916    |   |       | 110,250    |           | 0.0%   |   |
| E*Trade Financial Corp.                      |   | Diversified Financials               |                    | Subordinated Debt(f)(g) |   | 6.75%        |   |             |      | 6/1/2016      |   |                           | 11,000     |   |     | 11,072     |   |       | 11,578     |           | 0.0%   |   |
|                                         |   |                                 |                    | Subordinated Debt(f)(g) |   | 7.88%        |   |             |      | 12/1/2015     |   |                           | 1,269,000  |   |     | 1,265,196  |   |       | 1,292,794  |           | 0.3%   |   |
|                                         |   |                                 |                    | Subordinated Debt(f)(g) |   | 12.50%       |   |             |      | 11/30/2017    |   |                           | 10,826,000 |   |     | 12,379,056 |   |       | 12,301,042 |           | 2.7%   |   |
|                                         |   |                                 | 13,655,324              |                    |   | 13,605,414   |   | 3.0%             |      |
| Easton-Bell Sports, Inc.                     |   | Consumer Durables & Apparel      |                    | Senior Debt(g)          |   | 9.75%        |   |             |      | 12/1/2016     |   |                           | 1,190,000  |   |     | 1,264,628  |   |       | 1,286,688  |           | 0.3%   |   |
| Education Management, LLC                    |   | Consumer Services                    |                    | Senior Debt(f)(g)       |   | L + 700      |   | 1.25%            |      | 3/30/2018     |   |                           | 7,097,662  |   |     | 6,897,675  |   |       | 6,347,971  |           | 1.4%   |   |
|                                         |   |                                 |                    | Subordinated Debt(f)(g) |   | 8.75%        |   |             |      | 6/1/2014      |   |                           | 5,818,000  |   |     | 5,632,601  |   |       | 4,581,675  |           | 1.0%   |   |
|                                         |   |                                 | 12,530,276              |                    |   | 10,929,646   |   | 2.4%             |      |
| Emergency Medical Services Corp.             |   | Health Care Equipment & Services |                    | Senior Debt(g)          |   | L + 375      |   | 1.50%            |      | 5/25/2018     |   |                           | 3,232,204  |   |     | 3,232,500  |   |       | 3,258,465  |           | 0.7%   |   |
| Express, LLC / Express Finance Corp.         |   | Retailing                            |                    | Subordinated Debt(f)(g) |   | 8.75%        |   |             |      | 3/1/2018      |   |                           | 43,000     |   |     | 45,928     |   |       | 47,085     |           | 0.0%   |   |
| Fidelity National Information Services, Inc. |   | Software & Services              |                    | Subordinated Debt(f)(g) |   | 7.63%        |   |             |      | 7/15/2017     |   |                           | 26,000     |   |     | 27,175     |   |       | 28,470     |           | 0.0%   |   |
|                                         |   |                                 | Subordinated Debt(f)(g) |                    | 7.88%  |         |   |             | 7/15/2020 |          |   | 114,000                        |       |   | 122,555  |       |   | 127,395    |       | 0.0%           |   |
|                                         |   |                                 | 149,730                 |                    |   | 155,865      |   | 0.0%             |      |
| First American Payment Systems, L.P.         |   | Software & Services              |                    | Senior Debt(g)(h)       |   | L + 500      |   | 1.75%            |      | 11/1/2016     |   |                           | 1,330,901  |   |     | 1,318,643  |   |       | 1,334,229  |           | 0.3%   |   |
| FleetPride Corp.                             |   | Capital Goods                        |                    | Senior Debt(g)          |   | L + 550      |   | 1.25%            |      | 12/6/2017     |   |                           | 831,395    |   |     | 829,438    |   |       | 845,945    |           | 0.2%   |   |
| Fly Leasing Ltd.                             |   | Transportation                       |                    | Senior Debt(f)(g)       |   | L + 550      |   | 1.25%            |      | 8/9/2018      |   |                           | 3,289,954  |   |     | 3,160,509  |   |       | 3,291,320  |           | 0.7%   |   |

----

| Company (a)                                   |   | Industry                        |                      | Investments                |   | InterestRate |   |  LIBORFloor |      | Maturity Date |    | No. Shares/PrincipalAmount (b) |       |   | Cost (c)  |       |   | Fair Value |       | % of NetAssets |   |
|-----------------------------------------------|--------|---------------------------------|---------------------------|----------------------------|--------|--------------|--------|------------------|-----------|---------------|---------|--------------------------------|------------|--------|-----------|------------|--------|------------|------------|----------------|--------|
| Freedom Group                                 |   | Consumer Durables & Apparel |                      | Senior Debt(g)             |   | L + 425      |   | 1.25%            |      | 4/19/2019     |    | $                              | 994,277    |   | $         | 989,384    |   | $          | 1,003,911  |           | 0.2%   |   |
|                                          |   |                            |                      | Senior Debt(e)(g)          |   | 7.88%        |   |             |      | 5/1/2020      |    |                           | 909,000    |   |      | 961,457    |   |       | 986,265    |           | 0.2%   |   |
|                                          |   |                            | 1,950,841                 |                       |   | 1,990,176    |   | 0.4%             |      |
| FTI Consulting, Inc.                          |   | Diversified Financials          |                      | Subordinated Debt(f)(g)    |   | 6.75%        |   |             |      | 10/1/2020     |    |                           | 87,000     |   |      | 86,840     |   |       | 92,873     |           | 0.0%   |   |
| GCI, Inc.                                     |   | Telecommunication Services      |                      | Subordinated Debt(g)       |   | 6.75%        |   |             |      | 6/1/2021      |    |                           | 6,677,000  |   |      | 6,753,641  |   |       | 6,677,000  |           | 1.5%   |   |
|                                          |   |                            |                      | Subordinated Debt(g)       |   | 8.63%        |   |             |      | 11/15/2019    |    |                           | 8,575,000  |   |      | 9,117,777  |   |       | 9,261,000  |           | 2.1%   |   |
|                                          |   |                            | 15,871,418                |                       |   | 15,938,000   |   | 3.6%             |      |
| Generac Power System, Inc.                    |   | Capital Goods                   |                      | Senior Debt(f)(g)(h)       |   | L + 500      |   | 1.25%            |      | 5/30/2018     |    |                           | 6,546      |   |      | —    |   |       | 6,654      |           | 0.0%   |   |
| Genesys Telecommunications Laboratories, Inc. |   | Software & Services         |                      | Common Stock(h)*           |   |         |   |             |      |          |    |                           | 448,908    |   |      | 448,908    |   |       | 561,134    |           | 0.1%   |   |
|                                          |   |                            | Subordinated Debt(h)(EUR) |                       | 12.50% |         |   |             | 1/31/2020 |          | € | 2,044,000                      |       | $      | 2,629,630 |       | $      | 2,679,174  |       | 0.6%           |   |
|                                          |   |                            | 3,078,538                 |                       |   | 3,240,308    |   | 0.7%             |      |
| Good Sam Enterprises, LLC                     |   | Media                           |                      | Senior Debt(g)             |   | 11.50%       |   |             |      | 12/1/2016     |    | $                              | 10,105,000 |   |      | 10,372,634 |   |       | 10,711,300 |           | 2.4%   |   |
| Goodman Global, Inc.                          |   | Capital Goods                   |                      | Senior Debt(g)             |   | L + 700      |   | 2.00%            |      | 10/30/2017    |    |                           | 1,246,673  |   |      | 1,253,636  |   |       | 1,270,048  |           | 0.3%   |   |
| Great Lakes Dredge & Dock Corp.           |   | Capital Goods                   |                      | Subordinated Debt(f)(g)    |   | 7.38%        |   |             |      | 2/1/2019      |    |                           | 711,000    |   |      | 726,183    |   |       | 750,105    |           | 0.2%   |   |
| Guitar Center, Inc.                           |   | Retailing                       |                      | Senior Debt(g)             |   | L + 525      |   |             |      | 4/9/2017      |    |                           | 12,238,739 |   |      | 11,440,768 |   |       | 11,773,666 |           | 2.7%   |   |
| Harbor Freight Tools USA, Inc.                |   | Capital Goods                   |                      | Senior Debt(g)             |   | L + 425      |   | 1.25%            |      | 11/14/2017    |    |                           | 5,008,978  |   |      | 4,968,077  |   |       | 5,042,363  |           | 1.1%   |   |
| Hilcorp Energy I LP                           |   | Energy                          |                      | Subordinated Debt(e)(f)(g) |   | 7.63%        |   |             |      | 4/15/2021     |    |                           | 390,000    |   |      | 422,102    |   |       | 429,000    |           | 0.1%   |   |
|                                          |   |                            |                      | Subordinated Debt(e)(f)(g) |   | 8.00%        |   |             |      | 2/15/2020     |    |                           | 1,659,000  |   |      | 1,775,677  |   |       | 1,845,637  |           | 0.4%   |   |
|                                          |   |                            | 2,197,779                 |                       |   | 2,274,637    |   | 0.5%             |      |
| HUB International, Ltd.                       |   | Insurance                       |                      | Senior Debt(g)             |   | L + 450      |   |             |      | 6/13/2017     |    |                           | 5,103,622  |   |      | 5,062,374  |   |       | 5,116,382  |           | 1.1%   |   |
|                                          |   |                            |                      | Senior Debt(g)             |   | L + 475      |   | 2.00%            |      | 12/13/2017    |    |                           | 329,842    |   |      | 329,842    |   |       | 334,394    |           | 0.1%   |   |
|                                          |   |                            |                      | Subordinated Debt(e)(g)    |   | 8.13%        |   |             |      | 10/15/2018    |    |                           | 14,258,000 |   |      | 14,258,000 |   |       | 14,436,225 |           | 3.2%   |   |
|                                          |   |                            | 19,650,216                |                       |   | 19,887,001   |   | 4.4%             |      |
| Hubbard Radio, LLC                            |   | Media                           |                      | Senior Debt(g)             |   | L + 375      |   | 1.50%            |      | 4/28/2017     |    |                           | 534,146    |   |      | 530,687    |   |       | 540,155    |           | 0.1%   |   |
|                                          |   |                            |                      | Senior Debt(g)             |   | L + 725      |   | 1.50%            |      | 4/30/2018     |    |                           | 14,669,501 |   |      | 14,804,422 |   |       | 14,889,544 |           | 3.3%   |   |
|                                          |   |                            | 15,335,109                |                       |   | 15,429,699   |   | 3.4%             |      |

----

| Company (a)                         |   | Industry                             |       | Investments             |   | InterestRate |   |  LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |       |   | Fair Value |       | % of NetAssets |   |
|-------------------------------------|--------|--------------------------------------|------------|-------------------------|--------|--------------|--------|------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|------------|--------|------------|------------|----------------|--------|
| Immucor, Inc.                       |   | Health Care Equipment & Services |       | Senior Debt(g)(i)       |   | L + 450      |   | 1.25%            |   | 8/19/2018     |   | $                              | 2,425,258  |   | $        | 2,431,556  |   | $          | 2,439,810  |           | 0.5%   |   |
| Ineos US Finance, LLC (UK)(j)       |   | Materials                            |       | Senior Debt(e)(f)(g)    |   | 9.00%        |   |             |   | 5/15/2015     |   |                           | 70,000     |   |     | 73,352     |   |       | 74,025     |           | 0.0%   |   |
| Infor (US), Inc.                    |   | Software & Services              |       | Senior Debt(g)(i)       |   | L + 400      |   | 1.25%            |   | 4/5/2018      |   |                           | 2,154,844  |   |     | 2,144,070  |   |       | 2,166,178  |           | 0.5%   |   |
|                                |   |                                 |       | Subordinated Debt(e)(g) |   | 11.50%       |   |             |   | 7/15/2018     |   |                           | 4,549,000  |   |     | 4,981,799  |   |       | 5,185,860  |           | 1.2%   |   |
|                                |   |                                 | 7,125,869  |                    |   | 7,352,038    |   | 1.7%             |   |
| Intelsat Jackson Holdings SA(LU)(j) |   | Media                                |       | Subordinated Debt(f)(g) |   | 7.25%        |   |             |   | 4/1/2019      |   |                           | 6,173,000  |   |     | 6,144,112  |   |       | 6,666,840  |           | 1.5%   |   |
| Interactive Data Corp.              |   | Diversified Financials               |       | Senior Debt(g)          |   | L + 325      |   | 1.25%            |   | 2/11/2018     |   |                           | 17,629     |   |     | 17,300     |   |       | 17,763     |           | 0.0%   |   |
| iPayment, Inc.                      |   | Software & Services              |       | Senior Debt(g)          |   | L + 425      |   | 1.50%            |   | 5/8/2017      |   |                           | 1,910,441  |   |     | 1,890,978  |   |       | 1,898,500  |           | 0.4%   |   |
|                                |   |                                 |       | Subordinated Debt(g)    |   | 10.25%       |   |             |   | 5/15/2018     |   |                           | 4,013,000  |   |     | 3,792,961  |   |       | 3,501,342  |           | 0.8%   |   |
|                                |   |                                 | 5,683,939  |                    |   | 5,399,842    |   | 1.2%             |   |
| IPC Systems, Inc.                   |   | Technology Hardware & Equipment  |       | Senior Debt(g)          |   | L + 525      |   |             |   | 7/31/2017     |   |                           | 4,032,030  |   |     | 3,969,307  |   |       | 3,966,510  |           | 0.9%   |   |
| J. Crew Group, Inc.                 |   | Retailing                            |       | Subordinated Debt(g)    |   | 8.13%        |   |             |   | 3/1/2019      |   |                           | 1,471,000  |   |     | 1,398,880  |   |       | 1,540,873  |           | 0.3%   |   |
| Jo-Ann Stores, Inc.                 |   | Retailing                            |       | Senior Debt(g)          |   | L + 350      |   | 1.25%            |   | 3/16/2018     |   |                           | 22,824     |   |     | 22,628     |   |       | 22,921     |           | 0.0%   |   |
| Kerling PLC (UK)(j)                 |   | Materials                            |       | Senior Debt(e)(f)(EUR)  |   | 10.63%       |   |             |   | 2/1/2017      |   | €                        | 5,353,000  |   | $        | 6,580,102  |   | $          | 6,517,730  |           | 1.5%   |   |
| Kinetic Concepts, Inc.              |   | Health Care Equipment & Services |       | Senior Debt(g)          |   | L + 525      |   | 1.25%            |   | 11/4/2016     |   | $                              | 1,310,171  |   |     | 1,304,967  |   |       | 1,321,216  |           | 0.3%   |   |
|                                |   |                                 |       | Senior Debt(g)          |   | L + 575      |   | 1.25%            |   | 5/4/2018      |   |                           | 1,956,931  |   |     | 1,967,764  |   |       | 1,988,124  |           | 0.4%   |   |
|                                |   |                                 |       | Senior Debt(e)(g)       |   | 10.50%       |   |             |   | 11/1/2018     |   |                           | 6,847,000  |   |     | 6,972,738  |   |       | 7,240,702  |           | 1.6%   |   |
|                                |   |                                 | 10,245,469 |                    |   | 10,550,042   |   | 2.3%             |   |
| Liz Claiborne, Inc.                 |   | Consumer Durables & Apparel      |       | Senior Debt(e)(f)(g)    |   | 10.50%       |   |             |   | 4/15/2019     |   |                           | 1,735,000  |   |     | 1,851,847  |   |       | 1,958,381  |           | 0.4%   |   |
| Local TV Finance, LLC               |   | Media                                |       | Senior Debt(g)          |   | L + 400      |   |             |   | 5/7/2015      |   |                           | 370,225    |   |     | 357,519    |   |       | 372,539    |           | 0.1%   |   |
| Lord & Taylor Holdings, LLC     |   | Consumer Durables & Apparel      |       | Senior Debt(g)          |   | L + 450      |   | 1.25%            |   | 1/11/2019     |   |                           | 33,362     |   |     | 33,604     |   |       | 33,675     |           | 0.0%   |   |
| McJunkin Red Man Corp.              |   | Energy                               |       | Senior Debt(g)          |   | 9.50%        |   |             |   | 12/15/2016    |   |                           | 11,393,000 |   |     | 12,013,357 |   |       | 12,290,199 |           | 2.7%   |   |
| MedAssets, Inc.                     |   | Health Care Equipment & Services |       | Senior Debt(f)(g)       |   | L + 375      |   | 1.50%            |   | 11/16/2016    |   |                           | 684,425    |   |     | 686,045    |   |       | 689,901    |           | 0.2%   |   |
|                                |   |                                 |       | Subordinated Debt(f)(g) |   | 8.00%        |   |             |   | 11/15/2018    |   |                           | 489,000    |   |     | 490,266    |   |       | 533,010    |           | 0.1%   |   |
|                                |   |                                 | 1,176,311  |                    |   | 1,222,911    |   | 0.3%             |   |
| MetroPCS Wireless, Inc.             |   | Telecommunication Services           |       | Subordinated Debt(f)(g) |   | 7.88%        |   |             |   | 9/1/2018      |   |                           | 1,762,000  |   |     | 1,837,250  |   |       | 1,902,960  |           | 0.4%   |   |

----

| Company (a)                               |   | Industry                          |           | Investments             |   | InterestRate          |   |  LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c)  |       |   | Fair Value |       | % of NetAssets |   |
|-------------------------------------------|--------|-----------------------------------|----------------|-------------------------|--------|-----------------------|--------|------------------|-----------|---------------|--------|--------------------------------|------------|--------|-----------|------------|--------|------------|------------|----------------|--------|
| Michaels Stores, Inc.                     |   | Retailing                         |           | Senior Debt(g)          |   | L + 450               |   |             |      | 7/31/2016     |   | $                              | 681,714    |   | $         | 669,158    |   | $          | 689,015    |           | 0.2%   |   |
| Misys PLC (UK)                            |   | Software & Services           |           | Senior Debt(f)(g)       |   | L + 600               |   | 1.25%            |      | 12/12/2018    |   |                           | 1,419,814  |   |      | 1,386,963  |   |       | 1,431,527  |           | 0.3%   |   |
|                                      |   |                              |           | Senior Debt(f)(g)       |   | 12.00%                |   |             |      | 6/12/2019     |   |                           | 5,819,283  |   |      | 5,715,556  |   |       | 6,052,054  |           | 1.3%   |   |
|                                      |   |                              | 7,102,519      |                    |   | 7,483,581             |   | 1.6%             |      |
| Momentive Performance Materials USA, Inc. |   | Materials                         |           | Senior Debt(g)          |   | L + 350               |   |             |      | 5/5/2015      |   |                           | 536,881    |   |      | 517,866    |   |       | 521,220    |           | 0.1%   |   |
|                                      |   |                              | Senior Debt(g) |                    | 12.50% |                  |   |             | 6/15/2014 |          |   | 8,370,000                      |       |   | 8,716,831 |       |   | 8,621,100  |       | 1.9%           |   |
|                                      |   |                              | 9,234,697      |                    |   | 9,142,320             |   | 2.0%             |      |
| Mueller Water Products, Inc.              |   | Capital Goods                     |           | Subordinated Debt(f)(g) |   | 7.38%                 |   |             |      | 6/1/2017      |   |                           | 1,034,000  |   |      | 888,363    |   |       | 1,059,850  |           | 0.2%   |   |
| Nara Cable Funding (IE)(j)                |   | Media                             |           | Senior Debt(e)(f)(g)    |   | 8.88%                 |   |             |      | 12/1/2018     |   |                           | 981,000    |   |      | 826,169    |   |       | 895,163    |           | 0.2%   |   |
| National Vision, Inc.                     |   | Retailing                         |           | Senior Debt(g)(h)       |   | L + 575               |   | 1.25%            |      | 8/2/2018      |   |                           | 3,053,928  |   |      | 3,008,910  |   |       | 3,092,102  |           | 0.7%   |   |
| NBTY, Inc.                                |   | Household & Personal Products |           | Senior Debt(g)          |   | L + 325               |   | 1.00%            |      | 10/1/2017     |   |                           | 26,355     |   |      | 26,069     |   |       | 26,496     |           | 0.0%   |   |
| New Enterprise Stone & Lime Co., Inc. |   | Capital Goods                     |           | Senior Debt(e)(g)       |   | 4.00% CASH, 9.00% PIK |   |             |      | 3/15/2018     |   |                           | 6,272,090  |   |      | 6,272,090  |   |       | 6,428,892  |           | 1.4%   |   |
| Newport Television, LLC                   |   | Media                             |           | Senior Debt(g)          |   | L + 675               |   | 3.00%            |      | 9/14/2016     |   |                           | 11,698,674 |   |      | 11,796,181 |   |       | 11,808,232 |           | 2.7%   |   |
| Nexstar Broadcasting, Inc.                |   | Media                             |           | Senior Debt(f)(g)       |   | 8.88%                 |   |             |      | 4/15/2017     |   |                           | 170,000    |   |      | 176,954    |   |       | 184,875    |           | 0.0%   |   |
| NPC International, Inc.                   |   | Consumer Services                 |           | Senior Debt(g)          |   | L + 400               |   | 1.25%            |      | 12/28/2018    |   |                           | 1,635,757  |   |      | 1,636,473  |   |       | 1,656,204  |           | 0.4%   |   |
| NuSil Technology, LLC                     |   | Materials                         |           | Senior Debt(g)          |   | L + 400               |   | 1.25%            |      | 4/7/2017      |   |                           | 510,252    |   |      | 513,752    |   |       | 511,208    |           | 0.1%   |   |
| Nuveen Investments, Inc.                  |   | Diversified Financials            |           | Senior Debt(f)(g)       |   | L + 550               |   |             |      | 5/13/2017     |   |                           | 25,629     |   |      | 24,132     |   |       | 25,533     |           | 0.0%   |   |
|                                      |   |                              |           | Senior Debt(f)(g)       |   | L + 600               |   | 1.25%            |      | 5/13/2017     |   |                           | 282,184    |   |      | 277,170    |   |       | 284,918    |           | 0.1%   |   |
|                                      |   |                              |           | Senior Debt(f)(g)       |   | L + 700               |   | 1.25%            |      | 2/28/2019     |   |                           | 641,271    |   |      | 635,295    |   |       | 648,088    |           | 0.1%   |   |
|                                      |   |                              |           | Subordinated Debt(f)(g) |   | 5.50%                 |   |             |      | 9/15/2015     |   |                           | 889,000    |   |      | 829,184    |   |       | 844,550    |           | 0.2%   |   |
|                                      |   |                              | 1,765,781      |                    |   | 1,803,089             |   | 0.4%             |      |
| Ocwen Financial Corp.                     |   | Banks                             |           | Senior Debt(f)(g)(h)    |   | L + 550               |   | 1.50%            |      | 9/1/2016      |   |                           | 260,405    |   |      | 257,413    |   |       | 261,869    |           | 0.1%   |   |
| Office Depot, Inc.                        |   | Retailing                         |           | Senior Debt(e)(f)(g)    |   | 9.75%                 |   |             |      | 3/15/2019     |   |                           | 5,743,000  |   |      | 5,647,504  |   |       | 5,728,642  |           | 1.3%   |   |
| Penn National Gaming, Inc.                |   | Consumer Services                 |           | Subordinated Debt(f)(g) |   | 8.75%                 |   |             |      | 8/15/2019     |   |                           | 401,000    |   |      | 430,147    |   |       | 449,120    |           | 0.1%   |   |

----

| Company (a)                              |   | Industry                                           |       | Investments             |   | InterestRate |   |  LIBORFloor |   | Maturity Date |    | No. Shares/PrincipalAmount (b) |      |    | Cost (c) |      |    | Fair Value |      | % of NetAssets |   |
|------------------------------------------|--------|----------------------------------------------------|------------|-------------------------|--------|--------------|--------|------------------|--------|---------------|---------|--------------------------------|-----------|---------|----------|-----------|---------|------------|-----------|----------------|--------|
| Petco Animal Supplies, Inc.              |   | Retailing                                          |       | Senior Debt(g)          |   | L + 325      |   | 1.25%            |   | 11/24/2017    |    | $                              | 118,888   |    | $        | 113,614   |    | $          | 119,604   |           | 0.0%   |   |
| Pharmaceutical Product Development, Inc. |   | Pharmaceuticals, Biotechnology & Life Sciences |       | Senior Debt(g)          |   | L + 500      |   | 1.25%            |   | 12/5/2018     |    |                           | 802,597   |    |     | 793,070   |    |       | 811,426   |           | 0.2%   |   |
| Pinnacle Foods Finance, LLC              |   | Food & Staples Retailing                       |       | Senior Debt(g)          |   | L + 350      |   |             |   | 10/2/2016     |    |                           | 543,582   |    |     | 529,881   |    |       | 545,284   |           | 0.1%   |   |
| Plains Exploration & Production Co.  |   | Energy                                             |       | Subordinated Debt(f)(g) |   | 6.13%        |   |             |   | 6/15/2019     |    |                           | 8,000     |    |     | 7,806     |    |       | 8,060     |           | 0.0%   |   |
| Prestige Brands, Inc.                    |   | Pharmaceuticals, Biotechnology & Life Sciences |       | Senior Debt(f)(g)       |   | L + 400      |   | 1.25%            |   | 1/31/2019     |    |                           | 95,264    |    |     | 93,937    |    |       | 96,500    |           | 0.0%   |   |
|                                     |   | Subordinated Debt(f)(g)                            |       | 8.13%                   |   |         |   | 2/1/2020         |   |          | 602,000 |                           |      | 642,759 |     |      | 671,230 |       | 0.2%      |           |
|                                     |   |                                               | 736,696    |                    |   | 767,730      |   | 0.2%             |   |
| Realogy Corp.                            |   | Real Estate                                        |       | Senior Debt(g)          |   | L + 425      |   |             |   | 10/10/2016    |    |                           | 4,148,262 |    |     | 3,925,053 |    |       | 4,106,780 |           | 1.0%   |   |
| Redprairie Corp.                         |   | Software & Services                            |       | Senior Debt(g)(i)       |   | L + 500      |   | 1.00%            |   | 8/6/2018      |    |                           | 4,938,697 |    |     | 4,943,108 |    |       | 4,969,564 |           | 1.1%   |   |
| Reynolds Group Holdings, Inc.            |   | Capital Goods                                      |       | Senior Debt(e)(g)(i)    |   | 5.75%        |   |             |   | 10/15/2020    |    |                           | 533,000   |    |     | 533,000   |    |       | 533,000   |           | 0.1%   |   |
| Rocket Software, Inc.                    |   | Software & Services                            |       | Senior Debt(g)          |   | L + 550      |   | 1.50%            |   | 2/8/2018      |    |                           | 1,926,177 |    |     | 1,944,621 |    |       | 1,939,420 |           | 0.4%   |   |
| Roofing Supply Group, LLC                |   | Retailing                                          |       | Senior Debt(g)          |   | L + 525      |   | 1.25%            |   | 5/31/2019     |    |                           | 89,513    |    |     | 89,731    |    |       | 90,661    |           | 0.0%   |   |
| Roundy's Supermarkets, Inc.              |   | Food & Staples Retailing                       |       | Senior Debt(f)(g)       |   | L + 450      |   | 1.25%            |   | 2/13/2019     |    |                           | 4,476,616 |    |     | 4,449,581 |    |       | 4,397,470 |           | 1.0%   |   |
| Ryerson, Inc.                            |   | Materials                                          |       | Senior Debt(g)          |   | L + 737.5    |   |             |   | 11/1/2014     |    |                           | 4,094,000 |    |     | 4,024,571 |    |       | 4,094,000 |           | 0.9%   |   |
|                                     |   |                                               |       | Senior Debt(e)(g)(i)    |   | 9.00%        |   |             |   | 10/15/2017    |    |                           | 6,731,000 |    |     | 6,731,000 |    |       | 6,882,447 |           | 1.5%   |   |
|                                     |   |                                               |       | Senior Debt(g)          |   | 12.00%       |   |             |   | 11/1/2015     |    |                           | 9,037,000 |    |     | 9,226,490 |    |       | 9,330,702 |           | 2.1%   |   |
|                                     |   |                                               | 19,982,061 |                    |   | 20,307,149   |   | 4.5%             |   |
| Sabre, Inc.                              |   | Transportation                                     |       | Senior Debt(i)(g)       |   | L + 600      |   | 1.25%            |   | 12/29/2017    |    |                           | 1,841,035 |    |     | 1,823,237 |    |       | 1,858,295 |           | 0.4%   |   |
|                                     |   |                                               |       | Senior Debt(e)(g)       |   | 8.50%        |   |             |   | 5/15/2019     |    |                           | 7,957,000 |    |     | 8,142,016 |    |       | 8,175,817 |           | 1.8%   |   |
|                                     |   |                                               | 9,965,253  |                    |   | 10,034,112   |   | 2.2%             |   |
| Savers, Inc.                             |   | Retailing                                          |       | Senior Debt(g)          |   | L + 500      |   | 1.25%            |   | 7/9/2019      |    |                           | 204,682   |    |     | 202,685   |    |       | 206,825   |           | 0.0%   |   |
| Schaeffler AG (DE)(j)                    |   | Automobiles & Components                       |       | Senior Debt(f)(g)(i)    |   | L + 475      |   | 1.25%            |   | 1/27/2017     |    |                           | 3,086,176 |    |     | 3,095,375 |    |       | 3,126,697 |           | 0.7%   |   |
|                                     |   |                                               |       | Senior Debt(e)(f)(g)    |   | 8.50%        |   |             |   | 2/15/2019     |    |                           | 5,000     |    |     | 5,388     |    |       | 5,600     |           | 0.0%   |   |
|                                     |   |                                               | 3,100,763  |                    |   | 3,132,297    |   | 0.7%             |   |

----

| Company (a)                                        |   | Industry                               |              | Investments                   |    | InterestRate |   |  LIBORFloor |      | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c)  |       |   | Fair Value |       | % of NetAssets |   |
|----------------------------------------------------|--------|----------------------------------------|-------------------|-------------------------------|---------|--------------|--------|------------------|-----------|---------------|--------|--------------------------------|------------|--------|-----------|------------|--------|------------|------------|----------------|--------|
| Scitor Corp.                                       |   | Capital Goods                          |              | Senior Debt(g)                |    | L + 350      |   | 1.50%            |      | 2/15/2017     |   | $                              | 21,849     |   | $         | 21,805     |   | $          | 21,665     |           | 0.0%   |   |
| Sedgwick Claims Management Services Holdings, Inc. |   | Insurance                              |              | Senior Debt(g)(h)             |    | L + 350      |   | 1.50%            |      | 12/31/2016    |   |                           | 112,693    |   |      | 107,728    |   |       | 113,186    |           | 0.0%   |   |
|                                               |   |                                   | Senior Debt(g)(h) |                          | L + 750 |         | 1.50%  |             | 5/30/2017 |          |   | 1,338,888                      |       |   | 1,317,238 |       |   | 1,332,193  |       | 0.3%           |   |
|                                               |   |                                   | 1,424,966         |                          |    | 1,445,379    |   | 0.3%             |      |
| Sidera Networks, Inc.                              |   | Media                                  |              | Senior Debt(g)                |    | L + 450      |   | 1.50%            |      | 8/26/2016     |   |                           | 2,638,236  |   |      | 2,492,333  |   |       | 2,625,045  |           | 0.6%   |   |
| Sinclair Television Group, Inc.                    |   | Media                                  |              | Subordinated Debt(g)          |    | 8.38%        |   |             |      | 10/15/2018    |   |                           | 27,000     |   |      | 28,248     |   |       | 29,768     |           | 0.0%   |   |
| Skilled Healthcare Group, Inc.                     |   | Health Care Equipment & Services   |              | Senior Debt(f)(g)             |    | L + 525      |   | 1.50%            |      | 4/9/2016      |   |                           | 14,851     |   |      | 14,494     |   |       | 14,869     |           | 0.0%   |   |
| SNL Financial, LLC                                 |   | Commercial & Professional Services |              | Senior Debt(g)(h)             |    | L + 700      |   | 1.50%            |      | 8/17/2018     |   |                           | 2,251,491  |   |      | 2,268,731  |   |       | 2,251,491  |           | 0.5%   |   |
| Sophia, LP                                         |   | Software & Services                |              | Senior Debt(g)                |    | L + 500      |   | 1.25%            |      | 7/19/2018     |   |                           | 398,505    |   |      | 393,024    |   |       | 403,885    |           | 0.1%   |   |
| Springleaf Financial Funding Co.                   |   | Diversified Financials                 |              | Senior Debt(f)(g)             |    | L + 425      |   | 1.25%            |      | 5/10/2017     |   |                           | 2,551,580  |   |      | 2,305,103  |   |       | 2,503,100  |           | 0.6%   |   |
| SSI Investments II, Ltd.                           |   | Software & Services                |              | Subordinated Debt(g)          |    | 11.13%       |   |             |      | 6/1/2018      |   |                           | 1,369,000  |   |      | 1,446,646  |   |       | 1,546,970  |           | 0.3%   |   |
| Standard Chartered Bank (SG)(j)                    |   | Banks                                  |              | Subordinated Debt(e)(f)(h)(k) |    | L + 1600     |   |             |      | 4/1/2014      |   |                           | 3,310,000  |   |      | 3,337,068  |   |       | 3,424,526  |           | 0.8%   |   |
| Styron Holding B.V. (LU)(j)                        |   | Materials                              |              | Senior Debt(f)(g)             |    | L + 450      |   | 1.50%            |      | 8/2/2017      |   |                           | 2,593,576  |   |      | 2,433,920  |   |       | 2,493,075  |           | 0.6%   |   |
| Supervalu, Inc.                                    |   | Food & Staples Retailing           |              | Subordinated Debt(f)(g)(i)    |    | 7.25%        |   |             |      | 5/1/2013      |   |                           | 3,503,000  |   |      | 3,473,761  |   |       | 3,555,545  |           | 0.8%   |   |
|                                               |   |                                   |              | Subordinated Debt(f)(g)       |    | 7.50%        |   |             |      | 11/15/2014    |   |                           | 6,710,000  |   |      | 6,490,392  |   |       | 6,441,600  |           | 1.4%   |   |
|                                               |   |                                   | 9,964,153         |                          |    | 9,997,145    |   | 2.2%             |      |
| The Gymboree Corp.                                 |   | Retailing                              |              | Senior Debt(g)(i)             |    | L + 350      |   | 1.50%            |      | 2/23/2018     |   |                           | 11,438,727 |   |      | 10,938,843 |   |       | 11,181,355 |           | 2.5%   |   |
|                                               |   |                                   |              | Subordinated Debt(g)(i)       |    | 9.13%        |   |             |      | 12/1/2018     |   |                           | 11,080,000 |   |      | 10,461,867 |   |       | 10,539,850 |           | 2.3%   |   |
|                                               |   |                                   | 21,400,710        |                          |    | 21,721,205   |   | 4.8%             |      |
| The Neiman Marcus Group, Inc.                      |   | Retailing                              |              | Senior Debt(g)                |    | L + 350      |   | 1.25%            |      | 5/16/2018     |   |                           | 188,713    |   |      | 182,353    |   |       | 190,064    |           | 0.0%   |   |
|                                               |   |                                   |              | Subordinated Debt(g)          |    | 10.38%       |   |             |      | 10/15/2015    |   |                           | 1,967,000  |   |      | 2,028,080  |   |       | 2,006,340  |           | 0.4%   |   |
|                                               |   |                                   | 2,210,433         |                          |    | 2,196,404    |   | 0.4%             |      |
| The SI Organization, Inc.                          |   | Capital Goods                          |              | Senior Debt(g)                |    | L + 325      |   | 1.25%            |      | 11/22/2016    |   |                           | 186,483    |   |      | 176,126    |   |       | 186,017    |           | 0.0%   |   |
| The TelX Group, Inc.                               |   | Telecommunication Services             |              | Senior Debt(g)                |    | L + 650      |   | 1.25%            |      | 9/25/2017     |   |                           | 653,119    |   |      | 658,446    |   |       | 658,018    |           | 0.2%   |   |

----

| Company (a)                                 |                    | Industry                                           |        | Investments                  |   | InterestRate              |      |  LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |       |   | Cost (c) |       |   | Fair Value |       | % of NetAssets |   |
|---------------------------------------------|-------------------------|----------------------------------------------------|-------------|------------------------------|--------|---------------------------|-----------|------------------|--------|---------------|--------|--------------------------------|------------|--------|----------|------------|--------|------------|------------|----------------|--------|
| TowerCo Finance, LLC                        |                    | Real Estate                                        |        | Senior Debt                  |   | L + 350                   |      | 1.00%            |   | 2/2/2017      |   | $                              | 30,104     |   | $        | 29,572     |   | $          | 30,179     |           | 0.0%   |   |
| Towergate Finance PLC (UK)(j)               |                    | Insurance                                          |        | Subordinated Debt(e)(f)(GBP) |   | 10.50%                    |      |             |   | 2/15/2019     |   | £                         | 125,000    |   | $        | 172,654    |   | $          | 188,730    |           | 0.0%   |   |
| TransUnion, LLC                             |                    | Diversified Financials                             |        | Subordinated Debt(g)         |   | 11.38%                    |      |             |   | 6/15/2018     |   | $                              | 1,403,000  |   |     | 1,545,663  |   |       | 1,652,032  |           | 0.4%   |   |
| Triple Point Technology, Inc.               |                    | Software & Services                            |        | Senior Debt(g)(h)            |   | L + 650                   |      | 1.50%            |   | 10/27/2017    |   |                           | 2,316,326  |   |     | 2,330,178  |   |       | 2,322,117  |           | 0.5%   |   |
| Univar, Inc.                                |                    | Materials                                          |        | Senior Debt(g)               |   | L + 350                   |      | 1.50%            |   | 6/30/2017     |   |                           | 955,611    |   |     | 930,049    |   |       | 952,759    |           | 0.2%   |   |
| Verisure Holding AB (SE)(j)                 |                    | Commercial & Professional Services             |        | Senior Debt(e)(f)(EUR)       |   | 8.75%                     |      |             |   | 9/1/2018      |   | €                        | 397,000    |   | $        | 483,354    |   | $          | 528,021    |           | 0.1%   |   |
| Vision Solutions, Inc.                      |                    | Commercial & Professional Services             |        | Senior Debt(g)(h)            |   | L + 450                   |      | 1.50%            |   | 7/23/2016     |   | $                              | 1,387,500  |   |     | 1,374,181  |   |       | 1,390,969  |           | 0.3%   |   |
| VWR Funding, Inc.                           |                    | Pharmaceuticals, Biotechnology & Life Sciences |        | Senior Debt(g)               |   | L + 425                   |      |             |   | 4/3/2017      |   |                           | 146,455    |   |     | 139,821    |   |       | 147,370    |           | 0.0%   |   |
|                                        | Subordinated Debt(e)(g) |                                               | 7.25%       |                         |   |                      | 9/15/2017 |             |   | 5,349,000     |   |                           | 5,349,000  |   |     | 5,429,235  |   | 1.2%       |       |
|                                        |                    |                                               |        | Subordinated Debt(g)         |   | 10.25% CASH or 11.25% PIK |      |             |   | 7/15/2015     |   |                           | 7,271,000  |   |     | 7,479,078  |   |       | 7,434,597  |           | 1.7%   |   |
|                                        |                    |                                               | 12,967,899  |                         |   | 13,011,202                |      | 2.9%             |   |
| Warner Chilcott Co., LLC(IE)(j)             |                    | Pharmaceuticals, Biotechnology & Life Sciences |        | Subordinated Debt(f)(g)      |   | 7.75%                     |      |             |   | 9/15/2018     |   |                           | 1,225,000  |   |     | 1,219,432  |   |       | 1,307,688  |           | 0.3%   |   |
| Wastequip, LLC                              |                    | Materials                                          |        | Senior Debt(g)(h)            |   | L + 675                   |      | 1.50%            |   | 6/15/2018     |   |                           | 11,256,202 |   |     | 10,982,580 |   |       | 11,425,045 |           | 2.5%   |   |
| West Corp.                                  |                    | Software & Services                            |        | Senior Debt                  |   | L + 425                   |      | 1.25%            |   | 7/15/2016     |   |                           | 4,961      |   |     | 4,830      |   |       | 5,014      |           | 0.0%   |   |
|                                        |                    |                                               |        | Subordinated Debt(g)         |   | 7.88%                     |      |             |   | 1/15/2019     |   |                           | 1,575,000  |   |     | 1,559,711  |   |       | 1,622,250  |           | 0.4%   |   |
|                                        |                    |                                               |        | Subordinated Debt(g)         |   | 8.63%                     |      |             |   | 10/1/2018     |   |                           | 5,840,000  |   |     | 6,037,124  |   |       | 6,132,000  |           | 1.4%   |   |
|                                        |                    |                                               | 7,601,665   |                         |   | 7,759,264                 |      | 1.8%             |   |
| Wilton Brands, LLC                          |                    | Materials                                          |        | Senior Debt(g)               |   | L + 625                   |      | 1.25%            |   | 8/30/2018     |   |                           | 12,985,947 |   |     | 12,728,235 |   |       | 13,132,039 |           | 2.9%   |   |
| Zayo Group, LLC                             |                    | Telecommunication Services                         |        | Senior Debt(g)               |   | 8.13%                     |      |             |   | 1/1/2020      |   |                           | 2,260,000  |   |     | 2,404,409  |   |       | 2,469,050  |           | 0.6%   |   |
|                                        |                    |                                               |        | Subordinated Debt(g)         |   | 10.13%                    |      |             |   | 7/1/2020      |   |                           | 5,000,000  |   |     | 5,330,358  |   |       | 5,525,000  |           | 1.2%   |   |
|                                        |                    |                                               | 7,734,767   |                         |   | 7,994,050                 |      | 1.8%             |   |
| Total Non-Control/Non-Affiliate Investments |                    |                                               | 589,816,863 |                         |   | 598,364,848               |      | 132.9%           |   |

----

| Company (a)                                                   |   | Industry     |        | Investments               |   | InterestRate |   |  LIBORFloor |   | Maturity Date |   | No. Shares/PrincipalAmount (b) |   |   | Cost (c)   |   |   | Fair Value |   | % of NetAssets |   |
|---------------------------------------------------------------|--------|--------------|-------------|---------------------------|--------|--------------|--------|------------------|--------|---------------|--------|--------------------------------|--------|--------|------------|--------|--------|------------|--------|----------------|--------|
| Short Term Investments—2.9%                             |   |         |        |                      |   |         |   |             |   |          |   |
| Goldman Sachs Financial Square Funds - Prime Obligations Fund |   |         |        | Short Term Investments(g) |   | 0.12% (l)    |   |             |   |          | $      | 11,806,680                     |   | $      | 11,806,680 |   | $      | 11,806,680 |   | 2.6%           |   |
| State Street Institutional Liquid Reserves Fund               |   |         |        | Short Term Investments    |   | 0.12% (l)    |   |             |   | 12/31/2099    |   | 1,134,317                      |   |   | 1,134,317  |   |   | 1,134,317  |   | 0.3%           |   |
| Total Short Term Investments                                  |   |         | 12,940,997  |                      |   | 12,940,997   |   | 2.9%             |   |
| TOTAL INVESTMENTS —135.8%(m)                            |   | $            | 602,757,860 |                      |   | 611,305,845  |   | 135.80%          |   |
| LIABILITIES IN EXCESS OF OTHER ASSETS—(35.8%)           |   | (161,309,341 | )           | (35.80)%                  |   |
| NET ASSETS—100.0%                                       | $      | 449,996,504  |        | 100.00%                   |   |

| *   | 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) | 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.                                                                                                                                                                                                                                                  |
| (f) | 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.  As of September 30, 2012, the portfolio held 18.2% of non-qualifying assets, as a percentage of total assets.                                                                                                                                                                                                                                                                                                                                                                   |
| (g) | 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.                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| (h) | Investments classified as Level 3 whereby fair value was determined by the Company’s Board of Directors (see Note 2).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
| (i) | Position or portion thereof unsettled as of September 30, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
| (j) | A portfolio company domiciled in a foreign country.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |
| (k) | A portfolio company investment structured as a credit-linked floating rate note.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| (l) | 7-day effective yield as of September 30, 2012.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |

----

| (m) | As of September 30, 2012, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $11,724,430; the aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $3,176,445; the net unrealized appreciation was $8,547,985; the aggregate cost of securities for Federal income tax purposes was $602,757,860. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| (n) | Delayed draw term loan.                                                                                                                                                                                                                                                                                                                                                                                                             |

| Abbreviations: |
|----------------|
|           | DE - Germany |
|           | EUR - Euro; principal amount is denominated in Euros currency. €1 / US $1.285 as of September 30, 2012. |
|           | GBP - British Pound Sterling; principal amount is denominated in Pound Sterling. £ 1 / US $1.615 as of September 30, 2012. |
|           | IE - Ireland |
|           | L = LIBOR - London Interbank Offered Rate, typically 3-Month |
|           | LU - Luxembourg |
|           | PIK - Payment-in-kind |
|           | SE - Sweden |
|           | SG - Singapore |
|           | UK - United Kingdom |

----

Condensed Consolidated Schedule of Investments

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

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

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

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

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

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

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

----

Notes to Condensed Consolidated Financial Statements

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

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

----

----

----

|                                  |   | Three Months Ended September 30, 2012 |        |   | Nine Months Ended September 30, 2012 |   |        | Three and Nine Months Ended September 30, 2011 |   |
|---------------------------------------|--------|---------------------------------------|-------------|--------|--------------------------------------|--------|-------------|------------------------------------------------|--------|
| Investment purchases, at cost         |   | $                                     | 253,861,006 |   |                                 | $      | 598,361,856 |                                           |   | $ | 15,267,304 |   |
| Investment sales, proceeds            |   |                                  | 61,376,035  |   |                                 |   | 100,188,011 |                                           |   |   | 33,270 |   |
| Principal payments/paydowns, proceeds |   |                                  | 6,922,073   |   |                                 |   | 16,323,261  |                                           |   |   | 10,923 |   |

| Asset Category               |   | Cost   |        |   | Fair Value |   |        | Percentage ofPortfolio |   |   | Percentage ofNet Assets |   |
|------------------------------|--------|--------|-------------|--------|------------|--------|-------------|------------------------|--------|--------|-------------------------|--------|
| Senior debt securities       |   | $      | 388,393,914 |   |       | $      | 394,921,745 |                   |   |   | 66.0                    | %      |   |   | 87.7 | % |
| Subordinated debt securities |   |   | 200,974,041 |   |       |   | 202,881,969 |                   |   |   | 33.9                    |   |   |   | 45.1 |   |
| Total debt securities        |   |   | 589,367,955 |   |       |   | 597,803,714 |                   |   |   | 99.9                    |   |   |   | 132.8 |   |
| Common stock                 |   |   | 448,908     |   |       |   | 561,134     |                   |   |   | 0.1                     |   |   |   | 0.1 |   |
| Subtotal                     |   |   | 589,816,863 |   |       |   | 598,364,848 |                   |   |   | 100.0                   | %      |   |   | 132.9 |   |
| Short term investments       |   |   | 12,940,997  |   |       |   | 12,940,997  |                   |   |   |                    |   |   |   | 2.9 |   |
| Total investments            |   | $      | 602,757,860 |   |       | $      | 611,305,845 |                   |   |   |                    |   |   |   | 135.8 | % |

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

----

|                                 |   |               |    |   |              |    |
|--------------------------------------|--------|--------------------|---------|--------|-------------------|---------|
| Industry Composition                 |   | September 30, 2012 |    |   | December 31, 2011 |    |
| Media                                |   |               | 16.0    | %      |              |    | 8.1 | % |
| Materials                            |   |               | 13.6    |   |              |    | 3.4 |   |
| Software & Services              |   |               | 10.3    |   |              |    | 14.6 |   |
| Retailing                            |   |               | 7.9     |   |              |    | 12.6 |   |
| Capital Goods                        |   |               | 6.5     |   |              |    | 3.4 |   |
| Health Care Equipment & Services |   |               | 6.0     |   |              |    | 6.9 |   |
| Insurance                            |   |               | 5.7     |   |              |    | 2.4 |   |
| Technology Hardware & Equipment  |   |               | 5.4     |   |              |    | 4.6 |   |
| Telecommunication Services           |   |               | 4.7     |   |              |    | 9.0 |   |
| Consumer Services                    |   |               | 4.6     |   |              |    | 4.9 |   |
| Diversified Financials               |   |               | 3.8     |   |              |    | 7.8 |   |
| Remaining Industries                 |   |               | 15.5    |   |              |    | 22.3 |   |
| Total                                |   |               | 100.0   | %      |              |    | 100.0 | % |
|                                 |   |               |    |   |              |    |   |   |
| Geographic Dispersion (1)            |   |               |    |   |              |    |   |   |
| United States                        |   |               | 94.5    | %      |              |    | 97.4 | % |
| United Kingdom                       |   |               | 2.4     |   |              |    | 1.5 |   |
| Luxembourg                           |   |               | 1.6     |   |              |    | — |   |
| Canada                               |   |               | — |   |              |    | 1.1 |   |
| Singapore                            |   |               | 0.6     |   |              |    | — |   |
| Germany                              |   |               | 0.5     |   |              |    | — |   |
| Remaining Countries                  |   |               | 0.4     |   |              | <0.1 |   |
| Total                                |   |               | 100.0   | %      |              |    | 100.0 | % |
|                                 |   |               |    |   |              |    |   |   |
| Local Currency                       |   |               |    |   |              |    |   |   |
| U.S. Dollar                          |   |               | 98.2    | %      |              |    | 99.0 | % |
| Euro                                 |   |               | 1.7     |   |              |    | 1.0 |   |
| British Pound Sterling               |   | <0.1            |    |   |              | — |   |
| Total                                |   |               | 100.0   | %      |              |    | 100.0 | % |

----

| Foreign Currency |   | Settlement Date |   |   |  Amount andTransaction |           | US$ Value atSettlement Date |   |      | US$ Value atSeptember 30, 2012 |   |   | UnrealizedAppreciation/ (Depreciation) |   |
|------------------|--------|-----------------|--------|--------|-----------------------------|----------------|-----------------------------|--------|-----------|--------------------------------|--------|--------|---------------------------------------------|--------|
| EUR              |   | Nov. 29, 2012   |   |   | €                     | 5,300,000 Sold |                        | $      | 6,644,080 |                           |   | $      | 6,814,769                                   |   |   | $ | (170,689 | ) |
| EUR              |   | Jan. 3, 2013    |   |   | €                     | 2,300,000 Sold |                        |   | 2,917,964 |                           |   |   | 2,958,660                                   |   |   |   | (40,696 | ) |
| Total            |   |            |   |   |                        |           |                        | $      | 9,562,044 |                           |   | $      | 9,773,429                                   |   |   | $ | (211,385 | ) |

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

|                         |   | September 30, 2012 |       |
|------------------------------|--------|--------------------|------------|
| Investment Type              |   | Level 1            |       |   | Level 2 |   |   | Level 3 |   |   | Total |   |
| Senior debt securities       |   | $                  | —    |   |   | $ | 340,332,165 |   |   | $ | 54,589,580 |   |   | $ | 394,921,746 |   |
| Subordinated debt securities |   |               | —    |   |   |   | 196,778,269 |   |   |   | 6,103,700 |   |   |   | 202,881,968 |   |
| Common stock                 |   |               | —    |   |   |   | — |   |   |   | 561,134 |   |   |   | 561,134 |   |
| Subtotal                     |   |               | —    |   |   |   | 537,110,434 |   |   |   | 61,254,414 |   |   |   | 598,364,848 |   |
| Short term investments       |   |               | 12,940,997 |   |   |   | — |   |   |   | — |   |   |   | 12,940,997 |   |
| Total                        |   | $                  | 12,940,997 |   |   | $ | 537,110,434 |   |   | $ | 61,254,414 |   |   | $ | 611,305,845 |   |

| Derivative Type                    |   | Level 1 |    |   | Level 2 |   |     | Level 3 |   |   | Total   |   |
|------------------------------------|--------|---------|---------|--------|---------|--------|----------|---------|--------|--------|---------|--------|
| Foreign currency forward contracts |   | $       | — |   |    | $      | (211,385 | )       |   | $      | — |   |   | $ | (211,385 | ) |

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

----

|                         |   |   |       |       |                     |                 |                   |                          |               | Range                        |
|------------------------------|--------|--------|------------|------------|--------------------------|----------------------|------------------------|-------------------------------|--------------------|------------------------------|
| Asset Group                  |   |   | Fair Value |       | Valuation Techniques (1) |                 | Unobservable Input (2) |                          | (Weighted Average) |
|                         |   |   | $          | 11,836,822 |                     | Broker Quotes        |                   | Mid price                     |               | 96.75 – 102.25 (98.45) |
|                         |   |   |       |       |                     | Broker Quotes        |                   | Mid price                     |               | 93 – 101.5 (99.8)      |
| Senior debt securities       |   |   |       |       |                     |                 |                   | Yield-to-maturity             |               | 5.1 – 11.8% (8.69%)    |
|                         |   |   |       | 42,752,758 |                     | Market Comparables   |                   | Discount margin               |               | 427 - 1062 bps (795 bps)     |
|                         |   |   |       |       |                     |                 |                   | Net EBITDA multiple           |               | 3.8x (NA)                    |
|                         |   |   |       |       |                     |                 |                   | Illiquidity discount          |               | 0.86 – 1.0% (0.99%)    |
|                         |   |   |       |       |                     |                 |                   | Par Value                     |               | 100 (NA)                     |
|                         |   |   |       |       |                     | Broker Quotes        |                   | Bid price                     |               | 103.46 (NA)                  |
|                         |   |   |       |       |                     |                 |                   | Yield                         |               | 12.1 – 14.1% (13.21%)  |
| Subordinated debt securities |   |   |       | 6,103,700  |                     | Market Comparables   |                   | Discount margin               |               | 1074-1350 bps (1223 bps)     |
|                         |   |   |       |       |                     |                 |                   | Illiquidity discount          |               | 2% (NA)                      |
|                         |   |   |       |       |                     | Market Comparables   |                   | EBITDA multiple               |               | 1.93x (NA)                   |
| Common stock                 |   |   |       | 561,134    |                     |                 |                   | Illiquidity discount          |               | 15% (NA)                     |
|                         |   |   |       |       |                     | Discounted Cash Flow |                   | Weighted avg. cost of capital |               | 12.5% (NA)                   |
| Total                        |   |   | $          | 61,254,414 |                     |                 |                   | .                             |               |                         |

| (1) | 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. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | Weighted average amounts are based on the estimated fair values. If noted as NA, then the number of inputs is too few to compute the weighted average for the range. |
|-----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|                                                                                                        |   |                  |       |   |                        |   |       |        |   |   |    |   |
|-------------------------------------------------------------------------------------------------------------|--------|-----------------------|------------|--------|-----------------------------|--------|------------|-------------|--------|--------|---------|--------|
|                                                                                                        |   | Senior DebtSecurities |       |   | SubordinatedDebt Securities |   |       | CommonStock |   |   | Total   |   |
| Fair Value Balance as of July 1, 2012                                                                       |   | $                     | 16,900,787 |   |                        | $      | 7,060,285  |        |   | $      | 480,331 |   |   | $ | 24,441,403 |   |
| Purchases                                                                                                   |   |                  | 19,021,926 |   |                        |   | —    |        |   |   | — |   |   |   | 19,021,926 |   |
| Net realized gain                                                                                           |   |                  | 104,042    |   |                        |   | —    |        |   |   | — |   |   |   | 104,042 |   |
| Net change in unrealized appreciation (1)                                                                   |   |                  | 834,936    |   |                        |   | 150,187    |        |   |   | 80,803  |   |   |   | 1,065,926 |   |
| Sales or repayments                                                                                         |   |                  | (2,961,727 | )      |                        |   | —    |        |   |   | — |   |   |   | (2,961,727 | ) |
| Net discount accretion                                                                                      |   |                  | 34,192     |   |                        |   | (890       | )           |   |   | — |   |   |   | 33,302 |   |
| Transfers out of Level 3                                                                                    |   |                  | (4,295,039 | )      |                        |   | (1,105,882 | )           |   |   | — |   |   |   | (5,400,921 | ) |
| Transfers into Level 3                                                                                      |   |                  | 24,950,463 |   |                        |   | —    |        |   |   | — |   |   |   | 24,950,463 |   |
| Fair Value Balance as of September 30, 2012                                                                 |   | $                     | 54,589,580 |   |                        | $      | 6,103,700  |        |   | $      | 561,134 |   |   | $ | 61,254,414 |   |
| Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2012 (1) |   | $                     | 811,168    |   |                        | $      | 165,921    |        |   | $      | 80,803  |   |   | $ | 1,057,892 |   |

|   | (1)   Amount is included in the related amount on investments in the condensed consolidated statement 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                                                                                                   |   |                  | 33,207,361 |    |                        |   | 7,090,290  |        |   |   | 448,908 |   |   |   | 40,746,559 |   |
| Net realized gain                                                                                           |   |                  | 105,009    |    |                        |   | 11,960     |        |   |   | — |   |   |   | 116,962 |   |
| Net change in unrealized appreciation (1)                                                                   |   |                  | 978,967    |    |                        |   | 143,859    |        |   |   | 112,226 |   |   |   | 1,235,052 |   |
| Sales or repayments                                                                                         |   |                  | (5,254,346 | )       |                        |   | (998,479   | )           |   |   | — |   |   |   | (6,252,825 | ) |
| Net discount accretion                                                                                      |   |                  | 44,161     |    |                        |   | (1,581     | )           |   |   | — |   |   |   | 42,580 |   |
| Transfers out of Level 3                                                                                    |   |                  | (4,295,039 | )  |                        |   | (1,105,882 | )           |   |   | — |   |   |   | (5,400,921 | ) |
| Transfers into Level 3                                                                                      |   |                  | 25,151,530 |    |                        |   | —    |        |   |   | — |   |   |   | 25,151,530 |   |
| Fair Value Balance as of September 30, 2012                                                                 |   | $                     | 54,589,580 |    |                        | $      | 6,103,700  |        |   | $      | 561,134 |   |   | $ | 61,254,414 |   |
| Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2012 (1) |   | $                     | 982,784    |    |                        | $      | 137,002    |        |   | $      | 112,226 |   |   | $ | 1,232,012 |   |

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

|                                                                                                        |   | Senior Debt Securities |    |   | Total  |   |
|-------------------------------------------------------------------------------------------------------------|--------|------------------------|---------|--------|--------|--------|
| Fair Value Balance as of July 1, 2011                                                                       |   | $                      | — |   |   | $      | — |   |
| Purchases                                                                                                   |   |                   | 107,471 |   |   |   | 107,471 |   |
| Sales                                                                                                       |   |                   | — |   |   |   | — |   |
| Net realized gain                                                                                           |   |                   | — |   |   |   | — |   |
| Net change in unrealized appreciation (1)                                                                   |   |                   | 885     |   |   |   | 885 |   |
| Principal reduction                                                                                         |   |                   | (175    | )      |   |   | (175 | ) |
| Net discount accretion                                                                                      |   |                   | 111     |   |   |   | 111 |   |
| Transfers into Level 3                                                                                      |   |                   | — |   |   |   | — |   |
| Fair Value Balance as of September 30, 2011                                                                 |   | $                      | 108,292 |   |   | $      | 108,292 |   |
| Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2011 (1) |   | $                      | 885     |   |   | $      | 885 |   |

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

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

----

|  Related Party  |   |  Source Agreement            |   |  Description                                    |   | Three Months EndedSeptember 30, 2012 |       |   | Three Months EndedSeptember 30, 2011 |   |      | Nine Months EndedSeptember 30, 2012 |   |   | Nine Months EndedSeptember 30, 2011 |   |
|----------------------|--------|-----------------------------------|--------|------------------------------------------------------|--------|-------------------------------------------|------------|--------|-------------------------------------------|--------|-----------|------------------------------------------|--------|--------|------------------------------------------|--------|
| CNL Securities Corp. |   | Managing Dealer Agreement         |   | Selling commissions and marketing support fees       |   | $                                         | 16,309,337 |   |                                      | $      | 1,629,143 |                                     |   | $      | 38,945,377                               |   |   | $ | 1,629,143 |   |
| CNL and KKR          |   | Investment Advisory Agreement     |   | Base management fees (investment advisory fees)      |   |                                      | 2,703,871  |   |                                      |   | 41,344    |                                     |   |   | 5,219,690                                |   |   |   | 41,344 |   |
| CNL and KKR          |   | Investment Advisory Agreement     |   | Performance-based incentive fees (1)                 |   |                                      | 1,387,595  |   |                                      |   | —   |                                     |   |   | 1,920,562                                |   |   |   | — |   |
| CNL and KKR          |   | Investment Advisory Agreement     |   | Organization and offering expenses reimbursement (2) |   |                                      | 1,311,505  |   |                                      |   | —   |                                     |   |   | 2,927,145                                |   |   |   | — |   |
| CNL                  |   | Administrative Services Agreement |   | Administrative and compliance services               |   |                                      | 263,407    |   |                                      |   | 63,989    |                                     |   |   | 581,822                                  |   |   |   | 76,628 |   |

| (1) | During the nine months ended September 30, 2012, the Company recorded performance-based incentive fee expense of $1,920,562, comprised of (i) $1,920,562 expense provision for incentive fee on capital gains and (ii) no expense provision for subordinated incentive fee on income. The incentive fee on capital gains was accrued based on the hypothetical liquidation of the investment portfolio as of the end of each reporting period. The incentive fee on capital gains was not earned by the Advisors nor payable to the Advisors as of September 30, 2012. |
|-----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | The Advisors received reimbursement payments for organization and offering expenses in the amount of $2,569,687 in the nine months ended September 30, 2012, including $896,218 for organization expenses and $1,673,469 for offering expenses. The Company recorded a reimbursement payable to the Advisors in the amount of $357,458 for offering expenses as of September 30, 2012 which is included in other accrued expenses and liabilities on the condensed consolidated statements of assets and liabilities. |
|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Period Ended                   |   | Expense SupportPaymentsReceived fromAdvisors  |      |   | Expense SupportPaymentsReimbursed toAdvisors1  |   |    | UnreimbursedSupportPayments |   | Eligible forReimbursement through |
|--------------------------------|--------|----------------------------------------------------|-----------|--------|-----------------------------------------------------|--------|---------|-----------------------------|--------|-----------------------------------|
| December 31, 2011              |   | $                                                  | 1,375,592 |   |                                                | $      | — |                        |   | $                                 | 1,375,592 |   | December 31, 2014 |
| Nine months September 30, 2012 |   |                                               | 1,590,221 |   |                                                |   | — |                        |   |                              | 1,590,221 |   | December 31, 2015 |
| Total                          |   | $                                                  | 2,965,813 |   |                                                | $      | — |                        |   | $                                 | 2,965,813 |   |   |

|   | (1) | As of September 30, 2012 the Company has accrued $828,347 for potential annual year-end reimbursement payment to Advisors. |
|--------|-----|----------------------------------------------------------------------------------------------------------------------------|

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

|                                                                              |   | Basic and Diluted Net Increase (Decrease) in Net Assets Per Share |       |
|-----------------------------------------------------------------------------------|--------|-------------------------------------------------------------------|------------|
|                                                                              |   | Three Months EndedSeptember 30, 2012                              |       |   | Three Months EndedSeptember 30, 2011 |   |   | Nine Months EndedSeptember 30, 2012 |   |   | Nine Months EndedSeptember 30, 2011 |   |
| Numerator - net increase (decrease) in net assets resulting from operations       |   | $                                                                 | 11,175,827 |   |   | $ | (209,088 | ) |   | $ | 18,727,214 |   |   | $ | (209,088 | ) |
| Denominator - Weighted average shares outstanding                                 |   |                                                              | 37,881,506 |   |   |   | 736,093 |   |   |   | 23,696,227 |   |   |   | 275,541 |   |
| Basic/diluted net increase (decrease) in net assets from operations per share (1) |   | $                                                                 | 0.30       |   |   | $ | (0.28 | ) |   | $ | 0.79 |   |   | $ | (0.76 | ) |

|   | (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 |
|----|---------------|

|  Distributions                                               |   | Per Share |   |   | Amount |   |       | Allocation |   |
|-------------------------------------------------------------------|--------|-----------|--------|--------|--------|--------|------------|------------|--------|
| For three months ended March 31, 2012 (13 record dates)           |   | $         | 0.19   |   |   | $      | 1,987,103  |       |   |   |   |
| For three months ended June 30, 2012 (13 record dates)            |   |      | 0.19   |   |   |   | 4,107,381  |       |   |   |   |
| For three months ended September 30, 2012 (13 record dates)       |   |      | 0.19   |   |   |   | 7,066,863  |       |   |   |   |
| Total Distributions for the nine months ended September 30, 2012  |   | $         | 0.57   |   |   | $      | 13,161,347 |       |   |   | 100.0 | % |
| From Net Investment Income                                        |   | $         | 0.39   |   |   | $      | 9,152,601  |       |   |   | 70.0 |   |
| From Realized Gains                                               |   |      | 0.08   |   |   |   | 1,763,664  |       |   |   | 13.0 |   |
| From Other Sources                                                |   |      | 0.10   |   |   |   | 2,245,082  |       |   |   | 17.0 |   |
|                                                              |   |      |   |   |   |   |       |       |   |   |   |   |
| Total Distributions for the three months ended September 30, 2011 |   | $         | 0.19   |   |   | $      | 127,941    |       |   |   | 100.0 | % |
| From Net Investment Income                                        |   | $         | 0.11   |   |   | $      | 74,650     |       |   |   | 58.3 |   |
| From Other Sources                                                |   |      | 0.08   |   |   |   | 53,291     |       |   |   | 41.7 |   |

|                                   |   | Nine Months EndedSeptember 30, 2012 |       |   | Nine Months EndedSeptember 30, 2011 |   |
|----------------------------------------|--------|-------------------------------------|------------|--------|-------------------------------------|--------|
|                                   |   | Shares                              |       |   | Amount                              |   |   | Shares |   |   | Amount |   |
| Gross Proceeds from Offering           |   |                                | 38,290,080 |   |                                | $      | 411,855,507 |   |   |   | 1,718,149 |   |   | $ | 17,092,490 |   |
| Commissions and Marketing Support Fees |   |                                | —    |   |                                |   | (38,945,377 | ) |   |   | — |   |   |   | (1,629,143 | ) |
| Net Proceeds to Company                |   |                                | 38,290,080 |   |                                |   | 372,910,130 |   |   |   | 1,718,149 |   |   |   | 15,463,347 |   |
| Reinvestment of Distributions          |   |                                | 698,628    |   |                                |   | 6,815,498 |   |   |   | 8,215 |   |   |   | 73,931 |   |
| Share Repurchase Program               |   |                                | (47,481    | )      |                                |   | (457,720 | ) |   |   | — |   |   |   | — |   |
| Net Proceeds from Share Transactions   |   |                                | 38,941,227 |   |                                | $      | 379,267,908 |   |   |   | 1,726,364 |   |   | $ | 15,537,278 |   |
| Average Net Proceeds Per Share         |   | $9.74                               |       |   |  $9.00                         |   |

----

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

| Beginning of Period                                                                  |   | January 1, 2012    |    |   | June 17, 2012      |   |
|--------------------------------------------------------------------------------------|--------|--------------------|---------|--------|--------------------|--------|
| End of Period                                                                        |   | September 30, 2012 |    |   | September 30, 2011 |   |
| OPERATING PERFORMANCE PER SHARE                                                      |   |               |    |   |               |   |
| Net Asset Value, Beginning of Period                                                 |   | $                  | 9.21    |   |               | $      | 9.00 |   |
| Net Investment Income (Loss), Before Expense Support (1)                             |   |               | 0.32    |   |               |   | (0.48 | ) |
| Expense Support (1)                                                                  |   |               | 0.07    |   |               |   | 0.59 |   |
|                                                                                 |   |               |    |   |               |   |   |   |
| Net Investment Income (1)                                                            |   |               | 0.39    |   |               |   | 0.11 |   |
| Net Realized and Unrealized Gain (Loss) (1)(2)                                       |   |               | 0.66    |   |               |   | (0.42 | ) |
|                                                                                 |   |               |    |   |               |   |   |   |
| Net Increase (Decrease) Resulting from Investment Operations                         |   |               | 1.05    |   |               |   | (0.31 | ) |
| Distributions from Net Investment Income (3)                                         |   |               | (0.39   | )      |               |   | (0.11 | ) |
| Distributions from Realized Gains (3)                                                |   |               | (0.08   | )      |               |   | — |   |
| Distributions from Other Sources (3)                                                 |   |               | (0.10   | )      |               |   | (0.08 | ) |
|                                                                                 |   |               |    |   |               |   |   |   |
| Net Decrease Resulting from Distributions to Common Shareholders                     |   |               | (0.57   | )      |               |   | (0.19 | ) |
| Capital share transactions –Issuance of common stock above net asset value (4) |   |               | 0.09    |   |               |   | 0.31 |   |
| Net Increase Resulting from Capital Share Transactions                               |   |               | 0.09    |   |               |   | 0.31 |   |
|                                                                                 |   |               |    |   |               |   |   |   |
| Net Asset Value, End of Period – September 30                                  |   | $                  | 9.78    |   |               | $      | 8.81 |   |
|                                                                                 |   |               |    |   |               |   |   |   |
| INVESTMENT RETURNS                                                                   |   |               |    |   |               |   |   |   |
| Total Investment Return-Net Price (5)                                                |   |               | 12.3    | %      |               |   | — | % |
| Total Investment Return-Net Asset Value (6)                                          |   |               | 12.5    | %      |               |   | (0.05 | )% |
|                                                                                 |   |               |    |   |               |   |   |   |
| RATIOS/SUPPLEMENTAL DATA (all amounts in thousands)                             |   |               |    |   |               |   |   |   |
| Net Assets, End of Period                                                            |   | $                  | 449,997 |   |               | $      | 15,400 |   |
| Average Net Assets (7)                                                               |   | $                  | 228,786 |   |               | $      | 5,920 |   |
| Average Credit Facility Borrowings                                                   |   | $                  | 86,870  |   |               | $      | — |   |
| Shares Outstanding, End of Period                                                    |   |               | 46,014  |   |               |   | 1,749 |   |
| Weighted Average Shares Outstanding                                                  |   |               | 23,696  |   |               |   | 669 |   |
|                                                                                 |   |               |    |   |               |   |   |   |
| Ratios to Average Net Assets: (7)                                                    |   |               |    |   |               |   |   |   |
| Total Expenses Before Operating Expense Support                                      |   |               | 5.92    | %      |               |   | 6.63 | % |
| Total Expenses After Operating Expense Support                                       |   |               | 5.23    | %      |               |   | — | % |
| Net Investment Income                                                                |   |               | 4.00    | %      |               |   | 1.26 | % |
| Portfolio Turnover Rate                                                              |   |               | 30.24   | %      |               |   | 0.56 | % |
| Asset Coverage Ratio (8)                                                             |   |               | 3.80    |   |               |   | — |   |

| (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 shares of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date times (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding at the end of the period. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

|  (5) | Total investment return-net price is a measure of total return for shareholders who purchased the Company’s common stock at the beginning of the period, including dividends paid or payable 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 current market value is assumed to be equal to net asset value per share on the last day of the period. Total investment return is not annualized. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. |
|-----------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (6) | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s common stock at the beginning and end of the period, including dividends paid or payable 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 current market value is assumed to be equal to net asset value per share on the last day of the period. Total investment return-net asset value is not annualized. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. |
|-----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (7) | The computation of average net assets during the period is based on the daily value of net assets. Ratios are not annualized. |
|-----|-------------------------------------------------------------------------------------------------------------------------------|

| (8) | Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total debt outstanding at the end of the period, divided by (ii) total debt outstanding at the end of the period. |
|-----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| Revolving Credit Facility Summary                               |   |
|-----------------------------------------------------------------|--------|
|                                                            |   | Loan Tranche |   |   |   |   |
|                                                            |   |   | A |   |   |   | B |   |   |   | C |   |   | Total |   |
| Borrowing Commitment Amount (Tranche C Uncommitted)             |   | $ | 75,000,000 |   |   | $ | 100,000,000 |   |   | $ | 65,000,000 |   |   | $ | 240,000,000 |   |
| Amount Borrowed as of January 1, 2012                           |   |   | 25,340,000 |   |   |   | — |   |   |   | — |   |   |   | 25,340,000 |   |
| Net Amount Borrowed-nine months ended September 30, 2012        |   |   | 49,660,000 |   |   |   | 85,920,000 |   |   |   | — |   |   |   | 135,580,000 |   |
| Amount Borrowed as of September 30, 2012                        |   |   | 75,000,000 |   |   |   | 85,920,000 |   |   |   | — |   |   |   | 160,920,000 |   |
| Unused Borrowing Balance as of September 30, 2012               |   | $ | — |   |   | $ | 14,080,000 |   |   | $ | 65,000,000 |   |   | $ | 79,080,000 |   |
|                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Unused Commitment Fee                                           |   |   | 0.75 | % |   |   | 0.75 | % |   |   | — | % |   |   |   |   |
| Base Interest Rate (reset monthly)                              |   | 30-day LIBOR |   |   | 90-day LIBOR |   |   | 90-day LIBOR |   |   |   |   |   |
| Spread                                                          |   |   | 1.70 | % |   |   | 2.35 | % |   |   | 1.70 | % |   |   |   |   |
| Interest Rate/Annualized Interest Rate as of September 30, 2012 |   |   | 1.93%/1.96 | % |   |   | 2.76%/2.80 | % |   |   | —%/— | % |   |   |   |   |
|                                                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| For the three months ended September 30, 2012:                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|    Weighted Average Interest Rate                |   |   | 1.94 | % |   |   | 2.79 | % |   |   | 2.11 | % |   |   | 2.28 | % |
|    Average Borrowings                            |   | $ | 75,000,000 |   |   | $ | 59,359,783 |   |   | $ | 1,494,783 |   |   | $ | 135,854,565 |   |
|    Direct Interest Expense                       |   |   | 371,964 |   |   |   | 421,672 |   |   |   | 8,052 |   |   |   | 801,688 |   |
|    Unused Commitment Fees                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 77,894 |   |
|    Amortization of Deferred Financing Costs      |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 38,310 |   |
|    Total Interest Expense                        |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 917,892 |   |
| For the nine months ended September 30, 2012:                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|    Weighted Average Interest Rate                |   |   | 1.95 | % |   |   | 2.79 | % |   |   | 2.11 | % |   |   | 2.06 | % |
|    Average Borrowings                            |   | $ | 66,279,416 |   |   | $ | 20,088,394 |   |   | $ | 501,898 |   |   | $ | 86,869,708 |   |
|    Direct Interest Expense                       |   |   | 982,565 |   |   |   | 425,048 |   |   |   | 8,052 |   |   |   | 1,415,665 |   |
|    Unused Commitment Fees                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 228,293 |   |
|    Amortization of Deferred Financing Costs      |   |   |   |   |   |   |   |   |   |   |   |   |   |   | 107,699 |   |
|    Total Interest Expense                        |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 1,751,657 |   |

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

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

----

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

----

----

| At September 30, 2012 ($ in millions except per share data)                                                |   |   |   |   |
|------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|
| Total assets                                                                                               |   | $      | 646.92 |   |
| Adjusted total assets (Total assets net of payable for investments purchased)                              |   | $      | 616.11 |   |
| Investment in portfolio companies                                                                          |   | $      | 598.36 |   |
| Borrowings (under credit facility)                                                                         |   | $      | 160.92 |   |
| Net assets                                                                                                 |   | $      | 449.99 |   |
| Average net assets (year to date)                                                                          |   | $      | 228.79 |   |
| Average credit facility borrowings (year to date)                                                          |   | $      | 86.87  |   |
| Increase in total assets since December 31, 2011 (not annualized)                                          |   |   | +457   | %      |
| Increase in net assets since December 31, 2011 (not annualized)                                            |   |   | +591   | %      |
| Net asset value per share                                                                                  |   | $      | 9.78   |   |
| Asset coverage ratio ((Borrowings + Net assets)/Borrowings)                                                |   |   | 3.80   |   |
| Leverage ratio (Borrowings/Adjusted total assets)                                                          |   |   | 26     | %      |
|                                                                                                       |   |   |   |   |
| Portfolio Activity for the Nine Months Ended September 30, 2012 ($ in millions except per share data) |   |   |   |
| Cost of Investments purchased                                                                              |   | $      | 598.36 |   |
| Sales, principal payments and other exits                                                                  |   | $      | 116.51 |   |
| Net change in portfolio companies                                                                          |   |   | +35    |   |
| Number of portfolio companies at end of period                                                             |   |   | 145    |   |
| Net investment income before incentive fees                                                                |   | $      | 11.07  |   |
| Net investment income                                                                                      |   | $      | 9.15   |   |
| Net realized gains on investments and foreign currency transactions                                        |   | $      | 1.77   |   |
| Net change in unrealized appreciation on investments and foreign currency translation:                     |   | $      | 7.82   |   |
| Net increase in net assets from operations                                                                 |   | $      | 18.73  |   |
| Total distributions declared                                                                               |   | $      | 13.12  |   |
| Calendar year paid distribution as % of taxable income                                                     |   |   | 92     | %      |
| Net investment income before incentive fees per share                                                      |   | $      | 0.48   |   |
| Net investment income per share                                                                            |   | $      | 0.39   |   |
| Earnings per share                                                                                         |   | $      | 0.79   |   |
| Distributions declared per share outstanding for the entire period                                         |   | $      | 0.57   |   |

| Common Stock Offering Summary for the Nine Months Ended September 30, 2012($ in millions except per share data) |   |   |   |   |
|-----------------------------------------------------------------------------------------------------------------|--------|--------|--------|--------|
| Gross proceeds                                                                                                  |   | $      | 411.86 |   |
| Net proceeds to Company                                                                                         |   | $      | 372.91 |   |
| Average net proceeds per share                                                                                  |   | $      | 9.74   |   |
| Shares issued in connection with offering                                                                       |   |   | 38.29  |   |

----

|                         |   |   |        |   |       |   |        |                        |   |   |                         |   |
|------------------------------|--------|--------|-------------|--------|------------|--------|-------------|-----------------------------|--------|--------|------------------------------|--------|
| Asset Category               |   | Cost   |        |   | Fair Value |   |        | Percentage ofPortfolio |   |   | Percentage ofNet Assets |   |
| Senior debt securities       |   | $      | 388,393,914 |   |       | $      | 394,921,745 |                        |   |   | 66.0                         | %      |   |   | 87.7 | % |
| Subordinated debt securities |   |   | 200,974,041 |   |       |   | 202,881,969 |                        |   |   | 33.9                         |   |   |   | 45.1 |   |
| Total debt securities        |   |   | 589,367,955 |   |       |   | 597,803,714 |                        |   |   | 99.9                         |   |   |   | 132.8 |   |
| Common stock                 |   |   | 448,908     |   |       |   | 561,134     |                        |   |   | 0.1                          |   |   |   | 0.1 |   |
| Subtotal                     |   |   | 589,816,863 |   |       |   | 598,364,848 |                        |   |   | 100.0                        | %      |   |   | 132.9 |   |
| Short term investments       |   |   | 12,940,997  |   |       |   | 12,940,997  |                        |   |   |                         |   |   |   | 2.9 |   |
| Total investments            |   | $      | 602,757,860 |   |       | $      | 611,305,845 |                        |   |   |                         |   |   |   | 135.8 | % |

----

| Portfolio Company                   |   | Industry                   |   | Fair Value($ millions) |                     | % of FairValue |   | Investments |   | InterestRate (1)  |   | Base RateFloor |   | Maturity Date |
|-------------------------------------|--------|----------------------------|--------|------------------------|--------------------------|----------------|--------|-------------|--------|-------------------|--------|----------------|--------|---------------|
| Catalina Marketing  Corp.      |   | Media                      |   | $                      | 28.51                    |           | 4.8    | %      |   | Senior Debt       |   | L+550          |   |          |   | 9/29/2017 |
|                                |   |                       |   |                   |                     |           |   |        |   | Subordinated Debt |   | 10.50%         |   |          |   | 10/1/2015 |
| The Gymboree Corp.                  |   | Retailing                  |   |                   | 21.72                    |           | 3.6    |        |   | Senior Debt       |   | L+350          |   | 1.50%         |   | 2/23/2018 |
|                                |   |                       |   |                   |                     |           |   |        |   | Subordinated Debt |   | 9.125%         |   |          |   | 12/1/2018 |
| Ryerson, Inc.                       |   | Materials                  |   |                   | 20.31                    |           | 3.4    |        |   | Senior Debt       |   | 12.00%         |   |          |   | 11/1/2015 |
|                                |   |                       |   |                   |                     |           |   |        |   | Senior Debt       |   | 9.00%          |   |          |   | 10/15/2017 |
|                                |   |                       |   |                   |                     |           |   |        |   | Senior Debt       |   | L+737.5        |   |          |   | 11/1/2014 |
| HUB International, Ltd.             |   | Insurance                  |   |                   | 19.89                    |           | 3.3    |        |   | Senior Debt       |   | L+450          |   |          |   | 6/13/2017 |
|                                |   |                       |   |                   |                     |           |   |        |   | Senior Debt       |   | L+475          |   | 2.00%         |   | 12/13/2017 |
|                                |   |                       |   |                   |                     |           |   |        |   | Subordinated Debt |   | 8.13%          |   |          |   | 10/15/2018 |
| GCI, Inc.                           |   | Telecommunication Services |   |                   | 15.94                    |           | 2.7    |        |   | Subordinated Debt |   | 8.625%         |   |          |   | 11/15/2019 |
|                                |   |                       |   |                   |                     |           |   |        |   | Subordinated Debt |   | 6.75%          |   |          |   | 6/1/2021 |
| Data Device Corp.                   |   | Capital Goods              |   |                   | 15.77                    |           | 2.6    |        |   | Senior Debt       |   | L+600          |   | 1.50%         |   | 7/11/2018 |
|                                |   |                       |   |                   |                     |           |   |        |   | Senior Debt       |   | L+1000         |   | 1.50%         |   | 7/11/2019 |
| Cengage Learning Acquisitions, Inc. |   | Media                      |   |                   | 15.65                    |           | 2.6    |        |   | Senior Debt       |   | 11.50%         |   |          |   | 4/15/2020 |
| Hubbard Radio, LLC                  |   | Media                      |   |                   | 15.43                    |           | 2.6    |        |   | Senior Debt       |   | L+725          |   | 1.50%         |   | 4/30/2018 |
|                                |   |                       |   |                   |                     |           |   |        |   | Senior Debt       |   | L+375          |   | 1.50%         |   | 4/28/2017 |
| E*TRADE Financial Corp.             |   | Diversified Financials     |   |                   | 13.61                    |           | 2.23   |        |   | Subordinated Debt |   | 12.50%         |   |          |   | 11/30/2017 |
|                                |   |                       |   |                   |                     |           |   |        |   | Subordinated Debt |   | 7.875%         |   |          |   | 12/1/2015 |
|                                |   |                       |   |                   |                     |           |   |        |   | Subordinated Debt |   | 6.75%          |   |          |   | 6/1/2016 |
| Wilton Brands, LLC                  |   | Materials                  |   |                   | 13.13                    |           | 2.2    |        |   | Senior Debt       |   | L+625          |   | 1.25%         |   | 8/30/2018 |
|  Total                         |   |                       |   | $                      |    179.96 |           | 27.45  | %      |   |              |   |           |   |          |   |   |

|                                               |   |                    |   |   |                        |   |
|----------------------------------------------------|--------|-------------------------|--------|--------|-----------------------------|--------|
| Industry Classification                            |   | September 30, 2012 |   |   | December 31, 2011 |   |
| Media                                              |   |                    | 16.0   | %      |                        |   | 8.1 | % |
| Materials                                          |   |                    | 13.6   |   |                        |   | 3.4 |   |
| Software & Services                            |   |                    | 10.3   |   |                        |   | 14.6 |   |
| Retailing                                          |   |                    | 7.9    |   |                        |   | 12.6 |   |
| Capital Goods                                      |   |                    | 6.5    |   |                        |   | 3.4 |   |
| Health Care Equipment & Services               |   |                    | 6.0    |   |                        |   | 6.9 |   |
| Insurance                                          |   |                    | 5.7    |   |                        |   | 2.4 |   |
| Technology Hardware & Equipment                |   |                    | 5.4    |   |                        |   | 4.6 |   |
| Telecommunication Services                         |   |                    | 4.7    |   |                        |   | 9.0 |   |
| Consumer Services                                  |   |                    | 4.6    |   |                        |   | 4.9 |   |
| Diversified Financials                             |   |                    | 3.8    |   |                        |   | 7.8 |   |
| Food & Staples Retailing                       |   |                    | 3.2    |   |                        |   | 2.5 |   |
| Energy                                             |   |                    | 2.9    |   |                        |   | 3.3 |   |
| Pharmaceuticals, Biotechnology & Life Sciences |   |                    | 2.7    |   |                        |   | 5.0 |   |
| Transportation                                     |   |                    | 2.5    |   |                        |   | 3.4 |   |
| Commercial & Professional Services             |   |                    | 1.4    |   |                        |   | 3.2 |   |
| Remaining Industries (7/8)                         |   |                    | 2.8    |   |                        |   | 4.9 |   |
| Total                                         |   |                    | 100.0  | %      |                        |   | 100.0 | % |

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| Distribution Coverage as of September 30, 2012 (1) |   | Amount($ millions) |   |   | PayoutRatio |   |
|----------------------------------------------------|--------|--------------------|--------|--------|-------------|--------|
|                                               |   |               |   |   |        |   |
|   Taxable Income                         |   | $                  | 14.17  |   |        |   |   |
| Current Tax Year Paid Distributions                |   |               | 13.05  |   |        |   |   |
| Paid Distributions as % of Taxable Income          |   |               |   |   |        |   | 92.1 | % |

|   | (1) | The tax classification of the calendar year 2012 paid distributions will be finalized after the end of the calendar year and then reported to shareholders.  Taxable income is estimated. |
|--------|-----|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   Distribution Record Date          |   | Distribution Payment Date |   | Distribution AmountPer Share Per Record Date |     |
|------------------------------------------|--------|---------------------------|--------|---------------------------------------------------|----------|
| January 3 and 10, 2012              |   | February 1, 2012     |   | $                                                 | 0.013798 |   |
| January 17 and 24, 2012             |   | February 1, 2012     |   |                                              | 0.014000 |   |
| January 31, 2012                    |   | February 1, 2012     |   |                                              | 0.014336 |   |
| February 7, 14, 21 and 28, 2012     |   | February 29, 2012    |   |                                              | 0.014336 |   |
| March 6, 13, 20, and 27, 2012       |   | March 28, 2012       |   |                                              | 0.014606 |   |
| April 3, 10, 17, and 24, 2012            |   | April 25, 2012            |   |                                              | 0.014606 |   |
| May 1, 8, 15, 22 and 29, 2012            |   | May 30, 2012              |   |                                              | 0.014606 |   |
| June 5, 12, 19, and 26, 2012             |   | June 27, 2012             |   |                                              | 0.014606 |   |
| July 3, 10, 17, 24, and 31, 2012         |   | August 1, 2012            |   |                                              | 0.014606 |   |
| August 7, 14, 21 and 28,  2012 |   | August 29, 2012           |   |                                              | 0.014606 |   |
| September 4, 11, 18, and 25, 2012        |   | September 26, 2012        |   |                                              | 0.014606 |   |

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|                                      |   |   |                  |   |           |   |           |   |                    |   |    |   |   |   |    |
|-------------------------------------------|--------|--------|-----------------------|--------|----------------|--------|----------------|--------|-------------------------|--------|---------|--------|--------|--------|---------|
|                                      | Total  |   | < 1 year |   | 1-3 years |   | 3-5 years |   | After 5 years |   |
| Revolving Credit Facility (1)        |   | $      | 160.92                |   |           | $      | 160.92         |   |                    | $      | — |   |   | $      | — |   |   | $ | — |   |
| Interest and Credit Facility Fees Payable |   |   | 0.24                  |   |           |   | 0.24           |   |                    |   | — |   |   |   | — |   |   |   | — |   |

|   | (1) | At September 30, 2012 our unused commitment amount of Tranche B Loans was $14.08 million under our revolving credit facility. |
|--------|-----|-------------------------------------------------------------------------------------------------------------------------------|

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

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|                                                                                       |   |      |          |               |                          |   |           |   |           |   |   |   |   |   |   |   |   |
|--------------------------------------------------------------------------------------------|--------|-----------|---------------|--------------------|-------------------------------|--------|----------------|--------|----------------|--------|--------|--------|--------|--------|--------|--------|--------|
|                                                                                       |   | ParAmount |          | WeightedAvg. Floor | Increases in Short-Term LIBOR |   |
| ($ in millions except per share data)                                                      |   |      | + 50 bps |               | + 100 bps                |   | + 150 bps |   | + 200 bps |   |
|                                                                                       |   |      |          |               |                          |   |           |   |           |   |   |   |   |   |   |   |   |
| No base rate floor                                                                         |   | $         | 46.73         |               |                          | $      | 0.210          |   | $              | 0.420  |   | $      | 0.630  |   | $      | 0.839  |   |
| Base rate floor                                                                            |   | $         | 210.92        |               | 1.49%                         |   | 0.000          |   |           | 0.093  |   |   | 0.795  |   |   | 1.665  |   |
| Increase in Floating Rate Interest Income                                                  |   |      |          |               |                          |   | 0.210          |   |           | 0.513  |   |   | 1.425  |   |   | 2.504  |   |
|                                                                                       |   |      |          |               |                          |   |           |   |           |   |   |   |   |   |   |   |   |
|                                                                                       |   |      |          |               | LIBOR + Spread                |   |           |   |           |   |   |   |   |   |   |   |   |
| Tranche A Loans                                                                            |   | $         | 75.00         |               | L(30) + 170 bps               | $      | (0.375         | )      | $              | (0.750 | )      | $      | (1.125 | )      | $      | (1.500 | )      |
| Tranche B Loans                                                                            |   | $         | 85.92         |               | L(90) + 235 bps               |   | (0.430         | )      |           | (0.859 | )      |   | (1.289 | )      |   | (1.718 | )      |
| Increase to Floating Rate Interest Expense                                                 |   |      |          |               |                          |   | (0.805         | )      |           | (1.609 | )      |   | (2.414 | )      |   | (3.218 | )      |
|                                                                                       |   |      |          |               |                          |   |           |   |           |   |   |   |   |   |   |   |   |
| Change in Floating Rate Net Interest Income                                                |   |      |          |               |                          | $      | (0.595         | )      | $              | (1.096 | )      | $      | (0.989 | )      | $      | (0.713 | )      |
| Change in Floating Rate Net Interest Income per share outstanding as of September 30, 2012 |   |      |          |               |                          | $      | (0.01          | )      | $              | (0.02  | )      | $      | (0.02  | )      | $      | (0.02  | )      |

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| Item 4. | Controls and Procedures |
|--------------|-------------------------|

PART II. OTHER INFORMATION

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

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

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

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

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

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

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

----

SIGNATURES

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

----

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 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 Registrant and CNL Securities Corp. (Incorporated by reference to Exhibit 2(h)(1) filed with 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 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 Amendment No. 2 to the Company’s registration statement on Form N-2 (File No. 333-167730) filed on February 18, 2011.) |
|--------|------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 10.4 | Intellectual Property License Agreement by and between Registrant and CNL Intellectual Properties, Inc. (Incorporated by reference to Exhibit 2(k)(3) filed with 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 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 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 Registrant and CNL Fund Advisors Company. (Incorporated by reference to Exhibit 2(g)(1) filed with 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 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 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 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 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.) |
|--------|-------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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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