##### Table of Contents





UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549





FORM 10-Q







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

For the quarterly period ended September 30, 2015

OR



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

Commission file number: 814-00827





CORPORATE
CAPITAL TRUST, INC.

(Exact name of registrant as specified in its charter)







|                                                               |  |                                     
|-------------------------------------------------------------- |  | ------------------------------------
|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)

Registrants telephone number, including area code (866) 745-3797





Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the
Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90
days.    Yes  x    No   ̈

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive
Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such
files).    Yes   ̈    No   ̈

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller
reporting company. See definition of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act.



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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange
Act).    Yes   ̈    No  x

The number of shares of common stock of the registrant outstanding as of November 10, 2015 was 278,583,194.









---

##### Table of Contents

CORPORATE CAPITAL TRUST, INC.

INDEX



|                              |  |                                                                                                                                        |     |      |    | 
|----------------------------- |  | -------------------------------------------------------------------------------------------------------------------------------------- | --- | ---- | -- | 
|                              |  |                                                                                                                                        |     | PAGE |   
|                             
|PART I. FINANCIAL INFORMATION | 
|                              |  |                                                                                                                                       
|Item 1.                       |  | Financial Statements:                                                                                                                  |     |      |    | 
|                              |  |                                                                                                                                       
|                              |  | Condensed Consolidated Statements of Assets and Liabilities as of September 30, 2015 (unaudited) and December 31, 2014                 |     |      | 2  | 
|                              |  |                                                                                                                                       
|                              |  | Condensed Consolidated Statements of Operations for the three and nine months ended September 30, 2015 and 2014 (unaudited)            |     |      | 3  | 
|                              |  |                                                                                                                                       
|                              |  | Condensed Consolidated Statements of Changes in Net Assets for the three and nine months ended September 30, 2015 and 2014 (unaudited) |     |      | 4  | 
|                              |  |                                                                                                                                       
|                              |  | Condensed Consolidated Statements of Cash Flows for the three and nine months ended September 30, 2015 and 2014 (unaudited)            |     |      | 5  | 
|                              |  |                                                                                                                                       
|                              |  | Condensed Consolidated Schedules of Investments as of September 30, 2015 (unaudited) and December 31, 2014                             |     |      | 6  | 
|                              |  |                                                                                                                                       
|                              |  | Notes to Condensed Consolidated Financial Statements (unaudited)                                                                       |     |      | 40 | 
|                              |  |                                                                                                                                       
|Item 2.                       |  | Managements Discussion and Analysis of Financial Condition and Results of Operations                                                  |     |      | 71 | 
|                              |  |                                                                                                                                       
|Item 3.                       |  | Quantitative and Qualitative Disclosures about Market Risk                                                                             |     |      | 93 | 
|                              |  |                                                                                                                                       
|Item 4.                       |  | Controls and Procedures                                                                                                                |     |      | 96 | 
|                             
|PART II. OTHER INFORMATION    | 
|                              |  |                                                                                                                                       
|Item 1.                       |  | Legal Proceedings                                                                                                                      |     |      | 96 | 
|                              |  |                                                                                                                                       
|Item 1A.                      |  | Risk Factors                                                                                                                           |     |      | 96 | 
|                              |  |                                                                                                                                       
|Item 2.                       |  | Unregistered Sales of Equity Securities and Use of Proceeds                                                                            |     |      | 98 | 
|                              |  |                                                                                                                                       
|Item 3.                       |  | Defaults Upon Senior Securities                                                                                                        |     |      | 98 | 
|                              |  |                                                                                                                                       
|Item 4.                       |  | Mine Safety Disclosures                                                                                                                |     |      | 98 | 
|                              |  |                                                                                                                                       
|Item 5.                       |  | Other Information                                                                                                                      |     |      | 98 | 
|                              |  |                                                                                                                                       
|Item 6.                       |  | Exhibits                                                                                                                               |     |      | 98 | 
|                              | 
|Signatures                    |  |                                                                                                                                        | 99  |     
|                              | 
|Exhibit Index                 |  |                                                                                                                                        | 100 |     



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Assets and Liabilities

(in thousands, except share and per share amounts)



|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------------ | --------- | - | ----------------- | - | --------- | -
|                                                                                                                                                                                                      |  | September 30, 2015 |           |   | December 31, 2014 |  
|                                                                                                                                                                                                      |  | (unaudited)        |           |   |                   |  
|Assets                                                                                                                                                                                                |  |                    |           |   |                   |   |           |  
|Investment at fair value:                                                                                                                                                                             |  |                    |           |   |                   |   |           |  
|Non-controlled, non-affiliated investments (amortized cost of $3,266,498 and $2,569,096, respectively) - including $343,765 and
$258,344, respectively, of investments pledged to creditors (Note 10) |  | $                  | 3,119,783 |   |                   | $ | 2,512,428 |  
|Non-controlled, affiliated investments (amortized cost of $275,487 and $213,925, respectively)                                                                                                        |  |                    | 216,803   |   |                   |   | 203,272   |  
|Controlled, affiliated investments (amortized cost of $141,588 and $5,500, respectively)                                                                                                              |  |                    | 143,167   |   |                   |   | 5,500     |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Total investments, at fair value (amortized cost of $3,683,573 and $2,788,521, respectively)                                                                                                          |  |                    | 3,479,753 |   |                   |   | 2,721,200 |  
|Cash                                                                                                                                                                                                  |  |                    | 48,219    |   |                   |   | 46,388    |  
|Cash denominated in foreign currency (cost of $4,823 and $618, respectively)                                                                                                                          |  |                    | 4,663     |   |                   |   | 589       |  
|Collateral on deposit with custodian                                                                                                                                                                  |  |                    | 142,640   |   |                   |   | 115,700   |  
|Dividends and interest receivable                                                                                                                                                                     |  |                    | 52,818    |   |                   |   | 32,523    |  
|Receivable for investments sold                                                                                                                                                                       |  |                    | 6,269     |   |                   |   |          |  
|Principal receivable                                                                                                                                                                                  |  |                    | 2,239     |   |                   |   | 1,420     |  
|Unrealized appreciation on derivative instruments                                                                                                                                                     |  |                    | 1,917     |   |                   |   | 40,903    |  
|Receivable from advisors                                                                                                                                                                              |  |                    | 500       |   |                   |   |          |  
|Deferred offering expense                                                                                                                                                                             |  |                    | 1,808     |   |                   |   | 2,612     |  
|Prepaid and other deferred expenses                                                                                                                                                                   |  |                    | 9,787     |   |                   |   | 10,385    |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Total assets                                                                                                                                                                                          |  |                    | 3,750,613 |   |                   |   | 2,971,720 |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Liabilities                                                                                                                                                                                           |  |                    |           |   |                   |   |           |  
|Revolving credit facilities                                                                                                                                                                           |  |                    | 815,000   |   |                   |   | 377,450   |  
|Term loan payable, net of discount                                                                                                                                                                    |  |                    | 392,514   |   |                   |   | 395,228   |  
|Accrued investment advisory fees                                                                                                                                                                      |  |                    | 6,201     |   |                   |   | 4,964     |  
|Unrealized depreciation on derivative instruments                                                                                                                                                     |  |                    | 3,676     |   |                   |   | 3,903     |  
|Payable for investments purchased                                                                                                                                                                     |  |                    | 3,488     |   |                   |   | 34,888    |  
|Accrued directors fees                                                                                                                                                                               |  |                    | 83        |   |                   |   | 57        |  
|Accrued performance-based incentive fees                                                                                                                                                              |  |                    |          |   |                   |   | 5,108     |  
|Other accrued expenses and liabilities                                                                                                                                                                |  |                    | 3,290     |   |                   |   | 4,301     |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Total liabilities                                                                                                                                                                                     |  |                    | 1,224,252 |   |                   |   | 825,899   |  
|Commitments and contingencies ($255,779 as of September 30, 2015, Note 11)                                                                                                                            |  |                    |           |   |                   |   |           |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Net Assets                                                                                                                                                                                            |  | $                  | 2,526,361 |   |                   | $ | 2,145,821 |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Components of Net Assets                                                                                                                                                                              |  |                    |           |   |                   |   |           |  
|Common stock, $0.001 par value per share, 1,000,000,000 shares authorized, 272,706,171 and 219,131,729 shares issued and outstanding at
September 30, 2015 and December 31, 2014, respectively        |  | $                  | 273       |   |                   | $ | 219       |  
|Paid-in capital in excess of par value                                                                                                                                                                |  |                    | 2,694,282 |   |                   |   | 2,166,554 |  
|Undistributed net investment income                                                                                                                                                                   |  |                    | 9,099     |   |                   |   | 9,099     |  
|Accumulated net realized gains                                                                                                                                                                        |  |                    | 28,516    |   |                   |   | 335       |  
|Accumulated net unrealized depreciation on investments, derivative instruments and foreign currency translation                                                                                       |  |                    | (205,809  | ) |                   |   | (30,386   | )
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Net assets                                                                                                                                                                                            |  | $                  | 2,526,361 |   |                   | $ | 2,145,821 |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  
|Net asset value per share                                                                                                                                                                             |  | $                  | 9.26      |   |                   | $ | 9.79      |  
|                                                                                                                                                                                                      |  |                    |           |   |                   |   |           |  

See notes to condensed consolidated financial statements.



2



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Operations (unaudited)

(in thousands, except share and per share amounts)



|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|-------------------------------------------------------------------------------------------------------- |  | -------------------------------- | ----------- | - | ------------------------------- | - | ----------- | ---- |  | - | ----------- | - |  | - | ----------- | -
|                                                                                                         |  | Three Months Ended September 30, |             |   | Nine Months Ended September 30, |  
|                                                                                                         |  | 2015                             |             |   | 2014                            |   |             | 2015 |  |   | 2014        |  
|Investment income                                                                                        |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Interest income:                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Non-controlled, non-affiliated investments (net of tax withholding, $116, $-, $279 and $-, respectively) |  | $                                | 60,885      |   |                                 | $ | 43,953      |      |  | $ | 177,355     |   |  | $ | 123,646     |  
|Non-controlled, affiliated investments                                                                   |  |                                  | 756         |   |                                 |   |            |      |  |   | 2,245       |   |  |   |            |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Total interest income                                                                                    |  |                                  | 61,641      |   |                                 |   | 43,953      |      |  |   | 179,600     |   |  |   | 123,646     |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Payment-in-kind interest income:                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Non-controlled, non-affiliated investments                                                               |  |                                  | 5,710       |   |                                 |   | 6,804       |      |  |   | 14,221      |   |  |   | 20,447      |  
|Non-controlled, affiliated investments                                                                   |  |                                  | 2,627       |   |                                 |   | 4,781       |      |  |   | 10,087      |   |  |   | 8,787       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Total payment-in-kind interest income                                                                    |  |                                  | 8,337       |   |                                 |   | 11,585      |      |  |   | 24,308      |   |  |   | 29,234      |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Fee income:                                                                                              |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Non-controlled, non-affiliated investments                                                               |  |                                  | 2,539       |   |                                 |   | 1,010       |      |  |   | 14,023      |   |  |   | 2,372       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Total fee income                                                                                         |  |                                  | 2,539       |   |                                 |   | 1,010       |      |  |   | 14,023      |   |  |   | 2,372       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Dividend and other income:                                                                               |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Non-controlled, non-affiliated investments                                                               |  |                                  | 19          |   |                                 |   | 4,734       |      |  |   | 207         |   |  |   | 4,744       |  
|Non-controlled, affiliated investments                                                                   |  |                                  | 459         |   |                                 |   | 2,066       |      |  |   | 977         |   |  |   | 2,643       |  
|Controlled, affiliated investments                                                                       |  |                                  | 4,936       |   |                                 |   |            |      |  |   | 4,936       |   |  |   |            |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Total dividend and other income                                                                          |  |                                  | 5,414       |   |                                 |   | 6,800       |      |  |   | 6,120       |   |  |   | 7,387       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Total investment income                                                                                  |  |                                  | 77,931      |   |                                 |   | 63,348      |      |  |   | 224,051     |   |  |   | 162,639     |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Operating expenses                                                                                       |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Investment advisory fees                                                                                 |  |                                  | 18,867      |   |                                 |   | 12,561      |      |  |   | 51,004      |   |  |   | 34,506      |  
|Interest expense                                                                                         |  |                                  | 9,487       |   |                                 |   | 7,295       |      |  |   | 25,561      |   |  |   | 17,506      |  
|Performance-based incentive fees                                                                         |  |                                  |            |   |                                 |   | 3,722       |      |  |   | 7,983       |   |  |   | 15,325      |  
|Offering expenses                                                                                        |  |                                  | 957         |   |                                 |   | 1,677       |      |  |   | 3,598       |   |  |   | 5,351       |  
|Administrative services                                                                                  |  |                                  | 717         |   |                                 |   | 745         |      |  |   | 2,031       |   |  |   | 2,137       |  
|Professional services                                                                                    |  |                                  | 621         |   |                                 |   | 520         |      |  |   | 1,988       |   |  |   | 1,570       |  
|Custodian and accounting fees                                                                            |  |                                  | 377         |   |                                 |   | 226         |      |  |   | 958         |   |  |   | 604         |  
|Director fees and expenses                                                                               |  |                                  | 158         |   |                                 |   | 126         |      |  |   | 478         |   |  |   | 417         |  
|Other                                                                                                    |  |                                  | 1,029       |   |                                 |   | 886         |      |  |   | 2,741       |   |  |   | 2,389       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Total operating expenses                                                                                 |  |                                  | 32,213      |   |                                 |   | 27,758      |      |  |   | 96,342      |   |  |   | 79,805      |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net investment income before taxes                                                                       |  |                                  | 45,718      |   |                                 |   | 35,590      |      |  |   | 127,709     |   |  |   | 82,834      |  
|Income tax expense                                                                                       |  |                                  | 90          |   |                                 |   |            |      |  |   | 131         |   |  |   |            |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net investment income                                                                                    |  |                                  | 45,628      |   |                                 |   | 35,590      |      |  |   | 127,578     |   |  |   | 82,834      |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net realized and unrealized gains (losses)                                                               |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net realized gains (losses) on:                                                                          |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Non-controlled, non-affiliated investments                                                               |  |                                  | (1,094      | ) |                                 |   | 1,407       |      |  |   | (28,783     | ) |  |   | 15,738      |  
|Derivative instruments                                                                                   |  |                                  | 51,360      |   |                                 |   | (548        | )    |  |   | 80,933      |   |  |   | (1,326      | )
|Foreign currency transactions                                                                            |  |                                  | (2,200      | ) |                                 |   | (593        | )    |  |   | (2,828      | ) |  |   | (2,939      | )
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net realized gains                                                                                       |  |                                  | 48,066      |   |                                 |   | 266         |      |  |   | 49,322      |   |  |   | 11,473      |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net change in unrealized appreciation (depreciation) on:                                                 |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Non-controlled, non-affiliated investments                                                               |  |                                  | (77,888     | ) |                                 |   | (35,877     | )    |  |   | (90,047     | ) |  |   | (20,515     | )
|Non-controlled, affiliated investments                                                                   |  |                                  | (29,875     | ) |                                 |   | (9,486      | )    |  |   | (48,031     | ) |  |   | (701        | )
|Controlled, affiliated investments                                                                       |  |                                  | (96         | ) |                                 |   |            |      |  |   | 1,579       |   |  |   |            |  
|Derivative instruments                                                                                   |  |                                  | (45,350     | ) |                                 |   | 31,440      |      |  |   | (38,759     | ) |  |   | 28,139      |  
|Foreign currency translation                                                                             |  |                                  | (216        | ) |                                 |   | (98         | )    |  |   | (165        | ) |  |   | 1,453       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net change in unrealized appreciation (depreciation)                                                     |  |                                  | (153,425    | ) |                                 |   | (14,021     | )    |  |   | (175,423    | ) |  |   | 8,376       |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net realized and unrealized gains (losses)                                                               |  |                                  | (105,359    | ) |                                 |   | (13,755     | )    |  |   | (126,101    | ) |  |   | 19,849      |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net increase (decrease) in net assets resulting from operations                                          |  | $                                | (59,731     | ) |                                 | $ | 21,835      |      |  | $ | 1,477       |   |  | $ | 102,683     |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Net investment income per share                                                                          |  | $                                | 0.17        |   |                                 | $ | 0.19        |      |  | $ | 0.52        |   |  | $ | 0.49        |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Diluted and basic (losses) earnings per share                                                            |  | $                                | (0.23       | ) |                                 | $ | 0.12        |      |  | $ | 0.01        |   |  | $ | 0.61        |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Weighted average number of shares of common stock outstanding (basic and diluted)                        |  |                                  | 264,030,528 |   |                                 |   | 186,785,383 |      |  |   | 246,351,875 |   |  |   | 167,389,712 |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  
|Distributions declared per share                                                                         |  | $                                | 0.20        |   |                                 | $ | 0.22        |      |  | $ | 0.60        |   |  | $ | 0.60        |  
|                                                                                                         |  |                                  |             |   |                                 |   |             |      |  |   |             |   |  |   |             |  

See notes to condensed consolidated financial statements.



3



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Changes in Net Assets (unaudited)

(in thousands, except share amounts)



|                                                                                                                             |  |                                 |            |   |      |   |            |  
|---------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------- | ---------- | - | ---- | - | ---------- | -
|                                                                                                                             |  | Nine Months Ended September 30, |           
|                                                                                                                             |  | 2015                            |            |   | 2014 |  
|Operations                                                                                                                   |  |                                 |            |   |      |   |            |  
|Net investment income                                                                                                        |  | $                               | 127,578    |   |      | $ | 82,834     |  
|Net realized gains on investments, derivative instruments and foreign currency transactions                                  |  |                                 | 49,322     |   |      |   | 11,473     |  
|Net change in unrealized appreciation (depreciation) on investments, derivative instruments and foreign currency translation |  |                                 | (175,423   | ) |      |   | 8,376      |  
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Net increase in net assets resulting from operations                                                                         |  |                                 | 1,477      |   |      |   | 102,683    |  
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Distributions to shareholders from                                                                                           |  |                                 |            |   |      |   |            |  
|Net investment income                                                                                                        |  |                                 | (127,578   | ) |      |   | (82,834    | )
|Net realized gains                                                                                                           |  |                                 | (21,141    | ) |      |   | (11,473    | )
|Distributions in excess of net investment income (Note 8)                                                                    |  |                                 |           |   |      |   | (6,013     | )
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Net decrease in net assets resulting from shareholders distributions                                                        |  |                                 | (148,719   | ) |      |   | (100,320   | )
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Capital share transactions                                                                                                   |  |                                 |            |   |      |   |            |  
|Issuance of shares of common stock                                                                                           |  |                                 | 472,250    |   |      |   | 498,652    |  
|Reinvestment of shareholders distributions                                                                                  |  |                                 | 76,446     |   |      |   | 51,383     |  
|Repurchase of shares of common stock                                                                                         |  |                                 | (20,914    | ) |      |   | (12,591    | )
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Net increase in net assets resulting from capital share transactions                                                         |  |                                 | 527,782    |   |      |   | 537,444    |  
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Total increase in net assets                                                                                                 |  |                                 | 380,540    |   |      |   | 539,807    |  
|Net assets at beginning of period                                                                                            |  |                                 | 2,145,821  |   |      |   | 1,430,434  |  
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Net assets at end of period                                                                                                  |  | $                               | 2,526,361  |   |      | $ | 1,970,241  |  
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Capital share activity                                                                                                       |  |                                 |            |   |      |   |            |  
|Shares issued from subscriptions                                                                                             |  |                                 | 47,926,637 |   |      |   | 49,031,534 |  
|Shares issued from reinvestment of distributions                                                                             |  |                                 | 7,798,343  |   |      |   | 5,052,427  |  
|Shares repurchased                                                                                                           |  |                                 | (2,150,538 | ) |      |   | (1,246,240 | )
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Net increase in shares outstanding                                                                                           |  |                                 | 53,574,442 |   |      |   | 52,837,721 |  
|                                                                                                                             |  |                                 |            |   |      |   |            |  
|Undistributed (distributions in excess of) net investment income at end of period                                            |  | $                               | 9,099      |   |      | $ | (11,909    | )
|                                                                                                                             |  |                                 |            |   |      |   |            |  

See notes to condensed consolidated financial statements.



4



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Statements of Cash Flows (unaudited)

(in thousands)



|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|---------------------------------------------------------------------------------------------------------------------------------- |  | ------------------------------- | ---------- | - | ---- | - | ---------- | -
|                                                                                                                                   |  | Nine Months Ended September 30, |           
|                                                                                                                                   |  | 2015                            |            |   | 2014 |  
|Operating Activities:                                                                                                              |  |                                 |            |   |      |   |            |  
|Net increase in net assets resulting from operations                                                                               |  | $                               | 1,477      |   |      | $ | 102,683    |  
|Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating
activities: |  |                                 |            |   |      |   |            |  
|Purchases of investments                                                                                                           |  |                                 | (1,467,289 | ) |      |   | (1,260,847 | )
|Decrease in payable for investments purchased                                                                                      |  |                                 | (31,400    | ) |      |   | (49,555    | )
|Payment-in-kind interest capitalized                                                                                               |  |                                 | (19,441    | ) |      |   | (20,146    | )
|Proceeds from sales of investments                                                                                                 |  |                                 | 251,954    |   |      |   | 442,624    |  
|Proceeds from principal payments                                                                                                   |  |                                 | 385,296    |   |      |   | 351,163    |  
|Net realized losses (gains) on investments                                                                                         |  |                                 | 28,783     |   |      |   | (15,738    | )
|Net change in unrealized depreciation on investments                                                                               |  |                                 | 136,499    |   |      |   | 21,216     |  
|Net change in unrealized (appreciation) depreciation on derivative instruments                                                     |  |                                 | 38,759     |   |      |   | (28,139    | )
|Net change in unrealized (appreciation) depreciation on foreign currency translation                                               |  |                                 | 165        |   |      |   | (1,453     | )
|Amortization of premium/discount, net                                                                                              |  |                                 | (6,102     | ) |      |   | (4,541     | )
|Amortization of deferred financing costs                                                                                           |  |                                 | 2,359      |   |      |   | 2,073      |  
|Accretion of discount on term loan payable                                                                                         |  |                                 | 286        |   |      |   | 132        |  
|(Increase) decrease in short-term investments, net                                                                                 |  |                                 | (68,253    | ) |      |   | 148,676    |  
|Increase in collateral on deposit with custodian                                                                                   |  |                                 | (26,940    | ) |      |   | (25,899    | )
|Increase in dividends and interest receivable                                                                                      |  |                                 | (20,259    | ) |      |   | (14,012    | )
|(Increase) decrease in receivable for investments sold                                                                             |  |                                 | (6,339     | ) |      |   | 37,949     |  
|(Increase) decrease in principal receivable                                                                                        |  |                                 | (819       | ) |      |   | 67         |  
|Increase in receivable from advisors                                                                                               |  |                                 | (500       | ) |      |   | (680       | )
|(Increase) decrease in other assets                                                                                                |  |                                 | (130       | ) |      |   | 251        |  
|Increase in accrued investment advisory fees                                                                                       |  |                                 | 1,237      |   |      |   | 492        |  
|Increase (decrease) in accrued performance-based incentive fees                                                                    |  |                                 | (5,108     | ) |      |   | 2,556      |  
|Decrease in other accrued expenses and liabilities                                                                                 |  |                                 | (985       | ) |      |   | (330       | )
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Net cash used in operating activities                                                                                              |  |                                 | (806,750   | ) |      |   | (311,458   | )
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Financing Activities:                                                                                                              |  |                                 |            |  
|Proceeds from issuance of shares of common stock                                                                                   |  |                                 | 472,250    |   |      |   | 498,652    |  
|Payments on repurchases of shares of common stock                                                                                  |  |                                 | (20,914    | ) |      |   | (12,591    | )
|Distributions paid                                                                                                                 |  |                                 | (72,273    | ) |      |   | (48,917    | )
|Borrowings under term loan payable                                                                                                 |  |                                 |           |   |      |   | 398,000    |  
|Repayments under term loan payable                                                                                                 |  |                                 | (3,000     | ) |      |   | (2,000     | )
|Borrowings under revolving credit facilities                                                                                       |  |                                 | 702,000    |   |      |   | 347,000    |  
|Repayments of revolving credit facilities                                                                                          |  |                                 | (264,450   | ) |      |   | (867,331   | )
|Deferred financing costs paid                                                                                                      |  |                                 | (827       | ) |      |   | (7,026     | )
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Net cash provided by financing activities                                                                                          |  |                                 | 812,786    |   |      |   | 305,787    |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Effect of exchange rate changes on cash                                                                                            |  |                                 | (131       | ) |      |   |           |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Net increase (decrease) in cash                                                                                                    |  |                                 | 5,905      |   |      |   | (5,671     | )
|Cash and cash denominated in foreign currency, beginning of period                                                                 |  |                                 | 46,977     |   |      |   | 86,205     |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Cash and cash denominated in foreign currency, end of period                                                                       |  | $                               | 52,882     |   |      | $ | 80,534     |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Supplemental disclosure of cash flow information and non-cash financing activities:                                                |  |                                 |            |   |      |   |            |  
|Cash paid for interest                                                                                                             |  | $                               | 22,628     |   |      | $ | 14,767     |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Distributions reinvested                                                                                                           |  | $                               | 76,446     |   |      | $ | 51,383     |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  
|Taxes paid, including excise tax                                                                                                   |  | $                               | 1,953      |   |      | $ |           |  
|                                                                                                                                   |  |                                 |            |   |      |   |            |  

See notes to condensed consolidated financial statements.



5



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited)

As of September 30, 2015

(in thousands, except share amounts)



|                                          |  |                   |  |                                  |  |              |            |  |                |  |      |              |  |  |                               |  |  |         |        |  |            |   |        |  |  |   |        | 
|----------------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ---------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | ------- | ------ |  | ---------- | - | ------ |  |  | - | ------ | 
|Company(a)(b)                             |  | Footnotes         |  | Industry                         |  | InterestRate |            |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  | Cost(d) |        |  | Fair Value |  
|Senior Secured LoansFirst Lien53.3%     |  |                   |  |                                  | 
|ABILITY Network, Inc.                     |  | (e)(f)            |  | Health Care Equipment & Services |  |              | L + 500    |  |                |  | 1.00 | %            |  |  | 5/14/2021                     |  |  | $       | 20,012 |  |            | $ | 19,829 |  |  | $ | 19,988 | 
|Algeco/Scotsman (LU)                      |  | (g)(h)(i)(j)(o)   |  | Consumer Durables & Apparel      |  |              | 15.75% PIK |  |                |  |      |              |  |  | 5/1/2018                      |  |  |         | 33,302 |  |            |   | 32,643 |  |  |   | 7,396  | 
|Alion Science & Technology Corp.          |  | (k)(l)            |  | Capital Goods                    |  |              | L + 450    |  |                |  | 1.00 | %            |  |  | 8/19/2021                     |  |  |         | 2,876  |  |            |   | 2,862  |  |  |   | 2,858  | 
|AltEn, LLC                                |  | (i)(l)(m)         |  | Energy                           |  |              | L + 900    |  |                |  | 1.00 | %            |  |  | 9/12/2018                     |  |  |         | 29,610 |  |            |   | 27,225 |  |  |   | 15,314 | 
|American Freight, Inc.                    |  | (f)(i)            |  | Retailing                        |  |              | L + 625    |  |                |  | 1.00 | %            |  |  | 10/31/2020                    |  |  |         | 32,445 |  |            |   | 32,303 |  |  |   | 32,411 | 
|Amtek Global Technology Pte. Ltd. (SG)    |  | (g)(i)(j)(n)(EUR) |  | Automobiles & Components         |  |              | E + 900    |  |                |  | 1.00 | %            |  |  | 11/10/2019                    |  |  |        | 62,849 |  |            |   | 63,637 |  |  |   | 63,750 | 
|                                          |  | (g)(i)(j)(n)(EUR) |  |                                  |  |              | E + 900    |  |                |  | 1.00 | %            |  |  | 11/10/2019                    |  |  |         | 61,898 |  |            |   | 62,674 |  |  |   | 62,785 | 
|                                          |  | (g)(i)(j)(n)(EUR) |  |                                  |  |              | E + 900    |  |                |  | 1.00 | %            |  |  | 11/10/2019                    |  |  |         | 8,728  |  |            |   | 8,838  |  |  |   | 8,853  | 
|Applied Systems, Inc.                     |  | (e)(f)            |  | Software & Services              |  |              | L + 325    |  |                |  | 1.00 | %            |  |  | 1/25/2021                     |  |  | $       | 649    |  |            |   | 645    |  |  |   | 649    | 
|BeyondTrust Software, Inc.                |  | (f)(i)            |  | Software & Services              |  |              | L + 700    |  |                |  | 1.00 | %            |  |  | 9/25/2019                     |  |  |         | 12,915 |  |            |   | 12,794 |  |  |   | 12,871 | 
|BRG Sports, Inc.                          |  | (l)               |  | Consumer Durables & Apparel      |  |              | L + 550    |  |                |  | 1.00 | %            |  |  | 4/15/2021                     |  |  |         | 3,872  |  |            |   | 3,807  |  |  |   | 3,855  | 
|Caesars Entertainment Operating Co., Inc. |  | (e)(f)(g)(o)      |  | Consumer Services                |  |              | L + 725    |  |                |  |      |              |  |  | 3/1/2017                      |  |  |         | 10,800 |  |            |   | 10,163 |  |  |   | 10,053 | 
|California Pizza Kitchen, Inc.            |  | (e)(f)            |  | Food & Staples Retailing         |  |              | L + 425    |  |                |  | 1.00 | %            |  |  | 3/29/2018                     |  |  |         | 18,335 |  |            |   | 17,724 |  |  |   | 18,083 | 
|Charlotte Russe, Inc.                     |  | (f)               |  | Retailing                        |  |              | L + 550    |  |                |  | 1.25 | %            |  |  | 5/22/2019                     |  |  |         | 18,291 |  |            |   | 18,146 |  |  |   | 15,182 | 
|                                          |  | (f)               |  |                                  |  |              | L + 550    |  |                |  | 1.25 | %            |  |  | 5/22/2019                     |  |  |         | 4,478  |  |            |   | 4,456  |  |  |   | 3,739  | 
|CityCenter Holdings, LLC                  |  | (e)(f)            |  | Real Estate                      |  |              | L + 325    |  |                |  | 1.00 | %            |  |  | 10/16/2020                    |  |  |         | 5,919  |  |            |   | 5,872  |  |  |   | 5,911  | 
|Davids Bridal, Inc.                      |  | (e)(f)            |  | Retailing                        |  |              | L + 400    |  |                |  | 1.25 | %            |  |  | 10/11/2019                    |  |  |         | 8,368  |  |            |   | 8,159  |  |  |   | 7,336  | 

See notes to condensed consolidated financial statements.



6



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                       |  |                |  |                                    |  |              |         |  |                |  |      |              |  |  |                               |  |  |         |        |  |            |   |        |  |  |   |        | 
|-------------------------------------- |  | -------------- |  | ---------------------------------- |  | ------------ | ------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | ------- | ------ |  | ---------- | - | ------ |  |  | - | ------ | 
|Company(a)(b)                          |  | Footnotes      |  | Industry                           |  | InterestRate |         |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  | Cost(d) |        |  | Fair Value |  
|Distribution International, Inc.       |  | (e)(f)         |  | Retailing                          |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 12/10/2021                    |  |  | $       | 6,375  |  |            | $ | 6,317  |  |  | $ | 6,296  | 
|EagleView Technology Corp.             |  | (p)            |  | Software & Services                |  |              | L + 425 |  |                |  | 1.00 | %            |  |  | 7/15/2022                     |  |  |         | 7,000  |  |            |   | 6,931  |  |  |   | 6,933  | 
|Emerald Performance Materials, LLC     |  | (e)(l)         |  | Materials                          |  |              | L + 350 |  |                |  | 1.00 | %            |  |  | 7/30/2021                     |  |  |         | 649    |  |            |   | 646    |  |  |   | 646    | 
|Exemplis Corp.                         |  | (f)(i)         |  | Commercial & Professional Services |  |              | L + 650 |  |                |  | 1.00 | %            |  |  | 3/23/2022                     |  |  |         | 67,777 |  |            |   | 67,142 |  |  |   | 68,426 | 
|Football Association of Ireland (IE)   |  | (g)(i)(j)(EUR) |  | Consumer Durables & Apparel        |  |              | 6.40%   |  |                |  |      |              |  |  | 12/20/2020                    |  |  |        | 43,615 |  |            |   | 58,530 |  |  |   | 49,445 | 
|Greystone & Co., Inc.                  |  | (f)(i)         |  | Diversified Financials             |  |              | L + 800 |  |                |  | 1.00 | %            |  |  | 3/26/2021                     |  |  | $       | 33,665 |  |            |   | 33,173 |  |  |   | 32,430 | 
|Grocery Outlet, Inc.                   |  | (e)(f)         |  | Food & Staples Retailing           |  |              | L + 375 |  |                |  | 1.00 | %            |  |  | 10/21/2021                    |  |  |         | 2,960  |  |            |   | 2,970  |  |  |   | 2,957  | 
|Gymboree Corp.                         |  | (f)            |  | Retailing                          |  |              | L + 350 |  |                |  | 1.50 | %            |  |  | 2/23/2018                     |  |  |         | 11,892 |  |            |   | 10,958 |  |  |   | 7,877  | 
|Hanson Building Products North America |  | (e)(f)(g)      |  | Materials                          |  |              | L + 550 |  |                |  | 1.00 | %            |  |  | 3/13/2022                     |  |  |         | 23,053 |  |            |   | 22,854 |  |  |   | 22,895 | 
|Harbor Freight Tools USA, Inc.         |  | (e)(f)         |  | Capital Goods                      |  |              | L + 375 |  |                |  | 1.00 | %            |  |  | 7/26/2019                     |  |  |         | 2,900  |  |            |   | 2,906  |  |  |   | 2,916  | 
|Hillman Group, Inc.                    |  | (e)(f)         |  | Consumer Durables & Apparel        |  |              | L + 350 |  |                |  | 1.00 | %            |  |  | 6/30/2021                     |  |  |         | 831    |  |            |   | 833    |  |  |   | 830    | 
|iPayment, Inc.                         |  | (e)(f)         |  | Software & Services                |  |              | L + 525 |  |                |  | 1.50 | %            |  |  | 5/8/2017                      |  |  |         | 36,163 |  |            |   | 35,979 |  |  |   | 35,593 | 
|Jacuzzi Brands, Inc.                   |  | (f)(i)         |  | Capital Goods                      |  |              | L + 650 |  |                |  | 1.25 | %            |  |  | 7/3/2019                      |  |  |         | 18,717 |  |            |   | 18,456 |  |  |   | 18,690 | 
|Jacuzzi Brands, Inc. (LU)              |  | (f)(i)(j)      |  | Capital Goods                      |  |              | L + 650 |  |                |  | 1.25 | %            |  |  | 7/3/2019                      |  |  |         | 20,118 |  |            |   | 19,838 |  |  |   | 20,089 | 
|KeyPoint Government Solutions, Inc.    |  | (f)(i)         |  | Capital Goods                      |  |              | L + 650 |  |                |  | 1.25 | %            |  |  | 11/13/2017                    |  |  |         | 33,295 |  |            |   | 32,973 |  |  |   | 33,462 | 



See notes to condensed consolidated
financial statements.



7



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                            |  |                   |  |                                                |  |              |                     |  |                |  |      |              |  |  |                               |  |  |         |        |  |            |   |        |  |  |   |        | 
|------------------------------------------- |  | ----------------- |  | ---------------------------------------------- |  | ------------ | ------------------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | ------- | ------ |  | ---------- | - | ------ |  |  | - | ------ | 
|Company(a)(b)                               |  | Footnotes         |  | Industry                                       |  | InterestRate |                     |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  | Cost(d) |        |  | Fair Value |  
|Keystone Australia Holdings, Pty. Ltd. (AU) |  | (g)(i)(j)(AUD)    |  | Consumer Services                              |  |              | 15.00%              |  |                |  |      |              |  |  | 8/7/2019                      |  |  | A$      | 31,021 |  |            | $ | 29,057 |  |  | $ | 21,518 | 
|Koosharem, LLC                              |  | (e)(f)            |  | Commercial & Professional Services             |  |              | L + 650             |  |                |  | 1.00 | %            |  |  | 5/15/2020                     |  |  | $       | 42,753 |  |            |   | 42,373 |  |  |   | 42,192 | 
|Kurt Geiger Ltd. (UK)                       |  | (g)(h)(i)(j)(GBP) |  | Consumer Durables & Apparel                    |  |              | 10.00%, 1.00%PIK    |  |                |  |      |              |  |  | 4/8/2019                      |  |  | £       | 47,099 |  |            |   | 77,594 |  |  |   | 72,094 | 
|Marshall Retail Group, LLC                  |  | (f)(i)            |  | Retailing                                      |  |              | L + 600             |  |                |  | 1.00 | %            |  |  | 8/25/2020                     |  |  | $       | 16,678 |  |            |   | 16,524 |  |  |   | 15,354 | 
|MCS AMS Sub-Holdings, LLC                   |  | (f)               |  | Commercial & Professional Services             |  |              | L + 650             |  |                |  | 1.00 | %            |  |  | 10/15/2019                    |  |  |         | 42,887 |  |            |   | 41,967 |  |  |   | 35,596 | 
|MSX International, Inc.                     |  | (f)               |  | Software & Services                            |  |              | L + 500             |  |                |  | 1.00 | %            |  |  | 8/18/2020                     |  |  |         | 2,507  |  |            |   | 2,399  |  |  |   | 2,507  | 
|Neiman Marcus Group, LLC                    |  | (e)(f)            |  | Retailing                                      |  |              | L + 325             |  |                |  | 1.00 | %            |  |  | 10/25/2020                    |  |  |         | 4,939  |  |            |   | 4,873  |  |  |   | 4,843  | 
|New Enterprise Stone & Lime Co., Inc.       |  | (f)(i)            |  | Capital Goods                                  |  |              | L + 700             |  |                |  | 1.00 | %            |  |  | 2/12/2019                     |  |  |         | 56,298 |  |            |   | 56,298 |  |  |   | 56,081 | 
|Nine West Holdings, Inc.                    |  | (e)(f)            |  | Consumer Durables & Apparel                    |  |              | L + 375             |  |                |  | 1.00 | %            |  |  | 10/8/2019                     |  |  |         | 13,452 |  |            |   | 13,236 |  |  |   | 11,098 | 
|P & L Development, LLC                      |  | (h)(i)(l)         |  | Pharmaceuticals, Biotechnology & Life Sciences |  |              | L  +  750, 1.00%PIK |  |                |  |      |              |  |  | 5/1/2020                      |  |  |         | 56,301 |  |            |   | 55,779 |  |  |   | 54,314 | 
|Pacific Union Financial, LLC                |  | (i)(l)            |  | Diversified Financials                         |  |              | L + 800             |  |                |  | 1.00 | %            |  |  | 5/31/2019                     |  |  |         | 53,959 |  |            |   | 53,202 |  |  |   | 53,523 | 
|Paradigm Acquisition Corp.                  |  | (q)               |  | Health Care Equipment & Services               |  |              | L + 500             |  |                |  | 1.00 | %            |  |  | 6/2/2022                      |  |  |         | 11,063 |  |            |   | 10,903 |  |  |   | 10,980 | 
|Payless, Inc.                               |  | (i)(l)            |  | Retailing                                      |  |              | L + 625             |  |                |  | 1.00 | %            |  |  | 3/2/2019                      |  |  |         | 12,973 |  |            |   | 12,758 |  |  |   | 12,832 | 
|Petroplex Acidizing, Inc.                   |  | (f)(i)            |  | Energy                                         |  |              | L + 725             |  |                |  | 1.00 | %            |  |  | 12/4/2019                     |  |  |         | 36,438 |  |            |   | 35,964 |  |  |   | 31,319 | 



See notes to condensed consolidated
financial statements.



8



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                       |  |                   |  |                                  |  |              |                     |  |                |  |      |              |  |  |                               |  |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |           | 
|-------------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ------------------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | - | ------ |  | ------- | - |  |  |  |  | ---------- |  |  | - |  |  |  |  | --------- | 
|Company(a)(b)                          |  | Footnotes         |  | Industry                         |  | InterestRate |                     |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |   |        |  | Cost(d) |   |  |  |  |  | Fair Value | 
|Proserv Acquisition, LLC               |  | (f)(g)            |  | Energy                           |  |              | L + 538             |  |                |  | 1.00 | %            |  |  | 12/22/2021                    |  |  | $ | 27,378 |  |         | $ |  |  |  |  | 21,630     |  |  | $ |  |  |  |  | 20,762    | 
|Proserv Acquisition, LLC (UK)          |  | (f)(g)(j)         |  | Energy                           |  |              | L + 538             |  |                |  | 1.00 | %            |  |  | 12/22/2021                    |  |  |   | 16,070 |  |         |   |  |  |  |  | 12,695     |  |  |   |  |  |  |  | 12,186    | 
|Raleys                                |  | (f)               |  | Food & Staples Retailing         |  |              | L + 625             |  |                |  | 1.00 | %            |  |  | 4/10/2022                     |  |  |   | 29,591 |  |         |   |  |  |  |  | 28,594     |  |  |   |  |  |  |  | 29,591    | 
|RedPrairie Corp.                       |  | (e)(f)            |  | Software & Services              |  |              | L + 500             |  |                |  | 1.00 | %            |  |  | 12/21/2018                    |  |  |   | 26,343 |  |         |   |  |  |  |  | 25,399     |  |  |   |  |  |  |  | 23,511    | 
|Riverbed Technology, Inc.              |  | (e)(f)            |  | Technology Hardware & Equipment  |  |              | L + 500             |  |                |  | 1.00 | %            |  |  | 4/24/2022                     |  |  |   | 7,691  |  |         |   |  |  |  |  | 7,654      |  |  |   |  |  |  |  | 7,713     | 
|TIBCO Software, Inc.                   |  | (e)(l)            |  | Software & Services              |  |              | L + 550             |  |                |  | 1.00 | %            |  |  | 12/4/2020                     |  |  |   | 57,806 |  |         |   |  |  |  |  | 56,176     |  |  |   |  |  |  |  | 57,372    | 
|TTM Technologies, Inc.                 |  | (g)(l)            |  | Technology Hardware & Equipment  |  |              | L + 500             |  |                |  | 1.00 | %            |  |  | 5/31/2021                     |  |  |   | 11,980 |  |         |   |  |  |  |  | 11,576     |  |  |   |  |  |  |  | 11,201    | 
|Tweddle Group, Inc.                    |  | (f)(i)            |  | Automobiles & Components         |  |              | L + 675             |  |                |  | 1.00 | %            |  |  | 4/7/2020                      |  |  |   | 43,485 |  |         |   |  |  |  |  | 42,600     |  |  |   |  |  |  |  | 42,985    | 
|Waste Pro USA, Inc.                    |  | (f)(i)            |  | Transportation                   |  |              | L + 750             |  |                |  | 1.00 | %            |  |  | 10/15/2020                    |  |  |   | 36,406 |  |         |   |  |  |  |  | 36,406     |  |  |   |  |  |  |  | 36,326    | 
|Willbros Group, Inc.                   |  | (i)(l)            |  | Energy                           |  |              | L + 975             |  |                |  | 1.25 | %            |  |  | 12/15/2019                    |  |  |   | 52,642 |  |         |   |  |  |  |  | 52,642     |  |  |   |  |  |  |  | 45,621    | 
|Z Gallerie, Inc.                       |  | (f)(i)            |  | Retailing                        |  |              | L + 650             |  |                |  | 1.00 | %            |  |  | 10/8/2020                     |  |  |   | 32,436 |  |         |   |  |  |  |  | 32,111     |  |  |   |  |  |  |  | 32,488    | 
|Total Senior Secured LoansFirst Lien  |  |                   |  |                                  |  |              |                     |  |                |  |      |              |  |  |                               |  |  |   |        |  |         | $ |  |  |  |  | 1,432,693  |  |  | $ |  |  |  |  | 1,344,526 | 
|                                       |  |                   |  |                                  |  |              |                     |  |                |  |      |              |  |  |                               |  |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |           | 
|Senior Secured LoansSecond Lien38.9% |  |                   |  |                                  |  |              |                     |  |                |  |      |              |  |  |                               |  |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  | 
|Angelica Corp.                         |  | (f)(i)            |  | Health Care Equipment & Services |  |              | L + 875             |  |                |  | 1.25 | %            |  |  | 8/20/2019                     |  |  | $ | 50,869 |  |         | $ |  |  |  |  | 50,869     |  |  | $ |  |  |  |  | 45,013    | 
|Applied Systems, Inc.                  |  | (e)(f)            |  | Software & Services              |  |              | L + 650             |  |                |  | 1.00 | %            |  |  | 1/24/2022                     |  |  |   | 34,703 |  |         |   |  |  |  |  | 35,022     |  |  |   |  |  |  |  | 34,486    | 
|AssuredPartners, Inc.                  |  | (f)               |  | Insurance                        |  |              | L + 675             |  |                |  | 1.00 | %            |  |  | 4/2/2022                      |  |  |   | 3,135  |  |         |   |  |  |  |  | 3,148      |  |  |   |  |  |  |  | 3,170     | 
|Brake Bros Ltd. (UK)                   |  | (g)(h)(j)(r)(GBP) |  | Food & Staples Retailing         |  |              | L  +  325, 3.00%PIK |  |                |  |      |              |  |  | 3/12/2017                     |  |  | £ | 6,062  |  |         |   |  |  |  |  | 8,726      |  |  |   |  |  |  |  | 9,088     | 



See notes to condensed consolidated
financial statements.



9



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                   |  |                   |  |                                  |  |              |                     |  |                |  |      |              |  |  |                               |  |  |         |         |  |            |   |         |  |  |   |         | 
|---------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ------------------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | ------- | ------- |  | ---------- | - | ------- |  |  | - | ------- | 
|Company(a)(b)                      |  | Footnotes         |  | Industry                         |  | InterestRate |                     |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  | Cost(d) |         |  | Fair Value |  
|BRG Sports, Inc.                   |  | (l)               |  | Consumer Durables & Apparel      |  |              | L + 925             |  |                |  | 1.00 | %            |  |  | 4/15/2022                     |  |  | $       | 23,855  |  |            | $ | 23,673  |  |  | $ | 23,497  | 
|CPI International, Inc.            |  | (f)(i)            |  | Capital Goods                    |  |              | L + 700             |  |                |  | 1.00 | %            |  |  | 9/16/2017                     |  |  |         | 28,000  |  |            |   | 27,449  |  |  |   | 27,440  | 
|CTI Foods Holding Co., LLC         |  | (f)               |  | Food, Beverage & Tobacco         |  |              | L + 725             |  |                |  | 1.00 | %            |  |  | 6/28/2021                     |  |  |         | 23,219  |  |            |   | 22,945  |  |  |   | 22,406  | 
|Deltek, Inc.                       |  | (e)(f)            |  | Software & Services              |  |              | L + 850             |  |                |  | 1.00 | %            |  |  | 6/17/2023                     |  |  |         | 62,369  |  |            |   | 61,762  |  |  |   | 62,564  | 
|EagleView Technology Corp.         |  | (p)               |  | Software & Services              |  |              | L + 825             |  |                |  | 1.00 | %            |  |  | 7/14/2023                     |  |  |         | 33,000  |  |            |   | 32,511  |  |  |   | 31,845  | 
|Emerald Performance Materials, LLC |  | (e)(l)            |  | Materials                        |  |              | L + 675             |  |                |  | 1.00 | %            |  |  | 8/1/2022                      |  |  |         | 2,041   |  |            |   | 2,031   |  |  |   | 2,026   | 
|Excelitas Technologies Corp.       |  | (f)(h)(i)         |  | Technology Hardware & Equipment  |  |              | L  +  975, 1.50%PIK |  |                |  | 1.00 | %            |  |  | 4/29/2021                     |  |  |         | 110,242 |  |            |   | 110,242 |  |  |   | 108,150 | 
|Genoa, a QoL Healthcare Co., LLC   |  | (f)               |  | Health Care Equipment & Services |  |              | L + 775             |  |                |  | 1.00 | %            |  |  | 4/28/2023                     |  |  |         | 6,403   |  |            |   | 6,341   |  |  |   | 6,403   | 
|Greenway Medical Technologies      |  | (f)               |  | Health Care Equipment & Services |  |              | L + 825             |  |                |  | 1.00 | %            |  |  | 11/4/2021                     |  |  |         | 23,057  |  |            |   | 22,770  |  |  |   | 22,481  | 
|Grocery Outlet, Inc.               |  | (e)(f)            |  | Food & Staples Retailing         |  |              | L + 825             |  |                |  | 1.00 | %            |  |  | 10/21/2022                    |  |  |         | 49,688  |  |            |   | 48,250  |  |  |   | 49,564  | 
|Gruppo Argenta S.p.A. (LU)         |  | (g)(h)(i)(j)(EUR) |  | Retailing                        |  |              | 12.00% PIK          |  |                |  |      |              |  |  | 1/31/2019                     |  |  |        | 25,598  |  |            |   | 28,987  |  |  |   | 25,358  | 
|                                   |  | (g)(h)(i)(j)(EUR) |  |                                  |  |              | 12.00% PIK          |  |                |  |      |              |  |  | 1/31/2019                     |  |  |         | 3,485   |  |            |   | 3,726   |  |  |   | 3,452   | 
|Gypsum Management & Supply, Inc.   |  | (e)(f)            |  | Capital Goods                    |  |              | L + 675             |  |                |  | 1.00 | %            |  |  | 4/1/2022                      |  |  | $       | 14,802  |  |            |   | 14,399  |  |  |   | 14,534  | 
|iParadigms Holdings, LLC           |  | (f)               |  | Software & Services              |  |              | L + 725             |  |                |  | 1.00 | %            |  |  | 7/29/2022                     |  |  |         | 24,366  |  |            |   | 24,201  |  |  |   | 24,244  | 
|Learfield Communications, Inc.     |  | (f)               |  | Media                            |  |              | L + 775             |  |                |  | 1.00 | %            |  |  | 10/8/2021                     |  |  |         | 27,756  |  |            |   | 27,975  |  |  |   | 27,686  | 



See notes to condensed consolidated
financial statements.



10



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                       |  |                   |  |                                  |  |              |          |  |                |  |      |              |  |  |                               |  |  |   |        |   |         |   |  |  |           |  |            |   |  |   |  |  |         |  |        | 
|-------------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | -------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | - | ------ | - | ------- | - |  |  | --------- |  | ---------- | - |  | - |  |  | ------- |  | ------ | 
|Company(a)(b)                          |  | Footnotes         |  | Industry                         |  | InterestRate |          |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |   |        |   | Cost(d) |   |  |  |           |  | Fair Value |  
|Lightower Fiber, LLC                   |  | (e)(f)            |  | Telecommunication Services       |  |              | L + 675  |  |                |  | 1.25 | %            |  |  | 4/12/2021                     |  |  | $ | 35,406 |   |         | $ |  |  |           |  | 35,006     |   |  | $ |  |  |         |  | 35,140 | 
|Maxim Crane, LP                        |  | (e)(f)            |  | Capital Goods                    |  |              | L + 925  |  |                |  | 1.00 | %            |  |  | 11/26/2018                    |  |  |   | 970    |   |         |   |  |  |           |  | 989        |   |  |   |  |  |         |  | 966    | 
|Misys Ltd. (UK)                        |  | (e)(g)(j)         |  | Software & Services              |  |              | 12.00%   |  |                |  |      |              |  |  | 6/12/2019                     |  |  |   | 3,000  |   |         |   |  |  |           |  | 3,273      |   |  |   |  |  |         |  | 3,269  | 
|NewWave Communications                 |  | (f)               |  | Media                            |  |              | L + 800  |  |                |  | 1.00 | %            |  |  | 10/30/2020                    |  |  |   | 13,712 |   |         |   |  |  |           |  | 13,677     |   |  |   |  |  |         |  | 13,507 | 
|P2 Energy Solutions, Inc.              |  | (e)(g)(q)         |  | Software & Services              |  |              | L + 800  |  |                |  | 1.00 | %            |  |  | 4/30/2021                     |  |  |   | 9,283  |   |         |   |  |  |           |  | 9,207      |   |  |   |  |  |         |  | 8,169  | 
|                                       |  | (f)(g)            |  |                                  |  |              | L + 800  |  |                |  | 1.00 | %            |  |  | 4/30/2021                     |  |  |   | 74,312 |   |         |   |  |  |           |  | 72,356     |   |  |   |  |  |         |  | 65,394 | 
|Petrochoice Holdings, Inc.             |  | (f)(i)            |  | Capital Goods                    |  |              | L + 875  |  |                |  | 1.00 | %            |  |  | 8/21/2023                     |  |  |   | 50,000 |   |         |   |  |  |           |  | 49,003     |   |  |   |  |  |         |  | 49,348 | 
|Polyconcept Finance B.V. (NL)          |  | (g)(i)(j)(l)      |  | Consumer Durables & Apparel      |  |              | L + 875  |  |                |  | 1.25 | %            |  |  | 6/28/2020                     |  |  |   | 46,727 |   |         |   |  |  |           |  | 46,727     |   |  |   |  |  |         |  | 46,556 | 
|Progressive Solutions                  |  | (l)               |  | Health Care Equipment & Services |  |              | L + 850  |  |                |  | 1.00 | %            |  |  | 10/22/2021                    |  |  |   | 21,145 |   |         |   |  |  |           |  | 21,004     |   |  |   |  |  |         |  | 21,053 | 
|RedPrairie Corp.                       |  | (f)               |  | Software & Services              |  |              | L + 1000 |  |                |  | 1.25 | %            |  |  | 12/21/2019                    |  |  |   | 39,868 |   |         |   |  |  |           |  | 37,602     |   |  |   |  |  |         |  | 34,606 | 
|Safety Technology Holdings, Inc.       |  | (f)(i)            |  | Technology Hardware & Equipment  |  |              | L + 825  |  |                |  | 1.00 | %            |  |  | 6/2/2020                      |  |  |   | 30,402 |   |         |   |  |  |           |  | 29,809     |   |  |   |  |  |         |  | 30,322 | 
|SI Organization, Inc.                  |  | (f)               |  | Capital Goods                    |  |              | L + 800  |  |                |  | 1.00 | %            |  |  | 5/23/2020                     |  |  |   | 56,000 |   |         |   |  |  |           |  | 55,539     |   |  |   |  |  |         |  | 55,113 | 
|Talbots, Inc.                          |  | (e)(f)            |  | Retailing                        |  |              | L + 850  |  |                |  | 1.00 | %            |  |  | 3/19/2021                     |  |  |   | 8,022  |   |         |   |  |  |           |  | 7,991      |   |  |   |  |  |         |  | 7,878  | 
|The TelX Group, Inc.                   |  | (e)(l)            |  | Telecommunication Services       |  |              | L + 650  |  |                |  | 1.00 | %            |  |  | 4/9/2021                      |  |  |   | 23,683 |   |         |   |  |  |           |  | 23,811     |   |  |   |  |  |         |  | 23,773 | 
|Valeo Foods Group Ltd. (IE)            |  | (g)(i)(j)(s)(GBP) |  | Food, Beverage & Tobacco         |  |              | L + 800  |  |                |  | 1.00 | %            |  |  | 5/8/2023                      |  |  | £ | 29,125 |   |         |   |  |  |           |  | 43,603     |   |  |   |  |  |         |  | 43,215 | 
|Total Senior Secured LoansSecond Lien |  |                   |  |                                  |  |              |          |  |                |  |      |              |  |  |                               |  |  |   |        | $ |         |   |  |  | 1,004,624 |  |            | $ |  |   |  |  | 981,716 | 
|                                       |  |                   |  |                                  |  |              |          |  |                |  |      |              |  |  |                               |  |  |   |        |   |         |   |  |  |           |  |            |   |  |   |  |  |         |  |        | 



See notes to condensed consolidated
financial statements.



11



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                      |  |              |  |                                 |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |        |            |  |   |  |  |  |  |        | 
|------------------------------------- |  | ------------ |  | ------------------------------- |  | ------------ | --------------- |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ------ |  |  | ------- |  |  |  |  | ------ | ---------- |  | - |  |  |  |  | ------ | 
|Company(a)(b)                         |  | Footnotes    |  | Industry                        |  | InterestRate |                 |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |        |  |  | Cost(d) |  |  |  |  |        | Fair Value | 
|Senior Secured Bonds8.1%             |  |              |  |                                 |  |              |                 |  |               
|Altice International S.A.R.L. (LU)    |  | (g)(j)(t)(u) |  | Media                           |  |              | 6.63%           |  |                |  |              |  | 2/15/2023  |                               |  | $ | 5,046  |  |  | $       |  |  |  |  | 5,046  |            |  | $ |  |  |  |  | 4,844  | 
|Artesyn Technologies, Inc.            |  | (e)(t)(u)    |  | Technology Hardware & Equipment |  |              | 9.75%           |  |                |  |              |  | 10/15/2020 |                               |  |   | 24,387 |  |  |         |  |  |  |  | 23,922 |            |  |   |  |  |  |  | 24,387 | 
|Guitar Center, Inc.                   |  | (t)(u)       |  | Retailing                       |  |              | 6.50%           |  |                |  |              |  | 4/15/2019  |                               |  |   | 27,676 |  |  |         |  |  |  |  | 27,253 |            |  |   |  |  |  |  | 25,462 | 
|Hot Topic, Inc.                       |  | (t)(u)       |  | Consumer Durables & Apparel     |  |              | 9.25%           |  |                |  |              |  | 6/15/2021  |                               |  |   | 3,556  |  |  |         |  |  |  |  | 3,637  |            |  |   |  |  |  |  | 3,473  | 
|iPayment, Inc.                        |  | (t)(u)       |  | Software & Services             |  |              | 9.50%           |  |                |  |              |  | 12/15/2019 |                               |  |   | 8,597  |  |  |         |  |  |  |  | 8,597  |            |  |   |  |  |  |  | 8,511  | 
|Louisiana Public Facilities Authority |  | (i)          |  | Energy                          |  |              | 11.50%          |  |                |  |              |  | 1/1/2020   |                               |  |   | 34,330 |  |  |         |  |  |  |  | 33,550 |            |  |   |  |  |  |  | 33,628 | 
|                                      |  | (f)(i)(t)    |  |                                 |  |              | L + 1000        |  |                |  |              |  | 1/1/2020   |                               |  |   | 10,650 |  |  |         |  |  |  |  | 10,650 |            |  |   |  |  |  |  | 10,403 | 
|NESCO, LLC                            |  | (t)(u)       |  | Capital Goods                   |  |              | 6.88%           |  |                |  |              |  | 2/15/2021  |                               |  |   | 10,532 |  |  |         |  |  |  |  | 7,022  |            |  |   |  |  |  |  | 7,399  | 
|New Enterprise Stone & Lime Co., Inc. |  | (h)(u)       |  | Capital Goods                   |  |              | 7.00%, 6.00%PIK |  |                |  |              |  | 3/15/2018  |                               |  |   | 36,933 |  |  |         |  |  |  |  | 39,429 |            |  |   |  |  |  |  | 38,226 | 
|OAG Holdings, LLC                     |  | (h)(i)       |  | Energy                          |  |              | 8.00%, 2.00%PIK |  |                |  |              |  | 12/20/2020 |                               |  |   | 20,728 |  |  |         |  |  |  |  | 18,270 |            |  |   |  |  |  |  | 3,218  | 
|Rockport Group, LLC                   |  | (i)          |  | Consumer Durables & Apparel     |  |              | 9.50%           |  |                |  |              |  | 7/31/2022  |                               |  |   | 28,516 |  |  |         |  |  |  |  | 27,813 |            |  |   |  |  |  |  | 27,712 | 
|Ryerson, Inc.                         |  | (e)          |  | Materials                       |  |              | 9.00%           |  |                |  |              |  | 10/15/2017 |                               |  |   | 5,814  |  |  |         |  |  |  |  | 5,814  |            |  |   |  |  |  |  | 5,189  | 
|SquareTwo Financial Corp.             |  | (u)          |  | Banks                           |  |              | 11.63%          |  |                |  |              |  | 4/1/2017   |                               |  |   | 16,044 |  |  |         |  |  |  |  | 15,903 |            |  |   |  |  |  |  | 9,626  | 



See notes to condensed consolidated
financial statements.



12



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                    |  |                |  |                                    |  |              |                     |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|----------------------------------- |  | -------------- |  | ---------------------------------- |  | ------------ | ------------------- |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ------ |  |  | ------- |  |  |  |  | --------- | ---------- |  | - |  |  |  |  | --------- | 
|Company(a)(b)                       |  | Footnotes      |  | Industry                           |  | InterestRate |                     |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |        |  |  | Cost(d) |  |  |  |  |           | Fair Value | 
|Towergate (UK)                      |  | (g)(j)(u)(GBP) |  | Insurance                          |  |              | 8.75%               |  |                |  |              |  | 4/2/2020   |                               |  | £ | 936    |  |  | $       |  |  |  |  | 1,425     |            |  | $ |  |  |  |  | 1,300     | 
|Total Senior Secured Bonds          |  |                |  |                                    |  |              |                     |  |                |  |              |  |            |                               |  |   |        |  |  | $       |  |  |  |  | 228,331   |            |  | $ |  |  |  |  | 203,378   | 
|                                    |  |                |  |                                    |  |              |                     |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|Total Senior Debt                   |  |                |  |                                    |  |              |                     |  |                |  |              |  |            |                               |  |   |        |  |  | $       |  |  |  |  | 2,665,648 |            |  | $ |  |  |  |  | 2,529,620 | 
|                                    |  |                |  |                                    |  |              |                     |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|Subordinated Debt19.2%             |  |                |  |                                    |  |              |                     |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|Alion Science & Technology Corp.    |  | (i)(t)         |  | Capital Goods                      |  |              | 11.00%              |  |                |  |              |  | 8/19/2022  |                               |  | $ | 68,603 |  |  | $       |  |  |  |  | 67,580    |            |  | $ |  |  |  |  | 66,388    | 
|Block Communications, Inc.          |  | (t)(u)         |  | Media                              |  |              | 7.25%               |  |                |  |              |  | 2/1/2020   |                               |  |   | 463    |  |  |         |  |  |  |  | 474       |            |  |   |  |  |  |  | 458       | 
|Builders FirstSource, Inc.          |  | (g)(t)(u)      |  | Capital Goods                      |  |              | 10.75%              |  |                |  |              |  | 8/15/2023  |                               |  |   | 15,522 |  |  |         |  |  |  |  | 15,522    |            |  |   |  |  |  |  | 15,503    | 
|Cemex Materials, LLC                |  | (t)(u)         |  | Materials                          |  |              | 7.70%               |  |                |  |              |  | 7/21/2025  |                               |  |   | 58,454 |  |  |         |  |  |  |  | 62,348    |            |  |   |  |  |  |  | 60,500    | 
|Cequel Communications Holdings, LLC |  | (t)(u)         |  | Media                              |  |              | 5.13%               |  |                |  |              |  | 12/15/2021 |                               |  |   | 20,751 |  |  |         |  |  |  |  | 20,527    |            |  |   |  |  |  |  | 18,261    | 
|                                    |  | (t)(u)         |  |                                    |  |              | 5.13%               |  |                |  |              |  | 12/15/2021 |                               |  |   | 178    |  |  |         |  |  |  |  | 179       |            |  |   |  |  |  |  | 157       | 
|                                    |  | (g)(t)(u)      |  |                                    |  |              | 7.75%               |  |                |  |              |  | 7/15/2025  |                               |  |   | 20,456 |  |  |         |  |  |  |  | 20,135    |            |  |   |  |  |  |  | 18,052    | 
|CHS/Community Health Systems, Inc.  |  | (g)(u)         |  | Health Care Equipment & Services   |  |              | 6.88%               |  |                |  |              |  | 2/1/2022   |                               |  |   | 114    |  |  |         |  |  |  |  | 114       |            |  |   |  |  |  |  | 116       | 
|Datatel, Inc.                       |  | (e)(h)(t)(u)   |  | Software & Services                |  |              | 9.63%               |  |                |  |              |  | 12/1/2018  |                               |  |   | 10,725 |  |  |         |  |  |  |  | 10,684    |            |  |   |  |  |  |  | 10,939    | 
|                                    |  | (t)            |  |                                    |  |              | 9.00%               |  |                |  |              |  | 9/30/2023  |                               |  |   | 3,120  |  |  |         |  |  |  |  | 3,013     |            |  |   |  |  |  |  | 3,019     | 
|Essar Steel Algoma, Inc. (CA)       |  | (g)(h)(j)(u)   |  | Materials                          |  |              | 14.00% PIK          |  |                |  |              |  | 2/13/2020  |                               |  |   | 5,069  |  |  |         |  |  |  |  | 4,414     |            |  |   |  |  |  |  | 2,230     | 
|Exemplis Corp.                      |  | (f)(h)(i)      |  | Commercial & Professional Services |  |              | L  +  700, 2.00%PIK |  |                |  |              |  | 3/23/2020  |                               |  |   | 25,244 |  |  |         |  |  |  |  | 25,244    |            |  |   |  |  |  |  | 25,346    | 
|GCI, Inc.                           |  | (u)            |  | Telecommunication Services         |  |              | 6.75%               |  |                |  |              |  | 6/1/2021   |                               |  |   | 2,430  |  |  |         |  |  |  |  | 2,423     |            |  |   |  |  |  |  | 2,473     | 
|                                    |  | (u)            |  |                                    |  |              | 6.88%               |  |                |  |              |  | 4/15/2025  |                               |  |   | 30,141 |  |  |         |  |  |  |  | 29,971    |            |  |   |  |  |  |  | 30,292    | 



See notes to condensed consolidated
financial statements.



13



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                            |  |                         |  |                                  |  |              |            |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |        | 
|--------------------------- |  | ----------------------- |  | -------------------------------- |  | ------------ | ---------- |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ------ |  |  | ------- |  |  |  |  | ------- | ---------- |  | - |  |  |  |  | ------ | 
|Company(a)(b)               |  | Footnotes               |  | Industry                         |  | InterestRate |            |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |        |  |  | Cost(d) |  |  |  |  |         | Fair Value | 
|Global Closure Systems (FR) |  | (g)(h)(i)(j)(EUR)       |  | Materials                        |  |              | 13.00% PIK |  |                |  |              |  | 11/15/2019 |                               |  |  | 21,536 |  |  | $       |  |  |  |  | 28,270  |            |  | $ |  |  |  |  | 23,963 | 
|Gruppo Argenta S.p.A. (LU)  |  | (g)(h)(i)(j)(EUR)       |  | Retailing                        |  |              | 15.00% PIK |  |                |  |              |  | 11/11/2018 |                               |  |   | 773    |  |  |         |  |  |  |  | 1,035   |            |  |   |  |  |  |  | 679    | 
|Hilding Anders (SE)         |  | (g)(h)(i)(j)(m)(EUR)    |  | Consumer Durables & Apparel      |  |              | 13.00% PIK |  |                |  |              |  | 6/30/2021  |                               |  |   | 98,621 |  |  |         |  |  |  |  | 118,344 |            |  |   |  |  |  |  | 93,170 | 
|                            |  | (g)(h)(i)(j)(m)(o)(EUR) |  |                                  |  |              | 12.00% PIK |  |                |  |              |  | 12/31/2023 |                               |  |   | 17,653 |  |  |         |  |  |  |  | 939     |            |  |   |  |  |  |  |       | 
|                            |  | (g)(h)(i)(j)(m)(o)(EUR) |  |                                  |  |              | 18.00% PIK |  |                |  |              |  | 12/31/2024 |                               |  |   | 8,331  |  |  |         |  |  |  |  | 8,485   |            |  |   |  |  |  |  |       | 
|Hillman Group, Inc.         |  | (t)(u)                  |  | Consumer Durables & Apparel      |  |              | 6.38%      |  |                |  |              |  | 7/15/2022  |                               |  | $ | 3,953  |  |  |         |  |  |  |  | 3,807   |            |  |   |  |  |  |  | 3,637  | 
|Hot Topic, Inc.             |  | (h)(t)(u)               |  | Consumer Durables & Apparel      |  |              | 12.00%     |  |                |  |              |  | 5/15/2019  |                               |  |   | 10,488 |  |  |         |  |  |  |  | 10,427  |            |  |   |  |  |  |  | 9,859  | 
|IMS Health, Inc.            |  | (g)(t)(u)               |  | Health Care Equipment & Services |  |              | 6.00%      |  |                |  |              |  | 11/1/2020  |                               |  |   | 9,513  |  |  |         |  |  |  |  | 9,897   |            |  |   |  |  |  |  | 9,751  | 
|JC Penney Corp., Inc.       |  | (g)(u)                  |  | Retailing                        |  |              | 5.65%      |  |                |  |              |  | 6/1/2020   |                               |  |   | 8,440  |  |  |         |  |  |  |  | 6,584   |            |  |   |  |  |  |  | 7,596  | 
|Kenan Advantage Group, Inc. |  | (t)(u)                  |  | Transportation                   |  |              | 7.88%      |  |                |  |              |  | 7/31/2023  |                               |  |   | 30,097 |  |  |         |  |  |  |  | 30,097  |            |  |   |  |  |  |  | 30,548 | 
|Lightower Fiber, LLC        |  | (i)                     |  | Telecommunication Services       |  |              | 10.00%     |  |                |  |              |  | 2/12/2022  |                               |  |   | 11,555 |  |  |         |  |  |  |  | 11,332  |            |  |   |  |  |  |  | 11,242 | 
|                            |  | (h)(i)                  |  |                                  |  |              | 12.00% PIK |  |                |  |              |  | 8/12/2025  |                               |  |   | 8,531  |  |  |         |  |  |  |  | 8,363   |            |  |   |  |  |  |  | 8,221  | 
|Summit Materials, LLC       |  | (u)                     |  | Materials                        |  |              | 10.50%     |  |                |  |              |  | 1/31/2020  |                               |  |   | 4,873  |  |  |         |  |  |  |  | 5,280   |            |  |   |  |  |  |  | 5,214  | 
|The TelX Group, Inc.        |  | (h)(i)                  |  | Telecommunication Services       |  |              | 13.50% PIK |  |                |  |              |  | 7/9/2021   |                               |  |   | 3,689  |  |  |         |  |  |  |  | 3,895   |            |  |   |  |  |  |  | 3,800  | 
|TIBCO Software, Inc.        |  | (t)(u)                  |  | Software & Services              |  |              | 11.38%     |  |                |  |              |  | 12/1/2021  |                               |  |   | 21,219 |  |  |         |  |  |  |  | 20,712  |            |  |   |  |  |  |  | 21,166 | 



See notes to condensed consolidated
financial statements.



14



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                                      |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|----------------------------------------------------- |  | ----------------- |  | ------------------------ |  | ------------ | ------ |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | --------- |  |  | ------- |  |  |  |  | ------- | ---------- |  | - |  |  |  |  | ------- | 
|Company(a)(b)                                         |  | Footnotes         |  | Industry                 |  | InterestRate |        |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |           |  |  | Cost(d) |  |  |  |  |         | Fair Value | 
|Transdigm, Inc.                                       |  | (g)(t)(u)         |  | Capital Goods            |  |              | 6.50%  |  |                |  |              |  | 5/15/2025  |                               |  | $ | 1,485     |  |  | $       |  |  |  |  | 1,485   |            |  | $ |  |  |  |  | 1,396   | 
|Total Subordinated Debt                               |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  |         |  |  |  |  | 531,580 |            |  | $ |  |  |  |  | 483,976 | 
|                                                      |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|Structured Products3.6%                              |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|Comet Aircraft S.A.R.L. (LU), Common Shares           |  | (g)(i)(j)(v)      |  | Capital Goods            |  |              |        |  |                |  |              |  |            |                               |  |   | 549,451   |  |  | $       |  |  |  |  | 50,000  |            |  | $ |  |  |  |  | 52,479  | 
|KKR BPT Holdings Aggregator, LLC, Membership Interest |  | (g)(i)(v)*        |  | Diversified Financials   |  |              |        |  |                |  |              |  |            |                               |  |   | N/A       |  |  |         |  |  |  |  | 7,500   |            |  |   |  |  |  |  | 5,775   | 
|Trade Finance Funding I, Ltd. 2013-1A Class B (KY)    |  | (g)(i)(j)(t)      |  | Diversified Financials   |  |              | 10.75% |  |                |  |              |  | 11/13/2018 |                               |  |   | 28,221    |  |  |         |  |  |  |  | 28,221  |            |  |   |  |  |  |  | 28,362  | 
|VSK Holdings Ltd. (KY), Class B Preferred Shares      |  | (g)(i)(j)(m)(EUR) |  | Banks                    |  |              | 7.77%  |  |                |  |              |  | 10/31/2020 |                               |  |   | 6,650,429 |  |  |         |  |  |  |  |        |            |  |   |  |  |  |  | 5,053   | 
|Total Structured Products                             |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  | $       |  |  |  |  | 85,721  |            |  | $ |  |  |  |  | 91,669  | 
|                                                      |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|Equity/Other12.1%                                    |  |                   |  |                          |  |              |        |  |                |  |              |  |            |                               |  |   |           |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|Alion Science & Technology Corp., Membership Interest |  | (i)*              |  | Capital Goods            |  |              |        |  |                |  |              |  |            |                               |  |   | N/A       |  |  | $       |  |  |  |  | 7,350   |            |  | $ |  |  |  |  | 7,742   | 
|AltEn, LLC, Membership Units                          |  | (i)(m)*           |  | Energy                   |  |              |        |  |                |  |              |  |            |                               |  |   | 611       |  |  |         |  |  |  |  | 2,955   |            |  |   |  |  |  |  |        | 
|Amtek Global Technology Pte. Ltd. (SG), Warrants      |  | (g)(i)(j)*(EUR)   |  | Automobiles & Components |  |              |        |  |                |  |              |  | 12/31/2018 |                               |  |   | 9,991     |  |  |         |  |  |  |  | 4,785   |            |  |   |  |  |  |  | 4,863   | 
|                                                      |  | (g)(i)(j)*(EUR)   |  |                          |  |              |        |  |                |  |              |  | 12/31/2017 |                               |  |   | 9,991     |  |  |         |  |  |  |  | 4,636   |            |  |   |  |  |  |  | 4,701   | 
|Cengage Learning Holdings II, LP, Common Stock        |  |                   |  | Media                    |  |              |        |  |                |  |              |  |            |                               |  |   | 227,802   |  |  |         |  |  |  |  | 7,529   |            |  |   |  |  |  |  | 6,037   | 
|Education Management Corp., Common Stock              |  | *                 |  | Consumer Services        |  |              |        |  |                |  |              |  |            |                               |  |   | 3,779,591 |  |  |         |  |  |  |  | 1,047   |            |  |   |  |  |  |  |        | 



See notes to condensed consolidated
financial statements.



15



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                                                |  |                    |  |                                 |  |              |  |                |  |              |            |  |                               |  |             |  |  |   |         |  |  |  |        |  |            |   |  |  |  |  |        | 
|--------------------------------------------------------------- |  | ------------------ |  | ------------------------------- |  | ------------ |  | -------------- |  | ------------ | ---------- |  | ----------------------------- |  | ----------- |  |  | - | ------- |  |  |  | ------ |  | ---------- | - |  |  |  |  | ------ | 
|Company(a)(b)                                                   |  | Footnotes          |  | Industry                        |  | InterestRate |  | Base RateFloor |  | MaturityDate |            |  | No. Shares/PrincipalAmount(c) |  |             |  |  |   | Cost(d) |  |  |  |        |  | Fair Value |  
|Education Management Corp., Warrants                            |  | (i)*               |  |                                 |  |              |  |                |  |              | 1/5/2022   |  |                               |  | 2,320,791   |  |  | $ |         |  |  |  | 371    |  |            | $ |  |  |  |  |       | 
|Excelitas Technologies Corp., Class A Membership Interest       |  | (i)*               |  | Technology Hardware & Equipment |  |              |  |                |  |              |            |  |                               |  | N/A         |  |  |   |         |  |  |  | 5,636  |  |            |   |  |  |  |  | 3,395  | 
|GA Capital Specialty Lending Fund, Limited Partnership Interest |  | (g)(i)*            |  | Diversified Financials          |  |              |  |                |  |              |            |  |                               |  | N/A         |  |  |   |         |  |  |  | 16,875 |  |            |   |  |  |  |  | 16,875 | 
|Genesys Telecommunications Laboratories, Inc., Common Stock     |  | (i)*               |  | Software & Services             |  |              |  |                |  |              |            |  |                               |  | 5,775       |  |  |   |         |  |  |  | 449    |  |            |   |  |  |  |  | 675    | 
|Global Closure Systems (FR), Limited Partnership Interest       |  | (g)(i)(j) *(EUR)   |  | Materials                       |  |              |  |                |  |              |            |  |                               |  | N/A         |  |  |   |         |  |  |  | 823    |  |            |   |  |  |  |  | 1,215  | 
|Gruppo Argenta S.p.A. (LU), Warrants                            |  | (g)(i)(j)*(EUR)    |  | Retailing                       |  |              |  |                |  |              |            |  |                               |  | 225,289     |  |  |   |         |  |  |  | 5,342  |  |            |   |  |  |  |  | 2,312  | 
|Guardian Investors, LLC, Membership Interest                    |  | (g)(i)(v)*         |  | Diversified Financials          |  |              |  |                |  |              |            |  |                               |  | N/A         |  |  |   |         |  |  |  | 36,292 |  |            |   |  |  |  |  | 36,005 | 
|Hilding Anders (SE), Class A Common Stock                       |  | (g)(i)(j)(m)*(SEK) |  | Consumer Durables & Apparel     |  |              |  |                |  |              |            |  |                               |  | 1,394,288   |  |  |   |         |  |  |  | 132    |  |            |   |  |  |  |  |       | 
|Hilding Anders (SE), Class B Common Stock                       |  | (g)(i)(j)(m)*(SEK) |  |                                 |  |              |  |                |  |              |            |  |                               |  | 260,253     |  |  |   |         |  |  |  | 25     |  |            |   |  |  |  |  |       | 
|Hilding Anders (SE), Equity Options                             |  | (g)(i)(j)(m)*(SEK) |  |                                 |  |              |  |                |  |              | 12/31/2020 |  |                               |  | 236,160,807 |  |  |   |         |  |  |  | 14,988 |  |            |   |  |  |  |  |       | 
|Home Partners of America, Inc., Common Stock                    |  | (i)(m)*            |  | Real Estate                     |  |              |  |                |  |              |            |  |                               |  | 62,475      |  |  |   |         |  |  |  | 62,213 |  |            |   |  |  |  |  | 61,367 | 
|Home Partners of America, Inc., Warrant Delivery Rights         |  | (i)(m)*            |  |                                 |  |              |  |                |  |              |            |  |                               |  | 322         |  |  |   |         |  |  |  | 5      |  |            |   |  |  |  |  | 5      | 
|Home Partners of America, Inc., Warrants                        |  | (i)(m)*            |  |                                 |  |              |  |                |  |              | 8/7/2024   |  |                               |  | 2,353       |  |  |   |         |  |  |  | 257    |  |            |   |  |  |  |  | 230    | 



See notes to condensed consolidated
financial statements.



16



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                                                                  |  |                 |  |                             |  |              |       |  |                |  |              |  |                               |  |           |  |  |   |         |  |  |  |         |  |            |   |  |  |  |  |         | 
|--------------------------------------------------------------------------------- |  | --------------- |  | --------------------------- |  | ------------ | ----- |  | -------------- |  | ------------ |  | ----------------------------- |  | --------- |  |  | - | ------- |  |  |  | ------- |  | ---------- | - |  |  |  |  | ------- | 
|Company(a)(b)                                                                     |  | Footnotes       |  | Industry                    |  | InterestRate |       |  | Base RateFloor |  | MaturityDate |  | No. Shares/PrincipalAmount(c) |  |           |  |  |   | Cost(d) |  |  |  |         |  | Fair Value |  
|Innovating Partners, LLC, Membership Interest                                     |  | (g)(i)(v)       |  | Diversified Financials      |  |              |       |  |                |  |              |  |                               |  | N/A       |  |  | $ |         |  |  |  | 47,796  |  |            | $ |  |  |  |  | 48,908  | 
|iPayment, Inc., Common Stock                                                      |  | (i)*            |  | Software & Services         |  |              |       |  |                |  |              |  |                               |  | 538,144   |  |  |   |         |  |  |  | 1,988   |  |            |   |  |  |  |  | 2,239   | 
|Jones Apparel Group Holdings, Inc., Common Stock                                  |  | (i)*            |  | Consumer Durables & Apparel |  |              |       |  |                |  |              |  |                               |  | 5,451     |  |  |   |         |  |  |  | 872     |  |            |   |  |  |  |  | 3,120   | 
|Keystone Australia Holdings, Pty. Ltd. (AU), Warrants                             |  | (g)(i)(j)*(AUD) |  | Consumer Services           |  |              |       |  |                |  |              |  |                               |  | 1,588,469 |  |  |   |         |  |  |  | 1,019   |  |            |   |  |  |  |  | 81      | 
|Kurt Geiger Ltd. (UK), Common Stock                                               |  | (g)(i)(j)       |  | Consumer Durables & Apparel |  |              |       |  |                |  |              |  |                               |  | 5,451     |  |  |   |         |  |  |  | 65      |  |            |   |  |  |  |  | 7,301   | 
|Nine West Holdings, Inc., Common Stock                                            |  | (i)*            |  | Consumer Durables & Apparel |  |              |       |  |                |  |              |  |                               |  | 5,451     |  |  |   |         |  |  |  | 6,541   |  |            |   |  |  |  |  | 853     | 
|OAG Holdings, LLC, Overriding Royalty Interest                                    |  | (i)             |  | Energy                      |  |              |       |  |                |  |              |  |                               |  | N/A       |  |  |   |         |  |  |  | 2,354   |  |            |   |  |  |  |  |        | 
|Orchard Marine, Ltd. (VG), Class B Common Stock                                   |  | (g)(i)(j)(m)*   |  | Transportation              |  |              |       |  |                |  |              |  |                               |  | 1,964     |  |  |   |         |  |  |  | 3,069   |  |            |   |  |  |  |  | 2,448   | 
|Orchard Marine, Ltd. (VG), Series A Preferred Stock                               |  | (g)(i)(j)(m)    |  |                             |  |              | 9.00% |  |                |  |              |  |                               |  | 37,807    |  |  |   |         |  |  |  | 36,850  |  |            |   |  |  |  |  | 39,216  | 
|Star Mountain SMB Multi-Manager Credit Platform, LP, Limited Partnership Interest |  | (g)(i)          |  | Diversified Financials      |  |              |       |  |                |  |              |  |                               |  | N/A       |  |  |   |         |  |  |  | 42,481  |  |            |   |  |  |  |  | 41,529  | 
|Stuart Weitzman, Inc., Other                                                      |  | (i)             |  | Consumer Durables & Apparel |  |              |       |  |                |  |              |  |                               |  | N/A       |  |  |   |         |  |  |  |        |  |            |   |  |  |  |  | 1,107   | 
|SUN NewCo, Common Shares A                                                        |  | (g)(i)(GBP)     |  | Insurance                   |  |              |       |  |                |  |              |  |                               |  | 16,450    |  |  |   |         |  |  |  |        |  |            |   |  |  |  |  |        | 
|SUN NewCo, Preference B Shares                                                    |  | (g)(i)(GBP)     |  |                             |  |              |       |  |                |  |              |  |                               |  | 6,113,719 |  |  |   |         |  |  |  | 9,064   |  |            |   |  |  |  |  | 9,655   | 
|Towergate (UK), Ordinary Shares                                                   |  | (g)(i)(j)*(GBP) |  | Insurance                   |  |              |       |  |                |  |              |  |                               |  | 116,814   |  |  |   |         |  |  |  | 173     |  |            |   |  |  |  |  | 185     | 
|Willbros Group, Inc., Common Stock                                                |  | *               |  | Energy                      |  |              |       |  |                |  |              |  |                               |  | 2,810,814 |  |  | $ |         |  |  |  | 7,760   |  |            | $ |  |  |  |  | 3,542   | 
|Total Equity/Other                                                                |  |                 |  |                             |  |              |       |  |                |  |              |  |                               |  |           |  |  | $ |         |  |  |  | 331,742 |  |            | $ |  |  |  |  | 305,606 | 
|                                                                                  |  |                 |  |                             |  |              |       |  |                |  |              |  |                               |  |           |  |  |   |         |  |  |  |         |  |            |   |  |  |  |  |         | 



See notes to condensed consolidated
financial statements.



17



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                                                                                 |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         |  |           | 
|-------------------------------------------------------------------------------- |  | --------- |  | -------- |  | ------------ | ----- |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ---------- | - |  | ------- | --------- |  | ------- | - | --------- | ---------- |  | - | --------- | - | ------- |  | --------- | 
|Company(a)(b)                                                                    |  | Footnotes |  | Industry |  | InterestRate |       |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |            |   |  | Cost(d) |           |  |         |   |           | Fair Value | 
|Total Investments, excluding Short Term Investments  135.2%                     |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  | $ |            |   |  |         | 3,614,691 |  |         | $ |           |            |  |   | 3,410,871 |  
|                                                                                 |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         |  |           | 
|Short Term Investments2.7%                                                      |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         |  |           | 
|Goldman Sachs Financial Square FundsPrime Obligations Fund FST Preferred Shares |  | (e)(w)    |  |          |  |              | 0.01% |  |                |  |              |  |            |                               |  |   | 39,057,163 |   |  | $       |           |  |         |   | 39,057    |            |  | $ |           |   |         |  | 39,057    | 
|State Street Institutional Liquid Reserves Fund, Institutional Class             |  | (w)       |  |          |  |              | 0.13% |  |                |  |              |  |            |                               |  |   | 29,825,040 |   |  |         |           |  |         |   | 29,825    |            |  |   |           |   |         |  | 29,825    | 
|Total Short Term Investments                                                     |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  | $       |           |  |         |   | 68,882    |            |  | $ |           |   |         |  | 68,882    | 
|                                                                                 |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         |  |           | 
|TOTAL INVESTMENTS  137.9%(x)                                                    |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  | $       |           |  |         |   | 3,683,573 |            |  | $ |           |   |         |  | 3,479,753 | 
|                                                                                 |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         |  |           | 
|LIABILITIES IN EXCESS OF OTHER ASSETS(37.9%)                                    |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   | (953,392  | )
|NET ASSETS100.0%                                                                |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  | $ |           |   |         |  | 2,526,361 | 
|Collateral on Deposit with Custodian5.7%                                        |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         | 
|Bank of Nova ScotiaCertificate of Deposit                                       |  |           |  |          |  |              | 0.27% |  |                |  |              |  | 12/31/2015 |                               |  |   | 142,640    |   |  | $       |           |  |         |   | 142,640   |            |  |   |           |   |         |  | 142,640   | 
|Total Collateral on Deposit with Custodian                                       |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            | $ |  |         |           |  | 142,640 |   |           | $          |  |   |           |   | 142,640 | 
|                                                                                 |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         |  |           | 
|Derivative Instruments (Note 4)(0.2%)                                           |  |           |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  |         |           |  |         |   |           |            |  |   |           |   |         | 
|Cross Currency Swaps                                                             |  | (g)(i)    |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  | $       |           |  |         |   |          |            |  |   |           |   |         |  | 302       | 
|Foreign currency forward contracts                                               |  | (g)(i)    |  |          |  |              |       |  |                |  |              |  |            |                               |  |   |            |   |  | $       |           |  |         |   |          |            |  |   |           |   |         |  | 386       | 



See notes to condensed consolidated
financial statements.



18



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|                             |  |           |  |          |  |              |  |                |  |              |  |                            |  |  |  |   |  |      |  |  |   |  |  |            |  |  |  |  |        |  
|---------------------------- |  | --------- |  | -------- |  | ------------ |  | -------------- |  | ------------ |  | -------------------------- |  |  |  | - |  | ---- |  |  | - |  |  | ---------- |  |  |  |  | ------ | -
|Company                      |  | Footnotes |  | Industry |  | InterestRate |  | Base RateFloor |  | MaturityDate |  | No. Shares/PrincipalAmount |  |  |  |   |  | Cost |  |  |   |  |  | Fair Value | 
|Total return swaps           |  | (g)(i)    |  |          |  |              |  |                |  |              |  | $                          |  |  |  | $ |  |      |  |  |  |  |  | $          |  |  |  |  | (2,447 | )
|Total Derivative Instruments |  |           |  |          |  |              |  |                |  |              |  |                            |  |  |  | $ |  |      |  |  |  |  |  | $          |  |  |  |  | (1,759 | )
|                             |  |           |  |          |  |              |  |                |  |              |  |                            |  |  |  |   |  |      |  |  |   |  |  |            |  |  |  |  |        |  



|* | Non-income producing security.
|- | ------------------------------



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



|(b) | Non-controlled/non-affiliated investments as defined by the Investment Company Act of 1940, as amended (1940 Act), unless otherwise indicated. Non-controlled/non-affiliated investments are investments that
are neither controlled investments nor affiliated investments.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(c) | Denominated in U.S. dollars unless otherwise noted.
|--- | ---------------------------------------------------



|(d) | Represents amortized cost for debt securities and cost for common stocks translated to U.S. dollars.
|--- | ----------------------------------------------------------------------------------------------------



|(e) | Security or portion thereof was held within CCT Funding, LLC and was pledged as collateral supporting the amounts outstanding under the revolving credit facility with Deutsche Bank as of September 30, 2015.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(f) | The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at September 30, 2015 was 0.33%. The current base rate for each investment may be different from the reference rate on
September 30, 2015.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(g) | The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is
made, qualifying assets represent at least 70% of the companys total assets. The Company calculates its compliance with the qualifying assets test on a look through basis by disregarding the value of the Companys total return
swaps and treating each loan underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 73.2% of the Companys total assets represented
qualifying assets as of September 30, 2015.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See
notes to condensed consolidated financial statements.



19



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|(h) | The interest rate on these investments contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the
schedule represents the current interest rate in effect for these investments. The following table provides additional details on these PIK investments, including the maximum PIK interest rate allowed under the existing credit agreements.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                         |  |               |  |                                |         |  |                                      |  |        |                         |  |  |                     |  |  |                                 |         |   |                          |  |         |                 |  |  |                        |   |  |  |       |   |  |  |       |  
|-------------------------------------------------------- |  | ------------- |  | ------------------------------ | ------- |  | ------------------------------------ |  | ------ | ----------------------- |  |  | ------------------- |  |  | ------------------------------- | ------- | - | ------------------------ |  | ------- | --------------- |  |  | ---------------------- | - |  |  | ----- | - |  |  | ----- | -
|                                                         |  |               |  |                                |         |  | Nine Months Ended September 30, 2015 |  |        |                         |  |  |                     |  |  |                                 |         |   |                          | 
|PIK Security Name                                        |  | LocalCurrency |  | Local Paras ofDecember 31,2014 |         |  | Local ParAdditions                   |  |        | Local ParCapitalizedPIK |  |  | Local ParReductions |  |  | Local Paras ofSeptember 30,2015 |         |   | TotalCurrentInterestRate |  |         | CurrentPIK Rate |  |  | MaximumCurrentPIK Rate |  
|Algeco/Scotsman - 15.75% PIK                             |  | USD           |  |                                | 30,859  |  |                                      |  |       |                         |  |  | 2,443               |  |  |                                 |        |   |                          |  | 33,302  |                 |  |  | 15.75                  | % |  |  | 15.75 | % |  |  | 15.75 | %
|Brake Bros Ltd. - L + 325, 3.00% PIK                     |  | GBP           |  |                                | 8,912   |  |                                      |  |       |                         |  |  | 203                 |  |  |                                 | (3,053  | ) |                          |  | 6,062   |                 |  |  | L + 625                |   |  |  | 3.00  | % |  |  | 3.00  | %
|Datatel, Inc. - 9.63%                                    |  | USD           |  |                                | 9,287   |  |                                      |  | 1,438  |                         |  |  |                    |  |  |                                 |        |   |                          |  | 10,725  |                 |  |  | 9.63                   | % |  |  | 0.00  | % |  |  | 10.38 | %
|Eagle Midco, Inc. - 9.00%                                |  | USD           |  |                                | 31,796  |  |                                      |  |       |                         |  |  |                    |  |  |                                 | (31,796 | ) |                          |  |        |                 |  |  | N/A                    |   |  |  | N/A   |   |  |  | N/A   |  
|Education Management, LLC - 16.00% PIK                   |  | USD           |  |                                | 1,403   |  |                                      |  |       |                         |  |  |                    |  |  |                                 | (1,403  | ) |                          |  |        |                 |  |  | N/A                    |   |  |  | N/A   |   |  |  | N/A   |  
|Essar Steel Algoma, Inc. - 14.00% PIK                    |  | USD           |  |                                | 4,570   |  |                                      |  |       |                         |  |  | 499                 |  |  |                                 |        |   |                          |  | 5,069   |                 |  |  | 14.00                  | % |  |  | 14.00 | % |  |  | 14.00 | %
|Excelitas Technologies Corp. - L + 975, 1.50% PIK        |  | USD           |  |                                | 108,997 |  |                                      |  |       |                         |  |  | 1,245               |  |  |                                 |        |   |                          |  | 110,242 |                 |  |  | L + 1125               |   |  |  | 1.50  | % |  |  | 1.50  | %
|Exemplis Corp. - L + 700, 2.00% PIK                      |  | USD           |  |                                |        |  |                                      |  | 25,000 |                         |  |  | 244                 |  |  |                                 |        |   |                          |  | 25,244  |                 |  |  | L + 900                |   |  |  | 2.00  | % |  |  | 2.00  | %
|Global Closure Systems - 13.00% PIK                      |  | EUR           |  |                                | 20,221  |  |                                      |  |       |                         |  |  | 1,315               |  |  |                                 |        |   |                          |  | 21,536  |                 |  |  | 13.00                  | % |  |  | 13.00 | % |  |  | 13.00 | %
|Gruppo Argenta S.p.A. - 15.00% PIK                       |  | EUR           |  |                                | 684     |  |                                      |  |       |                         |  |  | 89                  |  |  |                                 |        |   |                          |  | 773     |                 |  |  | 15.00                  | % |  |  | 15.00 | % |  |  | 15.00 | %
|Gruppo Argenta S.p.A. - 12.00% PIK                       |  | EUR           |  |                                | 22,754  |  |                                      |  |       |                         |  |  | 2,844               |  |  |                                 |        |   |                          |  | 25,598  |                 |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|Gruppo Argenta S.p.A. - 12.00% PIK                       |  | EUR           |  |                                | 3,205   |  |                                      |  |       |                         |  |  | 280                 |  |  |                                 |        |   |                          |  | 3,485   |                 |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|Hilding Anders - 18.00% PIK                              |  | EUR           |  |                                | 8,331   |  |                                      |  |       |                         |  |  |                    |  |  |                                 |        |   |                          |  | 8,331   |                 |  |  | 18.00                  | % |  |  | 18.00 | % |  |  | 18.00 | %
|Hilding Anders - 13.00% PIK                              |  | EUR           |  |                                | 92,571  |  |                                      |  |       |                         |  |  | 6,050               |  |  |                                 |        |   |                          |  | 98,621  |                 |  |  | 13.00                  | % |  |  | 13.00 | % |  |  | 13.00 | %
|Hilding Anders - 12.00% PIK                              |  | EUR           |  |                                | 17,653  |  |                                      |  |       |                         |  |  |                    |  |  |                                 |        |   |                          |  | 17,653  |                 |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|Hot Topic, Inc. - 12.00%                                 |  | USD           |  |                                | 8,113   |  |                                      |  | 2,419  |                         |  |  |                    |  |  |                                 | (44     | ) |                          |  | 10,488  |                 |  |  | 12.00                  | % |  |  | 0.00  | % |  |  | 12.75 | %
|Kurt Geiger Ltd. - 10.00%, 1.00% PIK                     |  | GBP           |  |                                | 46,862  |  |                                      |  |       |                         |  |  | 237                 |  |  |                                 |        |   |                          |  | 47,099  |                 |  |  | 11.00                  | % |  |  | 1.00  | % |  |  | 1.00  | %
|Lightower Fiber, LLC - 12.00% PIK                        |  | USD           |  |                                |        |  |                                      |  | 8,531  |                         |  |  |                    |  |  |                                 |        |   |                          |  | 8,531   |                 |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|New Enterprise Stone & Lime Co., Inc. - 7.00%, 6.00% PIK |  | USD           |  |                                | 10,841  |  |                                      |  | 50,397 |                         |  |  | 1,455               |  |  |                                 | (25,760 | ) |                          |  | 36,933  |                 |  |  | 13.00                  | % |  |  | 6.00  | % |  |  | 12.00 | %
|OAG Holdings, LLC - 8.00%, 2.00% PIK                     |  | USD           |  |                                | 20,417  |  |                                      |  |       |                         |  |  | 311                 |  |  |                                 |        |   |                          |  | 20,728  |                 |  |  | 10.00                  | % |  |  | 2.00  | % |  |  | 2.00  | %
|P & L Development, LLC - L + 750, 1.00% PIK              |  | USD           |  |                                |        |  |                                      |  | 56,205 |                         |  |  | 237                 |  |  |                                 | (141    | ) |                          |  | 56,301  |                 |  |  | L + 850                |   |  |  | 1.00  | % |  |  | 1.00  | %
|Pharmaceutical Product Development, Inc. - 9.38%         |  | USD           |  |                                | 5,151   |  |                                      |  |       |                         |  |  |                    |  |  |                                 | (5,151  | ) |                          |  |        |                 |  |  | 9.38                   | % |  |  | 0.00  | % |  |  | 10.13 | %
|Stuart Weitzman, Inc. - 11.50%                           |  | USD           |  |                                | 56,918  |  |                                      |  |       |                         |  |  |                    |  |  |                                 | (56,918 | ) |                          |  |        |                 |  |  | N/A                    |   |  |  | N/A   |   |  |  | N/A   |  
|The TelX Group, Inc. - 13.50% PIK                        |  | USD           |  |                                | 3,457   |  |                                      |  |       |                         |  |  | 232                 |  |  |                                 |        |   |                          |  | 3,689   |                 |  |  | 13.50                  | % |  |  | 13.50 | % |  |  | 13.50 | %
|Towergate Finance PLC - 13.50% PIK                       |  | GBP           |  |                                |        |  |                                      |  | 1,325  |                         |  |  | 10                  |  |  |                                 | (1,335  | ) |                          |  |        |                 |  |  | N/A                    |   |  |  | N/A   |   |  |  | N/A   |  



|(i) | Investments classified as Level 3 whereby fair value was determined by the Companys Board of Directors (see Note 2).
|--- | ---------------------------------------------------------------------------------------------------------------------



|(j) | A portfolio company domiciled in a foreign country. The jurisdiction of the security issuer may be a different country than the domicile of the portfolio company.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(k) | Position or portion thereof unsettled as of September 30, 2015.
|--- | ---------------------------------------------------------------



|(l) | The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at September 30, 2015 was 0.19%. The current base rate for each investment may be different from the reference rate on
September 30, 2015.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to condensed
consolidated financial statements.



20



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|(m) | Affiliated investment as defined by the 1940 Act, whereby the Company owns between 5% and 25% of the portfolio companys outstanding voting securities and the investments are not classified as controlled
investments. The aggregate fair value of non-controlled, affiliated investments at September 30, 2015 represented 8.6% of the Companys net assets. Fair value as of December 31, 2014 and September 30, 2015 along with transactions
during the nine months ended September 30, 2015 in these affiliated investments are as follows (amounts in thousands):
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                       |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|-------------------------------------- |  | ----------------------------- | ------- |  | ------------------------------------ | - | ------ | ----------------------- |  | - | ------------------------------------ | - |  | ------------------------------ | ------- | - | ----------------------- | - | ------- | ----------------- |  | - | --------- |  |  | -------------- | ------ |  |  | - | - |  |  | - | --- | 
|                                       |  |                               |         |  | Nine Months Ended September 30, 2015 |   |        |                         |  |   | Nine Months Ended September 30, 2015 |  
|Non-Controlled, Affiliated Investments |  | Fair Value atDecember 31,2014 |         |  | GrossAdditions(Cost)*                |   |        | GrossReductions(Cost)** |  |   | NetUnrealizedGain (Loss)             |   |  | Fair Value atSeptember 30,2015 |         |   | Net RealizedGain (Loss) |   |         | InterestIncome*** |  |   | FeeIncome |  |  | DividendIncome |       
|AltEn, LLC                             |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|Common Stock                           |  | $                             | 2,787   |  |                                      | $ | -      |                         |  | $ | -                                    |   |  | $                              | (2,787  | ) |                         | $ | -       |                   |  | $ | -         |  |  | $              | -      |  |  | $ | - |  |  | $ | -   | 
|Term Loan                              |  |                               | 25,792  |  |                                      |   | 400    |                         |  |   |                                      |   |  |                                | (10,878 | ) |                         |   | 15,314  |                   |  |   | -         |  |  |                | 2,245  |  |  |   | - |  |  |   | -   | 
|Hilding Anders                         |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|Subordinated Debt                      |  |                               | 110,973 |  |                                      |   | 7,479  |                         |  |   | -                                    |   |  |                                | (25,282 | ) |                         |   | 93,170  |                   |  |   | -         |  |  |                | 10,087 |  |  |   | - |  |  |   | -   | 
|Class A Common Stock                   |  |                               | 257     |  |                                      |   | -      |                         |  |   | -                                    |   |  |                                | (257    | ) |                         |   | -       |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Class B Common Stock                   |  |                               | 48      |  |                                      |   | -      |                         |  |   | -                                    |   |  |                                | (48     | ) |                         |   | -       |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Equity Options                         |  |                               | 11,724  |  |                                      |   | -      |                         |  |   | -                                    |   |  |                                | (11,724 | ) |                         |   | -       |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Home Partners of America, Inc.         |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|Common Stock                           |  |                               | 22,223  |  |                                      |   | 40,272 |                         |  |   | -                                    |   |  |                                | (1,128  | ) |                         |   | 61,367  |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Warrants                               |  |                               | 78      |  |                                      |   | 180    |                         |  |   | -                                    |   |  |                                | (28     | ) |                         |   | 230     |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Warrants Delivery Rights               |  |                               | 32      |  |                                      |   | -      |                         |  |   | (27                                  | ) |  |                                | -       |   |                         |   | 5       |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Orchard Marine, Ltd.                   |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|Class B Common Stock                   |  |                               | 3,001   |  |                                      |   | -      |                         |  |   | -                                    |   |  |                                | (553    | ) |                         |   | 2,448   |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|Series A Preferred Stock               |  |                               | 23,760  |  |                                      |   | 13,258 |                         |  |   | -                                    |   |  |                                | 2,198   |   |                         |   | 39,216  |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | 977 | 
|VSK Holdings, Ltd.                     |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|Class B Preferred Shares               |  |                               | 2,597   |  |                                      |   | -      |                         |  |   | -                                    |   |  |                                | 2,456   |   |                         |   | 5,053   |                   |  |   | -         |  |  |                | -      |  |  |   | - |  |  |   | -   | 
|                                       |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 
|Totals                                 |  | $                             | 203,272 |  |                                      | $ | 61,589 |                         |  | $ | (27                                  | ) |  | $                              | (48,031 | ) |                         | $ | 216,803 |                   |  | $ | -         |  |  | $              | 12,332 |  |  | $ | - |  |  | $ | 977 | 
|                                       |  |                               |         |  |                                      |   |        |                         |  |   |                                      |   |  |                                |         |   |                         |   |         |                   |  |   |           |  |  |                |        |  |  |   |   |  |  |   |     | 



|* | Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or
more new securities and the movement of an existing portfolio company into this category from a different category.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|** | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new
securities and the movement of an existing portfolio company out of this category into a different category.
|-- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|*** | Includes payment-in-kind interest income.
|--- | -----------------------------------------



|(n) | The interest rate on these investments is subject to the base rate of 3-Month EURIBOR, which at September 30, 2015 was 0.04%. The current base rate for each investment may be different from the reference rate on
September 30, 2015.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(o) | Investment was on non-accrual status as of September 30, 2015.
|--- | --------------------------------------------------------------



|(p) | The Interest rate on these investments is subject to the base rate of 2-Month LIBOR, which at September 30, 2015 was 0.26%. The current base rate for each investment may be different from the reference rate on
September 30, 2015.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(q) | The interest rate on these investments is subject to a base rate of 6-Month LIBOR, which at September 30, 2015 was 0.53%. The current base rate for each investment may be different from the reference rate on
September 30, 2015.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to condensed
consolidated financial statements.



21



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



|(r) | The interest rate on these investments is subject to the base rate of 3-Month GBP LIBOR, which at September 30, 2015 was 0.58%. The current base rate for each investment may be different from thereference rate on
September 30, 2015.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(s) | The interest rate on these investments is subject to the base rate of 1-Month GBP LIBOR, which at September 30, 2015 was 0.51%. The current base rate for each investment may be different from the reference rate on
September 30, 2015.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(t) | 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.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(u) | Security or portion thereof is held within Paris Funding, LLC and is pledged as collateral supporting the amounts outstanding under the committed facility agreement with BNP Paribas Prime Brokerage, Inc. and eligible to
be hypothecated as allowed under Rule 15c2-1(a)(1) of the Securities Exchange Act of 1934 (Exchange Act) subject to the limits of the Rehypothecation Agreement. See Note 10, Borrowings  for additional information.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(v) | Controlled investment as defined by the 1940 Act, whereby the Company owns more than 25% of the portfolio companys outstanding voting securities or maintains the ability to nominate greater than 50% of the board
representation. The aggregate fair value of controlled investments at September 30, 2015 represented 5.7% of the Companys net assets. Fair value as of December 31, 2014 and September 30, 2015 along with transactions during the
nine months ended September 30, 2015 in these controlled investments were as follows (amounts in thousands):
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                      |  |                               |       |  |                                      |   |         |                         |  |   |                                      |  |  |                                |        |   |                        |   |         |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |       | 
|----------------------------------------------------- |  | ----------------------------- | ----- |  | ------------------------------------ | - | ------- | ----------------------- |  | - | ------------------------------------ |  |  | ------------------------------ | ------ | - | ---------------------- | - | ------- | -------------- |  | - | --------- |  |  | -------------- | - |  |  | - | - |  |  | - | ----- | 
|                                                      |  |                               |       |  | Nine Months Ended September 30, 2015 |   |         |                         |  |   | Nine Months Ended September 30, 2015 | 
|Controlled Investments                                |  | Fair Value atDecember 31,2014 |       |  | GrossAdditions(Cost)*                |   |         | GrossReductions(Cost)** |  |   | NetUnrealizedGain (Loss)             |  |  | Fair Value atSeptember 30,2015 |        |   | NetRealizedGain (Loss) |   |         | InterestIncome |  |   | FeeIncome |  |  | DividendIncome |  
|Comet Aircraft S.A.R.L                                |  |                               |       |  |                                      |   |         |                         |  |   |                                      |  |  |                                |        |   |                        |   |         |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |       | 
|Common Shares                                         |  | $                             |      |  |                                      | $ | 50,000  |                         |  | $ |                                     |  |  | $                              | 2,479  |   |                        | $ | 52,479  |                |  | $ |          |  |  | $              |  |  |  | $ |  |  |  | $ | 3,588 | 
|Guardian Investors, LLC, Membership Interest          |  |                               |      |  |                                      |   | 36,292  |                         |  |   |                                     |  |  |                                | (287   | ) |                        |   | 36,005  |                |  |   |          |  |  |                |  |  |  |   |  |  |  |   |      | 
|Innovating Partners, LLC, Membership Interest         |  |                               |      |  |                                      |   | 47,796  |                         |  |   |                                     |  |  |                                | 1,112  |   |                        |   | 48,908  |                |  |   |          |  |  |                |  |  |  |   |  |  |  |   | 1,348 | 
|KKR BPT Holdings Aggregator, LLC, Membership Interest |  |                               | 5,500 |  |                                      |   | 2,000   |                         |  |   |                                     |  |  |                                | (1,725 | ) |                        |   | 5,775   |                |  |   |          |  |  |                |  |  |  |   |  |  |  |   |      | 
|                                                      |  |                               |       |  |                                      |   |         |                         |  |   |                                      |  |  |                                |        |   |                        |   |         |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |       | 
|Totals                                                |  | $                             | 5,500 |  |                                      | $ | 136,088 |                         |  | $ |                                     |  |  | $                              | 1,579  |   |                        | $ | 143,167 |                |  | $ |          |  |  | $              |  |  |  | $ |  |  |  | $ | 4,936 | 
|                                                      |  |                               |       |  |                                      |   |         |                         |  |   |                                      |  |  |                                |        |   |                        |   |         |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |       | 



|* | Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or
more new securities and the movement of an existing portfolio company into this category from a different category.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|** | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new
securities and the movement of an existing portfolio company out of this category into a different category.
|-- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(w) | 7-day effective yield as of September 30, 2015.
|--- | -----------------------------------------------



|(x) | As of September 30, 2015, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $38,106; the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was $241,926; the net unrealized depreciation was $203,820; the aggregate cost of securities for Federal income tax purposes was $3,683,573.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to condensed consolidated financial statements.



22



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Condensed Consolidated Schedule of Investments (unaudited) (continued)

As of September 30, 2015

(in thousands, except share amounts)



Abbreviations:

AUD - Australian Dollar; local currency investment amount is denominated in Australian Dollar. A$1 / US $0.702 as of September 30, 2015.

EUR - Euro; local currency investment amount is denominated in Euros. 1 / US $1.117 as of September 30, 2015.

GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1 / US $1.513 as of September 30,
2015.

SEK - Swedish Krona; local currency investment amount is denominated in Swedish Kronor. SEK1 / US $0.119 as of September 30,
2015.

AU - Australia

CA -
Canada

FR - France

IE -
Ireland

KY - Cayman Islands

LU - Luxembourg

NL - The
Netherlands

SG - Singapore

SE
- Sweden

UK - United Kingdom

VG - British Virgin Islands

E =
EURIBOR - Euro Interbank Offered Rate

L = LIBOR - London Interbank Offered Rate, typically 3-Month

PIK - Payment-in-kind; the issuance of additional securities by the borrower to settle interest payment obligations.



See notes to condensed consolidated financial statements.



23



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments

As of December 31, 2014

(in thousands, except share amounts)



|                                          |  |                   |  |                                  |  |              |            |  |                |  |      |              |  |  |                               |  |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |        | 
|----------------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ---------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | - | ------ |  | ------- | - |  |  |  |  | ---------- |  |  | - |  |  |  |  | ------ | 
|Company(a)(b)                             |  | Footnotes         |  | Industry                         |  | InterestRate |            |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |   |        |  | Cost(d) |   |  |  |  |  | Fair Value | 
|Senior Secured LoansFirst Lien52.6%     | 
|ABILITY Network, Inc.                     |  | (e)(f)            |  | Health Care Equipment & Services |  |              | L + 500    |  |                |  | 1.00 | %            |  |  | 5/14/2021                     |  |  | $ | 20,165 |  |         | $ |  |  |  |  | 19,958     |  |  | $ |  |  |  |  | 19,812 | 
|Algeco/Scotsman (LU)                      |  | (e)(g)(h)(i)(k)   |  | Consumer Durables & Apparel      |  |              | 15.75% PIK |  |                |  |      |              |  |  | 5/1/2018                      |  |  |   | 30,859 |  |         |   |  |  |  |  | 30,674     |  |  |   |  |  |  |  | 27,711 | 
|AltEn, LLC                                |  | (j)(k)            |  | Energy                           |  |              | L + 900    |  |                |  | 1.00 | %            |  |  | 9/12/2018                     |  |  |   | 29,610 |  |         |   |  |  |  |  | 26,825     |  |  |   |  |  |  |  | 25,792 | 
|American Freight, Inc.                    |  | (f)(k)            |  | Retailing                        |  |              | L + 625    |  |                |  | 1.00 | %            |  |  | 10/31/2020                    |  |  |   | 32,690 |  |         |   |  |  |  |  | 32,531     |  |  |   |  |  |  |  | 32,614 | 
|Amtek Global Technology Pte. Ltd. (SG)    |  | (g)(h)(k)(v)(EUR) |  | Automobiles & Components         |  |              | E + 800    |  |                |  | 1.00 | %            |  |  | 11/10/2019                    |  |  |  | 62,849 |  |         |   |  |  |  |  | 75,769     |  |  |   |  |  |  |  | 73,287 | 
|Applied Systems, Inc.                     |  | (e)(f)            |  | Software & Services              |  |              | L + 325    |  |                |  | 1.00 | %            |  |  | 1/25/2021                     |  |  | $ | 654    |  |         |   |  |  |  |  | 650        |  |  |   |  |  |  |  | 646    | 
|Aspen Dental Management, Inc.             |  | (e)(f)            |  | Health Care Equipment & Services |  |              | L + 550    |  |                |  | 1.50 | %            |  |  | 10/6/2016                     |  |  |   | 5,992  |  |         |   |  |  |  |  | 5,958      |  |  |   |  |  |  |  | 6,010  | 
|BeyondTrust Software, Inc.                |  | (f)(k)            |  | Software & Services              |  |              | L + 700    |  |                |  | 1.00 | %            |  |  | 9/25/2019                     |  |  |   | 11,156 |  |         |   |  |  |  |  | 11,046     |  |  |   |  |  |  |  | 11,036 | 
|BRG Sports, Inc.                          |  | (e)(j)            |  | Consumer Durables & Apparel      |  |              | L + 550    |  |                |  | 1.00 | %            |  |  | 4/15/2021                     |  |  |   | 4,221  |  |         |   |  |  |  |  | 4,143      |  |  |   |  |  |  |  | 4,231  | 
|Caesars Entertainment Operating Co., Inc. |  | (e)(f)(h)         |  | Consumer Services                |  |              | L + 675    |  |                |  |      |              |  |  | 3/1/2017                      |  |  |   | 10,800 |  |         |   |  |  |  |  | 10,141     |  |  |   |  |  |  |  | 9,492  | 
|California Pizza Kitchen, Inc.            |  | (e)(f)            |  | Food & Staples Retailing         |  |              | L + 425    |  |                |  | 1.00 | %            |  |  | 3/29/2018                     |  |  |   | 18,602 |  |         |   |  |  |  |  | 17,816     |  |  |   |  |  |  |  | 17,936 | 
|Charlotte Russe, Inc.                     |  | (e)(f)            |  | Retailing                        |  |              | L + 550    |  |                |  | 1.25 | %            |  |  | 5/22/2019                     |  |  |   | 19,261 |  |         |   |  |  |  |  | 19,075     |  |  |   |  |  |  |  | 18,828 | 
|                                          |  | (e)(f)            |  |                                  |  |              | L + 550    |  |                |  | 1.25 | %            |  |  | 5/22/2019                     |  |  |   | 4,715  |  |         |   |  |  |  |  | 4,689      |  |  |   |  |  |  |  | 4,605  | 
|CityCenter Holdings, LLC                  |  | (e)(f)            |  | Real Estate                      |  |              | L + 325    |  |                |  | 1.00 | %            |  |  | 10/16/2020                    |  |  |   | 5,919  |  |         |   |  |  |  |  | 5,866      |  |  |   |  |  |  |  | 5,880  | 
|Davids Bridal, Inc.                      |  | (e)(f)            |  | Retailing                        |  |              | L + 400    |  |                |  | 1.25 | %            |  |  | 10/11/2019                    |  |  |   | 11,216 |  |         |   |  |  |  |  | 10,909     |  |  |   |  |  |  |  | 10,716 | 
|Distribution International, Inc.          |  | (e)(f)(l)         |  | Retailing                        |  |              | L + 475    |  |                |  | 1.00 | %            |  |  | 12/10/2021                    |  |  |   | 6,424  |  |         |   |  |  |  |  | 6,359      |  |  |   |  |  |  |  | 6,408  | 

See notes to condensed consolidated financial statements.



24



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                            |  |                   |  |                                  |  |              |                  |  |                |  |      |              |  |  |                               |  |  |    |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |        | 
|------------------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ---------------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | -- | ------ |  | ------- | - |  |  |  |  | ---------- |  |  | - |  |  |  |  | ------ | 
|Company(a)(b)                               |  | Footnotes         |  | Industry                         |  | InterestRate |                  |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |    |        |  | Cost(d) |   |  |  |  |  | Fair Value | 
|Emerald Performance Materials, LLC          |  | (e)(j)            |  | Materials                        |  |              | L  +  350        |  |                |  | 1.00 | %            |  |  | 7/30/2021                     |  |  | $  | 654    |  |         | $ |  |  |  |  | 650        |  |  | $ |  |  |  |  | 640    | 
|Football Association of Ireland (IE)        |  | (g)(h)(k)(EUR)    |  | Consumer Durables & Apparel      |  |              | 6.40%            |  |                |  |      |              |  |  | 12/20/2020                    |  |  |   | 43,615 |  |         |   |  |  |  |  | 58,419     |  |  |   |  |  |  |  | 53,164 | 
|Greenway Medical Technologies               |  | (e)(f)            |  | Health Care Equipment & Services |  |              | L + 500          |  |                |  | 1.00 | %            |  |  | 11/4/2020                     |  |  | $  | 1,763  |  |         |   |  |  |  |  | 1,755      |  |  |   |  |  |  |  | 1,754  | 
|Greystone & Co., Inc.                       |  | (f)(k)            |  | Diversified Financials           |  |              | L + 800          |  |                |  | 1.00 | %            |  |  | 3/26/2021                     |  |  |    | 33,918 |  |         |   |  |  |  |  | 33,373     |  |  |   |  |  |  |  | 33,892 | 
|Grocery Outlet, Inc.                        |  | (e)(f)(l)         |  | Food & Staples Retailing         |  |              | L + 475          |  |                |  | 1.00 | %            |  |  | 10/21/2021                    |  |  |    | 1,802  |  |         |   |  |  |  |  | 1,803      |  |  |   |  |  |  |  | 1,807  | 
|Gymboree Corp.                              |  | (e)(f)            |  | Retailing                        |  |              | L + 350          |  |                |  | 1.50 | %            |  |  | 2/23/2018                     |  |  |    | 14,197 |  |         |   |  |  |  |  | 12,716     |  |  |   |  |  |  |  | 9,347  | 
|Harbor Freight Tools USA, Inc.              |  | (e)(f)            |  | Capital Goods                    |  |              | L + 375          |  |                |  | 1.00 | %            |  |  | 7/26/2019                     |  |  |    | 3,063  |  |         |   |  |  |  |  | 3,070      |  |  |   |  |  |  |  | 3,059  | 
|Hillman Group, Inc.                         |  | (e)(f)            |  | Capital Goods                    |  |              | L + 350          |  |                |  | 1.00 | %            |  |  | 6/30/2021                     |  |  |    | 838    |  |         |   |  |  |  |  | 840        |  |  |   |  |  |  |  | 829    | 
|iPayment, Inc.                              |  | (e)(f)            |  | Software & Services              |  |              | L + 525          |  |                |  | 1.50 | %            |  |  | 5/8/2017                      |  |  |    | 36,163 |  |         |   |  |  |  |  | 35,902     |  |  |   |  |  |  |  | 35,560 | 
|J. Jill                                     |  | (f)(k)            |  | Retailing                        |  |              | L + 850          |  |                |  | 1.50 | %            |  |  | 4/29/2017                     |  |  |    | 5,721  |  |         |   |  |  |  |  | 5,721      |  |  |   |  |  |  |  | 5,721  | 
|Jacuzzi Brands, Inc.                        |  | (f)(k)            |  | Capital Goods                    |  |              | L + 650          |  |                |  | 1.25 | %            |  |  | 7/3/2019                      |  |  |    | 20,268 |  |         |   |  |  |  |  | 19,942     |  |  |   |  |  |  |  | 20,116 | 
|Jacuzzi Brands, Inc. (LU)                   |  | (f)(g)(h)(k)      |  | Capital Goods                    |  |              | L + 650          |  |                |  | 1.25 | %            |  |  | 7/3/2019                      |  |  |    | 20,118 |  |         |   |  |  |  |  | 19,795     |  |  |   |  |  |  |  | 19,967 | 
|KeyPoint Government Solutions, Inc.         |  | (f)(k)            |  | Capital Goods                    |  |              | L + 650          |  |                |  | 1.25 | %            |  |  | 11/13/2017                    |  |  |    | 37,071 |  |         |   |  |  |  |  | 36,602     |  |  |   |  |  |  |  | 37,441 | 
|Keystone Australia Holdings, Pty. Ltd. (AU) |  | (g)(h)(i)(k)(AUD) |  | Consumer Services                |  |              | 7.00%, 8.00%PIK  |  |                |  |      |              |  |  | 8/7/2019                      |  |  | A$ | 38,054 |  |         |   |  |  |  |  | 33,263     |  |  |   |  |  |  |  | 29,430 | 
|Kurt Geiger Ltd. (UK)                       |  | (g)(h)(i)(k)(GBP) |  | Consumer Durables & Apparel      |  |              | 10.00%, 1.00%PIK |  |                |  |      |              |  |  | 4/8/2019                      |  |  | £  | 46,862 |  |         |   |  |  |  |  | 77,069     |  |  |   |  |  |  |  | 72,668 | 
|Marshall Retail Group, LLC                  |  | (f)(k)            |  | Retailing                        |  |              | L + 600          |  |                |  | 1.00 | %            |  |  | 8/25/2020                     |  |  | $  | 16,804 |  |         |   |  |  |  |  | 16,644     |  |  |   |  |  |  |  | 16,822 | 



See notes to condensed consolidated
financial statements.



25



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                      |  |                   |  |                                    |  |              |         |  |                |  |      |              |  |  |                               |  |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |        | 
|------------------------------------- |  | ----------------- |  | ---------------------------------- |  | ------------ | ------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | - | ------ |  | ------- | - |  |  |  |  | ---------- |  |  | - |  |  |  |  | ------ | 
|Company(a)(b)                         |  | Footnotes         |  | Industry                           |  | InterestRate |         |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |   |        |  | Cost(d) |   |  |  |  |  | Fair Value | 
|MCS AMS Sub-Holdings, LLC             |  | (f)               |  | Commercial & Professional Services |  |              | L + 600 |  |                |  | 1.00 | %            |  |  | 10/15/2019                    |  |  | $ | 45,605 |  |         | $ |  |  |  |  | 44,490     |  |  | $ |  |  |  |  | 40,817 | 
|MSX International, Inc.               |  | (f)               |  | Software & Services                |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 8/18/2020                     |  |  |   | 9,102  |  |         |   |  |  |  |  | 8,663      |  |  |   |  |  |  |  | 9,056  | 
|Neiman Marcus Group, LLC              |  | (e)(f)            |  | Retailing                          |  |              | L + 325 |  |                |  | 1.00 | %            |  |  | 10/25/2020                    |  |  |   | 4,976  |  |         |   |  |  |  |  | 4,901      |  |  |   |  |  |  |  | 4,877  | 
|New Enterprise Stone & Lime Co., Inc. |  | (f)(k)            |  | Capital Goods                      |  |              | L + 700 |  |                |  | 1.00 | %            |  |  | 2/12/2019                     |  |  |   | 56,298 |  |         |   |  |  |  |  | 56,298     |  |  |   |  |  |  |  | 56,549 | 
|Nine West Holdings, Inc.              |  | (e)(f)            |  | Consumer Durables & Apparel        |  |              | L + 375 |  |                |  | 1.00 | %            |  |  | 10/8/2019                     |  |  |   | 13,554 |  |         |   |  |  |  |  | 13,306     |  |  |   |  |  |  |  | 12,715 | 
|OpenLink Financial, Inc.              |  | (f)               |  | Software & Services                |  |              | L + 500 |  |                |  | 1.25 | %            |  |  | 10/30/2017                    |  |  |   | 46     |  |         |   |  |  |  |  | 46         |  |  |   |  |  |  |  | 45     | 
|Pacific Union Financial, LLC          |  | (j)(k)            |  | Diversified Financials             |  |              | L + 800 |  |                |  | 1.00 | %            |  |  | 5/31/2019                     |  |  |   | 46,378 |  |         |   |  |  |  |  | 45,734     |  |  |   |  |  |  |  | 46,078 | 
|Petroplex Acidizing, Inc.             |  | (f)(k)            |  | Energy                             |  |              | L + 725 |  |                |  | 1.00 | %            |  |  | 12/4/2019                     |  |  |   | 36,438 |  |         |   |  |  |  |  | 35,899     |  |  |   |  |  |  |  | 35,891 | 
|RedPrairie Corp.                      |  | (e)(f)(l)         |  | Software & Services                |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 12/21/2018                    |  |  |   | 10,005 |  |         |   |  |  |  |  | 9,659      |  |  |   |  |  |  |  | 9,348  | 
|Surgery Center Holdings, Inc.         |  | (e)(f)            |  | Health Care Equipment & Services   |  |              | L + 425 |  |                |  | 1.00 | %            |  |  | 11/3/2020                     |  |  |   | 14,834 |  |         |   |  |  |  |  | 14,762     |  |  |   |  |  |  |  | 14,482 | 
|Sutherland Global Services, Inc.      |  | (e)(f)(h)         |  | Software & Services                |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 4/23/2021                     |  |  |   | 2,964  |  |         |   |  |  |  |  | 2,891      |  |  |   |  |  |  |  | 2,956  | 
|                                      |  | (e)(f)(h)         |  |                                    |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 4/23/2021                     |  |  |   | 12,732 |  |         |   |  |  |  |  | 12,419     |  |  |   |  |  |  |  | 12,700 | 
|TIBCO Software, Inc.                  |  | (e)(f)(h)(l)      |  | Software & Services                |  |              | L + 550 |  |                |  | 1.00 | %            |  |  | 12/4/2020                     |  |  |   | 43,971 |  |         |   |  |  |  |  | 42,246     |  |  |   |  |  |  |  | 42,762 | 
|Towergate Finance PLC (UK)            |  | (g)(h)(m)(o)(GBP) |  | Insurance                          |  |              | L + 450 |  |                |  |      |              |  |  | 11/15/2017                    |  |  | £ | 475    |  |         |   |  |  |  |  | 659        |  |  |   |  |  |  |  | 665    | 
|Travelport, LLC (LU)                  |  | (e)(f)(g)(h)      |  | Software & Services                |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 9/2/2021                      |  |  | $ | 19,751 |  |         |   |  |  |  |  | 19,513     |  |  |   |  |  |  |  | 19,751 | 
|Tweddle Group, Inc.                   |  | (f)(k)            |  | Automobiles & Components           |  |              | L + 675 |  |                |  | 1.00 | %            |  |  | 4/7/2020                      |  |  |   | 45,242 |  |         |   |  |  |  |  | 44,205     |  |  |   |  |  |  |  | 45,035 | 
|Varsity Brands, Inc.                  |  | (e)(f)(l)         |  | Consumer Durables & Apparel        |  |              | L + 500 |  |                |  | 1.00 | %            |  |  | 12/10/2021                    |  |  |   | 5,796  |  |         |   |  |  |  |  | 5,738      |  |  |   |  |  |  |  | 5,800  | 



See notes to condensed consolidated
financial statements.



26



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                                |  |                   |  |                                  |  |              |                   |  |                |  |      |              |  |  |                               |  |  |   |        |   |         |   |  |  |           |  |            |   |  |   |  |  |           |  |        | 
|----------------------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ----------------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | - | ------ | - | ------- | - |  |  | --------- |  | ---------- | - |  | - |  |  | --------- |  | ------ | 
|Company(a)(b)                                   |  | Footnotes         |  | Industry                         |  | InterestRate |                   |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |   |        |   | Cost(d) |   |  |  |           |  | Fair Value |  
|Waste Pro USA, Inc.                             |  | (f)(k)            |  | Transportation                   |  |              | L + 750           |  |                |  | 1.00 | %            |  |  | 10/15/2020                    |  |  | $ | 36,681 |   |         | $ |  |  |           |  | 36,681     |   |  | $ |  |  |           |  | 36,749 | 
|Willbros Group, Inc.                            |  | (f)(k)            |  | Energy                           |  |              | L + 975           |  |                |  | 1.25 | %            |  |  | 12/15/2019                    |  |  |   | 74,944 |   |         |   |  |  |           |  | 74,944     |   |  |   |  |  |           |  | 74,944 | 
|Wilton Brands, LLC                              |  | (e)(f)            |  | Materials                        |  |              | L + 625           |  |                |  | 1.25 | %            |  |  | 8/30/2018                     |  |  |   | 5,141  |   |         |   |  |  |           |  | 5,068      |   |  |   |  |  |           |  | 4,807  | 
|Z Gallerie, Inc.                                |  | (k)(n)            |  | Retailing                        |  |              | L + 650           |  |                |  | 1.00 | %            |  |  | 10/8/2020                     |  |  |   | 33,254 |   |         |   |  |  |           |  | 32,883     |   |  |   |  |  |           |  | 33,413 | 
|Zayo Group, LLC                                 |  | (e)(f)(h)         |  | Telecommunication Services       |  |              | L + 300           |  |                |  | 1.00 | %            |  |  | 7/2/2019                      |  |  |   | 1,596  |   |         |   |  |  |           |  | 1,577      |   |  |   |  |  |           |  | 1,583  | 
|Total Senior Secured LoansFirst Lien           |  |                   |  |                                  |  |              |                   |  |                |  |      |              |  |  |                               |  |  |   |        | $ |         |   |  |  | 1,152,555 |  |            | $ |  |   |  |  | 1,128,244 | 
|                                                |  |                   |  |                                  |  |              |                   |  |                |  |      |              |  |  |                               |  |  |   |        |   |         |   |  |  |           |  |            |   |  |   |  |  |           |  |        | 
|Senior Secured LoansSecond Lien39.3%          |  |                   |  |                                  |  |              |                   |  |                |  |      |              |  |  |                               |  |  |   |        |   |         |   |  |  |           |  |            |   |  |   |  |  |           |  |        | 
|American Casino & Entertainment Properties, LLC |  | (f)               |  | Consumer Services                |  |              | L + 1000          |  |                |  | 1.25 | %            |  |  | 1/3/2020                      |  |  | $ | 1,832  |   |         | $ |  |  |           |  | 1,889      |   |  | $ |  |  |           |  | 1,901  | 
|Angelica Corp.                                  |  | (f)(k)            |  | Health Care Equipment & Services |  |              | L + 875           |  |                |  | 1.25 | %            |  |  | 7/15/2019                     |  |  |   | 50,869 |   |         |   |  |  |           |  | 50,868     |   |  |   |  |  |           |  | 46,131 | 
|Applied Systems, Inc.                           |  | (e)(f)            |  | Software & Services              |  |              | L + 650           |  |                |  | 1.00 | %            |  |  | 1/24/2022                     |  |  |   | 24,905 |   |         |   |  |  |           |  | 25,336     |   |  |   |  |  |           |  | 24,427 | 
|Arysta Lifescience SPC, LLC                     |  | (e)(f)(h)         |  | Food, Beverage & Tobacco         |  |              | L + 700           |  |                |  | 1.25 | %            |  |  | 11/30/2020                    |  |  |   | 16,305 |   |         |   |  |  |           |  | 16,167     |   |  |   |  |  |           |  | 16,295 | 
|AssuredPartners, Inc.                           |  | (f)               |  | Insurance                        |  |              | L + 675           |  |                |  | 1.00 | %            |  |  | 4/2/2022                      |  |  |   | 7,097  |   |         |   |  |  |           |  | 7,092      |   |  |   |  |  |           |  | 6,866  | 
|Brake Bros Ltd. (UK)                            |  | (g)(h)(i)(o)(GBP) |  | Food & Staples Retailing         |  |              | L + 325, 3.00%PIK |  |                |  |      |              |  |  | 3/12/2017                     |  |  | £ | 8,912  |   |         |   |  |  |           |  | 12,872     |   |  |   |  |  |           |  | 13,242 | 
|BRG Sports, Inc.                                |  | (j)               |  | Consumer Durables & Apparel      |  |              | L + 925           |  |                |  | 1.00 | %            |  |  | 4/15/2022                     |  |  | $ | 23,855 |   |         |   |  |  |           |  | 23,661     |   |  |   |  |  |           |  | 24,034 | 
|Catalina Marketing Corp.                        |  | (j)               |  | Media                            |  |              | L + 675           |  |                |  | 1.00 | %            |  |  | 4/11/2022                     |  |  |   | 6,020  |   |         |   |  |  |           |  | 5,978      |   |  |   |  |  |           |  | 5,613  | 
|CHG Companies, Inc.                             |  | (e)(f)            |  | Health Care Equipment & Services |  |              | L + 775           |  |                |  | 1.25 | %            |  |  | 11/19/2020                    |  |  |   | 9,871  |   |         |   |  |  |           |  | 9,764      |   |  |   |  |  |           |  | 9,896  | 
|CRC Health Group, Inc.                          |  | (f)               |  | Health Care Equipment & Services |  |              | L + 800           |  |                |  | 1.00 | %            |  |  | 9/28/2021                     |  |  |   | 42,358 |   |         |   |  |  |           |  | 42,134     |   |  |   |  |  |           |  | 43,381 | 



See notes to condensed consolidated
financial statements.



27



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                   |  |                   |  |                                  |  |              |            |  |                |  |      |              |  |  |                               |  |  |   |         |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |         | 
|---------------------------------- |  | ----------------- |  | -------------------------------- |  | ------------ | ---------- |  | -------------- |  | ---- | ------------ |  |  | ----------------------------- |  |  | - | ------- |  | ------- | - |  |  |  |  | ---------- |  |  | - |  |  |  |  | ------- | 
|Company(a)(b)                      |  | Footnotes         |  | Industry                         |  | InterestRate |            |  | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |  |  |   |         |  | Cost(d) |   |  |  |  |  | Fair Value | 
|CTI Foods Holding Co., LLC         |  | (f)               |  | Food, Beverage & Tobacco         |  |              | L + 725    |  |                |  | 1.00 | %            |  |  | 6/28/2021                     |  |  | $ | 23,219  |  |         | $ |  |  |  |  | 22,918     |  |  | $ |  |  |  |  | 22,813  | 
|Emerald Performance Materials, LLC |  | (j)               |  | Materials                        |  |              | L + 675    |  |                |  | 1.00 | %            |  |  | 8/1/2022                      |  |  |   | 2,041   |  |         |   |  |  |  |  | 2,031      |  |  |   |  |  |  |  | 1,989   | 
|Excelitas Technologies Corp.       |  | (f)(k)            |  | Technology Hardware & Equipment  |  |              | L + 1125   |  |                |  | 1.00 | %            |  |  | 4/29/2021                     |  |  |   | 108,997 |  |         |   |  |  |  |  | 108,997    |  |  |   |  |  |  |  | 109,556 | 
|Greenway Medical Technologies      |  | (f)               |  | Health Care Equipment & Services |  |              | L + 825    |  |                |  | 1.00 | %            |  |  | 11/4/2021                     |  |  |   | 26,396  |  |         |   |  |  |  |  | 26,035     |  |  |   |  |  |  |  | 25,736  | 
|Grocery Outlet, Inc.               |  | (f)               |  | Food & Staples Retailing         |  |              | L + 825    |  |                |  | 1.00 | %            |  |  | 10/21/2022                    |  |  |   | 41,616  |  |         |   |  |  |  |  | 40,175     |  |  |   |  |  |  |  | 41,304  | 
|Gruppo Argenta S.p.A. (LU)         |  | (g)(h)(i)(k)(EUR) |  | Retailing                        |  |              | 12.00% PIK |  |                |  |      |              |  |  | 1/31/2019                     |  |  |  | 3,205   |  |         |   |  |  |  |  | 3,356      |  |  |   |  |  |  |  | 3,374   | 
|                                   |  | (g)(h)(i)(k)(EUR) |  |                                  |  |              | 12.00% PIK |  |                |  |      |              |  |  | 1/31/2019                     |  |  |   | 22,754  |  |         |   |  |  |  |  | 25,262     |  |  |   |  |  |  |  | 23,951  | 
|Gypsum Management & Supply, Inc.   |  | (f)               |  | Capital Goods                    |  |              | L + 675    |  |                |  | 1.00 | %            |  |  | 4/1/2022                      |  |  | $ | 13,207  |  |         |   |  |  |  |  | 13,085     |  |  |   |  |  |  |  | 13,207  | 
|Integra Telecom Holdings, Inc.     |  | (f)               |  | Telecommunication Services       |  |              | L + 850    |  |                |  | 1.25 | %            |  |  | 2/21/2020                     |  |  |   | 3,000   |  |         |   |  |  |  |  | 3,059      |  |  |   |  |  |  |  | 2,989   | 
|iParadigms Holdings, LLC           |  | (f)               |  | Software & Services              |  |              | L + 725    |  |                |  | 1.00 | %            |  |  | 7/29/2022                     |  |  |   | 23,349  |  |         |   |  |  |  |  | 23,180     |  |  |   |  |  |  |  | 23,028  | 
|Learfield Communications, Inc.     |  | (f)               |  | Media                            |  |              | L + 775    |  |                |  | 1.00 | %            |  |  | 10/8/2021                     |  |  |   | 12,767  |  |         |   |  |  |  |  | 12,875     |  |  |   |  |  |  |  | 12,703  | 
|Lightower Fiber, LLC               |  | (e)(f)            |  | Telecommunication Services       |  |              | L + 675    |  |                |  | 1.25 | %            |  |  | 4/12/2021                     |  |  |   | 5,282   |  |         |   |  |  |  |  | 5,317      |  |  |   |  |  |  |  | 5,220   | 
|Maxim Crane, LP                    |  | (e)(f)            |  | Capital Goods                    |  |              | L + 925    |  |                |  | 1.00 | %            |  |  | 11/26/2018                    |  |  |   | 5,168   |  |         |   |  |  |  |  | 5,291      |  |  |   |  |  |  |  | 5,220   | 
|Misys Ltd. (UK)                    |  | (e)(g)(h)         |  | Software & Services              |  |              | 12.00%     |  |                |  |      |              |  |  | 6/12/2019                     |  |  |   | 3,000   |  |         |   |  |  |  |  | 3,319      |  |  |   |  |  |  |  | 3,266   | 
|NewWave Communications             |  | (f)               |  | Media                            |  |              | L + 800    |  |                |  | 1.00 | %            |  |  | 10/30/2020                    |  |  |   | 13,712  |  |         |   |  |  |  |  | 13,673     |  |  |   |  |  |  |  | 13,541  | 
|P2 Energy Solutions, Inc.          |  | (f)(h)            |  | Software & Services              |  |              | L + 800    |  |                |  | 1.00 | %            |  |  | 4/30/2021                     |  |  |   | 74,312  |  |         |   |  |  |  |  | 72,104     |  |  |   |  |  |  |  | 70,782  | 
|                                   |  | (f)               |  |                                  |  |              | L + 800    |  |                |  | 1.00 | %            |  |  | 4/30/2021                     |  |  |   | 9,283   |  |         |   |  |  |  |  | 9,200      |  |  |   |  |  |  |  | 8,935   | 



See notes to condensed consolidated
financial statements.



28



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                       |  |              |   |                                  |  |              |          |         |                |  |      |              |  |  |                               |         |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |        | 
|-------------------------------------- |  | ------------ | - | -------------------------------- |  | ------------ | -------- | ------- | -------------- |  | ---- | ------------ |  |  | ----------------------------- | ------- |  | - | ------ |  | ------- | - |  |  |  |  | ---------- |  |  | - |  |  |  |  | ------ | 
|Company(a)(b)                          |  | Footnotes    |   | Industry                         |  | InterestRate |          |         | Base RateFloor |  |      | MaturityDate |  |  | No. Shares/PrincipalAmount(c) |         |  |   |        |  | Cost(d) |   |  |  |  |  | Fair Value | 
|Polyconcept Finance B.V. (NL)          |  | (g)(h)(j)(k) |   | Consumer Durables & Apparel      |  |              | L + 875  |         |                |  | 1.25 | %            |  |  | 6/28/2020                     |         |  | $ | 46,727 |  |         | $ |  |  |  |  | 46,727     |  |  | $ |  |  |  |  | 46,487 | 
|Progressive Solutions                  |  | (j)          |   | Health Care Equipment & Services |  |              | L + 850  |         |                |  | 1.00 | %            |  |  | 10/22/2021                    |         |  |   | 21,145 |  |         |   |  |  |  |  | 20,991     |  |  |   |  |  |  |  | 20,511 | 
|RedPrairie Corp.                       |  | (e)(f)       |   | Software & Services              |  |              | L + 1000 |         |                |  | 1.25 | %            |  |  | 12/21/2019                    |         |  |   | 38,114 |  |         |   |  |  |  |  | 36,592     |  |  |   |  |  |  |  | 32,270 | 
|Sabine Oil & Gas, LLC                  |  | (e)(f)       |   | Energy                           |  |              | L + 750  |         |                |  | 1.25 | %            |  |  | 12/31/2018                    |         |  |   | 14,527 |  |         |   |  |  |  |  | 14,421     |  |  |   |  |  |  |  | 11,258 | 
|SafeNet, Inc.                          |  | (j)(k)       |   | Software & Services              |  |              | L + 750  |         |                |  | 1.00 | %            |  |  | 3/5/2021                      |         |  |   | 20,829 |  |         |   |  |  |  |  | 20,544     |  |  |   |  |  |  |  | 21,015 | 
|Safety Technology Holdings, Inc.       |  | (f)(k)       |   | Technology Hardware & Equipment  |  |              | L + 825  |         |                |  | 1.00 | %            |  |  | 6/2/2020                      |         |  |   | 30,402 |  |         |   |  |  |  |  | 29,738     |  |  |   |  |  |  |  | 30,560 | 
|SI Organization, Inc.                  |  | (f)          |   | Capital Goods                    |  |              | L + 800  |         |                |  | 1.00 | %            |  |  | 5/23/2020                     |         |  |   | 56,000 |  |         |   |  |  |  |  | 55,483     |  |  |   |  |  |  |  | 55,160 | 
|Talbots, Inc.                          |  | (f)          |   | Retailing                        |  |              | L + 725  |         |                |  | 1.00 | %            |  |  | 3/19/2021                     |         |  |   | 15,074 |  |         |   |  |  |  |  | 14,976     |  |  |   |  |  |  |  | 14,547 | 
|The TelX Group, Inc.                   |  | (f)          |   | Telecommunication Services       |  |              | L + 650  |         |                |  | 1.00 | %            |  |  | 4/9/2021                      |         |  |   | 11,696 |  |         |   |  |  |  |  | 11,682     |  |  |   |  |  |  |  | 11,448 | 
|Websense, Inc.                         |  | (f)          |   | Technology Hardware & Equipment  |  |              | L + 725  |         |                |  | 1.00 | %            |  |  | 12/24/2020                    |         |  |   | 22,131 |  |         |   |  |  |  |  | 22,037     |  |  |   |  |  |  |  | 21,301 | 
|Total Senior Secured LoansSecond Lien |  |              | $ |                                  |  |              |          | 858,829 |                |  | $    |              |  |  |                               | 843,957 | 
|                                       |  |              |   |                                  |  |              |          |         |                |  |      |              |  |  |                               |         |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |        | 
|Senior Secured Bonds6.9%              |  |              |   |                                  |  |              |          |         |                |  |      |              |  |  |                               |         |  |   |        |  |         |   |  |  |  |  |            |  |  |   |  |  |  |  |        | 
|Artesyn Technologies, Inc.             |  | (p)(q)       |   | Technology Hardware & Equipment  |  |              | 9.75%    |         |                |  |      |              |  |  | 10/15/2020                    |         |  | $ | 14,012 |  |         | $ |  |  |  |  | 13,912     |  |  | $ |  |  |  |  | 13,276 | 
|Guitar Center, Inc.                    |  | (p)(q)       |   | Retailing                        |  |              | 6.50%    |         |                |  |      |              |  |  | 4/15/2019                     |         |  |   | 26,191 |  |         |   |  |  |  |  | 25,826     |  |  |   |  |  |  |  | 22,524 | 
|Hot Topic, Inc.                        |  | (p)(q)       |   | Consumer Durables & Apparel      |  |              | 9.25%    |         |                |  |      |              |  |  | 6/15/2021                     |         |  |   | 2,396  |  |         |   |  |  |  |  | 2,375      |  |  |   |  |  |  |  | 2,564  | 
|Louisiana Public Facilities Authority  |  | (k)(p)       |   | Energy                           |  |              | 11.50%   |         |                |  |      |              |  |  | 1/1/2020                      |         |  |   | 50,580 |  |         |   |  |  |  |  | 49,283     |  |  |   |  |  |  |  | 50,141 | 
|                                       |  | (k)(p)       |   |                                  |  |              | L + 1000 |         |                |  |      |              |  |  | 1/1/2020                      |         |  |   | 10,650 |  |         |   |  |  |  |  | 10,650     |  |  |   |  |  |  |  | 10,534 | 



See notes to condensed consolidated
financial statements.



29



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                      |  |                      |  |                                    |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|------------------------------------- |  | -------------------- |  | ---------------------------------- |  | ------------ | --------------- |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ------ |  |  | ------- |  |  |  |  | --------- | ---------- |  | - |  |  |  |  | --------- | 
|Company(a)(b)                         |  | Footnotes            |  | Industry                           |  | InterestRate |                 |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |        |  |  | Cost(d) |  |  |  |  |           | Fair Value | 
|New Enterprise Stone & Lime Co., Inc. |  | (i)(q)               |  | Capital Goods                      |  |              | 6.00%, 7.00%PIK |  |                |  |              |  | 3/15/2018  |                               |  | $ | 10,841 |  |  | $       |  |  |  |  | 10,913    |            |  | $ |  |  |  |  | 11,437    | 
|OAG Holdings, LLC                     |  | (i)(k)               |  | Energy                             |  |              | 8.00%, 2.00%PIK |  |                |  |              |  | 12/20/2020 |                               |  |   | 20,417 |  |  |         |  |  |  |  | 17,838    |            |  |   |  |  |  |  | 13,675    | 
|Ryerson, Inc.                         |  | (e)                  |  | Materials                          |  |              | 9.00%           |  |                |  |              |  | 10/15/2017 |                               |  |   | 5,814  |  |  |         |  |  |  |  | 5,814     |            |  |   |  |  |  |  | 5,974     | 
|SquareTwo Financial Corp.             |  | (q)                  |  | Banks                              |  |              | 11.625%         |  |                |  |              |  | 4/1/2017   |                               |  |   | 16,359 |  |  |         |  |  |  |  | 16,153    |            |  |   |  |  |  |  | 16,196    | 
|Towergate Finance PLC (UK)            |  | (g)(h)(m)(o)(p)(GBP) |  | Insurance                          |  |              | L + 550         |  |                |  |              |  | 2/15/2018  |                               |  | £ | 1,100  |  |  |         |  |  |  |  | 1,361     |            |  |   |  |  |  |  | 1,496     | 
|Total Senior Secured Bonds            |  |                      |  |                                    |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  | $       |  |  |  |  | 154,125   |            |  | $ |  |  |  |  | 147,817   | 
|                                      |  |                      |  |                                    |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|Total Senior Debt                     |  |                      |  |                                    |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  | $       |  |  |  |  | 2,165,509 |            |  | $ |  |  |  |  | 2,120,018 | 
|                                      |  |                      |  |                                    |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|Subordinated Debt20.2%               |  |                      |  |                                    |  |              |                 |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |           |            |  |   |  |  |  |  |           | 
|24 Hour Fitness Worldwide, Inc.       |  | (p)(q)               |  | Consumer Services                  |  |              | 8.00%           |  |                |  |              |  | 6/1/2022   |                               |  | $ | 7,192  |  |  | $       |  |  |  |  | 6,636     |            |  | $ |  |  |  |  | 5,754     | 
|Cemex Materials, LLC                  |  | (p)(q)               |  | Materials                          |  |              | 7.70%           |  |                |  |              |  | 7/21/2025  |                               |  |   | 27,562 |  |  |         |  |  |  |  | 27,804    |            |  |   |  |  |  |  | 30,870    | 
|Cequel Communications Holdings, LLC   |  | (p)(q)               |  | Media                              |  |              | 5.125%          |  |                |  |              |  | 12/15/2021 |                               |  |   | 7,205  |  |  |         |  |  |  |  | 7,018     |            |  |   |  |  |  |  | 6,989     | 
|Ceridian Corp.                        |  | (q)                  |  | Commercial & Professional Services |  |              | 11.00%          |  |                |  |              |  | 3/15/2021  |                               |  |   | 16,201 |  |  |         |  |  |  |  | 17,433    |            |  |   |  |  |  |  | 17,723    | 
|CHS/Community Health Systems, Inc.    |  | (h)(q)               |  | Health Care Equipment & Services   |  |              | 6.875%          |  |                |  |              |  | 2/1/2022   |                               |  |   | 114    |  |  |         |  |  |  |  | 114       |            |  |   |  |  |  |  | 121       | 
|Datatel, Inc.                         |  | (e)(p)               |  | Software & Services                |  |              | 9.625%          |  |                |  |              |  | 12/1/2018  |                               |  |   | 9,287  |  |  |         |  |  |  |  | 9,215     |            |  |   |  |  |  |  | 9,333     | 
|Eagle Midco, Inc.                     |  | (p)(q)               |  | Software & Services                |  |              | 9.00%           |  |                |  |              |  | 6/15/2018  |                               |  |   | 31,796 |  |  |         |  |  |  |  | 32,607    |            |  |   |  |  |  |  | 32,511    | 
|Education Management Corp.            |  | (i)(k)(m)(p)         |  | Consumer Services                  |  |              | 16.00% PIK      |  |                |  |              |  | 7/1/2018   |                               |  |   | 1,403  |  |  |         |  |  |  |  | 1,410     |            |  |   |  |  |  |  | 567       | 



See notes to condensed consolidated
financial statements.



30



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                         |  |                         |  |                                                |  |              |            |  |                |  |              |  |            |                               |  |   |        |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|---------------------------------------- |  | ----------------------- |  | ---------------------------------------------- |  | ------------ | ---------- |  | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ------ |  |  | ------- |  |  |  |  | ------- | ---------- |  | - |  |  |  |  | ------- | 
|Company(a)(b)                            |  | Footnotes               |  | Industry                                       |  | InterestRate |            |  | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |        |  |  | Cost(d) |  |  |  |  |         | Fair Value | 
|Essar Steel Algoma, Inc. (CA)            |  | (g)(h)(i)(p)(q)         |  | Materials                                      |  |              | 14.00% PIK |  |                |  |              |  | 2/13/2020  |                               |  | $ | 4,570  |  |  | $       |  |  |  |  | 3,850   |            |  | $ |  |  |  |  | 4,044   | 
|GCI, Inc.                                |  | (q)                     |  | Telecommunication Services                     |  |              | 8.625%     |  |                |  |              |  | 11/15/2019 |                               |  |   | 53,119 |  |  |         |  |  |  |  | 55,914  |            |  |   |  |  |  |  | 55,709  | 
|                                         |  | (q)                     |  |                                                |  |              | 6.75%      |  |                |  |              |  | 6/1/2021   |                               |  |   | 158    |  |  |         |  |  |  |  | 151     |            |  |   |  |  |  |  | 155     | 
|Global Closure Systems (FR)              |  | (g)(h)(i)(k)(EUR)       |  | Materials                                      |  |              | 13.00% PIK |  |                |  |              |  | 11/15/2019 |                               |  |  | 20,221 |  |  |         |  |  |  |  | 26,720  |            |  |   |  |  |  |  | 24,452  | 
|Gruppo Argenta S.p.A. (LU)               |  | (g)(h)(i)(k)(EUR)       |  | Retailing                                      |  |              | 15.00% PIK |  |                |  |              |  | 11/11/2018 |                               |  |   | 684    |  |  |         |  |  |  |  | 937     |            |  |   |  |  |  |  | 663     | 
|Hilding Anders (SE)                      |  | (g)(h)(i)(k)(r)(EUR)    |  | Consumer Durables & Apparel                    |  |              | 13.00% PIK |  |                |  |              |  | 6/30/2021  |                               |  |  | 92,571 |  |  |         |  |  |  |  | 110,851 |            |  |   |  |  |  |  | 101,486 | 
|                                         |  | (g)(h)(i)(k)(m)(r)(EUR) |  |                                                |  |              | 12.00% PIK |  |                |  |              |  | 12/31/2023 |                               |  |   | 17,653 |  |  |         |  |  |  |  | 939     |            |  |   |  |  |  |  | 1,502   | 
|                                         |  | (g)(h)(i)(k)(r)(EUR)    |  |                                                |  |              | 18.00% PIK |  |                |  |              |  | 12/31/2024 |                               |  |   | 8,331  |  |  |         |  |  |  |  | 8,499   |            |  |   |  |  |  |  | 7,985   | 
|Hillman Group, Inc.                      |  | (p)(q)                  |  | Capital Goods                                  |  |              | 6.375%     |  |                |  |              |  | 7/15/2022  |                               |  | $ | 3,305  |  |  |         |  |  |  |  | 3,174   |            |  |   |  |  |  |  | 3,173   | 
|Hot Topic, Inc.                          |  | (p)(q)                  |  | Consumer Durables & Apparel                    |  |              | 12.00%     |  |                |  |              |  | 5/15/2019  |                               |  |   | 8,113  |  |  |         |  |  |  |  | 7,973   |            |  |   |  |  |  |  | 8,275   | 
|iPayment, Inc.                           |  | (q)                     |  | Software & Services                            |  |              | 10.25%     |  |                |  |              |  | 5/15/2018  |                               |  |   | 8,597  |  |  |         |  |  |  |  | 8,597   |            |  |   |  |  |  |  | 8,597   | 
|JC Penney Corp., Inc.                    |  | (h)(q)                  |  | Retailing                                      |  |              | 5.65%      |  |                |  |              |  | 6/1/2020   |                               |  |   | 8,440  |  |  |         |  |  |  |  | 6,371   |            |  |   |  |  |  |  | 6,541   | 
|Pharmaceutical Product Development, Inc. |  | (p)(q)                  |  | Pharmaceuticals, Biotechnology & Life Sciences |  |              | 9.375%     |  |                |  |              |  | 10/15/2017 |                               |  |   | 5,151  |  |  |         |  |  |  |  | 5,237   |            |  |   |  |  |  |  | 5,264   | 
|Stuart Weitzman, Inc.                    |  | (k)                     |  | Consumer Durables & Apparel                    |  |              | 11.50%     |  |                |  |              |  | 8/29/2019  |                               |  |   | 56,918 |  |  |         |  |  |  |  | 55,585  |            |  |   |  |  |  |  | 56,724  | 
|Summit Materials, LLC                    |  | (q)                     |  | Materials                                      |  |              | 10.50%     |  |                |  |              |  | 1/31/2020  |                               |  |   | 19,800 |  |  |         |  |  |  |  | 21,625  |            |  |   |  |  |  |  | 21,978  | 
|The TelX Group, Inc.                     |  | (i)(k)                  |  | Telecommunication Services                     |  |              | 13.50% PIK |  |                |  |              |  | 7/9/2021   |                               |  |   | 3,457  |  |  |         |  |  |  |  | 3,680   |            |  |   |  |  |  |  | 3,480   | 
|TIBCO Software, Inc.                     |  | (h)(p)(q)               |  | Software & Services                            |  |              | 11.375%    |  |                |  |              |  | 12/1/2021  |                               |  |   | 13,819 |  |  |         |  |  |  |  | 13,435  |            |  |   |  |  |  |  | 13,370  | 



See notes to condensed consolidated
financial statements.



31



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                                            |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|----------------------------------------------------------- |  | -------------------- |  | ------------------------------- |  | ------------ | ----- | - | -------------- |  | ------------ |  | ---------- | ----------------------------- |  | - | ----------- |  |  | ------- |  |  |  |  | ------- | ---------- |  | - |  |  |  |  | ------- | 
|Company(a)(b)                                               |  | Footnotes            |  | Industry                        |  | InterestRate |       |   | Base RateFloor |  | MaturityDate |  |            | No. Shares/PrincipalAmount(c) |  |   |             |  |  | Cost(d) |  |  |  |  |         | Fair Value | 
|Towergate Finance PLC (UK)                                  |  | (g)(h)(m)(p)(q)(GBP) |  | Insurance                       |  |              | 10.50 | % |                |  |              |  | 2/15/2019  |                               |  | £ | 14,608      |  |  | $       |  |  |  |  | 23,229  |            |  | $ |  |  |  |  | 6,489   | 
|Total Subordinated Debt                                     |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  | $       |  |  |  |  | 459,004 |            |  | $ |  |  |  |  | 433,755 | 
|                                                            |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|Structured Products1.7%                                    |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|KKR BPT Holdings Aggregator, LLC                            |  | (h)(k)(s)*           |  | Diversified Financials          |  |              |       |   |                |  |              |  |            |                               |  |   | N/A         |  |  | $       |  |  |  |  | 5,500   |            |  | $ |  |  |  |  | 5,500   | 
|Trade Finance Funding I, Ltd. 2013-1A Class B (KY)          |  | (g)(h)(k)(p)         |  | Diversified Financials          |  |              | 10.75 | % |                |  |              |  | 11/13/2018 |                               |  | $ | 28,221      |  |  |         |  |  |  |  | 28,221  |            |  |   |  |  |  |  | 28,324  | 
|VSK Holdings, Ltd. (KY)                                     |  | (g)(h)(k)(r)(EUR)    |  | Diversified Financials          |  |              |       |   |                |  |              |  |            |                               |  |   | 620,377     |  |  |         |  |  |  |  |        |            |  |   |  |  |  |  | 2,597   | 
|Total Structured Products                                   |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  | $       |  |  |  |  | 33,721  |            |  | $ |  |  |  |  | 36,421  | 
|                                                            |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|Equity / Other6.1%                                         |  |                      |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   |             |  |  |         |  |  |  |  |         |            |  |   |  |  |  |  |         | 
|AltEn, LLC, Membership Units                                |  | (k)(r)*              |  | Energy                          |  |              |       |   |                |  |              |  |            |                               |  |   | 611         |  |  | $       |  |  |  |  | 2,955   |            |  | $ |  |  |  |  | 2,787   | 
|Cengage Learning Holdings II, LP, Common Stock              |  | (e)                  |  | Media                           |  |              |       |   |                |  |              |  |            |                               |  |   | 227,802     |  |  |         |  |  |  |  | 7,529   |            |  |   |  |  |  |  | 5,069   | 
|Excelitas Technologies Corp., Class A Membership Interest   |  | (k)*                 |  | Technology Hardware & Equipment |  |              |       |   |                |  |              |  |            |                               |  |   | N/A         |  |  |         |  |  |  |  | 5,636   |            |  |   |  |  |  |  | 6,312   | 
|Genesys Telecommunications Laboratories, Inc., Common Stock |  | (k)*                 |  | Software & Services             |  |              |       |   |                |  |              |  |            |                               |  |   | 5,775       |  |  |         |  |  |  |  | 449     |            |  |   |  |  |  |  | 760     | 
|Global Closure Systems (FR), Limited Partnership Interest   |  | (g)(h)(k)*(EUR)      |  | Materials                       |  |              |       |   |                |  |              |  |            |                               |  |   | N/A         |  |  |         |  |  |  |  | 823     |            |  |   |  |  |  |  | 1,566   | 
|Gruppo Argenta S.p.A. (LU), Warrants                        |  | (g)(h)(k)*(EUR)      |  | Retailing                       |  |              |       |   |                |  |              |  |            |                               |  |   | 225,289     |  |  |         |  |  |  |  | 5,342   |            |  |   |  |  |  |  | 3,951   | 
|Hilding Anders (SE), Class A Common Stock                   |  | (g)(h)(k)(r)*(SEK)   |  | Consumer Durables & Apparel     |  |              |       |   |                |  |              |  |            |                               |  |   | 1,394,288   |  |  |         |  |  |  |  | 132     |            |  |   |  |  |  |  | 257     | 
|Hilding Anders (SE), Class B Common Stock                   |  | (g)(h)(k)(r)*(SEK)   |  |                                 |  |              |       |   |                |  |              |  |            |                               |  |   | 260,253     |  |  |         |  |  |  |  | 25      |            |  |   |  |  |  |  | 48      | 
|Hilding Anders (SE), Equity Options                         |  | (g)(h)(k)(r)*(SEK)   |  |                                 |  |              |       |   |                |  |              |  | 12/31/2020 |                               |  |   | 236,160,807 |  |  |         |  |  |  |  | 14,988  |            |  |   |  |  |  |  | 11,724  | 



See notes to condensed consolidated
financial statements.



32



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                                                                  |  |                 |  |                             |  |              |      |   |                |  |              |  |                               |   |           |  |  |   |           |  |  |   |         |  |            |   |           |  |  |  |         | 
|--------------------------------------------------------------------------------- |  | --------------- |  | --------------------------- |  | ------------ | ---- | - | -------------- |  | ------------ |  | ----------------------------- | - | --------- |  |  | - | --------- |  |  | - | ------- |  | ---------- | - | --------- |  |  |  | ------- | 
|Company(a)(b)                                                                     |  | Footnotes       |  | Industry                    |  | InterestRate |      |   | Base RateFloor |  | MaturityDate |  | No. Shares/PrincipalAmount(c) |   |           |  |  |   | Cost(d)   |  |  |   |         |  | Fair Value |  
|Home Partners of America, Inc., Common Stock                                      |  | (k)(r)*         |  | Real Estate                 |  |              |      |   |                |  |              |  |                               |   | 22,050    |  |  | $ |           |  |  |   | 21,941  |  |            | $ |           |  |  |  | 22,223  | 
|Home Partners of America, Inc., Warrant Delivery Rights                           |  | (k)(r)*         |  |                             |  |              |      |   |                |  |              |  |                               |   | 1,968     |  |  |   |           |  |  |   | 32      |  |            |   |           |  |  |  | 32      | 
|Home Partners of America, Inc., Warrants                                          |  | (k)(r)*         |  |                             |  |              |      |   |                |  |              |  |                               |   | 707       |  |  |   |           |  |  |   | 77      |  |            |   |           |  |  |  | 78      | 
|iPayment, Inc. Common Stock                                                       |  | (k)             |  | Software & Services         |  |              |      |   |                |  |              |  |                               |   | 538,144   |  |  |   |           |  |  |   | 2,223   |  |            |   |           |  |  |  | 2,223   | 
|Jones Apparel Group Holdings, Inc., Common Stock                                  |  | (k)             |  | Consumer Durables & Apparel |  |              |      |   |                |  |              |  |                               |   | 5,451     |  |  |   |           |  |  |   | 872     |  |            |   |           |  |  |  | 2,502   | 
|Keystone Australia Holdings, Pty. Ltd. (AU), Warrants                             |  | (g)(h)(k)*(AUD) |  | Consumer Services           |  |              |      |   |                |  |              |  |                               |   | 1,588,469 |  |  |   |           |  |  |   | 1,019   |  |            |   |           |  |  |  | 903     | 
|Kurt Geiger Ltd. (UK), Common Stock                                               |  | (g)(h)(k)*      |  | Consumer Durables & Apparel |  |              |      |   |                |  |              |  |                               |   | 5,451     |  |  |   |           |  |  |   | 1,090   |  |            |   |           |  |  |  | 6,336   | 
|Nine West Holdings, Inc., Common Stock                                            |  | (k)*            |  | Consumer Durables & Apparel |  |              |      |   |                |  |              |  |                               |   | 5,451     |  |  |   |           |  |  |   | 6,541   |  |            |   |           |  |  |  | 3,672   | 
|OAG Holdings, LLC, Overriding Royalty Interest                                    |  | (k)             |  | Energy                      |  |              |      |   |                |  |              |  |                               |   | N/A       |  |  |   |           |  |  |   | 2,354   |  |            |   |           |  |  |  | 1,542   | 
|Orchard Marine, Ltd. (VG), Class B Common Stock                                   |  | (g)(h)(k)(r)*   |  | Transportation              |  |              |      |   |                |  |              |  |                               |   | 1,964     |  |  |   |           |  |  |   | 3,069   |  |            |   |           |  |  |  | 3,001   | 
|Orchard Marine, Ltd. (VG), Series A Preferred Stock                               |  | (g)(h)(k)(r)    |  |                             |  |              | 9.00 | % |                |  |              |  |                               |   | 24,550    |  |  |   |           |  |  |   | 23,592  |  |            |   |           |  |  |  | 23,760  | 
|Star Mountain SMB Multi-Manager Credit Platform, LP, Limited Partnership Interest |  | (h)(k)          |  | Diversified Financials      |  |              |      |   |                |  |              |  |                               |   | N/A       |  |  |   |           |  |  |   | 25,944  |  |            |   |           |  |  |  | 23,206  | 
|Stuart Weitzman, Inc., Common Stock                                               |  | (k)             |  | Consumer Durables & Apparel |  |              |      |   |                |  |              |  |                               |   | 5,451     |  |  |   |           |  |  |   | 3,025   |  |            |   |           |  |  |  | 8,425   | 
|Total Equity / Other                                                              |  |                 |  |                             |  |              |      |   |                |  |              |  |                               |   |           |  |  | $ |           |  |  |   | 129,658 |  |            | $ |           |  |  |  | 130,377 | 
|                                                                                  |  |                 |  |                             |  |              |      |   |                |  |              |  |                               |   |           |  |  |   |           |  |  |   |         |  |            |   |           |  |  |  |         | 
|Total Investments, excluding Short Term Investments126.8%                        |  |                 |  |                             |  |              |      |   |                |  |              |  |                               | $ |           |  |  |   | 2,787,892 |  |  | $ |         |  |            |   | 2,720,571 | 
|                                                                                  |  |                 |  |                             |  |              |      |   |                |  |              |  |                               |   |           |  |  |   |           |  |  |   |         |  |            |   |           |  |  |  |         | 
|Short Term Investments0.0%                                                       |  |                 |  |                             |  |              |      |   |                |  |              |  |                               |   |           |  |  |   |           |  |  |   |         |  |            |   |           |  |  |  |         | 
|Goldman Sachs Financial Square FundsPrime Obligations Fund, FST Preferred Shares |  | (e)(t)          |  |                             |  |              | 0.01 | % |                |  |              |  |                               |   | 583,543   |  |  | $ |           |  |  |   | 584     |  |            | $ |           |  |  |  | 584     | 



See notes to condensed consolidated
financial statements.



33



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|                                                                     |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  
|-------------------------------------------------------------------- |  | --------- |  | -------- |  | ------------ | ---- | - | -------------- |  | ------------ |  | --------- | -------------------------- |  |  | ------- |  |  | ---- |  |  |  |  | --------- | ---------- |  | - | -------- | - |  |  | --------- | -
|Company                                                              |  | Footnotes |  | Industry |  | InterestRate |      |   | Base RateFloor |  | MaturityDate |  |           | No. Shares/PrincipalAmount |  |  |         |  |  | Cost |  |  |  |  |           | Fair Value | 
|State Street Institutional Liquid Reserves Fund, Institutional Class |  | (t)       |  |          |  |              | 0.06 | % |                |  |              |  |           |                            |  |  | 45,440  |  |  | $    |  |  |  |  | 45        |            |  | $ |          |   |  |  | 45        |  
|Total Short Term Investments                                         |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  | 629       |            |  | $ |          |   |  |  | 629       |  
|                                                                     |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  
|TOTAL INVESTMENTS  126.8%(u)                                        |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  | 2,788,521 |            |  | $ |          |   |  |  | 2,721,200 |  
|                                                                     |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  
|LIABILITIES IN EXCESS OF OTHER ASSETS(26.8%)                        |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   | (575,379 | )
|NET ASSETS100.0%                                                    |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  |           |            |  |   |          |   |  |  | 2,145,821 |  
|Collateral on Deposit with Custodian5.4%                            |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  
|Bank of Nova ScotiaCertificate of Deposit                           |  |           |  |          |  |              | 0.13 | % |                |  |              |  | 3/31/2015 |                            |  |  | 115,700 |  |  | $    |  |  |  |  | 115,700   |            |  |   |          |   |  |  | 115,700   |  
|Total Collateral on Deposit with Custodian                           |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  | 115,700   |            |  | $ |          |   |  |  | 115,700   |  
|                                                                     |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  
|Derivative Instruments (Note 4)1.7%                                 |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  
|Foreign currency forward contracts                                   |  | (h)(k)    |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  |          |            |  |   |          |   |  |  | 40,445    |  
|Total return swaps                                                   |  | (h)(k)    |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  |          |            |  |   |          |   |  |  | (3,445    | )
|Total Derivative Instruments                                         |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  | $    |  |  |  |  |          |            |  | $ |          |   |  |  | 37,000    |  
|                                                                     |  |           |  |          |  |              |      |   |                |  |              |  |           |                            |  |  |         |  |  |      |  |  |  |  |           |            |  |   |          |   |  |  |           |  



|* | Non-income producing security.
|- | ------------------------------



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



|(b) | Non-Controlled/Non-Affiliate investments as defined by the Investment Company Act of 1940, as amended (1940 Act), unless otherwise indicated. Non-controlled/Non-Affiliate Investments are investments that are
neither Controlled Investments nor Affiliate Investments.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(c) | Denominated in U.S. Dollars unless otherwise noted.
|--- | ---------------------------------------------------



|(d) | Represents amortized cost for debt securities and cost for common stocks translated to U.S. dollars.
|--- | ----------------------------------------------------------------------------------------------------



See notes to condensed consolidated financial statements.



34



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|(e) | Security or portion thereof was held within CCT Funding, LLC and was pledged as collateral supporting the amounts outstanding under the revolving credit facility with Deutsche Bank as of December 31, 2014.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(f) | The interest rate on these investments is subject to a base rate of 3-Month LIBOR, which at December 31, 2014 was 0.26%. The current base rate for each investment may be different from the reference rate on
December 31, 2014.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(g) | A portfolio company domiciled in a foreign country. The jurisdiction of the security issuer may be a different country than the domicile of the portfolio company.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(h) | The investment is not a qualifying asset as defined in Section 55(a) under the 1940 Act. A business development company may not acquire any asset other than qualifying assets, unless, at the time the acquisition is
made, qualifying assets represent at least 70% of the companys total assets. The Company calculates its compliance with the qualifying assets test on a look through basis by disregarding the value of the Companys total return
swaps and treating each loan underlying the total return swaps as either a qualifying asset or non-qualifying asset based on whether the obligor is an eligible portfolio company. On this basis, 72.6% of the Companys total assets represented
qualifying assets as of December 31, 2014.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(i) | The interest rate on these investments contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the
schedule represents the current interest rate in effect for these investments. The following table provides additional details on these PIK investments, including the maximum PIK interest rate allowed under the existing credit agreements.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                          |  |               |  |                                |         |  |                              |  |        |                         |  |  |                     |  |  |                                |         |   |                          |  |         |                |  |  |                        |   |  |  |       |   |  |  |       |  
|--------------------------------------------------------- |  | ------------- |  | ------------------------------ | ------- |  | ---------------------------- |  | ------ | ----------------------- |  |  | ------------------- |  |  | ------------------------------ | ------- | - | ------------------------ |  | ------- | -------------- |  |  | ---------------------- | - |  |  | ----- | - |  |  | ----- | -
|                                                          |  |               |  |                                |         |  | Year Ended December 31, 2014 |  |        |                         |  |  |                     |  |  |                                |         |   |                          | 
|PIK Security Name                                         |  | LocalCurrency |  | Local Paras ofDecember 31,2013 |         |  | Local ParAdditions           |  |        | Local ParCapitalizedPIK |  |  | Local ParReductions |  |  | Local Paras ofDecember 31,2014 |         |   | TotalCurrentInterestRate |  |         | CurrantPIKRate |  |  | MaximumCurrentPIK Rate |  
|Algeco/Scotsman - 15.75% PIK                              |  | USD           |  |                                | 26,464  |  |                              |  |       |                         |  |  | 4,395               |  |  |                                |        |   |                          |  | 30,859  |                |  |  | 15.75                  | % |  |  | 15.75 | % |  |  | 15.75 | %
|Brake Bros Ltd. - L + 325, 3.00% PIK                      |  | GBP           |  |                                | 8,650   |  |                              |  |       |                         |  |  | 262                 |  |  |                                |        |   |                          |  | 8,912   |                |  |  | L + 625                | % |  |  | 3.00  | % |  |  | 3.00  | %
|Datatel, Inc. - 9.63%                                     |  | USD           |  |                                | 9,287   |  |                              |  |       |                         |  |  |                    |  |  |                                |        |   |                          |  | 9,287   |                |  |  | 9.63                   | % |  |  | 0.00  | % |  |  | 10.38 | %
|Eagle Midco, Inc. - 9.00%                                 |  | USD           |  |                                | 39,815  |  |                              |  | 31,796 |                         |  |  |                    |  |  |                                | (39,815 | ) |                          |  | 31,796  |                |  |  | 9.00                   | % |  |  | 0.00  | % |  |  | 9.75  | %
|Education Management, LLC - 15.00%, 1.00% PIK             |  | USD           |  |                                | 1,299   |  |                              |  |       |                         |  |  |                    |  |  |                                | (1,299  | ) |                          |  |        |                |  |  | N/A                    |   |  |  | N/A   |   |  |  | N/A   |  
|Education Management, LLC - 16.00% PIK                    |  | USD           |  |                                |        |  |                              |  | 1,299  |                         |  |  | 104                 |  |  |                                |        |   |                          |  | 1,403   |                |  |  | 16.00                  | % |  |  | 16.00 | % |  |  | 16.00 | %
|Essar Steel Algoma, Inc. - 14.00% PIK                     |  | USD           |  |                                |        |  |                              |  | 4,570  |                         |  |  |                    |  |  |                                |        |   |                          |  | 4,570   |                |  |  | 14.00                  | % |  |  | 14.00 | % |  |  | 14.00 | %
|Excelitas Technologies Corp. - L + 975, 1.50% PIK         |  | USD           |  |                                | 107,355 |  |                              |  |       |                         |  |  | 1,642               |  |  |                                |        |   |                          |  | 108,997 |                |  |  | L + 1125               |   |  |  | 1.50  | % |  |  | 1.50  | %
|Global Closure Systems - 13.00% PIK                       |  | EUR           |  |                                | 17,828  |  |                              |  |       |                         |  |  | 2,393               |  |  |                                |        |   |                          |  | 20,221  |                |  |  | 13.00                  | % |  |  | 13.00 | % |  |  | 13.00 | %
|Griffins Foods, Ltd. - 13.75% PIK                         |  | NZD           |  |                                | 47,417  |  |                              |  |       |                         |  |  | 5,601               |  |  |                                | (53,018 | ) |                          |  |        |                |  |  | N/A                    |   |  |  | N/A   |   |  |  | N/A   |  
|Gruppo Argenta S.p.A. - 15.00% PIK                        |  | EUR           |  |                                |        |  |                              |  | 635    |                         |  |  | 49                  |  |  |                                |        |   |                          |  | 684     |                |  |  | 15.00                  | % |  |  | 15.00 | % |  |  | 15.00 | %
|Gruppo Argenta S.p.A. - 12.00% PIK                        |  | EUR           |  |                                |        |  |                              |  | 21,459 |                         |  |  | 1,295               |  |  |                                |        |   |                          |  | 22,754  |                |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|Gruppo Argenta S.p.A. - 12.00% PIK                        |  | EUR           |  |                                |        |  |                              |  | 3,205  |                         |  |  |                    |  |  |                                |        |   |                          |  | 3,205   |                |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|Hilding Anders - 18.00% PIK                               |  | EUR           |  |                                |        |  |                              |  | 7,046  |                         |  |  | 1,285               |  |  |                                |        |   |                          |  | 8,331   |                |  |  | 18.00                  | % |  |  | 18.00 | % |  |  | 18.00 | %
|Hilding Anders - 13.00% PIK                               |  | EUR           |  |                                | 81,478  |  |                              |  |       |                         |  |  | 11,093              |  |  |                                |        |   |                          |  | 92,571  |                |  |  | 13.00                  | % |  |  | 13.00 | % |  |  | 13.00 | %
|Hilding Anders - 12.00% PIK                               |  | EUR           |  |                                |        |  |                              |  | 15,739 |                         |  |  | 1,914               |  |  |                                |        |   |                          |  | 17,653  |                |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.00 | %
|Hot Topic, Inc. - 12.00%                                  |  | USD           |  |                                | 8,113   |  |                              |  |       |                         |  |  |                    |  |  |                                |        |   |                          |  | 8,113   |                |  |  | 12.00                  | % |  |  | 12.00 | % |  |  | 12.75 | %
|Keystone Australia Holdings, Pty. Ltd. - 7.00%, 8.00% PIK |  | AUD           |  |                                |        |  |                              |  | 36,858 |                         |  |  | 1,196               |  |  |                                |        |   |                          |  | 38,054  |                |  |  | 15.00                  | % |  |  | 8.00  | % |  |  | 8.00  | %
|Kurt Geiger Ltd. - 10.00%, 1.00% PIK                      |  | GBP           |  |                                |        |  |                              |  | 46,625 |                         |  |  | 237                 |  |  |                                |        |   |                          |  | 46,862  |                |  |  | 11.00                  | % |  |  | 1.00  | % |  |  | 1.00  | %
|New Enterprise Stone & Lime Co., Inc. - 6.00%, 7.00% PIK  |  | USD           |  |                                | 10,071  |  |                              |  |       |                         |  |  | 770                 |  |  |                                |        |   |                          |  | 10,841  |                |  |  | 13.00                  | % |  |  | 7.00  | % |  |  | 11.00 | %
|OAG Holdings, LLC - 8.00%, 2.00% PIK                      |  | USD           |  |                                | 20,008  |  |                              |  |       |                         |  |  | 409                 |  |  |                                |        |   |                          |  | 20,417  |                |  |  | 10.00                  | % |  |  | 2.00  | % |  |  | 2.00  | %
|Pharmaceutical Product Development, Inc. - 9.38%          |  | USD           |  |                                |        |  |                              |  | 5,151  |                         |  |  |                    |  |  |                                |        |   |                          |  | 5,151   |                |  |  | 9.38                   | % |  |  | 0.00  | % |  |  | 10.13 | %
|Stuart Weitzman, Inc. - 11.50%                            |  | USD           |  |                                |        |  |                              |  | 56,918 |                         |  |  |                    |  |  |                                |        |   |                          |  | 56,918  |                |  |  | 11.50                  | % |  |  | 0.00  | % |  |  | 12.50 | %
|The TelX Group, Inc. - 13.50% PIK                         |  | USD           |  |                                |        |  |                              |  | 3,142  |                         |  |  | 315                 |  |  |                                |        |   |                          |  | 3,457   |                |  |  | 13.50                  | % |  |  | 13.50 | % |  |  | 13.50 | %



See notes to condensed consolidated
financial statements.



35



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|(j) | The interest rate on these investments is subject to a base rate of 1-Month LIBOR, which at December 31, 2014 was 0.17%. The current base rate for each investment may be different from the reference rate on
December 31, 2014.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(k) | Investments classified as Level 3 whereby fair value was determined by the Companys Board of Directors (see Note 2).
|--- | ---------------------------------------------------------------------------------------------------------------------



|(l) | Position or portion thereof unsettled as of December 31, 2014.
|--- | --------------------------------------------------------------



|(m) | Investment was on non-accrual status as of December 31, 2014.
|--- | -------------------------------------------------------------



|(n) | The interest rate on these investments is subject to a base rate of 6-Month LIBOR, which at December 31, 2014 was 0.36%. The current base rate for each investment may be different from the reference rate on
December 31, 2014.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(o) | The interest rate on these investments is subject to the base rate of 3-Month GBP LIBOR, which at December 31, 2014 was 0.56%. The current base rate for each investment may be different from the reference rate on
December 31, 2014.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(p) | 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.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(q) | Security or portion thereof was held within Paris Funding, LLC and was pledged as collateral supporting the amounts outstanding under the committed facility agreement with BNP Paribas Prime Brokerage, Inc. as of
December 31, 2014 and was eligible to be hypothecated as allowed under Rule 15c2-1(a)(1) of the Securities Exchange Act of 1934 (Exchange Act) subject to the limits of the Rehypothecation Agreement.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to condensed consolidated financial statements.



36



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|(r) | Affiliated investment as defined by the 1940 Act, whereby the Company owns between 5% and 25% of the portfolio companys outstanding voting securities and the investments are not classified as controlled
investments. The aggregate fair value of non-controlled, affiliated investments at December 31, 2014 represented 9.5% of the Companys net assets. Fair value as of December 31, 2013 and December 31, 2014 along with transactions
during the year ended December 31, 2014 in affiliated investments were as follows (amounts in thousands):
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                      |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     |  |  |   |       | 
|------------------------------------- |  | ----------------------------- | ------ |  | ---------------------------- | - | ------- | ----------------------- |  | - | ---------------------------- | - |  | ----------------------------- | ------- | - | ---------------------- | - | ------- | -------------- |  | - | --------- |  |  | -------------- | ------ |  |  | - | --- |  |  | - | ----- | 
|                                      |  |                               |        |  | Year Ended December 31, 2014 |   |         |                         |  |   | Year Ended December 31, 2014 |  
|Non-controlled, AffiliatedInvestments |  | Fair Value atDecember 31,2013 |        |  | GrossAdditions(Cost)*        |   |         | GrossReductions(Cost)** |  |   | NetUnrealizedGain (Loss)     |   |  | Fair Value atDecember 31,2014 |         |   | NetRealizedGain (Loss) |   |         | InterestIncome |  |   | FeeIncome |  |  | DividendIncome |       
|AltEn, LLC                            |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     | 
|Common Stock                          |  | $                             | -      |  |                              | $ | 2,955   |                         |  | $ | -                            |   |  | $                             | (168    | ) |                        | $ | 2,787   |                |  | $ | -         |  |  | $              | -      |  |  | $ | -   |  |  | $ | -     | 
|Term Loan                             |  |                               |        |  |                              |   | 26,825  |                         |  |   |                              |   |  |                               | (1,033  | ) |                        |   | 25,792  |                |  |   | -         |  |  |                | 913    |  |  |   | 592 |  |  |   | -     | 
|Hilding Anders                        |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     | 
|Subordinated Debt                     |  |                               | -      |  |                              |   | 120,289 |                         |  |   | -                            |   |  |                               | (9,316  | ) |                        |   | 110,973 |                |  |   | -         |  |  |                | 12,298 |  |  |   | -   |  |  |   | -     | 
|Class A Common Stock                  |  |                               | -      |  |                              |   | 132     |                         |  |   | -                            |   |  |                               | 125     |   |                        |   | 257     |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Class B Common Stock                  |  |                               | -      |  |                              |   | 25      |                         |  |   | -                            |   |  |                               | 23      |   |                        |   | 48      |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Equity Options                        |  |                               | -      |  |                              |   | 14,988  |                         |  |   | -                            |   |  |                               | (3,264  | ) |                        |   | 11,724  |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Home Partners of America, Inc.        |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     | 
|Common Stock                          |  |                               | -      |  |                              |   | 21,941  |                         |  |   | -                            |   |  |                               | 282     |   |                        |   | 22,223  |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Warrants                              |  |                               | -      |  |                              |   | 77      |                         |  |   | -                            |   |  |                               | 1       |   |                        |   | 78      |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Warrants Delivery Rights              |  |                               | -      |  |                              |   | 32      |                         |  |   | -                            |   |  |                               | -       |   |                        |   | 32      |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Orchard Marine, Ltd.                  |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     | 
|Class B Common Stock                  |  |                               | -      |  |                              |   | 3,069   |                         |  |   | -                            |   |  |                               | (68     | ) |                        |   | 3,001   |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | -     | 
|Series A Preferred Stock              |  |                               | -      |  |                              |   | 23,592  |                         |  |   | -                            |   |  |                               | 168     |   |                        |   | 23,760  |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | 511   | 
|VSK Holdings, Ltd.                    |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     | 
|Structured Product                    |  |                               | 21,481 |  |                              |   | -       |                         |  |   | (21,474                      | ) |  |                               | 2,590   |   |                        |   | 2,597   |                |  |   | -         |  |  |                | -      |  |  |   | -   |  |  |   | 2,643 | 
|                                      |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     |  |  |   |       | 
|Totals                                |  | $                             | 21,481 |  |                              | $ | 213,925 |                         |  | $ | (21,474                      | ) |  | $                             | (10,660 | ) |                        | $ | 203,272 |                |  | $ | -         |  |  | $              | 13,211 |  |  | $ | 592 |  |  | $ | 3,154 | 
|                                      |  |                               |        |  |                              |   |         |                         |  |   |                              |   |  |                               |         |   |                        |   |         |                |  |   |           |  |  |                |        |  |  |   |     |  |  |   |       | 



|* | Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or
more new securities and the movement of an existing portfolio company into this category from a different category.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|** | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new
securities and the movement of an existing portfolio company out of this category into a different category.
|-- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



See notes to condensed consolidated financial statements.



37



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



|(s) | Controlled investment as defined by the 1940 Act, whereby the Company owns more than 25% of the portfolio companys outstanding voting securities or maintains the ability to nominate greater than 50% of the board
representation. The aggregate fair value of controlled at December 31, 2014 represented 0.3% of the Companys net assets. Fair value as of December 31, 2013 and 2014 along with transactions during the year ended December 31, 2014
in controlled investments were as follows (amounts in thousands):
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                    |  |                               |       |  |                              |   |       |                         |  |   |                              |  |  |                               |   |  |                        |   |       |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |   | 
|--------------------------------------------------- |  | ----------------------------- | ----- |  | ---------------------------- | - | ----- | ----------------------- |  | - | ---------------------------- |  |  | ----------------------------- | - |  | ---------------------- | - | ----- | -------------- |  | - | --------- |  |  | -------------- | - |  |  | - | - |  |  | - | - | 
|                                                    |  |                               |       |  | Year Ended December 31, 2014 |   |       |                         |  |   | Year Ended December 31, 2014 | 
|Controlled Investments                              |  | Fair Value atDecember 31,2013 |       |  | GrossAdditions(Cost)*        |   |       | GrossReductions(Cost)** |  |   | NetUnrealizedGain (Loss)     |  |  | Fair Value atDecember 31,2014 |   |  | NetRealizedGain (Loss) |   |       | InterestIncome |  |   | FeeIncome |  |  | DividendIncome |  
|KKR BPT Holdings Aggregator, LLC Structured Product |  | $                             | 2,500 |  |                              | $ | 3,000 |                         |  | $ |                             |  |  | $                             |  |  |                        | $ | 5,500 |                |  | $ |          |  |  | $              |  |  |  | $ |  |  |  | $ |  | 
|                                                    |  |                               |       |  |                              |   |       |                         |  |   |                              |  |  |                               |   |  |                        |   |       |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |   | 
|Totals                                              |  | $                             | 2,500 |  |                              | $ | 3,000 |                         |  | $ |                             |  |  | $                             |  |  |                        | $ | 5,500 |                |  | $ |          |  |  | $              |  |  |  | $ |  |  |  | $ |  | 
|                                                    |  |                               |       |  |                              |   |       |                         |  |   |                              |  |  |                               |   |  |                        |   |       |                |  |   |           |  |  |                |   |  |  |   |   |  |  |   |   | 



|* | Gross additions include increases in the cost basis of investments resulting from new portfolio investments, PIK interest, the amortization of unearned income, the exchange of one or more existing securities for one or
more new securities and the movement of an existing portfolio company into this category from a different category.
|- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|** | Gross reductions include decreases in the cost basis of investments resulting from principal collections related to investment repayments or sales, the exchange of one or more existing securities for one or more new
securities and the movement of an existing portfolio company out of this category into a different category.
|-- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(t) | 7-day effective yield as of December 31, 2014.
|--- | ----------------------------------------------



|(u) | As of December 31, 2014, the aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $39,298; the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was $106,618; the net unrealized depreciation was $67,320; the aggregate cost of securities for Federal income tax purposes was $2,788,521.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(v) | The interest rate on these investments is subject to a base rate of 3-Month EURIBOR LIBOR, which at December 31, 2014 was 0.08%. The current base rate for each investment may be different from the reference rate on
December 31, 2014.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Abbreviations:

AUD - Australian Dollar; local currency investment amount is denominated in Australian Dollar. A$1 / US $0.816 as of December 31, 2014.

EUR - Euro; local currency investment amount is denominated in Euros. 1 / US $1.210 as of December 31, 2014.

GBP - British Pound Sterling; local currency investment amount is denominated in Pound Sterling. £1 / US $1.559 as of December 31,
2014.

SEK - Swedish Krona; local currency investment amount is denominated in Swedish Kronas. SEK1 / US $0.128 as of December 31,
2014.

AU - Australia

CA -
Canada

FR - France

IE -
Ireland

KY - Cayman Islands

LU - Luxembourg

NL - The
Netherlands



See notes to condensed consolidated financial
statements.



38



---

##### Table of Contents

Corporate Capital Trust, Inc. and Subsidiaries

Consolidated Schedule of Investments (continued)

As of December 31, 2014

(in thousands, except share amounts)



SE - Sweden

SG - Singapore

UK - United Kingdom

VG - British Virgin Islands

E
= EURIBOR  Euro Interbank Offered Rate

L = LIBOR - London Interbank Offered Rate, typically 3-Month

PIK - Payment-in-kind; the issuance of additional securities by the borrower to settle interest payment obligations.



See notes to condensed consolidated financial statements.



39



---

##### Table of Contents

CORPORATE CAPITAL TRUST, INC. AND SUBSIDIARIES

Notes to Condensed Consolidated Financial Statements (unaudited)

1.         Principal Business and Organization

Corporate Capital Trust, Inc. (the Company) was incorporated under the general corporation laws of the State of Maryland on June 9, 2010. The
Company is a non-diversified closed-end management investment company and regulated as a business development company (BDC) under the Investment Company Act of 1940, as amended (the 1940 Act). The Companys investment
objective is to provide its shareholders with current income and, to a lesser extent, long-term capital appreciation, by investing primarily in the debt of privately owned U.S. companies with a focus on originated transactions sourced through the
networks of its advisors. The Company commenced business operations on June 17, 2011 and investment operations on July 1, 2011. The Company has elected to be treated as a regulated investment company (RIC) under the Internal
Revenue Code of 1986, as amended (the Code) and operates in a manner so as to qualify for the tax treatment applicable to RICs.

The Company
is externally managed by CNL Fund Advisors Company (CNL) and KKR Credit Advisors (US) LLC (KKR) (collectively, the Advisors), which are responsible for sourcing potential investments, analyzing and conducting due
diligence on prospective investment opportunities, structuring investments and ongoing monitoring of the Companys investment portfolio. Both Advisors are registered as investment advisers with the Securities and Exchange Commission
(SEC). CNL also provides the administrative services necessary for the Company to operate.

The Company sold approximately 141 million
shares of common stock through its initial continuous public offering (the Initial Offering). The Company is currently offering and selling shares of its common stock pursuant to a registration statement on Form N-2 (the Follow-On
Registration Statement) covering its follow-on continuous public offering of up to 209 million shares of common stock (the Follow-On Offering). The Initial Offering and Follow-On Offering are collectively referred to as the
Offerings.

In January 2015, the Company filed a shelf registration statement with the SEC on Form N-2 (the Shelf Registration
Statement) to provide for the Company the ability to offer, from time to time, in one or more offerings or series up to $750 million of its securities, on terms to be determined at the time of each such offering. The Shelf Registration
Statement was declared effective by the SEC in January 2015.

As of September 30, 2015, the Company had various wholly owned subsidiaries including,
among others, (i) CCT Funding LLC (CCT Funding) and Paris Funding LLC (Paris Funding), special purpose financing subsidiaries organized for the purpose of arranging secured debt financing with banks and borrowing money
to invest in portfolio companies, (ii) Halifax Funding LLC (Halifax Funding), a special purpose financing subsidiary organized to enter into total return swaps (TRS) and (iii) FCF LLC and CCT Holdings LLC, taxable
subsidiaries (the Taxable Subsidiaries), which are taxed as corporations for federal income tax purposes and were organized to hold certain equity securities of portfolio companies organized as pass-through entities for U.S. tax
purposes.

2.         Significant Accounting Policies

Basis of Presentation - The accompanying financial statements of the Company are prepared in accordance with the instructions to Form 10-Q. The
Company is an investment company following accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946, Financial Services - Investment Companies
(ASC Topic 946 ). The unaudited condensed consolidated financial statements reflect all normal recurring adjustments, which are, in the opinion of management, necessary for the fair presentation of the Companys results for the
interim periods presented. The results of operations for interim periods are not indicative of results to be expected for the full year.

Amounts as of
December 31, 2014 included in the unaudited condensed consolidated financial statements have been derived from the audited consolidated financial statements as of that date. Certain financial information that is normally included in annual
financial statements, including certain financial statement footnotes, prepared in accordance with accounting principles generally accepted in the United States of America (GAAP), is not required for interim reporting purposes and has
been condensed or omitted herein. These financial statements should be read in conjunction with the Companys financial statements and notes related thereto included in the Companys Annual Report on Form 10-K for the year ended
December 31, 2014, which was filed with the SEC on March 20, 2015. The condensed consolidated financial statements include the accounts of the Company and its wholly owned subsidiaries.



40



---

##### Table of Contents

2.         Significant Accounting Policies (continued)



Principles of Consolidation - Under ASC Topic 946, the Company is precluded from consolidating
any entity other than another investment company or an operating company which provides substantially all of its services to benefit the Company. In accordance therewith, the Company has consolidated the results of its wholly owned subsidiaries in
its condensed consolidated financial statements. All intercompany account balances and transactions have been eliminated in consolidation.

Use of Estimates - The preparation of the condensed consolidated financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect (i) the reported amounts of assets and liabilities at the date of the condensed consolidated financial statements, (ii) the reported amounts of income and expenses during the reporting periods
presented and (iii) disclosure of contingent assets and liabilities at the date of the condensed consolidated financial statements. Actual results could differ from those estimates.

Cash and Cash Equivalents - Cash and cash equivalents consist of demand deposits, foreign currency, and highly liquid investments with original
maturities of three months or less.

Valuation of Investments - The Company measures the value of its investments in
accordance with ASC Topic 820, Fair Value Measurements and Disclosure (ASC Topic 820), issued by FASB. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between
market participants at the measurement date. Market participants are defined as buyers and sellers in the principal or most advantageous market (which may be a hypothetical market) that are independent, knowledgeable, and willing and able to
transact. In accordance with ASC Topic 820, the Company considers its principal market to be the market that has the greatest volume and level of activity.

ASC Topic 820 defines hierarchical levels directly related to the amount of subjectivity associated with the inputs used to determine fair values of assets
and liabilities. The hierarchical levels and types of inputs used to measure fair value for each level are described as follows:

Level
1  Quoted prices are available in active markets for identical investments as of the reporting date. Publicly listed equities and debt securities, publicly listed derivatives, money market/short-term investment funds and foreign currency
are generally included in Level 1. The Company does not adjust the quoted price for these investments.

Level 2  Valuation
inputs are other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and fair value is determined through the use of models or other valuation methodologies. In certain cases, debt and
equity securities are valued on the basis of prices from orderly transactions for similar investments in active markets between market participants and provided by reputable dealers or independent pricing services. In determining the value of a
particular investment, independent pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrices, market transactions in comparable investments, and various relationships
between investments. Investments generally included in this category are corporate bonds and loans, convertible debt indexed to publicly listed securities, foreign currency forward contracts, cross currency swaps and certain over-the-counter
derivatives.

Level 3  Valuation inputs are unobservable for the investment and include situations where there is little, if
any, market activity for the investment. The inputs into the determination of fair value require significant judgment or estimation. Investments generally included in this category are TRS agreements, illiquid corporate bonds and loans, common and
preferred stock investments, and equity options that lack observable market pricing.

In certain cases, the inputs used to measure fair value may fall
within different levels of the fair value hierarchy. In such cases, an investments level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Depending on the relative
liquidity in the markets for certain investments, the Company may transfer assets to Level 3 if it determines that observable quoted prices, obtained directly or indirectly, are not available or reliable. The Companys assessment of the
significance of a particular input to the fair value measurement requires judgment, and the consideration of factors specific to the investment.

Investments for which market quotations are readily available are valued using market quotations, which are generally obtained from independent pricing
services, broker-dealers or market makers. With respect to the Companys portfolio investments for which market quotations are not readily available, the Companys board of directors is responsible for determining in good faith the fair
value of the Companys portfolio investments in accordance with the valuation policy and procedures approved by the board of directors, based on, among other things, the input of the Companys Advisors and management, its audit committee,
and independent third-party valuation firms.



41



---

##### Table of Contents

2.        Significant Accounting Policies (continued)



The Company and the board of directors conduct its fair value determination process on a quarterly basis and
any other time when a decision regarding the fair value of the portfolio investments is required. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio
investments that do not have a readily available market value, the fair value of the investments may differ significantly from the values that would have been determined had a readily available market value existed for such investments, and the
differences could be material. Further, such investments are generally less liquid than publicly traded securities. If the Company was required to liquidate a portfolio investment that does not have a readily available market value in a forced or
liquidation sale, the Company could realize significantly less than the value recorded by the Company.

The Company and its Advisors undertake a
multi-step valuation process each quarter for determining the fair value of the Companys investments whose market prices are not readily available, as described below:



| |  | Each portfolio company or investment is initially valued by KKR (internal valuation) and/or the Companys independent third party valuation firm (external valuation), which provides a valuation range.
|- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  | Valuation recommendations are formulated and documented by KKR and reviewed by KKRs valuation committee. The KKR valuation committee then provides its valuation recommendation for each portfolio investment, along
with supporting documentation, to CNL and the Company.
|- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  | After the Companys management has substantially completed its review, it forwards the valuation recommendations and supporting documentation for audit committee review.
|- |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  | The Companys board of directors then discusses the investment valuation recommendations with the Advisors and management and, based on those discussions and the related review process conducted by the
Companys audit committee, determines the fair value of the investments in good faith.
|- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The valuation techniques used by the Company for
the assets and liabilities that are classified as Level 3 in the fair value hierarchy are described below.

Senior Debt and
Subordinated Debt: Senior debt and subordinated debt investments are valued at initial transaction price and are subsequently valued using (i) market data for similar instruments (e.g., recent transactions or indicative broker
quotes), (ii) comparisons to benchmark derivative indices or (iii) valuation models. Valuation models are generally based on yield analysis and discounted cash flow techniques, where the key inputs are based on relative value analyses and
the assignment of risk-adjusted discounted rates, based on the analysis of similar instruments from similar issuers. In addition, an illiquidity discount is applied where appropriate.

Equity/Other Investments: Equity/other investments are valued at initial transaction price and are subsequently valued using
valuation models in the absence of readily observable market prices. Valuation models are generally based on (i) market and income (discounted cash flow) approaches, in which various internal and external factors are considered, and
(ii) earnings before interest, taxes, depreciation and amortization (EBITDA) valuation multiples analysis. Factors include key financial inputs and recent public and private transactions for comparable investments. Key inputs used
for the discounted cash flow approach include the weighted average cost of capital and assumed inputs used to calculate terminal values, such as EBITDA exit multiples. The fair value for a particular investment will generally be within the value
range conclusions derived by the two approaches. Upon completion of the valuations conducted, an illiquidity discount is applied where appropriate.

The Company relies primarily on information provided by managers of private investment funds in valuing the Companys investments in such
funds. The Advisors monitor the valuation methodology used by the asset manager and/or issuer of the private investment fund. Following procedures adopted by the Companys board of directors, in the absence of specific transaction activity
in a particular private investment fund, the Companys board of directors considers whether it is appropriate, in light of all relevant circumstances, to value the Companys investment at the net asset value reported by the private
investment fund at the time of valuation or to adjust the value to reflect a premium or discount.



42



---

##### Table of Contents

2.         Significant Accounting Policies (continued)



Total Return Swaps: The Company values its TRS in accordance with the TRS agreements
between its wholly owned subsidiary and the TRS counterparty, which collectively established the TRS. Pursuant to the TRS agreements, the value of the TRS is based on (i) the increase or decrease in the value of the TRS assets relative to the
notional amounts, (ii) collected and accrued interest income and fee income related to the TRS assets, (iii) TRS financing costs on the TRS settled notional amounts, and (iv) certain other expenses incurred under the TRS. The TRS
assets are valued pursuant to the valuation algorithm specified in the TRS agreements, including reliance on indicative bid prices provided by independent third-party pricing services. Bid prices reflect the highest price that market participants
may be willing to pay. On a quarterly basis, the Companys Advisors review, test and compare (i) the indicative bid prices assigned to each TRS asset by the TRS counterparty with (ii) pricing inputs that are independently sourced by
the Companys management and/or its Advisors from third-party pricing services. Additionally, the Companys Advisors review the calculations of (i) collected and accrued interest, (ii) TRS financing costs, and (iii) realized
gains and losses as included components of the TRS fair value. For additional disclosures on the Companys TRS, including quantitative disclosures of the current period fair value components, see Note 4. Derivative Instruments.

The Company utilizes several valuation techniques that use unobservable pricing inputs and assumptions in determining the fair value of its Level 3
investments. The valuation techniques, as well as the key unobservable inputs that have a significant impact on the Companys Level 3 valuations, are described in Note 5. Fair Value of Financial Instruments. The unobservable pricing
inputs and assumptions may differ by asset and in the application of the Companys valuation methodologies. The reported fair value estimates could vary materially if the Company had chosen to incorporate different unobservable pricing inputs
and other assumptions.

Security Transactions, Realized/Unrealized Gains or Losses, and Income Recognition - Investments purchased on a
secondary basis are recorded on the trade date. Loan originations are recorded on the funding date. The Company measures realized gains or losses from the repayment or sale of investments using the specific identification method. Realized gains or
losses are measured by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment without regard to unrealized gains or losses previously recognized, and include investments charged off during
the period, net of recoveries. Unrealized gains or losses primarily reflect the change in investment values, including the reversal of previously recorded unrealized gains or losses when gains or losses are realized. The amortized cost basis of
investments includes (i) the original cost and (ii) adjustments for the accretion/amortization of market discounts and premiums, original issue discount and loan origination fees. The Company reports changes in fair value of investments as
a component of net change in unrealized appreciation (depreciation) on investments in the condensed consolidated statements of operations.

Interest
Income - Interest income is recorded on an accrual basis and includes amortization of premiums to par value and accretion of discounts to par value. Discounts and premiums to par value on securities purchased are accreted/amortized into interest
income over the life of the respective security using the effective interest method. Generally, loan origination, closing, commitment and other fees received by the Company directly or indirectly from borrowers in connection with the closing of
investments are accreted over the contractual life of the debt investment as interest income based on the effective interest method. Upon prepayment of a debt investment, any prepayment penalties and unamortized loan fees and discounts are recorded
as interest income.

Certain of the Companys investments in debt securities contain a contractual payment-in-kind (PIK) interest
provision. The PIK provisions generally feature the obligation or the option at each interest payment date of making interest payments in (i) cash, (ii) additional debt securities or (iii) a combination of cash and additional debt
securities. PIK interest, computed at the contractual rate specified in the investments credit agreement, is accrued as interest income and recorded as interest receivable up to the interest payment date. On the interest payment dates, the
Company will capitalize the accrued interest receivable attributable to PIK as additional principal due from the borrower. When additional PIK securities are received on the interest payment date, they typically have the same terms, including
maturity dates and interest rates as the original securities issued. PIK interest generally becomes due at maturity of the investment or upon the investment being called by the issuer.

If the portfolio company valuation indicates the value of the PIK investment is not sufficient to cover the contractual PIK interest, the Company will not
accrue additional PIK interest income and will record an allowance for any accrued PIK interest receivable as a reduction of interest income in the period the Company determines it is not collectible.



43



---

##### Table of Contents

2.         Significant Accounting Policies (continued)



Debt securities are placed on nonaccrual status when principal or interest payments are at least 90 days past
due or when there is reasonable doubt that principal or interest will be collected. Generally, accrued interest is reversed against interest income when a debt security is placed on nonaccrual status. Interest payments received on debt securities on
nonaccrual status may be recognized as interest income or applied to principal based on managements judgment. Debt securities on nonaccrual status are restored to accrual status when past due principal and interest are paid and, in
managements judgment, such investments are likely to remain current on interest payment obligations. The Company may make exceptions to this treatment if the debt security has sufficient collateral value and is in the process of collection.

Fee Income - In its role as the Companys investment sub-advisor, KKR or its affiliates may provide financial advisory services to portfolio
companies and in return may receive fees for capital structuring services. KKR is obligated to remit to the Company any earned capital structuring fees based on the pro-rata portion of the Companys investment in co-investment transactions and
originated investments. These fees are generally nonrecurring and are recognized as fee income by the Company upon the investment closing date.

The Company may also receive fees for commitments, amendments and other services rendered to portfolio companies. Such fees are recognized as fee income when
earned or the services are rendered.

Dividend Income - Dividend income on preferred equity securities is recorded as dividend income on an accrual
basis to the extent such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity securities is recorded on the record date for private portfolio companies or on the ex-dividend date for
publicly traded portfolio companies. Each distribution received from limited liability company (LLC) and limited partnership (LP) investments are evaluated to determine if the distribution should be recorded as dividend
income or a return of capital. Generally, the Company will not record distributions from equity investments in LLCs and LPs as dividend income unless there are sufficient accumulated tax-basis earnings in the LLC or LP prior to the distribution.
Distributions that are classified as a return of capital are recorded as a reduction in the cost basis of the investment.

Derivative
Instruments -The Companys derivative instruments include foreign currency forward contracts, cross currency swaps and the TRS. The Company recognizes all derivative instruments as assets or liabilities at fair value in its condensed
consolidated financial statements. Derivative contracts entered into by the Company are not designated as hedging instruments, and as a result, the Company presents changes in fair value through net change in unrealized appreciation (depreciation)
on derivative instruments in the condensed consolidated statements of operations. TRS unrealized appreciation (depreciation) is composed of accrued interest income, net of accrued TRS financing charges owed, and the overall change in fair value of
the TRS assets. Realized gains and losses that occur upon the cash settlement of the derivative instruments are included in net realized gains (losses) on derivative instruments in the condensed consolidated statements of operations. TRS realized
gains and losses are composed of realized gains or losses on the TRS assets and the net interest and fees received or paid on the quarterly TRS settlement date.

Deferred Financing Costs - Financing costs, including upfront fees, commitment fees and legal fees related to the Companys credit
facilities, term loan and the TRS are deferred and amortized over the life of the related financing instrument using either the effective interest method or straight-line method. Unamortized deferred financing costs are included in prepaid and other
deferred expenses in the condensed consolidated statements of assets and liabilities. The amortization of deferred financing costs is included in interest expense in the condensed consolidated statements of operations.

Paid In Capital - The Company records the proceeds from the sale of its common stock on a net basis to (i) capital stock and
(ii) paid-in capital in excess of par value, excluding selling commissions and marketing support fees.

Foreign Currency
Translation, Transactions and Gains/Losses - Foreign currency amounts are translated into U.S. dollars on the following basis: (i) at the exchange rate on the last business day of the reporting period for the fair value of investment
securities, other assets and liabilities; and (ii) at the prevailing exchange rate on the respective recording dates for the purchase and sale of investment securities, income, expenses, gains and losses.

Net assets and fair values are presented based on the applicable foreign exchange rates described above and the Company does not isolate that portion of the
results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are included
with the net realized gains (losses) and unrealized appreciation (depreciation) on investments.



44



---

##### Table of Contents

2.         Significant Accounting Policies (continued)



Net realized gains or losses on foreign currency transactions arise from sales of foreign currency, currency
gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded by the Company and the U.S. dollar equivalent of the
amounts actually received or paid by the Company.

Unrealized appreciation (depreciation) from foreign currency translation for foreign currency forward
contracts and cross currency swaps is included in net change in unrealized appreciation (depreciation) in derivative instruments in the condensed consolidated statements of operations and is included with unrealized appreciation (depreciation) on
derivative instruments in the condensed consolidated statements of assets and liabilities. Unrealized appreciation (depreciation) from foreign currency translation for other receivables or payables is presented as net change in unrealized
appreciation (depreciation) in foreign currency translation in the condensed consolidated statements of operations.

Management Fees - The
Company incurs a base management fee (recorded as investment advisory fees) and performance-based incentive fees, including (i) a subordinated incentive fee on income and (ii) an incentive fee on capital gains, due to its Advisors pursuant
to an investment advisory agreement described in Note 6. Related Party Transactions. The two components of performance-based incentive fees are combined and expensed in the condensed consolidated statements of operations and accrued in
the condensed consolidated statements of assets and liabilities as accrued performance-based incentive fees. Pursuant to the terms of the investment advisory agreement, the incentive fee on capital gains is determined and payable in arrears as of
the end of each calendar year (or upon termination of the investment advisory agreement) based on the Companys realized capital gains on a cumulative basis from inception, net of all realized capital losses on a cumulative basis and unrealized
depreciation at year end, less the aggregate amount of any previously paid capital gains incentive fees. Although the terms of the investment advisory agreement do not provide for the inclusion of unrealized gains in the calculation of the incentive
fee on capital gains, pursuant to an interpretation of an American Institute of Certified Public Accountants Technical Practice Aid for investment companies, the Company includes unrealized gains in the calculation of the incentive fee on capital
gains expense and related accrued incentive fee on capital gains. This accrual reflects the incentive fees that would be payable to the Advisors if the Companys entire portfolio was liquidated at its fair value as of the balance sheet date
even though the Advisors are not entitled to an incentive fee with respect to unrealized gains unless and until such gains are actually realized.

Offering Expenses - Offering expenses incurred in connection with the Companys Offerings, including reimbursement payments to the
Advisors, but excluding selling commissions and marketing support fees, are accumulated monthly and capitalized as deferred offering expenses and then subsequently expensed over a 12-month period.

The Company records expenses related to its Shelf Registration Statement as prepaid assets. These expenses will be charged as a reduction of capital upon
utilization, in accordance with ASC 946, Financial Services - Investment Companies. Such expenses relating to issuances of debt securities by the Company will be capitalized as deferred financing costs and amortized over the term of the related debt
using the effective interest or straight line method, as applicable.

Earnings per Share - Earnings per share is calculated based upon the
weighted average number of shares of common stock outstanding during the reporting period.

Distributions - Weekly
distributions are generally declared monthly by the Companys board of directors and recognized as a liability on the applicable record date. Distributions are paid monthly. The Company has adopted a distribution reinvestment plan that provides
for reinvestment of distributions on behalf of shareholders. Shareholders who have elected to participate in the distribution reinvestment plan will have their cash distribution automatically reinvested in additional shares of common stock at a
price per share equivalent to the then current public offering price, net of selling commissions and marketing support fees.

Federal Income Taxes
- The Company has elected to be treated for federal income tax purposes, and intends to maintain its qualification, as a RIC under Subchapter M of the Code. Generally, a RIC is not subject to federal income taxes on distributed income and
gains if it distributes at least 90% of its Investment Company Taxable Income, as defined in the Code. The Company intends to distribute sufficient dividends to maintain its RIC status each year and it does not anticipate paying a
material level of federal income taxes.



45



---

##### Table of Contents

2.         Significant Accounting Policies (continued)



The Company is generally subject to nondeductible federal excise taxes if it does not distribute to its
shareholders an amount at least equal to the sum of (i) 98% of its net ordinary income for the calendar year, (ii) 98.2% of its capital gains in excess of capital losses for the one-year period generally ending on October 31 of the
calendar year and (iii) any ordinary income and net capital gains for preceding years that were not distributed during such years and on which the Company paid no federal income tax. The Company may, at its discretion, pay a 4% nondeductible
federal excise tax on under-distribution of capital gains and taxable income.

The Taxable Subsidiaries hold certain of the Companys portfolio
investments. The Taxable Subsidiaries are consolidated for GAAP reporting purposes, and the portfolio investments held by such entities are included in the condensed consolidated financial statements. The Taxable Subsidiaries may generate income tax
expense, or benefit, and related tax assets and liabilities. As a result, any such income tax expense, or benefit and the related tax assets and liabilities are recorded in the Companys condensed consolidated financial statements. Deferred tax
assets and liabilities are recorded for temporary differences between the tax basis of assets and liabilities and their reported amounts in the financial statements, using statutory tax rates in effect for the year in which the temporary differences
are expected to reverse. Valuation allowances are established when necessary to reduce deferred tax assets to the amount expected to be realized. Similarly, certain foreign investments, which may be held outside of the Taxable Subsidiaries, might
incur foreign income taxes and have deferred tax assets and liabilities.

The Company recognizes in its condensed consolidated financial statements the
effect of a tax position when it is deemed more likely than not, based on the technical merits, that the position will be sustained upon examination. Tax benefits of positions not deemed to meet the more-likely-than-not threshold are recorded as a
tax expense in the current year. The Company did not have any uncertain tax positions that met the recognition or measurement criteria of ASC 740-10-25, Income Taxes  Overall Recognition, nor did it have any unrecognized tax benefits for
the periods presented herein. Although the Company and the Taxable Subsidiaries file federal and state tax returns, their major tax jurisdiction is federal.

Permanent book and tax basis differences are reclassified among the Companys capital accounts, as appropriate. Additionally, the tax character of
distributions is determined in accordance with the Code which differs from GAAP.

Reclassifications -Certain prior year amounts in the
condensed consolidated financial statements have been reclassified to conform to the current period presentation.

Recent Accounting
Pronouncements - In February 2015, the FASB issued Accounting Standard Update (ASU) 2015-02, Amendments to the Consolidation Analysis, which requires amendments to both the variable interest entity (VIE)
and voting models. The amendments (i) modify the identification of variable interests (fees paid to a decision maker or service provider), the VIE characteristics for a limited partnership or similar entity and primary beneficiary determination
under the VIE model, and (ii) eliminate the presumption within the current voting model that a general partner controls a limited partnership or similar entity. The new guidance is effective for annual reporting periods, and interim periods
within those annual periods, beginning after December 15, 2015 with early adoption permitted. The amendments may be applied using either a modified retrospective or full retrospective approach. The Company has determined that it will not early
adopt this ASU and is currently evaluating the effect the guidance will have on its consolidated financial position, results of operations or cash flows.

In April 2015, the FASB issued ASU 2015-03, Simplifying the Presentation of Debt Issuance Costs, which requires that loan costs related to a
recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability, consistent with debt discounts or premiums. The new guidance is effective for annual reporting periods, and interim
periods within those annual periods, beginning after December 15, 2015 with early adoption permitted. The ASU is to be applied retrospectively for each period presented. Upon adoption, an entity is required to comply with the applicable
disclosures for a change in an accounting principle. The FASB subsequently issued ASU 2015-15, Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements, which clarifies that, given the
absence of authoritative guidance in ASU 2015-03 regarding presentation and subsequent measurement of loan costs related to line-of-credit arrangements, the SEC Staff would not object to an entity deferring and presenting loan costs as an asset and
subsequently amortizing the loan costs ratably over the term of the line-of-credit arrangement, regardless of whether there are any outstanding borrowings on the line-of-credit arrangement. The Company has determined that it will not early adopt
this ASU and is currently evaluating the effect the amendments will have on its consolidated financial position, results of operations or cash flows.



46



---

##### Table of Contents

3.          Investments

The Company is engaged in a strategy to invest primarily in the debt of privately owned and thinly traded U.S. companies. The primary investment
concentrations include (i) senior debt securities and (ii) subordinated debt securities. The Companys investments may, in some cases, be accompanied by warrants, options or other forms of equity participation. The Company may
separately purchase common or preferred equity interests or limited partnership interests. The Company may also invest in structured products, such as collateralized loan obligations. The fair value of the Companys investments will generally
fluctuate with, among other things, changes in prevailing interest rates, the general supply of, and demand for, debt capital among private and public companies, general domestic and global economic conditions, the condition of certain financial
markets, developments or trends in any particular industry and changes in the financial condition and credit quality of each securitys issuer.

As
of September 30, 2015 and December 31, 2014, the Companys investment portfolio consisted of the following (in thousands):



|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|---------------------------------- |  | ------------------------ | --------- |  | ---------- | - | --------- | -------------------------------- |  |  | ----------------------- |  |  |  | ------ | 
|                                   |  | As of September 30, 2015 |          
|Asset Category                     |  | AmortizedCost            |           |  | Fair Value |   |           | Percentage ofInvestmentPortfolio |  |  | Percentage ofNet Assets | 
|Senior Debt                        |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Senior secured loans  first lien  |  | $                        | 1,432,693 |  |            | $ | 1,344,526 |                                  |  |  | 39.4%                   |  |  |  | 53.2%  | 
|Senior secured loans  second lien |  |                          | 1,004,624 |  |            |   | 981,716   |                                  |  |  | 28.8                    |  |  |  | 38.9   | 
|Senior secured bonds               |  |                          | 228,331   |  |            |   | 203,378   |                                  |  |  | 5.9                     |  |  |  | 8.1    | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Total senior debt                  |  |                          | 2,665,648 |  |            |   | 2,529,620 |                                  |  |  | 74.1                    |  |  |  | 100.2  | 
|Subordinated debt                  |  |                          | 531,580   |  |            |   | 483,976   |                                  |  |  | 14.2                    |  |  |  | 19.2   | 
|Structured products                |  |                          | 85,721    |  |            |   | 91,669    |                                  |  |  | 2.7                     |  |  |  | 3.5    | 
|Equity/Other                       |  |                          | 331,742   |  |            |   | 305,606   |                                  |  |  | 9.0                     |  |  |  | 12.1   | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Subtotal                           |  |                          | 3,614,691 |  |            |   | 3,410,871 |                                  |  |  | 100.0%                  |  |  |  | 135.0% | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Short term investments             |  |                          | 68,882    |  |            |   | 68,882    |                                  |  |  |                         |  |  |  | 2.7    | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Total investments                  |  | $                        | 3,683,573 |  |            | $ | 3,479,753 |                                  |  |  |                         |  |  |  | 137.7% | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|                                   | 
|                                   |  | As of December 31, 2014  |          
|Asset Category                     |  | AmortizedCost            |           |  | Fair Value |   |           | Percentage ofInvestmentPortfolio |  |  | Percentage ofNet Assets | 
|Senior Debt                        |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Senior secured loans  first lien  |  | $                        | 1,152,555 |  |            | $ | 1,128,244 |                                  |  |  | 41.5%                   |  |  |  | 52.6%  | 
|Senior secured loans  second lien |  |                          | 858,829   |  |            |   | 843,957   |                                  |  |  | 31.0                    |  |  |  | 39.3   | 
|Senior secured bonds               |  |                          | 154,125   |  |            |   | 147,817   |                                  |  |  | 5.4                     |  |  |  | 6.9    | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Total senior debt                  |  |                          | 2,165,509 |  |            |   | 2,120,018 |                                  |  |  | 77.9                    |  |  |  | 98.8   | 
|Subordinated debt                  |  |                          | 459,004   |  |            |   | 433,755   |                                  |  |  | 16.0                    |  |  |  | 20.2   | 
|Structured products                |  |                          | 33,721    |  |            |   | 36,421    |                                  |  |  | 1.3                     |  |  |  | 1.7    | 
|Equity/Other                       |  |                          | 129,658   |  |            |   | 130,377   |                                  |  |  | 4.8                     |  |  |  | 6.1    | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Subtotal                           |  |                          | 2,787,892 |  |            |   | 2,720,571 |                                  |  |  | 100.0%                  |  |  |  | 126.8% | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Short term investments             |  |                          | 629       |  |            |   | 629       |                                  |  |  |                         |  |  |  |       | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 
|Total investments                  |  | $                        | 2,788,521 |  |            | $ | 2,721,200 |                                  |  |  |                         |  |  |  | 126.8% | 
|                                   |  |                          |           |  |            |   |           |                                  |  |  |                         |  |  |  |        | 

As of September 30, 2015, debt investments on nonaccrual status represented 1.4% and 0.5% of total investments on an
amortized cost basis and fair value basis, respectively. As of December 31, 2014, debt investments on nonaccrual status represented 1.0% and 0.4% of total investments on an amortized cost basis and fair value basis, respectively.



47



---

##### Table of Contents

3.         Investments (continued)



The industry composition, geographic dispersion, and local currencies of the Companys investment
portfolio as a percentage of total fair value of the Companys investments, excluding short term investments and derivative instruments, as of September 30, 2015 and December 31, 2014 were as follows:



|                                             |  |                    |        |  |                   |  |        | 
|-------------------------------------------- |  | ------------------ | ------ |  | ----------------- |  | ------ | 
|Industry Composition                         |  | September 30, 2015 |        |  | December 31, 2014 | 
|Capital Goods                                |  |                    | 13.8%  |  |                   |  | 8.3%   | 
|Software & Services                          |  |                    | 13.2   |  |                   |  | 14.5   | 
|Consumer Durables & Apparel                  |  |                    | 10.7   |  |                   |  | 16.8   | 
|Diversified Financials                       |  |                    | 7.7    |  |                   |  | 5.1    | 
|Retailing                                    |  |                    | 6.2    |  |                   |  | 8.0    | 
|Automobiles & Components                     |  |                    | 5.5    |  |                   |  | 4.3    | 
|Technology Hardware & Equipment              |  |                    | 5.4    |  |                   |  | 6.7    | 
|Energy                                       |  |                    | 5.2    |  |                   |  | 8.3    | 
|Commercial & Professional Services           |  |                    | 5.0    |  |                   |  | 2.2    | 
|Health Care Equipment & Services             |  |                    | 4.0    |  |                   |  | 6.9    | 
|Materials                                    |  |                    | 3.6    |  |                   |  | 3.5    | 
|Telecommunication Services                   |  |                    | 3.4    |  |                   |  | 3.0    | 
|Food & Staples Retailing                     |  |                    | 3.2    |  |                   |  | 2.7    | 
|Transportation                               |  |                    | 3.2    |  |                   |  | 2.3    | 
|Media                                        |  |                    | 2.6    |  |                   |  | 1.6    | 
|Real Estate                                  |  |                    | 2.0    |  |                   |  | 1.0    | 
|Food, Beverage & Tobacco                     |  |                    | 1.9    |  |                   |  | 1.4    | 
|Pharmaceutical, Biotechnology & Life Science |  |                    | 1.6    |  |                   |  | 0.2    | 
|Consumer Services                            |  |                    | 0.9    |  |                   |  | 1.8    | 
|Remaining Industries                         |  |                    | 0.9    |  |                   |  | 1.4    | 
|                                             |  |                    |        |  |                   |  |        | 
|Total                                        |  |                    | 100.0% |  |                   |  | 100.0% | 
|                                             |  |                    |        |  |                   |  |        | 
|Geographic Dispersion (1)                    |  |                    |        |  |                   |  |        | 
|United States                                |  |                    | 78.8%  |  |                   |  | 77.3%  | 
|Singapore                                    |  |                    | 4.2    |  |                   |  | 2.7    | 
|Luxembourg                                   |  |                    | 3.4    |  |                   |  | 3.7    | 
|United Kingdom                               |  |                    | 3.1    |  |                   |  | 3.8    | 
|Sweden                                       |  |                    | 2.7    |  |                   |  | 4.5    | 
|Ireland                                      |  |                    | 2.7    |  |                   |  | 2.0    | 
|Netherlands                                  |  |                    | 1.4    |  |                   |  | 1.7    | 
|British Virgin Islands                       |  |                    | 1.2    |  |                   |  | 1.0    | 
|Cayman Islands                               |  |                    | 1.0    |  |                   |  | 1.1    | 
|Remaining Countries                          |  |                    | 1.5    |  |                   |  | 2.2    | 
|                                             |  |                    |        |  |                   |  |        | 
|Total                                        |  |                    | 100.0% |  |                   |  | 100.0% | 
|                                             |  |                    |        |  |                   |  |        | 
|Local Currency                               |  |                    |        |  |                   |  |        | 
|U.S. Dollar                                  |  |                    | 85.1%  |  |                   |  | 84.0%  | 
|Euro                                         |  |                    | 10.3   |  |                   |  | 11.0   | 
|British Pound Sterling                       |  |                    | 4.0    |  |                   |  | 3.5    | 
|Australian Dollar                            |  |                    | 0.6    |  |                   |  | 1.1    | 
|Swedish Krona                                |  |                    |       |  |                   |  | 0.4    | 
|                                             |  |                    |        |  |                   |  |        | 
|Total                                        |  |                    | 100.0% |  |                   |  | 100.0% | 
|                                             |  |                    |        |  |                   |  |        | 



|(1) | The geographic dispersion is determined by the portfolio companys country of domicile or the jurisdiction of the securitys issuer.
|--- | ------------------------------------------------------------------------------------------------------------------------------------



48



---

##### Table of Contents

4.         Derivative Instruments

The following is a summary of the fair value and location of the Companys derivative instruments in the condensed consolidated statements of assets and
liabilities held as of September 30, 2015 and December 31, 2014 (in thousands):



|                                   |  |                                                   |        |                    |        |   |                   |   |        |  
|---------------------------------- |  | ------------------------------------------------- | ------ | ------------------ | ------ | - | ----------------- | - | ------ | -
|                                   |  |                                                   |        | Fair Value         |       
|Derivative
Instrument              |  | Statement Location                                |        | September 30, 2015 |        |   | December 31, 2014 |  
|Cross currency swaps               |  | Unrealized appreciation on derivative instruments |        | $                  | 1,531  |   |                   | $ |       |  
|Cross currency swaps               |  | Unrealized depreciation on derivative instruments |        |                    | (1,229 | ) |                   |   |       |  
|Foreign currency forward contracts |  | Unrealized appreciation on derivative instruments |        |                    | 386    |   |                   |   | 40,903 |  
|Foreign currency forward contracts |  | Unrealized depreciation on derivative instruments |        |                    |       |   |                   |   | (458   | )
|TRS                                |  | Unrealized depreciation on derivative instruments |        |                    | (2,447 | ) |                   |   | (3,445 | )
|                                   |  |                                                   |        |                    |        |   |                   |   |        |  
|Total                              |  | $                                                 | (1,759 | )                  |        | $ | 37,000            |  
|                                   |  |                                                   |        |                    |        |   |                   |   |        |  

Net realized and unrealized gains and losses on derivative instruments recorded by the Company for the three and nine months
ended September 30, 2015 and 2014 are in the following locations in the condensed consolidated statements of operations (in thousands):



|                                   |  |                                                                                |  |                                 |          |  |                                |   |         |      |  |   |          |  |  |   |         | 
|---------------------------------- |  | ------------------------------------------------------------------------------ |  | ------------------------------- | -------- |  | ------------------------------ | - | ------- | ---- |  | - | -------- |  |  | - | ------- | 
|                                   |  |                                                                                |  | Net Realized Gain (Loss)        |         
|                                   |  |                                                                                |  | Three Months EndedSeptember 30, |          |  | Nine Months EndedSeptember 30, |  
|Derivative Instrument              |  | Statement Location                                                             |  | 2015                            |          |  | 2014                           |   |         | 2015 |  |   | 2014     | 
|Cross currency swaps               |  | Net realized gain on derivative instruments                                    |  | $                               | 249      |  |                                | $ |        |      |  | $ | 249      |  |  | $ |        | 
|Foreign currency forward contracts |  | Net realized gains (losses) on derivative instruments                          |  |                                 | 47,021   |  |                                |   | (1,486) |      |  |   | 71,081   |  |  |   | (4,658) | 
|TRS                                |  | Net realized gains on derivative instruments                                   |  |                                 | 4,090    |  |                                |   | 938     |      |  |   | 9,603    |  |  |   | 3,332   | 
|                                   |  |                                                                                |  |                                 |          |  |                                |   |         |      |  |   |          |  |  |   |         | 
|Total                              |  |                                                                                |  | $                               | 51,360   |  |                                | $ | (548)   |      |  | $ | 80,933   |  |  | $ | (1,326) | 
|                                   |  |                                                                                |  |                                 |          |  |                                |   |         |      |  |   |          |  |  |   |         | 
|                                   |  |                                                                               
|                                   |  |                                                                                |  | Net Unrealized Gain (Loss)      |         
|                                   |  |                                                                                |  | Three Months EndedSeptember 30, |          |  | Nine Months EndedSeptember 30, |  
|Derivative Instrument              |  | Statement Location                                                             |  | 2015                            |          |  | 2014                           |   |         | 2015 |  |   | 2014     | 
|Cross currency swaps               |  | Net change in unrealized appreciation on derivative instruments                |  | $                               | 302      |  |                                | $ |        |      |  | $ | 302      |  |  | $ |        | 
|Foreign currency forward contracts |  | Net change in unrealized appreciation (depreciation) on derivative instruments |  |                                 | (42,016) |  |                                |   | 32,950  |      |  |   | (40,059) |  |  |   | 31,019  | 
|TRS                                |  | Net change in unrealized appreciation (depreciation) on derivative instruments |  |                                 | (3,636)  |  |                                |   | (1,510) |      |  |   | 998      |  |  |   | (2,880) | 
|                                   |  |                                                                                |  |                                 |          |  |                                |   |         |      |  |   |          |  |  |   |         | 
|Total                              |  |                                                                                |  | $                               | (45,350) |  |                                | $ | 31,440  |      |  | $ | (38,759) |  |  | $ | 28,139  | 
|                                   |  |                                                                                |  |                                 |          |  |                                |   |         |      |  |   |          |  |  |   |         | 

Offsetting of Derivative Instruments

The Company has derivative instruments that are subject to master netting agreements. These agreements include provisions to offset positions with the same
counterparty in the event of default by one of the parties. The Companys unrealized appreciation and depreciation on derivative instruments are reported as gross assets and liabilities, respectively, in the condensed consolidated statements of
assets and liabilities. The following tables present the Companys assets and liabilities related to derivatives by counterparty, net of amounts available for offset under a master netting arrangement and net of any collateral received or
pledged by the Company for such assets and liabilities as of September 30, 2015.



49



---

##### Table of Contents

4.         Derivative Instruments (continued)



|                       |  |                                                        |       |  |                                |   |   |                                |  |   |                            |  |  |                                       |       |  |  |   |       | 
|---------------------- |  | ------------------------------------------------------ | ----- |  | ------------------------------ | - | - | ------------------------------ |  | - | -------------------------- |  |  | ------------------------------------- | ----- |  |  | - | ----- | 
|Counterparty           |  | DerivativeAssets Subject toMaster NettingAgreement     |       |  | DerivativesAvailablefor Offset |   |   | Non-cashCollateralReceived (1) |  |   | CashCollateralReceived (1) |  |  | NetAmount ofDerivativeAssets (2)      |      
|J.P. Morgan Chase Bank |  | $                                                      | 1,917 |  |                                | $ |  |                                |  | $ |                           |  |  | $                                     |      |  |  | $ | 1,917 | 
|                       |  |                                                        |       |  |                                |   |   |                                |  |   |                            |  |  |                                       |       |  |  |   |       | 
|Total                  |  | $                                                      | 1,917 |  |                                | $ |  |                                |  | $ |                           |  |  | $                                     |      |  |  | $ | 1,917 | 
|                       |  |                                                        |       |  |                                |   |   |                                |  |   |                            |  |  |                                       |       |  |  |   |       | 
|                       |  |                                                        |       |  |                               
|Counterparty           |  | DerivativeLiabilitiesSubject toMaster NettingAgreement |       |  | DerivativesAvailablefor Offset |   |   | Non-cashCollateralReceived (1) |  |   | CashCollateralReceived (1) |  |  | NetAmount ofDerivativeLiabilities (2) |      
|Bank of Nova Scotia    |  | $                                                      | 2,447 |  |                                | $ |  |                                |  | $ |                           |  |  | $                                     | 2,447 |  |  | $ |      | 
|J.P. Morgan Chase Bank |  |                                                        | 1,229 |  |                                |   |  |                                |  |   |                           |  |  |                                       |      |  |  |   | 1,229 | 
|                       |  |                                                        |       |  |                                |   |   |                                |  |   |                            |  |  |                                       |       |  |  |   |       | 
|Total                  |  | $                                                      | 3,676 |  |                                | $ |  |                                |  | $ |                           |  |  | $                                     | 2,447 |  |  | $ | 1,229 | 
|                       |  |                                                        |       |  |                                |   |   |                                |  |   |                            |  |  |                                       |       |  |  |   |       | 



|(1) | In some instances, the actual amount of the collateral received and/or pledged may be more than the amount shown due to overcollateralization.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Net amount of derivative assets represents the net amount due from the counterparty to the Company in the event of default.
|--- | ---------------------------------------------------------------------------------------------------------------------------

|(3) | Net amount of derivative liabilities represents the net amount due from the Company to the counterparty in the event of default.
|--- | --------------------------------------------------------------------------------------------------------------------------------

Foreign Currency Forward Contracts and Cross Currency Swaps:

The Company may enter into foreign currency forward contracts and cross currency swaps from time to time to facilitate settlement of purchases and sales of
investments denominated in foreign currencies and to economically hedge the impact that an adverse change in foreign exchange rates would have on the value of the Companys investments denominated in foreign currencies. A foreign currency
forward contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. These contracts are marked-to-market by recognizing the difference between the contract forward exchange rate and the forward
market exchange rate on the last day of the period presented as unrealized appreciation or depreciation. Realized gains or losses are recognized when forward contracts are settled. Risks arise as a result of the potential inability of the
counterparties to meet the terms of their contracts; the Company attempts to limit counterparty risk by only dealing with well-known counterparties. The foreign currency forward contracts open at the end of the period are generally indicative of the
volume of activity during the period.

As of September 30, 2015 and December 31, 2014, the Companys open foreign currency forward
contracts were as follows (in thousands):



|                 |  |                    |  |              |                      |  |                       |    |             |                             |  |   |                                |  |  |                                      |        |  |  |   |     | 
|---------------- |  | ------------------ |  | ------------ | -------------------- |  | --------------------- | -- | ----------- | --------------------------- |  | - | ------------------------------ |  |  | ------------------------------------ | ------ |  |  | - | --- | 
|                 |  | September 30, 2015 | 
|Foreign Currency |  | Settlement Date    |  | Counterparty |                      |  | Amount andTransaction |    |             | US$ Value atSettlement Date |  |   | US$ Value atSeptember 30, 2015 |  |  | UnrealizedAppreciation(Depreciation) |       
|AUD              |  | Apr 7, 2016        |  |              | JP Morgan Chase Bank |  |                       | A$ | 17,726 Sold |                             |  | $ | 12,439                         |  |  | $                                    | 12,327 |  |  | $ | 112 | 
|EUR              |  | Jan 11, 2016       |  |              | JP Morgan Chase Bank |  |                       |   | 50,485 Sold |                             |  |   | 56,584                         |  |  |                                      | 56,517 |  |  |   | 67  | 
|GBP              |  | Jan 11, 2016       |  |              | JP Morgan Chase Bank |  |                       | £  | 8,953 Sold  |                             |  |   | 13,746                         |  |  |                                      | 13,539 |  |  |   | 207 | 
|                 |  |                    |  |              |                      |  |                       |    |             |                             |  |   |                                |  |  |                                      |        |  |  |   |     | 
|Total            |  |                    |  |              |                      |  |                       |    |             |                             |  | $ | 82,769                         |  |  | $                                    | 82,383 |  |  | $ | 386 | 
|                 |  |                    |  |              |                      |  |                       |    |             |                             |  |   |                                |  |  |                                      |        |  |  |   |     | 



50



---

##### Table of Contents

4.         Derivative Instruments (continued)



|                  |  |                 |  |                             |  |                       |              |  |                             |   |         |                               |  |   |                                      |   |  |   |        |  
|----------------- |  | --------------- |  | --------------------------- |  | --------------------- | ------------ |  | --------------------------- | - | ------- | ----------------------------- |  | - | ------------------------------------ | - |  | - | ------ | -
|December 31, 2014 | 
|ForeignCurrency   |  | Settlement Date |  | Counterparty                |  | Amount andTransaction |              |  | US$ Value atSettlement Date |   |         | US$ Value atDecember 31, 2014 |  |   | UnrealizedAppreciation(Depreciation) |  
|AUD               |  | Oct. 9, 2015    |  | State Street Bank and Trust |  | A$                    | 36,489 Sold  |  |                             | $ | 33,032  |                               |  | $ | 29,251                               |   |  | $ | 3,781  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 17,000 Sold  |  |                             |   | 22,919  |                               |  |   | 20,572                               |   |  |   | 2,347  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 43,500 Sold  |  |                             |   | 59,608  |                               |  |   | 52,639                               |   |  |   | 6,969  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 16,903 Sold  |  |                             |   | 22,845  |                               |  |   | 20,455                               |   |  |   | 2,390  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 1,153 Sold   |  |                             |   | 1,559   |                               |  |   | 1,396                                |   |  |   | 163    |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 16,000 Sold  |  |                             |   | 22,235  |                               |  |   | 19,361                               |   |  |   | 2,874  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 11,100 Sold  |  |                             |   | 15,114  |                               |  |   | 13,432                               |   |  |   | 1,682  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 11,100 Sold  |  |                             |   | 15,112  |                               |  |   | 13,432                               |   |  |   | 1,680  |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 3,650 Bought |  |                             |   | (4,875  | )                             |  |   | (4,417                               | ) |  |   | (458   | )
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 4,053 Sold   |  |                             |   | 5,237   |                               |  |   | 4,905                                |   |  |   | 332    |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 3,575 Sold   |  |                             |   | 4,517   |                               |  |   | 4,326                                |   |  |   | 191    |  
|EUR               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  |                      | 3,205 Sold   |  |                             |   | 3,983   |                               |  |   | 3,878                                |   |  |   | 105    |  
|EUR               |  | Oct. 9, 2015    |  | State Street Bank and Trust |  |                      | 61,278 Sold  |  |                             |   | 78,369  |                               |  |   | 74,397                               |   |  |   | 3,972  |  
|EUR               |  | Jan. 11, 2016   |  | J.P. Morgan Chase Bank      |  |                      | 5,400 Sold   |  |                             |   | 7,413   |                               |  |   | 6,571                                |   |  |   | 842    |  
|EUR               |  | Jan. 11, 2016   |  | J.P. Morgan Chase Bank      |  |                      | 61,000 Sold  |  |                             |   | 83,436  |                               |  |   | 74,228                               |   |  |   | 9,208  |  
|GBP               |  | Jan. 8, 2015    |  | State Street Bank and Trust |  | £                     | 22,000 Sold  |  |                             |   | 35,388  |                               |  |   | 34,288                               |   |  |   | 1,100  |  
|GBP               |  | Apr. 7, 2017    |  | J.P. Morgan Chase Bank      |  | £                     | 45,700 Sold  |  |                             |   | 74,737  |                               |  |   | 71,470                               |   |  |   | 3,267  |  
|                  |  |                 |  |                             |  |                       |              |  |                             |   |         |                               |  |   |                                      |   |  |   |        |  
|Total             |  |                 |  |                             |  |                       |              |  |                             | $ | 480,629 |                               |  | $ | 440,184                              |   |  | $ | 40,445 |  
|                  |  |                 |  |                             |  |                       |              |  |                             |   |         |                               |  |   |                                      |   |  |   |        |  

The Company entered into three cross currency swaps with a total notional amount of $455.75 million during the nine months
ended September 30, 2015. Cross currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. These swaps are marked-to-market by recognizing the
difference between the present value of cash flows of each leg of the swap as unrealized appreciation or depreciation. Realized gain or loss is recognized when periodic payments are received or paid and when the swaps are terminated. The entire
notional value of a cross currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations. The Company attempts to limit counterparty risk by only dealing with well-known counterparties.

As of September 30, 2015, the Companys open cross currency swaps were as follows ($ in thousands). The Company did not have any cross currency
swaps at December 31, 2014.



|                          |  |                                           |  |                                           |  |                 |                   |  |                                      |   |         | 
|------------------------- |  | ----------------------------------------- |  | ----------------------------------------- |  | --------------- | ----------------- |  | ------------------------------------ | - | ------- | 
|Counterparty              |  | Company Receives
Fixed Rate               |  | Company Pays
Fixed Rate                   |  | TerminationDate |                   |  | UnrealizedAppreciation(Depreciation) |  
|JPMorgan Chase Bank, N.A. |  | 0.300% on USD notional amount of
$9,342   |  | 1.975% on AUD notional amount of $13,161  |  |                 | June 30, 2017     |  |                                      | $ | 55      | 
|JPMorgan Chase Bank, N.A  |  | 0.759% on USD notional amount of
$316,351 |  | 0.026% on EUR notional amount of $282,962 |  |                 | December 31, 2017 |  |                                      | $ | (1,229) | 
|JPMorgan Chase Bank, N.A  |  | 0.590% on USD notional amount of
$130,061 |  | 1.006% on GBP notional amount of $84,637  |  |                 | December 31, 2017 |  |                                      | $ | 1,476   | 
|                          |  |                                           |  |                                           |  |                 |                   |  |                                      |   |         | 
|                          |  |                                           |  |                                           |  |                 |                   |  |                                      | $ | 302     | 
|                          |  |                                           |  |                                           |  |                 |                   |  |                                      |   |         | 

As of September 30, 2015, the combined contractual notional balance of the Companys foreign currency forward
contracts and cross currency swaps totaled $538.52 million, all of which related to economic hedging of the Companys foreign currency denominated debt investments. The table below displays the Companys foreign currency denominated debt
investments and foreign currency forward contracts, summarized by foreign currency type (in thousands).



|                 |  |                                                    |         |  |                          |   |         |            |  |   |                                               |  |  |                                            |         |  |  |   |         | 
|---------------- |  | -------------------------------------------------- | ------- |  | ------------------------ | - | ------- | ---------- |  | - | --------------------------------------------- |  |  | ------------------------------------------ | ------- |  |  | - | ------- | 
|                 |  | Debt Investments Denominated in Foreign Currencies |         |  | Hedges                   |  
|                 |  | As of September 30, 2015                           |         |  | As of September 30, 2015 |  
|Foreign Currency |  | Par Value in LocalCurrency                         |         |  | Par Value inUS$          |   |         | Fair Value |  |   | Foreign CurrencyHedge Amount inLocal Currency |  |  | ForeignCurrency HedgeAmount in U.S.Dollars |        
|AUD              |  | A$                                                 | 31,021  |  |                          | $ | 21,773  |            |  | $ | 21,518                                        |  |  | A$                                         | 30,887  |  |  | $ | 21,781  | 
|EUR              |  |                                                   | 353,087 |  |                          |   | 394,539 |            |  |   | 331,455                                       |  |  |                                           | 333,447 |  |  |   | 372,935 | 
|GBP              |  | £                                                  | 83,222  |  |                          |   | 125,894 |            |  |   | 125,697                                       |  |  | £                                          | 93,590  |  |  |   | 143,807 | 
|                 |  |                                                    |         |  |                          |   |         |            |  |   |                                               |  |  |                                            |         |  |  |   |         | 
|Total            |  |                                                    |         |  |                          | $ | 542,206 |            |  | $ | 478,670                                       |  |  |                                            |         |  |  | $ | 538,523 | 
|                 |  |                                                    |         |  |                          |   |         |            |  |   |                                               |  |  |                                            |         |  |  |   |         | 



51



---

##### Table of Contents

|4. | Derivative Instruments (continued)
|-- | ----------------------------------



Equity Options and Warrants:

The Company holds equity options and warrants in certain portfolio companies in an effort to achieve additional investment returns. In holding equity options
and warrants, the Company bears the risk of an unfavorable change in the value of the underlying equity interests. Equity options and warrants are recorded as investments at fair value in the condensed consolidated statements of assets and
liabilities. The aggregate fair value of equity options and warrants included in investments at fair value in the Companys condensed consolidated statements of assets and liabilities as of September 30, 2015 and December 31, 2014
represented 0.5% and 1.2%, respectively, of the Companys net assets.

Below is a summary of the Companys investments in equity options and
warrants as of September 30, 2015 (in thousands, except share amounts):



|                                                        |  |                |            |  |            |  |             |      |  |   |            |  |  |   |        | 
|------------------------------------------------------- |  | -------------- | ---------- |  | ---------- |  | ----------- | ---- |  | - | ---------- |  |  | - | ------ | 
|Company                                                 |  | ExpirationDate |            |  | No. Shares |  |             | Cost |  |   | Fair Value | 
|Amtek Global Technology Pte. Ltd. (SG), Warrants        |  |                | 12/31/2017 |  |            |  | 9,991       |      |  | $ | 4,636      |  |  | $ | 4,701  | 
|Amtek Global Technology Pte. Ltd. (SG), Warrants        |  |                | 12/31/2018 |  |            |  | 9,991       |      |  |   | 4,785      |  |  |   | 4,863  | 
|Education Management Corp., Warrants                    |  |                | 1/5/2022   |  |            |  | 2,320,791   |      |  |   | 371        |  |  |   |       | 
|Gruppo Argenta S.p.A., Warrants                         |  |                | (1)        |  |            |  | 225,289     |      |  |   | 5,342      |  |  |   | 2,312  | 
|Hilding Anders, Equity Options                          |  |                | 12/31/2020 |  |            |  | 236,160,807 |      |  |   | 14,988     |  |  |   |       | 
|Home Partners of America, Inc., Warrant Delivery Rights |  |                | (1)        |  |            |  | 322         |      |  |   | 5          |  |  |   | 5      | 
|Home Partners of America, Inc., Warrants                |  |                | 8/7/2024   |  |            |  | 2,353       |      |  |   | 257        |  |  |   | 230    | 
|Keystone Australia Holdings, Pty. Ltd., Warrants        |  |                | (1)        |  |            |  | 1,588,469   |      |  |   | 1,019      |  |  |   | 81     | 
|                                                        |  |                |            |  |            |  |             |      |  |   |            |  |  |   |        | 
|Total                                                   |  |                |            |  |            |  |             |      |  | $ | 31,403     |  |  | $ | 12,192 | 
|                                                        |  |                |            |  |            |  |             |      |  |   |            |  |  |   |        | 



|(1) | Expiration date contingent on certain events pursuant to underlying agreements.
|--- | -------------------------------------------------------------------------------

The Company may enter into
other derivative instruments and incur other exposures with other counterparties in the future. The derivative instruments held as of September 30, 2015 and December 31, 2014 generally reflect the volume of derivative activity throughout
the periods presented.

Total Return Swaps:

On November 15, 2012, Halifax Funding entered into the TRS with the Bank of Nova Scotia (BNS or the Counterparty). The TRS
arrangement with BNS consists of a set of TRS agreements. Pursuant to the TRS agreements, Halifax Funding may select a portfolio of single-name corporate loans and/or bonds (each, a TRS asset and together, the TRS assets)
with a maximum aggregate notional amount of $500 million. Under the terms of the TRS agreements, each TRS asset included in the TRS portfolio constitutes a separate total return swap transaction, although all calculations, payments and transfers
required to be made under the TRS agreements are calculated and treated on an aggregate basis, based upon all such transactions.

Halifax Funding receives
quarterly from BNS (i) all collected interest and fees generated by the TRS assets and (ii) realized gains from the sale or principal payments/paydowns of TRS assets, if any. Halifax Funding pays to BNS (i) a financing charge on the
TRS settled notional amount at a rate equal to the three-month LIBOR plus 0.80% per annum if the initial investment amount (i.e. posted collateral) equals or exceeds 50% of the TRS trade basis notional amount, or three-month LIBOR plus 1.00% if
the initial investment amount is less than 50% of the TRS trade basis notional amount and (ii) realized losses, if any, related to the TRS assets. In addition, upon the termination of the TRS arrangement, Halifax Funding will either receive
from BNS any net realized gain, or pay to BNS any net realized loss, on the liquidation of TRS assets.

Halifax Funding posts collateral in the form of
certificates of deposit held by a custodian. Generally, the required collateral amount is at least 40% of the notional amount of each TRS asset at the time that such TRS asset is confirmed for acquisition by the Counterparty. Halifax Funding may be
required to post additional collateral in the event the value of the TRS assets decreases below a specified amount. Halifax Funding is required to post additional collateral to ensure that the collaterals market value, as solely determined by
BNS, is at least equal to 25% of the value of the TRS portfolio.

The obligations of Halifax Funding under the TRS agreements are nonrecourse to the
Company and the Companys exposure to the TRS is limited to its equity in Halifax Funding, which is generally equal to the collateral posted by Halifax Funding. The Company has no contractual obligation to post any collateral or to pay any
financing charges to BNS. The Company may, but is not obligated to, increase its equity investment in Halifax Funding for the purpose of funding additional collateral or payment obligations for which Halifax Funding may become obligated during the
term of the TRS agreements. If the Company does not make any such additional equity investment in Halifax Funding and Halifax Funding fails to meet its obligations under the TRS agreements, then BNS will have the right to terminate the TRS
agreements and use the collateral posted by Halifax Funding with the custodian to offset any amount



52



---

##### Table of Contents

|4. | Derivative Instruments (continued)
|-- | ----------------------------------



owed to BNS. Halifax Funding may terminate the TRS agreements at any time upon providing at least 30
days notice prior to the proposed settlement date of the TRS assets related to such termination. In the absence of an early termination, the TRS will terminate on January 15, 2016. In the event of an early termination of the TRS, Halifax
Funding may be required to pay a make-whole fee based on a minimum spread amount to be earned by BNS over the life of the TRS agreements. Halifax Funding would have been required to pay a make-whole fee of $2.69 million if the TRS had been
terminated as of September 30, 2015.

As of September 30, 2015 and December 31, 2014, Halifax Funding had selected 53 and 49 underlying
debt positions, respectively, and had posted $142.64 million and $115.70 million, respectively, in collateral, which are recorded as collateral on deposit with custodian in the condensed consolidated statements of assets and liabilities. The
following table reconciles the TRS settled notional amount, upon which the financing charge to BNS is based, to the total, or trade basis, notional amount as of September 30, 2015 and December 31, 2014 (in thousands).



|                                                                                              |  |                    |         |   |                   |   |         |  
|--------------------------------------------------------------------------------------------- |  | ------------------ | ------- | - | ----------------- | - | ------- | -
|                                                                                              |  | September 30, 2015 |         |   | December 31, 2014 |  
|Settled notional amount                                                                       |  | $                  | 324,124 |   |                   | $ | 277,375 |  
|Unsettled additions                                                                           |  |                    |        |   |                   |   | 10,366  |  
|                                                                                              |  |                    |         |   |                   |   |         |  
|Total notional amount                                                                         |  | $                  | 324,124 |   |                   | $ | 287,741 |  
|                                                                                              |  |                    |         |   |                   |   |         |  
|                                                                                             
|The following table summarizes the fair value components of the TRS portfolio (in thousands): | 
|                                                                                              |  |                   
|                                                                                              |  | September 30, 2015 |         |   | December 31, 2014 |  
|Interest and fee income                                                                       |  | $                  | 5,174   |   |                   | $ | 3,545   |  
|Financing charge                                                                              |  |                    | (794    | ) |                   |   | (513    | )
|Net realized loss                                                                             |  |                    | (517    | ) |                   |   | (26     | )
|Net unrealized depreciation of TRS assets                                                     |  |                    | (6,310  | ) |                   |   | (6,451  | )
|                                                                                              |  |                    |         |   |                   |   |         |  
|TRS total fair value                                                                          |  | $                  | (2,447  | ) |                   | $ | (3,445  | )
|                                                                                              |  |                    |         |   |                   |   |         |  

The following table summarizes the components of the net realized gains on derivative instruments relating to the TRS (in
thousands):



|                                                                |  |                                  |        |   |                                 |   |      |      |  |   |        |   |  |   |       |  
|--------------------------------------------------------------- |  | -------------------------------- | ------ | - | ------------------------------- | - | ---- | ---- |  | - | ------ | - |  | - | ----- | -
|                                                                |  | Three Months Ended September 30, |        |   | Nine Months Ended September 30, |  
|                                                                |  | 2015                             |        |   | 2014                            |   |      | 2015 |  |   | 2014   |  
|Interest and fee income                                         |  | $                                | 5,138  |   |                                 | $ | 994  |      |  | $ | 12,294 |   |  | $ | 3,426 |  
|Financing charge                                                |  |                                  | (1,181 | ) |                                 |   | (127 | )    |  |   | (2,889 | ) |  |   | (372  | )
|Net realized gains                                              |  |                                  | 133    |   |                                 |   | 71   |      |  |   | 198    |   |  |   | 278   |  
|                                                                |  |                                  |        |   |                                 |   |      |      |  |   |        |   |  |   |       |  
|Net realized gains on derivative instruments related to the TRS |  | $                                | 4,090  |   |                                 | $ | 938  |      |  | $ | 9,603  |   |  | $ | 3,332 |  
|                                                                |  |                                  |        |   |                                 |   |      |      |  |   |        |   |  |   |       |  



53



---

##### Table of Contents

|4. | Derivative Instruments (continued)
|-- | ----------------------------------



The following is a summary of the TRS assets as of September 30, 2015 (in thousands):



|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|------------------------------------------------ |  | --------------------------------- |  | ------------- |  | ----------- |  | ------------- |  | --------------- | ------- |  | ---------- | - | ------- | ------------------------------------------- |  | - | ------ | -
|Company (a)                                      |  | Industry                          |  | Interest
Rate |  | LIBOR
Floor |  | Maturity
Date |  | Notional
Amount |         |  | Fair Value |   |         | Unrealized
Appreciation      (Depreciation) | 
|Senior Secured Loans - First Lien                |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|ABILITY Network, Inc.                            |  | Health Care Equipment& Services   |  | L + 500       |  | 1.00%       |  | 5/14/2021     |  | $               | 6,815   |  |            | $ | 6,840   |                                             |  | $ | 25     |  
|Acosta Holdco, Inc.                              |  | Commercial &Professional Services |  | L + 325       |  | 1.00%       |  | 9/26/2021     |  |                 | 4,260   |  |            |   | 4,211   |                                             |  |   | (49    | )
|Applied Systems, Inc.                            |  | Software & Services               |  | L + 325       |  | 1.00%       |  | 1/25/2021     |  |                 | 10,790  |  |            |   | 10,790  |                                             |  |   |       |  
|Aspen Dental Management, Inc.                    |  | Health Care Equipment& Services   |  | L + 450       |  | 1.00%       |  | 4/29/2022     |  |                 | 6,185   |  |            |   | 6,244   |                                             |  |   | 59     |  
|AssuredPartners, Inc.                            |  | Insurance                         |  | L + 400       |  | 1.00%       |  | 4/2/2021      |  |                 | 9,427   |  |            |   | 9,408   |                                             |  |   | (19    | )
|BJs Wholesale Club, Inc.                        |  | Food & StaplesRetailing           |  | L + 350       |  | 1.00%       |  | 9/26/2019     |  |                 | 3,949   |  |            |   | 3,909   |                                             |  |   | (40    | )
|Caesars Entertainment Operating Co., Inc. (b)(c) |  | Consumer Services                 |  | L + 725       |  | 0.00%       |  | 3/1/2017      |  |                 | 3,745   |  |            |   | 3,722   |                                             |  |   | (23    | )
|California Pizza Kitchen, Inc.                   |  | Food & StaplesRetailing           |  | L + 425       |  | 1.00%       |  | 3/29/2018     |  |                 | 3,770   |  |            |   | 3,848   |                                             |  |   | 78     |  
|Catalina Marketing Corp.                         |  | Media                             |  | L + 350       |  | 1.00%       |  | 4/9/2021      |  |                 | 1,797   |  |            |   | 1,520   |                                             |  |   | (277   | )
|CHG Companies, Inc.                              |  | Health Care Equipment& Services   |  | L + 325       |  | 1.00%       |  | 11/19/2019    |  |                 | 2,865   |  |            |   | 2,856   |                                             |  |   | (9     | )
|CityCenter Holdings, LLC                         |  | Real Estate                       |  | L + 325       |  | 1.00%       |  | 10/16/2020    |  |                 | 12,762  |  |            |   | 12,751  |                                             |  |   | (11    | )
|CPI International, Inc.                          |  | Capital Goods                     |  | L + 325       |  | 1.00%       |  | 11/17/2017    |  |                 | 4,784   |  |            |   | 4,678   |                                             |  |   | (106   | )
|CSM Bakery Products                              |  | Food, Beverage &Tobacco           |  | L + 400       |  | 1.00%       |  | 7/3/2020      |  |                 | 4,900   |  |            |   | 4,904   |                                             |  |   | 4      |  
|CTI Foods Holding Co., LLC                       |  | Food, Beverage &Tobacco           |  | L + 350       |  | 1.00%       |  | 6/29/2020     |  |                 | 3,957   |  |            |   | 3,874   |                                             |  |   | (83    | )
|Distribution International, Inc.                 |  | Retailing                         |  | L + 500       |  | 1.00%       |  | 12/10/2021    |  |                 | 4,913   |  |            |   | 4,832   |                                             |  |   | (81    | )
|DJO Finance, LLC                                 |  | Health Care Equipment& Services   |  | L + 325       |  | 1.00%       |  | 6/8/2020      |  |                 | 8,846   |  |            |   | 8,734   |                                             |  |   | (112   | )
|Emerald Expositions Holding, Inc.                |  | Media                             |  | L + 375       |  | 1.00%       |  | 6/17/2020     |  |                 | 9,961   |  |            |   | 9,852   |                                             |  |   | (109   | )
|Four Seasons Holdings, Inc. (b)                  |  | Consumer Services                 |  | L + 275       |  | 0.75%       |  | 6/27/2020     |  |                 | 406     |  |            |   | 409     |                                             |  |   | 3      |  
|Grocery Outlet, Inc.                             |  | Food & StaplesRetailing           |  | L + 375       |  | 1.00%       |  | 10/21/2021    |  |                 | 4,990   |  |            |   | 4,888   |                                             |  |   | (102   | )
|Gymboree Corp.                                   |  | Retailing                         |  | L + 350       |  | 1.50%       |  | 2/23/2018     |  |                 | 2,834   |  |            |   | 2,062   |                                             |  |   | (772   | )
|Gypsum Management & Supply, Inc.                 |  | Capital Goods                     |  | L + 375       |  | 1.00%       |  | 4/1/2021      |  |                 | 8,374   |  |            |   | 8,202   |                                             |  |   | (172   | )
|Hanson Building Products North America (b)       |  | Materials                         |  | L + 550       |  | 1.00%       |  | 3/13/2022     |  |                 | 12,495  |  |            |   | 12,603  |                                             |  |   | 108    |  
|Harbor Freight Tools USA, Inc.                   |  | Capital Goods                     |  | L + 375       |  | 1.00%       |  | 7/26/2019     |  |                 | 7,790   |  |            |   | 7,765   |                                             |  |   | (25    | )
|Hillman Group, Inc.                              |  | Consumer Durables &Apparel        |  | L + 350       |  | 1.00%       |  | 6/30/2021     |  |                 | 12,844  |  |            |   | 12,782  |                                             |  |   | (62    | )
|HUB International, Ltd.                          |  | Insurance                         |  | L + 300       |  | 1.00%       |  | 10/2/2020     |  |                 | 14,109  |  |            |   | 14,028  |                                             |  |   | (81    | )
|Hyland Software, Inc.                            |  | Software & Services               |  | L + 375       |  | 1.00%       |  | 7/1/2022      |  |                 | 6,921   |  |            |   | 6,865   |                                             |  |   | (56    | )
|Informatica Corp. (b)                            |  | Software & Services               |  | L + 350       |  | 1.00%       |  | 8/5/2022      |  |                 | 7,307   |  |            |   | 7,261   |                                             |  |   | (46    | )
|iPayment, Inc.                                   |  | Software & Services               |  | L + 525       |  | 1.50%       |  | 5/8/2017      |  |                 | 7,885   |  |            |   | 7,794   |                                             |  |   | (91    | )
|Kronos, Inc.                                     |  | Software & Services               |  | L + 350       |  | 1.00%       |  | 10/30/2019    |  |                 | 9,859   |  |            |   | 9,864   |                                             |  |   | 5      |  
|Learfield Communications, Inc.                   |  | Media                             |  | L + 350       |  | 1.00%       |  | 10/9/2020     |  |                 | 7,380   |  |            |   | 7,329   |                                             |  |   | (51    | )
|Milacron, LLC                                    |  | Capital Goods                     |  | L + 350       |  | 1.00%       |  | 9/28/2020     |  |                 | 1,281   |  |            |   | 1,288   |                                             |  |   | 7      |  
|MultiPlan, Inc.                                  |  | Health Care Equipment& Services   |  | L + 275       |  | 1.00%       |  | 3/31/2021     |  |                 | 8,592   |  |            |   | 8,466   |                                             |  |   | (126   | )
|Neiman Marcus Group, LLC                         |  | Retailing                         |  | L + 325       |  | 1.00%       |  | 10/25/2020    |  |                 | 8,819   |  |            |   | 8,701   |                                             |  |   | (118   | )
|OneStopPlus Group                                |  | Retailing                         |  | L + 375       |  | 1.00%       |  | 3/18/2021     |  |                 | 351     |  |            |   | 345     |                                             |  |   | (6     | )
|P2 Energy Solutions, Inc. (b)                    |  | Software & Services               |  | L + 400       |  | 1.00%       |  | 10/30/2020    |  |                 | 4,698   |  |            |   | 4,607   |                                             |  |   | (91    | )
|RedPrairie Corp.                                 |  | Software & Services               |  | L + 500       |  | 1.00%       |  | 12/21/2018    |  |                 | 4,851   |  |            |   | 4,464   |                                             |  |   | (387   | )
|Riverbed Technology, Inc.                        |  | Technology Hardware& Equipment    |  | L + 500       |  | 1.00%       |  | 4/24/2022     |  |                 | 4,950   |  |            |   | 4,978   |                                             |  |   | 28     |  
|Savers, Inc.                                     |  | Retailing                         |  | L + 375       |  | 1.25%       |  | 7/9/2019      |  |                 | 8,819   |  |            |   | 7,595   |                                             |  |   | (1,224 | )
|Talbots, Inc.                                    |  | Retailing                         |  | L + 450       |  | 1.00%       |  | 3/19/2020     |  |                 | 10,161  |  |            |   | 10,024  |                                             |  |   | (137   | )
|The TelX Group, Inc.                             |  | TelecommunicationServices         |  | L + 350       |  | 1.00%       |  | 4/9/2020      |  |                 | 3,962   |  |            |   | 3,928   |                                             |  |   | (34    | )
|TIBCO Software, Inc.                             |  | Software & Services               |  | L + 550       |  | 1.00%       |  | 12/4/2020     |  |                 | 4,726   |  |            |   | 4,954   |                                             |  |   | 228    |  
|Triple Point Technology, Inc.                    |  | Software & Services               |  | L + 425       |  | 1.00%       |  | 7/10/2020     |  |                 | 6,985   |  |            |   | 5,984   |                                             |  |   | (1,001 | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Total Senior Secured Loans - First Lien          |  |                                   |  |               |  |             |  |               |  |                 | 275,115 |  |            |   | 270,159 |                                             |  |   | (4,956 | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Senior Secured Loans - Second Lien               |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Applied Systems, Inc.                            |  | Software & Services               |  | L + 650       |  | 1.00%       |  | 1/24/2022     |  |                 | 3,796   |  |            |   | 3,730   |                                             |  |   | (66    | )
|Gypsum Management & Supply, Inc.                 |  | Capital Goods                     |  | L + 675       |  | 1.00%       |  | 4/1/2022      |  |                 | 5,633   |  |            |   | 5,730   |                                             |  |   | 97     |  
|Maxim Crane, LP                                  |  | Capital Goods                     |  | L + 925       |  | 1.00%       |  | 11/26/2018    |  |                 | 9,021   |  |            |   | 8,735   |                                             |  |   | (286   | )
|Misys Ltd. (b)                                   |  | Software & Services               |  | 12.00%        |  |             |  | 6/12/2019     |  |                 | 2,898   |  |            |   | 3,038   |                                             |  |   | 140    |  
|NEP Group, Inc.                                  |  | Media                             |  | L + 875       |  | 1.25%       |  | 7/22/2020     |  |                 | 8,790   |  |            |   | 8,831   |                                             |  |   | 41     |  
|RedPrairie Corp.                                 |  | Software & Services               |  | L + 1000      |  | 1.25%       |  | 12/21/2019    |  |                 | 5,550   |  |            |   | 4,648   |                                             |  |   | (902   | )
|The TelX Group, Inc.                             |  | TelecommunicationServices         |  | L + 650       |  | 1.00%       |  | 4/9/2021      |  |                 | 4,844   |  |            |   | 4,866   |                                             |  |   | 22     |  
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Total Senior Secured Loans - Second Lien         |  |                                   |  |               |  |             |  |               |  |                 | 40,532  |  |            |   | 39,578  |                                             |  |   | (954   | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Senior Secured Bonds                             |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Artesyn Technologies, Inc.                       |  | Technology Hardware& Equipment    |  | 9.75%         |  |             |  | 10/15/2020    |  |                 | 3,640   |  |            |   | 3,491   |                                             |  |   | (149   | )
|Hot Topic, Inc.                                  |  | Consumer Durables &Apparel        |  | 9.25%         |  |             |  | 6/15/2021     |  |                 | 3,675   |  |            |   | 3,413   |                                             |  |   | (262   | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Total Senior Secured Bonds                       |  |                                   |  |               |  |             |  |               |  |                 | 7,315   |  |            |   | 6,904   |                                             |  |   | (411   | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Subordinated Debt                                |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|GCI, Inc.                                        |  | TelecommunicationServices         |  | 6.75%         |  |             |  | 6/1/2021      |  |                 | 1,002   |  |            |   | 1,020   |                                             |  |   | 18     |  
|Summit Materials, LLC                            |  | Materials                         |  | 10.50%        |  |             |  | 1/31/2020     |  |                 | 160     |  |            |   | 153     |                                             |  |   | (7     | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|Total Subordinated Debt                          |  |                                   |  |               |  |             |  |               |  |                 | 1,162   |  |            |   | 1,173   |                                             |  |   | 11     |  
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  
|TOTAL                                            |  |                                   |  |               |  |             |  |               |  | $               | 324,124 |  |            | $ | 317,814 |                                             |  | $ | (6,310 | )
|                                                 |  |                                   |  |               |  |             |  |               |  |                 |         |  |            |   |         |                                             |  |   |        |  

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

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

(c) Investment was on non-accrual status as of September 30, 2015.



54



---

##### Table of Contents

|4. | Derivative Instruments (continued)
|-- | ----------------------------------



The following is a summary of the TRS assets as of December 31, 2014 (in thousands):



|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|--------------------------------------------- |  | --------------------------------- |  | ------------ | -------- | - | ----------- |  | ---- | ------------- |  | --------------- |  | - | ---------- |  |  | ------------------------------------------------ | ------- |  |  | - | ------ | -
|Company (a)                                   |  | Industry                          |  | InterestRate |          |   | LIBOR
Floor |  |      | Maturity
Date |  | Notional
Amount |  |   | Fair Value |  |  | Unrealized      Appreciation      (Depreciation) |        
|Senior Secured Loans - First Lien             |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|ABILITY Network, Inc.                         |  | Health Care Equipment& Services   |  |              | L + 500  |   |             |  | 1.00 | %             |  | 5/14/2021       |  | $ | 6,867      |  |  | $                                                | 6,719   |  |  | $ | (148   | )
|Applied Systems, Inc. (c)                     |  | Software & Services               |  |              | L + 325  |   |             |  | 1.00 | %             |  | 1/25/2021       |  |   | 10,873     |  |  |                                                  | 10,706  |  |  |   | (167   | )
|AssuredPartners, Inc.                         |  | Insurance                         |  |              | L + 350  |   |             |  | 1.00 | %             |  | 4/2/2021        |  |   | 9,498      |  |  |                                                  | 9,408   |  |  |   | (90    | )
|BJs Wholesale Club, Inc.                     |  | Food & StaplesRetailing           |  |              | L + 350  |   |             |  | 1.00 | %             |  | 9/26/2019       |  |   | 3,975      |  |  |                                                  | 3,880   |  |  |   | (95    | )
|Caesars Entertainment Operating Co., Inc. (b) |  | Consumer Services                 |  |              | L + 675  |   |             |  | 0.00 | %             |  | 3/1/2017        |  |   | 3,745      |  |  |                                                  | 3,488   |  |  |   | (257   | )
|California Pizza Kitchen, Inc.                |  | Food & StaplesRetailing           |  |              | L + 425  |   |             |  | 1.00 | %             |  | 3/29/2018       |  |   | 3,826      |  |  |                                                  | 3,817   |  |  |   | (9     | )
|Catalina Marketing Corp.                      |  | Media                             |  |              | L + 350  |   |             |  | 1.00 | %             |  | 4/9/2021        |  |   | 4,002      |  |  |                                                  | 3,768   |  |  |   | (234   | )
|Ceridian Corp.                                |  | Commercial &Professional Services |  |              | L + 350  |   |             |  | 1.00 | %             |  | 9/15/2020       |  |   | 2,055      |  |  |                                                  | 2,009   |  |  |   | (46    | )
|CHG Companies, Inc.                           |  | Health Care Equipment& Services   |  |              | L + 325  |   |             |  | 1.00 | %             |  | 11/19/2019      |  |   | 12,929     |  |  |                                                  | 12,694  |  |  |   | (235   | )
|CityCenter Holdings, LLC                      |  | Real Estate                       |  |              | L + 325  |   |             |  | 1.00 | %             |  | 10/16/2020      |  |   | 12,762     |  |  |                                                  | 12,639  |  |  |   | (123   | )
|CRC Health Group, Inc.                        |  | Health Care Equipment& Services   |  |              | L + 425  |   |             |  | 1.00 | %             |  | 3/29/2021       |  |   | 2,995      |  |  |                                                  | 2,993   |  |  |   | (2     | )
|CSM Bakery Products                           |  | Food, Beverage &Tobacco           |  |              | L + 400  |   |             |  | 1.00 | %             |  | 7/3/2020        |  |   | 4,938      |  |  |                                                  | 4,875   |  |  |   | (63    | )
|CTI Foods Holding Co., LLC                    |  | Food, Beverage &Tobacco           |  |              | L + 350  |   |             |  | 1.00 | %             |  | 6/28/2020       |  |   | 3,988      |  |  |                                                  | 3,883   |  |  |   | (105   | )
|Emerald Expositions Holding, Inc.             |  | Media                             |  |              | L + 375  |   |             |  | 1.00 | %             |  | 6/17/2020       |  |   | 10,407     |  |  |                                                  | 10,096  |  |  |   | (311   | )
|First American Payment Systems, L.P.          |  | Software & Services               |  |              | L + 450  |   |             |  | 1.25 | %             |  | 10/12/2018      |  |   | 2,404      |  |  |                                                  | 2,360   |  |  |   | (44    | )
|Four Seasons Holdings, Inc. (b)               |  | Consumer Services                 |  |              | L + 275  |   |             |  | 0.75 | %             |  | 6/27/2020       |  |   | 4,919      |  |  |                                                  | 4,875   |  |  |   | (44    | )
|Gymboree Corp.                                |  | Retailing                         |  |              | L + 350  |   |             |  | 1.50 | %             |  | 2/23/2018       |  |   | 2,834      |  |  |                                                  | 2,038   |  |  |   | (796   | )
|Gypsum Management & Supply, Inc.              |  | Capital Goods                     |  |              | L + 375  |   |             |  | 1.00 | %             |  | 4/1/2021        |  |   | 8,437      |  |  |                                                  | 8,174   |  |  |   | (263   | )
|Harbor Freight Tools USA, Inc.                |  | Capital Goods                     |  |              | L + 375  |   |             |  | 1.00 | %             |  | 7/26/2019       |  |   | 8,227      |  |  |                                                  | 8,142   |  |  |   | (85    | )
|Hillman Group, Inc.                           |  | Capital Goods                     |  |              | L + 350  |   |             |  | 1.00 | %             |  | 6/30/2021       |  |   | 12,941     |  |  |                                                  | 12,718  |  |  |   | (223   | )
|HUB International, Ltd.                       |  | Insurance                         |  |              | L + 325  |   |             |  | 1.00 | %             |  | 10/2/2020       |  |   | 14,217     |  |  |                                                  | 14,037  |  |  |   | (180   | )
|Hyland Software, Inc.                         |  | Software & Services               |  |              | L + 375  |   |             |  | 1.00 | %             |  | 2/19/2021       |  |   | 6,973      |  |  |                                                  | 6,860   |  |  |   | (113   | )
|iPayment, Inc.                                |  | Software & Services               |  |              | L + 525  |   |             |  | 1.50 | %             |  | 5/8/2017        |  |   | 7,885      |  |  |                                                  | 7,767   |  |  |   | (118   | )
|Kronos, Inc. (c)                              |  | Software & Services               |  |              | L + 350  |   |             |  | 1.00 | %             |  | 10/30/2019      |  |   | 9,965      |  |  |                                                  | 9,906   |  |  |   | (59    | )
|Learfield Communications, Inc.                |  | Media                             |  |              | L + 350  |   |             |  | 1.00 | %             |  | 10/9/2020       |  |   | 7,417      |  |  |                                                  | 7,251   |  |  |   | (166   | )
|Neiman Marcus Group, LLC                      |  | Retailing                         |  |              | L + 325  |   |             |  | 1.00 | %             |  | 10/25/2020      |  |   | 8,886      |  |  |                                                  | 8,760   |  |  |   | (126   | )
|OneStopPlus Group                             |  | Consumer Durables &Apparel        |  |              | L + 350  |   |             |  | 1.00 | %             |  | 3/18/2021       |  |   | 353        |  |  |                                                  | 344     |  |  |   | (9     | )
|OpenLink Financial, Inc.                      |  | Software & Services               |  |              | L + 500  |   |             |  | 1.25 | %             |  | 10/30/2017      |  |   | 822        |  |  |                                                  | 808     |  |  |   | (14    | )
|P2 Energy Solutions, Inc.                     |  | Software & Services               |  |              | L + 400  |   |             |  | 1.00 | %             |  | 10/30/2020      |  |   | 4,985      |  |  |                                                  | 4,789   |  |  |   | (196   | )
|RedPrairie Corp.                              |  | Software & Services               |  |              | L + 500  |   |             |  | 1.00 | %             |  | 12/21/2018      |  |   | 4,888      |  |  |                                                  | 4,607   |  |  |   | (281   | )
|Savers, Inc. (c)                              |  | Retailing                         |  |              | L + 375  |   |             |  | 1.25 | %             |  | 7/9/2019        |  |   | 8,877      |  |  |                                                  | 8,647   |  |  |   | (230   | )
|SGS International, Inc.                       |  | Media                             |  |              | L + 325  |   |             |  | 1.00 | %             |  | 10/17/2019      |  |   | 4,918      |  |  |                                                  | 4,835   |  |  |   | (83    | )
|Surgery Center Holdings, Inc.                 |  | Health Care Equipment& Services   |  |              | L + 425  |   |             |  | 1.00 | %             |  | 11/3/2020       |  |   | 5,013      |  |  |                                                  | 4,813   |  |  |   | (200   | )
|The TelX Group, Inc.                          |  | TelecommunicationServices         |  |              | L + 350  |   |             |  | 1.00 | %             |  | 4/9/2020        |  |   | 3,992      |  |  |                                                  | 3,858   |  |  |   | (134   | )
|TIBCO Software, Inc. (b)                      |  | Software & Services               |  |              | L + 550  |   |             |  | 1.00 | %             |  | 12/4/2020       |  |   | 4,750      |  |  |                                                  | 4,807   |  |  |   | 57     |  
|Travelport, LLC (b)                           |  | Software & Services               |  |              | L + 500  |   |             |  | 1.00 | %             |  | 9/2/2021        |  |   | 3,950      |  |  |                                                  | 3,989   |  |  |   | 39     |  
|Triple Point Technology, Inc.                 |  | Software & Services               |  |              | L + 425  |   |             |  | 1.00 | %             |  | 7/10/2020       |  |   | 4,186      |  |  |                                                  | 4,123   |  |  |   | (63    | )
|Varsity Brands, Inc. (c)                      |  | Consumer Durables &Apparel        |  |              | L + 500  |   |             |  | 1.00 | %             |  | 12/10/2021      |  |   | 4,950      |  |  |                                                  | 4,965   |  |  |   | 15     |  
|Wilton Brands, LLC                            |  | Materials                         |  |              | L + 625  |   |             |  | 1.25 | %             |  | 8/30/2018       |  |   | 3,095      |  |  |                                                  | 3,020   |  |  |   | (75    | )
|Zayo Group, LLC                               |  | TelecommunicationServices         |  |              | L + 300  |   |             |  | 1.00 | %             |  | 7/2/2019        |  |   | 13,222     |  |  |                                                  | 13,194  |  |  |   | (28    | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Total Senior Secured Loans - First Lien       |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   | 255,966    |  |  |                                                  | 250,662 |  |  |   | (5,304 | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Senior Secured Loans - Second Lien            |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|CRC Health Group, Inc.                        |  | Health Care Equipment& Services   |  |              | L + 800  |   |             |  | 1.00 | %             |  | 9/28/2021       |  |   | 4,010      |  |  |                                                  | 4,077   |  |  |   | 67     |  
|Maxim Crane, LP                               |  | Capital Goods                     |  |              | L + 925  |   |             |  | 1.00 | %             |  | 11/26/2018      |  |   | 9,021      |  |  |                                                  | 8,932   |  |  |   | (89    | )
|Misys Ltd. (b)                                |  | Software & Services               |  |              | 12.00    | % |             |  |      |               |  | 6/12/2019       |  |   | 2,898      |  |  |                                                  | 3,047   |  |  |   | 149    |  
|NEP Group, Inc.                               |  | Media                             |  |              | L + 825  |   |             |  | 1.25 | %             |  | 7/22/2020       |  |   | 1,323      |  |  |                                                  | 1,301   |  |  |   | (22    | )
|RedPrairie Corp.                              |  | Software & Services               |  |              | L + 1000 |   |             |  | 1.25 | %             |  | 12/21/2019      |  |   | 5,550      |  |  |                                                  | 4,575   |  |  |   | (975   | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Total Senior Secured Loans - Second Lien      |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   | 22,802     |  |  |                                                  | 21,932  |  |  |   | (870   | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Senior Secured Bonds                          |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Hot Topic, Inc.                               |  | Consumer Durables &Apparel        |  |              | 9.25     | % |             |  |      |               |  | 6/15/2021       |  |   | 3,675      |  |  |                                                  | 3,763   |  |  |   | 88     |  
|Artesyn Technologies, Inc.                    |  | Technology Hardware& Equipment    |  |              | 9.75     | % |             |  |      |               |  | 10/15/2020      |  |   | 3,640      |  |  |                                                  | 3,303   |  |  |   | (337   | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Total Senior Secured Bonds                    |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   | 7,315      |  |  |                                                  | 7,066   |  |  |   | (249   | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Subordinated Debt                             |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|GCI, Inc.                                     |  | TelecommunicationServices         |  |              | 6.75     | % |             |  |      |               |  | 6/1/2021        |  |   | 1,002      |  |  |                                                  | 981     |  |  |   | (21    | )
|Summit Materials, LLC                         |  | Materials                         |  |              | 10.50    | % |             |  |      |               |  | 1/31/2020       |  |   | 656        |  |  |                                                  | 649     |  |  |   | (7     | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|Total Subordinated Debt                       |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   | 1,658      |  |  |                                                  | 1,630   |  |  |   | (28    | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  
|TOTAL                                         |  |                                   |  |              |          |   |             |  |      |               |  |                 |  | $ | 287,741    |  |  | $                                                | 281,290 |  |  | $ | (6,451 | )
|                                              |  |                                   |  |              |          |   |             |  |      |               |  |                 |  |   |            |  |  |                                                  |         |  |  |   |        |  

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

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

(c) TRS asset position or portion thereof unsettled as of December 31, 2014.



55



---

##### Table of Contents

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

The Companys investments were categorized in the fair value
hierarchy described in Note 2. Significant Accounting Policies, as follows as of September 30, 2015 and December 31, 2014 (in thousands):



|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|---------------------------------- |  | ------------------ | ------ |  | ------- | - | --------- | ------- |  | - | --------- |  |  | - | --------- | 
|                                   |  | September 30, 2015 |       
|Description                        |  | Level 1            |        |  | Level 2 |   |           | Level 3 |  |   | Total     | 
|Senior debt                        |  | $                  | -      |  |         | $ | 1,175,428 |         |  | $ | 1,354,192 |  |  | $ | 2,529,620 | 
|Subordinated debt                  |  |                    | -      |  |         |   | 251,167   |         |  |   | 232,809   |  |  |   | 483,976   | 
|Structured products                |  |                    | -      |  |         |   | -         |         |  |   | 91,669    |  |  |   | 91,669    | 
|Equity/Other                       |  |                    | -      |  |         |   | 9,579     |         |  |   | 296,027   |  |  |   | 305,606   | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Subtotal                           |  |                    | -      |  |         |   | 1,436,174 |         |  |   | 1,974,697 |  |  |   | 3,410,871 | 
|Short-term investments             |  |                    | 68,882 |  |         |   | -         |         |  |   | -         |  |  |   | 68,882    | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Total investments                  |  | $                  | 68,882 |  |         | $ | 1,436,174 |         |  | $ | 1,974,697 |  |  | $ | 3,479,753 | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|                                   |  |                    |        | 
|Derivative Instruments             |  | Level 1            |        |  | Level 2 |   |           | Level 3 |  |   | Total     | 
|Assets                             |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Cross currency swaps               |  | $                  | -      |  |         | $ | 1,531     |         |  | $ | -         |  |  | $ | 1,531     | 
|Foreign currency forward contracts |  |                    | -      |  |         |   | 386       |         |  |   | -         |  |  |   | 386       | 
|Liabilities                        |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Cross currency swaps               |  |                    | -      |  |         |   | (1,229)   |         |  |   | -         |  |  |   | (1,229)   | 
|Total return swaps                 |  |                    | -      |  |         |   | -         |         |  |   | (2,447)   |  |  |   | (2,447)   | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Total                              |  | $                  | -      |  |         | $ | 688       |         |  | $ | (2,447)   |  |  | $ | (1,759)   | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|                                   | 
|                                   |  | December 31, 2014  |       
|                                   |  |                    |        | 
|Description                        |  | Level 1            |        |  | Level 2 |   |           | Level 3 |  |   | Total     | 
|Senior debt                        |  | $                  | -      |  |         | $ | 976,274   |         |  | $ | 1,143,744 |  |  | $ | 2,120,018 | 
|Subordinated debt                  |  |                    | -      |  |         |   | 236,896   |         |  |   | 196,859   |  |  |   | 433,755   | 
|Structured products                |  |                    | -      |  |         |   | -         |         |  |   | 36,421    |  |  |   | 36,421    | 
|Equity/Other                       |  |                    | -      |  |         |   | 5,069     |         |  |   | 125,308   |  |  |   | 130,377   | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Subtotal                           |  |                    | -      |  |         |   | 1,218,239 |         |  |   | 1,502,332 |  |  |   | 2,720,571 | 
|Short-term investments             |  |                    | 629    |  |         |   | -         |         |  |   | -         |  |  |   | 629       | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Total investments                  |  | $                  | 629    |  |         | $ | 1,218,239 |         |  | $ | 1,502,332 |  |  | $ | 2,721,200 | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|                                   |  |                    |        | 
|Derivative Instruments             |  | Level 1            |        |  | Level 2 |   |           | Level 3 |  |   | Total     | 
|Assets                             |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Foreign currency forward contracts |  | $                  | -      |  |         | $ | 40,903    |         |  | $ | -         |  |  | $ | 40,903    | 
|Liabilities                        |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Total return swaps                 |  |                    | -      |  |         |   | -         |         |  |   | (3,445)   |  |  |   | (3,445)   | 
|Foreign currency forward contracts |  |                    | -      |  |         |   | (458)     |         |  |   | -         |  |  |   | (458)     | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 
|Total                              |  | $                  | -      |  |         | $ | 40,445    |         |  | $ | (3,445)   |  |  | $ | 37,000    | 
|                                   |  |                    |        |  |         |   |           |         |  |   |           |  |  |   |           | 

There were no transfers between Level 1 and Level 2 during the nine months ended September 30, 2015 and 2014.

The carrying value of cash and foreign currency is classified as Level 1 with respect to the fair value hierarchy. The carrying values of the Companys
collateral on deposit with custodian, term loan and revolving credit facilities approximate their fair value and are classified as Level 2 with regards to the fair value hierarchy.



56



---

##### Table of Contents

|5. | Fair Value of Financial Instruments (continued)
|-- | -----------------------------------------------

At September 30, 2015, the Company held 84
distinct investment positions classified as Level 3, representing an aggregate fair value of $1.97 billion and 56.7% of the total investment portfolio. At December 31, 2014, the Company held 63 distinct investment positions classified as Level
3, representing an aggregate fair value of $1.50 billion and 55.2% of the total investment portfolio. The ranges of unobservable inputs used in the fair value measurement of the Companys Level 3 investments as of September 30, 2015 and
December 31, 2014 were as follows (in thousands):



|                         |  |                   |            |  |                          |                                |                     |                                           |                              |                                       |                                                 |                 
|------------------------ |  | ----------------- | ---------- |  | ------------------------ | ------------------------------ | ------------------- | ----------------------------------------- | ---------------------------- | ------------------------------------- | ----------------------------------------------- | ----------------
|As of September 30,
2015
|Asset Group              |  | Fair Value (1)(2) |            |  | Valuation Techniques (3) |                                | Unobservable Inputs |                                           | Range (Weighted Average) (4) |                                       | Impact to Valuationfrom an Increase inInput (5)
|Senior Debt              |  |                   | $1,328,264 |  |                          | Discounted Cash Flow           |                     | Discount Rate                             |                              | 7.84% - 19.49% (11.54%)               |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Market Yield                              |                              | 2.52% - 19.00% (9.26%)                |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Yield Premium                             |                              | 0.00% - 6.50% (2.33%)                 |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Weighted Average Cost of Capital          |                              | 6.30% - 22.10% (10.88%)               |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | EBITDA Multiple                           |                              | 3.40x - 19.30x  (8.23x)               |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Tangible Book Value Multiple              |                              | 1.40x  (1.40x)                        |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Interest Rate Volatility                  |                              | 25.00% (25.00%)                       |                                                 | Decrease        
|                         |  |                   | 15,314     |  |                          | Waterfall                      |                     | EBITDA Multiple                           |                              | 5.20x  (5.20x)                        |                                                 | Increase        
|                         |  |                   | 7,396      |  |                          | Discounted Cash                |                     | Discount Rate                             |                              | 108.74% (108.74%)                     |                                                 | Decrease        
|                         |  |                   |            |  |                          | Flow/LiquidationAnalysis/Quote |                     | Expected Recovery Given Liquidation Quote |                              | 0.00% (0.00%)
17.50% (17.50%)         |                                                 | IncreaseIncrease
|                         |  |                   | 3,218      |  |                          | Liquidation Analysis           |                     | Expected Recovery Given Liquidation       |                              | 16.25% (16.25%)                       |                                                 | Increase        
|Subordinated Debt        |  |                   | 229,009    |  |                          | Discounted Cash Flow           |                     | Discount Rate                             |                              | 7.25% - 21.14% (12.99%)               |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Market Yield                              |                              | 7.04% - 19.42% (10.33%)               |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Yield Premium                             |                              | 0.00% - 4.25% (3.97%)                 |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Weighted Average Cost of Capital          |                              | 10.75% - 19.50% (13.60%)              |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | EBITDA Multiple                           |                              | 3.20x - 14.21x  (9.41x)               |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Interest Rate Volatility                  |                              | 25.00% (25.00%)                       |                                                 | Decrease        
|                         |  |                   | 3,800      |  |                          | Waterfall                      |                     | EBITDA Multiple                           |                              | 14.21x  (14.21x)                      |                                                 | Increase        
|                         |  |                   | -          |  |                          | Option Pricing Model           |                     | EBITDA Multiple                           |                              | 9.58x  (9.58x)                        |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Implied Volatility                        |                              | 38.40% (38.40%)                       |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Risk Free Rate                            |                              | 0.82% (0.82%)                         |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Yield                                     |                              | 0.00% (0.00%)                         |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Term                                      |                              | 2.25 years  (2.25 years)              |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Illiquidity Discounts                     |                              | 0.00% (0.00%)                         |                                                 | Decrease        
|Structured Products      |  |                   | 85,894     |  |                          | Discounted Cash Flow           |                     | Discount Rate                             |                              | 9.77% - 17.11% (14.68%)               |                                                 | Decrease        
|                         |  |                   | 5,775      |  |                          | Book Value                     |                     | Book Value                                |                              | 1.00x  (1.00x)                        |                                                 | Increase        
|Equity/Other             |  |                   | 103,266    |  |                          | Waterfall                      |                     | Asset Appraisals                          |                              | N/A                                   |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Change in Market Index                    |                              | 2.46% (2.46%)                         |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Additional Discounts                      |                              | 3.00% (3.00%)                         |                                                 | Decrease        
|                         |  |                   | 86,020     |  |                          | Discounted Cash Flow           |                     | Discount Rate                             |                              | 11.80% - 13.88% (13.78%)              |                                                 | Decrease        
|                         |  |                   | 58,404     |  |                          | Net Asset Value                |                     | Net Asset Value                           |                              | N/A                                   |                                                 | Increase        
|                         |  |                   | 35,608     |  |                          | Market Comparables             |                     | EBITDA Multiple                           |                              | 4.90x - 12.08x  (9.40x)               |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Revenue Multiple                          |                              | 0.30x  (0.30x)                        |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Illiquidity Discounts                     |                              | 10.00% - 15.00% (12.56%)              |                                                 | Decrease        
|                         |  |                   | 12,729     |  |                          | Option Pricing Model           |                     | EBITDA Multiple                           |                              | 6.00x - 11.15x  (7.10x)               |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Implied Volatility                        |                              | 30.00% - 38.40% (35.64%)              |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Risk Free Rate                            |                              | 0.17% - 1.07% (0.34%)                 |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Yield                                     |                              | 0.00% - 0.00% (0.00%)                 |                                                 | Decrease        
|                         |  |                   |            |  |                          |                                |                     | Term                                      |                              | 0.75 years - 3.25 years  (2.67 years) |                                                 | Increase        
|                         |  |                   |            |  |                          |                                |                     | Illiquidity Discounts                     |                              | 0.00% - 15.00% (10.34%)               |                                                 | Decrease        
|Total                    |  |                   | $1,974,697 |  |                          |                                |                     |                                           |                              |                                       |                                                 |                 
|                         |  |                   |            |  |                          |                                |                     |                                           |                              |                                       |                                                 |                 



57



---

##### Table of Contents

|5. | Fair Value of Financial Instruments (continued)
|-- | -----------------------------------------------



|                        |  |                   |            |  |                          |                      |                     |                                  |                              |                                       |                                                 |         
|----------------------- |  | ----------------- | ---------- |  | ------------------------ | -------------------- | ------------------- | -------------------------------- | ---------------------------- | ------------------------------------- | ----------------------------------------------- | --------
|As of December 31,
2014
|Asset Group             |  | Fair Value (1)(2) |            |  | Valuation Techniques (3) |                      | Unobservable Inputs |                                  | Range (Weighted Average) (4) |                                       | Impact to Valuationfrom an Increase inInput (5)
|Senior Debt             |  |                   | $1,143,744 |  |                          | Discounted Cash Flow |                     | Discount Rate                    |                              | 6.07% - 20.50% (11.49%)               |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | Market Yield                     |                              | 5.89% - 19.69% (8.98%)                |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | Yield Premium                    |                              | 0.00% - 6.50% (1.88%)                 |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | Weighted Average Cost of Capital |                              | 6.60% - 17.85% (10.78%)               |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | EBITDA Multiple                  |                              | 4.25x - 17.00x  (8.34x)               |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Tangible Book Value Multiple     |                              | 1.65x  (1.65x)                        |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Interest Rate Volatility         |                              | 25.00% (25.00%)                       |                                                 | Decrease
|Subordinated Debt       |  |                   | 186,805    |  |                          | Discounted Cash Flow |                     | Discount Rate                    |                              | 11.37% - 20.11% (13.89%)              |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | Market Yield                     |                              | 8.08% - 17.51% (10.15%)               |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | Yield Premium                    |                              | 3.80% - 4.00% (3.91%)                 |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | Weighted Average Cost of Capital |                              | 9.45% - 19.50% (13.33%)               |                                                 | Decrease
|                        |  |                   |            |  |                          |                      |                     | EBITDA Multiple                  |                              | 6.50x - 13.50x  (9.53x)               |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Interest Rate Volatility         |                              | 25.00% (25.00%)                       |                                                 | Decrease
|                        |  |                   | 9,487      |  |                          | Option Pricing Model |                     | EBITDA Multiple                  |                              | 10.30x  (10.30x)                      |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Implied Volatility               |                              | 45.00% (45.00%)                       |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Risk Free Rate                   |                              | 1.10% (1.10%)                         |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Term                             |                              | 3.00 years  (3.00 years)              |                                                 | Increase
|                        |  |                   | 567        |  |                          | Market Comparables   |                     | EBITDA Multiple                  |                              | 4.00x  (4.00x)                        |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     |                                  |                              |                                       |                                                 |         
|Structured Products     |  |                   | 36,421     |  |                          | Discounted Cash Flow |                     | Discount Rate                    |                              | 10.95% - 15.50% (11.33%)              |                                                 | Decrease
|Equity/Other            |  |                   | 47,210     |  |                          | Market Comparables   |                     | EBITDA Multiple                  |                              | 5.30x - 10.50x  (8.68x)               |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Revenue Multiple                 |                              | 0.18x  (0.18x)                        |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Illiquidity Discount             |                              | 10.00% - 15.00% (12.22%)              |                                                 | Decrease
|                        |  |                   | 4,256      |  |                          | Option Pricing Model |                     | EBITDA Multiple                  |                              | 10.30x - 13.50x  (13.27x)             |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Implied Volatility               |                              | 30.00% - 45.00% (31.07%)              |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Risk Free Rate                   |                              | 1.10% - 1.28% (1.27%)                 |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Term                             |                              | 3.00 years - 4.00 years  (3.93 years) |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Illiquidity Discount             |                              | 0.00% - 10.00% (9.28%)                |                                                 | Decrease
|                        |  |                   | 49,094     |  |                          | Waterfall            |                     | Asset Appraisals                 |                              | N/A                                   |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Change in Market Index           |                              | 5.47% (5.47%)                         |                                                 | Increase
|                        |  |                   |            |  |                          |                      |                     | Illiquidity Discount             |                              | 3.50% (3.50%)                         |                                                 | Decrease
|                        |  |                   | 23,206     |  |                          | Net Asset Value      |                     | Net Asset Value                  |                              | N/A                                   |                                                 | Increase
|                        |  |                   | 1,542      |  |                          | Discounted Cash Flow |                     | Discount Rate                    |                              | 12.30% - 13.10% (12.90%)              |                                                 | Decrease
|Total                   |  |                   | $1,502,332 |  |                          |                      |                     |                                  |                              |                                       |                                                 |         
|                        |  |                   |            |  |                          |                      |                     |                                  |                              |                                       |                                                 |         



|(1) | The TRS was valued in accordance with the TRS agreements as discussed in Note 2. See Note 4 for quantitative disclosures of the fair value of the TRS.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Certain investments may be valued at cost for a period of time after an acquisition as the best indicator of fair value.
|--- | ------------------------------------------------------------------------------------------------------------------------

|(3) | For the assets and investments that have more than one valuation technique, the Company may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging
from 0  100%. Indicative broker quotes obtained for valuation purposes are reviewed by the Company relative to other valuation techniques.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(4) | Weighted average amounts are based on the estimated fair values.
|--- | ----------------------------------------------------------------

|(5) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the input would have the opposite
effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The above
tables represent the significant unobservable inputs as they relate to the Companys determination of fair values for the majority of its investments categorized within Level 3 as of September 30, 2015 and December 31, 2014. In
addition to the techniques and inputs noted in the tables above, according to the Companys valuation policy, it may also use other valuation techniques and methodologies when determining the fair value estimates for the Companys
investments. Any significant increases or decreases in the unobservable inputs would result in significant increases or decreases in the fair value of the Companys investments.

Investments that do not have a readily available market value are valued utilizing a market approach, an income approach (i.e. discounted cash flow approach),
or both approaches, as appropriate. The market comparables approach uses prices, including third-party indicative broker quotes, and other relevant information generated by market transactions involving identical or comparable assets or liabilities
(including a business). The income approach uses valuation techniques to convert future amounts (for example, cash flows or earnings) that are discounted based on a required or expected discount rate to derive a single present value amount. The
measurement is based on the value indicated by current market expectations about those future amounts. In following these approaches, the types of factors the Company may take into account to determine the fair value of its investments include, as
relevant: available current market data, including an assessment of the credit quality of the securitys issuer, relevant and applicable market trading and transaction comparables, applicable market yields and multiples, illiquidity discounts,
security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio companys ability to make payments, its



58



---

##### Table of Contents

|5. | Fair Value of Financial Instruments (continued)
|-- | -----------------------------------------------



earnings and cash flows, the markets in which the portfolio company does business, comparisons of financial
ratios of peer companies that are public, data derived from merger and acquisition activities for comparable companies, and enterprise values, among other factors.

The following tables provide reconciliations for the three and nine months ended September 30, 2015 of investments for which Level 3 inputs were used in
determining fair value (in thousands):



|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  
|----------------------------------------------------------------------------------------------------------- |  | ------------------------------------- | --------- | - | ---------------- | - | ------- | ------------------ |  | - | ------------ | - |  | ----------------- | ------- | - | ----- | - | ------ | - |  | - | --------- | -
|                                                                                                            |  | Three Months Ended September 30, 2015 |          
|                                                                                                            |  | SeniorDebt                            |           |   | SubordinatedDebt |   |         | StructuredProducts |  |   | Equity/Other |   |  | Total ReturnSwaps |         |   | Total |  
|Fair Value Balance as of July 1, 2015                                                                       |  | $                                     | 1,241,057 |   |                  | $ | 157,475 |                    |  | $ | 92,596       |   |  | $                 | 240,189 |   |       | $ | 1,189  |   |  | $ | 1,732,506 |  
|Additions (1)                                                                                               |  |                                       | 190,089   |   |                  |   | 87,442  |                    |  |   | -            |   |  |                   | 72,646  |   |       |   | -      |   |  |   | 350,177   |  
|Net realized gains (losses) (2)                                                                             |  |                                       | (5,244    | ) |                  |   | -       |                    |  |   | -            |   |  |                   | 812     |   |       |   | 4,090  |   |  |   | (342      | )
|Net change in unrealized appreciation (depreciation) (3)                                                    |  |                                       | (42,258   | ) |                  |   | (12,392 | )                  |  |   | (927         | ) |  |                   | (12,522 | ) |       |   | (3,636 | ) |  |   | (71,735   | )
|Sales or repayments (4)                                                                                     |  |                                       | (30,450   | ) |                  |   | -       |                    |  |   | -            |   |  |                   | (5,098  | ) |       |   | (4,090 | ) |  |   | (39,638   | )
|Net discount accretion                                                                                      |  |                                       | 998       |   |                  |   | 284     |                    |  |   | -            |   |  |                   | -       |   |       |   | -      |   |  |   | 1,282     |  
|Transfers out of Level 3                                                                                    |  |                                       | -         |   |                  |   | -       |                    |  |   | -            |   |  |                   | -       |   |       |   | -      |   |  |   | -         |  
|Transfers into Level 3                                                                                      |  |                                       | -         |   |                  |   | -       |                    |  |   | -            |   |  |                   | -       |   |       |   | -      |   |  |   | -         |  
|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  
|Fair Value Balance as of September 30, 2015                                                                 |  | $                                     | 1,354,192 |   |                  | $ | 232,809 |                    |  | $ | 91,669       |   |  | $                 | 296,027 |   |       | $ | (2,447 | ) |  | $ | 1,972,250 |  
|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  
|Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2015 (3) |  | $                                     | (50,059   | ) |                  | $ | (12,392 | )                  |  | $ | (927         | ) |  | $                 | (12,522 | ) |       | $ | (3,636 | ) |  | $ | (79,536   | )
|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  
|                                                                                                            | 
|                                                                                                            |  | Nine Months Ended September 30, 2015  |          
|                                                                                                            |  | SeniorDebt                            |           |   | SubordinatedDebt |   |         | StructuredProducts |  |   | Equity/Other |   |  | Total ReturnSwaps |         |   | Total |  
|Fair Value Balance as of January 1, 2015                                                                    |  | $                                     | 1,143,744 |   |                  | $ | 196,859 |                    |  | $ | 36,421       |   |  | $                 | 125,308 |   |       | $ | (3,445 | ) |  | $ | 1,498,887 |  
|Additions (1)                                                                                               |  |                                       | 386,372   |   |                  |   | 123,133 |                    |  |   | 52,000       |   |  |                   | 204,120 |   |       |   | -      |   |  |   | 765,625   |  
|Net realized gains (losses) (2)                                                                             |  |                                       | (4,971    | ) |                  |   | 1,154   |                    |  |   | -            |   |  |                   | 6,516   |   |       |   | 9,603  |   |  |   | 12,302    |  
|Net change in unrealized appreciation (depreciation) (3)                                                    |  |                                       | (73,826   | ) |                  |   | (28,915 | )                  |  |   | 3,248        |   |  |                   | (23,606 | ) |       |   | 998    |   |  |   | (122,101  | )
|Sales or repayments (4)                                                                                     |  |                                       | (99,990   | ) |                  |   | (60,368 | )                  |  |   | -            |   |  |                   | (16,311 | ) |       |   | (9,603 | ) |  |   | (186,272  | )
|Net discount accretion                                                                                      |  |                                       | 2,863     |   |                  |   | 946     |                    |  |   | -            |   |  |                   | -       |   |       |   | -      |   |  |   | 3,809     |  
|Transfers out of Level 3                                                                                    |  |                                       | -         |   |                  |   | -       |                    |  |   | -            |   |  |                   | -       |   |       |   | -      |   |  |   | -         |  
|Transfers into Level 3                                                                                      |  |                                       | -         |   |                  |   | -       |                    |  |   | -            |   |  |                   | -       |   |       |   | -      |   |  |   | -         |  
|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  
|Fair Value Balance as of September 30, 2015                                                                 |  | $                                     | 1,354,192 |   |                  | $ | 232,809 |                    |  | $ | 91,669       |   |  | $                 | 296,027 |   |       | $ | (2,447 | ) |  | $ | 1,972,250 |  
|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  
|Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2015 (3) |  | $                                     | (75,927   | ) |                  | $ | (28,619 | )                  |  | $ | 5,846        |   |  | $                 | (23,606 | ) |       | $ | 998    |   |  | $ | (121,308  | )
|                                                                                                            |  |                                       |           |   |                  |   |         |                    |  |   |              |   |  |                   |         |   |       |   |        |   |  |   |           |  



|(1) | Includes increases in the cost basis of investments resulting from new and add-on portfolio investments and the capitalization of PIK interest.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Included in net realized gains (losses) in the condensed consolidated statements of operations.
|--- | -----------------------------------------------------------------------------------------------

|(3) | Included in net change in unrealized appreciation (depreciation) in the condensed consolidated statements of operations.
|--- | ------------------------------------------------------------------------------------------------------------------------

|(4) | Includes principal payments/paydowns on debt investments, collection of PIK interest, TRS settlement payments, proceeds from sales of investments and distributions received on equity investments classified as return of
capital.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



59



---

##### Table of Contents

|5. | Fair Value of Financial Instruments (continued)
|-- | -----------------------------------------------



The following tables provide reconciliations for the three and nine months ended September 30, 2014 of
investments for which Level 3 inputs were used in determining fair value (in thousands):



|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  
|----------------------------------------------------------------------------------------------------------- |  | ------------------------------------- | -------- | - | ---------------- | - | ------- | ------------------ |  | - | ------------ | - |  | ---------------- | ------- | - | ----- | - | ------ | - |  | - | --------- | -
|                                                                                                            |  | Three Months Ended September 30, 2014 |         
|                                                                                                            |  | SeniorDebt                            |          |   | SubordinatedDebt |   |         | StructuredProducts |  |   | Equity/Other |   |  | TotalReturnSwaps |         |   | Total |  
|Fair Value Balance as of July 1, 2014                                                                       |  | $                                     | 801,501  |   |                  | $ | 190,221 |                    |  | $ | 36,053       |   |  | $                | 61,047  |   |       | $ | 491    |   |  | $ | 1,089,313 |  
|Additions (1)                                                                                               |  |                                       | 111,235  |   |                  |   | 58,655  |                    |  |   | -            |   |  |                  | 42,455  |   |       |   | -      |   |  |   | 212,345   |  
|Net realized gains (2)                                                                                      |  |                                       | 311      |   |                  |   | -       |                    |  |   | -            |   |  |                  | -       |   |       |   | 938    |   |  |   | 1,249     |  
|Net change in unrealized appreciation (depreciation) (3)                                                    |  |                                       | (9,838   | ) |                  |   | (12,408 | )                  |  |   | (2,111       | ) |  |                  | 1,641   |   |       |   | (1,510 | ) |  |   | (24,226   | )
|Sales or repayments (4)                                                                                     |  |                                       | (34,315  | ) |                  |   | (336    | )                  |  |   | -            |   |  |                  | (4,577  | ) |       |   | (938   | ) |  |   | (40,166   | )
|Net discount accretion                                                                                      |  |                                       | 650      |   |                  |   | 358     |                    |  |   | -            |   |  |                  | -       |   |       |   | -      |   |  |   | 1,008     |  
|Transfers out of Level 3                                                                                    |  |                                       | -        |   |                  |   | -       |                    |  |   | -            |   |  |                  | -       |   |       |   | -      |   |  |   | -         |  
|Transfers into Level 3                                                                                      |  |                                       | -        |   |                  |   | -       |                    |  |   | -            |   |  |                  | -       |   |       |   | -      |   |  |   | -         |  
|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  
|Fair Value Balance as of September 30, 2014                                                                 |  | $                                     | 869,544  |   |                  | $ | 236,490 |                    |  | $ | 33,942       |   |  | $                | 100,566 |   |       | $ | (1,019 | ) |  | $ | 1,239,523 |  
|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  
|Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2015 (3) |  | $                                     | (9,089   | ) |                  | $ | (9,182  | )                  |  | $ | (2,111       | ) |  | $                | 1,641   |   |       | $ | (1,510 | ) |  | $ | (20,251   | )
|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  
|                                                                                                            | 
|                                                                                                            |  | Nine Months Ended September 30, 2014  |         
|                                                                                                            |  | SeniorDebt                            |          |   | SubordinatedDebt |   |         | StructuredProducts |  |   | Equity/Other |   |  | TotalReturnSwaps |         |   | Total |  
|Fair Value Balance as of January 1, 2014                                                                    |  | $                                     | 611,276  |   |                  | $ | 171,921 |                    |  | $ | 55,575       |   |  | $                | 24,671  |   |       | $ | 1,861  |   |  | $ | 865,304   |  
|Additions (1)                                                                                               |  |                                       | 409,176  |   |                  |   | 82,085  |                    |  |   | -            |   |  |                  | 80,706  |   |       |   | -      |   |  |   | 571,967   |  
|Net realized gains (losses) (2)                                                                             |  |                                       | 605      |   |                  |   | 466     |                    |  |   | (199         | ) |  |                  | -       |   |       |   | 3,332  |   |  |   | 4,204     |  
|Net change in unrealized appreciation (depreciation) (3)                                                    |  |                                       | 2,066    |   |                  |   | (9,864  | )                  |  |   | 3,165        |   |  |                  | 7,319   |   |       |   | (2,880 | ) |  |   | (194      | )
|Sales or repayments (4)                                                                                     |  |                                       | (155,201 | ) |                  |   | (9,041  | )                  |  |   | (24,597      | ) |  |                  | (4,601  | ) |       |   | (3,332 | ) |  |   | (196,772  | )
|Net discount accretion (premium amortization)                                                               |  |                                       | 1,622    |   |                  |   | 923     |                    |  |   | (2           | ) |  |                  | -       |   |       |   | -      |   |  |   | 2,543     |  
|Transfers out of Level 3                                                                                    |  |                                       | -        |   |                  |   | -       |                    |  |   | -            |   |  |                  | (7,529  | ) |       |   | -      |   |  |   | (7,529    | )
|Transfers into Level 3                                                                                      |  |                                       | -        |   |                  |   | -       |                    |  |   | -            |   |  |                  | -       |   |       |   | -      |   |  |   | -         |  
|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  
|Fair Value Balance as of September 30, 2014                                                                 |  | $                                     | 869,544  |   |                  | $ | 236,490 |                    |  | $ | 33,942       |   |  | $                | 100,566 |   |       | $ | (1,019 | ) |  | $ | 1,239,523 |  
|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  
|Change in net unrealized appreciation (depreciation) in investments still held as of September 30, 2014 (3) |  | $                                     | 3,251    |   |                  | $ | (6,453  | )                  |  | $ | 3,199        |   |  | $                | 7,319   |   |       | $ | (2,880 | ) |  | $ | 4,436     |  
|                                                                                                            |  |                                       |          |   |                  |   |         |                    |  |   |              |   |  |                  |         |   |       |   |        |   |  |   |           |  



|(1) | Includes increases in the cost basis of investments resulting from new and add-on portfolio investments or the capitalization of PIK interest.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Included in net realized gains (losses) in the condensed consolidated statements of operations.
|--- | -----------------------------------------------------------------------------------------------

|(3) | Included in net change in unrealized appreciation (depreciation) in the condensed consolidated statements of operations.
|--- | ------------------------------------------------------------------------------------------------------------------------

|(4) | Includes principal payments/paydowns on debt investments, collection of PIK interest, TRS settlement payments, proceeds from sales of investments and distributions received on equity investments classified as return of
capital.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

No securities were transferred into the Level 3 hierarchy during the nine months ended September 30, 2015 and 2014 and one
was transferred out of Level 3 hierarchy during the nine months ended September 30, 2014. This investment was transferred at fair value as of the beginning of the quarter in which they were transferred. The classification transfers between
Level 3 and Level 2 were based on the observed changes in liquidity based on information supplied by a third party pricing source, whereby such liquidity information is routinely reviewed no less frequently than monthly. All realized and unrealized
gains and losses are included in earnings and are reported as separate line items within the Companys condensed consolidated statements of operations.



60



---

##### Table of Contents

|6. | Related Party Transactions
|-- | --------------------------

CNL, certain CNL affiliates, and KKR receive compensation for advisory
services and other services in connection with (i) the performance and supervision of administrative services (ii) investment advisory activities and (iii) the Companys Offerings.

CNL Securities Corp., an affiliate of CNL, serves as the managing dealer of the Companys Offerings and in connection therewith receives selling
commissions of up to 7% of gross offering proceeds and a marketing support fee of up to 3% of gross offering proceeds. All or any portion of these fees may be reallowed to participating brokers as determined by CNL Securities Corp. The Company will
pay a maximum sales load of 10% of gross offering proceeds related to the Offerings for all combined selling commissions and marketing support fees.

The
Company is a party to an investment advisory agreement with CNL, as amended (the Investment Advisory Agreement) for the overall management of the Companys investment activities. The Company and CNL have entered into a sub-advisory
agreement with KKR (the Sub-Advisory Agreement), under which KKR is responsible for the day-to-day management of the Companys investment portfolio. CNL compensates KKR for advisory services that it provides to the Company with 50%
of the base management fees and performance-based incentive fees that CNL receives under the Investment Advisory Agreement. CNL earns a base management fee (referred to as an investment advisory fee) equal to an annual rate of 2% of the
Companys average gross assets as of the end of the two most recently completed months, computed and paid monthly. The computation of gross assets includes unrealized depreciation, appreciation and collateral posted with the custodian in
connection with the TRS, and excludes deferred offering expenses. CNL also earns performance-based incentive fees comprised of the following two parts:

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

(ii) an incentive fee on capital gains, paid annually if earned,
equal to (A) 20% of all realized gains on a cumulative basis from inception, net of (1) all realized losses on a cumulative basis, (2) unrealized depreciation at year end and (3) disregarding any net realized gains associated
with the TRS interest spread (which represents the difference between (a) the interest and fees received on the TRS, and (b) the financing fees paid to the TRS Counterparty), less (B) the aggregate amount of any previously paid
incentive fee on capital gains.

The terms of the Investment Advisory Agreement entitle CNL (and indirectly KKR) to receive up to 5% of gross proceeds in
connection with the Offerings as reimbursement for organization and offering expenses incurred by the Advisors on behalf of the Company. During the nine months ended September 30, 2015, the Company recorded $2.79 million in deferred offering
expenses related to the Follow-On Offering, or 0.5% of gross offering proceeds of the Follow-On Offering.

In addition, under the terms of the Investment
Advisory Agreement, the Advisors are entitled to reimbursement of certain expenses incurred on behalf of the Company including expenses incurred in connection with its investment operations and investment transactions.

The Company is a party to an administrative services agreement with CNL (the Administrative Services Agreement) whereby CNL performs, and oversees
the performance of, various administrative services on behalf of the Company. Administrative services may include transfer agency oversight and supervisory services, shareholder communication services, general ledger accounting services, calculating
the Companys net asset value, maintaining required corporate and financial records, financial reporting for the Company and its subsidiaries, internal audit services, reporting to the Companys board of directors and lenders, preparing
and filing income tax returns, preparing and filing SEC reports, preparing, printing and disseminating shareholder reports, overseeing the payment of the Companys expenses and shareholder distributions, administering the Companys share
repurchase program, and management and oversight of service providers in their performance of administrative and professional services rendered for the Company. CNL may also enter into agreements with its affiliates for the performance of select
administrative services. The Company reimburses CNL for the professional services and expenses it incurs in performing its administrative obligations on behalf of the Company. Through December 31, 2014, CNL also received reimbursement payments
from the Company for professional services provided by certain officers of the Company.



61



---

##### Table of Contents

|6. | Related Party Transactions (continued)
|-- | --------------------------------------



Related party fees, expenses and expenses incurred on behalf of the Company during the three and nine months
ended September 30, 2015 and 2014 are summarized below (in thousands):



|                     |  |                                                                                |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        | 
|-------------------- |  | ------------------------------------------------------------------------------ |  | ------------------------------- | ------ |  | ------------------------------ | - | ------ | ---- |  | - | ------ |  |  | - | ------ | 
|                     |  |                                                                                |  | Three Months EndedSeptember 30, |        |  | Nine Months EndedSeptember 30, |  
|Related Party        |  | Source Agreement & Description                                                 |  | 2015                            |        |  | 2014                           |   |        | 2015 |  |   | 2014   | 
|CNL Securities Corp. |  | Managing Dealer Agreement: Selling commissions
and marketing support fees      |  | $                               | 14,328 |  |                                | $ | 19,495 |      |  | $ | 46,798 |  |  | $ | 51,195 | 
|                     |  |                                                                                |  |                                 |       
|CNL and KKR          |  | Investment Advisory Agreement: Base management
fees (investment advisory fees) |  |                                 | 18,867 |  |                                |   | 12,561 |      |  |   | 51,004 |  |  |   | 34,506 | 
|                     |  |                                                                                |  |                                 |       
|CNL and KKR          |  | Investment Advisory Agreement: Subordinated
incentive fee on income(1)         |  |                                 | -      |  |                                |   | 6,763  |      |  |   | 7,983  |  |  |   | 11,926 | 
|                     |  |                                                                                |  |                                 |       
|CNL and KKR          |  | Investment Advisory Agreement: Incentive fee
on capital gains(2)               |  |                                 | -      |  |                                |   | -      |      |  |   | -      |  |  |   | -      | 
|                     |  |                                                                                |  |                                 |       
|CNL and KKR          |  | Investment Advisory Agreement: Offering
expenses(3)                            |  |                                 | 1,092  |  |                                |   | 1,585  |      |  |   | 2,794  |  |  |   | 4,961  | 
|                     |  |                                                                                |  |                                 |       
|KKR                  |  | Investment Sub-Advisory Agreement: Investment
expenses reimbursement           |  |                                 | 360    |  |                                |   | 226    |      |  |   | 995    |  |  |   | 683    | 
|                     |  |                                                                                |  |                                 |       
|CNL                  |  | Administrative Services Agreement:
Administrative and compliance services(4)   |  |                                 | 432    |  |                                |   | 511    |      |  |   | 1,108  |  |  |   | 1,574  | 



|(1) | Subordinated incentive fees on income are included in performance-based incentive fees in the condensed consolidated statements of operations. During the nine months
ended September 30, 2015 and 2014, $13.09 million and $10.44 million, respectively, of subordinated incentive fees on income were paid to the Advisors.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|(2) | Incentive fees on capital gains are included in performance-based incentive fees in the condensed consolidated statements of operations. The following table provides
additional details for the incentive fee on capital gains for the nine months ended September 30, 2015 and 2014 (in thousands):
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|                                                                                                     |  |      |   |  |      |   |         |  
|---------------------------------------------------------------------------------------------------- |  | ---- | - |  | ---- | - | ------- | -
|Incentive Fee on Capital Gains for the Nine Months Ended
September 30,                               |  | 2015 |   |  | 2014 |  
|Accrued incentive fee on capital gains as of January 1,                                              |  | $    | - |  |      | $ | 11,128  |  
|Incentive fee on capital gains expense during the nine months ended September 30,                    |  |      | - |  |      |   | 3,399   |  
|Less: Incentive fee on capital gains paid to the Advisors during the nine months ended September 30, |  |      | - |  |      |   | (2,323  | )
|                                                                                                     |  |      |   |  |      |   |         |  
|Accrued incentive fee on gains as of September 30,                                                   |  |      | - |  |      |   | 12,204  |  
|Less: Accrued incentive fee on capital gains attributable to unrealized gains as of September 30,    |  |      | - |  |      |   | (12,204 | )
|                                                                                                     |  |      |   |  |      |   |         |  
|Incentive fee on capital gains earned by and payable to the Advisors as of September 30,             |  | $    | - |  |      | $ | -       |  
|                                                                                                     |  |      |   |  |      |   |         |  



|(3) | The following table provides additional details for the organization and offering expenses reimbursement (in thousands):
|--- | ------------------------------------------------------------------------------------------------------------------------



|                                                                                                |  |      |       |   |      |   |       |  
|----------------------------------------------------------------------------------------------- |  | ---- | ----- | - | ---- | - | ----- | -
|Offering Expenses Reimbursement for the Nine Months Ended
September 30,                         |  | 2015 |       |   | 2014 |  
|Offering expenses reimbursement payable as of January 1,                                        |  | $    | 272   |   |      | $ | 240   |  
|Additional offering expenses deferred during the nine months ended September 30,                |  |      | 2,794 |   |      |   | 4,961 |  
|Offering expenses reimbursement payable as of September 30,                                     |  |      | (517  | ) |      |   | (342  | )
|                                                                                                |  |      |       |   |      |   |       |  
|Offering expenses reimbursement paid to the Advisors during the nine months ended September 30, |  | $    | 2,549 |   |      | $ | 4,859 |  
|                                                                                                |  |      |       |   |      |   |       |  
|Outstanding unreimbursed offering expenses (net of amounts payable) as of September 30,         |  | $    | 41    |   |      | $ | -     |  
|                                                                                                |  |      |       |   |      |   |       |  



|(4) | Includes $0.16 million and $0.49 million for reimbursement payments to CNL for services provided to the Company for its Chief Compliance Officer and Chief Financial
Officer for the three and nine months ended September 30, 2014, respectively. Effective January 1, 2015, these services were no longer reimbursable Advisor expenses.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

KKR is obligated to remit to the Company any earned capital structuring fees based on the Companys pro-rata portion of the co-investment transactions or
originated investments in which the Company participates. As a result, the Company earned capital structuring fees of $1.03 million and $3.69 million during the three and nine months ended September 30, 2015, respectively, and $0.91 million and
$1.89 million during the three and nine months ended September 30, 2014, respectively. As of September 30, 2015, $0.50 million of capital structuring fees were receivable from the Advisors.

Indemnification- The Investment Advisory Agreement and the Sub-Advisory Agreement provide certain indemnification to the
Advisors, their directors, officers, persons associated with the Advisors, and their affiliates. The managing dealer agreement provides certain indemnification to the managing dealer and each participating broker and their respective officers,
directors, partners, employees, associated persons, agents and control persons. In addition, the Companys articles of incorporation provide certain indemnifications to its officers, directors, agents, and certain other persons. As of
September 30, 2015, management believed that the risk of incurring any losses for such indemnification was remote.



62



---

##### Table of Contents

|7. | Fee Income
|-- | ----------

Fee income, which is nonrecurring, consisted of the following (in thousands):



|                         |  |                                 |       |  |                                |   |       |      |  |   |        |  |  |   |       | 
|------------------------ |  | ------------------------------- | ----- |  | ------------------------------ | - | ----- | ---- |  | - | ------ |  |  | - | ----- | 
|                         |  | Three Months EndedSeptember 30, |       |  | Nine Months EndedSeptember 30, |  
|Fee Income               |  | 2015                            |       |  | 2014                           |   |       | 2015 |  |   | 2014   | 
|Capital structuring fees |  | $                               | 1,029 |  |                                | $ | 912   |      |  | $ | 3,691  |  |  | $ | 1,888 | 
|Amendment fees           |  |                                 | 571   |  |                                |   | 93    |      |  |   | 9,355  |  |  |   | 202   | 
|Acquisition fees         |  |                                 | 500   |  |                                |   |      |      |  |   | 500    |  |  |   |      | 
|Commitment fees          |  |                                 | 439   |  |                                |   |      |      |  |   | 477    |  |  |   | 46    | 
|Other                    |  |                                 |      |  |                                |   | 5     |      |  |   |       |  |  |   | 236   | 
|                         |  |                                 |       |  |                                |   |       |      |  |   |        |  |  |   |       | 
|Total                    |  | $                               | 2,539 |  |                                | $ | 1,010 |      |  | $ | 14,023 |  |  | $ | 2,372 | 
|                         |  |                                 |       |  |                                |   |       |      |  |   |        |  |  |   |       | 



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

The Companys board of directors declared distributions for 39 record dates in each
of the nine months ended September 30, 2015 and 2014, respectively. Declared distributions are paid monthly. The total and the sources of declared distributions on a GAAP basis for the nine months ended September 30, 2015 and 2014 are
presented in the tables below (in thousands, except per share amounts).



|                                                 |  |                                 |      |  |        |   |         |            |  |  |           |   |  |        |      |  |            |   |         |  |  |  |       |  
|------------------------------------------------ |  | ------------------------------- | ---- |  | ------ | - | ------- | ---------- |  |  | --------- | - |  | ------ | ---- |  | ---------- | - | ------- |  |  |  | ----- | -
|                                                 |  | Nine Months Ended September 30, |     
|                                                 |  | 2015                            |      |  | 2014   |  
|                                                 |  | Per Share                       |      |  | Amount |   |         | Allocation |  |  | Per Share |   |  | Amount |      |  | Allocation |  
|Total Declared Distributions                     |  | $                               | 0.60 |  |        | $ | 148,719 |            |  |  | 100.0     | % |  | $      | 0.60 |  |            | $ | 100,320 |  |  |  | 100.0 | %
|From net investment income                       |  |                                 | 0.52 |  |        |   | 127,578 |            |  |  | 85.8      |   |  |        | 0.49 |  |            |   | 82,834  |  |  |  | 82.6  |  
|From net realized gains                          |  |                                 | 0.08 |  |        |   | 21,141  |            |  |  | 14.2      |   |  |        | 0.07 |  |            |   | 11,473  |  |  |  | 11.4  |  
|Distributions in excess of net investment income |  |                                 |     |  |        |   |        |            |  |  |          |   |  |        | 0.04 |  |            |   | 6,013   |  |  |  | 6.0   |  

Sources of distributions, other than net investment income and realized gains on a GAAP basis, include (i) the ordinary
income component of prior year tax basis undistributed earnings and (ii) required adjustments to GAAP net investment income in the current period to determine taxable income available for distributions. The following table summarizes the
primary sources of differences between GAAP net investment income and taxable income available for distributions that contribute to tax-related distributions in excess of net investment income for the nine months ended September 30, 2015 and
2014 (amounts in thousands).



|                                                                            |  |      |          |  |      |   |         | 
|--------------------------------------------------------------------------- |  | ---- | -------- |  | ---- | - | ------- | 
|Nine Months Ended September 30,                                             |  | 2015 |          |  | 2014 |  
|Ordinary income component of tax basis undistributed earnings               |  | $    | 56,222   |  |      | $ | 3,531   | 
|Estimated unearned performance-based incentive fee                          |  |      |         |  |      |   | 3,399   | 
|Offering expenses                                                           |  |      | 3,598    |  |      |   | 5,351   | 
|Net change in unrealized depreciation on total return swaps                 |  |      | 998      |  |      |   | (2,880) | 
|Net change in unrealized depreciation on foreign currency forward contracts |  |      | (40,059) |  |      |   | 31,019  | 
|                                                                            |  |      |          |  |      |   |         | 
|Total                                                                       |  | $    | 20,759   |  |      | $ | 40,420  | 
|                                                                            |  |      |          |  |      |   |         | 



|(1) | The above table does not present all adjustments to calculate taxable income available for distributions.
|--- | ---------------------------------------------------------------------------------------------------------

For the nine months ended September 30, 2015, there were no distributions in excess of net investment income and the Company estimates that none of the
distributions declared during the nine months ended September 30, 2015 would be classified as a tax basis return of capital. None of the distributions declared during the year ended December 31, 2014 were classified as a tax basis return
of capital.

On September 29, 2015, the Companys board of directors declared distributions of $0.015483 per share for four record dates
beginning on October 6, 2015 through and including October 27, 2015.



63



---

##### Table of Contents

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

The following table summarizes the total shares issued and proceeds received in
connection with the Companys Offerings for the nine months ended September 30, 2015 and 2014 (in thousands except share and per share amounts).



|                                       |  |                                 |            |  |        |  |              |        |  |  |            |  |  |  |              |  
|-------------------------------------- |  | ------------------------------- | ---------- |  | ------ |  | ------------ | ------ |  |  | ---------- |  |  |  | ------------ | -
|                                       |  | Nine Months Ended September 30, |           
|                                       |  | 2015                            |            |  | 2014   | 
|                                       |  | Shares                          |            |  | Amount |  |              | Shares |  |  | Amount     | 
|Gross proceeds from offering           |  |                                 | 47,926,637 |  |        |  | $    519,048 |        |  |  | 49,031,534 |  |  |  | $    549,847 |  
|Commissions and marketing support fees |  |                                 | -          |  |        |  | (46,798      | )      |  |  | -          |  |  |  | (51,195      | )
|                                       |  |                                 |            |  |        |  |              |        |  |  |            |  |  |  |              |  
|Net proceeds to company                |  |                                 | 47,926,637 |  |        |  | 472,250      |        |  |  | 49,031,534 |  |  |  | 498,652      |  
|Reinvestment of distributions          |  |                                 | 7,798,343  |  |        |  | 76,446       |        |  |  | 5,052,427  |  |  |  | 51,383       |  
|                                       |  |                                 |            |  |        |  |              |        |  |  |            |  |  |  |              |  
|Net proceeds from offering             |  |                                 | 55,724,980 |  |        |  | $    548,696 |        |  |  | 54,083,961 |  |  |  | $    550,035 |  
|                                       |  |                                 |            |  |        |  |              |        |  |  |            |  |  |  |              |  
|Average net proceeds per share         |  |                                 | $9.85      |  |        |  | $10.17       |       

As of September 30, 2015, the Company has sold 277.18 million shares of common stock through the Offerings,
including reinvestment of distributions, for total gross proceeds of $3.01 billion.

The Company conducts quarterly tender offers pursuant to its share
repurchase program. The Company currently limits the number of shares to be repurchased during any calendar year to the number of shares it can repurchase with the proceeds it receives from the issuance of shares of its common stock under its
distribution reinvestment plan. At the discretion of the Companys board of directors, the Company may also use cash on hand, cash available from borrowings and cash from the sale of investments as of the end of the applicable period to
repurchase shares. The Company limits repurchases in each quarter to 2.5% of the weighted average number of shares of common stock outstanding in the prior four calendar quarters. The Companys board of directors may amend, suspend or terminate
the share repurchase program upon 30 days notice.

The following table is a summary of the share repurchases completed during the nine months ended
September 30, 2015 and 2014 (in thousands, except share and per share amounts):



|                |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 
|--------------- |  | -------------------------------------------- | ---------- |  | ----------------------------------- |  | --------- | -------------------- |  | - | ---------------------------------------- |  |  | ----------------------- | --- |  |  | - | ----- | 
|Repurchase Date |  | Total Number ofShares Offered  to Repurchase |            |  | Total Number of  Shares Repurchased |  |           | Total  Consideration |  |   | No. of Shares    Repurchased/Total Offer |  |  | Price Paid    Per Share |    
|2015:           |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 
|March 2, 2015   |  |                                              | 4,435,072  |  |                                     |  | 555,174   |                      |  | $ | 5,452                                    |  |  |                         | 13% |  |  | $ | 9.82  | 
|May 29, 2015    |  |                                              | 4,919,566  |  |                                     |  | 501,943   |                      |  |   | 4,889                                    |  |  |                         | 10% |  |  |   | 9.74  | 
|August 28, 2015 |  |                                              | 5,424,683  |  |                                     |  | 1,093,421 |                      |  |   | 10,573                                   |  |  |                         | 20% |  |  |   | 9.67  | 
|                |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 
|Total           |  |                                              | 14,779,321 |  |                                     |  | 2,150,538 |                      |  | $ | 20,914                                   |  |  |                         | 15% |  |  |   |       | 
|                |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 
|                |  |                                              |            |  |                                    
|2014:           |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 
|March 3, 2014   |  |                                              | 2,612,555  |  |                                     |  | 323,324   |                      |  | $ | 3,233                                    |  |  |                         | 12% |  |  | $ | 10.00 | 
|June 2, 2014    |  |                                              | 3,091,175  |  |                                     |  | 307,909   |                      |  |   | 3,116                                    |  |  |                         | 10% |  |  |   | 10.12 | 
|August 29, 2014 |  |                                              | 3,550,268  |  |                                     |  | 615,007   |                      |  |   | 6,242                                    |  |  |                         | 17% |  |  |   | 10.15 | 
|                |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 
|Total           |  |                                              | 9,253,998  |  |                                     |  | 1,246,240 |                      |  | $ | 12,591                                   |  |  |                         | 13% |  |  |   |       | 
|                |  |                                              |            |  |                                     |  |           |                      |  |   |                                          |  |  |                         |     |  |  |   |       | 



64



---

##### Table of Contents

|10. | Borrowings
|--- | ----------

The Companys outstanding borrowings as of September 30, 2015 and
December 31, 2014 were as follows (in thousands):



|                                            |  |                                          |            |  |                             |   |           |                |  |   |                                          |  |  |                            |            |  |                |   |         |  |  |   |            | 
|------------------------------------------- |  | ---------------------------------------- | ---------- |  | --------------------------- | - | --------- | -------------- |  | - | ---------------------------------------- |  |  | -------------------------- | ---------- |  | -------------- | - | ------- |  |  | - | ---------- | 
|                                            |  | As of September 30, 2015                 |            |  | As of December 31, 2014     |  
|                                            |  | Total AggregatePrincipalAmount Committed |            |  | Principal AmountOutstanding |   |           | Carrying Value |  |   | Total AggregatePrincipalAmount Committed |  |  | PrincipalAmountOutstanding |            |  | Carrying Value |  
|Deutsche Bank CreditFacility (1)            |  | $                                        | 250,000    |  |                             | $ | 175,000   |                |  | $ | 175,000                                  |  |  | $                          | 340,000    |  |                | $ | 47,000  |  |  | $ | 47,000     | 
|BNP CreditFacility (1)                      |  |                                          | 200,000    |  |                             |   | 163,000   |                |  |   | 163,000                                  |  |  |                            | 200,000    |  |                |   | 100,450 |  |  |   | 100,450    | 
|Senior Secured Revolving Credit Facility(1) |  |                                          | 700,000(2) |  |                             |   | 477,000   |                |  |   | 477,000                                  |  |  |                            | 655,000(2) |  |                |   | 230,000 |  |  |   | 230,000    | 
|                                            |  |                                          |            |  |                             |   |           |                |  |   |                                          |  |  |                            |            |  |                |   |         |  |  |   |            | 
|Total credit facilities                     |  |                                          | 1,150,000  |  |                             |   | 815,000   |                |  |   | 815,000                                  |  |  |                            | 1,195,000  |  |                |   | 377,450 |  |  |   | 377,450    | 
|2014 Senior Secured Term Loan               |  |                                          | 394,000    |  |                             |   | 394,000   |                |  |   | 392,514(3)                               |  |  |                            | 397,000    |  |                |   | 397,000 |  |  |   | 395,228(3) | 
|                                            |  |                                          |            |  |                             |   |           |                |  |   |                                          |  |  |                            |            |  |                |   |         |  |  |   |            | 
|Total borrowings                            |  | $                                        | 1,544,000  |  |                             | $ | 1,209,000 |                |  | $ | 1,207,514                                |  |  | $                          | 1,592,000  |  |                | $ | 774,450 |  |  | $ | 772,678    | 
|                                            |  |                                          |            |  |                             |   |           |                |  |   |                                          |  |  |                            |            |  |                |   |         |  |  |   |            | 



|(1) | Subject to borrowing base and leverage restrictions.
|--- | ----------------------------------------------------

|(2) | Provides a feature that allows the Company, under certain circumstances, to increase the size of the Senior Secured Revolving Credit Facility to a maximum of $900 million.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Comprised of outstanding principal less the unaccreted original issue discount.
|--- | -------------------------------------------------------------------------------

The weighted average stated
interest rate and weighted average remaining years to maturity of the Companys outstanding borrowings as of September 30, 2015 were 2.88% and 2.3 years, respectively, and as of December 31, 2014 were 3.24% and 3.2 years,
respectively.

Deutsche Bank Credit Facility

In
2011, CCT Funding became a party to a revolving credit facility with Deutsche Bank AG, New York Branch (Deutsche Bank) and the other lenders from time to time thereto (the Deutsche Bank Credit Facility). Deutsche Bank serves
as administrative agent under the credit facility.

On January 9, 2015, CCT Funding entered into an amendment (the Fifth Amendment) to
the Deutsche Bank Credit Facility. The Fifth Amendment amended the Deutsche Bank Credit Facility by providing for, among other things, (i) the termination of the Tranche B1 Commitment, Tranche B2 Commitment and Tranche D Commitment, and
(ii) borrowings in an aggregate amount up to $150 million on a committed basis (the Tranche E Loans). From and after February 11, 2015, the Fifth Amendment effective date, all outstanding loans, including Tranche B1 Loans and
Tranche B2 Loans, were converted into Tranche E Loans. The Fifth Amendment also modified the interest rate and maturity date applicable to the Tranche E Loans. Pursuant to the Fifth Amendment, the Tranche E Loans are scheduled to mature, and all
accrued and unpaid interest thereunder will be due and payable on February 8, 2017. Upfront fees and unfunded commitment fees were also incurred with respect to the Tranche E Loans.

On September 11, 2015, CCT Funding entered into an amendment (the Sixth Amendment) to the Deutsche Bank Credit Facility. The Sixth Amendment
provides for, among other things, up to an additional $100 million in borrowings on a committed basis (the Tranche F Loans). Upfront fees and unfunded commitment fees were also incurred with respect to the Tranche F Loans. Pursuant to
the Sixth Amendment, the Tranche F Loans are scheduled to mature, and all accrued and unpaid interest thereunder will be due and payable on September 11, 2017.

Interest on the Tranche E Loans is charged at the rate of three-month LIBOR plus 1.85%. Interest on the Tranche F Loans is charged at the rate of three-month
LIBOR plus 1.95%. CCT Funding also pays an annual commitment fee on any unused commitment amounts of 0.50%, plus an additional annual commitment fee of 1.95% on the excess, if any, of (i) 80% of the total commitment less (ii) the aggregate
principal amount outstanding. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the Deutsche Bank Credit Facility for the three and nine months
ended September 30, 2015 and 2014 were as follows (in thousands):



|                                         |  |                                  |         |  |                                 |   |       |      |  |   |         |  |  |   |         | 
|---------------------------------------- |  | -------------------------------- | ------- |  | ------------------------------- | - | ----- | ---- |  | - | ------- |  |  | - | ------- | 
|                                         |  | Three Months Ended September 30, |         |  | Nine Months Ended September 30, |  
|                                         |  | 2015                             |         |  | 2014                            |   |       | 2015 |  |   | 2014    | 
|Stated interest expense                  |  | $                                | 828     |  |                                 | $ | 22    |      |  | $ | 2,084   |  |  | $ | 2,233   | 
|Unused commitment fees                   |  |                                  | 27      |  |                                 |   | 516   |      |  |   | 213     |  |  |   | 905     | 
|Amortization of deferred financing costs |  |                                  | 59      |  |                                 |   | 213   |      |  |   | 218     |  |  |   | 576     | 
|                                         |  |                                  |         |  |                                 |   |       |      |  |   |         |  |  |   |         | 
|Total interest expense                   |  | $                                | 914     |  |                                 | $ | 751   |      |  | $ | 2,515   |  |  | $ | 3,714   | 
|                                         |  |                                  |         |  |                                 |   |       |      |  |   |         |  |  |   |         | 
|Weighted average interest rate           |  |                                  | 2.2%    |  |                                 |   | 2.1%  |      |  |   | 2.2%    |  |  |   | 2.3%    | 
|Average borrowings                       |  | $                                | 150,272 |  |                                 | $ | 4,402 |      |  | $ | 128,769 |  |  | $ | 128,727 | 

The Deutsche Bank Credit Facility is secured by the portfolio investments held in CCT Funding.



65



---

##### Table of Contents

|10. | Borrowings (continued)
|--- | ----------------------



BNP Credit Facility

In 2013, Paris Funding became a party to a revolving credit facility with BNP Paribas Prime Brokerage, Inc. (BNP) under which it may borrow up to
$200 million (the BNP Credit Facility). Paris Funding has the right to prepay loans under the BNP Credit Facility in whole or in part at any time. Paris Funding may terminate the BNP Credit Facility with 180 days notice. If certain
margin and collateral requirements, minimum net assets or other covenants are not met, the BNP Credit Facility could be deemed in default and result in termination. Absent a default or facility termination event, BNP is required to provide Paris
Funding with 364 days notice prior to terminating the BNP Credit Facility.

Interest on the BNP Credit Facility is charged at the rate of one month
LIBOR plus 1.10% and is payable monthly. Paris Funding also pays an annual commitment fee on any unused commitment amounts of 0.40% or 0.50%, depending on utilization levels. The components of interest expense, average interest rates
(i.e., base interest rate in effect plus the spread) and average outstanding balances for the BNP Credit Facility for the three and nine months ended September 30, 2015 and 2014 were as follows (in thousands):



|                                         |  |                                  |         |  |                                 |   |        |      |  |   |          |  |  |   |        | 
|---------------------------------------- |  | -------------------------------- | ------- |  | ------------------------------- | - | ------ | ---- |  | - | -------- |  |  | - | ------ | 
|                                         |  | Three Months Ended September 30, |         |  | Nine Months Ended September 30, |  
|                                         |  | 2015                             |         |  | 2014                            |   |        | 2015 |  |   | 2014     | 
|Stated interest expense                  |  | $                                | 540     |  |                                 | $ | 307    |      |  | $ | 1,061    |  |  | $ | 847    | 
|Unused commitment fees                   |  |                                  | 38      |  |                                 |   | 200    |      |  |   | 313      |  |  |   | 631    | 
|Amortization of deferred financing costs |  |                                  |        |  |                                 |   |       |      |  |   |         |  |  |   | 208    | 
|                                         |  |                                  |         |  |                                 |   |        |      |  |   |          |  |  |   |        | 
|Total interest expense                   |  | $                                | 578     |  |                                 | $ | 507    |      |  | $ | 1,374    |  |  | $ | 1,686  | 
|                                         |  |                                  |         |  |                                 |   |        |      |  |   |          |  |  |   |        | 
|Weighted average interest rate           |  |                                  | 1.3%    |  |                                 |   | 1.3%   |      |  |   | 1.3%     |  |  |   | 1.3%   | 
|Average borrowings                       |  | $                                | 163,000 |  |                                 | $ | 95,993 |      |  |   | $108,630 |  |  | $ | 88,990 | 

Paris Funding pledges certain of its assets as collateral to secure borrowings under the BNP Credit Facility. As of
September 30, 2015 and December 31, 2014, Paris Funding had investments with a fair value of $343.76 million and $258.34 million, respectively, pledged as collateral under the BNP Credit Facility. Under the terms of the BNP Credit
Facility, BNP has the ability to borrow a portion of the pledged collateral (Rehypothecated Securities), provided that, among other things, the fair value of the borrowed collateral does not exceed the value of the loan against which the
collateral was pledged and any single borrowed security does not represent the entire position of such security held by Paris Funding. Paris Funding may designate any security within the pledged collateral as ineligible to be a Rehypothecated
Security, provided there are eligible securities within the segregated custody account in an amount equal to the outstanding borrowings owed by Paris Funding to BNP. Paris Funding may recall any Rehypothecated Security at any time and BNP must, to
the extent commercially reasonable, return such security or equivalent security within a commercially reasonable period. In the event BNP does not return the security, Paris Funding will have the right to, among other things, apply and set off an
amount equal to 100% of the then-current fair market value of such Rehypothecated Securities against any outstanding borrowings owed to BNP under the BNP Credit Facility. Rehypothecated Securities are marked-to-market daily and if the value of all
Rehypothecated Securities exceeds 100% of the outstanding borrowings owed by Paris Funding under the BNP Credit Facility, BNP may either reduce the amount of Rehypothecated Securities to eliminate such excess or deposit into the segregated custody
account an amount of cash equal to such excess. Paris Funding will continue to receive interest and the scheduled repayment of principal balances on Rehypothecated Securities. Paris Funding may receive a fee from BNP in connection with
Rehypothecated Securities meeting certain criteria. Paris Funding did not recognize any fees on Rehypothecated Securities during the nine months ended September 30, 2015 and 2014. As of September 30, 2015, there were no securities
rehypothecated by BNP.

Senior Secured Revolving Credit Facility

In September 2013, the Company entered into a revolving credit facility (the Senior Secured Revolving Credit Facility) with certain lenders and
JPMorgan Chase Bank, N.A., acting as administrative agent. The Senior Secured Revolving Credit Facility consists of loans to be made in U.S. dollars and other foreign currencies in an aggregate amount of $700 million as of September 30, 2015,
with an accordion feature that allows the Company, under certain circumstances, to increase the size of the facility to a maximum of $900 million. On May 28, 2015 and September 18, 2015, the aggregate loan commitment under the
Senior Secured Revolving Credit Facility was increased by $20 million and $25 million, respectively. Availability under the Senior Secured Revolving Credit Facility will terminate on September 4, 2016 and the outstanding loans under the Senior
Secured Revolving Credit Facility will mature on September 4, 2017. The Senior Secured Revolving Credit Facility is secured by substantially all of the Companys portfolio investments and its cash and securities accounts, excluding those
held by CCT Funding, Paris Funding and Halifax Funding, and provides for a guaranty by certain other subsidiaries of the Company.



66



---

##### Table of Contents

|10. | Borrowings (continued)
|--- | ----------------------



The stated borrowing rate under the Senior Secured Revolving Credit Facility is generally based on LIBOR plus
an applicable spread of 2.50% or, with respect to borrowings in foreign currencies, on a base interest rate applicable to such currency borrowing plus an applicable spread of 2.50%. The Company also pays an annual commitment fee on any unused
commitment amounts between 0.375% and 1.00%, depending on utilization levels. The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and average outstanding balances for the Senior
Secured Revolving Credit Facility for the three and nine months ended September 30, 2015 and 2014 were as follows (in thousands):



|                                         |  |                                  |         |  |                                 |   |       |      |  |   |          |  |  |   |         | 
|---------------------------------------- |  | -------------------------------- | ------- |  | ------------------------------- | - | ----- | ---- |  | - | -------- |  |  | - | ------- | 
|                                         |  | Three Months Ended September 30, |         |  | Nine Months Ended September 30, |  
|                                         |  | 2015                             |         |  | 2014                            |   |       | 2015 |  |   | 2014     | 
|Stated interest expense                  |  | $                                | 2,878   |  |                                 | $ |      |      |  | $ | 6,001    |  |  | $ | 2,670   | 
|Unused commitment fees                   |  |                                  | 256     |  |                                 |   | 1,254 |      |  |   | 1,233    |  |  |   | 2,069   | 
|Amortization of deferred financing costs |  |                                  | 446     |  |                                 |   | 330   |      |  |   | 1,310    |  |  |   | 890     | 
|                                         |  |                                  |         |  |                                 |   |       |      |  |   |          |  |  |   |         | 
|Total interest expense                   |  | $                                | 3,580   |  |                                 | $ | 1,584 |      |  | $ | 8,544    |  |  | $ | 5,629   | 
|                                         |  |                                  |         |  |                                 |   |       |      |  |   |          |  |  |   |         | 
|Weighted average interest rate           |  |                                  | 2.8%    |  |                                 |   | %    |      |  |   | 2.8%     |  |  |   | 3.2%    | 
|Average borrowings                       |  | $                                | 411,674 |  |                                 | $ |      |      |  |   | $291,824 |  |  | $ | 112,236 | 

2014 Senior Secured Term Loan

On May 20, 2014, the Company entered into a senior secured term loan credit facility (the 2014 Senior Secured Term Loan) with certain lenders
and JPMorgan Chase Bank, N.A., as administrative agent. The 2014 Senior Secured Term Loan initially provided the Company with $398 million in gross proceeds. The 2014 Senior Secured Term Loan matures in May 2019, and generally bears interest at
LIBOR plus 3.25% (with a LIBOR floor of 0.75%). The 2014 Senior Secured Term Loan includes an accordion feature permitting the Company to expand the facility if certain conditions are satisfied; provided, however, that the aggregate amount of the
2014 Senior Secured Term Loan is limited to the amount as determined from time to time which would not cause the covered debt amount (i.e., the Companys aggregate debt under both the 2014 Senior Secured Term Loan and the Senior Secured
Revolving Credit Facility, other permitted debt and certain other unsecured debt) to exceed the borrowing/collateral base. The 2014 Senior Secured Term Loan is secured by substantially all of the Companys portfolio investments and its cash and
securities accounts, excluding those held by CCT Funding, Paris Funding and Halifax Funding.

Maturities of the 2014 Senior Secured Term Loan for the
remainder of 2015 and each of the next four years, in aggregate, as of September 30, 2015 were as follows (in thousands):



|     |  |   |         | 
|---- |  | - | ------- | 
|2015 |  | $ | 1,000   | 
|2016 |  |   | 4,000   | 
|2017 |  |   | 4,000   | 
|2018 |  |   | 4,000   | 
|2019 |  |   | 381,000 | 
|     |  |   |         | 
|     |  | $ | 394,000 | 
|     |  |   |         | 

The components of interest expense, average interest rates (i.e., base interest rate in effect plus the spread) and
average outstanding balances for the 2014 Senior Secured Term Loan for the three and nine months ended September 30, 2015 and 2014 were as follows (in thousands):



|                                         |  |                                  |         |  |                                 |   |            |      |  |   |          |  |  |   |            | 
|---------------------------------------- |  | -------------------------------- | ------- |  | ------------------------------- | - | ---------- | ---- |  | - | -------- |  |  | - | ---------- | 
|                                         |  | Three Months Ended September 30, |         |  | Nine Months Ended September 30, |  
|                                         |  | 2015                             |         |  | 2014                            |   |            | 2015 |  |   | 2014     | 
|Stated interest expense                  |  | $                                | 4,037   |  |                                 | $ | 4,078      |      |  | $ | 12,011   |  |  | $ | 5,945      | 
|Accretion of original issue discount     |  |                                  | 97      |  |                                 |   | 94         |      |  |   | 286      |  |  |   | 132        | 
|Amortization of deferred financing costs |  |                                  | 274     |  |                                 |   | 273        |      |  |   | 810      |  |  |   | 378        | 
|                                         |  |                                  |         |  |                                 |   |            |      |  |   |          |  |  |   |            | 
|Total interest expense                   |  | $                                | 4,408   |  |                                 | $ | 4,445      |      |  | $ | 13,107   |  |  | $ | 6,455      | 
|                                         |  |                                  |         |  |                                 |   |            |      |  |   |          |  |  |   |            | 
|Weighted average interest rate           |  |                                  | 4.2%    |  |                                 |   | 4.2%       |      |  |   | 4.2%     |  |  |   | 4.2%       | 
|Average borrowings                       |  | $                                | 394,989 |  |                                 | $ | 398,989(1) |      |  |   | $395,978 |  |  | $ | 399,298(1) | 



|(1) | Average borrowings for the 2014 Term Loan for the nine months ended September 30, 2014 are calculated since the inception date of the facility, or May 20,
2014.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------

In connection with each of the credit facilities and 2014 Senior Secured Term Loan, the Company has made customary representations
and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar facilities. As of September 30, 2015 and December 31, 2014, the Company believes it was in compliance with
the covenant requirements for all of its credit facilities and 2014 Senior Secured Term Loan.



67



---

##### Table of Contents

|11. | Commitments and Contingencies
|--- | -----------------------------

Unfunded commitments to provide funds to portfolio companies are not
recorded in the Companys condensed consolidated statements of assets and liabilities. Since these commitments may expire without being drawn upon, the total commitment amount does not necessarily represent future cash requirements. The Company
has sufficient liquidity to fund these commitments. As of September 30, 2015, the Companys unfunded commitments consisted of the following (in thousands):



|                                                    |  |   |         | 
|--------------------------------------------------- |  | - | ------- | 
|Category / Company (1)                              |  |   |        
|Unfunded revolvers:                                 |  |   |         | 
|Beyond Trust Software                               |  | $ | 1,090   | 
|                                                    |  |   |         | 
|Unfunded delayed draw loans:                        |  |   |         | 
|Pacific Union Financial, LLC                        |  |   | 6,691   | 
|Marshall Retail Group, LLC                          |  |   | 1,200   | 
|                                                    |  |   |         | 
|                                                    |  |   | 7,891   | 
|                                                    |  |   |         | 
|Term Loans:                                         |  |   |         | 
|Plaskolite                                          |  |   | 29,373  | 
|GE Embedded Systems                                 |  |   | 63,364  | 
|Belk                                                |  |   | 5,006   | 
|                                                    |  |   |         | 
|                                                    |  |   | 97,743  | 
|                                                    |  |   |         | 
|Unfunded equity commitments:                        |  |   |         | 
|Orchard Marine, Ltd                                 |  |   | 21,113  | 
|Star Mountain SMB Multi-Manager Credit Platform, LP |  |   | 46,292  | 
|Home Partners of America, Inc.                      |  |   | 11,025  | 
|KKR BPT Holdings Aggregator, LLC                    |  |   | 12,500  | 
|Great American Group                                |  |   | 58,125  | 
|                                                    |  |   |         | 
|                                                    |  |   | 149,055 | 
|                                                    |  |   |         | 
|Total Unfunded Commitments                          |  | $ | 255,779 | 
|                                                    |  |   |         | 



|(1) | May be commitments to one or more entities affiliated with the named company.
|--- | -----------------------------------------------------------------------------

As of September 30, 2015,
the Companys unfunded debt commitments have a fair value of ($0.20) million. The Company funds its equity investments as it receives funding notices from the portfolio companies. As of September 30, 2015, the Companys unfunded
equity commitments have a fair value of zero.

In the normal course of business, the Company may enter into guarantees on behalf of portfolio companies.
Under these arrangements, the Company would be required to make payments to third parties if the portfolio companies were to default on their related payment obligations. The Company has no such guarantees outstanding at September 30, 2015 and
December 31, 2014.



|12. | Income Taxes
|--- | ------------

During the nine months ended September 30, 2015, the Company recorded foreign income
tax expense of $0.30 million, of which $0.28 million represents foreign tax withholding and is recorded net against the related interest income in the condensed consolidated statements of operations, and federal excise tax expense of $0.11 million.
As of September 30, 2015, the Company recorded deferred tax assets of approximately $2.63 million and a corresponding valuation allowance of $2.63 million for its Taxable Subsidiaries. The deferred tax assets are primarily comprised of net
operating losses and unrealized depreciation on investments. The valuation allowance was recorded as the Company believes it is more likely than not the deferred tax asset would not be realized in a future period.



68



---

##### Table of Contents

|13. | Financial Highlights
|--- | --------------------

The following is a schedule of financial highlights for one share of common stock
during the nine months ended September 30, 2015 and 2014.



|                                                                  |  |                                 |           |  |      |   |           | 
|----------------------------------------------------------------- |  | ------------------------------- | --------- |  | ---- | - | --------- | 
|                                                                  |  | Nine Months Ended September 30, |          
|                                                                  |  | 2015                            |           |  | 2014 |  
|OPERATING PERFORMANCE PER SHARE                                   |  |                                 |           | 
|Net Asset Value, Beginning of Period                              |  | $                               | 9.79      |  |      | $ | 10.00     | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Net investment income (1)                                         |  |                                 | 0.52      |  |      |   | 0.49      | 
|Net realized and unrealized gain (loss) (1) (2)                   |  |                                 | (0.48)    |  |      |   | 0.15      | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Net increase resulting from investment operations                 |  |                                 | 0.04      |  |      |   | 0.64      | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Distributions from net investment income (3)                      |  |                                 | (0.52)    |  |      |   | (0.49)    | 
|Distributions from realized gains (3)                             |  |                                 | (0.08)    |  |      |   | (0.07)    | 
|Distributions in excess of net investment income (3) (4)          |  |                                 |          |  |      |   | (0.04)    | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Net decrease resulting from distributions to common shareholders  |  |                                 | (0.60)    |  |      |   | (0.60)    | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Issuance of common stock above net asset value (5)                |  |                                 | 0.03      |  |      |   | 0.02      | 
|Repurchases of common stock (6)                                   |  |                                 |          |  |      |   |          | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Net increase resulting from capital share transactions            |  |                                 | 0.03      |  |      |   | 0.02      | 
|                                                                  |  |                                 |           |  |      |   |           | 
|Net Asset Value, End of Period                                    |  | $                               | 9.26      |  |      | $ | 10.06     | 
|                                                                  |  |                                 |           |  |      |   |           | 
|OPERATING PERFORMANCE PER SHARE                                   |  |                                 |           | 
|Total investment return  net price (7)                           |  |                                 | (0.5)%    |  |      |   | 4.9%      | 
|Total investment return  net asset value (8)                     |  |                                 | 0.6%      |  |      |   | 6.7%      | 
|                                                                  | 
|RATIOS/SUPPLEMENTAL DATA (all amounts in thousands except ratios) |  |                                 |           | 
|Net assets, end of period                                         |  | $                               | 2,526,361 |  |      | $ | 1,970,241 | 
|Average net asset (9)                                             |  | $                               | 2,385,563 |  |      | $ | 1,689,396 | 
|Average borrowings (9)                                            |  | $                               | 925,201   |  |      | $ | 524,996   | 
|Shares outstanding, end of period                                 |  |                                 | 272,706   |  |      |   | 195,862   | 
|Weighted average shares outstanding                               |  |                                 | 246,352   |  |      |   | 169,390   | 
|                                                                  |  |                                
|Ratios to average net assets: (9)                                 |  |                                 |           |  |      |   |           | 
|Total operating expenses                                          |  |                                 | 4.04%     |  |      |   | 4.72%     | 
|Net investment income                                             |  |                                 | 5.35%     |  |      |   | 4.90%     | 
|Total investment income                                           |  |                                 | 9.39%     |  |      |   | 9.63%     | 
|Portfolio turnover rate                                           |  |                                 | 8%        |  |      |   | 22%       | 
|Asset coverage ratio (10)                                         |  |                                 | 2.82      |  |      |   | 4.14      | 



|(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 period may not agree with the change in
the aggregate 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.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(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) | See Note 8 for further information on the source of distributions from other than net investment income and realized gains.
|--- | ---------------------------------------------------------------------------------------------------------------------------

|(5) | The continuous issuance of common stock may cause an incremental increase in net asset value per share due to the sale of shares at the then prevailing public offering price and the receipt of net proceeds per share by
the Company in excess of net asset value per share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution
reinvestment on each share transaction date times (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding at the end of the
period.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(6) | The per share impact of the Companys repurchase of common stock is a reduction to net asset value of less than $0.01 per share during the applicable period.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------

|(7) | 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 distributions declared during the period. Total
investment return-net price is based on (i) the purchase of one share at the public offering price, net of sales load, on the first day of the period, (ii) the sale at the net asset value per share on the last day of the period, of
(A) one share plus (B) any fractional shares issued in connection with the reinvestment of monthly distributions, and (iii) distributions payable relating to one share, 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 current public offering price, net of sales load, on each monthly distribution payment date. Since there is no public market for the Companys shares, the terminal sales price per share is assumed to be equal to the
net asset value per share on the last day of the period presented. The Companys performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Investment performance is
presented without regard to sales load that may be incurred by shareholders in the purchase of the Companys shares of common stock.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



69



---

##### Table of Contents

|13. | Financial Highlights (continued)
|--- | --------------------------------



|(8) | 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 distributions declared during
the period. Total investment return-net asset value is based on (i) 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) distributions payable relating to one share, 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 current
public offering price, net of sales load, on each monthly distribution payment date. Since there is no public market for the Companys shares, terminal market value per share is assumed to be equal to net asset value per share on the last day
of the period presented. The Companys performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Investment performance is presented without regard to sales load that
may be incurred by shareholders in the purchase of the Companys shares of common stock.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(9) | The computation of average net assets and average borrowings during the period is based on the daily value of net assets and borrowing balances, respectively. Ratios are not annualized.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(10) | Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) debt outstanding at the end of the period, divided by (ii) total debt outstanding at the end of the
period. For purposes of the asset coverage ratio test applicable to the Company as a business development company, the Company regards the TRS total notional amount at the end of the period, less the total amount of cash collateral posted by Halifax
Funding under the TRS, as a senior security. These data are presented in Note 4 of the condensed consolidated financial statements.
|---- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



|14. | Subsequent Events
|--- | -----------------

In October 2015, the Company entered into a
series of pay-fixed, receive-floating interest rate swaps that will be effective on December 31, 2015. The Company will pay an annual fixed rate of 1.3633% to 1.428% and receive three-month LIBOR on an aggregate notional amount of $500 million.
The interest rate swaps will have quarterly settlement payments beginning in March 2016.

On October 13, 2015, the Company filed a tender offer statement
with the SEC on Schedule TO. The Company offered to purchase up to 5,911,358 shares of common stock at a cash price of $9.25 per share. The tender offer will expire on November 25, 2015 at 5:00 p.m., central time.

On October 22, 2015, Halifax Funding amended the TRS agreements. The amended TRS agreements, among other things, increased the rate at which Halifax
Funding pays interest to BNS to 1.4% per annum while also reducing the required collateral amount to 33.3% of the settled notional amount. In addition, the amended TRS agreements extended the termination date to January 15,
2019. In conjunction with the execution of the amended TRS agreements, any make-whole fee that may have been due to BNS upon the original termination date of January 15, 2016 will now be included in the calculation of any make-whole fee
that may be due upon termination on January 15, 2019.

On October 29, 2015, the Companys board of directors declared distributions of
$0.015483 per share for four record dates beginning on November 3, 2015 through and including November 24, 2015.

During the period
October 1, 2015 through November 10, 2015, the Company received additional net proceeds of approximately $55.34 million from its Follow-On Offering, including amounts through its distribution reinvestment plan.



70



---

##### Table of Contents

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

The following discussion is based on the unaudited condensed consolidated financial statements as of September 30, 2015 and
December 31, 2014, and for the three and nine months ended September 30, 2015 and 2014. Amounts as of December 31, 2014 included in the unaudited condensed consolidated financial statements have been derived from the audited
consolidated financial statements as of that date. This information should be read in conjunction with the accompanying unaudited condensed consolidated financial statements and the notes thereto, as well as, the audited consolidated financial
statements, notes and managements discussion and analysis of financial condition and results of operations included in our Annual Report on Form 10-K for the year ended December 31, 2014. Capitalized terms used in this Item 2 have
the same meaning as in the accompanying unaudited condensed consolidated financial statements in Item 1 unless otherwise defined herein.

Cautionary Note Regarding Forward-Looking Statements

Statements contained in this Quarterly Report on Form 10-Q for the nine months and the quarter ended September 30, 2015 (this
Quarterly Report) that are not statements of historical or current fact may constitute forward-looking statements within the meaning of the Federal Private Securities Litigation Reform Act of 1995. Forward-looking statements are
statements that do not relate strictly to historical or current facts, but reflect managements current understandings, intentions, beliefs, plans, expectations, assumptions and/or predictions regarding the future
of the Companys business and its performance, the economy, and other future conditions and forecasts of future events, and circumstances. Forward-looking statements are typically identified by words such as believes,
expects, anticipates, intends, estimates, plans, continues, pro forma, may, will, seeks, should and
could, and words and terms of similar substance in connection with discussions of future operating or financial performance, business strategy and portfolios, projected growth prospects, cash flows, costs and financing needs, legal
proceedings, amount and timing of anticipated future distributions, estimated per share net asset value of the Companys common stock, and other matters. The Companys forward-looking statements are not guarantees of future
performance and the Companys actual results could differ materially from those set forth in the forward-looking statements. As with any projection or forecast, forward-looking statements are necessarily dependent on assumptions, data
and/or methods that may be incorrect or imprecise, and may not be realized. While the Company believes that the current expectations reflected in its forward-looking statements are based upon reasonable assumptions, such statements are
inherently susceptible to a variety of risks, uncertainties, changes in circumstances and other factors, many of which are beyond the Companys ability to control or accurately predict.

Important factors that could cause the Companys actual results to vary materially from those expressed or implied in its
forward-looking statements include, but are not limited to, economic, strategic, political and social conditions, and the following: persistent economic weakness at the global or national level, increased direct competition, changes in government
regulations or accounting rules, changes in local, national and global capital market conditions, the Companys ability to obtain or maintain credit lines, credit facilities or other borrowings on satisfactory terms, changes in interest
rates, availability of proceeds from the offering of the Companys common stock, the Companys ability to identify suitable investments, the Companys ability to close on identified investments, the Companys
ability to maintain the Companys qualification as a regulated investment company and as a business development company, the ability of the Companys advisors and their affiliates to attract and retain highly talented
professionals, inaccuracies of the Companys accounting estimates, the ability of the Companys advisors to locate suitable borrowers for the Companys loans and the ability of such borrowers to make payments under their
respective loans. Given these uncertainties, the Company cautions you not to place undue reliance on forward-looking information.

Forward-looking statements should be read in light of the risks identified in Item 1A in Part II Risk Factors of this
Quarterly Report, and in Item 1A of Part I Risk Factors in the Companys Annual Report on Form 10-K for the fiscal year ended December 31, 2014, copies of which may be obtained from the Companys
website at www.corporatecapitaltrust.com, as well as the information in the Companys other filings made from time to time with the U.S. Securities and Exchange Commission (the SEC), copies of which may be obtained from
the SECs website at www.sec.gov.

All written and oral forward-looking statements attributable to the Company or persons
acting on its behalf are qualified in their entirety by this cautionary note. Forward-looking statements speak only as of the date on which they are made; and the Company undertakes no obligation, and expressly disclaims any obligation, to publicly
release the results of any revisions to its forward-looking statements made to reflect future events or circumstances, new information, changed assumptions, the occurrence of unanticipated subsequent events, or changes to future operating results
over time, except as otherwise required by law.

The Companys forward-looking statements and projections are excluded from the safe
harbor protection of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended.



71



---

##### Table of Contents

Overview

We are a non-diversified closed-end management investment company that has elected to be treated as a business development company under the
1940 Act. Formed as a Maryland corporation on June 9, 2010, we are externally managed by CNL Fund Advisors Company (CNL) and KKR Credit Advisors (US) LLC (KKR), collectively, the Advisors, which are
responsible for sourcing potential investments, conducting due diligence on prospective investments, analyzing investment opportunities, structuring investments, determining the securities and other assets that we will purchase, retain or sell, and
monitoring our portfolio on an ongoing basis. Both Advisors are registered as investment advisers with the SEC. CNL also provides the administrative services necessary for us to operate.

Investment Objective, Investment Program and Primary Investment Types

Our investment objective is to provide our shareholders with current income and, to a lesser extent, long-term capital appreciation. We pursue
our investment objective by investing primarily in the debt of privately owned and thinly traded U.S. companies (also referred to as portfolio companies) with a focus on originated transactions sourced through the networks of our
Advisors. We define originated transactions as any negotiated investment where we, through our Advisors direct efforts, provide funds directly to a portfolio company. We also have the ability, as granted through our SEC Exemptive Order, to
co-invest in privately negotiated transactions alongside other investment funds managed by or affiliated with KKR (the Co-Investment Transactions). We anticipate that a substantial portion of our investment portfolio will consist of
senior and subordinated debt, which we believe offer potential opportunities for superior risk-adjusted returns and income generation. Our debt investments may take the form of corporate loans or bonds, may be secured or unsecured and may, in some
cases, be accompanied by warrants, options or other forms of equity participation. We may separately purchase common or preferred equity interests in transactions. We may also invest in structured products, such as collateralized loan obligations,
and loan participations and assignments.

As of September 30, 2015, our investment program consisted of two main components. First,
since the inception of our investment activities, we have been engaged in the direct purchase of debt and equity securities, primarily issued by portfolio companies, through both secondary market and direct lending transactions. We refer to this
investment program component as our Investment Portfolio. Second, beginning in November 2012, we supplemented our economic exposure to portfolio companies by entering into total return swap arrangements (the TRS) with a
commercial bank counterparty and directing the creation of a portfolio of debt investments that serve as reference assets under the TRS. We refer to this investment program component as our portfolio of TRS assets or our TRS Portfolio.
In the case of our TRS Portfolio, we receive all (i) realized income and fees and (ii) realized capital gains generated by the TRS assets. In return, we must pay quarterly to the TRS counterparty a payment consisting of (i) realized
capital losses generated by the TRS assets and (ii) financing costs that are based on (a) a floating financing rate and (b) the settled notional amount of TRS assets.

References to the term settled notional amount in association with the TRS mean the aggregate cost of the TRS assets
underlying the TRS that are settled and owned by the counterparty. In addition, this aggregate cost serves as the basis for our payments of financing charges to the counterparty under the TRS. References to the term total notional
amount mean the settled notional amount plus the effect of the purchase and sale cost of all TRS assets where trade settlement is pending. We will receive additional economic benefit if the value of the underlying TRS asset appreciates
relative to the total notional amount through the final settlement date following termination of the agreement. Conversely, we will be required to pay the counterparty the amount, if any, by which the value of the underlying TRS asset
declines relative to the total notional amount through such final settlement date. We do not own, or have physical custody of, the TRS assets and the TRS assets are not direct investments by us. Our subsidiary is required to post collateral with a
custodian of at least 40% of the notional amount of each TRS asset and may be required to post additional collateral in the event the value of the TRS assets decreases below a specified amount.

Our investment strategy is focused on creating and growing an Investment Portfolio that generates superior risk-adjusted returns by carefully
selecting investments through rigorous due diligence and actively managing and monitoring our Investment Portfolio. When evaluating an investment and the related portfolio company, we use the resources of our Advisors to develop an investment
thesis and a proprietary view of a potential portfolio companys intrinsic value. We believe our flexible approach to investing allows us to take advantage of opportunities that offer favorable risk/reward characteristics.

We primarily focus on the following investment types:



| |  |  | Senior Debt. We invest in senior debt, in which we generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. These investments
generally take the form of senior secured first lien loans, senior secured second lien loans or senior secured bonds. In some circumstances, our lien could be subordinated to claims of other creditors.
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



72



---

##### Table of Contents

| |  |  | Subordinated Debt. Our subordinated debt investments are generally subordinated to senior debt and are generally unsecured. These investments are generally structured with interest-only payments throughout the
life of the security, with the principal due at maturity.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Structured Products.We also invest in structured products, which may include collateralized debt obligations (CDOs), collateralized bond obligations (CBOs), collateralized loan
obligations (CLOs), structured notes and credit-linked notes. The issuers of such investment products may be structured as trusts or other types of pooled investment vehicles. Such products may also involve the deposit with or purchase
by an entity of the underlying investments and the issuance by that entity of one or more classes of securities backed by, or representing interests in, the underlying investments or referencing an indicator related to such
investments.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Equity Investments. We also make selected equity investments. In addition, when we invest in senior and subordinated debt, we may acquire warrants or options to purchase equity securities or benefit from other
types of equity participation. Our goal is ultimately to dispose of these equity interests and realize gains upon our disposition of such interests.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The level of our investment activity can and does vary substantially from period to period depending on many factors, including: the demand
for debt from creditworthy privately owned U.S. companies, the level of merger, acquisition and refinancing activity involving private companies, the availability of credit to finance transactions, the general economic environment, the competitive
investment environment for the types of investments we currently seek and intend to seek in the future, the amount of equity capital we raise from offering common stock in our company and the amount of capital we may borrow.

As a business development company, we are required to comply with certain regulatory requirements. For instance, we may not acquire any
assets other than qualifying assets as specified in the 1940 Act unless, at the time the acquisition is made, at least 70% of our total assets are qualifying assets as determined at the end of the prior quarter (with certain limited
exceptions). Qualifying assets include investments in eligible portfolio companies. Under the relevant SEC rules, the term eligible portfolio company includes private companies, companies whose securities are not listed on a
national securities exchange and certain public companies that have listed their securities on a national securities exchange and have a market capitalization of less than $250 million. These rules also permit us to include as qualifying assets
certain follow-on investments in companies that were eligible portfolio companies at the time of our initial investment but no longer meet the definition of eligible portfolio company at the time of the follow-on investment.

Revenues

We generate revenues
primarily in the form of interest on the debt securities of portfolio companies that we acquire and hold for investment purposes. Our investments in debt securities generally have an expected maturity of three to ten years, although we have no lower
or upper constraint on maturity, and typically earn interest at fixed or floating rates. Interest on our debt securities is generally payable to us quarterly or semi-annually. Some of our investments in debt securities contain payment-in-kind
(PIK) interest provisions. The outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of dividends from
equity investments, prepayment fees, commitment fees, origination fees and fees for providing significant managerial assistance. While the TRS assets also generate interest income and fees, such amounts, net of the financing expenses, are recognized
as (i) realized gains from derivative investments pursuant to generally accepted accounting principles (GAAP) when payable to us quarterly and (ii) unrealized gains from derivative investments for any accrued but unpaid
amounts.

Operating Expenses

Our primary operating expenses include an investment advisory fee and, depending on our operating results, performance-based incentive fees,
interest expense, administrative expenses, custodian and accounting fees, other third-party professional services and expenses and amortization of deferred offering expenses. The investment advisory fee and performance-based incentive fees
compensate the Advisors for their services in identifying, evaluating, negotiating, closing and monitoring our investments.



73



---

##### Table of Contents

Financial and Operating Highlights

The following table presents our financial and operating highlights as of September 30, 2015 and December 31, 2014, and the nine
months ended September 30, 2015 and 2014:



|                                                                                                                             |  |               |            |   |              |   |            |  
|---------------------------------------------------------------------------------------------------------------------------- |  | ------------- | ---------- | - | ------------ | - | ---------- | -
|                                                                                                                             |  | September 30, |            |   | December 31, |  
|As of(in thousands, except ratios and per share amounts)                                                                     |  | 2015          |            |   | 2014         |  
|Total assets                                                                                                                 |  | $             | 3,750,613  |   |              | $ | 2,971,720  |  
|Adjusted total assets (Total assets, net of payable for investments purchased)                                               |  | $             | 3,747,125  |   |              | $ | 2,936,832  |  
|Investments in portfolio companies                                                                                           |  | $             | 3,410,871  |   |              | $ | 2,720,571  |  
|Borrowings - credit facilities and term loan, net of discount                                                                |  | $             | 1,207,514  |   |              | $ | 772,678    |  
|Deemed borrowings (TRS implied leverage classified as senior securities)                                                     |  | $             | 181,484    |   |              | $ | 172,041    |  
|Net assets                                                                                                                   |  | $             | 2,526,361  |   |              | $ | 2,145,821  |  
|Net asset value per share                                                                                                    |  | $             | 9.26       |   |              | $ | 9.79       |  
|Leverage ratio (Borrowings + Deemed borrowings)/Adjusted total assets)                                                       |  |               | 37         | % |              |   | 32         | %
|                                                                                                                             | 
|Activity for the Nine Months Ended                                                                                           |  | September 30, |           
|(in thousands, except per share amounts)                                                                                     |  | 2015          |            |   | 2014         |  
|Average net assets                                                                                                           |  | $             | 2,385,563  |   |              | $ | 1,689,396  |  
|Average borrowings under credit facilities and term loan                                                                     |  | $             | 925,201    |   |              | $ | 524,996    |  
|Cost of investments purchased                                                                                                |  | $             | 1,467,289  |   |              | $ | 1,260,847  |  
|Sales, principal payments and other exits                                                                                    |  | $             | 637,250    |   |              | $ | 793,787    |  
|Net investment income                                                                                                        |  | $             | 127,578    |   |              | $ | 82,834     |  
|Net realized gains on investments, derivative instruments and foreign currency transactions                                  |  | $             | 49,322     |   |              | $ | 11,473     |  
|Net change in unrealized appreciation (depreciation) on investments, derivative instruments and foreign currency translation |  | $             | (175,423   | ) |              | $ | 8,376      |  
|Net increase in net assets resulting from operations                                                                         |  | $             | 1,477      |   |              | $ | 102,683    |  
|Total distributions declared                                                                                                 |  | $             | 148,719    |   |              | $ | 100,320    |  
|Net investment income before unearned incentive fees per share                                                               |  | $             | 0.52       |   |              | $ | 0.52       |  
|Net investment income per share                                                                                              |  | $             | 0.52       |   |              | $ | 0.49       |  
|Earnings per share                                                                                                           |  | $             | 0.01       |   |              | $ | 0.61       |  
|Distributions declared per share outstanding for the entire period                                                           |  | $             | 0.60       |   |              | $ | 0.60       |  
|                                                                                                                             | 
|Summary of Common Stock Offerings for the Nine Months Ended                                                                  |  | September 30, |           
|(in thousands, except share and per share amounts)                                                                           |  | 2015          |            |   | 2014         |  
|Gross proceeds, excluding reinvestment of distributions                                                                      |  | $             | 519,048    |   |              | $ | 549,847    |  
|Net proceeds to Company, excluding reinvestment of distributions                                                             |  | $             | 472,250    |   |              | $ | 498,652    |  
|Reinvestment of distributions                                                                                                |  | $             | 76,446     |   |              | $ | 51,383     |  
|Average net proceeds per share                                                                                               |  | $             | 9.85       |   |              | $ | 10.17      |  
|Shares issued in connection with Offerings, excluding reinvestment of distributions                                          |  |               | 47,926,637 |   |              |   | 49,031,534 |  
|Shares issued in connection with reinvestment of distributions                                                               |  |               | 7,798,343  |   |              |   | 5,052,427  |  

Business Environment

Although financial conditions have improved significantly since the recession of 2008-2009, our directly originated investments continue to
have higher all-in yields than comparable secondary market debt; therefore, we maintain a focus on directly originated investment opportunities. As the capital markets environment has improved, large companies have been able to access capital with
relative ease. However, there remain a substantial number of companies that, for a variety of reasons, are unable to access the syndicated debt markets on attractive terms. In the United States, access is often limited by the issuers size,
complicated industry dynamics, regulatory overhang, and unique or complex capital structures. Given these market conditions, it is our ongoing view that providing senior and subordinated debt capital to such companies represents an attractive
risk-adjusted return. Since receiving our SEC Exemptive Order allowing Co-Investment Transactions, directly originated investments have grown to approximately 54% of our Investment Portfolio. Furthermore, we believe future lending opportunities are
likely to expand given the current regulatory setting, and a potential change in the current Central Bank-subsidized low-interest rate environment.

Considering the recent dynamic market environment, we continue to be mindful of a number of key themes. Notably, during the nine months ended
September 30, 2015, volatility and general de-risking, driven primarily by geopolitical concerns as well as sector specific dislocations, such as in the energy sector has led to price declines across credit and equity markets. Despite this
volatility, our basic investment premise emphasizing directly originated and other private credit investments remains unchanged. We believe that privately originated transactions to both U.S. and foreign middle market companies will outperform
low-yielding government bonds and high grade credit over the long-term.



74



---

##### Table of Contents

Meanwhile, we continue to scan for attractive opportunities in secondary credit markets resulting from specific situations and volatility in market fundamentals.

Portfolio and Investment Activity

Portfolio
Investment Activity as of September 30, 2015 and December 31, 2014 and for the Three and Nine Months ended September 30, 2015 and 2014

The following tables summarize our investment activity as of September 30, 2015 and December 31, 2014 and for the three and nine
months ended September 30, 2015 and 2014, excluding our short term investments:



|                                   |  |                                                       |           |   |                                |   |         |                      |  |   |               |   |  |   |           |  
|---------------------------------- |  | ----------------------------------------------------- | --------- | - | ------------------------------ | - | ------- | -------------------- |  | - | ------------- | - |  | - | --------- | -
|                                   |  | Investment Activity Summary as of($ in thousands)     |          
|                                   |  | September 30, 2015                                    |           |   | December 31, 2014              |  
|                                   |  | Investment Portfolio                                  |           |   | TRS Portfolio                  |   |         | Investment Portfolio |  |   | TRS Portfolio |  
|Total Fair Value                   |  | $                                                     | 3,410,871 |   |                                | $ | 317,814 |                      |  | $ | 2,720,571     |   |  | $ | 281,290   |  
|No. Portfolio Companies            |  |                                                       | 120       |   |                                |   | 49      |                      |  |   | 112           |   |  |   | 47        |  
|No. Debt Investments               |  |                                                       | 135       |   |                                |   | 53      |                      |  |   | 127           |   |  |   | 49        |  
|No. Structured Product Investments |  |                                                       | 4         |   |                                |   |        |                      |  |   | 3             |   |  |   |          |  
|No. Equity/Other Investments       |  |                                                       | 34        |   |                                |   |        |                      |  |   | 22            |   |  |   |          |  
|                                   | 
|                                   |  | Investment Portfolio Activity Summary($ in thousands) |          
|                                   |  | Three Months EndedSeptember 30,                       |           |   | Nine Months EndedSeptember 30, |  
|                                   |  | 2015                                                  |           |   | 2014                           |   |         | 2015                 |  |   | 2014          |  
|Incremental Purchases              |  | $                                                     | 476,476   |   |                                | $ | 449,447 |                      |  | $ | 1,467,289     |   |  | $ | 1,260,847 |  
|Investment Sales                   |  |                                                       | 63,180    |   |                                |   | 48,067  |                      |  |   | 251,954       |   |  |   | 442,624   |  
|Principal Payments                 |  |                                                       | 146,205   |   |                                |   | 101,692 |                      |  |   | 385,296       |   |  |   | 351,163   |  
|Portfolio Company Additions        |  |                                                       | 10        |   |                                |   | 17      |                      |  |   | 31            |   |  |   | 33        |  
|Portfolio Company Exits            |  |                                                       | (7        | ) |                                |   | (11     | )                    |  |   | (23           | ) |  |   | (27       | )
|Debt Investment Additions          |  |                                                       | 19        |   |                                |   | 20      |                      |  |   | 40            |   |  |   | 56        |  
|Debt Investment Exits              |  |                                                       | (12       | ) |                                |   | (15     | )                    |  |   | (32           | ) |  |   | (48       | )
|                                   | 
|                                   |  | TRS Portfolio Activity Summary($ in thousands)        |          
|                                   |  | Three Months EndedSeptember 30,                       |           |   | Nine Months EndedSeptember 30, |  
|                                   |  | 2015                                                  |           |   | 2014                           |   |         | 2015                 |  |   | 2014          |  
|Incremental Purchases              |  | $                                                     | 14,320    |   |                                | $ | 12,116  |                      |  | $ | 162,132       |   |  | $ | 108,212   |  
|Investment Sales                   |  |                                                       | 65,254    |   |                                |   | 11,106  |                      |  |   | 79,206        |   |  |   | 31,918    |  
|Principal Payments                 |  |                                                       | 16,617    |   |                                |   | 9,766   |                      |  |   | 46,324        |   |  |   | 19,206    |  
|Portfolio Company Additions        |  |                                                       |          |   |                                |   | 2       |                      |  |   | 12            |   |  |   | 22        |  
|Portfolio Company Exits            |  |                                                       | (10       | ) |                                |   | (6      | )                    |  |   | (10           | ) |  |   | (10       | )
|Debt Investment Additions          |  |                                                       | 3         |   |                                |   | 5       |                      |  |   | 16            |   |  |   | 26        |  
|Debt Investment Exits              |  |                                                       | (13       | ) |                                |   | (9      | )                    |  |   | (12           | ) |  |   | (13       | )

While the Investment Portfolio and the TRS Portfolio are accounted for and presented as two distinct
portfolios, the two portfolios had 26 and 12 debt investment positions and 30 and 21 portfolio companies in common as of September 30, 2015 and 2014, respectively. The changes in the fair value of our Investment Portfolio and our TRS Portfolio
are directly related to (i) the changes in their cost basis and notional amounts, respectively, as a result of incremental purchases, sales and principal payments as described in the table above, and (ii) the changes in fair value for
assets held at the beginning and end of the period. The net change in unrealized depreciation for the three months ended September 30, 2015 and 2014 was $107.86 million and $45.36 million, respectively, for our Investment Portfolio, and $3.64
million and $1.51 million, respectively, for our TRS Portfolio. The net change in unrealized appreciation (depreciation) for the nine months ended September 30, 2015 and 2014 was $(136.50) million and $(21.22) million, respectively, for our
Investment Portfolio, and $1.0 million and $(2.88) million, respectively, for our TRS Portfolio. See Results of Operations  Net Change in Unrealized Appreciation or Depreciation below for further details relating to the changes.

As discussed above under  Overview, since receiving our SEC Exemptive Order, we have increased our focus on originated
investments, including Co-Investment Transactions, as a main element of our investment strategy. Co-Investment Transactions give us the opportunity to participate in those investments alongside KKRs institutional clients and proprietary funds.
Our total origination activity in Co-Investment Transactions, at par, plus future expected fundings related to such investments, totaled



75



---

##### Table of Contents

approximately $438.39 million for the nine months ended September 30, 2015, representing 47.6% of approximately $920.84 million in total originations by KKR in Co-Investment Transactions for
the period.

The following summarizes our investment activity associated with our investment focus on originated debt investments during
the nine months ended September 30, 2015 and 2014 and the status of originated investments held in the Investment Portfolio as of September 30, 2015 and December 31, 2014:



|                                                                                          |  |                   |           |   |                  |   |           |  
|----------------------------------------------------------------------------------------- |  | ----------------- | --------- | - | ---------------- | - | --------- | -
|                                                                                          |  | September 30,     |          
|Originated Investment Activity for the Nine Months Ended($ in
thousands)                  |  | 2015              |           |   | 2014             |  
|Number of new originated investments, by issuer                                           |  |                   | 12        |   |                  |   | 16        |  
|Total amount of originated investments, at cost (1)                                       |  | $                 | 586,577   |   |                  | $ | 497,743   |  
|Originated investments as a percentage of total investment activity                       |  |                   | 40.0      | % |                  |   | 37.5      | %
|Fee income recognized in connection with originated investments                           |  | $                 | 3,691     |   |                  | $ | 1,888     |  
|                                                                                          |  |                  
|Originated Investments Summary as of($ in thousands)                                      |  | September30, 2015 |           |   | December31, 2014 |  
|Total originated investments, at fair value                                               |  | $                 | 1,852,228 |   |                  | $ | 1,405,625 |  
|Total originated investments as a percentage of total Investment Portfolio, at fair value |  |                   | 54.3      | % |                  |   | 51.7      | %
|Estimated forward-looking annual yield of originated debtinvestments
(2)(3)               |  |                   | 10.5      | % |                  |   | 10.8      | %



|(1) | The total amount of originated investments, at cost, includes new issuers during the reporting periods and any follow-on originated investments from existing issuers.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | The estimated forward-looking annual yield on debt investments is based on amortized cost as of the end of the applicable period. The estimated forward-looking annual yield for our debt investments is represented by a
fraction, (i) the numerator of which is the sum of (a) the annual interest rate of each debt investment multiplied by its par amount as of the end of the applicable reporting period, plus (b) the annual amortization of the purchase or
original issue discount or premium of each debt investment, if any; and (ii) the denominator of which is the total amortized cost of all debt investments included in the calculated group as of the end of the applicable reporting period.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | The estimated forward-looking annual yield of originated debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company or any sales load. Total investment
return  net price and total investment return  net asset value were (0.5%) and 0.6%, respectively, as of September 30, 2015. See Note 13. Financial Highlights in the accompanying unaudited condensed consolidated
financial statements for information on how such returns were calculated.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The following information presents additional
analysis of our Investment Portfolio and TRS Portfolio as of September 30, 2015 and December 31, 2014, excluding our short-term investments. Our investment program is not managed with any specific asset category target goals. The primary
investment type concentrations include (i) senior debt, and (ii) subordinated debt securities.



|                                   |  |                                          |           |  |                   |   |           |                |  |   |            |  |  |   |           | 
|---------------------------------- |  | ---------------------------------------- | --------- |  | ----------------- | - | --------- | -------------- |  | - | ---------- |  |  | - | --------- | 
|                                   |  | Investment Portfolio as of(in thousands) |          
|                                   |  | September 30, 2015                       |           |  | December 31, 2014 |  
|Asset Category                     |  | Amortized Cost                           |           |  | Fair Value        |   |           | Amortized Cost |  |   | Fair Value | 
|Senior debt                        |  |                                          |           |  |                   |   |           |                |  |   |            |  |  |   |           | 
|Senior secured loans - first lien  |  | $                                        | 1,432,693 |  |                   | $ | 1,344,526 |                |  | $ | 1,152,555  |  |  | $ | 1,128,244 | 
|Senior secured loans - second lien |  |                                          | 1,004,624 |  |                   |   | 981,716   |                |  |   | 858,829    |  |  |   | 843,957   | 
|Senior secured bonds               |  |                                          | 228,331   |  |                   |   | 203,378   |                |  |   | 154,125    |  |  |   | 147,817   | 
|                                   |  |                                          |           |  |                   |   |           |                |  |   |            |  |  |   |           | 
|Total senior debt                  |  |                                          | 2,665,648 |  |                   |   | 2,529,620 |                |  |   | 2,165,509  |  |  |   | 2,120,018 | 
|Subordinated debt                  |  |                                          | 531,580   |  |                   |   | 483,976   |                |  |   | 459,004    |  |  |   | 433,755   | 
|Structured products                |  |                                          | 85,721    |  |                   |   | 91,669    |                |  |   | 33,721     |  |  |   | 36,421    | 
|Equity/Other                       |  |                                          | 331,742   |  |                   |   | 305,606   |                |  |   | 129,658    |  |  |   | 130,377   | 
|                                   |  |                                          |           |  |                   |   |           |                |  |   |            |  |  |   |           | 
|Total                              |  | $                                        | 3,614,691 |  |                   | $ | 3,410,871 |                |  | $ | 2,787,892  |  |  | $ | 2,720,571 | 
|                                   |  |                                          |           |  |                   |   |           |                |  |   |            |  |  |   |           | 



76



---

##### Table of Contents

|                                   |  |                                   |         |  |                   |   |         |                 |  |   |            |  |  |   |         | 
|---------------------------------- |  | --------------------------------- | ------- |  | ----------------- | - | ------- | --------------- |  | - | ---------- |  |  | - | ------- | 
|                                   |  | TRS Portfolio as of(in thousands) |        
|                                   |  | September 30, 2015                |         |  | December 31, 2014 |  
|Asset Category                     |  | Notional Amount                   |         |  | Fair Value        |   |         | Notional Amount |  |   | Fair Value | 
|Senior debt                        |  |                                   |         |  |                   |   |         |                 |  |   |            |  |  |   |         | 
|Senior secured loans - first lien  |  | $                                 | 275,115 |  |                   | $ | 270,159 |                 |  | $ | 255,966    |  |  | $ | 250,662 | 
|Senior secured loans - second lien |  |                                   | 40,532  |  |                   |   | 39,578  |                 |  |   | 22,802     |  |  |   | 21,932  | 
|Senior secured bonds               |  |                                   | 7,315   |  |                   |   | 6,904   |                 |  |   | 7,315      |  |  |   | 7,066   | 
|                                   |  |                                   |         |  |                   |   |         |                 |  |   |            |  |  |   |         | 
|Total senior debt                  |  |                                   | 322,962 |  |                   |   | 316,641 |                 |  |   | 286,083    |  |  |   | 279,660 | 
|Subordinated debt                  |  |                                   | 1,162   |  |                   |   | 1,173   |                 |  |   | 1,658      |  |  |   | 1,630   | 
|                                   |  |                                   |         |  |                   |   |         |                 |  |   |            |  |  |   |         | 
|Total                              |  | $                                 | 324,124 |  |                   | $ | 317,814 |                 |  | $ | 287,741    |  |  | $ | 281,290 | 
|                                   |  |                                   |         |  |                   |   |         |                 |  |   |            |  |  |   |         | 

The following table presents a summary of interest rate and maturity statistics for the debt investments,
based on par value, in our Investment Portfolio and the TRS Portfolio as of September 30, 2015 and December 31, 2014:



|                                                                    |  |                            |         |   |                     |  |         |                   |  |  |                  |   |  |  |         |  
|------------------------------------------------------------------- |  | -------------------------- | ------- | - | ------------------- |  | ------- | ----------------- |  |  | ---------------- | - |  |  | ------- | -
|                                                                    |  | Investment Portfolio as of |         |   | TRS Portfolio as of | 
|Floating interest rate debt investments:                            |  | September 30,2015          |         |   | December 31,2014    |  |         | September 30,2015 |  |  | December 31,2014 |  
|Percent of debt portfolio                                           |  |                            | 70.1    | % |                     |  | 67.5    | %                 |  |  | 96.6             | % |  |  | 96.1    | %
|Percent of floating rate debt investments with interest rate floors |  |                            | 95.1    | % |                     |  | 97.9    | %                 |  |  | 98.7             | % |  |  | 98.6    | %
|Weighted average interest rate floor                                |  |                            | 1.0     | % |                     |  | 1.1     | %                 |  |  | 1.0              | % |  |  | 1.0     | %
|Weighted average coupon spread to base rate                         |  |                            | 754 bps |   |                     |  | 748 bps |                   |  |  | 443 bps          |   |  |  | 419 bps |  
|Weighted average years to maturity                                  |  |                            | 5.0     |   |                     |  | 5.4     |                   |  |  | 4.9              |   |  |  | 5.3     |  
|                                                                    |  |                            |         |  
|Fixed interest rate debt investments:                               |  |                            |         |   |                     |  |         |                   |  |  |                  |  
|Percent of debt portfolio                                           |  |                            | 29.9    | % |                     |  | 32.5    | %                 |  |  | 3.4              | % |  |  | 3.9     | %
|Weighted average coupon rate                                        |  |                            | 10.4    | % |                     |  | 10.9    | %                 |  |  | 9.9              | % |  |  | 9.9     | %
|Weighted average years to maturity                                  |  |                            | 5.6     |   |                     |  | 5.3     |                   |  |  | 5.0              |   |  |  | 5.7     |  

All of our floating interest rate debt investments have base rate reset frequencies of less than twelve
months with the majority resetting at least quarterly. The three-month LIBOR, the most prevalent index employed among our floating interest rate debt investments, ranged between 0.251% and 0.345% during the nine months ended September 30, 2015
and the terminal value was 0.325% on September 30, 2015. Base rate resets for floating interest rate investments will only result in interest income increases when the reset base interest rate exceeds the associated interest rate floor.

Our estimated forward-looking annual yield on debt investments was 9.9% as of September 30, 2015, compared to 10.0% as of
December 31, 2014. The decrease is partly attributable to a decrease in our investment concentration in fixed interest rate debt investments, which currently have a higher weighted average coupon rate than our floating interest rate debt
investments, as illustrated in the above table. The estimated forward-looking annual yield on debt investments is higher than what investors in our Company will realize because it does not reflect expenses of the Company or any sales load. Total
investment returnnet price and total investment return  net asset value were (0.5%) and 0.6%, respectively, for the nine months ended September 30, 2015. See Note 13. Financial Highlights in the accompanying unaudited
condensed consolidated financial statements.



77



---

##### Table of Contents

The following table shows the credit ratings of the investments in our Investment Portfolio and
TRS Portfolio, based upon the rating scale of Standard & Poors Ratings Services, as of September 30, 2015 and December 31, 2014:



|                         |  |                                          |           |  |                                   |  |       |                    |  |   |                       |  |  |           |       |   |                       |   |         |           |  |  |                       |   |  |   |         |  |  |  |       |  
|------------------------ |  | ---------------------------------------- | --------- |  | --------------------------------- |  | ----- | ------------------ |  | - | --------------------- |  |  | --------- | ----- | - | --------------------- | - | ------- | --------- |  |  | --------------------- | - |  | - | ------- |  |  |  | ----- | -
|                         |  | Investment Portfolio as of(in thousands) |           |  | TRS Portfolio as of(in thousands) | 
|                         |  | September 30, 2015                       |           |  | December 31, 2014                 |  |       | September 30, 2015 |  |   | December 31, 2014     | 
|Standard & Poors rating |  | Fair Value                               |           |  | PercentageofPortfolio             |  |       | Fair Value         |  |   | PercentageofPortfolio |  |  | FairValue |       |   | PercentageofPortfolio |   |         | FairValue |  |  | PercentageofPortfolio |  
|BB                       |  | $                                        |          |  |                                   |  |      | %                  |  | $ |                      |  |  |           |      | % |                       | $ | 409     |           |  |  | 0.1                   | % |  | $ |        |  |  |  |      | %
|BB-                      |  |                                          | 46,436    |  |                                   |  | 1.4   |                    |  |   | 21,536                |  |  |           | 0.8   |   |                       |   | 31,388  |           |  |  | 9.9                   |   |  |   | 27,610  |  |  |  | 9.8   |  
|B+                       |  |                                          | 178,138   |  |                                   |  | 5.2   |                    |  |   | 161,172               |  |  |           | 5.9   |   |                       |   | 44,830  |           |  |  | 14.1                  |   |  |   | 47,837  |  |  |  | 17.0  |  
|B                        |  |                                          | 282,327   |  |                                   |  | 8.3   |                    |  |   | 174,797               |  |  |           | 6.4   |   |                       |   | 149,990 |           |  |  | 47.2                  |   |  |   | 127,542 |  |  |  | 45.3  |  
|B-                       |  |                                          | 362,840   |  |                                   |  | 10.6  |                    |  |   | 331,145               |  |  |           | 12.2  |   |                       |   | 57,417  |           |  |  | 18.1                  |   |  |   | 53,309  |  |  |  | 19.0  |  
|CCC+                     |  |                                          | 696,319   |  |                                   |  | 20.4  |                    |  |   | 617,925               |  |  |           | 22.7  |   |                       |   | 20,544  |           |  |  | 6.5                   |   |  |   | 9,162   |  |  |  | 3.3   |  
|CCC                      |  |                                          | 131,550   |  |                                   |  | 3.9   |                    |  |   | 156,206               |  |  |           | 5.7   |   |                       |   | 4,866   |           |  |  | 1.5                   |   |  |   | 4,575   |  |  |  | 1.6   |  
|CCC-                     |  |                                          | 44,432    |  |                                   |  | 1.3   |                    |  |   | 53,089                |  |  |           | 2.0   |   |                       |   | 4,648   |           |  |  | 1.4                   |   |  |   | 11,255  |  |  |  | 4.0   |  
|D                        |  |                                          | 10,053    |  |                                   |  | 0.3   |                    |  |   | 567                   |  |  |           |      |   |                       |   | 3,722   |           |  |  | 1.2                   |   |  |   |        |  |  |  |      |  
|Not rated                |  |                                          | 1,658,776 |  |                                   |  | 48.6  |                    |  |   | 1,204,134             |  |  |           | 44.3  |   |                       |   |        |           |  |  |                      |   |  |   |        |  |  |  |      |  
|                         |  |                                          |           |  |                                   |  |       |                    |  |   |                       |  |  |           |       |   |                       |   |         |           |  |  |                       |   |  |   |         |  |  |  |       |  
|Total                    |  | $                                        | 3,410,871 |  |                                   |  | 100.0 | %                  |  | $ | 2,720,571             |  |  |           | 100.0 | % |                       | $ | 317,814 |           |  |  | 100.0                 | % |  | $ | 281,290 |  |  |  | 100.0 | %
|                         |  |                                          |           |  |                                   |  |       |                    |  |   |                       |  |  |           |       |   |                       |   |         |           |  |  |                       |   |  |   |         |  |  |  |       |  

The table below presents a summary of our debt investment positions held in our Investment Portfolio that
feature PIK interest provisions for some or all of the applicable portfolio companys interest payment obligations.



|                                                                             |  |                   |         |   |                  |   |         |  
|---------------------------------------------------------------------------- |  | ----------------- | ------- | - | ---------------- | - | ------- | -
|PIK Summary as of($ in thousands)                                            |  | September 30,2015 |         |   | December 31,2014 |  
|Total number of all investments with PIK feature                             |  |                   | 20      |   |                  |   | 22      |  
|Par value of all investments with PIK feature                                |  | $                 | 598,330 |   |                  | $ | 609,971 |  
|Total number of all investments that have active PIK election                |  |                   | 18      |   |                  |   | 17      |  
|Par value of all investments that have active PIK election                   |  | $                 | 577,117 |   |                  | $ | 498,706 |  
|Percent of debt investment portfolio with active PIK election, at par value  |  |                   | 17.7    | % |                  |   | 18.5    | %
|Number of originated investments with PIK feature and active PIK election    |  |                   | 10      |   |                  |   | 9       |  
|Par value of originated investments with PIK feature and active PIK election |  | $                 | 451,388 |   |                  | $ | 402,244 |  
|                                                                             | 
|                                                                             |  | September 30,     |        
|PIK Interest Income Activity for the Nine Months Ended(in thousands)         |  | 2015              |         |   | 2014             |  
|PIK interest income                                                          |  | $                 | 24,308  |   |                  | $ | 29,234  |  
|PIK interest income as a percentage of interest income                       |  |                   | 11.9    | % |                  |   | 19.1    | %
|PIK interest income as a percentage of total investment income               |  |                   | 10.8    | % |                  |   | 18.0    | %

As of September 30, 2015, our Investment Portfolio consisted of 120 portfolio companies, diversified
across 21 industry classifications, as compared to our Investment Portfolio as of December 31, 2014 that consisted of 112 portfolio companies, diversified across 21 distinct industry classifications. As of September 30, 2015, the TRS
Portfolio consisted of 49 portfolio companies, diversified across 15 distinct industry classifications, as compared to our TRS Portfolio as of December 31, 2014 that consisted of 47 portfolio companies, diversified across 15 distinct industry
classifications. The following table presents a summary of our Investment Portfolio and TRS Portfolio arranged by industry classifications of the portfolio companies as of September 30, 2015 and December 31, 2014:



78



---

##### Table of Contents

|                                              |  |                                          |           |  |                                   |  |       |                    |  |   |                        |  |  |           |       |   |                        |   |         |           |  |  |                        |   |  |   |         |  |  |  |       |  
|--------------------------------------------- |  | ---------------------------------------- | --------- |  | --------------------------------- |  | ----- | ------------------ |  | - | ---------------------- |  |  | --------- | ----- | - | ---------------------- | - | ------- | --------- |  |  | ---------------------- | - |  | - | ------- |  |  |  | ----- | -
|                                              |  | Investment Portfolio as of(in thousands) |           |  | TRS Portfolio as of(in thousands) | 
|                                              |  | September 30, 2015                       |           |  | December 31, 2014                 |  |       | September 30, 2015 |  |   | December 31, 2014      | 
|Industry Classification                       |  | FairValue                                |           |  | Percentageof Portfolio            |  |       | FairValue          |  |   | Percentageof Portfolio |  |  | FairValue |       |   | Percentageof Portfolio |   |         | FairValue |  |  | Percentageof Portfolio |  
|Capital Goods                                 |  | $                                        | 470,630   |  |                                   |  | 13.8  | %                  |  | $ | 226,158                |  |  |           | 8.3   | % |                        | $ | 36,398  |           |  |  | 11.4                   | % |  | $ | 37,966  |  |  |  | 13.5  | %
|Software & Services                           |  |                                          | 450,562   |  |                                   |  | 13.2  |                    |  |   | 394,377                |  |  |           | 14.5  |   |                        |   | 73,999  |           |  |  | 23.3                   |   |  |   | 68,344  |  |  |  | 24.3  |  
|Consumer Durables & Apparel                   |  |                                          | 365,003   |  |                                   |  | 10.7  |                    |  |   | 458,310                |  |  |           | 16.8  |   |                        |   | 16,195  |           |  |  | 5.1                    |   |  |   | 9,072   |  |  |  | 3.2   |  
|Diversified Financials                        |  |                                          | 263,407   |  |                                   |  | 7.7   |                    |  |   | 139,597                |  |  |           | 5.1   |   |                        |   |        |           |  |  |                       |   |  |   |        |  |  |  |      |  
|Retailing                                     |  |                                          | 211,095   |  |                                   |  | 6.2   |                    |  |   | 218,902                |  |  |           | 8.0   |   |                        |   | 33,559  |           |  |  | 10.5                   |   |  |   | 19,445  |  |  |  | 6.9   |  
|Automobiles & Components                      |  |                                          | 187,937   |  |                                   |  | 5.5   |                    |  |   | 118,322                |  |  |           | 4.3   |   |                        |   |        |           |  |  |                       |   |  |   |        |  |  |  |      |  
|Technology Hardware & Equipment               |  |                                          | 185,168   |  |                                   |  | 5.4   |                    |  |   | 181,005                |  |  |           | 6.7   |   |                        |   | 8,469   |           |  |  | 2.7                    |   |  |   | 3,303   |  |  |  | 1.2   |  
|Energy                                        |  |                                          | 175,993   |  |                                   |  | 5.2   |                    |  |   | 226,564                |  |  |           | 8.3   |   |                        |   |        |           |  |  |                       |   |  |   |        |  |  |  |      |  
|Commercial & Professional Services            |  |                                          | 171,560   |  |                                   |  | 5.0   |                    |  |   | 58,540                 |  |  |           | 2.2   |   |                        |   | 4,211   |           |  |  | 1.3                    |   |  |   | 2,009   |  |  |  | 0.7   |  
|Health Care Equipment & Services              |  |                                          | 135,785   |  |                                   |  | 4.0   |                    |  |   | 187,834                |  |  |           | 6.9   |   |                        |   | 33,140  |           |  |  | 10.4                   |   |  |   | 31,296  |  |  |  | 11.1  |  
|Materials                                     |  |                                          | 123,878   |  |                                   |  | 3.6   |                    |  |   | 96,320                 |  |  |           | 3.5   |   |                        |   | 12,756  |           |  |  | 4.0                    |   |  |   | 3,669   |  |  |  | 1.3   |  
|Telecommunications Services                   |  |                                          | 114,941   |  |                                   |  | 3.4   |                    |  |   | 80,584                 |  |  |           | 3.0   |   |                        |   | 9,814   |           |  |  | 3.1                    |   |  |   | 18,033  |  |  |  | 6.4   |  
|Food & Staples Retailing                      |  |                                          | 109,283   |  |                                   |  | 3.2   |                    |  |   | 74,289                 |  |  |           | 2.7   |   |                        |   | 12,645  |           |  |  | 4.0                    |   |  |   | 7,697   |  |  |  | 2.7   |  
|Transportation                                |  |                                          | 108,538   |  |                                   |  | 3.2   |                    |  |   | 63,510                 |  |  |           | 2.3   |   |                        |   |        |           |  |  |                       |   |  |   |        |  |  |  |      |  
|Media                                         |  |                                          | 89,002    |  |                                   |  | 2.6   |                    |  |   | 43,915                 |  |  |           | 1.6   |   |                        |   | 27,532  |           |  |  | 8.7                    |   |  |   | 27,251  |  |  |  | 9.7   |  
|Real Estate                                   |  |                                          | 67,513    |  |                                   |  | 2.0   |                    |  |   | 28,213                 |  |  |           | 1.0   |   |                        |   | 12,751  |           |  |  | 4.0                    |   |  |   |        |  |  |  |      |  
|Food, Beverage & Tobacco                      |  |                                          | 65,621    |  |                                   |  | 1.9   |                    |  |   | 39,108                 |  |  |           | 1.4   |   |                        |   | 8,778   |           |  |  | 2.8                    |   |  |   | 8,758   |  |  |  | 3.1   |  
|Pharmaceuticals, Biotechnology & Life Science |  |                                          | 54,314    |  |                                   |  | 1.6   |                    |  |   | 5,264                  |  |  |           | 0.2   |   |                        |   |        |           |  |  |                       |   |  |   | 12,639  |  |  |  | 4.5   |  
|Consumer Services                             |  |                                          | 31,652    |  |                                   |  | 0.9   |                    |  |   | 48,047                 |  |  |           | 1.8   |   |                        |   | 4,131   |           |  |  | 1.3                    |   |  |   | 8,363   |  |  |  | 2.9   |  
|Remaining Industries                          |  |                                          | 28,989    |  |                                   |  | 0.9   |                    |  |   | 31,712                 |  |  |           | 1.4   |   |                        |   | 23,436  |           |  |  | 7.4                    |   |  |   | 23,445  |  |  |  | 8.5   |  
|                                              |  |                                          |           |  |                                   |  |       |                    |  |   |                        |  |  |           |       |   |                        |   |         |           |  |  |                        |   |  |   |         |  |  |  |       |  
|Total                                         |  | $                                        | 3,410,871 |  |                                   |  | 100.0 | %                  |  | $ | 2,720,571              |  |  |           | 100.0 | % |                        | $ | 317,814 |           |  |  | 100.0                  | % |  | $ | 281,290 |  |  |  | 100.0 | %
|                                              |  |                                          |           |  |                                   |  |       |                    |  |   |                        |  |  |           |       |   |                        |   |         |           |  |  |                        |   |  |   |         |  |  |  |       |  

Capital Resources and Liquidity

Sources and Uses of Capital

Our
capital resources and liquidity are derived primarily from (i) equity capital proceeds of our Offerings, (ii) borrowings, (iii) cash flows from operations, including investment sales and repayments, and (iv) reinvested
distributions. Our primary uses of funds include (i) investments in debt of portfolio companies, (ii) distributions to our shareholders, (iii) advisory fees, (iv) interest expense and other financing fees, (v) periodic
reductions in the outstanding principal amounts on our borrowings, and (vi) operating expenses. We have used, and expect to continue to use, proceeds from the turnover of our Investment Portfolio, equity capital proceeds from our Offerings, and
borrowings under our credit facilities to finance our investment activities primarily focused on directly originated investments in portfolio companies. In addition, in January 2015, we filed our Shelf Registration Statement with the SEC that was
declared effective on January 16, 2015, under which we may offer, from time to time, up to $750 million of our debt and/or equity securities, on terms to be determined at the time of each such offering.

Liquidity

As of
September 30, 2015, we had the following sources of immediate liquidity available to us:



|                                                   |  |        |         | 
|-------------------------------------------------- |  | ------ | ------- | 
|(in thousands)                                     |  | Amount |        
|Cash and Foreign Currency                          |  | $      | 52,882  | 
|Short Term Investments                             |  |        | 68,882  | 
|Credit Facilities-Effective Borrowing Capacity (1) |  |        | 296,046 | 
|                                                   |  |        |         | 
|Total                                              |  | $      | 417,810 | 
|                                                   |  |        |         | 



|(1) | Effective borrowing capacity represents additional amounts that we could borrow from our credit facilities based on collateral in place as of September 30, 2015.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------

In addition to the sources of immediate liquidity listed above, we continue to raise capital through our Follow-On Offering, although we
anticipate terminating the Follow-On Offering on or around December 31, 2015. As of September 30, 2015, we had approximately 73 million additional shares of common stock available for sale through the Follow-On Offering. In addition,
our Shelf Registration Statement provides us the ability of offer, from time to time, up to $750 million of debt and/or equity securities.



79



---

##### Table of Contents

Borrowings-Credit Facilities and Term Loan

Our outstanding borrowings as of September 30, 2015 and December 31, 2014 were as follows:



|                                                |  |                                        |           |  |                            |   |           |               |  |   |                                        |     |  |                            |           |  |               |   |         |  |  |   |         |    
|----------------------------------------------- |  | -------------------------------------- | --------- |  | -------------------------- | - | --------- | ------------- |  | - | -------------------------------------- | --- |  | -------------------------- | --------- |  | ------------- | - | ------- |  |  | - | ------- | ---
|                                                |  | As of September 30, 2015               |           |  | As of December 31, 2014    |  
|(in thousands)                                  |  | TotalAggregatePrincipalAmountCommitted |           |  | PrincipalAmountOutstanding |   |           | CarryingValue |  |   | TotalAggregatePrincipalAmountCommitted |     |  | PrincipalAmountOutstanding |           |  | CarryingValue |  
|Deutsche Bank Credit Facility (1)               |  | $                                      | 250,000   |  |                            | $ | 175,000   |               |  | $ | 175,000                                |     |  | $                          | 340,000   |  |               | $ | 47,000  |  |  | $ | 47,000  |    
|BNP Credit Facility (1)                         |  |                                        | 200,000   |  |                            |   | 163,000   |               |  |   | 163,000                                |     |  |                            | 200,000   |  |               |   | 100,450 |  |  |   | 100,450 |    
|Senior Secured Revolving CreditFacility (1) (2) |  |                                        | 700,000   |  |                            |   | 477,000   |               |  |   | 477,000                                |     |  |                            | 655,000   |  |               |   | 230,000 |  |  |   | 230,000 |    
|                                                |  |                                        |           |  |                            |   |           |               |  |   |                                        |     |  |                            |           |  |               |   |         |  |  |   |         |    
|Total credit facilities                         |  |                                        | 1,150,000 |  |                            |   | 815,000   |               |  |   | 815,000                                |     |  |                            | 1,195,000 |  |               |   | 377,450 |  |  |   | 377,450 |    
|2014 Senior Secured Term Loan                   |  |                                        | 394,000   |  |                            |   | 394,000   |               |  |   | 392,514                                | (3) |  |                            | 397,000   |  |               |   | 397,000 |  |  |   | 395,228 | (3)
|                                                |  |                                        |           |  |                            |   |           |               |  |   |                                        |     |  |                            |           |  |               |   |         |  |  |   |         |    
|Total                                           |  | $                                      | 1,544,000 |  |                            | $ | 1,209,000 |               |  | $ | 1,207,514                              |     |  | $                          | 1,592,000 |  |               | $ | 774,450 |  |  | $ | 772,678 |    
|                                                |  |                                        |           |  |                            |   |           |               |  |   |                                        |     |  |                            |           |  |               |   |         |  |  |   |         |    



|(1) | Subject to borrowing base and leverage restrictions. During the nine months ended September 30, 2015, CCT Funding LLC (CCT Funding) entered into two separate amendments to the Deutsche Bank Credit
Facility whereby the aggregate amount of commitments were decreased by $90 million, net of an increase of $100 million, for a total facility size of $250 million as of September 30, 2015.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Senior Secured Revolving Credit Facility includes a provision that allows us, under certain circumstances, to increase the size of the Senior Secured Revolving Credit Facility to a maximum of $900 million.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Comprised of outstanding principal less unaccreted original issue discount.
|--- | ---------------------------------------------------------------------------

For the nine
months ended September 30, 2015 and 2014, our total all-in cost of financing, including fees and expenses, was 3.71% and 4.48%, respectively. We expect to continue to draw on the revolving credit facilities to finance our acquisition of
investment positions in portfolio companies. We may further increase our aggregate borrowing capacity in the future beyond the current combined commitment amount of $1.54 billion that is available to us from our revolving credit facilities and term
loan, and we may add additional credit arrangements or other forms of financing arrangements, including joint ventures.

See Note 10.
Borrowings in our unaudited condensed consolidated financial statements for additional disclosures regarding our borrowings.

Total
Return Swaps

In 2012, Halifax Funding LLC (Halifax Funding), our wholly owned, special purpose financing subsidiary,
entered into a TRS arrangement with The Bank of Nova Scotia (BNS).

The obligations of Halifax Funding under the TRS
agreements are nonrecourse to us and our exposure under the TRS agreements is limited to the amount of collateral that is posted by Halifax Funding pursuant to the terms of the TRS agreements. As of September 30, 2015, the posted collateral of
$142.64 million equaled 44.0% of the total notional amount, as compared to $115.70 million, or 40.2% of the total notional amount as of December 31, 2014. The minimum required collateral amount (40% of the total notional amount, plus additional
required collateral due to concentration limits in the TRS Portfolio) was $129.65 million as of September 30, 2015.

Halifax Funding
may terminate the TRS agreements at any time upon providing at least 30 days notice prior to the proposed settlement date of the TRS assets related to such termination. In the absence of early termination, the TRS agreements will terminate on
January 15, 2016. In the event of early termination of the TRS agreements, Halifax Funding may be required to pay an early termination fee. On October 22, 2015, Halifax Funding amended the TRS agreements. The amended TRS agreements, among
other things, increased the rate at which Halifax Funding pays interest to BNS to 1.4% per annum while also reducing the required collateral amount to 33.3% of the settled notional amount. In addition, the amended TRS agreements extended
the termination date to January 15, 2019. In conjunction with the execution of the amended TRS agreements, any make-whole fee that may have been due to BNS upon the original termination date of January 15, 2016 will now be included in
the calculation of any make-whole fee that may be due upon termination on January 15, 2019.

See Note 4. Derivative
Instruments in our unaudited condensed consolidated financial statements for additional disclosures on the TRS.



80



---

##### Table of Contents

Commitments and Contingencies

See Note 11. Commitments and Contingencies in our unaudited condensed consolidated financial statements for information on our
commitments and contingencies as of September 30, 2015.

Distributions to Shareholders

We pay monthly distributions to our shareholders in the form of cash. Shareholders may elect to reinvest their distributions as additional
shares of our common stock under our distribution reinvestment plan. Dividends may be taxable to our shareholders even if they are reinvested in additional shares of our common stock. The following table reflects the cash distributions per share and
the total amount of distributions that we have declared on our common stock during each of the quarters during the nine months ended September 30, 2015 and 2014:



|                                         |  |           |          |  |        |   |         | 
|---------------------------------------- |  | --------- | -------- |  | ------ | - | ------- | 
|(in thousands, except per share amounts) |  | Per Share |          |  | Amount |  
|Quarter Ended:                           |  |           |          |  |        |   |         | 
|September 30, 2015 (13 record dates)     |  | $         | 0.201279 |  |        | $ | 53,144  | 
|June 30, 2015 (13 record dates)          |  |           | 0.201279 |  |        |   | 49,745  | 
|March 31, 2015 (13 record dates)         |  |           | 0.201279 |  |        |   | 45,830  | 
|                                         |  |           |          |  |        |   |         | 
|                                         |  | $         | 0.603837 |  |        | $ | 148,719 | 
|                                         |  |           |          |  |        |   |         | 
|Quarter Ended:                           |  |           |          |  |        |   |         | 
|September 30, 2014 (14 record dates)     |  | $         | 0.216762 |  |        | $ | 40,387  | 
|June 30, 2014 (13 record dates)          |  |           | 0.201279 |  |        |   | 33,170  | 
|March 31, 2014 (12 record dates)         |  |           | 0.180048 |  |        |   | 26,763  | 
|                                         |  |           |          |  |        |   |         | 
|                                         |  | $         | 0.598089 |  |        | $ | 100,320 | 
|                                         |  |           |          |  |        |   |         | 

Approximately 51% of the distributions we declared in each of the nine months ended September 30, 2015
and 2014 were reinvested in shares of our common stock by participants in our distribution reinvestment plan and the reinvested distributions represent an additional source of capital to us. Net investment income and realized capital gains represent
the primary sources for us to pay distributions. See Note 8. Distributions in our unaudited condensed consolidated financial statements for additional disclosures on distributions.

We estimate we had sufficient taxable income to support 100% of our declared distributions for the nine months ended September 30, 2015.
We do not expect to use equity capital or borrowed funds to pay distributions to shareholders nor do we expect any portion of our distributions paid in 2015 to be treated as a return of capital for tax purposes. We routinely disclose the sources of
funds used to pay distributions to our shareholders in periodic reports that accompany (i) quarterly account statements and (ii) monthly distribution checks that are prepared and sent directly by our transfer agent to our shareholders. See
Note 8. Distributions to the unaudited condensed consolidated financial statements for a discussion of the sources of funds used to pay distributions on a GAAP basis for the periods presented.

Results of Operations

As of
September 30, 2015, the fair value of our investments totaled $3.41 billion for our Investment Portfolio and $317.81 million for our TRS Portfolio. The majority of our investments at September 30, 2015 consisted of debt investments. See
the section entitled Portfolio and Investment Activity above for a discussion of the general terms and characteristics of our investments, and for information regarding investment activities during the three and nine months ended
September 30, 2015 and 2014. The growth of our Investment Portfolio was the primary contributing factor to the significant increases in investment income, operating expenses, investment advisory fees, net investment income and net assets
between the comparative periods, as discussed below.



81



---

##### Table of Contents

The following is a summary of our operating results for the three and nine months ended
September 30, 2015 and 2014:



|                                                                |  |                    |          |   |                   |   |         |      |  |   |          |   |  |   |         |  
|--------------------------------------------------------------- |  | ------------------ | -------- | - | ----------------- | - | ------- | ---- |  | - | -------- | - |  | - | ------- | -
|                                                                |  | Three Months Ended |          |   | Nine Months Ended |  
|                                                                |  | September 30,      |          |   | September 30,     |  
|(in thousands)                                                  |  | 2015               |          |   | 2014              |   |         | 2015 |  |   | 2014     |  
|Total investment income                                         |  | $                  | 77,931   |   |                   | $ | 63,348  |      |  | $ | 224,051  |   |  | $ | 162,639 |  
|Total operating expense                                         |  |                    | (32,213  | ) |                   |   | (27,758 | )    |  |   | (96,342  | ) |  |   | (79,805 | )
|Income tax expense                                              |  |                    | (90      | ) |                   |   |        |      |  |   | (131     | ) |  |   |        |  
|                                                                |  |                    |          |   |                   |   |         |      |  |   |          |   |  |   |         |  
|Net investment income                                           |  |                    | 45,628   |   |                   |   | 35,590  |      |  |   | 127,578  |   |  |   | 82,834  |  
|Net realized gains                                              |  |                    | 48,066   |   |                   |   | 266     |      |  |   | 49,322   |   |  |   | 11,473  |  
|Net change in unrealized appreciation (depreciation)            |  |                    | (153,425 | ) |                   |   | (14,021 | )    |  |   | (175,423 | ) |  |   | 8,376   |  
|                                                                |  |                    |          |   |                   |   |         |      |  |   |          |   |  |   |         |  
|Net increase (decrease) in net assets resulting from operations |  | $                  | (59,731  | ) |                   | $ | 21,835  |      |  | $ | 1,477    |   |  | $ | 102,683 |  
|                                                                |  |                    |          |   |                   |   |         |      |  |   |          |   |  |   |         |  

Investment income

Investment income consisted of the following for the three and nine months ended September 30, 2015 and 2014:



|                                |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |         | 
|------------------------------- |  | ------------------------------- | ------ |  | ------------------------------ | - | ------ | ---- |  | - | ------- |  |  | - | ------- | 
|                                |  | Three Months EndedSeptember 30, |        |  | Nine Months EndedSeptember 30, |  
|(in thousands)                  |  | 2015                            |        |  | 2014                           |   |        | 2015 |  |   | 2014    | 
|Interest income                 |  | $                               | 61,641 |  |                                | $ | 43,953 |      |  | $ | 179,600 |  |  | $ | 123,646 | 
|Payment-in-kind interest income |  |                                 | 8,337  |  |                                |   | 11,585 |      |  |   | 24,308  |  |  |   | 29,234  | 
|                                |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |         | 
|Subtotal                        |  |                                 | 69,978 |  |                                |   | 55,538 |      |  |   | 203,908 |  |  |   | 152,880 | 
|Fee income                      |  |                                 | 2,539  |  |                                |   | 1,010  |      |  |   | 14,023  |  |  |   | 2,372   | 
|Dividend and other income       |  |                                 | 5,414  |  |                                |   | 6,800  |      |  |   | 6,120   |  |  |   | 7,387   | 
|                                |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |         | 
|Total investment income         |  | $                               | 77,931 |  |                                | $ | 63,348 |      |  | $ | 224,051 |  |  | $ | 162,639 | 
|                                |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |         | 

The increase in interest income was due primarily to the growth of our portfolio of debt investments. Our
average debt investment balance was $3.16 billion and $2.98 billion during the three and nine months ended September 30, 2015, respectively, as compared to $2.22 billion and $2.11 billion during the same periods in 2014, for an increase of
42.1% and 40.9%, respectively, based on par value. Interest income as a percentage of our average investment balance decreased during the three and nine months ended September 30, 2015, as compared to the same periods in 2014, partially due to
an increase in our investment concentration in first lien senior secured loans which generally have lower interest rates than second lien loans or subordinated debt. As of September 30, 2015, our first lien senior secured loans were 39.6% of
our Investment Portfolio, as compared to 36.8% as of September 30, 2014, based on amortized cost. Variations in interest income are also partly due to nonrecurring recognition of prepayment penalties and unamortized loan fees, discounts
and premiums upon the prepayment of debt investments. We recorded interest income from these sources in the combined amount of $(0.83) million and $5.16 million for the three and nine months ended September 30, 2015, respectively, and $1.22
million and $9.54 million for the three and nine months ended September 30, 2014, respectively. For each of the three and nine months ended September 30, 2015, 11.9% of our total interest income was attributable to PIK interest income, as
compared to 20.9% and 19.1% for the three and nine months ended September 30, 2014, respectively. As of September 30, 2015, our estimated forward-looking debt portfolio yield was 9.9% based on amortized cost, as defined above in
Portfolio and Investment Activity. As of September 30, 2015, approximately 70.1% of our debt investments had floating rate interest; therefore, changes in interest rates could have a material impact on our interest income in the
future. See Item 3. Quantitative and Qualitative Disclosures About Market Risk for further information on the impact interest rate changes could have on our results of operations.

Interest income earned on TRS assets is not included in investment income in the unaudited condensed consolidated statements of operations,
but rather is recorded as part of (i) realized gains or losses on derivative instruments in connection with quarterly TRS settlement payments and (ii) unrealized appreciation (depreciation) on derivative instruments for amounts not yet
received from the counterparty as of period end.

Our fee income is transaction based fees and is nonrecurring. The increase in fee
income for the nine months ended September 30, 2015 was primarily due to an amendment fee received in the amount of $7.76 million earned during the first quarter of 2015 from one of our portfolio companies seeking financial covenant relief and
an increase in capital structuring fees earned related to our Co-Investment Transactions. Going forward, we expect to earn additional structuring service fees on Co-Investment Transactions as a result of our persistent focus on direct lending
activities. See Note 7. Fee Income in our unaudited condensed unconsolidated financial statements for additional information on fee income.



82



---

##### Table of Contents

Operating expenses

Our operating expenses for the three and nine months ended September 30, 2015 and 2014 were as follows:



|                                 |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        | 
|-------------------------------- |  | ------------------------------- | ------ |  | ------------------------------ | - | ------ | ---- |  | - | ------ |  |  | - | ------ | 
|                                 |  | Three Months EndedSeptember 30, |        |  | Nine Months EndedSeptember 30, |  
|(in thousands)                   |  | 2015                            |        |  | 2014                           |   |        | 2015 |  |   | 2014   | 
|Investment advisory fees         |  | $                               | 18,867 |  |                                | $ | 12,561 |      |  | $ | 51,004 |  |  | $ | 34,506 | 
|Performance-based incentive fees |  |                                 |       |  |                                |   | 3,722  |      |  |   | 7,983  |  |  |   | 15,325 | 
|Interest expense                 |  |                                 | 9,487  |  |                                |   | 7,295  |      |  |   | 25,561 |  |  |   | 17,506 | 
|Offering expenses                |  |                                 | 957    |  |                                |   | 1,677  |      |  |   | 3,598  |  |  |   | 5,351  | 
|Administrative services          |  |                                 | 717    |  |                                |   | 745    |      |  |   | 2,031  |  |  |   | 2,137  | 
|Professional services            |  |                                 | 621    |  |                                |   | 520    |      |  |   | 1,988  |  |  |   | 1,570  | 
|Custodian and accounting fees    |  |                                 | 377    |  |                                |   | 226    |      |  |   | 958    |  |  |   | 604    | 
|Director fees and expenses       |  |                                 | 158    |  |                                |   | 126    |      |  |   | 478    |  |  |   | 417    | 
|Other                            |  |                                 | 1,029  |  |                                |   | 886    |      |  |   | 2,741  |  |  |   | 2,389  | 
|                                 |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        | 
|Total operating expenses         |  | $                               | 32,213 |  |                                | $ | 27,758 |      |  | $ | 96,342 |  |  | $ | 79,805 | 
|                                 |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        | 

Investment advisory fees and performance-based incentive fees Our investment advisory fees are
calculated at an annual rate of 2% of our average gross assets; therefore, the increase in these fees for the three and nine months ended September 30, 2015 was primarily attributable to the net increase in our gross assets.

Our Advisors are also eligible to receive incentive fees based on our performance. Our performance-based incentive fees, which are comprised
of two parts, consisted of the following for the three and nine months ended September 30, 2015 and 2014:



|                                       |  |                                 |   |  |                                |   |        |      |  |   |       |  |  |   |        | 
|-------------------------------------- |  | ------------------------------- | - |  | ------------------------------ | - | ------ | ---- |  | - | ----- |  |  | - | ------ | 
|                                       |  | Three Months EndedSeptember 30, |   |  | Nine Months EndedSeptember 30, |  
|(in thousands)                         |  | 2015                            |   |  | 2014                           |   |        | 2015 |  |   | 2014  | 
|Subordinated incentive fee on income   |  | $                               |  |  |                                | $ | 6,763  |      |  | $ | 7,983 |  |  | $ | 11,926 | 
|Incentive fee on capital gains         |  |                                 |  |  |                                |   | (3,041 | )    |  |   |      |  |  |   | 3,399  | 
|                                       |  |                                 |   |  |                                |   |        |      |  |   |       |  |  |   |        | 
|Total performance-based incentive fees |  | $                               |  |  |                                | $ | 3,722  |      |  | $ | 7,983 |  |  | $ | 15,325 | 
|                                       |  |                                 |   |  |                                |   |        |      |  |   |       |  |  |   |        | 

The subordinated incentive fee on income is payable to our Advisors each calendar quarter if our
pre-incentive fee net investment income (as defined in the Investment Advisory Agreement and approved by our board of directors) exceeds a 1.75% quarterly preference return to our shareholders (the ratio of pre-incentive fee net investment income
divided by average adjusted capital).

The annual incentive fee on capital gains recorded for GAAP purposes is equal to (i) 20% of
our realized and unrealized capital gains on a cumulative basis since inception, net of all realized capital losses and unrealized depreciation on a cumulative basis from inception, less (ii) the aggregate amount of any previously paid
incentive fees on capital gains. As discussed in Note 6. Related Party Transactions in our unaudited condensed consolidated financial statements, the calculation of performance-based incentive fees disregards any net realized and
unrealized gains associated with the TRS interest spread. In addition, for financial reporting purposes, in accordance with GAAP, we include unrealized appreciation on our Investment Portfolio and derivative instruments in the calculation of the
incentive fee on capital gains; however, such amounts are not payable by us unless and until the net unrealized appreciation is actually realized. The actual amount of the incentive fee on capital gains that is due and payable to the Advisors is
determined at the end of the calendar year.

The components of incentive fees on capital gains consisted of the following for the three
and nine months ended September 30, 2015 and 2014:



|                                                                 |  |                                 |   |  |                                |   |        |      |  |   |      |  |  |   |       | 
|---------------------------------------------------------------- |  | ------------------------------- | - |  | ------------------------------ | - | ------ | ---- |  | - | ---- |  |  | - | ----- | 
|                                                                 |  | Three Months EndedSeptember 30, |   |  | Nine Months EndedSeptember 30, |  
|(in thousands)                                                   |  | 2015                            |   |  | 2014                           |   |        | 2015 |  |   | 2014 | 
|Incentive fees accrued on net realized gains (1)                 |  | $                               |  |  |                                | $ | (660   | )    |  | $ |     |  |  | $ |      | 
|Incentive fees accrued for GAAP purposes on unrealized gains (2) |  |                                 |  |  |                                |   | (2,381 | )    |  |   |     |  |  |   | 3,399 | 
|                                                                 |  |                                 |   |  |                                |   |        |      |  |   |      |  |  |   |       | 
|                                                                 |  | $                               |  |  |                                | $ | (3,041 | )    |  | $ |     |  |  | $ | 3,399 | 
|                                                                 |  |                                 |   |  |                                |   |        |      |  |   |      |  |  |   |       | 



|(1) | Amount is based on cumulative realized gains, net of cumulative realized losses since inception and unrealized losses as of the end of the applicable period, less prior incentive fees paid. The incentive fee earned and
payable to the Advisors is determined at the end of each calendar year.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | This amount is not payable to the Advisors. Represents accrual for GAAP reporting purposes only for incentive fee on unrealized gains as of the end of the applicable period.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------



83



---

##### Table of Contents

The Advisors did not earn any incentive fees on capital gains for the nine months ended
September 30, 2015 or the year ended December 31, 2014. As of September 30, 2015, we had unrealized losses of $175.54 million in excess of our cumulative realized net capital gains since inception. The Advisors were previously paid
incentive fees on capital gains for the year ended December 31, 2013, at which time we had cumulative realized net capital gains since inception of $11.61 million in excess of our unrealized losses as of that date. Due to the cumulative nature
of the incentive fee on capital gains, we will not owe the Advisors any incentive fees on capital gains for future years until such time, if any, that our cumulative realized net capital gains since inception exceed our unrealized losses as of a
particular measurement date by $11.61 million.

See Contractual Obligations Investment Advisory Agreements, below
for further details about the performance-based incentive fees.

Interest expense - The components of interest expense for the
three and nine months ended September 30, 2015 and 2014 were as follows:



|                                         |  |                                 |       |  |                                |   |       |      |  |   |        |  |  |   |        | 
|---------------------------------------- |  | ------------------------------- | ----- |  | ------------------------------ | - | ----- | ---- |  | - | ------ |  |  | - | ------ | 
|                                         |  | Three Months EndedSeptember 30, |       |  | Nine Months EndedSeptember 30, |  
|(in thousands)                           |  | 2015                            |       |  | 2014                           |   |       | 2015 |  |   | 2014   | 
|Stated interest expense                  |  | $                               | 8,283 |  |                                | $ | 4,408 |      |  | $ | 21,157 |  |  | $ | 11,696 | 
|Unused commitment fees                   |  |                                 | 321   |  |                                |   | 1,970 |      |  |   | 1,759  |  |  |   | 3,605  | 
|Amortization of deferred financing costs |  |                                 | 786   |  |                                |   | 823   |      |  |   | 2,359  |  |  |   | 2,073  | 
|Accretion of discount on term loan       |  |                                 | 97    |  |                                |   | 94    |      |  |   | 286    |  |  |   | 132    | 
|                                         |  |                                 |       |  |                                |   |       |      |  |   |        |  |  |   |        | 
|Total interest expense                   |  | $                               | 9,487 |  |                                | $ | 7,295 |      |  | $ | 25,561 |  |  | $ | 17,506 | 
|                                         |  |                                 |       |  |                                |   |       |      |  |   |        |  |  |   |        | 

The increase in interest expense during the three and nine months ended September 30, 2015 was primarily
attributable to the increase in our weighted average debt outstanding to $1,119.93 million and $925.20 million, respectively, as compared to $497.47 million and $525.00 million for the same periods in 2014, respectively. Although our interest
expense increased, our annualized all-in cost of financing, including fees and expenses, decreased to 3.40% and 3.71% for the quarter and nine months ended September 30, 2015, respectively, as compared to 5.94% and 4.48% for the same periods in
2014, respectively. Our all-in cost of financing was higher during the three and nine months ended September 30, 2014 because the proceeds from our 2014 Senior Secured Term Loan, received in May 2014, were initially used to pay down other,
lower-cost debt. Our all-in cost of financing will fluctuate between periods depending on the relative use of the 2014 Senior Secured Term Loan as compared to our other credit facilities, which bear lower stated interest rates.

Our performance-based incentive fees and interest expense, among other things, may increase or decrease our overall operating expenses and
expense ratios relative to comparative periods depending on portfolio performance, an increase or reduction in borrowed funds and borrowing commitments, and changes in benchmark interest rates, such as LIBOR, among other factors.

All other operating expenses  In general, our other operating expenses increased period over period due to increased
administrative and professional services associated with our owning a larger portfolio of investments. Our offering expenses have decreased during the three and nine months ended September 30, 2015 as a result of a decrease in the amount of
reimbursement payments to our Advisors. Our offering expenses are capitalized as deferred offering expenses and then subsequently expensed over a 12-month period. During the three and nine months ended September 30, 2015, we recorded deferred
offering expenses of $1.09 million and $2.79 million, respectively, as compared to $1.59 million and $4.96 million for the three and nine months ended September 30, 2014. The $1.81 million of deferred offering expenses recorded in the condensed
consolidated statements of assets and liabilities as of September 30, 2015 represents the amount that will be recorded as offering expenses in the condensed consolidated statements of operations over the next 12 months.

During the three and nine months ended September 30, 2015, the ratio of annualized core operating expenses (excluding investment
advisory fees, performance-based incentive fees, interest expense, and offering expenses) to average net assets was 0.46% and 0.47%, respectively, as compared to 0.53% and 0.56% for the same periods in 2014, respectively. As our asset base and
number of shareholders have grown, our general and administrative expenses have increased, but at a slower rate compared to the growth rate in the asset base. We expect certain variable operating expenses to continue to increase due to the
anticipated growth in the size of our asset base and the number of shareholders. Effective on January 1, 2015, we no longer reimburse CNL for certain personnel expenses as described in the Administrative Services Agreement. These personnel
expenses were approximately $0.21 million and $0.66 million for the three and nine months ended September 30, 2014, respectively.



84



---

##### Table of Contents

Net realized gain and losses - Net realized gains and losses for the three and nine
months ended September 30, 2015 and 2014 were as follows:



|                                                      |  |                                 |        |   |                                |   |       |      |  |   |         |   |  |   |        |  
|----------------------------------------------------- |  | ------------------------------- | ------ | - | ------------------------------ | - | ----- | ---- |  | - | ------- | - |  | - | ------ | -
|                                                      |  | Three Months EndedSeptember 30, |        |   | Nine Months EndedSeptember 30, |  
|(in thousands)                                        |  | 2015                            |        |   | 2014                           |   |       | 2015 |  |   | 2014    |  
|Net realized gains (losses) on investments            |  | $                               | (1,094 | ) |                                | $ | 1,407 |      |  | $ | (28,783 | ) |  | $ | 15,738 |  
|Net realized gains (losses) on derivative instruments |  |                                 | 51,360 |   |                                |   | (548  | )    |  |   | 80,933  |   |  |   | (1,326 | )
|Net realized losses on foreign currency transactions  |  |                                 | (2,200 | ) |                                |   | (593  | )    |  |   | (2,828  | ) |  |   | (2,939 | )
|                                                      |  |                                 |        |   |                                |   |       |      |  |   |         |   |  |   |        |  
|Net realized gains (losses)                           |  | $                               | 48,066 |   |                                | $ | 266   |      |  | $ | 49,322  |   |  | $ | 11,473 |  
|                                                      |  |                                 |        |   |                                |   |       |      |  |   |         |   |  |   |        |  

As the result of our investment sales and principal payments, as described above in Portfolio and
Investment Activity, we realized net gains (losses) on investments for each of the periods presented. The change in the amount of net realized gains (losses) on investments for the three and nine months ended September 30, 2015 was
partially due to a restructure of one of the portfolio companies in whose debt securities we have invested, Towergate Finance PLC, resulting in a realized loss of $23.0 million. The amount of gains or losses realized upon investment sales will not
bear a direct relationship to the volume of investment sales because such sales are driven largely by portfolio management and liquidity decisions, rather than by the gains to be realized upon the sale.

Our net realized gains (losses) on derivative instruments for the three and nine months ended September 30, 2015 and 2014 consisted of
the following:



|                                   |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        |  
|---------------------------------- |  | ------------------------------- | ------ |  | ------------------------------ | - | ------ | ---- |  | - | ------ |  |  | - | ------ | -
|                                   |  | Three Months EndedSeptember 30, |        |  | Nine Months EndedSeptember 30, |  
|(in thousands)                     |  | 2015                            |        |  | 2014                           |   |        | 2015 |  |   | 2014   | 
|Net realized gains (losses) on:    |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        |  
|Foreign currency forward contracts |  | $                               | 47,021 |  |                                | $ | (1,486 | )    |  | $ | 71,081 |  |  | $ | (4,658 | )
|Cross currency swaps               |  |                                 | 249    |  |                                |   |       |      |  |   | 249    |  |  |   |       |  
|TRS                                |  |                                 | 4,090  |  |                                |   | 938    |      |  |   | 9,603  |  |  |   | 3,332  |  
|                                   |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        |  
|                                   |  | $                               | 51,360 |  |                                | $ | (548   | )    |  | $ | 80,933 |  |  | $ | (1,326 | )
|                                   |  |                                 |        |  |                                |   |        |      |  |   |        |  |  |   |        |  

See Note 4. Derivative Instruments in our unaudited condensed consolidated financial statements
for more information about the components of the realized gain on TRS recorded during each period.

As described in Note 4.
Derivative Instruments in our unaudited condensed consolidated financial statements, we utilize foreign currency forward contracts and cross currency swaps to economically hedge the impact that changes in foreign exchange rates have on
the value of our investments denominated in foreign currencies. We record realized gains on these derivative instruments upon periodic settlement dates and upon maturity or termination. During the three months ended September 30, 2015, we
terminated all of our outstanding foreign currency forward contracts and entered into new foreign currency forward contracts and cross currency swaps. Although both types of instruments serve as an economic hedge against changes in foreign exchange
rates, the unrealized gains and losses may have differing tax treatments. By hedging our foreign investments with a combination of foreign currency forward contracts and cross currency swaps, we expect to reduce potential volatility in our taxable
income while maintaining some flexibility to increase or decrease the overall notional balance of our hedges when deemed necessary. The terminated foreign currency forward contracts resulted in a realized gain of $43.54 million. The cross currency
swaps generate realized gains or losses upon each quarterly settlement payment. The realized gains on foreign currency forward contracts and cross currency swaps help offset realized and unrealized losses in investments denominated in foreign
currencies as a result of foreign currency movements, as described further below.



85



---

##### Table of Contents

Net change in unrealized appreciation or depreciation

For the three and nine months ended September 30, 2015 and 2014, the net change in unrealized appreciation and depreciation consisted of
the following:



|                                                         |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  
|-------------------------------------------------------- |  | ------------------------------- | -------- | - | ------------------------------ | - | ------- | ---- |  | - | -------- | - |  | - | ------- | -
|                                                         |  | Three Months EndedSeptember 30, |          |   | Nine Months EndedSeptember 30, |  
|(in thousands)                                           |  | 2015                            |          |   | 2014                           |   |         | 2015 |  |   | 2014     |  
|Net change in unrealized appreciation (depreciation) on: |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  
|Investments                                              |  | $                               | (107,859 | ) |                                | $ | (45,363 | )    |  | $ | (136,499 | ) |  | $ | (21,216 | )
|Derivative instruments                                   |  |                                 | (45,350  | ) |                                |   | 31,440  |      |  |   | (38,759  | ) |  |   | 28,139  |  
|Foreign currency translation                             |  |                                 | (216     | ) |                                |   | (98     | )    |  |   | (165     | ) |  |   | 1,453   |  
|                                                         |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  
|Net change in unrealized appreciation (depreciation)     |  | $                               | (153,425 | ) |                                | $ | (14,021 | )    |  | $ | (175,423 | ) |  | $ | 8,376   |  
|                                                         |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  

The net change in unrealized appreciation (depreciation) on investments consisted of the following:



|                                                                                                |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  
|----------------------------------------------------------------------------------------------- |  | ------------------------------- | -------- | - | ------------------------------ | - | ------- | ---- |  | - | -------- | - |  | - | ------- | -
|                                                                                                |  | Three Months EndedSeptember 30, |          |   | Nine Months EndedSeptember 30, |  
|(in thousands)                                                                                  |  | 2015                            |          |   | 2014                           |   |         | 2015 |  |   | 2014     |  
|Net change in unrealized appreciation (depreciation) on investments:                            |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  
|Unrealized appreciation                                                                         |  | $                               | 11,811   |   |                                | $ | 14,137  |      |  | $ | 33,330   |   |  | $ | 40,879  |  
|Unrealized depreciation                                                                         |  |                                 | (125,439 | ) |                                |   | (57,655 | )    |  |   | (189,017 | ) |  |   | (52,790 | )
|Net unrealized (appreciation) depreciation reversal related to net realized gains or losses (1) |  |                                 | 5,769    |   |                                |   | (1,845  | )    |  |   | 19,188   |   |  |   | (9,305  | )
|                                                                                                |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  
|Total net change in unrealized appreciation (depreciation)                                      |  | $                               | (107,859 | ) |                                | $ | (45,363 | )    |  | $ | (136,499 | ) |  | $ | (21,216 | )
|                                                                                                |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |         |  



|(1) | Represents the unrealized appreciation or depreciation recorded on the related asset at the end of prior period.
|--- | ----------------------------------------------------------------------------------------------------------------

Approximately 14.9% of our Investment Portfolio, measured at fair value, is denominated in foreign currencies. We do not isolate that portion
of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, fluctuations related to foreign exchange rate conversions are
included with unrealized appreciation (depreciation) on investments.

We have entered into foreign currency forward contracts and cross
currency swaps to economically hedge the impact that changes in foreign exchange rates have on the value of our investments denominated in foreign currencies. The following table presents the combined realized and unrealized gains and losses on
investments, including the impact of our hedges. Changes in foreign currency exchange rates could impact our earnings to the extent that our investments denominated in foreign currencies are not hedged or the hedges are not effective. See
Item 3. Quantitative and Qualitative Disclosures About Market Risk for further discussion of the impact of foreign currency exchange rates on our earnings.



|                                                                                 |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |        |  
|-------------------------------------------------------------------------------- |  | ------------------------------- | -------- | - | ------------------------------ | - | ------- | ---- |  | - | -------- | - |  | - | ------ | -
|                                                                                 |  | Three Months EndedSeptember 30, |          |   | Nine Months EndedSeptember 30, |  
|(in thousands)                                                                   |  | 2015                            |          |   | 2014                           |   |         | 2015 |  |   | 2014     |  
|Net realized and unrealized gains (losses) on investments                        |  | $                               | (108,953 | ) |                                | $ | (43,956 | )    |  | $ | (165,282 | ) |  | $ | (5,478 | )
|Net realized and unrealized gains (losses) on foreign currency forward contracts |  |                                 | 5,005    |   |                                |   | 31,464  |      |  |   | 31,022   |   |  |   | 26,361 |  
|Net realized and unrealized gains (losses) on cross currency swaps               |  |                                 | 551      |   |                                |   |        |      |  |   | 551      |   |  |   |       |  
|                                                                                 |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |        |  
|                                                                                 |  | $                               | (103,397 | ) |                                | $ | (12,492 | )    |  | $ | (133,709 | ) |  | $ | 20,883 |  
|                                                                                 |  |                                 |          |   |                                |   |         |      |  |   |          |   |  |   |        |  

The net realized and unrealized losses on investments during the three and nine months ended
September 30, 2015, after applying the net impacts of movements in valuation on the underlying foreign currency forward contracts and cross currency swaps put in place to mitigate currency risk, were partly attributable to declines in the fair
values of the Companys investments in securities of portfolio companies directly or indirectly related to the energy sector. During the three months ended September 30, 2015, volatility in commodities, energy and equities impacted
various credits contributing to increasing unrealized depreciation in the portfolio. The net gain of $20.88 million for the nine months ended September 30, 2014 was related to a tightening of credit spreads that positively impacted the fair
values of a number of investments, some that were sold during the period. The net realized and unrealized gains and losses on the foreign currency forward contracts largely offset the valuation movements in investments denominated in foreign
currencies causes by foreign exchange rate fluctuations.



86



---

##### Table of Contents

The net change in unrealized appreciation (depreciation) on derivative instruments consisted of
the following:



|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|----------------------------------------------------------------------------------------------- |  | ------------------------------- | ------- | - | ------------------------------ | - | ------ | ---- |  | - | ------- | - |  | - | ------ | -
|                                                                                                |  | Three Months EndedSeptember 30, |         |   | Nine Months EndedSeptember 30, |  
|(in thousands)                                                                                  |  | 2015                            |         |   | 2014                           |   |        | 2015 |  |   | 2014    |  
|Net change in unrealized appreciation (depreciation) on TRS Portfolio:                          |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Unsettled amounts at end of period:                                                             |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Spread interest income                                                                          |  | $                               | 4,380   |   |                                | $ | 1,504  |      |  | $ | 4,380   |   |  | $ | 1,504  |  
|Realized loss on TRS assets                                                                     |  |                                 | (517    | ) |                                |   | (42    | )    |  |   | (517    | ) |  |   | (42    | )
|Receipt of prior period unsettled amounts                                                       |  |                                 | (4,466  | ) |                                |   | (1,030 | )    |  |   | (3,006  | ) |  |   | (1,676 | )
|Unrealized appreciation (depreciation) on TRS assets                                            |  |                                 | (3,033  | ) |                                |   | (1,942 | )    |  |   | 141     |   |  |   | (2,666 | )
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|                                                                                                |  |                                 | (3,636  | ) |                                |   | (1,510 | )    |  |   | 998     |   |  |   | (2,880 | )
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Net change in unrealized appreciation (depreciation) on foreign currency forward contracts:     |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Unrealized appreciation                                                                         |  |                                 | 386     |   |                                |   | 31,416 |      |  |   | 386     |   |  |   | 28,856 |  
|Unrealized depreciation                                                                         |  |                                 |        |   |                                |   | (261   | )    |  |   |        |   |  |   | (269   | )
|Net unrealized (appreciation) depreciation reversal related to net realized gains or losses (1) |  |                                 | (42,402 | ) |                                |   | 1,795  |      |  |   | (40,445 | ) |  |   | 2,432  |  
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|                                                                                                |  |                                 | (42,016 | ) |                                |   | 32,950 |      |  |   | (40,059 | ) |  |   | 31,019 |  
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Net change in unrealized appreciation (depreciation) on cross currency swaps:                   |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Unrealized appreciation                                                                         |  |                                 | 1,531   |   |                                |   |       |      |  |   | 1,531   |   |  |   |       |  
|Unrealized depreciation                                                                         |  |                                 | (1,229  | ) |                                |   |       |      |  |   | (1,229  | ) |  |   |       |  
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|                                                                                                |  |                                 | 302     |   |                                |   |       |      |  |   | 302     |   |  |   |       |  
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  
|Total net change in unrealized appreciation (depreciation) on derivative instruments            |  | $                               | (45,350 | ) |                                | $ | 31,440 |      |  | $ | (38,759 | ) |  | $ | 28,139 |  
|                                                                                                |  |                                 |         |   |                                |   |        |      |  |   |         |   |  |   |        |  



|(1) | Represents the unrealized appreciation or depreciation recorded at the end of prior period.
|--- | -------------------------------------------------------------------------------------------

We are not aware of any material trends or uncertainties, favorable or unfavorable, that may be reasonably anticipated to have a material
impact on either capital resources or the revenues or income to be derived from our investments, other than those described above, risk factors, if any, identified in Part II, Item 1A of this report, and the Managements Discussion
and Analysis of Financial Condition and Results of Operations and Risk Factors sections of our Annual Report on Form 10-K for the year ended December 31, 2014.

Adjusted net investment income

Our net
investment income totaled $45.63 million ($0.17 per share) and $127.58 million ($0.52 per share) for the three and nine months ended September 30, 2015, respectively, as compared to $35.59 million ($0.19 per share) and $82.83 million ($0.49 per
share) for the three and nine months ended September 30, 2014, respectively. As described above in - Investment advisory fees and performance-based incentive fees, we accrue estimated incentive fees on capital gains with respect to
any net realized and unrealized appreciation in our Investment Portfolio and derivative instruments. The capital gains incentive fees are treated as an operating expense and therefore are a deduction in calculating our net investment income on a
GAAP basis. However, the incentive fees on capital gains related to net unrealized appreciation on our Investment Portfolio and derivative instruments are not payable by us unless and until the net unrealized appreciation is actually realized.
Therefore, in order to evaluate our net investment income without regard to unrealized appreciation in our Investment Portfolio, we have developed a supplemental, non-GAAP measure, which we refer to as adjusted net investment income,
which presents net investment income before the effects of unearned performance-based incentive fees.

We believe that adjusted net
investment income is useful to assess the sustainability of our distributions and operating performance. Adjusted net investment income is not necessarily indicative of cash flows available to fund cash needs and should not be considered as an
alternative to net investment income as an indication of our performance, as an alternative to cash flows from operations as an indication of our liquidity, or indicative of funds available to fund our cash needs including our ability to make future
distributions to our shareholders. Adjusted net investment income should not be construed as an historic performance measure or as more relevant or accurate than the current GAAP methodology in calculating net investment income and its applicability
in evaluating our operating performance.



87



---

##### Table of Contents

The following table presents a reconciliation of our net investment income to adjusted net
investment income for the three and nine months ended September 30, 2015 and 2014; the increase in adjusted net investment income was primarily the result in the growth of our Investment Portfolio and earnings thereon.



|                                                         |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |        | 
|-------------------------------------------------------- |  | ------------------------------- | ------ |  | ------------------------------ | - | ------ | ---- |  | - | ------- |  |  | - | ------ | 
|                                                         |  | Three Months EndedSeptember 30, |        |  | Nine Months EndedSeptember 30, |  
|(in thousands, except per share amounts)                 |  | 2015                            |        |  | 2014                           |   |        | 2015 |  |   | 2014    | 
|Net investment income (GAAP)                             |  | $                               | 45,628 |  |                                | $ | 35,590 |      |  | $ | 127,578 |  |  | $ | 82,834 | 
|Add: Estimated unearned performance-based incentive fees |  |                                 |       |  |                                |   | (2,381 | )    |  |   |        |  |  |   | 3,399  | 
|                                                         |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |        | 
|Adjusted net investment income (non-GAAP)                |  | $                               | 45,628 |  |                                | $ | 33,209 |      |  | $ | 127,578 |  |  | $ | 86,233 | 
|                                                         |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |        | 
|Net investment income per share (GAAP)                   |  | $                               | 0.17   |  |                                | $ | 0.19   |      |  | $ | 0.52    |  |  | $ | 0.49   | 
|                                                         |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |        | 
|Adjusted net investment income per share (non-GAAP)      |  | $                               | 0.17   |  |                                | $ | 0.18   |      |  | $ | 0.52    |  |  | $ | 0.52   | 
|                                                         |  |                                 |        |  |                                |   |        |      |  |   |         |  |  |   |        | 

In addition, the relative utilization of the TRS can also cause variability in net investment income,
because, in accordance with GAAP, earnings on assets within the TRS Portfolio are not included in the calculation of net investment income. The TRS Portfolio accrued interest income and financing charges are included in the fair value of the TRS and
are not recorded as realized gain or loss on derivative instruments until quarterly TRS settlement payments are finalized. If the TRS assets had instead been included in our Investment Portfolio as owned assets, the interest income and financing
charges would have been included in net investment income.

The following table shows the TRS interest income and financing charges for
the three and nine months ended September 30, 2015 and 2014.



|                                                           |  |                                 |        |   |                                |   |       |      |  |   |        |   |  |   |        |  
|---------------------------------------------------------- |  | ------------------------------- | ------ | - | ------------------------------ | - | ----- | ---- |  | - | ------ | - |  | - | ------ | -
|                                                           |  | Three Months EndedSeptember 30, |        |   | Nine Months EndedSeptember 30, |  
|(in thousands, except per share amounts)                   |  | 2015                            |        |   | 2014                           |   |       | 2015 |  |   | 2014   |  
|Interest and fee income included in TRS fair value         |  | $                               | 5,174  |   |                                | $ | 1,688 |      |  | $ | 5,174  |   |  | $ | 1,688  |  
|Financing charges included in TRS fair value               |  |                                 | (794   | ) |                                |   | (184  | )    |  |   | (794   | ) |  |   | (184   | )
|                                                           |  |                                 |        |   |                                |   |       |      |  |   |        |   |  |   |        |  
|Subtotal                                                   |  |                                 | 4,380  |   |                                |   | 1,504 |      |  |   | 4,380  |   |  |   | 1,504  |  
|Interest and fee income included in TRS net realized gains |  |                                 | 5,138  |   |                                |   | 1,093 |      |  |   | 12,294 |   |  |   | 3,524  |  
|Financing charges included in TRS net realized gains       |  |                                 | (1,181 | ) |                                |   | (184  | )    |  |   | (2,889 | ) |  |   | (429   | )
|Less: amounts included in prior period fair value          |  |                                 | (4,361 | ) |                                |   | (922  | )    |  |   | (3,032 | ) |  |   | (1,703 | )
|                                                           |  |                                 |        |   |                                |   |       |      |  |   |        |   |  |   |        |  
|TRS net interest spread                                    |  | $                               | 3,976  |   |                                | $ | 1,491 |      |  | $ | 10,753 |   |  | $ | 2,896  |  
|                                                           |  |                                 |        |   |                                |   |       |      |  |   |        |   |  |   |        |  
|TRS net interest spread per share                          |  | $                               | 0.02   |   |                                | $ | 0.01  |      |  | $ | 0.04   |   |  | $ | 0.02   |  
|                                                           |  |                                 |        |   |                                |   |       |      |  |   |        |   |  |   |        |  

Net Assets, Net Asset Value per Share, Annual Investment Return and Total Return Since Inception

Net assets increased $380.54 million and $539.81 million during the nine months ended September 30, 2015 and 2014, respectively. The most
significant increase in net assets during the nine months ended September 30, 2015 and 2014 was attributable to capital transactions including (i) the issuance of shares of common stock and (ii) reinvestment of distributions in the
combined amount of $548.70 million and $550.04 million, respectively. Our operations resulted in net assets increasing $1.48 million and $102.68 million during the nine months ended September 30, 2015 and 2014, respectively. Our overall the
change in net assets was partially offset by distributions to shareholders in the amount of $148.72 million and $100.32 million and the repurchase of shares of common stock in the amount of $20.91 million and $12.59 million during the nine months
ended September 30, 2015 and 2014, respectively.

Our net asset value per share was $9.26 and $10.06 on September 30, 2015 and
2014, respectively. After considering (i) the overall changes in net asset value per share, (ii) distributions paid of approximately $0.60 and $0.60 per share during the nine months ended September 30, 2015 and 2014, respectively, and
(iii) the assumed reinvestment of those distributions at 90% of the prevailing offering price per share, the total investment return was 0.57% and 6.66% (not annualized) for shareholders who held our shares over the entire nine-month period
ending September 30, 2015 and 2014, respectively.

Initial shareholders who subscribed to the Initial Offering in June 2011 with an
initial investment of $10,000 and an initial purchase price equal to $9.00 per share (public offering price net of sales load) have seen the value of their investment grow by 44.4% (see first chart below), or an annualized return of 8.9% (see second
chart below). Initial shareholders who subscribed to the Initial Offering in June 2011 with an initial investment of $10,000 and an initial purchase price equal to $10.00 per share (the initial public offering price) have registered a total
investment return of 30.0% (see first chart below), or an annualized return of 6.3% (see second chart below). The S&P/LSTA Leveraged Loan Index, a primary measure of senior debt covering the U.S. leveraged loan market, which currently consists
of approximately 1,100 credit facilities throughout numerous industries, and the Merrill Lynch US High



88



---

##### Table of Contents

Yield Master II Index, a primary measure of subordinated debt consisting of approximately 2,000 high yield corporate bonds, registered cumulative total returns of approximately 17.9% and 23.9%,
respectively, in the period from June 17, 2011 to September 30, 2015.



LOGO

The calculations for the Growth of $10,000 Initial Investment in the shares of our common stock are based
upon (i) an initial investment of $10,000 in our common stock at the beginning of the period at a share price of $10.00 per share (including sales load) and $9.00 per share (excluding sales load), (ii) assumed reinvestment of monthly
distributions in accordance with our distribution reinvestment plan, (iii) the sale of the entire investment position at the net asset value per share on the last day of the period; and (iv) distributions payable, if any, on the last day
of the period.



89



---

##### Table of Contents

LOGO



|                            |  |  |  |   |       |  |  |  |  |   |       |  |  |  |  |   |       | 
|--------------------------- |  |  |  | - | ----- |  |  |  |  | - | ----- |  |  |  |  | - | ----- | 
|Public Offering Price/Share |  |  |  | $ | 10.00 |  |  |  |  | $ | 11.10 |  |  |  |  | $ | 11.30 | 
|Public Offering Price/Share |  |  |  | $ | 10.00 |  |  |  |  | $ | 11.10 |  |  |  |  | $ | 11.30 | 
|Net Offering Price/Share    |  |  |  | $ | 9.00  |  |  |  |  | $ | 9.99  |  |  |  |  | $ | 10.17 | 
|Distributions/Share         |  |  |  | $ | 3.35  |  |  |  |  | $ | 1.64  |  |  |  |  | $ | 0.81  | 
|Terminal Value/Share (NAV)  |  |  |  | $ | 9.26  |  |  |  |  | $ | 9.26  |  |  |  |  | $ | 9.26  | 

In the chart above, we also present the average annual returns for the trailing 24 months and trailing 12
months, in each case assuming (i) the purchase of shares of common stock at the public offering price and net offering price (90% of public offering price) at the beginning of the period, (ii) reinvestment of distributions in the common
stock, (iii) a terminal value at September 30, 2015 equal to net asset value of $9.26 per share and (iv) distributions payable to shareholders as of September 30, 2015.

Our shares are illiquid investments for which there is currently not a secondary market. You should not expect to be able to resell your
shares regardless of how we perform. If you are able to sell your shares, you will likely receive less than your purchase price. Our net asset value and annualized returns  which are based in part upon determinations of fair value of Level 3
investments by our board of directors, not active market quotations  are inherently uncertain. Past performance is not a guarantee of future results.

Critical Accounting Policies and Estimates

Our discussion and analysis of our financial condition and results of operations are based upon our unaudited condensed consolidated financial
statements which have been prepared in accordance with GAAP. The preparation of our unaudited condensed consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities,
revenues and expenses. Note 2. Significant Accounting Policies to our unaudited condensed consolidated financial statements describes the significant accounting policies and methods used in the preparation of our consolidated financial
statements. We consider the accounting policies listed below to be critical because they involve management judgments and assumptions, require estimates about matters that are inherently uncertain and are important for understanding and evaluating
our reported financial results. These judgments affect (i) the reported amounts of assets and liabilities, (ii) our disclosure of contingent assets and liabilities as of the dates of the financial statements and (iii) the reported
amounts of revenue and expenses during the reporting periods. With different estimates or assumptions, materially different amounts could be reported in our financial statements. Changes in the economic



90



---

##### Table of Contents

environment, financial markets and any other parameters used in determining such estimates could cause actual results to differ materially from the amounts reported based on these policies.

Valuation of Investments and Unrealized Gain (Loss)  Our investments consist primarily of investments in senior and
subordinated debt of private U.S. companies and are presented in our consolidated financial statements at fair value. See Note 3. Investments, in the accompanying unaudited condensed consolidated financial statements for more information
on our investments. As described more fully in Note 2. Significant Accounting Policies and Note 5. Fair Value of Financial Instruments in our unaudited condensed consolidated financial statements, a valuation hierarchy based
on the level of independent, objective evidence available regarding value is used to measure the fair value of our investments. Investments for which market quotations are readily available are valued using market quotations, which are generally
obtained from independent pricing services, broker-dealers or market makers. With respect to our portfolio investments for which market quotations are not readily available, our board of directors is responsible for determining in good faith the
fair value of our portfolio investments in accordance with, and the consistent application of, the valuation policy and procedures approved by the board of directors, based on, among other things, the input of our Advisors, audit committee and
independent third-party valuation firms.

We utilize several valuation techniques that use unobservable inputs and assumptions in
determining the fair value of our Level 3 investments. For senior debt, subordinated debt and structured products categorized as Level 3 investments, we initially value the investment at its initial transaction price and subsequently value
using (i) market data for similar instruments (e.g., recent transactions or indicative broker quotes), (ii) comparisons to benchmark derivative indices and/or (iii) valuation models. Valuation models are based on yield analysis
and discounted cash flow techniques, where the key inputs are based on relative value analyses and the assignment of risk-adjusted discounted rates derived from the analysis of similar credit investments from similar issuers. In addition, an
illiquidity discount is applied where appropriate. The valuation techniques used by us for other types of assets and liabilities that are classified as Level 3 investments are described in Note 2 to our unaudited condensed consolidated
financial statements. The unobservable inputs and assumptions may differ by asset and in the application of our valuation methodologies. The reported fair value estimates could vary materially if we had chosen to incorporate different unobservable
inputs and other assumptions.

We and our board of directors conduct our fair value determination process on a quarterly basis and any
other time when a decision regarding the fair value of our portfolio investments is required. A determination of fair value involves subjective judgments and estimates. Due to the inherent uncertainty of determining the fair value of portfolio
investments that do not have a readily available market value, the fair value of the our portfolio investments may differ significantly from the values that would have been determined had a readily available market value existed for such
investments, and the differences could be material. Further, such investments are generally less liquid than publicly traded securities. If we were required to liquidate a portfolio investment that does not have a readily available market value in a
forced or liquidation sale, we could realize significantly less than the fair value recorded by us.

The table below presents information
on the significant presence of investments classified as Level 3 as of September 30, 2015 and December 31, 2014:



|                                                          |  |                    |           |   |                   |   |           |  
|--------------------------------------------------------- |  | ------------------ | --------- | - | ----------------- | - | --------- | -
|(in thousands)                                            |  | September 30, 2015 |           |   | December 31, 2014 |  
|Fair value of investments classified as Level 3           |  | $                  | 1,974,697 |   |                   | $ | 1,502,332 |  
|Total fair value of investments                           |  | $                  | 3,479,753 |   |                   | $ | 2,721,200 |  
|% of fair value classified as Level 3                     |  |                    | 56.7      | % |                   |   | 55.2      | %
|Number of positions classified as Level 3                 |  |                    | 84        |   |                   |   | 63        |  
|Total number of positions                                 |  |                    | 175       |   |                   |   | 154       |  
|% of positions classified as Level 3                      |  |                    | 48.0      | % |                   |   | 40.9      | %
|Fair value of individual positions classified as Level 3: |  |                    |           |   |                   |   |           |  
|Highest fair value                                        |  | $                  | 108,150   |   |                   | $ | 109,556   |  
|Lowest fair value                                         |  | $                  | 0         |   |                   | $ | 32        |  
|Average fair value                                        |  | $                  | 23,508    |   |                   | $ | 23,847    |  

The ranges of unobservable inputs used in the fair value measurement of the Companys Level 3
investments as of September 30, 2015 and December 31, 2014 are described in Note 5. Fair Value of Financial Instruments in our unaudited condensed consolidated financial statements, as well as, the directional impact to the
valuation from an increase in various unobservable inputs.

In addition to impacting the estimated fair value recorded for our
investments in our statement of assets and liabilities, had we used different key unobservable inputs to determine the estimated fair value of our investments, amounts recorded in our statement



91



---

##### Table of Contents

of operations, including the net change in unrealized appreciation and depreciation on investments, investment advisory fees and performance-based incentive fees would also be impacted since such
amounts are directly impacted by the estimated fair value of our assets. For instance, a 5% overstatement of the fair value of our Level 3 investments as of September 30, 2015, assuming all other estimates remain unchanged, would otherwise
result in a $94.03 million overstatement of net change in unrealized appreciation on investments, a $0.15 million overstatement of our investment advisory fees payable to our Advisors, a $93.88 million overstatement of our net increase in net assets
resulting from operations, and a $0.38 overstatement in our earnings per share for the nine months ended September 30, 2015, and a $0.34 overstatement of our net asset value per share as of September 30, 2015.

Off-Balance Sheet Arrangements

We had
no off-balance sheet arrangements as of September 30, 2015.

Contractual Obligations

Investment Advisory Agreements  We have entered into the Investment Advisory Agreement with CNL for the overall management
of our investment activities. We and CNL have also entered into the Sub-Advisory Agreement with KKR, under which KKR is responsible for the day-to-day management of our Investment Portfolio. CNL compensates KKR for advisory services that it provides
to us with 50% of the investment advisory fee and performance-based incentive fees that CNL receives under the Investment Advisory Agreement. Pursuant to the Investment Advisory Agreement, CNL earns the investment advisory fee equal to an annual
rate of 2% of our average gross assets (including unrealized appreciation or depreciation on the TRS and collateral posted with the custodian in connection with the TRS, but excluding deferred offering expenses), and an incentive fee based on our
performance. The incentive fee is comprised of the following two parts:



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



| | (ii) | an incentive fee on capital gains paid annually, if earned, equal to (A) 20% of all realized gains on a cumulative basis from inception, net of (1) all realized losses on a cumulative basis,
(2) unrealized depreciation at year-end and (3) disregarding any net realized gains associated with the TRS interest spread, (which represents the difference between (a) the interest and fees received on total return swaps, and
(b) the financing fees paid to the total return swaps counterparty), less (B) the aggregate amount of any previously paid incentive fee on capital gains.
| | ---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The terms of the Investment Advisory Agreement entitle CNL (and indirectly KKR) to receive up to 5% of gross proceeds in connection with the
Offerings as reimbursement for organization and offering expenses incurred by the Advisors on our behalf.

The reimbursement rate was
0.5% of gross offering proceeds during the nine months ended September 30, 2015. As of September 30, 2015, the Advisors have been reimbursed $9.10 million for offering expenses from the Follow-On Offering, including any payable balances
for reimbursement of offering expenses. As of September 30, 2015, the Advisors carried a balance of approximately $0.04 million for unreimbursed expenses incurred on our behalf in connection with the Follow-On Offering. The Advisors are
expected to continue to incur offering expenses on our behalf throughout the remainder of the Follow-On Offering period and we expect to continue reimbursement of the Advisors for offering expenses they incur on our behalf through the termination
date of the Follow-On Offering. We expect the reimbursement rate to remain at or below 1.0% of gross offering proceeds for the remainder of the Follow-On Offering.

See Note 6. Related Party Transactions in our unaudited condensed consolidated financial statements for expanded discussion of
the Investment Advisory Agreement.

Unfunded Commitments - Unfunded commitments to provide funds to portfolio companies are
not recorded on our consolidated statements of assets and liabilities. Because these commitments may expire without being drawn upon, the total commitment amount does not necessarily represent future cash requirements. We intend to use cash flow
from scheduled and early principal repayments and proceeds from borrowings and securities offerings to fund these commitments. As of September 30, 2015, our unfunded investment commitments totaled $255.78 million, representing 61.2% of our
immediate liquidity available to us as of September 30, 2015. We believe we maintain sufficient liquidity to fund such unfunded loan commitments should the need arise.

Borrowings As discussed above under Capital Resources and LiquidityBorrowings, we, either directly or
through our wholly owned subsidiaries, have borrowing agreements with several lenders in connection with our revolving credit facilities and



92



---

##### Table of Contents

the 2014 Senior Secured Term Loan. As of September 30, 2015, the credit facilities provided for $296.05 million of additional borrowing capacity. (See Note 10. Borrowings in our
unaudited condensed consolidated financial statements for expanded discussion of the revolving credit facilities and 2014 Senior Secured Term Loan.)

A summary of our significant contractual payment obligations for the repayment of outstanding borrowings and interest expense and other fees
related to the credit facilities and 2014 Senior Secured Term Loan at September 30, 2015 is as follows:



|                                               |  |       |           |  |          |   |         |           |  |   |           |  |  |               |         |  |  |   |   | 
|---------------------------------------------- |  | ----- | --------- |  | -------- | - | ------- | --------- |  | - | --------- |  |  | ------------- | ------- |  |  | - | - | 
|(in thousands)                                 |  | Total |           |  | < 1 year |   |         | 1-3 years |  |   | 3-5 years |  |  | After 5 years |        
|BNP Credit Facility                            |  | $     | 163,000   |  |          | $ | 163,000 |           |  | $ |          |  |  | $             |        |  |  | $ |  | 
|Deutsche Bank Credit Facility                  |  |       | 175,000   |  |          |   |        |           |  |   | 175,000   |  |  |               |        |  |  |   |  | 
|Senior Secured Revolving Credit Facility       |  |       | 477,000   |  |          |   |        |           |  |   | 477,000   |  |  |               |        |  |  |   |  | 
|2014 Senior Secured Term Loan                  |  |       | 394,000   |  |          |   | 4,000   |           |  |   | 8,000     |  |  |               | 382,000 |  |  |   |  | 
|Interest and Credit Facilities Fees Payable(1) |  |       | 95,964    |  |          |   | 38,466  |           |  |   | 47,672    |  |  |               | 9,826   |  |  |   |  | 
|                                               |  |       |           |  |          |   |         |           |  |   |           |  |  |               |         |  |  |   |   | 
|Total                                          |  | $     | 1,304,964 |  |          | $ | 205,466 |           |  | $ | 707,672   |  |  | $             | 391,826 |  |  | $ |  | 
|                                               |  |       |           |  |          |   |         |           |  |   |           |  |  |               |         |  |  |   |   | 



|(1) | Estimated interest payments have been calculated based on interest rates of our credit facilities and term loan payables as of September 30, 2015.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------

Related Party Transactions

We have
entered into agreements with our Advisors and certain of their affiliates, whereby, we agree to pay certain fees to, or reimburse certain expenses of, our Advisors and their affiliates for investment and advisory services, selling commissions and
marketing support fees in connection with our Offerings, and reimbursement of offering expenses, and administrative and operating fees and costs. See Note 6. Related Party Transactions in the accompanying unaudited condensed consolidated
financial statements and Part III  Item 13. Certain Relationships and Related Transactions, and Director Independence in our Form 10-K for the year ended December 31, 2014 for a discussion of the various related party
transactions, agreements and fees.

Impact of Recent Accounting Pronouncements

See Item 1. Financial Statements for a summary of the impact of any recent accounting pronouncements, if any.



|Item 3. | Quantitative and Qualitative Disclosures About Market Risk
|------- | ----------------------------------------------------------

Interest Rate Risk

We are subject to financial market risks, in particular changes in interest rates. Future changes in interest rates will likely have effects
on the interest income we earn on our portfolio investments, the fair value of our fixed income investments, the interest rates and interest expense associated with the money we borrow and the fair value of loan balances.

Subject to the requirements of the 1940 Act, we may hedge against interest rate fluctuations by using standard hedging instruments such as
futures, options and forward contracts. Although hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in the benefits of lower interest rates. During the nine months ended
September 30, 2015 and 2014, we did not engage in interest rate hedging activities. In October 2015, we entered into a series of pay-fixed, receive-floating interest rate swaps that will be effective on December 31, 2015. We will pay an
annual fixed rate of 1.3633% to 1.428% and receive three-month LIBOR on an aggregate notional amount of $500 million. The interest rate swaps will have quarterly settlement payments beginning in March 2016.

As of September 30, 2015, approximately 70.1% of our portfolio of debt investments (excluding TRS assets), or approximately $2.29
billion measured at par value, featured floating or variable interest rates. The variable interest rate debt investments usually provide for interest payments based on three-month LIBOR (the base rate) and typically have durations of three months
after which the base rates are reset to then prevailing three-month LIBOR. At September 30, 2015, approximately 95.1% of our portfolio of variable interest rate debt investments, or approximately $2.18 billion measured at par value, featured
minimum base rates, or base rate floors, and the weighted average base rate floor for such investments was 1.0 %. Variable interest rate investments that feature a base rate floor generally reset to the then prevailing three-month LIBOR only if the
reset base rate exceeds the base rate floor on the applicable interest rate reset date, in which cases, we may benefit through an increase in interest income from such interest rate adjustments. At September 30, 2015, we held an aggregate
investment position of $112.16 million at par value in variable interest rate debt investments that featured variable interest rates without any minimum base rates, or approximately 4.9% of our portfolio of variable interest rate debt investments.
In the case of these no base rate floor variable interest debt investments held in our portfolio, we may benefit from increases in the base rates that may subsequently result in an increase in interest income from such interest rate
adjustments.



93



---

##### Table of Contents

Because we borrow money to make investments, our net investment income is partially dependent
upon the difference between the interest rate at which we invest borrowed funds and the interest rate at which we borrow funds. In periods of rising interest rates, if we have borrowed capital with floating interest rates, our interest expense will
increase, which will increase our financing costs and may reduce our net investment income, especially to the extent we continue to acquire and hold fixed-rate debt investments. As a result, there can be no assurance that a significant change in
market interest rates will not have a material adverse effect on our net investment income.

Pursuant to the terms of our credit
facilities and 2014 Senior Secured Term Loan, as discussed above (see  Capital Resources and Liquidity  Borrowings  Credit Facilities and Term Loan), all of our borrowing as of September 30, 2015 provide for
floating base rates based on short-term LIBOR. Therefore, if we were to completely draw down (i) the unused commitment amounts in our Deutsche Bank Credit Facility, (ii) the maximum commitment amount in our BNP Credit Facility and
(iii) the maximum commitment in our Senior Secured Revolving Credit Facility under an interest election of LIBOR plus 2.50%, we expect that our weighted average stated interest rate would decrease by approximately 9 basis points
(bps), as compared to our current weighted average direct interest cost for borrowed funds. We expect that any further expansion of our current revolving credit facilities, or any future credit facilities that we or any subsidiary may
enter into, will also be based on a floating base rate. As a result, we are subject to continuous risks relating to changes in market interest rates.

Under the terms of the TRS agreements between Halifax Funding and BNS, Halifax Funding pays interest to BNS at a floating rate based on
three-month LIBOR in exchange for the right to receive the economic benefits of a portfolio of TRS assets having a maximum aggregate notional amount of $500 million.

Assuming the consolidated schedule of investments as of September 30, 2015 was to remain constant with regards to the Investment
Portfolio and no actions were taken to alter the existing interest rate sensitivity or Investment Portfolio allocations, the upper section of the table below presents an estimated and hypothetical increase in interest income for a 12-month period
due to an immediate and persistent increase in the base rates associated with our debt investments featuring variable interest rates.

The middle section of the table below also presents sensitivity analysis for a 12-month period due to a persistent increase in the base
interest rates that apply to our floating rate credit facilities and term loan and the associated increase in interest expense, as well as, the net effect of change in interest rates on the TRS unrealized appreciation (depreciation). For persistent
LIBOR increases of less than approximately 200 basis points, the increase in interest expense exceeds the hypothetical increase in interest income associated with our floating rate debt investments due to the base rate floors on those investments;
for a persistent LIBOR increase of approximately 200 basis points or more, the hypothetical increase in interest income associated with our floating rate debt investments begins to provide a positive contribution to net interest income, in both
cases assuming that the consolidated schedule of investments as of September 30, 2015 was to remain constant with regards to the Investment Portfolio and no actions were taken to alter the existing interest rate sensitivity or Investment
Portfolio allocations.



|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|------------------------------------------------------------------------------------------ | ------------- | ------ | -------- | ---------- | ---------------- |  | ------- | --------------------------------------- |  | -------- | ------ | - | -------- | - | ------- | -------- |  | - | ------- | - |  | - | ------- | -
|                                                                                           |               | Par    |          |            |                  |  |         | (in millions, except per share amounts) | 
|                                                                                           |               | Amount |          |            | Weighted         |  |         | Increases in LIBOR                      | 
|                                                                                           | (in millions) |        |          | Avg. Floor |                  |  | +50 bps |                                         |  | +100 bps |        |   | +150 bps |   |         | +200 bps | 
|No base rate floor                                                                         |               | $      | 112.17   |            |                  |  |         |                                         |  | $        | 0.489  |   |          | $ | 0.978   |          |  | $ | 1.467   |   |  | $ | 1.956   |  
|Base rate floor                                                                            |               | $      | 2,179.18 |            |                  |  | 1.0     | %                                       |  |          | 0.000  |   |          |   | 5.353   |          |  |   | 14.809  |   |  |   | 24.339  |  
|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|Increase in Floating Rate Interest Income                                                  |               |        |          |            |                  |  |         |                                         |  | $        | 0.489  |   |          | $ | 6.331   |          |  | $ | 16.276  |   |  | $ | 26.295  |  
|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|                                                                                           |               |        |          |            |                  | 
|                                                                                           |               |        |          |            | Base Rate Spread |  |         |                                         |  |          |        |   |          |   |         |          |  |  
|BNP Credit Facility                                                                        |               | $      | 163.00   |            |                  |  | 110 bps |                                         |  | $        | (0.815 | ) |          | $ | (1.630  | )        |  | $ | (2.445  | ) |  | $ | (3.260  | )
|Deutsche Bank Credit Facility Tranche E Loans                                              |               | $      | 150.00   |            |                  |  | 185 bps |                                         |  |          | (0.750 | ) |          |   | (1.500  | )        |  |   | (2.250  | ) |  |   | (3.000  | )
|Deutsche Bank Credit Facility Tranche F Loans                                              |               | $      | 25.00    |            |                  |  | 195 bps |                                         |  |          | (0.125 | ) |          |   | (0.249  | )        |  |   | (0.375  | ) |  |   | (0.499  | )
|Senior Secured Revolving Credit Facility                                                   |               | $      | 477.00   |            |                  |  | 250 bps |                                         |  |          | (2.385 | ) |          |   | (4.770  | )        |  |   | (7.155  | ) |  |   | (9.540  | )
|2014 Senior Secured Term Loan                                                              |               | $      | 394.00   |            |                  |  | 325 bps |                                         |  |          | (0.295 | ) |          |   | (2.266  | )        |  |   | (4.236  | ) |  |   | (6.206  | )
|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|Increase to Floating Rate Interest Expense                                                 |               |        |          |            |                  |  |         |                                         |  |          | (4.370 | ) |          |   | (10.415 | )        |  |   | (16.461 | ) |  |   | (22.505 | )
|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|Change in Floating Rate Net Interest Income, before TRS                                    |               |        |          |            |                  |  |         |                                         |  |          | (3.881 | ) |          |   | (4.084  | )        |  |   | (0.185  | ) |  |   | 3.790   |  
|Net change in TRS unrealized appreciation(depreciation) (1)                                |               |        |          |            |                  |  |         |                                         |  |          | (1.604 | ) |          |   | (2.393  | )        |  |   | (2.630  | ) |  |   | (2.851  | )
|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|Overall Change in Floating Rate Net Interest Income, including TRS                         |               |        |          |            |                  |  |         |                                         |  | $        | (5.485 | ) |          | $ | (6.477  | )        |  | $ | (2.815  | ) |  | $ | 0.939   |  
|                                                                                           |               |        |          |            |                  |  |         |                                         |  |          |        |   |          |   |         |          |  |   |         |   |  |   |         |  
|Change in Floating Rate Net Interest Income Per Share Outstanding as of September 30, 2015 |               |        |          |            |                  |  |         |                                         |  | $        | (0.02  | ) |          | $ | (0.02   | )        |  | $ | (0.01   | ) |  | $ | 0.00    |  



|(1) | Pursuant to the TRS agreements, Halifax Funding receives from BNS all collected interest and fees derived from the TRS assets and pays to BNS interest
at a rate equal to three-month LIBOR plus 80 bps per annum on the settled notional amount of TRS assets. As of
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



94



---

##### Table of Contents

| | September 30, 2015, 96.6% of the TRS assets, or approximately $315.25 million measured at par value, featured floating or variable interest rates. At September 30, 2015, 98.7% of the
TRS assets with variable interest rates featured minimum base rate floors, or approximately $311.25 million measured at par value, and the weighted average base rate floor for such TRS assets was 1.0%. As of September 30, 2015, the settled
notional amount was $324.12 million.
| | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The interest rate sensitivity analysis presented above does not consider the
potential impact of the changes in fair value of our debt investments and the net asset value of our common stock in the event of sudden increases in interest rates associated with high yield corporate bonds. Approximately 29.9% of our debt
Investment Portfolio was invested in fixed interest rate, high yield corporate debt investments as of September 30, 2015. Rising market interest rates will most likely lead to fair value declines for high yield corporate bonds and a decline in
the net asset value of our common stock, while declining market interest rates will most likely lead to an increase in bond values.

As
of September 30, 2015, approximately 44.4% of our fixed interest rate debt investments, or approximately $382.85 million measured at fair value, had prices that are generally available from third party pricing services. We consider these debt
investments to be one of the more liquid subsets of our Investment Portfolio since these types of assets are generally broadly syndicated and owned by a wide group of institutional investors, business development companies, mutual funds and other
investment funds. Additionally, this group of assets is susceptible to revaluation, or changes in bid-ask values, in response to sudden changes in expected rates of return associated with these investments. We have other fixed interest rate
investments in the less liquid subset of our Investment Portfolio that are not included in this analysis.

We have computed duration of
approximately 4.8 for this liquid/fixed subset of our total portfolio. This implies that a sudden increase in the markets expected rate of return of 100 basis points for this subset of our Investment Portfolio may result in a reduction in fair
value of approximately 4.8%, all other financial and market factors assuming to remain unchanged. A 4.8% decrease in the valuation of this Investment Portfolio subset equates to a decrease of $18.4 million, or a 0.7% decline in net assets relative
to $9.26 net asset value per share as of September 30, 2015.

Foreign Currency Risk

From time to time, we may make investments that are denominated in a foreign currency that are subject to the effects of exchange rate
movements between the foreign currency of each such investment and the U.S. dollar, which may affect future fair values and cash flows, as well as, amounts translated into U.S. dollars for inclusion in our consolidated financial statements.

The table below presents the effect that a 10% immediate, unfavorable change in the foreign currency exchange rates (i.e. strengthening U.S.
dollar) would have on the fair value of investments in our Investment Portfolio denominated in foreign currencies as of September 30, 2015, by foreign currency, all other valuation assumptions remaining constant. Our TRS Portfolio did not
contain any investments denominated in foreign currencies as of September 30, 2015. In addition, the table below presents the par value of our investments denominated in foreign currencies and the combined notional amount of foreign currency
forward contracts and cross currency swaps in local currency in place as of September 30, 2015, to hedge against foreign currency risks.



|                       |  |     |  |                                               |         |  |                   |   |         |                          |  |   |                     |  |  |                  |        |  |                  |     |         |  |  |   |         | 
|---------------------- |  | --- |  | --------------------------------------------- | ------- |  | ----------------- | - | ------- | ------------------------ |  | - | ------------------- |  |  | ---------------- | ------ |  | ---------------- | --- | ------- |  |  | - | ------- | 
|                       |  |     |  | Investments Denominated in Foreign Currencies |         |  | Hedges            |  
|                       |  |     |  | As of September 30, 2015                      |         |  | Reduction in Fair |   |         | As of September 30, 2015 | 
|                       |  |     |  | (in thousands)                                |         |  | Value as of       |   |         | (in thousands)           | 
|                       |  |     |  |                                               |         |  |                   |   |         |                          |  |   | September 30,       |  |  | Foreign Currency |        |  | Foreign Currency |    
|                       |  |     |  | Par Value/                                    |         |  |                   |   |         |                          |  |   | 2015 if 10%         |  |  | Hedge            |        |  | Hedge            |    
|                       |  |     |  | Cost in Local                                 |         |  | Par Value/        |   |         |                          |  |   | Adverse Change      |  |  | Amount in        |        |  | Amount in        |    
|(in thousands)         |  |     |  | Currency(1)                                   |         |  | Cost in US$(1)    |   |         | Fair Value               |  |   | in Exchange Rate(2) |  |  | Local Currency   |        |  | U.S. Dollars     |    
|Euros                  |  |    |  |                                               | 366,094 |  |                   | $ | 410,125 |                          |  | $ | 349,599             |  |  | $                | 34,960 |  |                  |    | 333,447 |  |  | $ | 372,935 | 
|British Pound Sterling |  | £   |  |                                               | 89,454  |  |                   |   | 135,131 |                          |  |   | 135,536             |  |  |                  | 13,554 |  |                  | £   | 93,590  |  |  |   | 143,807 | 
|Australian Dollars     |  | A$  |  |                                               | 32,119  |  |                   |   | 22,793  |                          |  |   | 21,599              |  |  |                  | 2,160  |  |                  | A$  | 30,887  |  |  |   | 21,781  | 
|Swedish Kronor         |  | SEK |  |                                               | 97,249  |  |                   |   | 15,145  |                          |  |   |                    |  |  |                  |       |  |                  | SEK |        |  |  |   |        | 
|                       |  |     |  |                                               |         |  |                   |   |         |                          |  |   |                     |  |  |                  |        |  |                  |     |         |  |  |   |         | 
|Total                  |  |     |  |                                               |         |  |                   | $ | 583,194 |                          |  | $ | 506,734             |  |  | $                | 50,674 |  |                  |     |         |  |  | $ | 538,523 | 
|                       |  |     |  |                                               |         |  |                   |   |         |                          |  |   |                     |  |  |                  |        |  |                  |     |         |  |  |   |         | 



|(1) | Amount represents the par value of debt investments and cost of equity investments denominated in foreign currencies.
|--- | ---------------------------------------------------------------------------------------------------------------------

|(2) | Excludes effect, if any, of any foreign currency hedges.
|--- | --------------------------------------------------------

As illustrated in the table above,
we use derivative instruments from time to time, including foreign currency forward contracts and cross currency swaps, to manage the impact of fluctuations in foreign currency exchange rates. In addition, we have the ability to borrow in foreign
currencies under our Senior Secured Revolving Credit Facility, which provides a natural hedge with regard to changes in exchange rates between the foreign currencies and the U.S. dollar and reduces our exposure to foreign exchange rate differences.
We are typically a net receiver of these foreign currencies as related for our international investment positions, and, as a



95



---

##### Table of Contents

result, our investments denominated in foreign currencies, to the extent not hedged, benefit from a weaker U.S. dollar and are adversely affected by a stronger U.S. dollar.

As of September 30, 2015, the net contractual amount of our foreign currency forward contracts and cross currency swaps totaled $538.52
million, all of which related to hedging of our foreign currency denominated debt investments. As of September 30, 2015, we did not have any amounts outstanding denominated in foreign currencies on our Senior Secured Revolving Credit Facility.

During the three and nine months ended September 30, 2015, our foreign currency transactions and foreign currency translation
adjustment recorded in our condensed consolidated statements of operations resulted in a net realized and unrealized gains (losses) of $(2.42) million and $(2.99) million, respectively. Our foreign currency forward contracts and cross currency
swaps, employed for hedging purposes, generated net realized and unrealized gains of $5.56 million and $31.57 million during the three and nine months ended September 30, 2015, respectively. We do not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in fair values of investments held; therefore, the fluctuations related to foreign exchange rate conversion are included with the
net realized gain (loss) and unrealized appreciation (depreciation) on investments. See Results of Operations  Net Change in Unrealized Appreciation or Depreciation for additional information on the foreign currency exchange
changes.



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

Evaluation of Disclosure Controls and Procedures

Pursuant to Rule 13a-15(b) under the Exchange Act, under the supervision and with the participation of our management, including our
principal executive officer and principal financial officer, we conducted an evaluation of the effectiveness of our disclosure controls and procedures (as defined under Rule 13a-15(e) under the Exchange Act) as of the end of the period covered
by this report. Based upon that evaluation, our management, including our principal executive officer and principal financial officer, concluded that our disclosure controls and procedures are effective as of the end of the period covered by this
report.

Changes in Internal Control over Financial Reporting

During the most recent fiscal quarter, there was no change in our internal controls over financial reporting (as defined under
Rule 13a-15(f) under the Exchange Act) that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.

PART II. OTHER INFORMATION



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



|Item 1A. | 
|-------- | 

Risk Factors  There have been no material changes to the risk factors
previously disclosed in response to Item 1A. to Part I. of our Annual Report on Form 10-K for the fiscal year ended December 31, 2014, except for the following:

The Companys Advisors serve as advisers to one other business development company with substantially the same investment objectives and strategies
as the Company, thereby subjecting the Advisors and their affiliates to actual and potential conflicts of interests in connection with the management of the Companys business affairs.

The members of the senior management and investment teams of CNL, KKR, and certain of their respective affiliates are presently, and plan in
the future to continue to be, involved with activities which are unrelated to us, including serving as officers, directors or principals of entities that operate in the same or a related line of business as the Company. For example, CNLs
senior management and investment teams and other CNL personnel also serve in similar capacities to the investment adviser for Corporate Capital Trust II, another business development company affiliated with CNL Financial Group.
By serving in these multiple capacities, they may have obligations to Corporate Capital Trust II and/or other entities, and to the investors of such entities, which may conflict with the Companys best interests or the best
interest of the Companys stockholders. For instance, the Company relies on CNL to manage its day-to-day activities and to implement its investment strategy. As a result of these activities, CNL, its senior management, investment team and other
personnel, and certain of CNLs affiliates may have conflicts of interest in allocating their time between the Company and the other activities in which they are or may become involved, including the management of Corporate Capital Trust II and
other entities affiliated with CNL. Similarly, KKR, on which CNL relies to assist it in identifying investment opportunities and making investment recommendations, may have similar conflicts of interest, including serving as the investment
sub-adviser to Corporate Capital Trust II. CNL, KKR and their respective managers, partners, officers and employees will



96



---

##### Table of Contents

devote only so much of its or their time to the Companys business as CNL, KKR and their employees determine, in their respective judgments, is reasonably required, which may be
substantially less than their full time.

Furthermore, the Companys investment objectives overlap with those of Corporate Capital
Trust II, and may overlap with the investment objectives of other clients and affiliates of CNL and KKR, subjecting the Advisors to additional conflicts of interest. For example, the Company may compete for investments with Corporate
Capital Trust II, thereby subjecting the Advisors and their affiliates to certain conflicts of interest with respect to evaluating the suitability of investment opportunities on the Companys behalf.

We are exposed to risks resulting from the current low interest rate environment.

Since we will borrow money to make investments, our net investment income depends, in part, upon the difference between the rate at which we
borrow funds and the rate at which we invest those funds. The current, historically low interest rate environment can, depending on our cost of capital, depress our net investment income, even though the terms of our investments generally will
include a minimum interest rate. In addition, any reduction in the level of interest rates on new investments relative to interest rates on our current investments could adversely impact our net investment income, reducing our ability to service the
interest obligations on, and to repay the principal of, our indebtedness, as well as our capacity to pay distributions. Any such developments would result in a decline in our net asset value and in net asset value per share. Floating interest rate
investments tied to certain indices that tend to lag behind the market may perform better in a falling interest rate environment, while floating interest rate investments tied to other indices, such as LIBOR, may do better in a rising rate
environment. Not all investments perform alike under different interest rate scenarios. Generally, our variable interest rate debt investments provide for interest payments based on three-month LIBOR (the base rate) and typically, every three
months, the base rates are reset to then prevailing three-month LIBOR.

To the extent that we borrow money, the potential for gain or loss on
amounts invested in us will be magnified and may increase the risk of investing in us. Borrowed money may also adversely affect the return on our assets, reduce cash available to service our debt or for distribution to our shareholders, and result
in losses.

The use of borrowings, also known as leverage, increases the volatility of investments by magnifying the potential for
gain or loss on invested equity capital. Since we use leverage to partially finance our investments, through borrowing from banks and other lenders, you will experience increased risks of investing in our securities. If the value of our assets
decreases, leveraging will cause our net asset value to decline more sharply than it otherwise would if we had not borrowed and employed leverage. Similarly, any decrease in our income would cause our net income to decline more sharply than it would
have if we had not borrowed and employed leverage. Such a decline could negatively affect our ability to service our debt or make distributions to our shareholders. In addition, our shareholders will bear the burden of any increase in our expenses
as a result of our use of leverage, including interest expenses and any increase in the management or incentive fees payable to the Advisors.

The amount of leverage that we employ depends on our Advisors and our board of directors assessment of market and other factors
at the time of any proposed borrowing. There can be no assurance that additional leveraged financing will be available to us on favorable terms or at all. However, to the extent that we use leverage to finance our assets, our financing costs will
reduce cash available for servicing our debt or distributions to shareholders. Moreover, we may not be able to meet our financing obligations and, to the extent that we cannot, we risk the loss of some or all of our assets to liquidation or sale to
satisfy the obligations. In such an event, we may be forced to sell assets at significantly depressed prices due to market conditions or otherwise, which may result in losses.

As a business development company, we are required to meet a coverage ratio of total assets to total borrowings and other senior securities,
which include all of our borrowings and any preferred stock that we may issue in the future, of at least 200%. If this ratio declines below 200%, we cannot incur additional debt and could be required to sell a portion of our investments to repay
some debt when it is disadvantageous to do so. This could have a material adverse effect on our operations, and we may not be able to service our debt or make distributions.



97



---

##### Table of Contents

The sale or likelihood of the sale of a large number of outstanding shares prior to completion of the
listing of our securities on a national securities exchange could negatively affect our stock price.

The ability of our
shareholders to liquidate their investment in our shares of common stock is limited. If we were to list our common stock on a securities exchange in the future, a large volume of sales of our shares could decrease the prevailing market prices of our
common stock and could impair our ability to raise additional capital through the sale of equity securities in the future. Even if a substantial number of sales are not affected, the mere perception of the possibility of these sales could depress
the market price of our common stock and have a negative effect on our ability to raise capital in the future. In addition, anticipated downward pressure on our common stock price due to actual or anticipated sales of common stock from this market
overhang could cause some institutions or individuals to engage in short sales of our common stock, which may itself cause the price of our stock to decline.



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

The exhibits required by this item are set forth in the Exhibit Index
attached hereto and are filed or incorporated as part of this report.



98



---

##### Table of Contents

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on
its behalf by the undersigned, thereunto duly authorized, on the 13th day of November 2015.



CORPORATE CAPITAL TRUST, INC.By:

/s/    Thomas K.
SittemaTHOMAS K. SITTEMAChief Executive Officer(Principal Executive Officer)By:

/s/    Steven D.
ShackelfordSTEVEN D. SHACKELFORDChief Financial Officer(Principal Financial and Accounting Officer)




99



---

##### Table of Contents

EXHIBIT INDEX

Exhibits

The following exhibits are
included or incorporated by reference in this Quarterly Report on Form 10-Q for the quarter ended September 30, 2015 (and numbered in accordance with Item 601 of Regulation S-K).



|            |  |                                                                                                                                                                                                                                   
|----------- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Exhibit No. |  | Description                                                                                                                                                                                                                       
|            | 
|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.)



100