##### 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, 2016

OR



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

For the transition period
                     to

Commission File No. 000-54899





CARLYLE GMS
FINANCE, INC.

(Exact name of Registrant as specified in its charter)







|                                                               |  |                                        
|-------------------------------------------------------------- |  | ---------------------------------------
|Maryland                                                       |  | 80-0789789                             
|(State or other jurisdiction of
incorporation or organization) |  | (I.R.S. Employer
Identification Number)

520 Madison Avenue, 38th Floor, New York, NY 10022

(Address of principal executive office) (Zip Code)

(212) 813-4900

(Registrants telephone number, including area code)





N/A

(Former name, former
address and former fiscal year, if changed since last report)





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 definitions of large accelerated filer, accelerated filer, and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):



|                        |  |                                                  |  |                           |  |  
|----------------------- |  | ------------------------------------------------ |  | ------------------------- |  | -
|Large accelerated filer |  |  ̈                                                |  | Accelerated filer         |  |  ̈
|                        |  |                                                  | 
|Non-accelerated filer   |  | x  (Do not check if a 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

Indicate the number of shares outstanding of each of the issuers classes of common stock, as of the latest practicable date.



|                              |  |                                 
|----------------------------- |  | --------------------------------
|Class                         |  | Outstanding at November 10,
2016
|Common stock, $0.01 par value |  | 39,796,190                      









---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

INDEX



|         |  |                                                                                                                                                           |  |  |    | 
|-------- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------- |  |  | -- | 
|Part I.  |  | Financial Information                                                                                                                                     |  |  |    | 
|         |  |                                                                                                                                                          
|Item 1.  |  | Financial Statements                                                                                                                                      |  |  |    | 
|         |  |                                                                                                                                                          
|         |  | Consolidated Statements of Assets and Liabilities as of 
September 30, 2016 (unaudited) and December 31, 2015                                             |  |  | 3  | 
|         |  |                                                                                                                                                          
|         |  | Consolidated Statements of Operations for the three month and nine month periods
 ended September 30, 2016 (unaudited) and September 30, 2015 (unaudited) |  |  | 4  | 
|         |  |                                                                                                                                                          
|         |  | Consolidated Statements of Changes in Net Assets for the nine month periods
 ended September 30, 2016 (unaudited) and September 30, 2015 (unaudited)      |  |  | 5  | 
|         |  |                                                                                                                                                          
|         |  | Consolidated Statements of Cash Flows for the nine month periods ended September
 30, 2016 (unaudited) and September 30, 2015 (unaudited)                 |  |  | 6  | 
|         |  |                                                                                                                                                          
|         |  | Consolidated Schedules of Investments as of September 30, 2016 (unaudited) and
December 31, 2015                                                          |  |  | 7  | 
|         |  |                                                                                                                                                          
|         |  | Notes to Consolidated Financial Statements (unaudited)                                                                                                    |  |  | 22 | 
|         |  |                                                                                                                                                          
|Item 2.  |  | Managements Discussion and Analysis of Financial Condition and Results
 of Operations                                                                    |  |  | 56 | 
|         |  |                                                                                                                                                          
|Item 3.  |  | Quantitative and Qualitative Disclosures About Market Risk                                                                                                |  |  | 79 | 
|         |  |                                                                                                                                                          
|Item 4.  |  | Controls and Procedures                                                                                                                                   |  |  | 80 | 
|         |  |                                                                                                                                                          
|Part II. |  | Other Information                                                                                                                                         |  |  |    | 
|         |  |                                                                                                                                                          
|Item 1.  |  | Legal Proceedings                                                                                                                                         |  |  | 81 | 
|         |  |                                                                                                                                                          
|Item 1A. |  | Risk Factors                                                                                                                                              |  |  | 81 | 
|         |  |                                                                                                                                                          
|Item 2.  |  | Unregistered Sales of Equity Securities and Use of Proceeds                                                                                               |  |  | 81 | 
|         |  |                                                                                                                                                          
|Item 3.  |  | Defaults Upon Senior Securities                                                                                                                           |  |  | 81 | 
|         |  |                                                                                                                                                          
|Item 4.  |  | Mine Safety Disclosures                                                                                                                                   |  |  | 81 | 
|         |  |                                                                                                                                                          
|Item 5.  |  | Other Information                                                                                                                                         |  |  | 82 | 
|         |  |                                                                                                                                                          
|Item 6.  |  | Exhibits                                                                                                                                                  |  |  | 82 | 
|         |  |                                                                                                                                                          
|         |  | Signatures                                                                                                                                                |  |  | 83 | 



2



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

(dollar amounts in thousands, except per share data)



|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ----------------- | --------- | - | ---------------- | - | --------- | -
|                                                                                                                                                                                       |  | September 30,2016 |           |   | December 31,2015 |  
|                                                                                                                                                                                       |  | (unaudited)       |           |   |                  |  
|ASSETS                                                                                                                                                                                 |  |                   |           |   |                  |   |           |  
|Investments, at fair value                                                                                                                                                             |  |                   |           |   |                  |   |           |  
|Investmentsnon-controlled/non-affiliated, at fair value (amortized cost of $1,333,671 and
$1,079,720, respectively)                                                                   |  | $                 | 1,324,856 |   |                  | $ | 1,052,666 |  
|Investmentscontrolled/affiliated, at fair value (amortized cost of $55,801 and $0,
respectively)                                                                                      |  |                   | 57,758    |   |                  |   |          |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|Total investments, at fair value (amortized cost of $1,389,472 and $1,079,720,
respectively)                                                                                           |  |                   | 1,382,614 |   |                  |   | 1,052,666 |  
|Cash and cash equivalents                                                                                                                                                              |  |                   | 49,841    |   |                  |   | 41,837    |  
|Receivable for investment sold                                                                                                                                                         |  |                   | 13,019    |   |                  |   | 1,987     |  
|Deferred financing costs                                                                                                                                                               |  |                   | 3,471     |   |                  |   | 3,877     |  
|Interest receivable from non-controlled/non-affiliated investments                                                                                                                     |  |                   | 3,840     |   |                  |   | 3,279     |  
|Interest and dividend receivable from controlled/affiliated investments                                                                                                                |  |                   | 686       |   |                  |   |          |  
|Prepaid expenses and other assets                                                                                                                                                      |  |                   | 256       |   |                  |   | 386       |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|Total assets                                                                                                                                                                           |  | $                 | 1,453,727 |   |                  | $ | 1,104,032 |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|LIABILITIES                                                                                                                                                                            |  |                   |           |   |                  |   |           |  
|Payable for investments purchased                                                                                                                                                      |  | $                 | 19,800    |   |                  | $ |          |  
|Secured borrowings (Note 6)                                                                                                                                                            |  |                   | 395,016   |   |                  |   | 234,313   |  
|2015-1 Notes payable, net of unamortized debt issuance costs of $2,202 and $2,356, respectively
(Note 7)                                                                               |  |                   | 270,798   |   |                  |   | 270,644   |  
|Due to Investment Adviser                                                                                                                                                              |  |                   | 140       |   |                  |   | 189       |  
|Interest and credit facility fees payable (Notes 6 and 7)                                                                                                                              |  |                   | 3,277     |   |                  |   | 2,577     |  
|Dividend payable (Note 9)                                                                                                                                                              |  |                   | 15,917    |   |                  |   | 18,284    |  
|Base management and incentive fees payable (Note 4)                                                                                                                                    |  |                   | 16,142    |   |                  |   | 5,277     |  
|Administrative service fees payable (Note 4)                                                                                                                                           |  |                   | 127       |   |                  |   | 97        |  
|Other accrued expenses and liabilities                                                                                                                                                 |  |                   | 1,272     |   |                  |   | 925       |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|Total liabilities                                                                                                                                                                      |  |                   | 722,489   |   |                  |   | 532,306   |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|Commitments and contingencies (Notes 8 and 11)                                                                                                                                         |  |                   |           |   |                  |   |           |  
|NET ASSETS                                                                                                                                                                             |  |                   |           |   |                  |   |           |  
|Common stock, $0.01 par value; 200,000,000 shares authorized; 39,791,482 shares and 31,524,083
shares issued and outstanding at September 30, 2016 and December 31, 2015, respectively |  |                   | 398       |   |                  |   | 315       |  
|Paid-in capital in excess of par value                                                                                                                                                 |  |                   | 764,157   |   |                  |   | 613,944   |  
|Offering costs                                                                                                                                                                         |  |                   | (74       | ) |                  |   | (74       | )
|Accumulated net investment income (loss), net of cumulative dividends of $109,048 and $65,851 at
September 30, 2016 and December 31, 2015, respectively                                |  |                   | (14,919   | ) |                  |   | (12,994   | )
|Accumulated net realized gain (loss)                                                                                                                                                   |  |                   | (11,466   | ) |                  |   | (2,411    | )
|Accumulated net unrealized appreciation (depreciation)                                                                                                                                 |  |                   | (6,858    | ) |                  |   | (27,054   | )
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|Total net assets                                                                                                                                                                       |  | $                 | 731,238   |   |                  | $ | 571,726   |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  
|NET ASSETS PER SHARE                                                                                                                                                                   |  | $                 | 18.38     |   |                  | $ | 18.14     |  
|                                                                                                                                                                                       |  |                   |           |   |                  |   |           |  

The accompanying notes are an integral part of these consolidated financial statements.



3



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED STATEMENTS OF OPERATIONS

(dollar amounts in thousands, except per share data)

(unaudited)



|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|------------------------------------------------------------------------------------------------- |  | --------------------------------- | ---------- |  | -------------------------------- | - | ---------- | ----------------- |  | - | ----------------- | - |  | - | ---------- | 
|                                                                                                  |  | For the three month periods ended |            |  | For the nine month periods ended |  
|                                                                                                  |  | September 30,2016                 |            |  | September 30,2015                |   |            | September 30,2016 |  |   | September 30,2015 |  
|Investment income:                                                                                |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Interest income from non-controlled/non-affiliated investments                                    |  | $                                 | 26,362     |  |                                  | $ | 19,405     |                   |  | $ | 72,551            |   |  | $ | 47,836     | 
|Other income from non-controlled/non-affiliated investments                                       |  |                                   | 1,909      |  |                                  |   | 196        |                   |  |   | 4,578             |   |  |   | 669        | 
|Interest income from controlled/affiliated investments                                            |  |                                   | 336        |  |                                  |   |           |                   |  |   | 336               |   |  |   |           | 
|Dividend income from controlled/affiliated investments                                            |  |                                   | 350        |  |                                  |   |           |                   |  |   | 350               |   |  |   |           | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Total investment income                                                                           |  |                                   | 28,957     |  |                                  |   | 19,601     |                   |  |   | 77,815            |   |  |   | 48,505     | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Expenses:                                                                                         |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Base management fees (Note 4)                                                                     |  |                                   | 4,699      |  |                                  |   | 3,679      |                   |  |   | 13,184            |   |  |   | 9,482      | 
|Incentive fees (Note 4)                                                                           |  |                                   | 3,962      |  |                                  |   | 2,584      |                   |  |   | 10,318            |   |  |   | 6,190      | 
|Professional fees                                                                                 |  |                                   | 568        |  |                                  |   | 453        |                   |  |   | 1,574             |   |  |   | 1,302      | 
|Administrative service fees (Note 4)                                                              |  |                                   | 180        |  |                                  |   | 152        |                   |  |   | 526               |   |  |   | 452        | 
|Interest expense (Notes 6 and 7)                                                                  |  |                                   | 4,051      |  |                                  |   | 2,658      |                   |  |   | 11,475            |   |  |   | 6,567      | 
|Credit facility fees (Note 6)                                                                     |  |                                   | 682        |  |                                  |   | 522        |                   |  |   | 2,139             |   |  |   | 1,396      | 
|Directors fees and expenses                                                                      |  |                                   | 146        |  |                                  |   | 109        |                   |  |   | 410               |   |  |   | 316        | 
|Other general and administrative                                                                  |  |                                   | 390        |  |                                  |   | 337        |                   |  |   | 1,312             |   |  |   | 1,202      | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Total expenses                                                                                    |  |                                   | 14,678     |  |                                  |   | 10,494     |                   |  |   | 40,938            |   |  |   | 26,907     | 
|Waiver of base management fees (Note 4)                                                           |  |                                   | 1,567      |  |                                  |   | 1,227      |                   |  |   | 4,395             |   |  |   | 3,161      | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Net expenses                                                                                      |  |                                   | 13,111     |  |                                  |   | 9,267      |                   |  |   | 36,543            |   |  |   | 23,746     | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Net investment income (loss)                                                                      |  |                                   | 15,846     |  |                                  |   | 10,334     |                   |  |   | 41,272            |   |  |   | 24,759     | 
|Net realized gain (loss) and net change in unrealized appreciation (depreciation) on
investments: |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Net realized gain (loss) on investmentsnon-controlled/non-affiliated                             |  |                                   | 544        |  |                                  |   | 823        |                   |  |   | (9,055            | ) |  |   | 1,152      | 
|Net change in unrealized appreciation (depreciation) on
investmentsnon-controlled/non-affiliated |  |                                   | 10,536     |  |                                  |   | (1,504     | )                 |  |   | 18,239            |   |  |   | 2,745      | 
|Net change in unrealized appreciation (depreciation) on
investmentscontrolled/affiliated         |  |                                   | 2,244      |  |                                  |   |           |                   |  |   | 1,957             |   |  |   |           | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Net realized gain (loss) and net change in unrealized appreciation (depreciation) on
investments  |  |                                   | 13,324     |  |                                  |   | (681       | )                 |  |   | 11,141            |   |  |   | 3,897      | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Net increase (decrease) in net assets resulting from operations                                   |  | $                                 | 29,170     |  |                                  | $ | 9,653      |                   |  | $ | 52,413            |   |  | $ | 28,656     | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Basic and diluted earnings per common share (Note 9)                                              |  | $                                 | 0.78       |  |                                  | $ | 0.35       |                   |  | $ | 1.51              |   |  | $ | 1.23       | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Weighted-average shares of common stock outstandingBasic and Diluted (Note 9)                    |  |                                   | 37,489,297 |  |                                  |   | 27,219,231 |                   |  |   | 34,623,225        |   |  |   | 23,314,654 | 
|                                                                                                  |  |                                   |            |  |                                  |   |            |                   |  |   |                   |   |  |   |            | 
|Dividends declared per common share (Note 9)                                                      |  | $                                 | 0.40       |  |                                  | $ | 0.42       |                   |  | $ | 1.20              |   |  | $ | 1.16       | 

The accompanying notes are an integral part of these consolidated financial statements.



4



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

(dollar amounts in thousands)

(unaudited)



|                                                                                |  |                                  |         |   |                   |   |         |  
|------------------------------------------------------------------------------- |  | -------------------------------- | ------- | - | ----------------- | - | ------- | -
|                                                                                |  | For the nine month periods ended |        
|                                                                                |  | September 30,2016                |         |   | September 30,2015 |  
|Increase (decrease) in net assets resulting from operations:                    |  |                                  |         |   |                   |   |         |  
|Net investment income (loss)                                                    |  | $                                | 41,272  |   |                   | $ | 24,759  |  
|Net realized gain (loss) on investments                                         |  |                                  | (9,055  | ) |                   |   | 1,152   |  
|Net change in unrealized appreciation (depreciation) on investments             |  |                                  | 20,196  |   |                   |   | 2,745   |  
|                                                                                |  |                                  |         |   |                   |   |         |  
|Net increase (decrease) in net assets resulting from operations                 |  |                                  | 52,413  |   |                   |   | 28,656  |  
|                                                                                |  |                                  |         |   |                   |   |         |  
|Capital transactions:                                                           |  |                                  |         |   |                   |   |         |  
|Common stock issued                                                             |  |                                  | 150,102 |   |                   |   | 193,092 |  
|Reinvestment of dividends                                                       |  |                                  | 194     |   |                   |   | 84      |  
|Dividends declared (Note 12)                                                    |  |                                  | (43,197 | ) |                   |   | (29,405 | )
|                                                                                |  |                                  |         |   |                   |   |         |  
|Net increase (decrease) in net assets resulting from capital share transactions |  |                                  | 107,099 |   |                   |   | 163,771 |  
|                                                                                |  |                                  |         |   |                   |   |         |  
|Net increase (decrease) in net assets                                           |  |                                  | 159,512 |   |                   |   | 192,427 |  
|                                                                                |  |                                  |         |   |                   |   |         |  
|Net assets at beginning of period                                               |  |                                  | 571,726 |   |                   |   | 338,257 |  
|                                                                                |  |                                  |         |   |                   |   |         |  
|Net assets at end of period                                                     |  | $                                | 731,238 |   |                   | $ | 530,684 |  
|                                                                                |  |                                  |         |   |                   |   |         |  

The accompanying notes are an integral part of these consolidated financial statements.



5



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED STATEMENTS OF CASH FLOWS

(dollar amounts in thousands)

(unaudited)



|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|------------------------------------------------------------------------------------------------------------------------------------------------ |  | -------------------------------- | -------- | - | ----------------- | - | -------- | -
|                                                                                                                                                 |  | For the nine month periods ended |         
|                                                                                                                                                 |  | September 30,2016                |          |   | September 30,2015 |  
|Cash flows from operating activities:                                                                                                            |  |                                  |          |   |                   |   |          |  
|Net increase (decrease) in net assets resulting from operations                                                                                  |  | $                                | 52,413   |   |                   | $ | 28,656   |  
|Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net
cash provided by (used in) operating activities: |  |                                  |          |   |                   |   |          |  
|Amortization of deferred financing costs                                                                                                         |  |                                  | 1,180    |   |                   |   | 782      |  
|Net accretion of discount on investments                                                                                                         |  |                                  | (3,605   | ) |                   |   | (2,224   | )
|Net realized (gain) loss on investments                                                                                                          |  |                                  | 9,055    |   |                   |   | (1,152   | )
|Net change in unrealized (appreciation) depreciation on investments                                                                              |  |                                  | (20,196  | ) |                   |   | (2,745   | )
|Cost of investments purchased and change in payable for investments purchased                                                                    |  |                                  | (562,916 | ) |                   |   | (524,723 | )
|Proceeds from sales and repayments of investments and change in receivable for investments
sold                                                  |  |                                  | 256,482  |   |                   |   | 198,431  |  
|Changes in operating assets:                                                                                                                     |  |                                  |          |   |                   |   |          |  
|Interest receivable                                                                                                                              |  |                                  | (897     | ) |                   |   | 1,693    |  
|Dividend receivable                                                                                                                              |  |                                  | (350     | ) |                   |   |         |  
|Prepaid expenses and other assets                                                                                                                |  |                                  | 130      |   |                   |   | 80       |  
|Changes in operating liabilities:                                                                                                                |  |                                  |          |   |                   |   |          |  
|Due to Investment Adviser                                                                                                                        |  |                                  | (49      | ) |                   |   | 7        |  
|Interest and credit facility fees payable                                                                                                        |  |                                  | 700      |   |                   |   | 1,438    |  
|Base management and incentive fees payable                                                                                                       |  |                                  | 10,865   |   |                   |   | 2,580    |  
|Administrative service fees payable                                                                                                              |  |                                  | 30       |   |                   |   | 27       |  
|Other accrued expenses and liabilities                                                                                                           |  |                                  | 347      |   |                   |   | 404      |  
|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|Net cash provided by (used in) operating activities                                                                                              |  |                                  | (256,811 | ) |                   |   | (296,746 | )
|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|Cash flows from financing activities:                                                                                                            |  |                                  |          |   |                   |   |          |  
|Proceeds from issuance of common stock                                                                                                           |  |                                  | 150,102  |   |                   |   | 193,092  |  
|Borrowings on Revolving Credit Facility and Facility                                                                                             |  |                                  | 411,435  |   |                   |   | 320,200  |  
|Repayments of Revolving Credit Facility and Facility                                                                                             |  |                                  | (250,732 | ) |                   |   | (449,183 | )
|Proceeds from issuance of 2015-1 Notes                                                                                                           |  |                                  |         |   |                   |   | 273,000  |  
|Debt issuance costs paid                                                                                                                         |  |                                  | (620     | ) |                   |   | (2,507   | )
|Dividends paid in cash                                                                                                                           |  |                                  | (45,370  | ) |                   |   | (23,927  | )
|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|Net cash provided by (used in) financing activities                                                                                              |  |                                  | 264,815  |   |                   |   | 310,675  |  
|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|Net increase (decrease) in cash and cash equivalents                                                                                             |  |                                  | 8,004    |   |                   |   | 13,929   |  
|Cash and cash equivalents, beginning of period                                                                                                   |  |                                  | 41,837   |   |                   |   | 8,754    |  
|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|Cash and cash equivalents, end of period                                                                                                         |  | $                                | 49,841   |   |                   | $ | 22,683   |  
|                                                                                                                                                 |  |                                  |          |   |                   |   |          |  
|Supplemental disclosures:                                                                                                                        |  |                                  |          |   |                   |   |          |  
|Offering expenses and debt issuance costs due                                                                                                    |  | $                                |         |   |                   | $ | 60       |  
|Interest paid during the period                                                                                                                  |  | $                                | 10,700   |   |                   | $ | 5,080    |  
|Dividends declared during the period                                                                                                             |  | $                                | 43,197   |   |                   | $ | 29,405   |  
|Reinvestment of dividends                                                                                                                        |  | $                                | 194      |   |                   | $ | 84       |  

The accompanying notes are an integral part of these consolidated financial statements.



6



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

As of September
30, 2016

(dollar amounts in thousands)

(unaudited)



|                                                                               |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |        |  |                        |   |        |  |  |  |      |  
|------------------------------------------------------------------------------ |  | ----------------------------------------- |  | ------------ | ---- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | ------ |  | ---------------------- | - | ------ |  |  |  | ---- | -
|Investmentsnon-controlled/non-affiliated (1)                                  |  | Industry                                  |  | InterestRate |      |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (6) |  |  | FairValue (7) |        |  | PercentageofNet Assets |  
|First Lien Debt (80.61%)                                                       |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |        |  |                        |   |        |  |  |  |      |  
|Access CIG, LLC (2) (3) (4) (13)                                               |  | Business Services                         |  |              | 6.00 | % |              |  | 10/17/2021 |                     |  | $ | 18,382            |  |  | $             | 18,263 |  |                        | $ | 18,349 |  |  |  | 2.51 | %
|AF Borrower LLC (Accuvant) (2) (3) (4)
(13)                                    |  | High Tech Industries                      |  |              | 6.25 |   |              |  | 1/28/2022  |                     |  |   | 16,154            |  |  |               | 15,956 |  |                        |   | 16,181 |  |  |  | 2.21 |  
|Alpha Packaging Holdings, Inc. (2)(3)(4) (13)                                  |  | Containers, Packaging & Glass             |  |              | 5.25 |   |              |  | 5/12/2020  |                     |  |   | 11,351            |  |  |               | 11,342 |  |                        |   | 11,336 |  |  |  | 1.55 |  
|Anaren, Inc. (2)(3)(4) (13)                                                    |  | Telecommunications                        |  |              | 5.50 |   |              |  | 2/18/2021  |                     |  |   | 10,897            |  |  |               | 10,824 |  |                        |   | 10,543 |  |  |  | 1.44 |  
|Audax AAMP Holdings, Inc.(2)(3)(4) (13)                                        |  | Durable Consumer Goods                    |  |              | 7.00 |   |              |  | 6/24/2017  |                     |  |   | 10,725            |  |  |               | 10,688 |  |                        |   | 10,616 |  |  |  | 1.45 |  
|BAART Programs, Inc.(2) (4)                                                    |  | Healthcare & Pharmaceuticals              |  |              | 8.49 |   |              |  | 10/9/2021  |                     |  |   | 7,425             |  |  |               | 7,372  |  |                        |   | 7,539  |  |  |  | 1.03 |  
|Blue Bird Body Company (2) (3)(4) (8) (13)                                     |  | Transportation: Consumer                  |  |              | 6.50 |   |              |  | 6/26/2020  |                     |  |   | 7,872             |  |  |               | 7,599  |  |                        |   | 7,872  |  |  |  | 1.08 |  
|Brooks Equipment Company, LLC (2)(3) (4) (13)                                  |  | Construction & Building                   |  |              | 6.00 |   |              |  | 8/29/2020  |                     |  |   | 6,768             |  |  |               | 6,728  |  |                        |   | 6,747  |  |  |  | 0.92 |  
|Capstone Logistics Acquisition, Inc. (2)(3)(4) (13)                            |  | Transportation: Cargo                     |  |              | 5.50 |   |              |  | 10/7/2021  |                     |  |   | 19,478            |  |  |               | 19,331 |  |                        |   | 19,040 |  |  |  | 2.60 |  
|Captive Resources Midco, LLC (2)(3)(4) (5) (9) (13)                            |  | Banking, Finance, Insurance & Real Estate |  |              | 6.75 |   |              |  | 6/30/2020  |                     |  |   | 29,125            |  |  |               | 28,735 |  |                        |   | 29,180 |  |  |  | 3.99 |  
|Castle Management Borrower LLC (Highgate Hotels L.P.)
(2) (3) (4) (13)         |  | Hotel, Gaming & Leisure                   |  |              | 5.50 |   |              |  | 9/18/2020  |                     |  |   | 9,504             |  |  |               | 9,444  |  |                        |   | 9,487  |  |  |  | 1.30 |  
|Central Security Group, Inc.(2) (3) (4) (5)(13)                                |  | Consumer Services                         |  |              | 6.63 |   |              |  | 10/6/2020  |                     |  |   | 28,731            |  |  |               | 28,353 |  |                        |   | 28,630 |  |  |  | 3.92 |  
|CIP Revolution Holdings, LLC (2) (3) (5)
(22)                                  |  | Media: Advertising, Printing & Publishing |  |              | 7.00 |   |              |  | 8/19/2021  |                     |  |   | 16,500            |  |  |               | 16,316 |  |                        |   | 16,475 |  |  |  | 2.25 |  
|Colony Hardware Corporation (2) (3) (4) (5)
(13)                               |  | Construction & Building                   |  |              | 7.00 |   |              |  | 10/23/2021 |                     |  |   | 17,081            |  |  |               | 16,838 |  |                        |   | 17,039 |  |  |  | 2.33 |  
|Datapipe, Inc. (2)(3)(5)                                                       |  | Telecommunications                        |  |              | 5.75 |   |              |  | 3/15/2019  |                     |  |   | 9,775             |  |  |               | 9,681  |  |                        |   | 9,762  |  |  |  | 1.33 |  
|Dent Wizard International Corporation (2)(3)(4) (13)                           |  | Automotive                                |  |              | 5.75 |   |              |  | 4/7/2020   |                     |  |   | 7,622             |  |  |               | 7,594  |  |                        |   | 7,622  |  |  |  | 1.04 |  
|Derm Growth Partners III, LLC (Dermatology Associates)
(2)(3)(4) (5) (13) (18) |  | Healthcare & Pharmaceuticals              |  |              | 7.50 |   |              |  | 5/31/2022  |                     |  |   | 32,090            |  |  |               | 31,531 |  |                        |   | 32,078 |  |  |  | 4.39 |  
|Dimensional Dental Management, LLC (2) (3) (5) (12)
(15)                       |  | Healthcare & Pharmaceuticals              |  |              | 8.00 |   |              |  | 2/12/2021  |                     |  |   | 18,000            |  |  |               | 17,584 |  |                        |   | 18,035 |  |  |  | 2.47 |  
|DTI Holdco, Inc. (2) (3) (5)                                                   |  | High Tech Industries                      |  |              | 6.25 |   |              |  | 9/23/2023  |                     |  |   | 20,000            |  |  |               | 19,800 |  |                        |   | 19,776 |  |  |  | 2.70 |  
|Emerging Markets Communications, LLC (2)(3) (4) (8) (13)                       |  | Telecommunications                        |  |              | 6.75 |   |              |  | 7/1/2021   |                     |  |   | 17,775            |  |  |               | 16,280 |  |                        |   | 17,498 |  |  |  | 2.39 |  
|EP Minerals, LLC (2)(3) (4) (13)                                               |  | Metals & Mining                           |  |              | 5.50 |   |              |  | 8/20/2020  |                     |  |   | 10,290            |  |  |               | 10,256 |  |                        |   | 10,266 |  |  |  | 1.40 |  
|EIP Merger Sub, LLC (Evolve IP) (2)(3) (4) (5) (12)                            |  | Telecommunications                        |  |              | 7.25 |   |              |  | 6/7/2021   |                     |  |   | 23,750            |  |  |               | 23,079 |  |                        |   | 23,679 |  |  |  | 3.24 |  
|FCX Holdings Corp. (2)(3) (4) (13)                                             |  | Capital Equipment                         |  |              | 5.50 |   |              |  | 8/4/2020   |                     |  |   | 9,863             |  |  |               | 9,858  |  |                        |   | 9,863  |  |  |  | 1.35 |  
|Genex Holdings, Inc. (2)(3) (13)                                               |  | Banking, Finance, Insurance & Real Estate |  |              | 5.25 |   |              |  | 5/30/2021  |                     |  |   | 4,211             |  |  |               | 4,197  |  |                        |   | 4,162  |  |  |  | 0.57 |  
|Global Software, LLC (2) (3) (4) (13)                                          |  | High Tech Industries                      |  |              | 6.50 |   |              |  | 5/2/2022   |                     |  |   | 16,207            |  |  |               | 15,912 |  |                        |   | 16,190 |  |  |  | 2.21 |  
|Green Energy Partners/Stonewall LLC (2)(3) (5) (13)                            |  | Energy: Electricity                       |  |              | 6.50 |   |              |  | 11/13/2021 |                     |  |   | 16,600            |  |  |               | 16,470 |  |                        |   | 16,548 |  |  |  | 2.26 |  
|Hummel Station LLC (2)(3)(5) (13)                                              |  | Energy: Electricity                       |  |              | 7.00 |   |              |  | 10/27/2022 |                     |  |   | 21,000            |  |  |               | 20,245 |  |                        |   | 20,196 |  |  |  | 2.76 |  
|Imagine! Print Solutions, LLC (2) (3) (4) (5)
(13)                             |  | Media: Advertising, Printing & Publishing |  |              | 7.00 |   |              |  | 3/30/2022  |                     |  |   | 18,507            |  |  |               | 18,249 |  |                        |   | 18,692 |  |  |  | 2.56 |  
|Imperial Bag & Paper Co. LLC (2) (3) (4) (5)
(13)                              |  | Forest Products & Paper                   |  |              | 7.00 |   |              |  | 1/7/2022   |                     |  |   | 21,277            |  |  |               | 21,001 |  |                        |   | 21,466 |  |  |  | 2.94 |  
|Indra Holdings Corp. (Totes Isotoner) (2)(3) (5) (13)                          |  | Non-durable Consumer Goods                |  |              | 5.25 |   |              |  | 5/1/2021   |                     |  |   | 14,285            |  |  |               | 14,187 |  |                        |   | 13,124 |  |  |  | 1.79 |  
|International Medical Group, Inc.(2)(3) (5) (12)                               |  | Banking, Finance, Insurance & Real Estate |  |              | 7.50 |   |              |  | 10/30/2020 |                     |  |   | 30,000            |  |  |               | 29,482 |  |                        |   | 30,042 |  |  |  | 4.11 |  



The accompanying notes are an integral part of these consolidated financial statements.



7



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



|                                                                         |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |        |   |                        |   |        |  |  |  |      |  
|------------------------------------------------------------------------ |  | ----------------------------------------- |  | ------------ | ----- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | ------ | - | ---------------------- | - | ------ |  |  |  | ---- | -
|Investmentsnon-controlled/non-affiliated (1)                            |  | Industry                                  |  | InterestRate |       |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (6) |  |  | FairValue (7) |        |   | PercentageofNet Assets |  
|First Lien Debt (80.61%) (continued)                                     |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |        |   |                        |   |        |  |  |  |      |  
|Jackson Hewitt Inc.(2)(3) (4) (13)                                       |  | Retail                                    |  |              | 8.00  | % |              |  | 7/30/2020  |                     |  | $ | 12,240            |  |  | $             | 12,044 |   |                        | $ | 11,720 |  |  |  | 1.60 | %
|Ministry Brands, LLC (2)(3) (5) (10) (23)                                |  | High Tech Industries                      |  |              | 8.00  |   |              |  | 11/20/2021 |                     |  |   | 1,577             |  |  |               | 1,501  |   |                        |   | 1,574  |  |  |  | 0.22 |  
|Ministry Brands, LLC (2)(3) (5) (12) (24)                                |  | High Tech Industries                      |  |              | 8.00  |   |              |  | 11/20/2021 |                     |  |   | 26,910            |  |  |               | 26,488 |   |                        |   | 27,179 |  |  |  | 3.72 |  
|MSX International, Inc. (2) (3) (4)
(13)                                 |  | Automotive                                |  |              | 6.00  |   |              |  | 8/21/2020  |                     |  |   | 8,940             |  |  |               | 8,879  |   |                        |   | 8,849  |  |  |  | 1.21 |  
|National Technical Systems, Inc.(2)(3) (4) (13) (14)                     |  | Aerospace & Defense                       |  |              | 7.25  |   |              |  | 6/12/2021  |                     |  |   | 25,643            |  |  |               | 25,358 |   |                        |   | 24,390 |  |  |  | 3.34 |  
|NES Global Talent Finance US LLC (United Kingdom)
(2) (3)(4) (8) (13)    |  | Energy: Oil & Gas                         |  |              | 6.50  |   |              |  | 10/3/2019  |                     |  |   | 11,406            |  |  |               | 11,278 |   |                        |   | 10,948 |  |  |  | 1.50 |  
|OnCourse Learning Corporation (2)(3) (4) (5) (13) (26)                   |  | Consumer Services                         |  |              | 7.50  |   |              |  | 9/12/2021  |                     |  |   | 25,569            |  |  |               | 25,181 |   |                        |   | 25,469 |  |  |  | 3.48 |  
|Paradigm Acquisition Corp. (2)(3) (4) (5) (13)                           |  | Business Services                         |  |              | 6.00  |   |              |  | 6/2/2022   |                     |  |   | 23,305            |  |  |               | 23,011 |   |                        |   | 23,205 |  |  |  | 3.17 |  
|Pelican Products, Inc. (2)(3) (4) (13)                                   |  | Containers, Packaging & Glass             |  |              | 5.25  |   |              |  | 4/11/2020  |                     |  |   | 7,643             |  |  |               | 7,655  |   |                        |   | 7,565  |  |  |  | 1.03 |  
|Plano Molding Company, LLC (2)(3) (4) (5) (13)                           |  | Hotel, Gaming & Leisure                   |  |              | 7.50  |   |              |  | 5/12/2021  |                     |  |   | 22,317            |  |  |               | 22,147 |   |                        |   | 21,237 |  |  |  | 2.90 |  
|Premier Senior Marketing, LLC (2)(3) (5)                                 |  | Banking, Finance, Insurance & Real Estate |  |              | 6.00  |   |              |  | 7/1/2022   |                     |  |   | 3,750             |  |  |               | 3,697  |   |                        |   | 3,745  |  |  |  | 0.51 |  
|Product Quest Manufacturing, LLC (2)(3) (4) (5) (12)                     |  | Containers, Packaging & Glass             |  |              | 6.75  |   |              |  | 9/9/2020   |                     |  |   | 28,000            |  |  |               | 27,541 |   |                        |   | 26,485 |  |  |  | 3.62 |  
|Prowler Acquisition Corp. (Pipeline Supply and Service, LLC) (2) (3) (4) |  | Wholesale                                 |  |              | 5.50  |   |              |  | 1/28/2020  |                     |  |   | 10,826            |  |  |               | 10,763 |   |                        |   | 8,144  |  |  |  | 1.11 |  
|PSC Industrial Holdings Corp (2)(3)(4) (13)                              |  | Environmental Industries                  |  |              | 5.75  |   |              |  | 12/5/2020  |                     |  |   | 11,790            |  |  |               | 11,705 |   |                        |   | 11,745 |  |  |  | 1.61 |  
|PSI Services LLC (2)(3)(4) (5) (12)                                      |  | Business Services                         |  |              | 7.75  |   |              |  | 2/27/2021  |                     |  |   | 27,927            |  |  |               | 27,315 |   |                        |   | 28,063 |  |  |  | 3.84 |  
|PT Intermediate Holdings III, LLC (Parts Town)
(2)(3) (4) (5) (13) (27)  |  | Wholesale                                 |  |              | 7.50  |   |              |  | 6/23/2022  |                     |  |   | 17,460            |  |  |               | 17,249 |   |                        |   | 17,562 |  |  |  | 2.40 |  
|QW Holding Corporation (Quala) (2)(3) (4) (5)                            |  | Environmental Industries                  |  |              | 7.75  |   |              |  | 8/31/2022  |                     |  |   | 30,000            |  |  |               | 29,119 |   |                        |   | 29,529 |  |  |  | 4.04 |  
|Reliant Pro Rehab, LLC (2) (3) (5)
(12)                                  |  | Healthcare & Pharmaceuticals              |  |              | 11.00 |   |              |  | 12/29/2017 |                     |  |   | 22,388            |  |  |               | 22,066 |   |                        |   | 22,388 |  |  |  | 3.06 |  
|SolAero Technologies Corp. (2)(3) (4) (5)                                |  | Telecommunications                        |  |              | 6.25  |   |              |  | 12/10/2020 |                     |  |   | 19,806            |  |  |               | 19,663 |   |                        |   | 19,011 |  |  |  | 2.60 |  
|Superior Health Linens, LLC (2)(3) (4) (5) (13) (28)                     |  | Business Services                         |  |              | 7.50  |   |              |  | 9/30/2021  |                     |  |   | 19,234            |  |  |               | 18,903 |   |                        |   | 19,133 |  |  |  | 2.62 |  
|Synarc-Biocore Holdings, LLC (2)(3) (4) (13)                             |  | Healthcare & Pharmaceuticals              |  |              | 5.50  |   |              |  | 3/10/2021  |                     |  |   | 13,169            |  |  |               | 13,081 |   |                        |   | 13,169 |  |  |  | 1.80 |  
|T2 Systems, Inc. (2) (3) (4) (5) (13)
(25)                               |  | Transportation: Consumer                  |  |              | 7.75  |   |              |  | 9/28/2022  |                     |  |   | 23,007            |  |  |               | 22,366 |   |                        |   | 22,706 |  |  |  | 3.10 |  
|T2 Systems Canada, Inc. (2) (3) (5)                                      |  | Transportation: Consumer                  |  |              | 7.75  |   |              |  | 9/28/2022  |                     |  |   | 4,060             |  |  |               | 3,959  |   |                        |   | 4,013  |  |  |  | 0.55 |  
|Teaching Strategies, LLC (2) (3) (4)
(13)                                |  | Media: Advertising, Printing & Publishing |  |              | 6.34  |   |              |  | 10/1/2019  |                     |  |   | 13,464            |  |  |               | 13,424 |   |                        |   | 13,573 |  |  |  | 1.86 |  
|The Hilb Group, LLC (2)(3) (5) (12) (19)                                 |  | Banking, Finance, Insurance & Real Estate |  |              | 7.50  |   |              |  | 6/24/2021  |                     |  |   | 27,177            |  |  |               | 26,589 |   |                        |   | 27,183 |  |  |  | 3.72 |  
|The SI Organization, Inc. (2)(3) (4) (13)                                |  | Aerospace & Defense                       |  |              | 5.75  |   |              |  | 11/23/2019 |                     |  |   | 8,597             |  |  |               | 8,546  |   |                        |   | 8,630  |  |  |  | 1.18 |  
|The Topps Company, Inc. (2)(3) (4) (13)                                  |  | Non-durable Consumer Goods                |  |              | 7.25  |   |              |  | 10/2/2018  |                     |  |   | 18,757            |  |  |               | 18,668 |   |                        |   | 18,817 |  |  |  | 2.57 |  
|TK USA Enterprises, Inc. (2) (3) (5)
(20)                                |  | Construction & Building                   |  |              | 6.00  |   |              |  | 4/4/2022   |                     |  |   |                  |  |  |               | (63    | ) |                        |   | 47     |  |  |  | 0.01 |  
|TruckPro, LLC (2)(3) (4) (13)                                            |  | Automotive                                |  |              | 6.00  |   |              |  | 8/6/2018   |                     |  |   | 9,390             |  |  |               | 9,364  |   |                        |   | 9,368  |  |  |  | 1.28 |  
|TwentyEighty, Inc. (fka Miller Heiman, Inc.)
(2)(3) (4) (13)             |  | Business Services                         |  |              | 7.00  |   |              |  | 9/30/2019  |                     |  |   | 18,719            |  |  |               | 18,559 |   |                        |   | 11,675 |  |  |  | 1.60 |  
|U.S. Farathane, LLC (2)(3) (4) (13)                                      |  | Automotive                                |  |              | 5.75  |   |              |  | 12/23/2021 |                     |  |   | 1,950             |  |  |               | 1,919  |   |                        |   | 1,950  |  |  |  | 0.27 |  
|U.S. TelePacific Holdings Corp. (2) (3)
(5)                              |  | Telecommunications                        |  |              | 9.50  |   |              |  | 2/24/2021  |                     |  |   | 30,000            |  |  |               | 29,108 |   |                        |   | 29,523 |  |  |  | 4.04 |  



The accompanying notes are an integral part of these consolidated financial statements.



8



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



|                                                                                    |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  
|----------------------------------------------------------------------------------- |  | ----------------------------------------- |  | ------------ | ----- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | --------- |  | ---------------------- | - | --------- |  |  |  | ------ | -
|Investmentsnon-controlled/non-affiliated (1)                                       |  | Industry                                  |  | InterestRate |       |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (6) |  |  | FairValue (7) |           |  | PercentageofNet Assets |  
|First Lien Debt (80.61%) (continued)                                                |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  
|Vetcor Professional Practices, LLC (2)(3) (4) (5) (13) (16)                         |  | Consumer Services                         |  |              | 7.25  | % |              |  | 4/20/2021  |                     |  | $ | 22,875            |  |  | $             | 22,515    |  |                        | $ | 22,943    |  |  |  | 3.14   | %
|Violin Finco S.A.R.L. (Alexander Mann Solutions) (United Kingdom) (2)(3)(4)(8) (13) |  | Business Services                         |  |              | 5.75  |   |              |  | 12/20/2019 |                     |  |   | 10,097            |  |  |               | 10,040    |  |                        |   | 10,082    |  |  |  | 1.38   |  
|Vistage Worldwide, Inc. (2)(3) (4) (13)                                             |  | Business Services                         |  |              | 6.50  |   |              |  | 8/19/2021  |                     |  |   | 28,757            |  |  |               | 28,514    |  |                        |   | 28,737    |  |  |  | 3.93   |  
|Vitera Healthcare Solutions, LLC (2)(3) (4) (13)                                    |  | Healthcare & Pharmaceuticals              |  |              | 6.00  |   |              |  | 11/4/2020  |                     |  |   | 9,365             |  |  |               | 9,306     |  |                        |   | 9,310     |  |  |  | 1.27   |  
|Winchester Electronics Corporation (2) (3) (5)
(29)                                 |  | Capital Equipment                         |  |              | 7.50  |   |              |  | 6/30/2022  |                     |  |   | 27,436            |  |  |               | 27,004    |  |                        |   | 27,338    |  |  |  | 3.74   |  
|Zest Holdings, LLC (2)(3) (4) (13)                                                  |  | Durable Consumer Goods                    |  |              | 5.25  |   |              |  | 8/16/2020  |                     |  |   | 9,530             |  |  |               | 9,530     |  |                        |   | 9,549     |  |  |  | 1.31   |  
|                                                                                    |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  
|First Lien Debt Total                                                               |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  | $             | 1,117,187 |  |                        | $ | 1,114,587 |  |  |  | 152.42 | %
|                                                                                    |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  
|Second Lien Debt (14.20%)                                                           |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  
|AF Borrower LLC (Accuvant) (2)(3) (5)                                               |  | High Tech Industries                      |  |              | 10.00 | % |              |  | 1/30/2023  |                     |  | $ | 8,000             |  |  | $             | 7,932     |  |                        | $ | 7,874     |  |  |  | 1.08   | %
|AIM Group USA Inc. (2) (3) (5) (13)                                                 |  | Aerospace & Defense                       |  |              | 10.00 |   |              |  | 8/2/2022   |                     |  |   | 23,000            |  |  |               | 22,691    |  |                        |   | 22,712    |  |  |  | 3.11   |  
|AmeriLife Group, LLC (2)(3) (5)                                                     |  | Banking, Finance, Insurance &Real Estate  |  |              | 9.75  |   |              |  | 1/10/2023  |                     |  |   | 20,000            |  |  |               | 19,647    |  |                        |   | 19,146    |  |  |  | 2.62   |  
|Argon Medical Devices, Inc.(2)(3) (4) (5)                                           |  | Healthcare & Pharmaceuticals              |  |              | 10.50 |   |              |  | 6/23/2022  |                     |  |   | 24,000            |  |  |               | 23,346    |  |                        |   | 24,242    |  |  |  | 3.32   |  
|Berlin Packaging L.L.C. (2)(3) (5) (13)                                             |  | Containers, Packaging & Glass             |  |              | 7.75  |   |              |  | 10/1/2022  |                     |  |   | 9,200             |  |  |               | 9,144     |  |                        |   | 9,223     |  |  |  | 1.26   |  
|Charter NEX US Holdings, Inc. (2)(3) (5) (13)                                       |  | Chemicals, Plastics & Rubber              |  |              | 9.25  |   |              |  | 2/5/2023   |                     |  |   | 7,394             |  |  |               | 7,301     |  |                        |   | 7,468     |  |  |  | 1.02   |  
|Confie Seguros Holding II Co.(2)(3) (5)                                             |  | Banking, Finance, Insurance &Real Estate  |  |              | 11.50 |   |              |  | 5/8/2019   |                     |  |   | 12,000            |  |  |               | 11,914    |  |                        |   | 11,974    |  |  |  | 1.64   |  
|Drew Marine Group Inc. (2)(3) (4) (5)                                               |  | Chemicals, Plastics & Rubber              |  |              | 8.00  |   |              |  | 5/19/2021  |                     |  |   | 12,500            |  |  |               | 12,480    |  |                        |   | 12,246    |  |  |  | 1.67   |  
|Genex Holdings, Inc. (2)(3) (5)                                                     |  | Banking, Finance, Insurance &Real Estate  |  |              | 8.75  |   |              |  | 5/30/2022  |                     |  |   | 7,990             |  |  |               | 7,912     |  |                        |   | 7,940     |  |  |  | 1.09   |  
|Genoa, a QoL Healthcare Company, LLC (2)(3) (5) (13)                                |  | Retail                                    |  |              | 8.75  |   |              |  | 4/28/2023  |                     |  |   | 9,900             |  |  |               | 9,813     |  |                        |   | 9,917     |  |  |  | 1.36   |  
|Institutional Shareholder Services Inc. (2)(3) (5) (13)                             |  | Banking, Finance, Insurance &Real Estate  |  |              | 8.50  |   |              |  | 4/29/2022  |                     |  |   | 12,500            |  |  |               | 12,405    |  |                        |   | 12,369    |  |  |  | 1.69   |  
|Jazz Acquisition, Inc. (Wencor) (2)(3) (5) (13)                                     |  | Aerospace & Defense                       |  |              | 7.75  |   |              |  | 6/19/2022  |                     |  |   | 6,700             |  |  |               | 6,676     |  |                        |   | 5,766     |  |  |  | 0.79   |  
|MRI Software, LLC (2)(3) (5)                                                        |  | Software                                  |  |              | 9.00  |   |              |  | 6/23/2022  |                     |  |   | 11,250            |  |  |               | 11,106    |  |                        |   | 11,151    |  |  |  | 1.52   |  
|Phillips-Medisize Corporation (2)(3) (5) (13)                                       |  | Chemicals, Plastics & Rubber              |  |              | 8.25  |   |              |  | 6/16/2022  |                     |  |   | 5,000             |  |  |               | 4,962     |  |                        |   | 5,000     |  |  |  | 0.68   |  
|Power Stop, LLC (5) (17)                                                            |  | Automotive                                |  |              | 11.00 |   |              |  | 5/29/2022  |                     |  |   | 10,000            |  |  |               | 9,826     |  |                        |   | 9,854     |  |  |  | 1.35   |  
|Prime Security Services Borrower, LLC (Protection One, Inc.)(2)(3) (5)(13)          |  | Consumer Services                         |  |              | 9.75  |   |              |  | 7/1/2022   |                     |  |   | 3,479             |  |  |               | 3,435     |  |                        |   | 3,533     |  |  |  | 0.48   |  
|Prowler Acquisition Corp. (Pipeline Supply and Service,LLC) (2)(3) (5)              |  | Wholesale                                 |  |              | 9.50  |   |              |  | 7/28/2020  |                     |  |   | 3,000             |  |  |               | 2,959     |  |                        |   | 997       |  |  |  | 0.14   |  
|Systems Maintenance Services Holding, Inc. (2)(3) (4)                               |  | High Tech Industries                      |  |              | 9.25  |   |              |  | 10/18/2020 |                     |  |   | 6,000             |  |  |               | 5,963     |  |                        |   | 6,000     |  |  |  | 0.82   |  
|Vitera Healthcare Solutions, LLC (2)(3) (4)                                         |  | Healthcare & Pharmaceuticals              |  |              | 9.25  |   |              |  | 11/4/2021  |                     |  |   | 2,000             |  |  |               | 1,978     |  |                        |   | 1,927     |  |  |  | 0.26   |  
|Watchfire Enterprises, Inc. (2)(3) (5) (13)                                         |  | Media: Advertising, Printing & Publishing |  |              | 9.00  |   |              |  | 10/2/2021  |                     |  |   | 7,000             |  |  |               | 6,930     |  |                        |   | 6,958     |  |  |  | 0.95   |  
|                                                                                    |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  
|Second Lien Debt Total                                                              |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  | $             | 198,420   |  |                        | $ | 196,297   |  |  |  | 26.85  | %
|                                                                                    |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |           |  |                        |   |           |  |  |  |        |  



The accompanying notes are an integral
part of these consolidated financial statements.



9



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



|                                                    |  |                    |  |              |           |  |           |   |        |                   |  |   |               |  |  |                        |       |  |  |  |      |  
|--------------------------------------------------- |  | ------------------ |  | ------------ | --------- |  | --------- | - | ------ | ----------------- |  | - | ------------- |  |  | ---------------------- | ----- |  |  |  | ---- | -
|Investmentsnon-controlled/non-affiliated (1)       |  | Industry           |  | MaturityDate |           |  | ParAmount |   |        | AmortizedCost (6) |  |   | FairValue (7) |  |  | PercentageofNet Assets |      
|Structured Finance Obligations (0.56%) (5) (8)
(11) |  |                    |  |              |           |  |           |   |        |                   |  |   |               |  |  |                        |       |  |  |  |      |  
|1776 CLO I, Ltd., Subordinated Notes                |  | Structured Finance |  |              | 5/8/2020  |  |           | $ | 11,750 |                   |  | $ | 7,020         |  |  | $                      | 2,556 |  |  |  | 0.35 | %
|Babson CLO Ltd., 2005-I, Subordinated Notes         |  | Structured Finance |  |              | 4/15/2019 |  |           |   | 7,632  |                   |  |   | 333           |  |  |                        | 85    |  |  |  | 0.01 |  
|Clydesdale CLO 2005, Ltd., Subordinated Notes       |  | Structured Finance |  |              | 12/6/2017 |  |           |   | 5,750  |                   |  |   |              |  |  |                        | 10    |  |  |  | 0.00 |  
|MSIM Peconic Bay, Ltd., Subordinated Notes          |  | Structured Finance |  |              | 7/20/2019 |  |           |   | 4,500  |                   |  |   | 115           |  |  |                        | 68    |  |  |  | 0.01 |  
|Nautique Funding Ltd., Income Notes                 |  | Structured Finance |  |              | 4/15/2020 |  |           |   | 5,000  |                   |  |   | 2,480         |  |  |                        | 2,163 |  |  |  | 0.30 |  
|Venture VI CDO Limited, Preference Shares           |  | Structured Finance |  |              | 8/3/2020  |  |           |   | 7,000  |                   |  |   | 3,044         |  |  |                        | 2,870 |  |  |  | 0.39 |  
|                                                    |  |                    |  |              |           |  |           |   |        |                   |  |   |               |  |  |                        |       |  |  |  |      |  
|Structured Finance Obligations Total                |  |                    |  |              |           |  |           |   |        |                   |  | $ | 12,992        |  |  | $                      | 7,752 |  |  |  | 1.06 | %
|                                                    |  |                    |  |              |           |  |           |   |        |                   |  |   |               |  |  |                        |       |  |  |  |      |  



|                                                       |  |                                           |  |              |           |  |      |   |           |               |  |   |                         |  |  |  |      |  
|------------------------------------------------------ |  | ----------------------------------------- |  | ------------ | --------- |  | ---- | - | --------- | ------------- |  | - | ----------------------- |  |  |  | ---- | -
|Investmentsnon-controlled/non-affiliated (1)          |  | Industry                                  |  | Shares/Units |           |  | Cost |   |           | FairValue (7) |  |   | Percentage ofNet Assets | 
|Equity Investments (0.45%) (5)                         |  |                                           |  |              |           |  |      |   |           |               |  |   |                         |  |  |  |      |  
|CIP Revolution Investments, LLC                        |  | Media: Advertising, Printing & Publishing |  |              | 30,000    |  |      | $ | 300       |               |  | $ | 349                     |  |  |  | 0.05 | %
|Derm Growth Partners III, LLC (Dermatology Associates) |  | Healthcare & Pharmaceuticals              |  |              | 1,000,000 |  |      |   | 1,000     |               |  |   | 985                     |  |  |  | 0.13 |  
|GS Holdco LLC (Global Software, LLC)                   |  | High Tech Industries                      |  |              | 1,000,000 |  |      |   | 1,001     |               |  |   | 1,118                   |  |  |  | 0.15 |  
|Power Stop Intermediate Holdings, LLC                  |  | Automotive                                |  |              | 7,150     |  |      |   | 715       |               |  |   | 1,194                   |  |  |  | 0.16 |  
|T2 Systems Parent Corporation                          |  | Transportation: Consumer                  |  |              | 570,720   |  |      |   | 556       |               |  |   | 555                     |  |  |  | 0.08 |  
|THG Acquisition, LLC (The Hilb Group, LLC)             |  | Banking, Finance, Insurance & Real Estate |  |              | 1,500,000 |  |      |   | 1,500     |               |  |   | 2,019                   |  |  |  | 0.28 |  
|                                                       |  |                                           |  |              |           |  |      |   |           |               |  |   |                         |  |  |  |      |  
|Equity Investments Total                               |  |                                           |  |              |           |  |      | $ | 5,072     |               |  | $ | 6,220                   |  |  |  | 0.85 | %
|                                                       |  |                                           |  |              |           |  |      |   |           |               |  |   |                         |  |  |  |      |  
|Total investmentsnon-controlled/non-affiliated        |  |                                           |  |              |           |  |      | $ | 1,333,671 |               |  | $ | 1,324,856               |  |  |  | 0.85 | %
|                                                       |  |                                           |  |              |           |  |      |   |           |               |  |   |                         |  |  |  |      |  



|                                                                                 |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  |               |           |  |                         |   |           |  |  |  |        |  
|-------------------------------------------------------------------------------- |  | --------------- |  | ------------ | ----- | - | ------------ |  | --------- | --------------------- |  | - | ------ |  |  | ------------- | --------- |  | ----------------------- | - | --------- |  |  |  | ------ | -
|Investmentscontrolled/affiliated                                                |  | Industry        |  | InterestRate |       |   | MaturityDate |  |           | ParAmount/LLCInterest |  |   | Cost   |  |  | FairValue (7) |           |  | Percentage ofNet Assets |  
|Investment Fund (4.18%)(8)                                                       |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  |               |           |  |                         |   |           |  |  |  |        |  
|Middle Market Credit Fund, LLC, Mezzanine Loan
(2) (5) (17) (21)                 |  | Investment Fund |  |              | 10.15 | % |              |  | 6/24/2017 |                       |  | $ | 31,800 |  |  | $             | 31,800    |  |                         | $ | 31,800    |  |  |  | 4.35   | %
|Middle Market Credit Fund, LLC, Subordinated Loan and Members Interest (5) (21) |  | Investment Fund |  |              | 0.001 |   |              |  | 3/1/2021  |                       |  |   | 24,001 |  |  |               | 24,001    |  |                         |   | 25,958    |  |  |  | 3.55   |  
|                                                                                 |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  |               |           |  |                         |   |           |  |  |  |        |  
|Investment Fund Total                                                            |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  | $             | 55,801    |  |                         | $ | 57,758    |  |  |  | 7.90   | %
|                                                                                 |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  |               |           |  |                         |   |           |  |  |  |        |  
|Total investmentscontrolled/affiliated                                          |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  | $             | 55,801    |  |                         | $ | 57,758    |  |  |  | 7.90   | %
|                                                                                 |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  |               |           |  |                         |   |           |  |  |  |        |  
|Total investments                                                                |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  | $             | 1,389,472 |  |                         | $ | 1,382,614 |  |  |  | 189.08 | %
|                                                                                 |  |                 |  |              |       |   |              |  |           |                       |  |   |        |  |  |               |           |  |                         |   |           |  |  |  |        |  

|(1) | Unless otherwise indicated, issuers of debt and equity investments held by Carlyle GMS Finance, Inc. (GMS Finance or the Company) are domiciled in the United States and issuers of structured
finance obligations are domiciled in the Cayman Islands. Under the Investment Company Act of 1940, as amended (together with the rules and regulations promulgated
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The accompanying notes are an integral part of these consolidated
financial statements.



10



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



| | thereunder, the Investment Company Act), the Company would be deemed to control a portfolio company if the Company owned more than 25% of its outstanding voting securities
and/or held the power to exercise control over the management or policies of the portfolio company. As of September 30, 2016, the Company does not control any of these portfolio companies. Under the Investment Company Act, the Company
would be deemed an affiliated person of a portfolio company if the Company owns 5% or more of the portfolio companys outstanding voting securities. As of September 30, 2016, the Company is not an affiliated person of
any of these portfolio companies.
| | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Variable rate loans to the portfolio companies and variable rate notes of structured finance obligations bear interest at a rate that may be determined by reference to either LIBOR or an alternate base rate (commonly
based on the Federal Funds Rate or the Prime Rate), which generally resets quarterly. For each such loan and note, the Company has provided the interest rate in effect as of September 30, 2016.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Loan includes interest rate floor feature.
|--- | ------------------------------------------

|(4) | Denotes that all or a portion of the assets are owned by the Companys wholly-owned subsidiary, Carlyle GMS Finance SPV LLC (the Borrower Sub). The Borrower Sub has entered into a senior secured
revolving credit facility (as amended, the Revolving Credit Facility). The lenders of the Revolving Credit Facility have a first lien security interest in substantially all of the assets of the Borrower Sub (see Note 6, Borrowings).
Accordingly, such assets are not available to creditors of the Company or Carlyle GMS Finance MM CLO 2015-1 LLC (the 2015-1 Issuer), a wholly-owned and consolidated subsidiary of the Company.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(5) | Denotes that all or a portion of the assets are owned by the Company. The Company has entered into a senior secured revolving credit facility (as amended, the Facility). The lenders of the Facility have a
first lien security interest in substantially all of the portfolio investments held by the Company (see Note 6, Borrowings). Accordingly, such assets are not available to creditors of the Borrower Sub or the 2015-1 Issuer.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(6) | Amortized cost represents original cost, including origination fees, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method. Equity tranche
collateralized loan obligation (CLO) fund investments, which are referred to as structured finance obligations, are recorded at amortized cost using the effective interest method.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(7) | Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (see Note 2, Significant Accounting Policies, and Note 3, Fair Value Measurements), pursuant to the
Companys valuation policy.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(8) | The Company has determined the indicated investments are non-qualifying assets under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying
assets unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Companys total assets.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(9) | Captive Resources Midco, LLC has an undrawn delayed draw term loan of $3,125 par value at LIBOR + 5.75%, 1.00% floor, and an undrawn revolver of $1,875 par value at LIBOR + 5.75%, 1.00% floor. An unused rate of 1.25%
and 0.50% is charged on the delayed draw term loan and revolver principal, respectively, while undrawn.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(10) | The Company receives less than the stated interest rate of this loan as a result of an agreement among lenders. The interest rate reduction is 2.75% on Ministry Brands, LLC. Pursuant to the agreement among lenders in
respect of this loan, this investment represents a first lien/first out loan, which has first priority ahead of the first lien/last out loan with respect to principal, interest and other payments.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(11) | As of September 30, 2016, the Company has a greater than 25% but less than 50% equity or subordinated notes ownership interest in certain structured finance obligations. These investments have governing documents
that preclude the Company from controlling management of the entity and therefore the Company has determined that the issuer of the investment is not a controlled affiliate or a non-controlled affiliate because the investments are not voting
securities.
|---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(12) | In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company is entitled to receive additional interest as a result of an agreement among
lenders as follows: Dimensional Dental Management, LLC (4.60%), EIP Merger Sub, LLC (Evolve IP) (3.82%), International Medical Group, Inc. (4.65%), Ministry Brands, LLC (2.75%), Product Quest Manufacturing, LLC (3.55%), PSI Services LLC (4.27%),
Reliant Pro Rehab, LLC (nil) and The Hilb Group, LLC (3.97%). Pursuant to the agreement among lenders in respect of this loan, this investment represents a first lien/last out loan, which has a secondary priority behind the first lien/first out loan
with respect to principal, interest and other payments.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The accompanying notes are an integral part of these consolidated financial statements.



11



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



|(13) | Denotes that all or a portion of the assets are owned by the 2015-1 Issuer and secure the notes issued in connection with a $400 million term debt securitization completed by the Company on June 26, 2015 (see Note 7,
2015-1 Notes). Accordingly, such assets are not available to the creditors of the Borrower Sub or the Company.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(14) | National Technical Systems, Inc. has an undrawn delayed draw term loan of $4,469 par value at LIBOR + 6.25%, 1.00% floor, and an undrawn revolver of $2,031 par value at LIBOR + 6.25%, 1.00% floor. An unused rate of
1.00% and 0.50% is charged on the delayed draw term loan and revolver principal, respectively, while undrawn.
|---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(15) | Dimensional Dental Management, LLC has an undrawn last out delayed draw term loan of $2,507 par value at LIBOR + 7.00%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan principal while
undrawn.
|---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(16) | Vetcor Professional Practices, LLC has an undrawn delayed draw term loan of $5,241 par value at LIBOR + 6.25%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan principal while undrawn.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(17) | Represents a corporate mezzanine loan, which is subordinated to senior secured term loans of the portfolio company/investment fund.
|---- | -----------------------------------------------------------------------------------------------------------------------------------

|(18) | Dermatology Associates has an undrawn delayed draw term loan of $7,270 par value at LIBOR + 6.50%, 1.00% floor, and an undrawn revolver of $564 par value at LIBOR + 6.50%, 1.00% floor. An unused rate of 1.00% is charged
on the delayed draw term loan and 0.50% is charged on the revolver principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(19) | The Hilb Group, LLC has an undrawn last out delayed draw term loan of $6,315 par value at LIBOR + 5.75%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan principal while undrawn.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(20) | TK USA Enterprises, Inc. has an undrawn revolver of $4,750 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 0.50% is charged on the principal while undrawn.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(21) | Under the Investment Company Act, the Company is deemed to be an affiliated person of and control this investment fund because the Company owns more than 25% of the investment funds
outstanding voting securities and/or has the power to exercise control over management or policies of such investment fund. See Note 5, Middle Market Credit Fund, LLC, for more details.
|---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(22) | CIP Revolution Holdings, LLC has an undrawn delayed draw term loan of $1,331 par value at LIBOR + 6.00%, 1.00% floor, and an undrawn revolver of $1,331 par value at LIBOR + 6.00%, 1.00% floor. An unused rate of 0.75% is
charged on the delayed draw term loan and 0.50% is charged on the revolver principal while undrawn.
|---- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(23) | Ministry Brands, LLC has an undrawn first out delayed draw term loan of $5,800 par value at LIBOR + 7.00%, 1.00% floor. An unused rate of 2.00% is charged on the delayed draw term loan principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(24) | Ministry Brands, LLC has an undrawn last out delayed draw term loan of $5,800 par value at LIBOR + 7.00%, 1.00% floor. An unused rate of 2.00% is charged on the delayed draw term loan principal while undrawn.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(25) | T2 Systems, Inc. has an undrawn revolver of $2,933 par value at LIBOR + 6.75%, 1.00% floor. An unused rate of 0.50% is charged on the revolver principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(26) | OnCourse Learning Corporation has an undrawn revolver of $1,431 par value at LIBOR + 6.50%, 1.00% floor. An unused rate of 0.50% is charged on the revolver principal while undrawn.
|---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(27) | PT Intermediate Holdings III, LLC has an undrawn revolver of $2,025 par value at LIBOR + 6.50%, 1.00% floor. An unused rate of 0.50% is charged on the revolver principal while undrawn.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(28) | Superior Health Linens, LLC has an undrawn revolver of $2,825 par value at LIBOR + 6.50%, 1.00% floor. An unused rate of 0.50% is charged on the revolver principal while undrawn.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(29) | Winchester Electronics Corporation has an undrawn delayed draw term loan of $2,500 par value at LIBOR + 6.50%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan principal while undrawn.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The accompanying notes are an integral part of these
consolidated financial statements.



12



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



As of September 30, 2016, investments at fair value consisted of the following:



|                               |  |               |           |  |            |   |           |                 |  |  |        |  
|------------------------------ |  | ------------- | --------- |  | ---------- | - | --------- | --------------- |  |  | ------ | -
|Type                           |  | AmortizedCost |           |  | Fair Value |   |           | % of Fair Value | 
|First Lien Debt                |  | $             | 1,117,187 |  |            | $ | 1,114,587 |                 |  |  | 80.61  | %
|Second Lien Debt               |  |               | 198,420   |  |            |   | 196,297   |                 |  |  | 14.20  |  
|Structured Finance Obligations |  |               | 12,992    |  |            |   | 7,752     |                 |  |  | 0.56   |  
|Equity Investments             |  |               | 5,072     |  |            |   | 6,220     |                 |  |  | 0.45   |  
|Investment Fund                |  |               | 55,801    |  |            |   | 57,758    |                 |  |  | 4.18   |  
|                               |  |               |           |  |            |   |           |                 |  |  |        |  
|Total                          |  | $             | 1,389,472 |  |            | $ | 1,382,614 |                 |  |  | 100.00 | %
|                               |  |               |           |  |            |   |           |                 |  |  |        |  

The industrial composition of investments at fair value as of September 30, 2016 was as follows:



|                                          |  |               |           |  |            |   |           |                 |  |  |        |  
|----------------------------------------- |  | ------------- | --------- |  | ---------- | - | --------- | --------------- |  |  | ------ | -
|Industry                                  |  | AmortizedCost |           |  | Fair Value |   |           | % of Fair Value | 
|Aerospace & Defense                       |  | $             | 63,271    |  |            | $ | 61,498    |                 |  |  | 4.45   | %
|Automotive                                |  |               | 38,297    |  |            |   | 38,837    |                 |  |  | 2.81   |  
|Banking, Finance, Insurance & Real Estate |  |               | 146,078   |  |            |   | 147,760   |                 |  |  | 10.68  |  
|Business Services                         |  |               | 144,605   |  |            |   | 139,244   |                 |  |  | 10.07  |  
|Capital Equipment                         |  |               | 36,862    |  |            |   | 37,201    |                 |  |  | 2.69   |  
|Chemicals, Plastics & Rubber              |  |               | 24,743    |  |            |   | 24,714    |                 |  |  | 1.79   |  
|Construction & Building                   |  |               | 23,503    |  |            |   | 23,833    |                 |  |  | 1.72   |  
|Consumer Services                         |  |               | 79,484    |  |            |   | 80,575    |                 |  |  | 5.83   |  
|Containers, Packaging & Glass             |  |               | 55,682    |  |            |   | 54,609    |                 |  |  | 3.95   |  
|Durable Consumer Goods                    |  |               | 20,218    |  |            |   | 20,165    |                 |  |  | 1.46   |  
|Energy: Electricity                       |  |               | 36,715    |  |            |   | 36,744    |                 |  |  | 2.66   |  
|Energy: Oil & Gas                         |  |               | 11,278    |  |            |   | 10,948    |                 |  |  | 0.79   |  
|Environmental Industries                  |  |               | 40,824    |  |            |   | 41,274    |                 |  |  | 2.99   |  
|Forest Products & Paper                   |  |               | 21,001    |  |            |   | 21,466    |                 |  |  | 1.55   |  
|Healthcare & Pharmaceuticals              |  |               | 127,264   |  |            |   | 129,673   |                 |  |  | 9.38   |  
|High Tech Industries                      |  |               | 94,553    |  |            |   | 95,892    |                 |  |  | 6.94   |  
|Hotel, Gaming & Leisure                   |  |               | 31,591    |  |            |   | 30,724    |                 |  |  | 2.22   |  
|Investment Fund                           |  |               | 55,801    |  |            |   | 57,758    |                 |  |  | 4.18   |  
|Media: Advertising, Printing & Publishing |  |               | 55,219    |  |            |   | 56,047    |                 |  |  | 4.05   |  
|Metals & Mining                           |  |               | 10,256    |  |            |   | 10,266    |                 |  |  | 0.74   |  
|Non-durable Consumer Goods                |  |               | 32,855    |  |            |   | 31,941    |                 |  |  | 2.31   |  
|Retail                                    |  |               | 21,857    |  |            |   | 21,637    |                 |  |  | 1.56   |  
|Software                                  |  |               | 11,106    |  |            |   | 11,151    |                 |  |  | 0.81   |  
|Structured Finance                        |  |               | 12,992    |  |            |   | 7,752     |                 |  |  | 0.56   |  
|Telecommunications                        |  |               | 108,635   |  |            |   | 110,016   |                 |  |  | 7.96   |  
|Transportation: Cargo                     |  |               | 19,331    |  |            |   | 19,040    |                 |  |  | 1.38   |  
|Transportation: Consumer                  |  |               | 34,480    |  |            |   | 35,146    |                 |  |  | 2.54   |  
|Wholesale                                 |  |               | 30,971    |  |            |   | 26,703    |                 |  |  | 1.93   |  
|                                          |  |               |           |  |            |   |           |                 |  |  |        |  
|Total                                     |  | $             | 1,389,472 |  |            | $ | 1,382,614 |                 |  |  | 100.00 | %
|                                          |  |               |           |  |            |   |           |                 |  |  |        |  



The accompanying notes are an integral
part of these consolidated financial statements.



13



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of September 30, 2016

(dollar amounts in thousands)

(unaudited)



The geographical composition of investments at fair value as of September 30, 2016 was as
follows:



|               |  |               |           |  |            |   |           |                 |  |  |        |  
|-------------- |  | ------------- | --------- |  | ---------- | - | --------- | --------------- |  |  | ------ | -
|Geography      |  | AmortizedCost |           |  | Fair Value |   |           | % of Fair Value | 
|Cayman Islands |  | $             | 12,992    |  |            | $ | 7,752     |                 |  |  | 0.56   | %
|United Kingdom |  |               | 21,318    |  |            |   | 21,030    |                 |  |  | 1.52   |  
|United States  |  |               | 1,355,162 |  |            |   | 1,353,832 |                 |  |  | 97.92  |  
|               |  |               |           |  |            |   |           |                 |  |  |        |  
|Total          |  | $             | 1,389,472 |  |            | $ | 1,382,614 |                 |  |  | 100.00 | %
|               |  |               |           |  |            |   |           |                 |  |  |        |  



The accompanying notes are an integral
part of these consolidated financial statements.



14



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

As of
December 31, 2015

(dollar amounts in thousands)



|                                                                      |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |        |  |                         |   |        |  |  |  |      |  
|--------------------------------------------------------------------- |  | ----------------------------------------- |  | ------------ | ---- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | ------ |  | ----------------------- | - | ------ |  |  |  | ---- | -
|Investmentsnon-controlled/non-affiliated (1)                         |  | Industry                                  |  | InterestRate |      |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (6) |  |  | FairValue (7) |        |  | Percentage ofNet Assets |  
|First Lien Debt (75.53%)                                              |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |        |  |                         |   |        |  |  |  |      |  
|Access CIG, LLC (2) (3) (4) (13)                                      |  | Business Services                         |  |              | 6.00 | % |              |  | 10/17/2021 |                     |  | $ | 18,522            |  |  | $             | 18,388 |  |                         | $ | 18,291 |  |  |  | 3.20 | %
|AF Borrower LLC (Accuvant) (2) (3) (5)
(13)                           |  | High Tech Industries                      |  |              | 6.25 |   |              |  | 1/28/2022  |                     |  |   | 16,277            |  |  |               | 16,055 |  |                         |   | 15,829 |  |  |  | 2.77 |  
|Alpha Packaging Holdings, Inc. (2)(3)(4) (13)                         |  | Containers, Packaging & Glass             |  |              | 5.25 |   |              |  | 5/12/2020  |                     |  |   | 11,409            |  |  |               | 11,398 |  |                         |   | 11,180 |  |  |  | 1.96 |  
|Anaren, Inc. (2)(3)(4) (13)                                           |  | Telecommunications                        |  |              | 5.50 |   |              |  | 2/18/2021  |                     |  |   | 10,981            |  |  |               | 10,898 |  |                         |   | 10,759 |  |  |  | 1.88 |  
|APX Group, Inc. (5) (8)                                               |  | Consumer Services                         |  |              | 6.38 |   |              |  | 12/1/2019  |                     |  |   | 10,000            |  |  |               | 9,749  |  |                         |   | 9,575  |  |  |  | 1.67 |  
|Audax AAMP Holdings, Inc.(2)(3)(4) (13)                               |  | Durable Consumer Goods                    |  |              | 6.50 |   |              |  | 6/24/2017  |                     |  |   | 11,025            |  |  |               | 10,954 |  |                         |   | 10,885 |  |  |  | 1.90 |  
|BAART Programs, Inc.(2)(4)                                            |  | Healthcare & Pharmaceuticals              |  |              | 8.07 |   |              |  | 10/9/2021  |                     |  |   | 7,481             |  |  |               | 7,422  |  |                         |   | 7,556  |  |  |  | 1.32 |  
|Blue Bird Body Company (2)(3)(4) (8) (13)                             |  | Transportation: Consumer                  |  |              | 6.50 |   |              |  | 6/26/2020  |                     |  |   | 9,491             |  |  |               | 9,110  |  |                         |   | 9,361  |  |  |  | 1.64 |  
|Brooks Equipment Company, LLC (2)(3) (4) (13)                         |  | Construction & Building                   |  |              | 6.35 |   |              |  | 8/29/2020  |                     |  |   | 7,209             |  |  |               | 7,160  |  |                         |   | 7,097  |  |  |  | 1.24 |  
|Capstone Logistics Acquisition, Inc. (2)(3)(4) (13)                   |  | Transportation: Cargo                     |  |              | 5.50 |   |              |  | 10/7/2021  |                     |  |   | 19,750            |  |  |               | 19,582 |  |                         |   | 19,134 |  |  |  | 3.35 |  
|Captive Resources Midco, LLC (2)(3)(4) (9) (13)                       |  | Banking, Finance, Insurance & Real Estate |  |              | 6.75 |   |              |  | 6/30/2020  |                     |  |   | 29,350            |  |  |               | 28,890 |  |                         |   | 28,900 |  |  |  | 5.05 |  
|Castle Management Borrower LLC (Highgate Hotels L.P.) (2)(3)(4) (13)  |  | Hotel, Gaming & Leisure                   |  |              | 5.50 |   |              |  | 9/18/2020  |                     |  |   | 9,878             |  |  |               | 9,807  |  |                         |   | 9,535  |  |  |  | 1.67 |  
|Central Security Group, Inc.(2) (3) (4)(13)                           |  | Consumer Services                         |  |              | 6.25 |   |              |  | 10/6/2020  |                     |  |   | 24,750            |  |  |               | 24,444 |  |                         |   | 23,884 |  |  |  | 4.18 |  
|Colony Hardware Corporation (2) (3) (5)
(13)                          |  | Construction & Building                   |  |              | 7.00 |   |              |  | 10/23/2021 |                     |  |   | 13,000            |  |  |               | 12,787 |  |                         |   | 12,861 |  |  |  | 2.25 |  
|CRCI Holdings Inc. (CLEAResult Consulting, Inc.)
(2)(3)(4) (13)       |  | Utilities: Electric                       |  |              | 5.25 |   |              |  | 7/10/2019  |                     |  |   | 5,910             |  |  |               | 5,892  |  |                         |   | 5,704  |  |  |  | 1.00 |  
|Dent Wizard International Corporation (2)(3)(4) (13)                  |  | Automotive                                |  |              | 5.75 |   |              |  | 4/7/2020   |                     |  |   | 7,809             |  |  |               | 7,775  |  |                         |   | 7,591  |  |  |  | 1.33 |  
|Emerging Markets Communications, LLC (2)(3) (4) (13)                  |  | Telecommunications                        |  |              | 6.75 |   |              |  | 7/1/2021   |                     |  |   | 17,910            |  |  |               | 16,225 |  |                         |   | 16,882 |  |  |  | 2.95 |  
|EP Minerals, LLC (2)(3) (4) (13)                                      |  | Metals & Mining                           |  |              | 5.50 |   |              |  | 8/20/2020  |                     |  |   | 10,369            |  |  |               | 10,329 |  |                         |   | 10,168 |  |  |  | 1.78 |  
|FCX Holdings Corp. (2)(3) (4) (13)                                    |  | Capital Equipment                         |  |              | 5.50 |   |              |  | 8/4/2020   |                     |  |   | 10,047            |  |  |               | 10,041 |  |                         |   | 9,862  |  |  |  | 1.72 |  
|Genex Holdings, Inc. (2)(3) (13)                                      |  | Banking, Finance, Insurance &Real Estate  |  |              | 5.25 |   |              |  | 5/30/2021  |                     |  |   | 4,243             |  |  |               | 4,227  |  |                         |   | 4,164  |  |  |  | 0.73 |  
|Green Energy Partners/Stonewall LLC (2)(3) (5) (13)                   |  | Energy: Electricity                       |  |              | 6.50 |   |              |  | 11/13/2021 |                     |  |   | 16,600            |  |  |               | 16,456 |  |                         |   | 16,354 |  |  |  | 2.86 |  
|Hummel Station LLC (2)(3)(5)                                          |  | Energy: Electricity                       |  |              | 7.00 |   |              |  | 10/27/2022 |                     |  |   | 21,000            |  |  |               | 20,174 |  |                         |   | 20,553 |  |  |  | 3.59 |  
|Indra Holdings Corp. (Totes Isotoner) (2)(3) (5) (13)                 |  | Non-durable Consumer Goods                |  |              | 5.25 |   |              |  | 5/1/2021   |                     |  |   | 14,285            |  |  |               | 14,173 |  |                         |   | 13,818 |  |  |  | 2.42 |  
|International Medical Group, Inc.(2)(3) (5) (12)                      |  | Banking, Finance, Insurance &Real Estate  |  |              | 5.75 |   |              |  | 10/30/2020 |                     |  |   | 30,000            |  |  |               | 29,415 |  |                         |   | 30,276 |  |  |  | 5.30 |  
|Jackson Hewitt Inc.(2)(3) (4) (13)                                    |  | Retail                                    |  |              | 8.00 |   |              |  | 7/30/2020  |                     |  |   | 14,800            |  |  |               | 14,526 |  |                         |   | 14,600 |  |  |  | 2.55 |  
|Language Line, LLC (2)(3) (4) (13)                                    |  | Telecommunications                        |  |              | 6.50 |   |              |  | 7/7/2021   |                     |  |   | 23,896            |  |  |               | 23,675 |  |                         |   | 23,697 |  |  |  | 4.14 |  
|Ministry Brands, LLC (2)(3) (5) (10) (18)                             |  | High Tech Industries                      |  |              | 8.00 |   |              |  | 11/20/2021 |                     |  |   | 936               |  |  |               | 926    |  |                         |   | 901    |  |  |  | 0.16 |  
|Ministry Brands, LLC (2)(3) (5) (12) (19)                             |  | High Tech Industries                      |  |              | 8.00 |   |              |  | 11/20/2021 |                     |  |   | 17,471            |  |  |               | 17,190 |  |                         |   | 17,371 |  |  |  | 3.04 |  
|MSX International, Inc. (2) (3) (4)
(13)                              |  | Automotive                                |  |              | 6.00 |   |              |  | 8/21/2020  |                     |  |   | 9,499             |  |  |               | 9,424  |  |                         |   | 9,218  |  |  |  | 1.61 |  
|National Technical Systems, Inc.(2)(3) (4) (5) (13) (14)              |  | Aerospace & Defense                       |  |              | 7.00 |   |              |  | 6/12/2021  |                     |  |   | 25,935            |  |  |               | 25,609 |  |                         |   | 24,919 |  |  |  | 4.36 |  
|NES Global Talent Finance US LLC (United Kingdom)
(2)(3) (4) (8) (13) |  | Energy: Oil & Gas                         |  |              | 6.50 |   |              |  | 10/3/2019  |                     |  |   | 11,875            |  |  |               | 11,715 |  |                         |   | 11,327 |  |  |  | 1.98 |  
|Paradigm Acquisition Corp. (2)(3)(5) (13)                             |  | Business Services                         |  |              | 6.00 |   |              |  | 6/2/2022   |                     |  |   | 23,482            |  |  |               | 23,154 |  |                         |   | 22,984 |  |  |  | 4.02 |  



The accompanying
notes are an integral part of these consolidated financial statements.



15



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2015

(dollar amounts in
thousands)



|                                                                        |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |        |  
|----------------------------------------------------------------------- |  | ----------------------------------------- |  | ------------ | ---- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | ------- |  | ----------------------- | - | ------- |  |  |  | ------ | -
|Investmentsnon-controlled/non-affiliated (1)                           |  | Industry                                  |  | InterestRate |      |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (6) |  |  | FairValue (7) |         |  | Percentage ofNet Assets |  
|First Lien Debt (75.53%) (continued)                                    |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |        |  
|Pelican Products, Inc. (2)(3) (4) (13)                                  |  | Containers, Packaging & Glass             |  |              | 5.25 | % |              |  | 4/11/2020  |                     |  | $ | 7,817             |  |  | $             | 7,832   |  |                         | $ | 7,444   |  |  |  | 1.30   | %
|Plano Molding Company, LLC (2)(3) (5) (13)                              |  | Hotel, Gaming & Leisure                   |  |              | 7.00 |   |              |  | 5/12/2021  |                     |  |   | 22,487            |  |  |               | 22,294  |  |                         |   | 21,779  |  |  |  | 3.81   |  
|Product Quest Manufacturing, LLC (2)(3) (4) (5) (12)                    |  | Containers, Packaging & Glass             |  |              | 6.75 |   |              |  | 9/9/2020   |                     |  |   | 28,000            |  |  |               | 27,477  |  |                         |   | 27,810  |  |  |  | 4.86   |  
|Prowler Acquisition Corp. (Pipeline Supply and Service, LLC) (2)(3) (4) |  | Wholesale                                 |  |              | 5.50 |   |              |  | 1/28/2020  |                     |  |   | 10,911            |  |  |               | 10,836  |  |                         |   | 9,736   |  |  |  | 1.70   |  
|PSC Industrial Holdings Corp (2)(3)(4) (13)                             |  | Environmental Industries                  |  |              | 5.75 |   |              |  | 12/5/2020  |                     |  |   | 11,880            |  |  |               | 11,782  |  |                         |   | 11,622  |  |  |  | 2.03   |  
|PSI Services LLC (2)(3)(4) (5) (12)                                     |  | Business Services                         |  |              | 8.00 |   |              |  | 2/27/2021  |                     |  |   | 23,471            |  |  |               | 22,885  |  |                         |   | 23,933  |  |  |  | 4.19   |  
|SolAero Technologies Corp. (2)(3) (4)                                   |  | Telecommunications                        |  |              | 5.75 |   |              |  | 12/10/2020 |                     |  |   | 10,827            |  |  |               | 10,744  |  |                         |   | 10,511  |  |  |  | 1.84   |  
|SolAero Technologies Corp. (2)(3) (13)                                  |  | Telecommunications                        |  |              | 6.25 |   |              |  | 12/10/2020 |                     |  |   | 9,104             |  |  |               | 9,023   |  |                         |   | 8,887   |  |  |  | 1.55   |  
|Synarc-Biocore Holdings, LLC (2)(3) (4) (13)                            |  | Healthcare & Pharmaceuticals              |  |              | 5.50 |   |              |  | 3/10/2021  |                     |  |   | 13,264            |  |  |               | 13,162  |  |                         |   | 12,599  |  |  |  | 2.20   |  
|Systems Maintenance Services Holding, Inc.
(2)(3)(13)                   |  | High Tech Industries                      |  |              | 5.00 |   |              |  | 10/18/2019 |                     |  |   | 2,193             |  |  |               | 2,187   |  |                         |   | 2,155   |  |  |  | 0.38   |  
|TASC, Inc. (2) (3) (4) (8) (13)                                         |  | Aerospace & Defense                       |  |              | 7.00 |   |              |  | 5/23/2020  |                     |  |   | 18,351            |  |  |               | 17,713  |  |                         |   | 17,916  |  |  |  | 3.13   |  
|Teaching Strategies, LLC (2) (3) (4)
(13)                               |  | Media: Advertising, Printing & Publishing |  |              | 6.00 |   |              |  | 10/1/2019  |                     |  |   | 13,953            |  |  |               | 13,904  |  |                         |   | 13,844  |  |  |  | 2.42   |  
|The Hilb Group, LLC (2)(3) (5) (12) (13) (15)                           |  | Banking, Finance, Insurance & Real Estate |  |              | 6.75 |   |              |  | 6/24/2021  |                     |  |   | 23,458            |  |  |               | 22,850  |  |                         |   | 23,555  |  |  |  | 4.12   |  
|The Hygenic Corporation (Performance Health)
(2)(3) (4) (13)            |  | Non-durable Consumer Goods                |  |              | 6.00 |   |              |  | 10/11/2020 |                     |  |   | 15,920            |  |  |               | 15,721  |  |                         |   | 15,368  |  |  |  | 2.69   |  
|The SI Organization, Inc. (2)(3) (4) (13)                               |  | Aerospace & Defense                       |  |              | 5.75 |   |              |  | 11/23/2019 |                     |  |   | 8,778             |  |  |               | 8,716   |  |                         |   | 8,724   |  |  |  | 1.53   |  
|The Topps Company, Inc. (2)(3) (4) (13)                                 |  | Non-durable Consumer Goods                |  |              | 7.25 |   |              |  | 10/2/2018  |                     |  |   | 11,395            |  |  |               | 11,326  |  |                         |   | 11,395  |  |  |  | 1.99   |  
|TruckPro, LLC (2)(3) (4) (13)                                           |  | Automotive                                |  |              | 6.00 |   |              |  | 8/6/2018   |                     |  |   | 9,683             |  |  |               | 9,648   |  |                         |   | 9,546   |  |  |  | 1.67   |  
|TwentyEighty, Inc. (fka Miller Heiman, Inc.)
(2)(3) (4) (13)            |  | Business Services                         |  |              | 6.75 |   |              |  | 9/30/2019  |                     |  |   | 19,094            |  |  |               | 18,901  |  |                         |   | 16,904  |  |  |  | 2.96   |  
|U.S. Farathane, LLC (2)(3) (4) (13)                                     |  | Automotive                                |  |              | 6.75 |   |              |  | 12/23/2021 |                     |  |   | 15,818            |  |  |               | 15,535  |  |                         |   | 15,586  |  |  |  | 2.73   |  
|Vetcor Professional Practices, LLC (2)(3) (4) (5) (13) (16)             |  | Consumer Services                         |  |              | 7.00 |   |              |  | 4/20/2021  |                     |  |   | 11,085            |  |  |               | 10,983  |  |                         |   | 11,034  |  |  |  | 1.93   |  
|Violin Finco S.A.R.L. (Alexander Mann Solutions)                        |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |        |  
|(United Kingdom) (2)(3)(4)(8) (13)                                      |  | Business Services                         |  |              | 5.75 |   |              |  | 12/20/2019 |                     |  |   | 11,252            |  |  |               | 11,176  |  |                         |   | 11,241  |  |  |  | 1.97   |  
|Vistage Worldwide, Inc. (2)(3) (4) (13)                                 |  | Business Services                         |  |              | 6.50 |   |              |  | 8/19/2021  |                     |  |   | 29,813            |  |  |               | 29,529  |  |                         |   | 29,505  |  |  |  | 5.16   |  
|Vitera Healthcare Solutions, LLC (2)(3) (4) (13)                        |  | Healthcare & Pharmaceuticals              |  |              | 6.00 |   |              |  | 11/4/2020  |                     |  |   | 9,437             |  |  |               | 9,369   |  |                         |   | 9,107   |  |  |  | 1.59   |  
|Zest Holdings, LLC (2)(3) (4)(13)                                       |  | Durable Consumer Goods                    |  |              | 5.00 |   |              |  | 8/16/2020  |                     |  |   | 9,694             |  |  |               | 9,694   |  |                         |   | 9,597   |  |  |  | 1.69   |  
|                                                                        |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |        |  
|First Lien Debt Total                                                   |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  | $             | 800,857 |  |                         | $ | 795,034 |  |  |  | 139.06 | %
|                                                                        |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |        |  



The accompanying notes are an integral part of these consolidated financial statements.



16



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2015

(dollar amounts in
thousands)



|                                                                        |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |       |  
|----------------------------------------------------------------------- |  | ----------------------------------------- |  | ------------ | ----- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | ------- |  | ----------------------- | - | ------- |  |  |  | ----- | -
|Investmentsnon-controlled/non-affiliated (1)                           |  | Industry                                  |  | InterestRate |       |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (6) |  |  | FairValue (7) |         |  | Percentage ofNet Assets |  
|Second Lien Debt (19.98%)                                               |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |       |  
|AF Borrower LLC (Accuvant) (2)(3) (5)                                   |  | High Tech Industries                      |  |              | 10.00 | % |              |  | 1/30/2023  |                     |  | $ | 8,000             |  |  | $             | 7,927   |  |                         | $ | 7,666   |  |  |  | 1.34  | %
|Allied Security Holdings LLC (2)(3) (5) (13)                            |  | Business Services                         |  |              | 8.00  |   |              |  | 8/13/2021  |                     |  |   | 8,000             |  |  |               | 7,948   |  |                         |   | 7,460   |  |  |  | 1.30  |  
|AmeriLife Group, LLC (2)(3) (5)                                         |  | Banking, Finance, Insurance &Real Estate  |  |              | 9.75  |   |              |  | 1/10/2023  |                     |  |   | 20,000            |  |  |               | 19,619  |  |                         |   | 19,598  |  |  |  | 3.44  |  
|Argon Medical Devices, Inc.(2)(3) (4) (5)                               |  | Healthcare & Pharmaceuticals              |  |              | 12.00 |   |              |  | 6/23/2022  |                     |  |   | 24,000            |  |  |               | 23,294  |  |                         |   | 23,354  |  |  |  | 4.09  |  
|Berlin Packaging L.L.C. (2)(3) (5) (13)                                 |  | Containers, Packaging & Glass             |  |              | 7.75  |   |              |  | 10/1/2022  |                     |  |   | 9,200             |  |  |               | 9,139   |  |                         |   | 8,694   |  |  |  | 1.52  |  
|Charter NEX US Holdings, Inc. (2)(3) (5) (13)                           |  | Chemicals, Plastics & Rubber              |  |              | 9.25  |   |              |  | 2/5/2023   |                     |  |   | 10,000            |  |  |               | 9,864   |  |                         |   | 9,459   |  |  |  | 1.65  |  
|Confie Seguros Holding II Co.(2)(3) (5)                                 |  | Banking, Finance, Insurance &Real Estate  |  |              | 10.25 |   |              |  | 5/8/2019   |                     |  |   | 12,000            |  |  |               | 11,896  |  |                         |   | 11,820  |  |  |  | 2.07  |  
|Creganna Finance (US) LLC (Ireland) (2)(3) (5) (8)                      |  | Healthcare & Pharmaceuticals              |  |              | 9.00  |   |              |  | 6/1/2022   |                     |  |   | 9,900             |  |  |               | 9,814   |  |                         |   | 9,740   |  |  |  | 1.70  |  
|DiversiTech Corporation (2)(3) (5) (13)                                 |  | Capital Equipment                         |  |              | 9.00  |   |              |  | 11/19/2022 |                     |  |   | 8,400             |  |  |               | 8,294   |  |                         |   | 8,131   |  |  |  | 1.42  |  
|Drew Marine Group Inc. (2)(3) 4) (5)                                    |  | Chemicals, Plastics & Rubber              |  |              | 8.00  |   |              |  | 5/19/2021  |                     |  |   | 12,500            |  |  |               | 12,478  |  |                         |   | 11,743  |  |  |  | 2.05  |  
|Genex Holdings, Inc. (2)(3) (5)                                         |  | Banking, Finance, Insurance &Real Estate  |  |              | 8.75  |   |              |  | 5/30/2022  |                     |  |   | 7,990             |  |  |               | 7,906   |  |                         |   | 7,390   |  |  |  | 1.29  |  
|Genoa, a QoL Healthcare Company, LLC (2)(3) (5) (13)                    |  | Retail                                    |  |              | 8.75  |   |              |  | 4/28/2023  |                     |  |   | 9,900             |  |  |               | 9,807   |  |                         |   | 9,523   |  |  |  | 1.67  |  
|Institutional Shareholder Services Inc. (2)(3) (5) (13)                 |  | Banking, Finance, Insurance &Real Estate  |  |              | 8.50  |   |              |  | 4/30/2022  |                     |  |   | 12,500            |  |  |               | 12,397  |  |                         |   | 12,014  |  |  |  | 2.10  |  
|Jazz Acquisition, Inc. (Wencor) (2)(3) (5) (13)                         |  | Aerospace & Defense                       |  |              | 7.75  |   |              |  | 6/19/2022  |                     |  |   | 6,700             |  |  |               | 6,674   |  |                         |   | 5,759   |  |  |  | 1.01  |  
|Landslide Holdings, Inc. (LANDesk Software)
(2)(3) (13)                 |  | Software                                  |  |              | 8.25  |   |              |  | 2/25/2021  |                     |  |   | 3,500             |  |  |               | 3,480   |  |                         |   | 3,113   |  |  |  | 0.54  |  
|MRI Software, LLC(2)(3) (5)                                             |  | Software                                  |  |              | 9.00  |   |              |  | 6/23/2022  |                     |  |   | 11,250            |  |  |               | 11,093  |  |                         |   | 10,890  |  |  |  | 1.91  |  
|Phillips-Medisize Corporation (2)(3) (5) (13)                           |  | Chemicals, Plastics & Rubber              |  |              | 8.25  |   |              |  | 6/16/2022  |                     |  |   | 5,000             |  |  |               | 4,958   |  |                         |   | 4,700   |  |  |  | 0.82  |  
|Power Stop, LLC (5) (17)                                                |  | Automotive                                |  |              | 11.00 |   |              |  | 5/29/2022  |                     |  |   | 10,000            |  |  |               | 9,811   |  |                         |   | 10,080  |  |  |  | 1.76  |  
|Prime Security Services Borrower, LLC (Protection One, Inc.)(2)(3) (5)  |  | Consumer Services                         |  |              | 9.75  |   |              |  | 7/1/2022   |                     |  |   | 6,700             |  |  |               | 6,607   |  |                         |   | 6,271   |  |  |  | 1.10  |  
|Prowler Acquisition Corp. (Pipeline Supply and Service, LLC) (2)(3) (5) |  | Wholesale                                 |  |              | 9.50  |   |              |  | 7/28/2020  |                     |  |   | 3,000             |  |  |               | 2,953   |  |                         |   | 2,493   |  |  |  | 0.44  |  
|Systems Maintenance Services Holding,
Inc. (2)(3) (4)                   |  | High Tech Industries                      |  |              | 9.25  |   |              |  | 10/18/2020 |                     |  |   | 6,000             |  |  |               | 5,959   |  |                         |   | 5,860   |  |  |  | 1.02  |  
|TASC, Inc.(5) (8)                                                       |  | Aerospace & Defense                       |  |              | 12.00 |   |              |  | 5/21/2021  |                     |  |   | 6,000             |  |  |               | 5,891   |  |                         |   | 6,075   |  |  |  | 1.06  |  
|Vitera Healthcare Solutions, LLC (2)(3) (4) (13)                        |  | Healthcare & Pharmaceuticals              |  |              | 9.25  |   |              |  | 11/4/2021  |                     |  |   | 2,000             |  |  |               | 1,976   |  |                         |   | 1,784   |  |  |  | 0.31  |  
|Watchfire Enterprises, Inc. (2)(3) (5) (13)                             |  | Media: Advertising, Printing & Publishing |  |              | 9.00  |   |              |  | 10/2/2021  |                     |  |   | 7,000             |  |  |               | 6,923   |  |                         |   | 6,779   |  |  |  | 1.19  |  
|                                                                        |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |       |  
|Second Lien Debt Total                                                  |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  | $             | 216,708 |  |                         | $ | 210,396 |  |  |  | 36.80 | %
|                                                                        |  |                                           |  |              |       |   |              |  |            |                     |  |   |                   |  |  |               |         |  |                         |   |         |  |  |  |       |  



The accompanying notes are an integral
part of these consolidated financial statements.



17



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2015

(dollar amounts in
thousands)



|                                                    |  |                    |  |              |            |  |                     |   |        |                   |  |   |               |  |  |                         |        |   |  |  |      |  
|--------------------------------------------------- |  | ------------------ |  | ------------ | ---------- |  | ------------------- | - | ------ | ----------------- |  | - | ------------- |  |  | ----------------------- | ------ | - |  |  | ---- | -
|Investmentsnon-controlled/non-affiliated (1)       |  | Industry           |  | MaturityDate |            |  | Par/PrincipalAmount |   |        | AmortizedCost (6) |  |   | FairValue (7) |  |  | Percentage ofNet Assets |       
|Structured Finance Obligations (4.26%) (5) (8)
(11) |  |                    |  |              |            |  |                     |   |        |                   |  |   |               |  |  |                         |        |   |  |  |      |  
|1776 CLO I, Ltd., Subordinated Notes                |  | Structured Finance |  |              | 5/8/2020   |  |                     | $ | 11,750 |                   |  | $ | 8,079         |  |  | $                       | 3,347  |   |  |  | 0.59 | %
|AIMCO CLO, Series 2014-A, Class F, 5.47%
(2)        |  | Structured Finance |  |              | 7/20/2026  |  |                     |   | 2,700  |                   |  |   | 2,369         |  |  |                         | 1,701  |   |  |  | 0.30 |  
|AIMCO CLO, Series 2014-A, Subordinated Notes        |  | Structured Finance |  |              | 7/20/2026  |  |                     |   | 11,500 |                   |  |   | 8,369         |  |  |                         | 5,779  |   |  |  | 1.00 |  
|Ares XXVIII CLO Ltd., Subordinated Notes            |  | Structured Finance |  |              | 10/17/2024 |  |                     |   | 7,000  |                   |  |   | 4,416         |  |  |                         | 3,255  |   |  |  | 0.57 |  
|Babson CLO Ltd. 2005-I, Subordinated Notes          |  | Structured Finance |  |              | 4/15/2019  |  |                     |   | 7,632  |                   |  |   | 333           |  |  |                         | 86     |   |  |  | 0.02 |  
|CIFC Funding 2007-III, Ltd., Income Notes           |  | Structured Finance |  |              | 7/26/2021  |  |                     |   | 6,500  |                   |  |   | 2,902         |  |  |                         | 2,453  |   |  |  | 0.43 |  
|Clydesdale CLO 2005, Ltd., Subordinated Notes       |  | Structured Finance |  |              | 12/6/2017  |  |                     |   | 5,750  |                   |  |   |              |  |  |                         | 11     |   |  |  | 0.00 |  
|Flagship VII Limited, Subordinated Notes            |  | Structured Finance |  |              | 1/20/2026  |  |                     |   | 7,000  |                   |  |   | 4,781         |  |  |                         | 3,184  |   |  |  | 0.56 |  
|ING IM CLO 2012-1 LLC, Preferred Shares             |  | Structured Finance |  |              | 3/14/2022  |  |                     |   | 7,610  |                   |  |   | 4,637         |  |  |                         | 3,789  |   |  |  | 0.66 |  
|ING IM CLO 2012- 1 LLC, Subordinated Notes          |  | Structured Finance |  |              | 3/14/2022  |  |                     |   | 2,500  |                   |  |   | 1,523         |  |  |                         | 1,245  |   |  |  | 0.22 |  
|MSIM Peconic Bay, Ltd., Subordinated Notes          |  | Structured Finance |  |              | 7/20/2019  |  |                     |   | 4,500  |                   |  |   | 1,112         |  |  |                         | 923    |   |  |  | 0.16 |  
|Nautique Funding Ltd., Income Notes                 |  | Structured Finance |  |              | 4/15/2020  |  |                     |   | 5,000  |                   |  |   | 2,760         |  |  |                         | 2,275  |   |  |  | 0.40 |  
|Steele Creek CLO 2014-I, LLC, Subordinated Notes    |  | Structured Finance |  |              | 8/21/2026  |  |                     |   | 18,000 |                   |  |   | 13,453        |  |  |                         | 12,241 |   |  |  | 2.14 |  
|Venture VI CDO Limited, Preference Shares           |  | Structured Finance |  |              | 8/3/2020   |  |                     |   | 7,000  |                   |  |   | 3,488         |  |  |                         | 3,203  |   |  |  | 0.56 |  
|Westwood CDO I, Ltd., Subordinated Notes            |  | Structured Finance |  |              | 3/25/2021  |  |                     |   | 4,000  |                   |  |   | 1,718         |  |  |                         | 1,320  |   |  |  | 0.23 |  
|                                                    |  |                    |  |              |            |  |                     |   |        |                   |  |   |               |  |  |                         |        |   |  |  |      |  
|Structured Finance Obligations Total                |  |                    |  |              |            |  |                     | $ | 59,940 |                   |  | $ | 44,812        |  |  |                         | 7.84   | %
|                                                    |  |                    |  |              |            |  |                     |   |        |                   |  |   |               |  |  |                         |        |   |  |  |      |  



|                                                |  |          |                                          |  |       |  |           |      |  |   |               |  |  |                         |           |  |  |  |        |  
|----------------------------------------------- |  | -------- | ---------------------------------------- |  | ----- |  | --------- | ---- |  | - | ------------- |  |  | ----------------------- | --------- |  |  |  | ------ | -
|Investmentsnon-controlled/non-affiliated (1)   |  | Industry |                                          |  | Units |  |           | Cost |  |   | FairValue (7) |  |  | Percentage ofNet Assets |          
|Equity Investments (0.23%) (5)                  |  |          |                                          |  |       |  |           |      |  |   |               |  |  |                         |           |  |  |  |        |  
|Power Stop Intermediate Holdings, LLC           |  |          | Automotive                               |  |       |  | 7,150     |      |  | $ | 715           |  |  | $                       | 788       |  |  |  | 0.14   | %
|THG Acquisition, LLC (The Hilb Group, LLC)      |  |          | Banking, Finance, Insurance &Real Estate |  |       |  | 1,500,000 |      |  |   | 1,500         |  |  |                         | 1,636     |  |  |  | 0.28   |  
|                                                |  |          |                                          |  |       |  |           |      |  |   |               |  |  |                         |           |  |  |  |        |  
|Equity Investments Total                        |  |          |                                          |  |       |  |           |      |  | $ | 2,215         |  |  | $                       | 2,424     |  |  |  | 0.42   | %
|                                                |  |          |                                          |  |       |  |           |      |  |   |               |  |  |                         |           |  |  |  |        |  
|Total Investmentsnon-controlled/non-affiliated |  |          |                                          |  |       |  |           |      |  | $ | 1,079,720     |  |  | $                       | 1,052,666 |  |  |  | 184.12 | %



|(1) | Unless otherwise indicated, issuers of debt and equity investments held by GMS Finance are domiciled in the United States and issuers of structured finance obligations are domiciled in the Cayman Islands. Under the
Investment Company Act, the Company would be deemed to control a portfolio company if the Company owned more than 25% of its outstanding voting securities and/or held the power to exercise control over the management or policies of the
portfolio company. As of December 31, 2015, the Company does not control any of these portfolio companies. Under the Investment Company Act, the Company would be deemed an affiliated person of a portfolio company if the
Company owns 5% or more of the portfolio companys outstanding voting securities. As of December 31, 2015, the Company is not an affiliated person of any of these portfolio companies.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The accompanying notes are an integral part of these consolidated
financial statements.



18



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2015

(dollar amounts in
thousands)



|(2) | Variable rate loans to the portfolio companies and variable rate notes of structured finance obligations bear interest at a rate that may be determined by reference to either LIBOR or an alternate base rate (commonly
based on the Federal Funds Rate or the Prime Rate), which generally resets quarterly. For each such loan and note, the Company has provided the interest rate in effect as of December 31, 2015.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Loan includes interest rate floor feature.
|--- | ------------------------------------------

|(4) | Denotes that all or a portion of the assets are owned by the Borrower Sub. The Borrower Sub has entered into the Revolving Credit Facility. The lenders of the Revolving Credit Facility have a first lien security
interest in substantially all of the assets of the Borrower Sub (see Note 6, Borrowings). Accordingly, such assets are not available to creditors of the Company or the 2015-1 Issuer.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(5) | Denotes that all or a portion of the assets are owned by the Company. The Company has entered into the Facility. The lenders of the Facility have a first lien security interest in substantially all of the portfolio
investments held by the Company (see Note 6, Borrowings). Accordingly, such assets are not available to creditors of the Borrower Sub or the 2015-1 Issuer.
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(6) | Amortized cost represents original cost, including origination fees, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method. Equity tranche
CLO fund investments, which are referred to as structured finance obligations, are recorded at amortized cost using the effective interest method.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(7) | Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (see Note 2, Significant Accounting Policies, and Note 3, Fair Value Measurements), pursuant to the
Companys valuation policy.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(8) | The Company has determined the indicated investments are non-qualifying assets under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying
assets unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Companys total assets.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(9) | Captive Resources Midco, LLC has an undrawn delayed draw term loan of $3,125 par value at LIBOR + 5.75%, 1.00% floor, and an undrawn revolver of $1,875 par value at LIBOR + 5.75%, 1.00% floor. An unused rate of 1.25%
and 0.50% is charged on the delayed draw term loan and revolver principal, respectively, while undrawn.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(10) | The Company receives less than the stated interest rate of this loan as a result of an agreement among lenders. Pursuant to the agreement among lenders in respect of this loan, this investment represents a first
lien/first out loan, which has first priority ahead of the first lien/last out loan with respect to principal, interest and other payments.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(11) | As of December 31, 2015, the Company has a greater than 25% but less than 50% equity or subordinated notes ownership interest in certain structured finance obligations. These investments have governing documents
that preclude the Company from controlling management of the entity and therefore the Company has determined that the issuer of the investment is not a controlled affiliate or a non-controlled affiliate because the investments are not voting
securities.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(12) | In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company is entitled to receive additional interest as a result of an agreement among
lenders. Pursuant to the agreement among lenders in respect of this loan, this investment represents a first lien/last out loan, which has a secondary priority behind the first lien/first out loan with respect to principal, interest and other
payments.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(13) | Denotes that all or a portion of the assets are owned by the 2015-1 Issuer and secure the notes issued in connection with a $400 million term debt securitization completed by the Company on June 26, 2015 (see Note 7,
2015-1 Notes). Accordingly, such assets are not available to the creditors of the Borrower Sub or the Company.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(14) | National Technical Systems, Inc. has an undrawn delayed draw term loan of $4,469 par value at LIBOR + 6.00%, 1.00% floor, and an undrawn revolver of $2,031 par value at LIBOR + 6.00%, 1.00% floor. An unused rate of
1.00% and 0.50% is charged on the delayed draw term loan and revolver principal, respectively, while undrawn.
|---- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(15) | The Hilb Group, LLC has an undrawn delayed draw term loan of $10,034 par value at LIBOR + 5.75%, 1.00% floor. An unused rate of 1.00% is charged on the principal while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(16) | Vetcor Professional Practices LLC has an undrawn delayed draw term loan of $1,473 par value at LIBOR + 6.00%, 1.00% floor. An unused rate of 1.00% is charged on the principal while undrawn.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(17) | Represents a corporate mezzanine loan, which is subordinated to senior secured term loans of the portfolio company.
|---- | -------------------------------------------------------------------------------------------------------------------

|(18) | Ministry Brands, LLC has an undrawn first out delayed draw term loan of $64 par value at LIBOR + 7.00%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan principal while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(19) | Ministry Brands, LLC has an undrawn last out delayed draw term loan of $1,530 par value at LIBOR + 7.00%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan principal while undrawn.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



The accompanying notes are an integral part of these
consolidated financial statements.



19



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2015

(dollar amounts in
thousands)



As of December 31, 2015, investments at fair value consisted of the following:



|                               |  |               |           |  |            |   |           |                |  |  |        |  
|------------------------------ |  | ------------- | --------- |  | ---------- | - | --------- | -------------- |  |  | ------ | -
|Type                           |  | AmortizedCost |           |  | Fair Value |   |           | % of FairValue | 
|First Lien Debt                |  | $             | 800,857   |  |            | $ | 795,034   |                |  |  | 75.53  | %
|Second Lien Debt               |  |               | 216,708   |  |            |   | 210,396   |                |  |  | 19.98  |  
|Structured Finance Obligations |  |               | 59,940    |  |            |   | 44,812    |                |  |  | 4.26   |  
|Equity Investments             |  |               | 2,215     |  |            |   | 2,424     |                |  |  | 0.23   |  
|                               |  |               |           |  |            |   |           |                |  |  |        |  
|Total                          |  | $             | 1,079,720 |  |            | $ | 1,052,666 |                |  |  | 100.00 | %
|                               |  |               |           |  |            |   |           |                |  |  |        |  

The industrial composition of investments at fair value as of December 31, 2015 was as follows:



|                                          |  |               |           |  |            |   |           |                |  |  |        |  
|----------------------------------------- |  | ------------- | --------- |  | ---------- | - | --------- | -------------- |  |  | ------ | -
|Industry                                  |  | AmortizedCost |           |  | Fair Value |   |           | % of FairValue | 
|Aerospace & Defense                       |  | $             | 64,603    |  |            | $ | 63,393    |                |  |  | 6.02   | %
|Automotive                                |  |               | 52,908    |  |            |   | 52,809    |                |  |  | 5.02   |  
|Banking, Finance, Insurance & Real Estate |  |               | 138,700   |  |            |   | 139,353   |                |  |  | 13.24  |  
|Business Services                         |  |               | 131,981   |  |            |   | 130,318   |                |  |  | 12.38  |  
|Capital Equipment                         |  |               | 18,335    |  |            |   | 17,993    |                |  |  | 1.71   |  
|Chemicals, Plastics & Rubber              |  |               | 27,300    |  |            |   | 25,902    |                |  |  | 2.46   |  
|Construction & Building                   |  |               | 19,947    |  |            |   | 19,958    |                |  |  | 1.90   |  
|Consumer Services                         |  |               | 51,783    |  |            |   | 50,764    |                |  |  | 4.82   |  
|Containers, Packaging & Glass             |  |               | 55,846    |  |            |   | 55,128    |                |  |  | 5.24   |  
|Durable Consumer Goods                    |  |               | 20,648    |  |            |   | 20,482    |                |  |  | 1.94   |  
|Energy: Electricity                       |  |               | 36,630    |  |            |   | 36,907    |                |  |  | 3.51   |  
|Energy: Oil & Gas                         |  |               | 11,715    |  |            |   | 11,327    |                |  |  | 1.08   |  
|Environmental Industries                  |  |               | 11,782    |  |            |   | 11,622    |                |  |  | 1.10   |  
|Healthcare & Pharmaceuticals              |  |               | 65,037    |  |            |   | 64,140    |                |  |  | 6.09   |  
|High Tech Industries                      |  |               | 50,244    |  |            |   | 49,782    |                |  |  | 4.73   |  
|Hotel, Gaming & Leisure                   |  |               | 32,101    |  |            |   | 31,314    |                |  |  | 2.97   |  
|Media: Advertising, Printing & Publishing |  |               | 20,827    |  |            |   | 20,623    |                |  |  | 1.96   |  
|Metals & Mining                           |  |               | 10,329    |  |            |   | 10,168    |                |  |  | 0.97   |  
|Non-durable Consumer Goods                |  |               | 41,220    |  |            |   | 40,581    |                |  |  | 3.85   |  
|Retail                                    |  |               | 24,333    |  |            |   | 24,123    |                |  |  | 2.29   |  
|Software                                  |  |               | 14,573    |  |            |   | 14,003    |                |  |  | 1.33   |  
|Structured Finance                        |  |               | 59,940    |  |            |   | 44,812    |                |  |  | 4.26   |  
|Telecommunications                        |  |               | 70,565    |  |            |   | 70,736    |                |  |  | 6.72   |  
|Transportation: Cargo                     |  |               | 19,582    |  |            |   | 19,134    |                |  |  | 1.82   |  
|Transportation: Consumer                  |  |               | 9,110     |  |            |   | 9,361     |                |  |  | 0.89   |  
|Utilities: Electric                       |  |               | 5,892     |  |            |   | 5,704     |                |  |  | 0.54   |  
|Wholesale                                 |  |               | 13,789    |  |            |   | 12,229    |                |  |  | 1.16   |  
|                                          |  |               |           |  |            |   |           |                |  |  |        |  
|Total                                     |  | $             | 1,079,720 |  |            | $ | 1,052,666 |                |  |  | 100.00 | %
|                                          |  |               |           |  |            |   |           |                |  |  |        |  



The accompanying notes are an integral
part of these consolidated financial statements.



20



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2015

(dollar amounts in
thousands)



The geographical composition of investments at fair value as of December 31, 2015 was as
follows:



|               |  |               |           |  |            |   |           |                |  |  |        |  
|-------------- |  | ------------- | --------- |  | ---------- | - | --------- | -------------- |  |  | ------ | -
|Geography      |  | AmortizedCost |           |  | Fair Value |   |           | % of FairValue | 
|Cayman Islands |  | $             | 59,940    |  |            | $ | 44,812    |                |  |  | 4.26   | %
|Ireland        |  |               | 9,814     |  |            |   | 9,740     |                |  |  | 0.93   |  
|United Kingdom |  |               | 22,891    |  |            |   | 22,568    |                |  |  | 2.14   |  
|United States  |  |               | 987,075   |  |            |   | 975,546   |                |  |  | 92.67  |  
|               |  |               |           |  |            |   |           |                |  |  |        |  
|Total          |  | $             | 1,079,720 |  |            | $ | 1,052,666 |                |  |  | 100.00 | %
|               |  |               |           |  |            |   |           |                |  |  |        |  



The accompanying notes are an integral
part of these consolidated financial statements.



21



---

##### Table of Contents

CARLYLE GMS FINANCE, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (unaudited)

As of September 30, 2016

(dollar amounts in thousands,
except per share data)

1. ORGANIZATION

Carlyle GMS Finance, Inc. (GMS Finance or the Company) is a Maryland corporation formed on February 8, 2012, and
structured as an externally managed, non-diversified closed-end investment company. GMS Finance has elected to be regulated as a business development company (BDC) under the Investment Company Act of 1940, as amended (together with the
rules and regulations promulgated thereunder, the Investment Company Act). GMS Finance has elected to be treated, and intends to continue to comply with the requirements to qualify annually, as a regulated investment company
(RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code).

GMS Finances
investment objective is to generate current income and capital appreciation primarily through debt investments in U.S. middle market companies, which the Company defines as companies with approximately $10 million to $100 million of earnings before
interest, taxes, depreciation and amortization (EBITDA). GMS Finance seeks to achieve its investment objective by investing primarily in first lien senior secured loans (which may include stand-alone first lien loans; first lien/last out
loans, which are loans that have a secondary priority behind first lien/first out loans; unitranche loans, which are loans that combine features of first lien, second lien or subordinated loans, generally in a first lien position; and
secured corporate bonds with features similar to the features of these categories of first lien loans) and second lien senior secured loans (which may include senior secured loans, and, to a lesser extent, secured corporate bonds, with a secondary
priority behind first lien loans) (collectively, Middle Market Senior Loans). The Middle Market Senior Loans are generally made to private U.S. middle market companies that are, in many cases, controlled by private equity firms.
Depending on market conditions, GMS Finance expects that between 70% and 80% of the value of its assets will be invested in Middle Market Senior Loans, with the balance invested in higher-yielding investments, which may include middle market junior
loans such as corporate mezzanine loans, equity co-investments, broadly syndicated first lien and second lien senior secured loans, high-yield bonds, structured finance obligations and/or other opportunistic investments. GMS Finance expects that the
composition of its portfolio will change over time given Carlyle GMS Investment Management L.L.C.s (the Investment Adviser) view on, among other things, the economic and credit environment (including with respect to interest rates)
in which the Company is operating.

On May 2, 2013, GMS Finance completed its initial closing of capital commitments (the Initial
Closing) and subsequently commenced substantial investment operations. If GMS Finance has not consummated an initial public offering of its common stock that results in an unaffiliated public float of at least 15% of the aggregate capital
commitments received prior to the date of such initial public offering (a Qualified IPO) by May 2, 2018, then GMS Finance (subject to any necessary stockholder approvals and applicable requirements of the Investment Company Act) will use
its best efforts to wind down and/or liquidate and dissolve.

GMS Finance is an emerging growth company as defined in the
Jumpstart Our Business Startups Act of 2012. GMS Finance will remain an emerging growth company for up to five years following an initial public offering, although if the market value of the common stock that is held by non-affiliates exceeds $700
million as of any June 30 before that time, GMS Finance would cease to be an emerging growth company as of the following December 31.

GMS Finance is externally managed by the Investment Adviser, an investment adviser registered under the Investment Advisers Act of 1940, as
amended. Carlyle GMS Finance Administration L.L.C. (the Administrator) provides the administrative services necessary for GMS Finance to operate. Both the Investment Adviser and the Administrator are wholly-owned subsidiaries of Carlyle
Investment Management L.L.C., a subsidiary of The Carlyle Group L.P. Carlyle refers to The Carlyle Group L.P., its affiliates and its



22



---

##### Table of Contents

consolidated subsidiaries, a global alternative asset manager publicly traded on NASDAQ Global Select Market under the symbol CG. Refer to the sec.gov website for further information
on Carlyle.

Carlyle GMS Finance SPV LLC (the Borrower Sub) is a Delaware limited liability company that was formed on
January 3, 2013. The Borrower Sub invests in first and second lien senior secured loans. The Borrower Sub is a wholly-owned subsidiary of the Company and is consolidated in these consolidated financial statements commencing from the date of its
formation, January 3, 2013.

On June 26, 2015, the Company completed a $400 million term debt securitization (the 2015-1 Debt
Securitization). The notes offered in the 2015-1 Debt Securitization (the 2015-1 Notes) were issued by Carlyle GMS Finance MM CLO 2015-1 LLC (the 2015-1 Issuer), a wholly-owned and consolidated subsidiary of the
Company, and are secured by a diversified portfolio of the 2015-1 Issuer consisting primarily of first and second lien senior secured loans. Refer to Note 7 for details. The 2015-1 Issuer is consolidated in these consolidated financial statements
commencing from the date of its formation, May 8, 2015.

On February 29, 2016, the Company and Credit Partners USA LLC (Credit
Partners) entered into an amended and restated limited liability company agreement (as amended, the Limited Liability Company Agreement) to co-manage Middle Market Credit Fund, LLC (Credit Fund). Credit Fund primarily
invests in first lien loans of middle-market companies. Credit Fund is managed by a six-member board of managers, on which the Company and Credit Partners each have equal representation. The Company and Credit Partners each have 50% economic
ownership of Credit Fund and have commitments to fund, from time to time, capital of up to $400,000 each. Refer to Note 5, Middle Market Credit Fund, LLC, for details.

As a BDC, GMS Finance is required to comply with certain regulatory requirements. As part of these requirements, the Company must not acquire
any assets other than qualifying assets specified in the Investment Company Act unless, at the time the acquisition is made, at least 70% of its total assets are qualifying assets (with certain limited exceptions).

GMS Finance has elected to be treated, and intends to continue to comply with the requirements to qualify annually, as a RIC under the Code,
and operates in a manner so as to qualify for the tax treatment applicable to RICs. To qualify as a RIC, GMS Finance must, among other things, meet certain source-of-income and asset diversification requirements and timely distribute to its
stockholders generally at least 90% of its investment company taxable income, as defined by the Code, for each year. Pursuant to this election, GMS Finance generally does not have to pay corporate level taxes on any income that it distributes to
stockholders, provided that GMS Finance satisfies those requirements.

2. SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

The
consolidated financial statements have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States (US GAAP). The Company is an investment company for the purposes of
accounting and financial reporting in accordance with Accounting Standards Update (ASU) 2013-08, Financial ServicesInvestment Companies (ASU 2013-08): Amendments to the Scope, Measurement and Disclosure
Requirements. The consolidated financial statements include the accounts of GMS Finance and its wholly-owned subsidiaries, the Borrower Sub and the 2015-1 Issuer. All significant intercompany balances and transactions have been eliminated.
US GAAP for an investment company requires investments to be recorded at fair value. The carrying value for all other assets and liabilities approximates their fair value.

The interim financial statements have been prepared in accordance with US GAAP for interim financial information and pursuant to the
requirements for reporting on Form 10-Q and Articles 6 and 10 of Regulation S-X. Accordingly, certain disclosures accompanying the annual consolidated financial statements prepared in



23



---

##### Table of Contents

accordance with US GAAP are omitted. In the opinion of management, all adjustments considered necessary for the fair presentation of consolidated financial statements for the interim period
presented have been included. These adjustments are of a normal, recurring nature. This Form 10-Q should be read in conjunction with the Companys annual report on Form 10-K for the year ended December 31, 2015. The results of operations
for the three month and nine month periods ended September 30, 2016 are not necessarily indicative of the operating results to be expected for the full year.

Use of Estimates

The preparation
of consolidated financial statements in conformity with US GAAP requires management to make assumptions and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses during the reporting period. Managements estimates are based on historical experiences and other factors, including expectations of future events that management
believes to be reasonable under the circumstances. It also requires management to exercise judgment in the process of applying the Companys accounting policies. Assumptions and estimates regarding the valuation of investments and their
resulting impact on base management and incentive fees involve a higher degree of judgment and complexity and these assumptions and estimates may be significant to the consolidated financial statements. Actual results could differ from these
estimates and such differences could be material.

Investments

Investment transactions are recorded on the trade date. 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 using the specific identification method without regard to unrealized appreciation or depreciation previously recognized, and includes investments charged off during the period,
net of recoveries. Net change in unrealized appreciation or depreciation on investments as presented in the accompanying Consolidated Statements of Operations reflects the net change in the fair value of investments, including the reversal of
previously recorded unrealized appreciation or depreciation when gains or losses are realized. See Note 3 for further information about fair value measurements.

Cash and Cash Equivalents

Cash
and cash equivalents consist of demand deposits and highly liquid investments (e.g., money market funds, U.S. treasury notes) with original maturities of three months or less. Cash equivalents are carried at amortized cost, which approximates fair
value. The Companys cash and cash equivalents are held with two large financial institutions and cash held in such financial institutions may, at times, exceed the Federal Deposit Insurance Corporation insured limit.

Revenue Recognition

Interest from Investments
and Realized Gain/Loss on Investments

Interest income is recorded on an accrual basis and includes the accretion of discounts and
amortization of premiums. Discounts from and premiums to par value on debt investments purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method. The amortized cost of debt
investments represents the original cost, including origination fees, adjusted for the accretion of discounts and amortization of premiums, if any. At time of exit, the realized gain or loss on an investment is the difference between the amortized
cost at time of exit and the cash received at exit using the specific identification method.

The Company may have loans in its portfolio
that contain payment-in-kind (PIK) provisions. PIK represents interest that is accrued and recorded as interest income at the contractual rates, increases the loan



24



---

##### Table of Contents

principal on the respective capitalization dates, and is generally due at maturity. As of September 30, 2016 and December 31, 2015 and for the three month and nine month periods ended
September 30, 2016 and 2015, no loans in the portfolio contained PIK provisions.

Interest income from investments in the
equity class of collateralized loan obligation (CLO) funds, which are included in structured finance obligations, is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed
cash flows in accordance with Accounting Standards Codification (ASC) 325-40, Beneficial Interests in Securitized Financials Assets. We monitor the expected cash inflows from our CLO equity investments, including the expected
residual payments and the effective yield is determined and updated at least quarterly. In estimating these cash flows, there are a number of assumptions that are subject to uncertainties, including the amount and timing of principal payments which
are impacted by prepayments, repurchases, defaults, delinquencies and liquidations of or within the CLO funds. These uncertainties are difficult to predict and are subject to future events that could have impacted the Companys estimates if the
information was known at the time. As a result, actual results may differ significantly from these estimates.

Other Income

Other income may include income such as consent, waiver, amendment, and syndication fees associated with the Companys investment
activities as well as any fees for managerial assistance services rendered by the Company to portfolio companies. Such fees are recognized as income when earned or the services are rendered. The Company may receive fees for guaranteeing the
outstanding debt of a portfolio company. Such fees will be amortized into other income over the life of the guarantee. The unamortized amount, if any, is included in other assets in the accompanying Consolidated Statements of Assets and Liabilities.
For the three month and nine month periods ended September 30, 2016, the Company earned $1,909 and $4,578, respectively, in other income. For the three month and nine month periods ended September 30, 2015, the Company earned $196 and $669,
respectively, in other income.

Non-Accrual Income

Loans are generally placed on non-accrual status when principal or interest payments are past due 30 days or more or when there is reasonable
doubt that principal or interest will be collected in full. Accrued and unpaid interest is generally reversed when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to
principal depending upon managements judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest are paid current and, in managements judgment, are likely to remain current.
Management may not place a loan on non-accrual status if the loan has sufficient collateral value and is in the process of collection. As of September 30, 2016 and December 31, 2015 and for the three month and nine month periods ended September
30, 2016 and 2015, no loans in the portfolio were on non-accrual status.

Revolving Credit Facility, Facility and 2015-1 Notes Related Costs,
Expenses and Deferred Financing Costs (See Note 6, Borrowings, and Note 7, 2015-1 Notes)

Interest expense and unused commitment
fees on the Revolving Credit Facility and Facility are recorded on an accrual basis. Unused commitment fees are included in credit facility fees in the accompanying Consolidated Statements of Operations.

The Revolving Credit Facility and Facility are recorded at carrying value, which approximates fair value.

Deferred financing costs include capitalized expenses related to the closing of the Revolving Credit Facility and Facility. Amortization of
deferred financing costs for each credit facility is computed on the straight-line basis over the respective term of each credit facility, except for a portion that was accelerated in connection with the amendment of the Revolving Credit Facility as
described in Note 6. The amortization of such costs is included in credit facility fees in the accompanying Consolidated Statements of Operations.



25



---

##### Table of Contents

Deferred financing costs also include capitalized expenses including structuring and arrangement
fees related to the offering of the 2015-1 Notes. These costs are presented as a direct deduction to the carrying amount of the 2015-1 Notes. Amortization of deferred financing costs for the 2015-1 Notes is computed on the effective yield method
over the term of the 2015-1 Notes. The amortization of such costs is included in interest expense in the accompanying Consolidated Statements of Operations.

The 2015-1 Notes are recorded at carrying value, which approximates fair value.

Organization and Offering Costs

The Company agreed to reimburse the Investment Adviser for initial organization and offering costs incurred on behalf of GMS Finance up to
$1,500. As of September 30, 2016 and December 31, 2015, $1,500 of organization and offering costs had been incurred by GMS Finance and $57 of excess organization and offering costs had been incurred by the Investment Adviser since inception.
The $1,500 of incurred organization and offering costs are allocated to all stockholders based on their respective capital commitment and are re-allocated amongst all stockholders at the time of each capital drawdown subsequent to the Initial
Closing. The Companys organization costs incurred are expensed and the offering costs are charged against equity when incurred.

Income Taxes

For federal income tax purposes, GMS Finance has elected to be treated as a RIC under the Code, and intends to make the required
distributions to its stockholders as specified therein. In order to qualify as a RIC, GMS Finance must meet certain minimum distribution, source-of-income and asset diversification requirements. If such requirements are met, then GMS Finance is
generally required to pay income taxes only on the portion of its taxable income and gains it does not distribute.

The minimum
distribution requirements applicable to RICs require GMS Finance to distribute to its stockholders at least 90% of its investment company taxable income (ICTI), as defined by the Code, each year. Depending on the level of ICTI earned in
a tax year, GMS Finance may choose to carry forward ICTI in excess of current year distributions into the next tax year. Any such carryover ICTI must be distributed before the end of that next tax year through a dividend declared prior to filing the
final tax return related to the year which generated such ICTI.

In addition, based on the excise distribution requirements, GMS Finance
is subject to a 4% nondeductible federal excise tax on undistributed income unless GMS Finance distributes in a timely manner an amount at least equal to the sum of (1) 98% of its ordinary income for each calendar year, (2) 98.2% of
capital gain net income (both long-term and short-term) for the one-year period ending October 31 in that calendar year and (3) any income realized, but not distributed, in the preceding year. For this purpose, however, any ordinary income
or capital gain net income retained by GMS Finance that is subject to corporate income tax is considered to have been distributed. GMS Finance intends to make sufficient distributions each taxable year to satisfy the excise distribution
requirements.

The Company evaluates tax positions taken or expected to be taken in the course of preparing its consolidated financial
statements to determine whether the tax positions are more-likely than not to be sustained by the applicable tax authority. All penalties and interest associated with income taxes, if any, are included in income tax expense.

The Borrower Sub and the 2015-1 Issuer are disregarded entities for tax purposes and are consolidated with the tax return of GMS Finance.

Capital Calls and Dividends and Distributions to Common Stockholders

The Company records the shares issued in connection with capital calls as of the effective date of the capital call. To the extent that the
Company has taxable income available, the Company intends to make quarterly



26



---

##### Table of Contents

distributions to its common stockholders. Dividends and distributions to common stockholders are recorded on the record date. The amount to be distributed is determined by the Board of Directors
each quarter and is generally based upon the taxable earnings estimated by management and available cash. Net realized capital gains, if any, are generally distributed at least annually, although the Company may decide to retain such capital gains
for investment.

The Company has adopted a dividend reinvestment plan that provides for reinvestment of any distributions on behalf of its
stockholders, for those who have elected to participate in the plan. As a result of adopting such a plan, if the Board of Directors authorizes, and GMS Finance declares, a cash dividend or distribution, the stockholders who have elected to
participate in the dividend reinvestment plan would have their cash dividends or distributions automatically reinvested in additional shares of the Companys common stock, rather than receiving cash. Prior to a Qualified IPO, the Company
intends to use primarily newly issued shares of its common stock to implement the plan issued at the net asset value per share most recently determined by the Board of Directors. After a Qualified IPO, the Company intends to use primarily newly
issued shares to implement the plan so long as the market value per share is equal to or greater than the net asset value per share as of the close of business on the relevant payment date for such dividend or distribution. If the market value per
share is less than the net asset value per share as of the close of business on the relevant payment date, the plan administrator would purchase the common stock on behalf of participants in the open market, unless the Company instructs the plan
administrator otherwise.

Functional Currency

The functional currency of the Company is the U.S. Dollar and all transactions were in U.S. Dollars.

Recent Accounting Standards Updates

On April 7, 2015, the Financial Accounting Standards Board issued ASU 2015-3, InterestImputation of Interest (Subtopic 835-30)
Simplifying the Presentation of Debt Issuance Costs (ASU 2015-3). ASU 2015-3 requires debt issuance costs related to a recognized debt liability to be presented in the balance sheet as a direct deduction from the carrying amount of
that debt liability, consistent with debt discounts and premiums. This guidance was effective for the Company on January 1, 2016 and the ASU requires the guidance to be applied on a retrospective basis. The Company adopted this guidance on January
1, 2016 and reclassified $2,356 of debt issuance costs from deferred financing costs to 2015-1 Notes payable in the accompanying Consolidated Statement of Assets and Liabilities as of December 31, 2015.

In May 2015, the Financial Accounting Standards Board issued ASU 2015-7, Fair Value Measurement (Topic 820)Disclosures for
Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent)(ASU 2015-7). ASU 2015-7 provides amended guidance on the disclosures for investments in certain entities that calculate net asset value per
share (or its equivalent). The amendments remove the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The amendments also remove the
requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Rather, those disclosures are limited to investments for which the entity has elected
to measure the fair value using that practical expedient. The guidance is effective for the Company on January 1, 2016. The Company adopted the new accounting guidance on January 1, 2016 and presented the fair value disclosures accordingly.

In August 2015, the Financial Accounting Standards Board issued ASU 2015-15, InterestImputation of Interest (Sub-topic 835-30):
Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements (ASU 2015-15). ASU 2015-03 does not address presentation or subsequent measurement of debt issuance costs related to
line-of-credit arrangements. In accordance with ASU 2015-15, an entity may defer and present debt issuance costs as an asset and subsequently amortize the deferred debt issuance



27



---

##### Table of Contents

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. This guidance was effective for the
Company on January 1, 2016. The Company adopted the new accounting guidance and it did not have a material impact on the Companys consolidated financial statements.

3. FAIR VALUE MEASUREMENTS

The Company
applies fair value accounting in accordance with the terms of Financial Accounting Standards Board ASC Topic 820, Fair Value Measurement(ASC 820). ASC 820 defines fair value as the amount that would be exchanged to sell an asset
or transfer a liability in an orderly transfer between market participants at the measurement date. The Company values securities/instruments traded in active markets on the measurement date by multiplying the closing price of such traded
securities/instruments by the quantity of shares or amount of the instrument held. The Company may also obtain quotes with respect to certain of its investments, such as its securities/instruments traded in active markets and its liquid
securities/instruments that are not traded in active markets, from pricing services, brokers, or counterparties (i.e., consensus pricing). When doing so, the Company determines whether the quote obtained is sufficient according to
US GAAP to determine the fair value of the security. The Company may use the quote obtained or alternative pricing sources may be utilized including valuation techniques typically utilized for illiquid securities/instruments.

Securities/instruments that are illiquid or for which the pricing source does not provide a valuation or methodology or provides a valuation
or methodology that, in the judgment of the Investment Adviser or GMS Finances Board of Directors, does not represent fair value shall each be valued as of the measurement date using all techniques appropriate under the circumstances and for
which sufficient data is available. These valuation techniques may vary by investment and include comparable public market valuations, comparable precedent transaction valuations and/or discounted cash flow analyses. The process generally used to
determine the applicable value is as follows: (i) the value of each portfolio company or investment is initially reviewed by the investment professionals responsible for such portfolio company or investment and, for non-traded investments, a
standardized template designed to approximate fair market value based on observable market inputs, updated credit statistics and unobservable inputs is used to determine a preliminary value, which is also reviewed alongside consensus pricing, where
available; (ii) preliminary valuation conclusions are documented and reviewed by a valuation committee comprised of members of senior management; (iii) the Board of Directors engages a third-party valuation firm to provide positive assurance on
portions of the Middle Market Senior Loans and equity investments portfolio each quarter (such that each non-traded investment other than Credit Fund and the 2015-1 Issuer is reviewed by a third-party valuation firm at least once on a rolling twelve
month basis) including a review of managements preliminary valuation and conclusion on fair value; (iv) the Audit Committee of the Board of Directors (the Audit Committee) reviews the assessments of the Investment Adviser and
the third-party valuation firm and provides the Board of Directors with any recommendations with respect to changes to the fair value of each investment in the portfolio; and (v) the Board of Directors discusses the valuation recommendations of
the Audit Committee and determines the fair value of each investment in the portfolio in good faith based on the input of the Investment Adviser and, where applicable, the third-party valuation firm.

All factors that might materially impact the value of an investment are considered, including, but not limited to the assessment of the
following factors, as relevant:



| |  |  | the nature and realizable value of any collateral;
| | - |  | --------------------------------------------------



| |  |  | call features, put features and other relevant terms of debt;
| | - |  | -------------------------------------------------------------



| |  |  | the portfolio companys leverage and ability to make payments;
| | - |  | --------------------------------------------------------------



| |  |  | the portfolio companys public or private credit rating;
| | - |  | --------------------------------------------------------



| |  |  | the portfolio companys actual and expected earnings and discounted cash flow;
| | - |  | ------------------------------------------------------------------------------



28



---

##### Table of Contents

| |  |  | prevailing interest rates and spreads for similar securities and expected volatility in future interest rates;
| | - |  | --------------------------------------------------------------------------------------------------------------



| |  |  | the markets in which the portfolio company does business and recent economic and/or market events; and
| | - |  | ------------------------------------------------------------------------------------------------------



| |  |  | comparisons to comparable transactions and publicly traded securities.
| | - |  | ----------------------------------------------------------------------

Investment performance
data utilized are the most recently available financial statements and compliance certificates received from the portfolio companies as of the measurement date which in many cases may reflect a lag in information.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value
of the Companys investments may fluctuate from period to period. Because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been reported had a ready market for the
investments existed, and it is reasonably possible that the difference could be material.

In addition, changes in the market environment
and other events that may occur over the life of the investments may cause the realized gains or losses on investments to be different from the net change in unrealized appreciation or depreciation currently reflected in the consolidated financial
statements as of September 30, 2016 and December 31, 2015.

US GAAP establishes a hierarchical disclosure framework which ranks the
level of observability of market price inputs used in measuring investments at fair value. The observability of inputs is impacted by a number of factors, including the type of investment and the characteristics specific to the investment and state
of the marketplace, including the existence and transparency of transactions between market participants. Investments with readily available quoted prices or for which fair value can be measured from quoted prices in active markets generally have a
higher degree of market price observability and a lesser degree of judgment applied in determining fair value.

Investments measured and
reported at fair value are classified and disclosed based on the observability of inputs used in determination of fair values, as follows:



| |  |  | Level Iinputs to the valuation methodology are quoted prices available in active markets for identical investments as of the reporting date. The types of financial instruments in Level I generally include
unrestricted securities, including equities and derivatives, listed in active markets. The Company does not adjust the quoted price for these investments, even in situations where the Company holds a large position and a sale could reasonably impact
the quoted price.
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Level IIinputs to the valuation methodology are either directly or indirectly observable as of the reporting date and are those other than quoted prices in active markets. The type of financial instruments in this
category generally includes less liquid and restricted securities listed in active markets, securities traded in other than active markets, government and agency securities, and certain over-the-counter derivatives where the fair value is based on
observable inputs.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Level IIIinputs to the valuation methodology are unobservable and significant to overall fair value measurement. The inputs into the determination of fair value require significant management judgment or
estimation. Financial instruments that are in this category generally include investments in privately-held entities, CLOs, and certain over-the-counter derivatives where the fair value is based on unobservable inputs.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

In certain cases, the inputs used to measure fair value may fall into 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 overall fair value measurement. The Investment Advisers assessment of the significance of a particular input to the fair
value measurement in its entirety requires judgment, and considers factors specific to the investment.



29



---

##### Table of Contents

Transfers between levels, if any, are recognized at the beginning of the quarter in which the
transfers occur. For the three month and nine month periods ended September 30, 2016 and 2015, there were no transfers between levels.

The following tables summarize the Companys investments measured at fair value on a recurring basis by the above fair value hierarchy
levels as of September 30, 2016 and December 31, 2015:



|                                            |  |                    |   |  |          |   |   |           |  |   |           |  |  |   |           | 
|------------------------------------------- |  | ------------------ | - |  | -------- | - | - | --------- |  | - | --------- |  |  | - | --------- | 
|                                            |  | September 30, 2016 |  
|                                            |  | Level I            |   |  | Level II |   |   | Level III |  |   | Total     | 
|Assets                                      |  |                    |   |  |          |   |   |           |  |   |           |  |  |   |           | 
|First Lien Debt                             |  | $                  |  |  |          | $ |  |           |  | $ | 1,114,587 |  |  | $ | 1,114,587 | 
|Second Lien Debt                            |  |                    |  |  |          |   |  |           |  |   | 196,297   |  |  |   | 196,297   | 
|Structured Finance Obligations              |  |                    |  |  |          |   |  |           |  |   | 7,752     |  |  |   | 7,752     | 
|Equity Investments                          |  |                    |  |  |          |   |  |           |  |   | 6,220     |  |  |   | 6,220     | 
|Investment Fund                             |  |                    |   |  |          |   |   |           |  |   |           |  |  |   |           | 
|Mezzanine Loan                              |  |                    |  |  |          |   |  |           |  |   | 31,800    |  |  |   | 31,800    | 
|                                            |  |                    |   |  |          |   |   |           |  |   |           |  |  |   |           | 
|Subtotal                                    |  | $                  |  |  |          | $ |  |           |  | $ | 1,356,656 |  |  | $ | 1,356,656 | 
|                                            |  |                    |   |  |          |   |   |           |  |   |           |  |  |   |           | 
|Investments measured at net asset value
(1) |  |                    |   |  |          |   |   |           |  |   |           |  |  | $ | 25,958    | 
|                                            |  |                    |   |  |         
|Total                                       |  |                    |   |  |          |   |   |           |  |   |           |  |  | $ | 1,382,614 | 
|                                            |  |                    |   |  |         



|                               |  |                   |   |  |          |   |       |           |  |   |           |  |  |   |           | 
|------------------------------ |  | ----------------- | - |  | -------- | - | ----- | --------- |  | - | --------- |  |  | - | --------- | 
|                               |  | December 31, 2015 |  
|                               |  | Level I           |   |  | Level II |   |       | Level III |  |   | Total     | 
|Assets                         |  |                   |   |  |          |   |       |           |  |   |           |  |  |   |           | 
|First Lien Debt                |  | $                 |  |  |          | $ | 9,575 |           |  | $ | 785,459   |  |  | $ | 795,034   | 
|Second Lien Debt               |  |                   |  |  |          |   |      |           |  |   | 210,396   |  |  |   | 210,396   | 
|Structured Finance Obligations |  |                   |  |  |          |   |      |           |  |   | 44,812    |  |  |   | 44,812    | 
|Equity Investments             |  |                   |  |  |          |   |      |           |  |   | 2,424     |  |  |   | 2,424     | 
|                               |  |                   |   |  |          |   |       |           |  |   |           |  |  |   |           | 
|Total                          |  | $                 |  |  |          | $ | 9,575 |           |  | $ | 1,043,091 |  |  | $ | 1,052,666 | 
|                               |  |                   |   |  |          |   |       |           |  |   |           |  |  |   |           | 



|(1) | Amount represents the Companys subordinated loan and members interest investments in Credit Fund. The fair value of these investments has been estimated using the net asset value of the Companys
ownership interests in Credit Fund.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



30



---

##### Table of Contents

The changes in the Companys investments at fair value for which the Company has used Level
III inputs to determine fair value and net change in unrealized appreciation (depreciation) included in earnings for Level III investments still held are as follows:



|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                     |  |  |                   |   |  |                               |       |  |       |   |         |   |  |   |           |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | --------- | - | --------------- | - | ------- | ------------------------------------------------------------------- |  |  | ----------------- | - |  | ----------------------------- | ----- |  | ----- | - | ------- | - |  | - | --------- | -
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         | Financial AssetsFor the three month period ended September 30, 2016 | 
|                                                                                                                                                                                                                                                                                                |  | First LienDebt |           |   | SecondLien Debt |   |         | StructuredFinanceObligations                                        |  |  | EquityInvestments |   |  | InvestmentFund -MezzanineLoan |       |  | Total |  
|Balance, beginning of period                                                                                                                                                                                                                                                                    |  | $              | 944,494   |   |                 | $ | 219,383 |                                                                     |  |  | $8,040            |   |  | $                             | 4,703 |  |       | $ | 1,000   |   |  | $ | 1,177,620 |  
|Purchases                                                                                                                                                                                                                                                                                       |  |                | 244,501   |   |                 |   |        |                                                                     |  |  |                  |   |  |                               | 856   |  |       |   | 53,200  |   |  |   | 298,557   |  
|Sales                                                                                                                                                                                                                                                                                           |  |                | (13,342   | ) |                 |   | (8,274  | )                                                                   |  |  |                  |   |  |                               |      |  |       |   | (22,400 | ) |  |   | (44,016   | )
|Paydowns                                                                                                                                                                                                                                                                                        |  |                | (65,764   | ) |                 |   | (20,969 | )                                                                   |  |  | (1,432            | ) |  |                               |      |  |       |   |        |   |  |   | (88,165   | )
|Accretion of discount                                                                                                                                                                                                                                                                           |  |                | 1,591     |   |                 |   | 288     |                                                                     |  |  |                  |   |  |                               |      |  |       |   |        |   |  |   | 1,879     |  
|Net realized gains (losses)                                                                                                                                                                                                                                                                     |  |                | (99       | ) |                 |   | 221     |                                                                     |  |  | (1                | ) |  |                               |      |  |       |   |        |   |  |   | 121       |  
|Net change in unrealized appreciation (depreciation)                                                                                                                                                                                                                                            |  |                | 3,206     |   |                 |   | 5,648   |                                                                     |  |  | 1,145             |   |  |                               | 661   |  |       |   |        |   |  |   | 10,660    |  
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                     |  |  |                   |   |  |                               |       |  |       |   |         |   |  |   |           |  
|Balance, end of period                                                                                                                                                                                                                                                                          |  | $              | 1,114,587 |   |                 | $ | 196,297 |                                                                     |  |  | $7,752            |   |  | $                             | 6,220 |  |       | $ | 31,800  |   |  | $ | 1,356,656 |  
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                     |  |  |                   |   |  |                               |       |  |       |   |         |   |  |   |           |  
|Net change in unrealized appreciation (depreciation) included in earnings related to investments
still held as of September 30, 2016 included in net change in unrealized appreciation (depreciation) on investments non-controlled/non-affiliated on the Consolidated Statements of Operations |  | $              | 4,051     |   |                 | $ | 5,507   |                                                                     |  |  | $1,145            |   |  | $                             | 661   |  |       |   |        |   |  | $ | 11,364    |  
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                     |  |  |                   |   |  |                               |       |  |       |   |         |   |  |   |           |  



|                                                                                                                                                                                                                                                                                                |  |                |         |   |                                                                     |   |         |                              |  |   |                   |   |  |       |       |  |  |   |         |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | ------- | - | ------------------------------------------------------------------- | - | ------- | ---------------------------- |  | - | ----------------- | - |  | ----- | ----- |  |  | - | ------- | -
|                                                                                                                                                                                                                                                                                                |  |                |         |   | Financial AssetsFor the three month period ended September 30, 2015 |  
|                                                                                                                                                                                                                                                                                                |  | First LienDebt |         |   | SecondLien Debt                                                     |   |         | StructuredFinanceObligations |  |   | EquityInvestments |   |  | Total |      
|Balance, beginning of period                                                                                                                                                                                                                                                                    |  | $              | 651,606 |   |                                                                     | $ | 177,811 |                              |  | $ | 71,170            |   |  | $     | 2,215 |  |  | $ | 902,802 |  
|Purchases                                                                                                                                                                                                                                                                                       |  |                | 113,246 |   |                                                                     |   | 21,612  |                              |  |   |                  |   |  |       |      |  |  |   | 134,858 |  
|Sales                                                                                                                                                                                                                                                                                           |  |                | (5,610  | ) |                                                                     |   |        |                              |  |   | (11,509           | ) |  |       |      |  |  |   | (17,119 | )
|Paydowns                                                                                                                                                                                                                                                                                        |  |                | (52,547 | ) |                                                                     |   |        |                              |  |   | (2,282            | ) |  |       |      |  |  |   | (54,829 | )
|Accretion of discount                                                                                                                                                                                                                                                                           |  |                | 930     |   |                                                                     |   | 52      |                              |  |   | 6                 |   |  |       |      |  |  |   | 988     |  
|Net realized gains (losses)                                                                                                                                                                                                                                                                     |  |                | (11     | ) |                                                                     |   |        |                              |  |   | 834               |   |  |       |      |  |  |   | 823     |  
|Net change in unrealized appreciation (depreciation)                                                                                                                                                                                                                                            |  |                | 3,034   |   |                                                                     |   | (187    | )                            |  |   | (4,394            | ) |  |       | 156   |  |  |   | (1,391  | )
|                                                                                                                                                                                                                                                                                                |  |                |         |   |                                                                     |   |         |                              |  |   |                   |   |  |       |       |  |  |   |         |  
|Balance, end of period                                                                                                                                                                                                                                                                          |  | $              | 710,648 |   |                                                                     | $ | 199,288 |                              |  | $ | 53,825            |   |  | $     | 2,371 |  |  | $ | 966,132 |  
|                                                                                                                                                                                                                                                                                                |  |                |         |   |                                                                     |   |         |                              |  |   |                   |   |  |       |       |  |  |   |         |  
|Net change in unrealized appreciation (depreciation) included in earnings related to investments
still held as of September 30, 2015 included in net change in unrealized appreciation (depreciation) on investments non-controlled/non-affiliated on the Consolidated Statements of Operations |  | $              | 4,110   |   |                                                                     | $ | (187    | )                            |  | $ | (4,463            | ) |  | $     | 156   |  |  | $ | (1,384  | )
|                                                                                                                                                                                                                                                                                                |  |                |         |   |                                                                     |   |         |                              |  |   |                   |   |  |       |       |  |  |   |         |  



31



---

##### Table of Contents

|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                    |  |   |                     |   |  |                               |       |  |       |   |         |   |  |   |           |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | --------- | - | --------------- | - | ------- | ------------------------------------------------------------------ |  | - | ------------------- | - |  | ----------------------------- | ----- |  | ----- | - | ------- | - |  | - | --------- | -
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         | Financial AssetsFor the nine month period ended September 30, 2016 | 
|                                                                                                                                                                                                                                                                                                |  | First LienDebt |           |   | SecondLien Debt |   |         | StructuredFinanceObligations                                       |  |   | Equity  Investments |   |  | InvestmentFund -MezzanineLoan |       |  | Total |  
|Balance, beginning of period                                                                                                                                                                                                                                                                    |  | $              | 785,459   |   |                 | $ | 210,396 |                                                                    |  | $ | 44,812              |   |  | $                             | 2,424 |  |       |   |        |   |  | $ | 1,043,091 |  
|Purchases                                                                                                                                                                                                                                                                                       |  |                | 468,155   |   |                 |   | 33,488  |                                                                    |  |   |                    |   |  |                               | 2,857 |  |       |   | 54,200  |   |  |   | 558,700   |  
|Sales                                                                                                                                                                                                                                                                                           |  |                | (54,641   | ) |                 |   | (19,109 | )                                                                  |  |   | (30,457             | ) |  |                               |      |  |       |   | (22,400 | ) |  |   | (126,607  | )
|Paydowns                                                                                                                                                                                                                                                                                        |  |                | (90,540   | ) |                 |   | (33,462 | )                                                                  |  |   | (6,689              | ) |  |                               |      |  |       |   |        |   |  |   | (130,691  | )
|Accretion of discount                                                                                                                                                                                                                                                                           |  |                | 3,033     |   |                 |   | 574     |                                                                    |  |   | (31                 | ) |  |                               |      |  |       |   |        |   |  |   | 3,576     |  
|Net realized gains (losses)                                                                                                                                                                                                                                                                     |  |                | 72        |   |                 |   | 221     |                                                                    |  |   | (9,771              | ) |  |                               |      |  |       |   |        |   |  |   | (9,478    | )
|Net change in unrealized appreciation (depreciation)                                                                                                                                                                                                                                            |  |                | 3,049     |   |                 |   | 4,189   |                                                                    |  |   | 9,888               |   |  |                               | 939   |  |       |   |        |   |  |   | 18,065    |  
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                    |  |   |                     |   |  |                               |       |  |       |   |         |   |  |   |           |  
|Balance, end of period                                                                                                                                                                                                                                                                          |  | $              | 1,114,587 |   |                 | $ | 196,297 |                                                                    |  | $ | 7,752               |   |  | $                             | 6,220 |  |       | $ | 31,800  |   |  | $ | 1,356,656 |  
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                    |  |   |                     |   |  |                               |       |  |       |   |         |   |  |   |           |  
|Net change in unrealized appreciation (depreciation) included in earnings related to investments
still held as of September 30, 2016 included in net change in unrealized appreciation (depreciation) on investments non-controlled/non-affiliated on the Consolidated Statements of Operations |  | $              | 2,713     |   |                 | $ | 3,281   |                                                                    |  | $ | 687                 |   |  | $                             | 939   |  |       |   |        |   |  | $ | 7,620     |  
|                                                                                                                                                                                                                                                                                                |  |                |           |   |                 |   |         |                                                                    |  |   |                     |   |  |                               |       |  |       |   |         |   |  |   |           |  



|                                                                                                                                                                                                                                                                                                |  |                |          |   |                                                                    |   |         |                              |  |   |                   |   |  |       |       |  |  |   |          |  
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | -------- | - | ------------------------------------------------------------------ | - | ------- | ---------------------------- |  | - | ----------------- | - |  | ----- | ----- |  |  | - | -------- | -
|                                                                                                                                                                                                                                                                                                |  |                |          |   | Financial AssetsFor the nine month period ended September 30, 2015 |  
|                                                                                                                                                                                                                                                                                                |  | First LienDebt |          |   | SecondLien Debt                                                    |   |         | StructuredFinanceObligations |  |   | EquityInvestments |   |  | Total |      
|Balance, beginning of period                                                                                                                                                                                                                                                                    |  | $              | 505,212  |   |                                                                    | $ | 107,874 |                              |  | $ | 76,001            |   |  | $     |      |  |  | $ | 689,087  |  
|Purchases                                                                                                                                                                                                                                                                                       |  |                | 367,222  |   |                                                                    |   | 89,884  |                              |  |   | 10,059            |   |  |       | 2,215 |  |  |   | 469,380  |  
|Sales                                                                                                                                                                                                                                                                                           |  |                | (15,467  | ) |                                                                    |   |        |                              |  |   | (19,930           | ) |  |       |      |  |  |   | (35,397  | )
|Paydowns                                                                                                                                                                                                                                                                                        |  |                | (155,623 | ) |                                                                    |   |        |                              |  |   | (7,411            | ) |  |       |      |  |  |   | (163,034 | )
|Accretion of discount                                                                                                                                                                                                                                                                           |  |                | 2,047    |   |                                                                    |   | 113     |                              |  |   | 16                |   |  |       |      |  |  |   | 2,176    |  
|Net realized gains (losses)                                                                                                                                                                                                                                                                     |  |                | 196      |   |                                                                    |   |        |                              |  |   | 956               |   |  |       |      |  |  |   | 1,152    |  
|Net change in unrealized appreciation (depreciation)                                                                                                                                                                                                                                            |  |                | 7,061    |   |                                                                    |   | 1,417   |                              |  |   | (5,866            | ) |  |       | 156   |  |  |   | 2,768    |  
|                                                                                                                                                                                                                                                                                                |  |                |          |   |                                                                    |   |         |                              |  |   |                   |   |  |       |       |  |  |   |          |  
|Balance, end of period                                                                                                                                                                                                                                                                          |  | $              | 710,648  |   |                                                                    | $ | 199,288 |                              |  | $ | 53,825            |   |  | $     | 2,371 |  |  | $ | 966,132  |  
|                                                                                                                                                                                                                                                                                                |  |                |          |   |                                                                    |   |         |                              |  |   |                   |   |  |       |       |  |  |   |          |  
|Net change in unrealized appreciation (depreciation) included in earnings related to investments
still held as of September 30, 2015 included in net change in unrealized appreciation (depreciation) on investments non-controlled/non-affiliated on the Consolidated Statements of Operations |  | $              | 5,728    |   |                                                                    | $ | 1,417   |                              |  | $ | (6,073            | ) |  | $     | 156   |  |  | $ | 1,228    |  
|                                                                                                                                                                                                                                                                                                |  |                |          |   |                                                                    |   |         |                              |  |   |                   |   |  |       |       |  |  |   |          |  



32



---

##### Table of Contents

The Company generally uses the following framework when determining the fair value of investments
that are categorized as Level III:

Investments in debt securities are initially evaluated to determine whether the enterprise value of
the portfolio company is greater than the applicable debt. The enterprise value of the portfolio company is estimated using a market approach and an income approach. The market approach utilizes market value (EBITDA) multiples of publicly traded
comparable companies and available precedent sales transactions of comparable companies. The Company carefully considers numerous factors when selecting the appropriate companies whose multiples are used to value its portfolio companies. These
factors include, but are not limited to, the type of organization, similarity to the business being valued, relevant risk factors, as well as size, profitability and growth expectations. The income approach typically uses a discounted cash flow
analysis of the portfolio company.

Investments in debt securities that do not have sufficient coverage through the enterprise value
analysis are valued based on an expected probability of default and discount recovery analysis.

Investments in debt securities with
sufficient coverage through the enterprise value analysis are generally valued using a discounted cash flow analysis of the underlying security. Projected cash flows in the discounted cash flow typically represent the relevant securitys
contractual interest, fees and principal payments plus the assumption of full principal recovery at the securitys expected maturity date. The discount rate to be used is determined using an average of two market-based methodologies.
Investments in debt securities may also be valued using consensus pricing.

Investments in structured finance obligations are generally
valued using a discounted cash flow and/or consensus pricing.

Investments in equities are generally valued using a market approach and/or
an income approach. The market approach utilizes EBITDA multiples of publicly traded comparable companies and available precedent sales transactions of comparable companies. The income approach typically uses a discounted cash flow analysis of the
portfolio company.

Investments in the subordinated loan and members interest of the investment fund are valued using the net asset
value of the Companys ownership interest in the investment fund and investments in the mezzanine loan of the investment fund are valued using the expected repayment rate.



33



---

##### Table of Contents

The following tables summarize the quantitative information related to the significant
unobservable inputs for Level III instruments which are carried at fair value as of September 30, 2016 and December 31, 2015:



|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|--------------------------------------------- |  | --------------------------------- | --------- |  | -------------------- | -------------------- | ------------------------------ | ------------------- | ----- |  | ------ | --------------- |  |  | ------ | - |  |  | ------ | -
|                                              |  | Fair Value asof September 30,2016 |           |  | Valuation Techniques |                      | Significant
UnobservableInputs |                     | Range |  |        | WeightedAverage | 
|                                              |  |                                   |           |  | Low                  |                      |                                | High                |       | 
|Investments in First Lien Debt                |  | $                                 | 979,495   |  |                      | Discounted Cash Flow |                                | Discount Rate       |       |  | 4.67   | %               |  |  | 15.31  | % |  |  | 8.09   | %
|                                              |  |                                   | 123,417   |  |                      | Consensus Pricing    |                                | Indicative Quotes   |       |  | 95.75  |                 |  |  | 100.38 |   |  |  | 98.17  |  
|                                              |  |                                   | 11,675    |  |                      | Income Approach      |                                | Discount Rate       |       |  | 14.87  | %               |  |  | 14.87  | % |  |  | 14.87  | %
|                                              |  |                                   |           |  |                      | Market Approach      |                                | Comparable Multiple |       |  | 4.93x  |                 |  |  | 5.42x  |   |  |  | 5.17x  |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Total First Lien Debt                         |  |                                   | 1,114,587 |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Investments in Second Lien Debt               |  |                                   | 163,670   |  |                      | Discounted Cash Flow |                                | Discount Rate       |       |  | 6.90   | %               |  |  | 11.26  | % |  |  | 9.70   | %
|                                              |  |                                   | 31,630    |  |                      | Consensus Pricing    |                                | Indicative Quotes   |       |  | 98.42  |                 |  |  | 101.56 |   |  |  | 99.85  |  
|                                              |  |                                   | 997       |  |                      | Income Approach      |                                | Discount Rate       |       |  | 14.07  | %               |  |  | 14.07  | % |  |  | 14.07  | %
|                                              |  |                                   |           |  |                      | Market Approach      |                                | Comparable Multiple |       |  | 7.63x  |                 |  |  | 8.29x  |   |  |  | 7.96x  |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Total Second Lien Debt                        |  |                                   | 196,297   |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Investments in Structured Finance Obligations |  |                                   | 7,589     |  |                      | Discounted Cash Flow |                                | Discount Rate       |       |  | 17.30  | %               |  |  | 19.90  | % |  |  | 18.40  | %
|                                              |  |                                   |           |  |                      |                      |                                | Default Rate        |       |  | 0.50   |                 |  |  | 1.46   |   |  |  | 0.82   |  
|                                              |  |                                   |           |  |                      |                      |                                | Prepayment Rate     |       |  | 30.00  |                 |  |  | 35.00  |   |  |  | 33.11  |  
|                                              |  |                                   |           |  |                      |                      |                                | Recovery Rate       |       |  | 65.00  |                 |  |  | 70.00  |   |  |  | 66.42  |  
|                                              |  |                                   | 163       |  |                      | Consensus Pricing    |                                | Indicative Quotes   |       |  | 0.18   |                 |  |  | 1.50   |   |  |  | 1.22   |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Total Structured Finance Obligations          |  |                                   | 7,752     |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Investments in Equity                         |  |                                   | 6,220     |  |                      | Income Approach      |                                | Discount Rate       |       |  | 8.10   | %               |  |  | 10.06  | % |  |  | 9.06   | %
|                                              |  |                                   |           |  |                      | Market Approach      |                                | Comparable Multiple |       |  | 7.40x  |                 |  |  | 14.05x |   |  |  | 11.15x |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Total Equity Investments                      |  |                                   | 6,220     |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Investments in Investment FundMezzanine Loan |  |                                   | 31,800    |  |                      | Income Approach      |                                | Repayment Rate      |       |  | 100.00 | %               |  |  | 100.00 | % |  |  | 100.00 | %
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   | 31,800    |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|Total Level III Investments                   |  | $                                 | 1,356,656 |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  
|                                              |  |                                   |           |  |                      |                      |                                |                     |       |  |        |                 |  |  |        |   |  |  |        |  



34



---

##### Table of Contents

|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|--------------------------------------------- |  | -------------------------------- | --------- |  | -------------------- | -------------------- | ------------------------------ | ------------------- | ----- |  | ----- | --------------- |  |  | ------ | - |  |  | ------ | -
|                                              |  | Fair Value asof December 31,2015 |           |  | Valuation Techniques |                      | Significant
UnobservableInputs |                     | Range |  |       | WeightedAverage | 
|                                              |  |                                  |           |  | Low                  |                      |                                | High                |       | 
|Investments in First Lien Debt                |  | $                                | 618,172   |  |                      | Discounted Cash Flow |                                | Discount Rate       |       |  | 5.57  | %               |  |  | 13.37  | % |  |  | 8.19   | %
|                                              |  |                                  | 167,287   |  |                      | Consensus Pricing    |                                | Indicative Quotes   |       |  | 96.50 |                 |  |  | 99.38  |   |  |  | 97.97  |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Total First Lien Debt                         |  |                                  | 785,459   |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Investments in Second Lien Debt               |  |                                  | 161,907   |  |                      | Discounted Cash Flow |                                | Discount Rate       |       |  | 9.37  | %               |  |  | 15.44  | % |  |  | 10.56  | %
|                                              |  |                                  | 48,489    |  |                      | Consensus Pricing    |                                | Indicative Quotes   |       |  | 93.25 |                 |  |  | 101.25 |   |  |  | 96.86  |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Total Second Lien Debt                        |  |                                  | 210,396   |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Investments in Structured Finance Obligations |  |                                  | 43,016    |  |                      | Discounted Cash Flow |                                | Discount Rate       |       |  | 13.00 | %               |  |  | 17.50  | % |  |  | 14.05  | %
|                                              |  |                                  |           |  |                      |                      |                                | Default Rate        |       |  | 0.19  |                 |  |  | 1.56   |   |  |  | 1.09   |  
|                                              |  |                                  |           |  |                      |                      |                                | Prepayment Rate     |       |  | 18.16 |                 |  |  | 40.00  |   |  |  | 22.09  |  
|                                              |  |                                  |           |  |                      |                      |                                | Recovery Rate       |       |  | 69.27 |                 |  |  | 75.00  |   |  |  | 74.36  |  
|                                              |  |                                  | 1,796     |  |                      | Consensus Pricing    |                                | Indicative Quotes   |       |  | 0.18  |                 |  |  | 63.00  |   |  |  | 59.69  |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Total Structured Finance Obligations          |  |                                  | 44,812    |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Investments in Equity                         |  |                                  | 2,424     |  |                      | Income Approach      |                                | Discount Rate       |       |  | 10.19 | %               |  |  | 10.90  | % |  |  | 10.42  | %
|                                              |  |                                  |           |  |                      | Market Approach      |                                | Comparable Multiple |       |  | 9.94x |                 |  |  | 11.09x |   |  |  | 10.71x |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Total Equity Investments                      |  |                                  | 2,424     |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|Total Level III Investments                   |  | $                                | 1,043,091 |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  
|                                              |  |                                  |           |  |                      |                      |                                |                     |       |  |       |                 |  |  |        |   |  |  |        |  

The significant unobservable inputs used in the fair value measurement of the Companys investments in
first and second lien debt securities are discount rates and indicative quotes. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in indicative quotes in isolation may result
in a significantly lower fair value measurement.

The significant unobservable inputs used in the fair value measurement of the
Companys investments in structured finance obligations are discount rates, default rates, prepayment rates, recovery rates and indicative quotes. Significant increases in discount rates, default rates or prepayment rates in isolation would
result in a significantly lower fair value measurement, while a significant increase in recovery rates in isolation would result in a significantly higher fair value. Significant decreases in indicative quotes in isolation may result in a
significantly lower fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Companys
investments in equities are discount rates and comparable EBITDA multiples. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in comparable EBITDA multiples would result in a
significantly lower fair value measurement.

Financial instruments disclosed but not carried at fair value

The following table presents the carrying value and fair value of the Companys secured borrowings disclosed but not carried at fair value
as of September 30, 2016 and December 31, 2015:



|                   |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 
|------------------ |  | ------------------ | ------- |  | ----------------- | - | ------- | -------------- |  | - | ---------- |  |  | - | ------- | 
|                   |  | September 30, 2016 |         |  | December 31, 2015 |  
|                   |  | Carrying Value     |         |  | Fair Value        |   |         | Carrying Value |  |   | Fair Value | 
|Secured borrowings |  | $                  | 395,016 |  |                   | $ | 395,016 |                |  | $ | 234,313    |  |  | $ | 234,313 | 
|                   |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 
|Total              |  | $                  | 395,016 |  |                   | $ | 395,016 |                |  | $ | 234,313    |  |  | $ | 234,313 | 
|                   |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 



35



---

##### Table of Contents

The carrying values of the secured borrowings approximate their respective fair values and are
categorized as Level III within the hierarchy. Secured borrowings are valued generally using discounted cash flow analysis. The significant unobservable inputs used in the fair value measurement of the Companys secured borrowings are discount
rates. Significant increases in discount rates would result in a significantly lower fair value measurement.

The following table
represents the carrying values (before debt issuance costs) and fair values of the Companys 2015-1 Notes disclosed but not carried at fair value as of September 30, 2016 and December 31, 2015:



|                         |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 
|------------------------ |  | ------------------ | ------- |  | ----------------- | - | ------- | -------------- |  | - | ---------- |  |  | - | ------- | 
|                         |  | September 30, 2016 |         |  | December 31, 2015 |  
|                         |  | Carrying Value     |         |  | Fair Value        |   |         | Carrying Value |  |   | Fair Value | 
|Aaa/AAA Class A-1A Notes |  | $                  | 160,000 |  |                   | $ | 158,800 |                |  | $ | 160,000    |  |  | $ | 157,200 | 
|Aaa/AAA Class A-1B Notes |  |                    | 40,000  |  |                   |   | 39,900  |                |  |   | 40,000     |  |  |   | 39,700  | 
|Aaa/AAA Class A-1C Notes |  |                    | 27,000  |  |                   |   | 27,171  |                |  |   | 27,000     |  |  |   | 26,823  | 
|Aa2 Class A-2 Notes      |  |                    | 46,000  |  |                   |   | 45,095  |                |  |   | 46,000     |  |  |   | 45,122  | 
|                         |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 
|Total                    |  | $                  | 273,000 |  |                   | $ | 270,966 |                |  | $ | 273,000    |  |  | $ | 268,845 | 
|                         |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 

The fair value determination of the Companys 2015-1 Notes was based on the market quotation(s) received
from broker/dealer(s). These fair value measurements were based on significant inputs not observable and thus represent Level III measurements as defined in the accounting guidance for fair value measurement.

The carrying value of other financial assets and liabilities approximates their fair value based on the short term nature of these items.

4. RELATED PARTY TRANSACTIONS

Investment Advisory
Agreement

On April 3, 2013, the Companys Board of Directors, including a majority of the directors who are not
interested persons as defined in Section 2(a)(19) of the Investment Company Act (the Independent Directors), approved an investment advisory agreement (the Investment Advisory Agreement) between the Company and
the Investment Adviser in accordance with, and on the basis of an evaluation satisfactory to such directors as required by, Section 15(c) of the Investment Company Act. The initial term of the Investment Advisory Agreement is two years from April 3,
2013 and, unless terminated earlier, the Investment Advisory Agreement will renew automatically for successive annual periods, provided that such continuance is specifically approved at least annually by the vote of the Board of Directors and by the
vote of a majority of the Independent Directors. On March 10, 2016, the Companys Board of Directors, including a majority of the Independent Directors, approved the continuance of the Advisory Agreement for a one year period. The Investment
Advisory Agreement will automatically terminate in the event of an assignment and may be terminated by either party without penalty upon at least 60 days written notice to the other party. Subject to the overall supervision of the Board of
Directors, the Investment Adviser provides investment advisory services to the Company. For providing these services, the Investment Adviser receives fees from the Company consisting of two componentsa base management fee and an incentive fee.

Prior to a Qualified IPO, the base management fee is calculated and payable quarterly in arrears at an annual rate of 1.50% of the
average daily gross assets of the Company for the period adjusted for share issuances or repurchases, excluding any cash and cash equivalents and including assets acquired with leverage from use of the Revolving Credit Facility, Facility and 2015-1
Notes (see Note 6, Borrowings, and Note 7, 2015-1 Notes). For purposes of this calculation, cash and cash equivalents include any temporary investments in cash-equivalents, U.S. government securities and other high quality investment grade debt
investments that mature in 12 months or less from the date of investment. Base management fees for any partial quarter are prorated. The Investment



36



---

##### Table of Contents

Adviser contractually waived one-third (0.50%) of the base management fee prior to a Qualified IPO (with no right of recapture). The fee waiver will terminate if and when a Qualified IPO has been
consummated.

The incentive fee has two parts. The first part is calculated and payable quarterly in arrears based on the pre-incentive
fee net investment income for the immediately preceding calendar quarter. The second part is determined and payable in arrears based on capital gains as of the end of each calendar year.

Pre-incentive fee net investment income means interest income, dividend income and any other income (including any other fees (other than fees
for providing managerial assistance), such as commitment, origination, structuring, diligence and consulting fees or other fees that the Company receives from portfolio companies) accrued during the calendar quarter, minus the operating expenses
accrued for the quarter (including the base management fee, expenses payable under the administration agreement, and any interest expense or fees on any credit facilities or outstanding debt and dividends paid on any issued and outstanding preferred
stock, but excluding the incentive fee). Pre-incentive fee net investment income does not include, in the case of investments with a deferred interest feature (such as original issue discount, debt instruments with pay-in-kind interest

and zero coupon securities), accrued income that the Company has not yet received in cash. Pre-incentive fee net investment income does not include any
realized capital gains, realized capital losses or unrealized capital appreciation or depreciation.

Prior to any Qualified IPO of the
Companys common stock, pre-incentive fee net investment income, expressed as a rate of return on the average daily Hurdle Calculation Value (as defined below) throughout the immediately preceding calendar quarter, is compared to a hurdle
rate of 1.50% per quarter (6% annualized). Hurdle Calculation Value means, on any given day, the sum of (x) the value of net assets as of the end of the calendar quarter immediately preceding such day plus (y) the
aggregate amount of capital drawn from investors (or reinvested in the Company pursuant to a dividend reinvestment plan) from the beginning of the current quarter to such day minus (z) the aggregate amount of distributions (including share
repurchases) made by the Company from the beginning of the current quarter to such day but only to the extent such distributions were not declared and accounted for on the books and records in a previous quarter.

GMS Finance pays its Investment Adviser an incentive fee with respect to its pre-incentive fee net investment income in each calendar quarter
as follows:



| |  |  | no incentive fee based on pre-incentive fee net investment income in any calendar quarter in which its pre-incentive fee net investment income does not exceed the hurdle of 1.50%;
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | 100% of pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income, if any, that exceeds the hurdle but is less than 1.875% in any calendar quarter (7.50%
annualized). The Company refers to this portion of the pre-incentive fee net investment income (which exceeds the hurdle but is less than 1.875%) as the catch-up. The catch-up is meant to provide the Investment Adviser with
approximately 20% of the Companys pre-incentive fee net investment income as if a hurdle did not apply if this net investment income exceeds 1.875% in any calendar quarter; and
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | 20% of the amount of pre-incentive fee net investment income, if any, that exceeds 1.875% in any calendar quarter (7.50% annualized) will be payable to the Investment Adviser. This reflects that once the hurdle is
reached and the catch-up is achieved, 20% of all pre-incentive fee investment income thereafter is allocated to the Investment Adviser.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The second part of the incentive fee is determined and payable in arrears as of the end of each calendar year (or upon termination of the
Investment Advisory Agreement, as of the termination date), and equals 20% of realized capital gains, if any, on a cumulative basis from inception through the date of determination, computed net of all realized capital losses on a cumulative basis
and unrealized capital depreciation, less the aggregate amount of any previously paid capital gain incentive fees, provided that, the incentive fee determined at the end



37



---

##### Table of Contents

of the first calendar year of operations may be calculated for a period of shorter than twelve calendar months to take into account any realized capital gains computed net of all realized capital
losses on a cumulative basis and unrealized capital depreciation.

The Company will defer payment of any incentive fee otherwise earned by
the Investment Adviser if, during the most recent four full calendar quarter periods (or, if less, the number of full calendar quarters completed since the initial drawdown of capital from the stockholders, Initial Drawdown) ending on or
prior to the date such payment is to be made, the sum of (a) the aggregate distributions to stockholders and (b) the change in net assets (defined as gross assets less indebtedness and before taking into account any incentive fees payable
during the period) is less than 6.0% of net assets (defined as gross assets less indebtedness) at the beginning of such period, provided, that such percentage will be appropriately prorated during the four full calendar quarters immediately
following the Initial Drawdown. These calculations are adjusted for any share issuances or repurchases. Any deferred incentive fees are carried over for payment in subsequent calculation periods. The Investment Adviser may earn an incentive fee
under the Investment Advisory Agreement on the Companys repurchase of debt issued by the Company at a gain.

Prior to a Qualified
IPO, from time to time, CGMSIM intends to pay certain individuals providing services to CGMSIM, including individuals who serve as our executive officer and/or director and individuals who are members of the CGMSIM team managing our investments (the
CGMSIM Investment Team), a portion of each installment of the gross incentive fees that CGMSIM receives from us in consideration of their services on behalf of CGMSIM, with approximately 25% of the net after-tax amount paid to such
members being paid in the form of newly issued shares of common stock purchased from us. In addition, following the completion of a Qualified IPO, from time to time, CGMSIM intends to purchase shares of our common stock in the open market at a
purchase price, in the aggregate, equal to approximately 25% of each installment of the net after- tax incentive fees that CGMSIM receives from us, subject to market conditions. CGMSIM may then distribute those shares to individuals eligible for
such payment in consideration of their services on behalf of CGMSIM.

For the three month and nine month periods ended September 30, 2016,
base management fees were $3,132 and $8,789, respectively (net of waiver of $1,567 and $4,395, respectively), incentive fees related to pre-incentive fee net investment income were $3,962 and $10,318, respectively, and there were no incentive fees
related to realized capital gains. For the three month and nine month periods ended September 30, 2015, base management fees were $2,452 and $6,321, respectively (net of waiver of $1,227 and $3,161, respectively), incentive fees related to
pre-incentive fee net investment income were $2,584 and $6,190, respectively, and there were no incentive fees related to realized capital gains. For the three month and nine month periods ended September 30, 2016 and 2015, there were no accrued
capital gains incentive fees based upon the cumulative net realized and unrealized appreciation (depreciation) as of September 30, 2016 and 2015, respectively. The accrual for any capital gains incentive fee under US GAAP in a given period may
result in an additional expense if such cumulative amount is greater than in the prior period or a reduction of previously recorded expense if such cumulative amount is less than in the prior period. If such cumulative amount is negative, then there
is no accrual.

As of September 30, 2016 and December 31, 2015, $16,142 and $5,277, respectively, was included in base management and
incentive fees payable in the accompanying Consolidated Statements of Assets and Liabilities.

On April 3, 2013, the Investment
Adviser entered into a personnel agreement with The Carlyle Group Employee Co., L.L.C. (Carlyle Employee Co.), an affiliate of the Investment Adviser, pursuant to which Carlyle Employee Co. provides the Investment Adviser with access to
investment professionals.

Administration Agreement

On April 3, 2013, the Companys Board of Directors approved an administration agreement (the Administration Agreement)
between the Company and the Administrator. Pursuant to the Administration



38



---

##### Table of Contents

Agreement, the Administrator provides services and receives reimbursements equal to an amount that reimburses the Administrator for its costs and expenses and the Companys allocable portion
of overhead incurred by the Administrator in performing its obligations under the Administration Agreement, including the Companys allocable portion of the compensation paid to or compensatory distributions received by the Companys
officers (including the Chief Compliance Officer and Chief Financial Officer) and respective staff who provide services to the Company, operations staff who provide services to the Company, and any internal audit staff, to the extent internal audit
performs a role in the Companys Sarbanes-Oxley Act internal control assessment. Reimbursement under the Administration Agreement occurs quarterly in arrears.

The initial term of the Administration Agreement is two years from April 3, 2013 and, unless terminated earlier, the Administration Agreement
will renew automatically for successive annual periods, provided that such continuance is specifically approved at least annually by (i) the vote of the Board of Directors or by a majority vote of the outstanding voting securities of the Company and
(ii) the vote of a majority of the Companys Independent Directors. On March 10, 2016, the Companys Board of Directors, including a majority of the Independent Directors, approved the continuance of the Administration Agreement for a one
year period. The Administration Agreement may not be assigned by a party without the consent of the other party and may be terminated by either party without penalty upon at least 60 days written notice to the other party.

For the three month and nine month periods ended September 30, 2016, GMS Finance incurred $180 and $526, respectively, and for the three month
and nine month periods ended September 30, 2015, GMS Finance incurred $152 and $452, respectively, in fees under the Administrative Agreement, which were included in administrative service fees in the accompanying Consolidated Statements of
Operations. As of September 30, 2016 and December 31, 2015, $127 and $97, respectively, was unpaid and included in administrative service fees payable in the accompanying Consolidated Statements of Assets and Liabilities.

Sub-Administration Agreements

On
April 3, 2013, the Administrator entered into sub-administration agreements with Carlyle Employee Co. and CELF Advisors LLP. Pursuant to the agreements, Carlyle Employee Co. and CELF Advisors LLP provide the Administrator with access to
personnel.

On April 3, 2013, the Administrator entered into a sub-administration agreement with State Street Bank and Trust Company (as
amended, the Sub-Administration Agreement). On March 11, 2015, the Companys Board of Directors, including a majority of the Independent Directors, approved an amendment to the Sub-Administration Agreement. The initial term of the
Sub-Administration Agreement ends on April 1, 2017 and, unless terminated earlier, the Sub-Administration Agreement will renew automatically for successive annual periods, provided that such continuance is specifically approved at least annually by
(i) the vote of the Board of Directors or by the vote of a majority of the outstanding voting securities of the Company and (ii) the vote of a majority of the Companys Independent Directors. The Sub-Administration Agreement may be terminated
upon at least 60 days written notice and without penalty by the vote of a majority of the outstanding securities of the Company, or by the vote of the Board of Directors or by either party to the Sub-Administration Agreement.

For the three month and nine month periods ended September 30, 2016, fees incurred in connection with the Sub-Administration Agreement, which
amounted to $154 and $442, respectively, were included in other general and administrative in the accompanying Consolidated Statements of Operations. For the three month and nine month periods ended September 30, 2015, fees incurred in connection
with the Sub-Administration Agreement, which amounted to $134 and $353, respectively, were included in other general and administrative in the accompanying Consolidated Statements of Operations. As of September 30, 2016 and December 31, 2015, $153
and $138, respectively, was unpaid and included in other accrued expenses and liabilities in the accompanying Consolidated Statements of Assets and Liabilities.



39



---

##### Table of Contents

Placement Fees

On April 3, 2013, the Company entered into a placement fee arrangement with TCG Securities, L.L.C. (TCG), a licensed
broker-dealer and an affiliate of the Investment Adviser, which may require stockholders to pay a placement fee to TCG for TCGs services.

For the three month and nine month periods ended September 30, 2016, TCG earned placement fees of $2 and $8, respectively, from GMS Finance
stockholders in connection with the issuance or sale of the Companys common stock. For the three month and nine month periods ended September 30, 2015, TCG earned placement fees of $2 and $4, respectively, from GMS Finance stockholders in
connection with the issuance or sale of the Companys common stock.

Board of Directors

GMS Finances Board of Directors currently consists of five members, three of whom are Independent Directors. The Board of Directors has
established an Audit Committee consisting of its Independent Directors and a Pricing Committee of the Board of Directors (the Pricing Committee), and may establish additional committees in the future. For the three month and nine month
periods ended September 30, 2016, GMS Finance incurred $146 and $410, respectively and for the three month and nine month periods ended September 30, 2015, GMS Finance incurred $109 and $316 respectively, in fees and expenses associated
with its Independent Directors, the Audit Committee and the Pricing Committee. As of September 30, 2016 and December 31, 2015, $0 was unpaid and included in other accrued expenses and liabilities in the accompanying Consolidated Statements of
Assets and Liabilities. As of September 30, 2016 and December 31, 2015, current directors had committed $607 in capital commitments to the Company.

Transactions

On May 13, 2016, the
Company sold an investment to a wholly-owned subsidiary of Credit Fund for proceeds of $20,038. The Company had no realized gain or loss on this trade. See Note 5, Middle Market Credit Fund, LLC, for further information about Credit Fund.

5. MIDDLE MARKET CREDIT FUND, LLC

Overview

On February 29, 2016, the Company and Credit Partners entered into the Limited Liability Company Agreement to co-manage Credit
Fund, an unconsolidated Delaware limited liability company. Credit Fund primarily invests in first lien loans of middle-market companies. Credit Fund is managed by a six-member board of managers, on which the Company and Credit Partners each have
equal representation. The Company and Credit Partners each have 50% economic ownership of Credit Fund and have commitments to fund, from time to time, capital of up to $400,000 each. Funding of such commitments generally requires the approval of the
board of Credit Fund, including the board members appointed by the Company.

Together with Credit Partners, the Company co-invests through
Credit Fund. Portfolio and investment decisions with respect to Credit Fund must be unanimously approved by a quorum of Credit Funds investment committee consisting of an equal number of representatives of the Company and Credit Partners.
Therefore, although the Company owns more than 25% of the voting securities of Credit Fund, the Company does not believe that it has control over Credit Fund (other than for purposes of the Investment Company Act).

Middle Market Credit Fund SPV, LLC (the Credit Fund Sub), a Delaware limited liability company, was formed on April 5, 2016.
Credit Fund Sub primarily invests in first lien loans of middle-market companies. Credit Fund Sub is a wholly-owned subsidiary of Credit Fund and is consolidated in Credit Funds consolidated financial statements commencing from the date of its
formation.



40



---

##### Table of Contents

Selected Financial Data

Since inception of Credit Fund and through September 30, 2016, the Company and Credit Partners each made capital contributions of $1 in
members equity and $24,000 in subordinated loans to Credit Fund. Additionally, Credit Fund borrowed $31,800 in mezzanine loans under a revolving credit facility with the Company (the Credit Fund Facility). As of September 30,
2016, Credit Fund had subordinated loans and members capital of $51,917 and mezzanine loans of $31,800. The Companys ownership interest in such subordinated loans and members capital was $25,958 and in such mezzanine loans was
$31,800.

As of September 30, 2016, Credit Fund held cash and cash equivalents totaling $4,076.

As of September 30, 2016, Credit Fund had total investments at fair value of $292,830, which was comprised of first lien senior secured loans
and second lien senior secured loans to 20 portfolio companies. As of September 30, 2016 and for the three month and nine month periods ended September 30, 2016, no loans in Credit Funds portfolio were on non-accrual status or contained PIK
provisions. The portfolio companies in Credit Fund are U.S. middle market companies in industries similar to those in which the Company may invest directly. Additionally, as of September 30, 2016, Credit Fund had commitments to fund various undrawn
revolvers and delayed draw investments to its portfolio companies totaling $35,059.

Below is a summary of Credit Funds portfolio,
followed by a listing of the loans in Credit Funds portfolio as of September 30, 2016:



|                                                                            |  |                        |         |  
|--------------------------------------------------------------------------- |  | ---------------------- | ------- | -
|                                                                            |  | As ofSeptember 30,2016 |        
|Senior secured loans (1)                                                    |  | $                      | 293,576 |  
|Weighted average yields of senior secured loans based on amortized cost (2) |  |                        | 6.26    | %
|Number of portfolio companies in Credit Fund                                |  |                        | 20      |  



|(1) | At par/principal amount.
|--- | ------------------------

|(2) | Weighted average yields do not include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of September 30, 2016. Actual yields earned over the life of each investment
could differ materially from the yields presented above.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



41



---

##### Table of Contents

|                                                                          |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|------------------------------------------------------------------------- |  | ----------------------------------------- |  | ------------ | ---- | - | ------------ |  | ---------- | ------------------- |  | - | ----------------- |  |  | ------------- | ------- |  |  | - | ------- | 
|Consolidated Schedule of Investments as of
September 30, 2016 (unaudited) | 
|Investments
(1)                                                           |  | Industry                                  |  | InterestRate |      |   | MaturityDate |  |            | Par/PrincipalAmount |  |   | AmortizedCost (5) |  |  | FairValue (6) |        
|First Lien Debt (99.32% of fair value)                                    |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|Datapipe, Inc. (2) (3) (4)                                                |  | Telecommunications                        |  |              | 5.75 | % |              |  | 3/15/2019  |                     |  | $ | 9,775             |  |  | $             | 9,681   |  |  | $ | 9,762   | 
|Diversitech Corporation (2) (3) (4)
(9)                                   |  | Capital Equipment                         |  |              | 7.00 |   |              |  | 11/19/2021 |                     |  |   | 14,840            |  |  |               | 14,645  |  |  |   | 14,780  | 
|DYK Prime Acquisition LLC (2) (3) (4)                                     |  | Chemicals, Plastics & Rubber              |  |              | 5.75 |   |              |  | 4/1/2022   |                     |  |   | 5,850             |  |  |               | 5,808   |  |  |   | 5,909   | 
|EIP Merger Sub, LLC(Evolve IP) (2) (3) (4) (7)
(16)                       |  | Telecommunications                        |  |              | 7.25 |   |              |  | 6/7/2021   |                     |  |   | 23,048            |  |  |               | 22,379  |  |  |   | 22,811  | 
|Generation Brands Holdings, Inc. (2) (3) (4)                              |  | Durable Consumer Goods                    |  |              | 6.00 |   |              |  | 6/10/2022  |                     |  |   | 19,950            |  |  |               | 19,754  |  |  |   | 20,058  | 
|Jensen Hughes, Inc. (2) (3) (4) (8)                                       |  | Utilities: Electric                       |  |              | 6.00 |   |              |  | 12/4/2021  |                     |  |   | 21,120            |  |  |               | 20,883  |  |  |   | 21,121  | 
|Kestra Financial, Inc.(2) (3) (4)                                         |  | Banking, Finance, Insurance & Real Estate |  |              | 6.25 |   |              |  | 6/24/2022  |                     |  |   | 19,950            |  |  |               | 19,671  |  |  |   | 19,860  | 
|MSHC, Inc.(2) (3) (4) (10)                                                |  | Construction & Building                   |  |              | 6.00 |   |              |  | 7/19/2021  |                     |  |   | 13,210            |  |  |               | 13,083  |  |  |   | 13,138  | 
|Netsmart Technologies, Inc.(2) (3)
(4)                                    |  | High Tech Industries                      |  |              | 5.75 |   |              |  | 4/19/2023  |                     |  |   | 12,369            |  |  |               | 12,252  |  |  |   | 12,452  | 
|PAI Holdco, Inc.(Parts Authority)(2) (3)
(4)                              |  | Automotive                                |  |              | 5.75 |   |              |  | 12/30/2022 |                     |  |   | 9,975             |  |  |               | 9,908   |  |  |   | 9,953   | 
|Pasternack Enterprises, Inc.(Infinite RF)(2)
(3) (4)                      |  | Capital Equipment                         |  |              | 6.00 |   |              |  | 5/27/2022  |                     |  |   | 11,970            |  |  |               | 11,869  |  |  |   | 11,996  | 
|QW Holding Corporation (Quala)(2) (3) (4) (12)
(15)                       |  | Environmental Industries                  |  |              | 7.75 |   |              |  | 8/31/2022  |                     |  |   | 3,677             |  |  |               | 3,178   |  |  |   | 3,363   | 
|RelaDyne Inc. (2) (3) (4) (11)                                            |  | Wholesale                                 |  |              | 6.25 |   |              |  | 7/22/2022  |                     |  |   | 22,635            |  |  |               | 22,222  |  |  |   | 22,520  | 
|T2 Systems Canada, Inc. (2) (3) (4)                                       |  | Transportation: Consumer                  |  |              | 7.75 |   |              |  | 9/28/2022  |                     |  |   | 2,707             |  |  |               | 2,639   |  |  |   | 2,675   | 
|T2 Systems, Inc. (2) (3) (4) (13)                                         |  | Transportation: Consumer                  |  |              | 7.75 |   |              |  | 9/28/2022  |                     |  |   | 15,338            |  |  |               | 14,911  |  |  |   | 15,137  | 
|The Original Cakerie, Ltd.(Canada) (2) (3)
(4)(14)                        |  | Beverage, Food & Tobacco                  |  |              | 6.00 |   |              |  | 7/20/2021  |                     |  |   | 7,027             |  |  |               | 6,960   |  |  |   | 7,007   | 
|The Original Cakerie, Co.(Canada) (2) (3)
(4)                             |  | Beverage, Food & Tobacco                  |  |              | 6.50 |   |              |  | 7/20/2021  |                     |  |   | 3,630             |  |  |               | 3,597   |  |  |   | 3,616   | 
|TK USA Enterprises, Inc.(2) (3) (4)                                       |  | Construction & Building                   |  |              | 6.00 |   |              |  | 4/4/2023   |                     |  |   | 19,900            |  |  |               | 19,620  |  |  |   | 20,099  | 
|U.S. Acute Care Solutions, LLC (2) (3)
(4)                                |  | Health & Pharmaceuticals                  |  |              | 6.00 |   |              |  | 5/15/2021  |                     |  |   | 19,950            |  |  |               | 19,760  |  |  |   | 19,930  | 
|Vantage Specialty Chemicals,Inc.(2) (3)
(4)                               |  | Chemicals, Plastics & Rubber              |  |              | 5.50 |   |              |  | 2/5/2021   |                     |  |   | 17,955            |  |  |               | 17,824  |  |  |   | 17,951  | 
|WIRBCopernicus Group, Inc. (2) (3)
(4)                                   |  | Health & Pharmaceuticals                  |  |              | 6.00 |   |              |  | 8/12/2022  |                     |  |   | 8,000             |  |  |               | 7,933   |  |  |   | 7,986   | 
|Zest Holdings, LLC (2) (3) (4)                                            |  | Durable Consumer Goods                    |  |              | 5.25 |   |              |  | 8/16/2020  |                     |  |   | 8,700             |  |  |               | 8,657   |  |  |   | 8,717   | 
|                                                                          |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|First Lien Debt Total                                                     |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  | $             | 287,234 |  |  | $ | 290,841 | 
|                                                                          |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|Second Lien Debt (0.68% of fair value)                                    |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|Vantage Specialty Chemicals,Inc.(2) (3)
(4)                               |  | Chemicals, Plastics & Rubber              |  |              | 9.75 | % |              |  | 2/5/2022   |                     |  | $ | 2,000             |  |  | $             | 1,961   |  |  | $ | 1,989   | 
|                                                                          |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|Second Lien Debt Total                                                    |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  | $             | 1,961   |  |  | $ | 1,989   | 
|                                                                          |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 
|Total Investments                                                         |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  | $             | 289,195 |  |  | $ | 292,830 | 
|                                                                          |  |                                           |  |              |      |   |              |  |            |                     |  |   |                   |  |  |               |         |  |  |   |         | 



|(1) | Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of September 30, 2016, the geographical composition of investments as a percentage of fair value was 3.63% in
Canada and 96.37% in the United States.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Variable rate loans to the portfolio companies bear interest at a rate that may be determined by reference to either LIBOR or an alternate base rate (commonly based on the Federal Funds Rate or the Prime Rate), which
generally resets quarterly. For each such loan, Credit Fund has provided the interest rate in effect as of September 30, 2016.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Loan includes interest rate floor feature.
|--- | ------------------------------------------

|(4) | Denotes that all or a portion of the assets are owned by Credit Fund Sub. Credit Fund Sub has entered into a revolving credit facility (the Credit Fund Sub Facility). The lenders of the Credit Fund Sub
Facility have a first lien security interest in substantially all of the assets of Credit Fund Sub. Accordingly, such assets are not available to creditors of Credit Fund.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(5) | Amortized cost represents original cost, including origination fees, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



42



---

##### Table of Contents

|(6) | Fair value is determined in good faith by or under the direction of the board of managers of Credit Fund, pursuant to Credit Funds valuation policy, which is substantially similar to the valuation policy of the
Company provided in Note 3, Fair Value Measurements.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(7) | Credit Fund receives less than the stated interest rate of this loan as a result of an agreement among lenders. Pursuant to the agreement among lenders, this investment represents a first lien/first out loan, which has
first priority ahead of the first lien/last out loan with respect to principal, interest and other payments.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(8) | Jensen Hughes, Inc. has an undrawn delayed draw term loan of $1,461 par value at LIBOR + 5.00%, 1.00% floor, and an undrawn revolver of $2,000 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 0.50% is charged
on the delayed draw term loan and the revolver principal while undrawn.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(9) | Diversitech Corporation has an undrawn delayed draw term loan of $5,000 par value at LIBOR + 4.50%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan while undrawn.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(10) | MSHC Inc. (Service Logic) has an undrawn delayed draw term loan of $1,790 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 1.50% is charged on the delayed draw term loan while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(11) | RelaDyne Inc. has an undrawn delayed draw term loan of $2,703 par value at LIBOR + 5.25%, 1.00% floor, and an undrawn revolver of $2,162 par value at LIBOR + 5.25%, 1.00% floor. An unused rate of 0.50% is charged on the
delayed draw term loan and the revolver principal while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(12) | QW Holding Corporation (Quala) has an undrawn delayed draw term loan of $10,825 par value at LIBOR + 6.75%, 1.00% floor, and an undrawn revolver of $5,498 par value at LIBOR + 6.75%, 1.00% floor. An unused rate of 1.00%
is charged on the delayed draw term loan and the revolver principal while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(13) | T2 Systems, Inc. has an undrawn revolver of $1,955 par value at LIBOR + 6.75%, 1.00% floor. An unused rate of 1.00% is charged on the revolver principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(14) | The Original Cakerie Ltd. (Canada) has an undrawn revolver of $1,665 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 0.50% is charged on the revolver principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(15) | Denotes that all or a portion of the assets are owned by Credit Fund. Credit Fund has entered into the Credit Fund Facility. The lenders of the Credit Fund Facility have a first lien security interest in substantially
all of the assets of Credit Fund. Accordingly, such assets are not available to creditors of Credit Fund Sub.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(16) | Credit Fund receives less than the stated interest rate of this loan as a result of an agreement among lenders. The interest rate reduction is 1.25% on EIP Merger Sub, LLC (Evolve IP). Pursuant to the agreement among
lenders in respect of this loan, this investment represents a first lien/first out loan, which has first priority ahead of the first lien/last out loan with respect to principal, interest and other payments.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



43



---

##### Table of Contents

Below is certain summarized consolidated financial information for Credit Fund as of September
30, 2016 and for the three and nine months ended September 2016. Credit Fund commenced operations in May 2016.



|                                                        |  |                    |         | 
|------------------------------------------------------- |  | ------------------ | ------- | 
|                                                        |  | September 30, 2016 |        
|                                                        |  | (unaudited)        |        
|Selected Consolidated Balance Sheet Information         |  |                    |         | 
|ASSETS                                                  |  |                    |         | 
|Investments, at fair value (amortized cost of $289,195) |  | $                  | 292,830 | 
|Cash and other assets                                   |  |                    | 8,473   | 
|                                                        |  |                    |         | 
|Total assets                                            |  | $                  | 301,303 | 
|                                                        |  |                    |         | 
|LIABILITIES AND MEMBERS EQUITY                         |  |                    |         | 
|Secured borrowings                                      |  | $                  | 206,075 | 
|Mezzanine loans                                         |  |                    | 31,800  | 
|Other liabilities                                       |  |                    | 11,511  | 
|Subordinated loans and members equity                  |  |                    | 51,917  | 
|                                                        |  |                    |         | 
|Liabilities and members equity                         |  | $                  | 301,303 | 
|                                                        |  |                    |         | 



|                                                                    |  |                                                   |       |  |                                                  |   |       | 
|------------------------------------------------------------------- |  | ------------------------------------------------- | ----- |  | ------------------------------------------------ | - | ----- | 
|                                                                    |  | For the three monthperiod endedSeptember 30, 2016 |       |  | For the nine monthperiod endedSeptember 30, 2016 |  
|                                                                    |  | (unaudited)                                       |       |  | (unaudited)                                      |  
|Selected Consolidated Statement of Operations Information:          |  |                                                   |       |  |                                                  |   |       | 
|Total investment income                                             |  | $                                                 | 3,642 |  |                                                  | $ | 3,658 | 
|                                                                    |  |                                                   |       |  |                                                  |   |       | 
|Expenses                                                            |  |                                                   |       |  |                                                  |   |       | 
|Interest and credit facility expenses                               |  |                                                   | 1,798 |  |                                                  |   | 1,836 | 
|Other expenses                                                      |  |                                                   | 496   |  |                                                  |   | 883   | 
|                                                                    |  |                                                   |       |  |                                                  |   |       | 
|Total expenses                                                      |  |                                                   | 2,294 |  |                                                  |   | 2,719 | 
|                                                                    |  |                                                   |       |  |                                                  |   |       | 
|Net investment income (loss)                                        |  |                                                   | 1,348 |  |                                                  |   | 939   | 
|                                                                    |  |                                                   |       |  |                                                  |   |       | 
|Net realized gain (loss) on investments                             |  |                                                   | 41    |  |                                                  |   | 41    | 
|Net change in unrealized appreciation (depreciation) on investments |  |                                                   | 3,798 |  |                                                  |   | 3,634 | 
|                                                                    |  |                                                   |       |  |                                                  |   |       | 
|Net increase (decrease) resulting from operations                   |  | $                                                 | 5,187 |  |                                                  | $ | 4,614 | 
|                                                                    |  |                                                   |       |  |                                                  |   |       | 

Debt

Credit
Fund Facility

Credit Fund closed on June 24, 2016 on a revolving credit facility, the Credit Fund Facility, from which Credit Fund may
from time to time request mezzanine loans from the Company. The maximum principal amount of the Credit Fund Facility is $100,000.

During
the nine month period ended September 30, 2016, there were mezzanine loan borrowings of $54,200 and repayments of $22,400 under the Credit Fund Facility. As of September 30, 2016, there were $31,800 in mezzanine loans outstanding.

Credit Fund Sub Facility

Credit Fund Sub
closed on June 24, 2016 on the Credit Fund Sub Facility. The Credit Fund Sub Facility provides for secured borrowings during the applicable revolving period up to an amount equal to $440,000, with



44



---

##### Table of Contents

an accordion feature that can increase the aggregate maximum credit commitment up to an amount not to exceed $1,400,000. The facility is secured by a first lien security interest in substantially
all of the portfolio investments held by Credit Fund Sub and the Companys and Credit Partners unfunded capital commitments.

During the nine month period ended September 30, 2016, there were secured borrowings of $206,075 under the Credit Fund Sub Facility. As of
September 30, 2016, there was $206,075 in secured borrowings outstanding.

6. BORROWINGS

In accordance with the Investment Company Act, the Company is only allowed to borrow amounts such that its asset coverage, as defined in the
Investment Company Act, is at least 200% after such borrowing. As of September 30, 2016 and December 31, 2015, asset coverage was 209.46%, and 212.70%, respectively. During the nine month period ended September 30, 2016, there were secured
borrowings of $411,435 under the Revolving Credit Facility and Facility and repayments of $250,732 under the Revolving Credit Facility and Facility. During the nine month period ended September 30, 2015, there were secured borrowings of $320,200
under the Revolving Credit Facility and Facility and repayments of $449,183 under the Revolving Credit Facility and Facility. As of September 30, 2016 and December 31, 2015, there was $395,016 and $234,313, respectively, in secured borrowings
outstanding.

Revolving Credit Facility

The Borrower Sub closed on May 24, 2013 on the Revolving Credit Facility, which was subsequently amended on June 30, 2014, June 19, 2015 and
June 9, 2016. The Revolving Credit Facility provides for secured borrowings during the applicable revolving period up to an amount equal to the lesser of $400,000 (the borrowing base as calculated pursuant to the terms of the Revolving Credit
Facility) and the amount of net cash proceeds and unpledged capital commitments the Company has received, with an accordion feature that can, subject to certain conditions, increase the aggregate maximum credit commitment up to an amount not to
exceed $750,000, subject to restrictions imposed on borrowings under the Investment Company Act and certain restrictions and conditions set forth in the Revolving Credit Facility, including adequate collateral to support such borrowings. The
Revolving Credit Facility has a revolving period through May 23, 2019 and a maturity date of May 22, 2021. Borrowings under the Revolving Credit Facility bear interest initially at the applicable commercial paper rate (if the lender is a conduit
lender) or LIBOR (or, if applicable, a rate based on the prime rate or federal funds rate) plus 2.00% per year through May 23, 2018, with a pre-determined future interest rate increase of 0.50% during the final year of the revolving period and
pre-determined future interest rate increases of 0.875%-1.75% over the two years following the end of the revolving period. The Borrower Sub is also required to pay an undrawn commitment fee of between 0.25% and 0.75% per year depending on the usage
of the Revolving Credit Facility. Payments under the Revolving Credit Facility are made quarterly. The lenders have a first lien security interest on substantially all of the assets of the Borrower Sub.

As part of the Revolving Credit Facility, the Borrower Sub is subject to limitations as to how borrowed funds may be used and the types of
loans that are eligible to be acquired by the Borrower Sub including, but not limited to, restrictions on sector and geographic concentrations, loan size, payment frequency, tenor and minimum investment ratings (or estimated ratings). In addition,
borrowed funds are intended to be used primarily to purchase first lien loan assets, and the Borrower Sub is limited in its ability to purchase certain other assets (including, but not limited to, second lien loans, covenant-lite loans, revolving
and delayed draw loans and discount loans) and other assets are not permitted to be purchased (including, but not limited to paid-in-kind loans and structured finance obligations). The Revolving Credit Facility has certain requirements relating to
interest coverage, collateral quality and portfolio performance, including limitations on delinquencies and charge offs, certain violations of which could result in the immediate acceleration of the amounts due under the Revolving Credit Facility.
The Revolving Credit Facility is also subject to a borrowing base that applies different advance rates to assets held by the Borrower Sub based generally on the fair market value of such assets. Under certain circumstances as set forth in the
Revolving Credit Facility, the Company could be obliged to repurchase loans from the Borrower Sub.



45



---

##### Table of Contents

As of September 30, 2016 and December 31, 2015, the Borrower Sub was in compliance with all
covenants and other requirements of the Revolving Credit Facility.

Facility

The Company closed on March 21, 2014 on the Facility, which was subsequently amended on January 8, 2015 and May 25, 2016 (the Second
Facility Amendment). The maximum principal amount of the Facility is $220,000, subject to availability under the Facility, which is based on certain advance rates multiplied by the value of the Companys portfolio investments (subject to
certain concentration limitations) net of certain other indebtedness that the Company may incur in accordance with the terms of the Facility. Proceeds of the Facility may be used for general corporate purposes, including the funding of portfolio
investments. Maximum capacity under the Facility may be increased to $225,000 through the exercise by the Company of an uncommitted accordion feature through which existing and new lenders may, at their option, agree to provide additional financing.
The Facility includes a $20,000 limit for swingline loans and a $5,000 limit for letters of credit. The Company may borrow amounts in U.S. dollars or certain other permitted currencies. Amounts drawn under the Facility, including amounts drawn in
respect of letters of credit, bear interest at either LIBOR plus an applicable spread of 2.25%, or an alternative base rate (which is the highest of a prime rate, the federal funds effective rate plus 0.50%, or one month LIBOR plus
1.00%) plus an applicable spread of 1.25%. The Company may elect either the LIBOR or the alternative base rate at the time of drawdown, and loans may be converted from one rate to another at any time, subject to certain conditions. The
Company also pays a fee of 0.375% on undrawn amounts under the Facility and, in respect of each undrawn letter of credit, a fee and interest rate equal to the then-applicable margin under the Facility while the letter of credit is outstanding. The
availability period under the Facility will terminate on March 21, 2020 and the Facility will mature on March 21, 2021. During the period from March 21, 2020 to March 21, 2021, the Company will be obligated to make mandatory prepayments under the
Facility out of the proceeds of certain asset sales, other recovery events and equity and debt issuances.

Subject to certain exceptions,
the Facility is secured by a first lien security interest in substantially all of the portfolio investments held by the Company and the Companys unfunded investor equity capital commitments (provided that the amount of unfunded capital
commitments ultimately available to the lenders is limited to $100,000). The pledge of unfunded investor equity capital commitments was subject to release once $100,000 of incremental capital had been called and received by the Company subsequent to
January 8, 2015. The pledge of unfunded investor equity capital commitments had been released as of September 30, 2016. The Facility includes customary covenants, including certain financial covenants related to asset coverage, shareholders
equity and liquidity, certain limitations on the incurrence of additional indebtedness and liens, and other maintenance covenants, as well as usual and customary events of default for senior secured revolving credit facilities of this nature.

Related to the Second Facility Amendment, $380 of deferred financing costs (representing the prorated financing costs related to a departing
lender) were immediately expensed on May 25, 2016 in lieu of continuing to amortize over the term of the Facility.

As of September
30, 2016 and December 31, 2015, the Company was in compliance with all covenants and other requirements of the Facility.



46



---

##### Table of Contents

Summary of Facilities

The facilities of the Company and the Borrower Sub consisted of the following as of September 30, 2016 and December 31, 2015:



|                          |  |                    |         |  |                       |   |         |                   |  |   |                    |  |  |   |        | 
|------------------------- |  | ------------------ | ------- |  | --------------------- | - | ------- | ----------------- |  | - | ------------------ |  |  | - | ------ | 
|                          |  | September 30, 2016 |        
|                          |  | Total Facility     |         |  | BorrowingsOutstanding |   |         | Unused Portion(1) |  |   | AmountAvailable(2) | 
|Revolving Credit Facility |  | $                  | 400,000 |  |                       | $ | 196,016 |                   |  | $ | 203,984            |  |  | $ | 11,377 | 
|Facility                  |  |                    | 220,000 |  |                       |   | 199,000 |                   |  |   | 21,000             |  |  |   | 21,000 | 
|                          |  |                    |         |  |                       |   |         |                   |  |   |                    |  |  |   |        | 
|Total                     |  | $                  | 620,000 |  |                       | $ | 395,016 |                   |  | $ | 224,984            |  |  | $ | 32,377 | 
|                          |  |                    |         |  |                       |   |         |                   |  |   |                    |  |  |   |        | 



|                          |  |                   |         |  |                       |   |         |                   |  |   |                    |  |  |   |        | 
|------------------------- |  | ----------------- | ------- |  | --------------------- | - | ------- | ----------------- |  | - | ------------------ |  |  | - | ------ | 
|                          |  | December 31, 2015 |        
|                          |  | Total Facility    |         |  | BorrowingsOutstanding |   |         | Unused Portion(1) |  |   | AmountAvailable(2) | 
|Revolving Credit Facility |  | $                 | 400,000 |  |                       | $ | 170,313 |                   |  | $ | 229,687            |  |  | $ | 3,155  | 
|Facility                  |  |                   | 150,000 |  |                       |   | 64,000  |                   |  |   | 86,000             |  |  |   | 86,000 | 
|                          |  |                   |         |  |                       |   |         |                   |  |   |                    |  |  |   |        | 
|Total                     |  | $                 | 550,000 |  |                       | $ | 234,313 |                   |  | $ | 315,687            |  |  | $ | 89,155 | 
|                          |  |                   |         |  |                       |   |         |                   |  |   |                    |  |  |   |        | 



|(1) | The unused portion is the amount upon which commitment fees are based.
|--- | ----------------------------------------------------------------------

|(2) | Available for borrowing based on the computation of collateral to support the borrowings.
|--- | -----------------------------------------------------------------------------------------

As
of September 30, 2016 and December 31, 2015, $1,365 and $966, respectively, of interest expense, $250 and $141, respectively, of unused commitment fees and $22 and $22, respectively, of other fees were included in interest and credit facility
fees payable. For the three month and nine month periods ended September 30, 2016, the weighted average interest rate was 2.75% and 2.67%, respectively, and average principal debt outstanding was $292,084 and $277,575, respectively. For the three
month and nine month periods ended September 30, 2015, the weighted average interest rate was 2.28% and 2.22%, respectively, and average principal debt outstanding was $167,952 and $285,547, respectively. As of September 30, 2016 and December 31,
2015, the interest rate was 2.85% and 2.37%, respectively, based on floating LIBOR rates.

For the three month and nine month periods
ended September 30, 2016 and 2015, the components of interest expense and credit facility fees on the facilities were as follows:



|                                                |  |                                  |       |  |                                 |   |       |                    |  |   |                    |  |  |   |       | 
|----------------------------------------------- |  | -------------------------------- | ----- |  | ------------------------------- | - | ----- | ------------------ |  | - | ------------------ |  |  | - | ----- | 
|                                                |  | For the three month periodsended |       |  | For the nine month periodsended |  
|                                                |  | September 30,
2016               |       |  | September 30,
2015              |   |       | September 30,
2016 |  |   | September 30,
2015 | 
|Interest expense                                |  | $                                | 2,071 |  |                                 | $ | 996   |                    |  | $ | 5,661              |  |  | $ | 4,815 | 
|Facility unused commitment fee                  |  |                                  | 351   |  |                                 |   | 282   |                    |  |   | 1,034              |  |  |   | 587   | 
|Amortization of deferred financing costs        |  |                                  | 305   |  |                                 |   | 215   |                    |  |   | 1,027              |  |  |   | 728   | 
|Other fees                                      |  |                                  | 26    |  |                                 |   | 25    |                    |  |   | 78                 |  |  |   | 81    | 
|                                                |  |                                  |       |  |                                 |   |       |                    |  |   |                    |  |  |   |       | 
|Total interest expense and credit facility fees |  | $                                | 2,753 |  |                                 | $ | 1,518 |                    |  | $ | 7,800              |  |  | $ | 6,211 | 
|                                                |  |                                  |       |  |                                 |   |       |                    |  |   |                    |  |  |   |       | 
|Cash paid for interest expense                  |  | $                                | 2,023 |  |                                 | $ | 1,518 |                    |  | $ | 5,231              |  |  | $ | 5,080 | 

7. 2015-1 Notes

On June 26, 2015, the Company completed the 2015-1 Debt Securitization. The 2015-1 Notes were issued by the 2015-1 Issuer, a wholly-owned and
consolidated subsidiary of the Company, and are secured by a diversified portfolio of the 2015-1 Issuer consisting primarily of first and second lien senior secured loans. The 2015-1 Debt Securitization was executed through a private placement of
the 2015-1 Notes, consisting of $160 million of Aaa/AAA Class A-1A Notes which bear interest at the three-month London Interbank Offered Rate



47



---

##### Table of Contents

(LIBOR) plus 1.85%; $40 million of Aaa/AAA Class A-1B Notes which bear interest at the three-month LIBOR plus 1.75% for the first 24 months and the three-month LIBOR plus 2.05%
thereafter; $27 million of Aaa/AAA Class A-1C Notes which bear interest at 3.75%; and $46 million of Aa2 Class A-2 Notes which bear interest at the three month LIBOR plus 2.70%. The 2015-1 Notes were issued at par and are scheduled to mature on July
15, 2027. The Company received 100% of the preferred interests (the Preferred Interests) issued by the 2015-1 Issuer on the closing date of the 2015-1 Debt Securitization in exchange for the Companys contribution to the Issuer of
the initial closing date loan portfolio. The Preferred Interests do not bear interest and had a nominal value of $125.9 million at closing. In connection with the contribution, the Company made customary representations, warranties and covenants to
the 2015-1 Issuer in the purchase agreement. The Class A-1A, Class A-1B and Class A-1C and Class A-2 Notes are included in the September 30, 2016 consolidated financial statements. The Preferred Interests were eliminated in consolidation.

On the closing date of the 2015-1 Debt Securitization, the 2015-1 Issuer effected a one-time distribution to the Company of a substantial
portion of the proceeds of the private placement of the 2015-1 Notes, net of expenses, which distribution was used to repay a portion of certain amounts outstanding under the Revolving Credit Facility and the Facility. As part of the 2015-1 Debt
Securitization, certain first and second lien senior secured loans were distributed by the Borrower Sub to the Company pursuant to a distribution and contribution agreement. The Company contributed the loans that comprised the initial closing date
loan portfolio (including the loans distributed to the Company from the Borrower Sub) to the 2015-1 Issuer pursuant to a contribution agreement. Future loan transfers from the Company to the 2015-1 Issuer will be made pursuant to a sale agreement
and are subject to the approval of the Companys Board of Directors. Assets of the 2015-1 Issuer are not available to the creditors of the Borrower Sub or the Company. In connection with the issuance and sale of the 2015-1 Notes, the Company
made customary representations, warranties and covenants in the purchase agreement.

During the reinvestment period, pursuant to the
indenture governing the 2015-1 Notes, all principal collections received on the underlying collateral may be used by the 2015-1 Issuer to purchase new collateral under the direction of Investment Adviser in its capacity as collateral manager of the
2015-1 Issuer and in accordance with the Companys investment strategy.

The Investment Adviser serves as collateral manager to the
2015-1 Issuer under a collateral management agreement (the Collateral Management Agreement). Pursuant to the Collateral Management Agreement, the 2015-1 Issuer pays management fees (comprised of base management fees, subordinated
management fees and incentive management fees) (Management Fees) to the Investment Adviser for rendering collateral management services. As per the Collateral Management Agreement, for the period the Company retains all of the Preferred
Interests, the Investment Adviser does not earn Management Fees for providing such collateral management services. The Company currently retains all of the Preferred Interests, thus the Investment Adviser did not earn any management fees from the
2015-1 Issuer for the three month and nine month periods ended September 30, 2016. Any such waived fees may not be recaptured by the Investment Adviser.

Pursuant to an undertaking by the Company in connection with the 2015-1 Debt Securitization, the Company has agreed to hold on an ongoing
basis Preferred Interests with an aggregate dollar purchase price at least equal to 5% of the aggregate outstanding amount of all collateral obligations by the 2015-1 Issuer for so long as any securities of the 2015-1 Issuer remain outstanding. As
of September 30, 2016, the Company was in compliance with its undertaking.

The 2015-1 Issuer pays ongoing administrative expenses to the
trustee, independent accountants, legal counsel, rating agencies and independent managers in connection with developing and maintaining reports, and providing required services in connection with the administration of the 2015-1 Issuer.

As of September 30, 2016, there were 57 first lien and second lien senior secured loans with a total fair value of approximately $389,197
securing the 2015-1 Notes. The pool of loans in the securitization must meet certain requirements, including asset mix and concentration, term, agency rating, collateral coverage, minimum coupon, minimum spread and sector diversity requirements in
the indenture governing the 2015-1 Notes.



48



---

##### Table of Contents

For the nine months ended September 30, 2016, the effective annualized weighted average interest
rate, which includes amortization of debt issuance costs on the 2015-1 Notes, was 2.84% based on floating LIBOR rates.

For the three
month and nine month periods ended September 30, 2016 and 2015, the components of interest expense on the 2015-1 Notes were as follows:



|                                                |  |                                   |       |  |                                  |   |       |                    |  |   |                    |  |  |   |       | 
|----------------------------------------------- |  | --------------------------------- | ----- |  | -------------------------------- | - | ----- | ------------------ |  | - | ------------------ |  |  | - | ----- | 
|                                                |  | For the three month periods ended |       |  | For the nine month periods ended |  
|                                                |  | September 30, 2016                |       |  | September 30, 2015               |   |       | September 30, 2016 |  |   | September 30, 2015 | 
|Interest expense                                |  | $                                 | 1,929 |  |                                  | $ | 1,611 |                    |  | $ | 5,661              |  |  | $ | 1,698 | 
|Amortization of deferred financing costs        |  |                                   | 51    |  |                                  |   | 51    |                    |  |   | 153                |  |  |   | 54    | 
|                                                |  |                                   |       |  |                                  |   |       |                    |  |   |                    |  |  |   |       | 
|Total interest expense and credit facility fees |  | $                                 | 1,980 |  |                                  | $ | 1,662 |                    |  | $ | 5,814              |  |  | $ | 1,752 | 
|                                                |  |                                   |       |  |                                  |   |       |                    |  |   |                    |  |  |   |       | 
|Cash paid for interest expense                  |  | $                                 | 1,883 |  |                                  | $ |      |                    |  | $ | 5,469              |  |  | $ |      | 

8. COMMITMENTS AND CONTINGENCIES

A summary of significant contractual payment obligations was as follows as of September 30, 2016 and December 31, 2015:



|                      |  |                                        |         |  |                   |   |         |                    |  |   |                   |  |  |   |         | 
|--------------------- |  | -------------------------------------- | ------- |  | ----------------- | - | ------- | ------------------ |  | - | ----------------- |  |  | - | ------- | 
|                      |  | Revolving Credit Facility and Facility |         |  | 2015-1 Notes      |  
|Payment Due by Period |  | September 30, 2016                     |         |  | December 31, 2015 |   |         | September 30, 2016 |  |   | December 31, 2015 | 
|Less than 1 Year      |  | $                                      |        |  |                   | $ |        |                    |  | $ |                  |  |  | $ |        | 
|1-3 Years             |  |                                        |        |  |                   |   |        |                    |  |   |                  |  |  |   |        | 
|3-5 Years             |  |                                        | 395,016 |  |                   |   | 64,000  |                    |  |   |                  |  |  |   |        | 
|More than 5 Years     |  |                                        |        |  |                   |   | 170,313 |                    |  |   | 273,000           |  |  |   | 273,000 | 
|                      |  |                                        |         |  |                   |   |         |                    |  |   |                   |  |  |   |         | 
|Total                 |  | $                                      | 395,016 |  |                   | $ | 234,313 |                    |  | $ | 273,000           |  |  | $ | 273,000 | 
|                      |  |                                        |         |  |                   |   |         |                    |  |   |                   |  |  |   |         | 

In the ordinary course of its business, the Company enters into contracts or agreements that contain
indemnification and warranties. Future events could occur that lead to the execution of these provisions against the Company. The Company believes that the likelihood of such an event is remote; however, the maximum potential exposure is unknown. No
accrual has been made in the consolidated financial statements as of September 30, 2016 and December 31, 2015 for any such exposure.

As of September 30, 2016 and December 31, 2015, the Company had $1,210,870 and $1,174,340, respectively, in total capital commitments
from stockholders, of which $445,642 and $559,214, respectively, was unfunded. As of September 30, 2016, current directors had committed $608 in capital commitments to the Company.

The Company had the following unfunded commitments to fund delayed draw and revolving senior secured loans as of the indicated dates:



|                                         |  |                    |        |  |                   |   |        | 
|---------------------------------------- |  | ------------------ | ------ |  | ----------------- | - | ------ | 
|                                         |  | Par Value as of    |       
|                                         |  | September 30, 2016 |        |  | December 31, 2015 |  
|Unfunded delayed draw commitments        |  | $                  | 44,358 |  |                   | $ | 20,695 | 
|Unfunded revolving term loan commitments |  |                    | 19,765 |  |                   |   | 3,906  | 
|                                         |  |                    |        |  |                   |   |        | 
|Total unfunded commitments               |  | $                  | 64,123 |  |                   | $ | 24,601 | 
|                                         |  |                    |        |  |                   |   |        | 

As of September 30, 2016, the Company had remaining commitments to fund, from time to time, capital to Credit
Fund of up to $375,999. Funding of such commitments generally requires the approval of the board of Credit Fund, including the board members appointed by the Company. As of September 30, 2016, the Company had remaining commitments to fund, from time
to time, mezzanine loans to Credit Fund of up to $68,200, of which $1,280 was available for borrowing based on the computation of collateral to support the borrowings.



49



---

##### Table of Contents

9. NET ASSETS

The Company has the authority to issue 200,000,000 shares of common stock, $0.01 per share par value.

During the nine month period ended September 30, 2016, the Company issued 8,267,399 shares for $150,296 including reinvestment of dividends.
The following table summarizes capital activity during the nine month period ended September 30, 2016:



|                                                                    |  |              |            |  |                             |   |     |               |  |   |                                        |  |  |                                                 |     |   |                                                                   |   |         |                 |  |   |         |   |  |   |         |   |  |   |         |  
|------------------------------------------------------------------- |  | ------------ | ---------- |  | --------------------------- | - | --- | ------------- |  | - | -------------------------------------- |  |  | ----------------------------------------------- | --- | - | ----------------------------------------------------------------- | - | ------- | --------------- |  | - | ------- | - |  | - | ------- | - |  | - | ------- | -
|                                                                    |  | Common Stock |            |  | Capitalin Excessof ParValue |   |     | OfferingCosts |  |   | AccumulatedNet InvestmentIncome (Loss) |  |  | AccumulatedNet RealizedGain (Loss)onInvestments |     |   | Accumulated NetUnrealizedAppreciation(Depreciation) onInvestments |   |         | Total NetAssets | 
|                                                                    |  | Shares       |            |  | Amount                      |   |     |               |  |   |                                        | 
|Balance, beginning of period                                        |  |              | 31,524,083 |  |                             | $ | 315 |               |  | $ | 613,944                                |  |  | $                                               | (74 | ) |                                                                   | $ | (12,994 | )               |  | $ | (2,411  | ) |  | $ | (27,054 | ) |  | $ | 571,726 |  
|Common stock issued                                                 |  |              | 8,256,770  |  |                             |   | 83  |               |  |   | 150,019                                |  |  |                                                 |    |   |                                                                   |   |        |                 |  |   |        |   |  |   |        |   |  |   | 150,102 |  
|Reinvestment of dividends                                           |  |              | 10,629     |  |                             |   |    |               |  |   | 194                                    |  |  |                                                 |    |   |                                                                   |   |        |                 |  |   |        |   |  |   |        |   |  |   | 194     |  
|Net investment income (loss)                                        |  |              |           |  |                             |   |    |               |  |   |                                       |  |  |                                                 |    |   |                                                                   |   | 41,272  |                 |  |   |        |   |  |   |        |   |  |   | 41,272  |  
|Net realized gain (loss) on investments                             |  |              |           |  |                             |   |    |               |  |   |                                       |  |  |                                                 |    |   |                                                                   |   |        |                 |  |   | (9,055  | ) |  |   |        |   |  |   | (9,055  | )
|Net change in unrealized appreciation (depreciation) on investments |  |              |           |  |                             |   |    |               |  |   |                                       |  |  |                                                 |    |   |                                                                   |   |        |                 |  |   |        |   |  |   | 20,196  |   |  |   | 20,196  |  
|Dividends declared                                                  |  |              |           |  |                             |   |    |               |  |   |                                       |  |  |                                                 |    |   |                                                                   |   | (43,197 | )               |  |   |        |   |  |   |        |   |  |   | (43,197 | )
|                                                                    |  |              |            |  |                             |   |     |               |  |   |                                        |  |  |                                                 |     |   |                                                                   |   |         |                 |  |   |         |   |  |   |         |   |  |   |         |  
|Balance, end of period                                              |  |              | 39,791,482 |  |                             | $ | 398 |               |  | $ | 764,157                                |  |  | $                                               | (74 | ) |                                                                   | $ | (14,919 | )               |  | $ | (11,466 | ) |  | $ | (6,858  | ) |  | $ | 731,238 |  
|                                                                    |  |              |            |  |                             |   |     |               |  |   |                                        |  |  |                                                 |     |   |                                                                   |   |         |                 |  |   |         |   |  |   |         |   |  |   |         |  



50



---

##### Table of Contents

During the nine month period ended September 30, 2015, the Company issued 9,962,714 shares for
$193,176. The following table summarizes capital activity during the nine month period ended September 30, 2015:



|                                                                                                  |  |              |            |  |                             |   |     |                             |  |   |                         |  |  |               |        |  |                                      |   |         |                                                 |  |   |                                                                 |   |  |                 |         |   |  |   |       |   |  |   |        |   |  |   |         |  
|------------------------------------------------------------------------------------------------- |  | ------------ | ---------- |  | --------------------------- | - | --- | --------------------------- |  | - | ----------------------- |  |  | ------------- | ------ |  | ------------------------------------ | - | ------- | ----------------------------------------------- |  | - | --------------------------------------------------------------- | - |  | --------------- | ------- | - |  | - | ----- | - |  | - | ------ | - |  | - | ------- | -
|                                                                                                  |  | Common Stock |            |  | CapitalIn ExcessOf ParValue |   |     | SubscribedButUnissuedShares |  |   | SubscriptionsReceivable |  |  | OfferingCosts |        |  | AccumulatedNetInvestmentIncome(Loss) |   |         | AccumulatedNetRealized Gain(Loss) onInvestments |  |   | AccumulatedNetUnrealizedAppreciation(Depreciation)onInvestments |   |  | Total NetAssets |        
|                                                                                                  |  | Shares       |            |  | Amount                      |   |     |                             |  |   |                         |  |  |              
|Balance, beginning of period                                                                      |  |              | 17,932,697 |  |                             | $ | 179 |                             |  | $ | 351,636                 |  |  | $             |       |  |                                      | $ |        |                                                 |  | $ | (74                                                             | ) |  | $               | (4,388  | ) |  | $ | (57   | ) |  | $ | (9,039 | ) |  | $ | 338,257 |  
|Common stock issued                                                                               |  |              | 9,958,294  |  |                             |   | 100 |                             |  |   | 192,992                 |  |  |               |       |  |                                      |   |        |                                                 |  |   |                                                                |   |  |                 |        |   |  |   |      |   |  |   |       |   |  |   | 193,092 |  
|Reinvestment of dividends                                                                         |  |              | 4,420      |  |                             |   |    |                             |  |   | 84                      |  |  |               |        |  |                                      |   |         |                                                 |  |   |                                                                 |   |  |                 |         |   |  |   |       |   |  |   |        |   |  |   | 84      |  
|Subscribed but unissued shares                                                                    |  |              |           |  |                             |   |    |                             |  |   |                        |  |  |               | 24,038 |  |                                      |   |        |                                                 |  |   |                                                                |   |  |                 |        |   |  |   |      |   |  |   |       |   |  |   | 24,038  |  
|Subscriptions receivable                                                                          |  |              |           |  |                             |   |    |                             |  |   |                        |  |  |               |       |  |                                      |   | (24,038 | )                                               |  |   |                                                                |   |  |                 |        |   |  |   |      |   |  |   |       |   |  |   | (24,038 | )
|Net investment income (loss)                                                                      |  |              |           |  |                             |   |    |                             |  |   |                        |  |  |               |       |  |                                      |   |        |                                                 |  |   |                                                                |   |  |                 | 24,759  |   |  |   |      |   |  |   |       |   |  |   | 24,759  |  
|Net realized gain (loss) on investmentsnon-controlled/non-affiliated                             |  |              |           |  |                             |   |    |                             |  |   |                        |  |  |               |       |  |                                      |   |        |                                                 |  |   |                                                                |   |  |                 |        |   |  |   | 1,152 |   |  |   |       |   |  |   | 1,152   |  
|Net change in unrealized appreciation (depreciation) on
investmentsnon-controlled/non-affiliated |  |              |           |  |                             |   |    |                             |  |   |                        |  |  |               |       |  |                                      |   |        |                                                 |  |   |                                                                |   |  |                 |        |   |  |   |      |   |  |   | 2,745  |   |  |   | 2,745   |  
|Dividends declared                                                                                |  |              |           |  |                             |   |    |                             |  |   |                        |  |  |               |       |  |                                      |   |        |                                                 |  |   |                                                                |   |  |                 | (29,405 | ) |  |   |      |   |  |   |       |   |  |   | (29,405 | )
|                                                                                                  |  |              |            |  |                             |   |     |                             |  |   |                         |  |  |               |        |  |                                      |   |         |                                                 |  |   |                                                                 |   |  |                 |         |   |  |   |       |   |  |   |        |   |  |   |         |  
|Balance, end of period                                                                            |  |              | 27,895,411 |  |                             | $ | 279 |                             |  | $ | 544,712                 |  |  | $             | 24,038 |  |                                      | $ | (24,038 | )                                               |  | $ | (74                                                             | ) |  | $               | (9,034  | ) |  | $ | 1,095 |   |  | $ | (6,294 | ) |  | $ | 530,684 |  
|                                                                                                  |  |              |            |  |                             |   |     |                             |  |   |                         |  |  |               |        |  |                                      |   |         |                                                 |  |   |                                                                 |   |  |                 |         |   |  |   |       |   |  |   |        |   |  |   |         |  

The following table summarizes total shares issued and proceeds received related to capital subscriptions for
the Companys common stock and reinvestment of dividends during the nine month period ended September 30, 2016:



|                   |  |               |           |  |                   |   |         | 
|------------------ |  | ------------- | --------- |  | ----------------- | - | ------- | 
|                   |  | Shares Issued |           |  | Proceeds Received |  
|January 22, 2016*  |  |               | 3,885     |  |                   | $ | 74      | 
|March 11, 2016     |  |               | 1,815,181 |  |                   |   | 33,000  | 
|April 22, 2016*    |  |               | 2,988     |  |                   |   | 54      | 
|May 6, 2016        |  |               | 1,510,859 |  |                   |   | 26,999  | 
|June 24, 2016      |  |               | 1,660,333 |  |                   |   | 30,102  | 
|July 22, 2016*     |  |               | 3,756     |  |                   |   | 66      | 
|August 26, 2016    |  |               | 1,909,449 |  |                   |   | 35,000  | 
|September 16, 2016 |  |               | 1,360,948 |  |                   |   | 25,001  | 
|                   |  |               |           |  |                   |   |         | 
|Total              |  |               | 8,267,399 |  |                   | $ | 150,296 | 
|                   |  |               |           |  |                   |   |         | 



|* | Represents shares issued upon the reinvestment of dividends
|- | -----------------------------------------------------------



51



---

##### Table of Contents

The following table summarizes total shares issued and proceeds received related to capital
subscriptions for the Companys common stock and reinvestment of dividends during the nine month period ended September 30, 2015:



|                   |  |               |           |  |                   |   |         | 
|------------------ |  | ------------- | --------- |  | ----------------- | - | ------- | 
|                   |  | Shares Issued |           |  | Proceeds Received |  
|January 16, 2015   |  |               | 924,977   |  |                   | $ | 18,000  | 
|January 26, 2015*  |  |               | 1,051     |  |                   |   | 20      | 
|February 26, 2015  |  |               | 2,312,659 |  |                   |   | 45,005  | 
|April 21, 2015*    |  |               | 1,351     |  |                   |   | 25      | 
|May 1, 2015        |  |               | 1,462,746 |  |                   |   | 28,085  | 
|May 22, 2015       |  |               | 1,708,068 |  |                   |   | 33,000  | 
|June 25, 2015      |  |               | 2,412,386 |  |                   |   | 46,992  | 
|July 22, 2015*     |  |               | 2,018     |  |                   |   | 38      | 
|August 21, 2015    |  |               | 1,032,504 |  |                   |   | 20,002  | 
|September 30, 2015 |  |               | 104,954   |  |                   |   | 2,009   | 
|                   |  |               |           |  |                   |   |         | 
|Total              |  |               | 9,962,714 |  |                   | $ | 193,176 | 
|                   |  |               |           |  |                   |   |         | 



|* | Represents shares issued upon the reinvestment of dividends
|- | -----------------------------------------------------------

Subscribed but unissued shares are presented in equity with a deduction of subscriptions receivable until cash is received for a subscription.
There were no subscribed but unissued shares as of September 30, 2016 and December 31, 2015.

Subscription transactions during the
nine month periods ended September 30, 2016 and 2015 were executed at an offering price at a premium to net asset value due to the requirement to use prior quarter net asset value as offering price unless it would result in the Company selling
shares of its common stock at a price below the current net asset value and also in order to effect a reallocation of organizational costs to subsequent investors. Such subscription transactions increased net asset value by $0.02 per share and $0.09
per share, respectively, for the nine month periods ended September 30, 2016 and 2015, respectively.

The Company computes earnings per
common share in accordance with ASC 260, Earnings Per Share. Basic earnings per common share were calculated by dividing net increase (decrease) in net assets resulting from operations attributable to the Company by the weighted-average
number of common shares outstanding for the period.

Basic and diluted earnings per common share were as follows:



|                                                                |  |                                  |            |  |                                 |   |            |                   |  |   |                   |  |  |   |            | 
|--------------------------------------------------------------- |  | -------------------------------- | ---------- |  | ------------------------------- | - | ---------- | ----------------- |  | - | ----------------- |  |  | - | ---------- | 
|                                                                |  | For the three month periodsended |            |  | For the nine month periodsended |  
|                                                                |  | September 30,2016                |            |  | September 30,2015               |   |            | September 30,2016 |  |   | September 30,2015 | 
|Net increase (decrease) in net assets resulting from operations |  | $                                | 29,170     |  |                                 | $ | 9,653      |                   |  | $ | 52,413            |  |  | $ | 28,656     | 
|Weighted-average common shares outstanding                      |  |                                  | 37,489,297 |  |                                 |   | 27,219,231 |                   |  |   | 34,623,225        |  |  |   | 23,314,654 | 
|                                                                |  |                                  |            |  |                                 |   |            |                   |  |   |                   |  |  |   |            | 
|Basic and diluted earnings per common share                     |  | $                                | 0.78       |  |                                 | $ | 0.35       |                   |  | $ | 1.51              |  |  | $ | 1.23       | 
|                                                                |  |                                  |            |  |                                 |   |            |                   |  |   |                   |  |  |   |            | 



52



---

##### Table of Contents

The following table summarizes the Companys dividends declared and payable since inception
through September 30, 2016:



|                   |  |                    |  |                  |  |                 |      |     |             |   |        | 
|------------------ |  | ------------------ |  | ---------------- |  | --------------- | ---- | --- | ----------- | - | ------ | 
|Date
Declared      |  | RecordDate         |  | PaymentDate      |  | Per ShareAmount |      |     | TotalAmount |  
|March 13, 2014     |  | March 31, 2014     |  | April 14, 2014   |  | $               | 0.19 |     |             | $ | 2,449  | 
|June 26, 2014      |  | June 30, 2014      |  | July 14, 2014    |  | $               | 0.27 |     |             | $ | 3,481  | 
|September 12, 2014 |  | September 18, 2014 |  | October 9, 2014  |  | $               | 0.44 |     |             | $ | 5,956  | 
|December 19, 2014  |  | December 29, 2014  |  | January 26, 2015 |  | $               | 0.35 |     |             | $ | 6,276  | 
|March 11, 2015     |  | March 13, 2015     |  | April 17, 2015   |  | $               | 0.37 |     |             | $ | 7,833  | 
|June 24, 2015      |  | June 30, 2015      |  | July 22, 2015    |  | $               | 0.37 |     |             | $ | 9,902  | 
|September 24, 2015 |  | September 24, 2015 |  | October 22, 2015 |  | $               | 0.42 |     |             | $ | 11,670 | 
|December 29, 2015  |  | December 29, 2015  |  | January 22, 2016 |  | $               | 0.40 |     |             | $ | 12,610 | 
|December 29, 2015  |  | December 29, 2015  |  | January 22, 2016 |  | $               | 0.18 | (1) |             | $ | 5,674  | 
|March 10, 2016     |  | March 14, 2016     |  | April 22, 2016   |  | $               | 0.40 |     |             | $ | 13,337 | 
|June 8, 2016       |  | June 8, 2016       |  | July 22, 2016    |  | $               | 0.40 |     |             | $ | 13,943 | 
|September 28, 2016 |  | September 28, 2016 |  | October 24, 2016 |  | $               | 0.40 |     |             | $ | 15,917 | 



|(1) | Represents a special dividend.
|--- | ------------------------------

10. CONSOLIDATED FINANCIAL HIGHLIGHTS

The following is a schedule of consolidated financial highlights for the nine month periods ended September 30, 2016 and 2015:



|                                                                                                 |  |                                  |            |   |                   |   |            |  
|------------------------------------------------------------------------------------------------ |  | -------------------------------- | ---------- | - | ----------------- | - | ---------- | -
|                                                                                                 |  | For the nine month periods ended |           
|                                                                                                 |  | September 30,2016                |            |   | September 30,2015 |  
|Per Share Data:                                                                                  |  |                                  |            |   |                   |   |            |  
|Net asset value per share, beginning of period                                                   |  | $                                | 18.14      |   |                   | $ | 18.86      |  
|Net investment income (loss) (1)                                                                 |  |                                  | 1.19       |   |                   |   | 1.06       |  
|Net realized gain (loss) and net change in unrealized appreciation (depreciation) on
investments |  |                                  | 0.23       |   |                   |   | 0.17       |  
|                                                                                                 |  |                                  |            |   |                   |   |            |  
|Net increase (decrease) in net assets resulting from operations                                  |  |                                  | 1.42       |   |                   |   | 1.23       |  
|                                                                                                 |  |                                  |            |   |                   |   |            |  
|Dividends declared (2)                                                                           |  |                                  | (1.20      | ) |                   |   | (1.16      | )
|Effect of subscription offering price
(3)                                                        |  |                                  | 0.02       |   |                   |   | 0.09       |  
|                                                                                                 |  |                                  |            |   |                   |   |            |  
|Net asset value per share, end of period                                                         |  | $                                | 18.38      |   |                   | $ | 19.02      |  
|                                                                                                 |  |                                  |            |   |                   |   |            |  
|Number of shares outstanding, end of period                                                      |  |                                  | 39,791,482 |   |                   |   | 27,895,411 |  
|Total return (4)                                                                                 |  |                                  | 7.94       | % |                   |   | 7.00       | %
|Net assets, end of period                                                                        |  | $                                | 731,238    |   |                   | $ | 530,684    |  
|Ratio to average net assets
(5):                                                                 |  |                                  |            |   |                   |   |            |  
|Expenses net of waiver, before incentive fees                                                    |  |                                  | 4.12       | % |                   |   | 3.82       | %
|Expenses net of waiver, after incentive fees                                                     |  |                                  | 5.74       | % |                   |   | 5.17       | %
|Expenses gross of waiver, after incentive fees                                                   |  |                                  | 6.43       | % |                   |   | 5.85       | %
|Net investment income (loss)
(6)                                                                 |  |                                  | 6.49       | % |                   |   | 5.39       | %
|Interest expense and credit facility fees                                                        |  |                                  | 2.14       | % |                   |   | 1.73       | %
|Ratios/Supplemental Data:                                                                        |  |                                  |            |   |                   |   |            |  
|Asset coverage, end of period                                                                    |  |                                  | 209.46     | % |                   |   | 217.29     | %
|Portfolio turnover                                                                               |  |                                  | 22.06      | % |                   |   | 23.71      | %
|Total committed capital, end of period                                                           |  | $                                | 1,210,870  |   |                   | $ | 1,159,529  |  
|Ratio of total contributed capital to total committed capital, end of period                     |  |                                  | 63.20      | % |                   |   | 47.08      | %
|Weighted-average shares outstanding                                                              |  |                                  | 34,623,226 |   |                   |   | 23,314,654 |  



53



---

##### Table of Contents

|(1) | Net investment income (loss) per share was calculated as net investment income (loss) for the period divided by the weighted average number of shares outstanding for the period.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Dividends declared per share was calculated as the sum of dividends declared during the period divided by the number of shares outstanding at each respective quarter-end date (refer to Note 9).
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Increase is due to offering price of subscriptions during the period (refer to Note 9).
|--- | ---------------------------------------------------------------------------------------

|(4) | Total return (not annualized) is based on the change in net asset value per share during the period plus the declared dividends, assuming reinvestment of dividends in accordance with the dividend reinvestment plan,
divided by the beginning net asset value for the period. Total return for the nine month periods ended September 30, 2016 and 2015 is inclusive of $0.02 and $0.09, respectively, per share increase in net asset value for the periods related to the
offering price of subscriptions. Excluding the effects of the higher offering price of subscriptions, total return (not annualized) would have been 7.83% and 6.52%, respectively (refer to Note 9).
|--- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(5) | These ratios to average net assets have not been annualized.
|--- | ------------------------------------------------------------

|(6) | The net investment income ratio is net of the waiver of base management fees.
|--- | -----------------------------------------------------------------------------

11. LITIGATION

The Company may become party to certain lawsuits in the ordinary course of business. The Company does not believe that the outcome of current
matters, if any, will materially impact the Company or its consolidated financial statements. As of September 30, 2016 and December 31, 2015, the Company was not subject to any material legal proceedings, nor, to the Companys knowledge,
is any material legal proceeding threatened against the Company.

In addition, portfolio investments of the Company could be the subject
of litigation or regulatory investigations in the ordinary course of business. The Company does not believe that the outcome of any current contingent liabilities of its portfolio investments, if any, will materially affect the Company or these
consolidated financial statements.

12. TAX

The Company has not recorded a liability for any uncertain tax positions pursuant to the provisions of ASC 740, Income Taxes, as of
September 30, 2016 and December 31, 2015.

In the normal course of business, the Company is subject to examination by federal and
certain state, local and foreign tax regulators. As of September 30, 2016 and December 31, 2015, the Company had filed tax returns and therefore is subject to examination.

The Companys taxable income for each period is an estimate and will not be finally determined until the Company files its tax return for
each year. Therefore, the final taxable income, and the taxable income earned in each period and carried forward for distribution in the following period, may be different than this estimate. The estimated tax character of dividends declared for the
nine month periods ended September 30, 2016 and 2015 was as follows:



|                      |  |                                  |        |  |                    |   |        | 
|--------------------- |  | -------------------------------- | ------ |  | ------------------ | - | ------ | 
|                      |  | For the nine month periods ended |       
|                      |  | September 30, 2016               |        |  | September 30, 2015 |  
|Ordinary income       |  | $                                | 43,197 |  |                    | $ | 29,405 | 
|Tax return of capital |  | $                                |       |  |                    | $ |       | 

13. SUBSEQUENT EVENTS

Subsequent events have been evaluated through the date the consolidated financial statements were issued. There have been no subsequent events
that require recognition or disclosure through the date the consolidated financial statements were issued, except as disclosed below.



54



---

##### Table of Contents

Subsequent to September 30, 2016, the Company borrowed $83,500 under the Revolving Credit
Facility and Facility to fund investment acquisitions. The Company also voluntarily repaid $82,047 under the Revolving Credit Facility and Facility.

On October 14, 2016, Credit Fund issued a capital call and delivered capital drawdown notices of $5,000 each to the Company and Credit
Partners. Proceeds from the capital call were due, and the related issuance of $10,000 of subordinated loans occurred, on October 21, 2016.

On October 14, 2016, the Company sold an investment to a wholly-owned subsidiary of Credit Fund for proceeds of $19,800. The Company had no
realized gain or loss on this trade. See Note 5, Middle Market Credit Fund, LLC, for further information about Credit Fund.

On November
4, 2016, the Company issued a capital call and delivered capital drawdown notices totaling $35,427. Proceeds from the capital call and the related issuance of 1,905,705 shares is expected on or about November 18, 2016.



55



---

##### Table of Contents

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

(dollar amounts in thousands, except per share data, unless otherwise indicated)

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

We have included or incorporated by reference in this Form 10-Q, and from time to time our management may make, forward-looking
statements. These forward-looking statements are not historical facts, but instead relate to future events or the future performance or financial condition of Carlyle GMS Finance, Inc. (we, us, our,
GMS Finance, or the Company). These statements are based on current expectations, estimates and projections about us, our current or prospective portfolio investments, our industry, our beliefs, and our assumptions. The
forward-looking statements contained in this Form 10-Q and the documents incorporated by reference herein involve a number of risks and uncertainties, including statements concerning:



| |  |  | our, or our portfolio companies, future business, operations, operating results or prospects;
| | - |  | ----------------------------------------------------------------------------------------------



| |  |  | the return or impact of current and future investments;
| | - |  | -------------------------------------------------------



| |  |  | the impact of a protracted decline in the liquidity of credit markets on our business;
| | - |  | --------------------------------------------------------------------------------------



| |  |  | the impact of fluctuations in interest rates on our business;
| | - |  | -------------------------------------------------------------



| |  |  | the impact of changes in laws or regulations (including the interpretation thereof) governing our operations or the operations of our portfolio companies;
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | the valuation of our investments in portfolio companies, particularly those having no liquid trading market;
| | - |  | ------------------------------------------------------------------------------------------------------------



| |  |  | our ability to recover unrealized losses;
| | - |  | -----------------------------------------



| |  |  | market conditions and our ability to access alternative debt markets and additional debt and equity capital;
| | - |  | ------------------------------------------------------------------------------------------------------------



| |  |  | our contractual arrangements and relationships with third parties;
| | - |  | ------------------------------------------------------------------



| |  |  | the general economy and its impact on the industries in which we invest;
| | - |  | ------------------------------------------------------------------------



| |  |  | the financial condition of and ability of our current and prospective portfolio companies to achieve their objectives;
| | - |  | ----------------------------------------------------------------------------------------------------------------------



| |  |  | our expected financings and investments;
| | - |  | ----------------------------------------



| |  |  | the adequacy of our cash resources and working capital;
| | - |  | -------------------------------------------------------



| |  |  | the timing, form and amount of any dividend distributions;
| | - |  | ----------------------------------------------------------



| |  |  | the timing of cash flows, if any, from the operations of our portfolio companies;
| | - |  | ---------------------------------------------------------------------------------



| |  |  | the ability of our investment adviser to locate suitable investments for us and to monitor and administer our investments; and
| | - |  | ------------------------------------------------------------------------------------------------------------------------------



| |  |  | our intent to satisfy the requirements of a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------

We use words such as anticipates, believes, expects, intends, will,
should, may and similar expressions to identify forward-looking statements, although not all forward-looking statements include these words. Our actual results and condition could differ materially from those implied or
expressed in the forward-looking statements for any reason, including the factors set forth in Risk Factors in Part I, Item 1A of our annual report on Form 10-K for the year ended December 31, 2015 and Part II,
Item 1A of and elsewhere in this Form 10-Q.

We have based the forward-looking statements included in this Form 10-Q on information
available to us on the date of this Form 10-Q, and we assume no obligation to update any such forward-looking statements. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of



56



---

##### Table of Contents

new information, future events or otherwise, you are advised to consult any additional disclosures that we may make directly to you or through reports that we have filed or in the future may file
with the Securities and Exchange Commission (the SEC), including our annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

OVERVIEW

Managements Discussion
and Analysis should be read in conjunction with Part I, Item 1 of this Form 10-Q Financial Statements. This discussion contains forward-looking statements and involves numerous risks and uncertainties, including, but not limited to
those described in Part I, Item 1A of our annual report on Form 10-K for the year ended December 31, 2015 and Part II, Item 1A of this Form 10-Q Risk Factors. Actual results may differ materially from those contained in
any forward-looking statements.

Carlyle GMS Finance, Inc. (we, us, our, GMS Finance,
or the Company) is a Maryland corporation formed on February 8, 2012, and structured as an externally managed, non-diversified closed-end investment company. GMS Finance has elected to be regulated as a business development company
(BDC) under the Investment Company Act of 1940, as amended (together with the rules and regulations promulgated thereunder, the Investment Company Act). GMS Finance has elected to be treated, and intends to continue to
comply with the requirements to qualify annually, as a regulated investment company (RIC) under Subchapter M of the Internal Revenue Code of 1986, as amended, (the Code).

GMS Finances investment objective is to generate current income and capital appreciation primarily through debt investments in U.S.
middle market companies, which we define as companies with approximately $10 million to $100 million of earnings before interest, taxes, depreciation and amortization (EBITDA). GMS Finance seeks to achieve its investment objective by
investing primarily in first lien senior secured loans (which may include stand-alone first lien loans; first lien/last out loans, which are loans that have a secondary priority behind first lien/first out loans; unitranche loans, which
are loans that combine features of first lien, second lien or subordinated loans, generally in a first lien position; and secured corporate bonds with features similar to the features of these categories of first lien loans) and second lien senior
secured loans (which may include senior secured loans, and, to a lesser extent, secured corporate bonds, with a secondary priority behind first lien loans) (collectively, Middle Market Senior Loans). The Middle Market Senior Loans are
generally made to private U.S. middle market companies that are, in many cases, controlled by private equity firms. Depending on market conditions, GMS Finance expects that between 70% and 80% of the value of its assets will be invested in Middle
Market Senior Loans, with the balance invested in higher-yielding investments, which may include middle market junior loans such as corporate mezzanine loans, equity co-investments, broadly syndicated first lien and second lien senior secured loans,
high-yield bonds, structured finance obligations and/or other opportunistic investments. We expect that the composition of our portfolio will change over time given our Investment Advisers view on, among other things, the economic and credit
environment (including with respect to interest rates) in which we are operating.

GMS Finance is externally managed by the Investment
Adviser, an investment adviser registered under the Investment Advisers Act of 1940, as amended. The Administrator provides the administrative services necessary for GMS Finance to operate. Both the Investment Adviser and the Administrator are
wholly-owned subsidiaries of Carlyle Investment Management L.L.C., a subsidiary of The Carlyle Group L.P. Carlyle refers to The Carlyle Group L.P., its affiliates and its consolidated subsidiaries, a global alternative asset manager
publicly traded on NASDAQ Global Select Market under the symbol CG. Refer to the sec.gov website for further information on Carlyle.

On February 29, 2016, the Company and Credit Partners USA LLC (Credit Partners) entered into an amended and restated limited
liability company agreement (as amended, the Limited Liability Company Agreement) to co-manage Middle Market Credit Fund, LLC (Credit Fund). Credit Fund primarily invests in first lien loans of middle-market companies. Credit
Fund is managed by a six-member board of managers, on which the Company and Credit Partners each have equal representation. The Company and Credit Partners each have 50% economic ownership of Credit Fund and have commitments to fund, from time to
time, capital of up to $400,000 each.



57



---

##### Table of Contents

Investments

Our level of investment activity can and does vary substantially from period to period depending on many factors, including the amount of debt
available to middle market companies, the general economic environment and the competitive environment for the type of investments we make.

Revenue

We generate revenue primarily in the form of interest and fee income on debt investments we hold and capital gains, if any, on
investments. Our debt investments generally have a stated term of five to eight years and generally bear interest at a floating rate usually determined on the basis of a benchmark such as LIBOR. Interest on these debt investments is generally paid
quarterly. In some instances, we receive payments on our debt investments based on scheduled amortization of the outstanding

balances. In
addition, we receive repayments of some of our debt investments prior to their scheduled maturity date. The frequency or volume of these repayments fluctuates significantly from period to period. Our portfolio activity also reflects the proceeds of
sales of securities. We may also generate revenue in the form of commitment, origination, amendment, structuring or due diligence fees, fees for providing managerial assistance and consulting fees.

Expenses

Our primary operating
expenses include the payment of: (i) investment advisory fees, including base management fees and incentive fees, to our Investment Adviser pursuant to an investment advisory agreement (the Investment Advisory Agreement) between us and
our Investment Adviser; (ii) costs and other expenses and our allocable portion of overhead incurred by the Administrator in performing its administrative obligations under an administration agreement (the Administration Agreement)
between us and our Administrator; and (iii) other operating expenses as detailed below:



| |  |  | our initial organization costs and offering costs incurred prior to the filing of our election to be regulated as a BDC (the amount in excess of $1,500 to be paid by our Investment Adviser);
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | the costs associated with the Private Offering;
| | - |  | -----------------------------------------------



| |  |  | the costs of any other offerings of our common stock and other securities, if any;
| | - |  | ----------------------------------------------------------------------------------



| |  |  | calculating individual asset values and our net asset value (including the cost and expenses of any independent valuation firms);
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------



| |  |  | expenses, including travel expenses, incurred by the Investment Adviser, or members of the Investment Adviser team managing our investments, or payable to third parties, performing due diligence on prospective portfolio
companies and, if necessary, expenses of enforcing our rights;
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | the base management fee and any incentive fee payable under our Investment Advisory Agreement;
| | - |  | ----------------------------------------------------------------------------------------------



| |  |  | certain costs and expenses relating to distributions paid on our shares;
| | - |  | ------------------------------------------------------------------------



| |  |  | administration fees payable under our Administration Agreement and sub-administration agreements, including related expenses;
| | - |  | -----------------------------------------------------------------------------------------------------------------------------



| |  |  | debt service and other costs of borrowings or other financing arrangements;
| | - |  | ---------------------------------------------------------------------------



| |  |  | the allocated costs incurred by the Investment Adviser in providing managerial assistance to those portfolio companies that request it;
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------



| |  |  | amounts payable to third parties relating to, or associated with, making or holding investments;
| | - |  | ------------------------------------------------------------------------------------------------



| |  |  | the costs associated with subscriptions to data service, research-related subscriptions and expenses and quotation equipment and services used in making or holding investments;
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



58



---

##### Table of Contents

| |  |  | transfer agent and custodial fees;
| | - |  | ----------------------------------



| |  |  | costs of hedging;
| | - |  | -----------------



| |  |  | commissions and other compensation payable to brokers or dealers;
| | - |  | -----------------------------------------------------------------



| |  |  | federal and state registration fees;
| | - |  | ------------------------------------



| |  |  | any U.S. federal, state and local taxes, including any excise taxes;
| | - |  | --------------------------------------------------------------------



| |  |  | independent director fees and expenses;
| | - |  | ---------------------------------------



| |  |  | costs of preparing financial statements and maintaining books and records, costs of preparing tax returns, costs of Sarbanes-Oxley Act compliance and attestation and costs of filing reports or other documents with the
SEC (or other regulatory bodies), and other reporting and compliance costs, including registration and listing fees, and the compensation of professionals responsible for the preparation or review of the foregoing;
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | the costs of any reports, proxy statements or other notices to our stockholders (including printing and mailing costs), the costs of any stockholders meetings and the compensation of investor relations personnel
responsible for the preparation of the foregoing and related matters;
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | the costs of specialty and custom software for monitoring risk, compliance and overall portfolio, including any development costs incurred prior to the filing of our election to be regulated as a BDC;
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | our fidelity bond;
| | - |  | ------------------



| |  |  | directors and officers/errors and omissions liability insurance, and any other insurance premiums;
| | - |  | --------------------------------------------------------------------------------------------------



| |  |  | indemnification payments;
| | - |  | -------------------------



| |  |  | direct fees and expenses associated with independent audits, agency, consulting and legal costs; and
| | - |  | ----------------------------------------------------------------------------------------------------



| |  |  | all other expenses incurred by us or the Administrator in connection with administering our business, including our allocable share of certain officers and their staff compensation.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

We expect our general and administrative expenses to be relatively stable or to decline as a percentage of total assets during periods of
asset growth and to increase during periods of asset declines.

PORTFOLIO AND INVESTMENT ACTIVITY

The fair value of our investments was approximately $1,382,614 comprised of 90 portfolio companies/structured finance obligations/investment
fund as of September 30, 2016. The fair value of our investments was approximately $1,052,666 comprised of 85 portfolio companies/structured finance obligations as of December 31, 2015.



59



---

##### Table of Contents

The Companys investment activity for the three month periods ended September 30, 2016 and
2015 is presented below (information presented herein is at amortized cost unless otherwise indicated):



|                                                            |  |                                   |           |   |                    |   |         |  
|----------------------------------------------------------- |  | --------------------------------- | --------- | - | ------------------ | - | ------- | -
|                                                            |  | For the three month periods ended |          
|                                                            |  | September 30, 2016                |           |   | September 30, 2015 |  
|Investments:                                                |  |                                   |           |   |                    |   |         |  
|Total investments, beginning of period                      |  | $                                 | 1,220,872 |   |                    | $ | 917,292 |  
|New investments purchased                                   |  |                                   | 308,572   |   |                    |   | 134,858 |  
|Net accretion of discount on investments                    |  |                                   | 1,881     |   |                    |   | 1,001   |  
|Net realized gain (loss) on investments                     |  |                                   | 544       |   |                    |   | 823     |  
|Investments sold or repaid                                  |  |                                   | (142,397  | ) |                    |   | (71,948 | )
|                                                            |  |                                   |           |   |                    |   |         |  
|Total Investments, end of period                            |  | $                                 | 1,389,472 |   |                    | $ | 982,026 |  
|                                                            |  |                                   |           |   |                    |   |         |  
|Principal amount of investments funded:                     |  |                                   |           |   |                    |   |         |  
|First Lien Debt                                             |  | $                                 | 249,318   |   |                    | $ | 116,450 |  
|Second Lien Debt                                            |  |                                   |          |   |                    |   | 22,000  |  
|Structured Finance Obligations                              |  |                                   |          |   |                    |   |        |  
|Equity Investments                                          |  |                                   | 856       |   |                    |   |        |  
|Investment Fund                                             |  |                                   | 63,200    |   |                    |   |        |  
|                                                            |  |                                   |           |   |                    |   |         |  
|Total                                                       |  | $                                 | 313,374   |   |                    | $ | 138,450 |  
|                                                            |  |                                   |           |   |                    |   |         |  
|Principal amount of investments sold or repaid:             |  |                                   |           |   |                    |   |         |  
|First Lien Debt                                             |  | $                                 | (89,469   | ) |                    | $ | (58,171 | )
|Second Lien Debt                                            |  |                                   | (29,121   | ) |                    |   |        |  
|Structured Finance Obligations                              |  |                                   |          |   |                    |   | (19,175 | )
|Investment Fund                                             |  |                                   | (22,400   | ) |                    |   |        |  
|                                                            |  |                                   |           |   |                    |   |         |  
|Total                                                       |  | $                                 | (140,990  | ) |                    | $ | (77,346 | )
|                                                            |  |                                   |           |   |                    |   |         |  
|Number of new funded investments                            |  |                                   | 19        |   |                    |   | 8       |  
|Average new funded investment amount                        |  | $                                 | 16,241    |   |                    | $ | 16,857  |  
|Percentage of new funded debt investments at floating rates |  |                                   | 100       | % |                    |   | 100     | %

As of September 30, 2016 and December 31, 2015, investments consisted of the following:



|                               |  |                    |           |  |                   |   |           |               |  |   |            |  |  |   |           | 
|------------------------------ |  | ------------------ | --------- |  | ----------------- | - | --------- | ------------- |  | - | ---------- |  |  | - | --------- | 
|                               |  | September 30, 2016 |           |  | December 31, 2015 |  
|                               |  | AmortizedCost      |           |  | Fair Value        |   |           | AmortizedCost |  |   | Fair Value | 
|First Lien Debt                |  | $                  | 1,117,187 |  |                   | $ | 1,114,587 |               |  | $ | 800,857    |  |  | $ | 795,034   | 
|Second Lien Debt               |  |                    | 198,420   |  |                   |   | 196,297   |               |  |   | 216,708    |  |  |   | 210,396   | 
|Structured Finance Obligations |  |                    | 12,992    |  |                   |   | 7,752     |               |  |   | 59,940     |  |  |   | 44,812    | 
|Equity Investments             |  |                    | 5,072     |  |                   |   | 6,220     |               |  |   | 2,215      |  |  |   | 2,424     | 
|Investment Fund                |  |                    | 55,801    |  |                   |   | 57,758    |               |  |   |           |  |  |   |          | 
|                               |  |                    |           |  |                   |   |           |               |  |   |            |  |  |   |           | 
|Total                          |  | $                  | 1,389,472 |  |                   | $ | 1,382,614 |               |  | $ | 1,079,720  |  |  | $ | 1,052,666 | 
|                               |  |                    |           |  |                   |   |           |               |  |   |            |  |  |   |           | 



60



---

##### Table of Contents

The weighted average yields (1) for our
first and second lien debt, based on the amortized cost and fair value as of September 30, 2016 and December 31, 2015, were as follows:



|                                                |  |                    |       |   |                   |  |       |               |  |  |            |   |  |  |       |  
|----------------------------------------------- |  | ------------------ | ----- | - | ----------------- |  | ----- | ------------- |  |  | ---------- | - |  |  | ----- | -
|                                                |  | September 30, 2016 |       |   | December 31, 2015 | 
|                                                |  | AmortizedCost      |       |   | Fair Value        |  |       | AmortizedCost |  |  | Fair Value |  
|First Lien Debt (excluding First Lien/Last Out) |  |                    | 6.84  | % |                   |  | 6.88  | %             |  |  | 6.38       | % |  |  | 6.47  | %
|First Lien/Last Out Unitranche                  |  |                    | 11.62 | % |                   |  | 11.45 | %             |  |  | 11.44      | % |  |  | 11.15 | %
|                                                |  |                    |       |   |                   |  |       |               |  |  |            |   |  |  |       |  
|First Lien Debt Total                           |  |                    | 7.70  | % |                   |  | 7.72  | %             |  |  | 7.14       | % |  |  | 7.19  | %
|Second Lien Debt                                |  |                    | 9.58  | % |                   |  | 9.69  | %             |  |  | 9.59       | % |  |  | 9.87  | %
|                                                |  |                    |       |   |                   |  |       |               |  |  |            |   |  |  |       |  
|First and Second Lien Debt Total                |  |                    | 7.98  | % |                   |  | 8.01  | %             |  |  | 7.66       | % |  |  | 7.75  | %



|(1) | Weighted average yields do not include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of September 30, 2016 and December 31, 2015. Actual yields earned over the life
of each investment could differ materially from the yields presented above. Weighted average yields do not include the investment fund.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

See the Consolidated Schedules of Investments as of September 30, 2016 and December 31, 2015 in our consolidated financial statements in Part
I, Item 1 of this Form 10-Q for more information on these investments, including a list of companies and type and amount of investments.

As part of the monitoring process, our Investment Adviser has developed risk policies pursuant to which it regularly assesses the risk profile
of each of our debt investments and rates each of them based on the following categories, which we refer to as Internal Risk Ratings:

Internal Risk Ratings Definitions



|       |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   
|------ |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Rating |  | Definition                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        
|1      |  | PerformingLow Risk: Borrower is operating more than 10% ahead of the Base Case.                                                                                                                                                                                                                                                                                                                                                                                                                  
|2      |  | PerformingStable Risk: Borrower is operating within 10% of the Base Case (above or below). This is the initial rating assigned to all new borrowers.                                                                                                                                                                                                                                                                                                                                             
|3      |  | PerformingManagement Notice: Borrower is operating more than 10% below the Base Case. A financial covenant default may have occurred, but there is a low risk of payment default.                                                                                                                                                                                                                                                                                                                
|4      |  | Watch List: Borrower is operating more than 20% below the Base Case and there is a high risk of covenant default, or it may have already occurred. Payments are current although subject to greater uncertainty, and there is
moderate to high risk of payment default.                                                                                                                                                                                                                           
|5      |  | Watch ListPossible Loss: Borrower is operating more than 30% below the Base Case. At the current level of operations and financial condition, the borrower does not have the ability to service and ultimately repay or
refinance all outstanding debt on current terms. Payment default is very likely or may have occurred. Loss of principal is possible.                                                                                                                                     
|6      |  | Watch ListProbable Loss: Borrower is operating more than 40% below the Base Case, and at the current level of operations and financial condition, the borrower does not have the ability to service and ultimately repay
or refinance all outstanding debt on current terms. Payment default is very likely or may have already occurred. Additionally, the prospects for improvement in the borrowers situation are sufficiently negative that impairment of some or all
principal is probable.

Our Investment Advisers risk rating model is based on evaluating portfolio company performance in
comparison to the Base Case when considering certain credit metrics including, but not limited to, adjusted EBITDA and net senior leverage as well as specific events including, but not limited to, default and impairment.



61



---

##### Table of Contents

Our Investment Adviser monitors and, when appropriate, changes the investment ratings assigned to
each debt investment in our portfolio. In connection with our quarterly valuation process, our Investment Adviser reviews our investment ratings on a regular basis. The following table summarizes the Internal Risk Ratings as of September 30, 2016
and December 31, 2015:



|                             |  |                    |         |  |                   |  |        |            |  |   |                 |  |  |  |        |  
|---------------------------- |  | ------------------ | ------- |  | ----------------- |  | ------ | ---------- |  | - | --------------- |  |  |  | ------ | -
|                             |  | September 30, 2016 |         |  | December 31, 2015 | 
|                             |  | Fair Value         |         |  | % of Fair Value   |  |        | Fair Value |  |   | % of Fair Value | 
|(dollar amounts in millions) |  |                    |         |  |                   |  |        |            |  |   |                 | 
|Internal Risk Rating 1       |  | $                  | 66.5    |  |                   |  | 5.07   | %          |  | $ | 71.2            |  |  |  | 7.08   | %
|Internal Risk Rating 2       |  |                    | 1,044.2 |  |                   |  | 79.66  |            |  |   | 809.7           |  |  |  | 80.54  |  
|Internal Risk Rating 3       |  |                    | 120.2   |  |                   |  | 9.17   |            |  |   | 112.3           |  |  |  | 11.17  |  
|Internal Risk Rating 4       |  |                    | 67.3    |  |                   |  | 5.13   |            |  |   | 12.2            |  |  |  | 1.21   |  
|Internal Risk Rating 5       |  |                    | 12.7    |  |                   |  | 0.97   |            |  |   |                |  |  |  |       |  
|Internal Risk Rating 6       |  |                    |        |  |                   |  |       |            |  |   |                |  |  |  |       |  
|                             |  |                    |         |  |                   |  |        |            |  |   |                 |  |  |  |        |  
|Total                        |  | $                  | 1,310.9 |  |                   |  | 100.00 | %          |  | $ | 1,005.4         |  |  |  | 100.00 | %
|                             |  |                    |         |  |                   |  |        |            |  |   |                 |  |  |  |        |  

As part of our monitoring process, our Investment Adviser has developed risk policies pursuant to which it
regularly assesses the risk profile of each of the structured finance obligation investments.

As of September 30, 2016 and December 31,
2015, the weighted average Internal Risk Rating of our debt investment portfolio was 2.2 and 2.1, respectively.

CONSOLIDATED RESULTS OF OPERATIONS

For the three month and nine month periods ended September 30, 2016 and 2015

The net increase or decrease in net assets from operations may vary substantially from period to period as a result of various factors,
including the recognition of realized gains and losses and net change in unrealized appreciation and depreciation. As a result, quarterly comparisons may not be meaningful.

Investment Income

Interest income for
the three month and nine month periods ended September 30, 2016 and 2015 were as follows:



|                                                               |  |                                   |        |  |                                  |   |        |                   |  |   |                   |  |  |   |        | 
|-------------------------------------------------------------- |  | --------------------------------- | ------ |  | -------------------------------- | - | ------ | ----------------- |  | - | ----------------- |  |  | - | ------ | 
|                                                               |  | For the three month periods ended |        |  | For the nine month periods ended |  
|                                                               |  | September 30,2016                 |        |  | September 30,2015                |   |        | September 30,2016 |  |   | September 30,2015 | 
|Interest income from non-controlled/non-affiliated investments |  | $                                 | 26,362 |  |                                  | $ | 19,405 |                   |  | $ | 72,551            |  |  | $ | 47,836 | 
|Other income from non-controlled/non-affiliated investments    |  |                                   | 1,909  |  |                                  |   | 196    |                   |  |   | 4,578             |  |  |   | 669    | 
|Interest income from controlled/affiliated investments         |  |                                   | 336    |  |                                  |   |       |                   |  |   | 336               |  |  |   |       | 
|Dividend income from controlled/affiliated investments         |  |                                   | 350    |  |                                  |   |       |                   |  |   | 350               |  |  |   |       | 
|                                                               |  |                                   |        |  |                                  |   |        |                   |  |   |                   |  |  |   |        | 
|Total investment income                                        |  | $                                 | 28,957 |  |                                  | $ | 19,601 |                   |  | $ | 77,815            |  |  | $ | 48,505 | 
|                                                               |  |                                   |        |  |                                  |   |        |                   |  |   |                   |  |  |   |        | 

The increase in interest and dividend income for the three month and nine month periods ended
September 30, 2016 from the comparable periods in 2015 was driven by our deployment of capital, increasing invested balance and a dividend declared by Credit Fund. As of September 30, 2016, the size of our portfolio increased to $1,389,472 from
$982,026 as of September 30, 2015, at amortized cost, and total principal amount of investments outstanding increased to $1,437,034 from $1,039,912 as of September 30, 2015. As of September 30, 2016, the weighted average yield of our first and
second lien debt increased to 7.98% from 7.30% as of September 30, 2015, on amortized cost.



62



---

##### Table of Contents

Interest income on our first and second lien debt investments is dependent on the composition and
credit quality of the portfolio. Generally, we expect the portfolio to generate predictable quarterly interest income based on the terms stated in each loans credit agreement. As of September 30, 2016 and 2015, all of our first and second lien
debt investments were performing and current on their interest payments. Interest income from structured finance obligations is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed cash flows. The effective
yield is updated at least quarterly based on payments received and expected future payments. In estimating these cash flows, there are a number of assumptions that are subject to uncertainties, including the amount and timing of principal payments
which are impacted by prepayments, repurchases, defaults, delinquencies and liquidations of or within the CLO funds that issued the structured finance obligations. These uncertainties are difficult to predict and are subject to future events that
could have impacted the Companys estimates if the information was known at the time of such estimates. As a result, actual results may differ significantly from these estimates.

Net investment income for the three month and nine month periods ended September 30, 2016 and 2015 was as follows:



|                             |  |                                   |         |   |                                  |   |        |                    |  |   |                    |   |  |   |         |  
|---------------------------- |  | --------------------------------- | ------- | - | -------------------------------- | - | ------ | ------------------ |  | - | ------------------ | - |  | - | ------- | -
|                             |  | For the three month periods ended |         |   | For the nine month periods ended |  
|                             |  | September 30, 2016                |         |   | September 30, 2015               |   |        | September 30, 2016 |  |   | September 30, 2015 |  
|Total investment income      |  | $                                 | 28,957  |   |                                  | $ | 19,601 |                    |  | $ | 77,815             |   |  | $ | 48,505  |  
|Net expenses                 |  |                                   | (13,111 | ) |                                  |   | (9,267 | )                  |  |   | (36,543            | ) |  |   | (23,746 | )
|                             |  |                                   |         |   |                                  |   |        |                    |  |   |                    |   |  |   |         |  
|Net investment income (loss) |  | $                                 | 15,846  |   |                                  | $ | 10,334 |                    |  | $ | 41,272             |   |  | $ | 24,759  |  
|                             |  |                                   |         |   |                                  |   |        |                    |  |   |                    |   |  |   |         |  

Expenses



|                                 |  |                                   |        |   |                                  |   |        |                   |  |   |                   |   |  |   |        |  
|-------------------------------- |  | --------------------------------- | ------ | - | -------------------------------- | - | ------ | ----------------- |  | - | ----------------- | - |  | - | ------ | -
|                                 |  | For the three month periods ended |        |   | For the nine month periods ended |  
|                                 |  | September 30,2016                 |        |   | September 30,2015                |   |        | September 30,2016 |  |   | September 30,2015 |  
|Base management fees             |  | $                                 | 4,699  |   |                                  | $ | 3,679  |                   |  | $ | 13,184            |   |  | $ | 9,482  |  
|Incentive fees                   |  |                                   | 3,962  |   |                                  |   | 2,584  |                   |  |   | 10,318            |   |  |   | 6,190  |  
|Professional fees                |  |                                   | 568    |   |                                  |   | 453    |                   |  |   | 1,574             |   |  |   | 1,302  |  
|Administrative service fees      |  |                                   | 180    |   |                                  |   | 152    |                   |  |   | 526               |   |  |   | 452    |  
|Interest expense                 |  |                                   | 4,051  |   |                                  |   | 2,658  |                   |  |   | 11,475            |   |  |   | 6,567  |  
|Credit facility fees             |  |                                   | 682    |   |                                  |   | 522    |                   |  |   | 2,139             |   |  |   | 1,396  |  
|Directors fees and expenses     |  |                                   | 146    |   |                                  |   | 109    |                   |  |   | 410               |   |  |   | 316    |  
|Other general and administrative |  |                                   | 390    |   |                                  |   | 337    |                   |  |   | 1,312             |   |  |   | 1,202  |  
|                                 |  |                                   |        |   |                                  |   |        |                   |  |   |                   |   |  |   |        |  
|Total expenses                   |  |                                   | 14,678 |   |                                  |   | 10,494 |                   |  |   | 40,938            |   |  |   | 26,907 |  
|Waiver of base management fees   |  |                                   | (1,567 | ) |                                  |   | (1,227 | )                 |  |   | (4,395            | ) |  |   | (3,161 | )
|                                 |  |                                   |        |   |                                  |   |        |                   |  |   |                   |   |  |   |        |  
|Net expenses                     |  | $                                 | 13,111 |   |                                  | $ | 9,267  |                   |  | $ | 36,543            |   |  | $ | 23,746 |  
|                                 |  |                                   |        |   |                                  |   |        |                   |  |   |                   |   |  |   |        |  



63



---

##### Table of Contents

Interest expense and credit facility fees for the three month and nine month periods ended
September 30, 2016 and 2015 were comprised of the following:



|                                                |  |                                   |       |  |                                  |   |       |                   |  |   |                   |  |  |   |       | 
|----------------------------------------------- |  | --------------------------------- | ----- |  | -------------------------------- | - | ----- | ----------------- |  | - | ----------------- |  |  | - | ----- | 
|                                                |  | For the three month periods ended |       |  | For the nine month periods ended |  
|                                                |  | September 30,2016                 |       |  | September 30,2015                |   |       | September 30,2016 |  |   | September 30,2015 | 
|Interest expense                                |  | $                                 | 4,051 |  |                                  | $ | 2,658 |                   |  | $ | 11,475            |  |  | $ | 6,567 | 
|Facility unused commitment fee                  |  |                                   | 351   |  |                                  |   | 282   |                   |  |   | 1,034             |  |  |   | 587   | 
|Amortization of deferred financing costs        |  |                                   | 305   |  |                                  |   | 215   |                   |  |   | 1,027             |  |  |   | 728   | 
|Other fees                                      |  |                                   | 26    |  |                                  |   | 25    |                   |  |   | 78                |  |  |   | 81    | 
|                                                |  |                                   |       |  |                                  |   |       |                   |  |   |                   |  |  |   |       | 
|Total interest expense and credit facility fees |  | $                                 | 4,733 |  |                                  | $ | 3,180 |                   |  | $ | 13,614            |  |  | $ | 7,963 | 
|                                                |  |                                   |       |  |                                  |   |       |                   |  |   |                   |  |  |   |       | 
|Cash paid for interest expense                  |  | $                                 | 3,906 |  |                                  | $ | 1,518 |                   |  | $ | 10,700            |  |  | $ | 5,080 | 

The increase in interest expense for the three month and nine month periods ended September 30, 2016 from the
comparable periods in 2015 was driven by increased usage of the Companys credit facilities, additional debt issued through the securitization in the form of the 2015-1 Notes (see Note 7 to the consolidated financial statements included in Part
I, Item 1 of this Form 10-Q for more information), and increased deployment of capital to investments. For the three month and nine month periods ended September 30, 2016, the weighted average interest rate under the facilities was 2.75% and 2.67%,
respectively, and average principal debt outstanding was $292,084 and $277,575, respectively. For the three month and nine month periods ended September 30, 2015, the weighted average interest rate under the facilities was 2.28% and 2.22%,
respectively, and average principal debt outstanding was $167,952 and $285,547, respectively.

The increase in base management fees (and
related waiver of base management fees) and incentive fees related to pre-incentive fee net investment income for the three month and nine month period ended September 30, 2016 from the comparable periods in 2015 were driven by our deployment
of capital and increasing invested balance. The accrual for any capital gains incentive fee under accounting principles generally accepted in the United States (US GAAP) in a given period may result in an additional expense if such
cumulative amount is greater than in the prior period or a reduction of previously recorded expense if such cumulative amount is less than in the prior period. If such cumulative amount is negative, then there is no accrual. See Note 4 to the
consolidated financial statements included in Part I, Item 1 of this Form 10-Q for more information on the incentive and base management fees. For the three month and nine month periods ended September 30, 2016 and 2015, there were no
capital gains incentive fees based upon the cumulative net realized and unrealized appreciation (depreciation) as of September 30, 2016 and 2015, respectively.

Professional fees include legal, rating agencies, audit, tax, valuation, technology and other professional fees incurred related to the
management of the Company. Administrative service fees represent fees paid to the Administrator for our allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations under the administration agreement,
including our allocable portion of the cost of certain of our executive officers and their respective staff. Other general and administrative expenses include insurance, filing, research, subscriptions and other costs.

Net Realized Gain (Loss) and Net Change in Unrealized Appreciation (Depreciation) on Investments

During the three month and nine month periods ended September 30, 2016, the Company had a change in unrealized appreciation on 69 and 86
investments, respectively, totaling approximately $19,587 and $34,680, respectively, which was offset by a change in unrealized depreciation on 32 and 25 investments, respectively, totaling approximately $6,807 and $14,484, respectively. During the
three month and nine month periods ended September 30, 2015, the Company had a change in unrealized appreciation on 38 and 64 investments, respectively, totaling approximately $7,122 and $13,956, respectively, which was offset by a change in
unrealized depreciation on 60 and 47 investments, respectively, totaling approximately $8,626 and $11,211, respectively.



64



---

##### Table of Contents

Net realized gain (loss) and net change in unrealized appreciation (depreciation) by the type of
investments for the three month and nine month periods ended September 30, 2016 and 2015 were as follows:



|                                                                                                 |  |                                   |        |  |                                  |   |        |                   |  |   |                   |   |  |   |       | 
|------------------------------------------------------------------------------------------------ |  | --------------------------------- | ------ |  | -------------------------------- | - | ------ | ----------------- |  | - | ----------------- | - |  | - | ----- | 
|                                                                                                 |  | For the three month periods ended |        |  | For the nine month periods ended |  
|                                                                                                 |  | September 30,2016                 |        |  | September 30,2015                |   |        | September 30,2016 |  |   | September 30,2015 |  
|Net realized gain (loss) on investments                                                          |  | $                                 | 544    |  |                                  | $ | 823    |                   |  | $ | (9,055            | ) |  | $ | 1,152 | 
|Net change in unrealized appreciation (depreciation) on investments                              |  |                                   | 12,780 |  |                                  |   | (1,504 | )                 |  |   | 20,196            |   |  |   | 2,745 | 
|                                                                                                 |  |                                   |        |  |                                  |   |        |                   |  |   |                   |   |  |   |       | 
|Net realized gain (loss) and net change in unrealized appreciation (depreciation) on
investments |  | $                                 | 13,324 |  |                                  | $ | (681   | )                 |  | $ | 11,141            |   |  | $ | 3,897 | 
|                                                                                                 |  |                                   |        |  |                                  |   |        |                   |  |   |                   |   |  |   |       | 

Net realized gain (loss) and net change in unrealized appreciation (depreciation) by the type of investments
for the three month and nine month periods ended September 30, 2016 and 2015 were as follows:



|                               |  |                                   |     |   |                                                    |   |        |                         |  |   |                                                   |   |  |   |        |  
|------------------------------ |  | --------------------------------- | --- | - | -------------------------------------------------- | - | ------ | ----------------------- |  | - | ------------------------------------------------- | - |  | - | ------ | -
|                               |  | For the three month periods ended |    
|                               |  | September 30, 2016                |     |   | September 30, 2015                                 |  
|Type                           |  | Net realizedgain (loss)           |     |   | Net change inunrealizedappreciation (depreciation) |   |        | Net realizedgain (loss) |  |   | Net change inunrealizedappreciation(depreciation) |  
|First Lien Debt                |  | $                                 | 324 |   |                                                    | $ | 3,082  |                         |  | $ | (11                                               | ) |  | $ | 2,921  |  
|Second Lien Debt               |  |                                   | 221 |   |                                                    |   | 5,648  |                         |  |   |                                                  |   |  |   | (187   | )
|Structured Finance Obligations |  |                                   | (1  | ) |                                                    |   | 1,145  |                         |  |   | 834                                               |   |  |   | (4,394 | )
|Equity Investments             |  |                                   |    |   |                                                    |   | 661    |                         |  |   |                                                  |   |  |   | 156    |  
|Investment Fund                |  |                                   |    |   |                                                    |   | 2,244  |                         |  |   |                                                  |   |  |   |       |  
|                               |  |                                   |     |   |                                                    |   |        |                         |  |   |                                                   |   |  |   |        |  
|Total                          |  | $                                 | 544 |   |                                                    | $ | 12,780 |                         |  | $ | 823                                               |   |  | $ | (1,504 | )
|                               |  |                                   |     |   |                                                    |   |        |                         |  |   |                                                   |   |  |   |        |  



|                               |  |                                  |        |   |                                                    |   |        |                         |  |   |                                                   |  |  |   |        |  
|------------------------------ |  | -------------------------------- | ------ | - | -------------------------------------------------- | - | ------ | ----------------------- |  | - | ------------------------------------------------- |  |  | - | ------ | -
|                               |  | For the nine month periods ended |       
|                               |  | September 30, 2016               |        |   | September 30, 2015                                 |  
|Type                           |  | Net realizedgain (loss)          |        |   | Net change inunrealizedappreciation (depreciation) |   |        | Net realizedgain (loss) |  |   | Net change inunrealizedappreciation(depreciation) | 
|First Lien Debt                |  | $                                | 495    |   |                                                    | $ | 3,223  |                         |  | $ | 196                                               |  |  | $ | 7,038  |  
|Second Lien Debt               |  |                                  | 221    |   |                                                    |   | 4,189  |                         |  |   |                                                  |  |  |   | 1,417  |  
|Structured Finance Obligations |  |                                  | (9,771 | ) |                                                    |   | 9,888  |                         |  |   | 956                                               |  |  |   | (5,866 | )
|Equity Investments             |  |                                  |       |   |                                                    |   | 939    |                         |  |   |                                                  |  |  |   | 156    |  
|Investment Fund                |  |                                  |       |   |                                                    |   | 1,957  |                         |  |   |                                                  |  |  |   |       |  
|                               |  |                                  |        |   |                                                    |   |        |                         |  |   |                                                   |  |  |   |        |  
|Total                          |  | $                                | (9,055 | ) |                                                    | $ | 20,196 |                         |  | $ | 1,152                                             |  |  | $ | 2,745  |  
|                               |  |                                  |        |   |                                                    |   |        |                         |  |   |                                                   |  |  |   |        |  

Net change in unrealized depreciation in our investments for the three month and nine month periods ended
September 30, 2016 compared to the comparable periods in 2015 was primarily due to changes in various inputs utilized under our valuation methodology, including, but not limited to, market spreads, leverage multiples and borrower ratings.

MIDDLE MARKET CREDIT FUND, LLC

Overview

On February 29, 2016, the Company and Credit Partners entered into the Limited Liability Company Agreement to co-manage Credit
Fund, an unconsolidated Delaware limited liability company. Credit Fund primarily invests in first lien loans of middle-market companies. Credit Fund is managed by a six-member board



65



---

##### Table of Contents

of managers, on which the Company and Credit Partners each have equal representation. The Company and Credit Partners each have 50% economic ownership of Credit Fund and have commitments to fund,
from time to time, capital of up to $400,000 each. Funding of such commitment generally requires the approval of the board of Credit Fund, including the board members appointed by the Company.

Together with Credit Partners, the Company co-invests through Credit Fund. Portfolio and investment decisions with respect to Credit Fund must
be unanimously approved by a quorum of Credit Funds investment committee consisting of an equal number of representatives of the Company and Credit Partners. Therefore, although the Company owns more than 25% of the voting securities of Credit
Fund, the Company does not believe that it has control over Credit Fund (other than for purposes of the Investment Company Act). Middle Market Credit Fund SPV, LLC (the Credit Fund Sub), a Delaware limited liability company, was formed
on April 5, 2016. Credit Fund Sub primarily invests in first lien loans of middle-market companies. Credit Fund Sub is a wholly-owned subsidiary of Credit Fund and is consolidated in Credit Funds consolidated financial statements commencing
from the date of its formation.

Selected Financial Data

Since inception of Credit Fund and through September 30, 2016, the Company and Credit Partners each made capital contributions of $1 in
members equity and $24,000 in subordinated loans to Credit Fund. Additionally, Credit Fund borrowed $31,800 in mezzanine loans under a revolving credit facility with the Company (the Credit Fund Facility). As of September 30, 2016,
Credit Fund had subordinated loans and members capital of $51,917 and mezzanine loans of $31,800. The Companys ownership interest in such subordinated loans and members capital was $25,958 and in such mezzanine loans was $31,800.

As of September 30, 2016, Credit Fund held cash and cash equivalents totaling $4,076.

As of September 30, 2016, Credit Fund had total investments at fair value of $292,830, which was comprised of first lien senior secured loans
and second lien senior secured loans to 20 portfolio companies. As of September 30, 2016 and for the three month and nine month periods ended September 30, 2016, no loans in Credit Funds portfolio were on non-accrual status or contained PIK
provisions. The portfolio companies in Credit Fund are U.S. middle market companies in industries similar to those in which the Company may invest directly. Additionally, as of September 30, 2016, Credit Fund had commitments to fund various undrawn
revolvers and delayed draw investments to its portfolio companies totaling $35,059.

Below is a summary of Credit Funds portfolio,
followed by a listing of the loans in Credit Funds portfolio as of September 30, 2016:



|                                                                            |  |                          |         |  
|--------------------------------------------------------------------------- |  | ------------------------ | ------- | -
|                                                                            |  | As of September 30, 2016 |        
|Senior secured loans (1)                                                    |  | $                        | 293,576 |  
|Weighted average yields of senior secured loans based on amortized cost (2) |  |                          | 6.26    | %
|Number of portfolio companies in Credit Fund                                |  |                          | 20      |  



|(1) | At par/principal amount.
|--- | ------------------------

|(2) | Weighted average yields do not include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of September 30, 2016. Actual yields earned over the life of each investment
could differ materially from the yields presented above.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



66



---

##### Table of Contents

|                                                                          |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|------------------------------------------------------------------------- |  | -------- | --------------------------------------- |  | ------------ |  | ---- | ------------ |  |  | ------------------- |  |  | ----------------- | ------ |  | ------------- | - | ------- |  |  | - | ------- | 
|Consolidated Schedule of Investments as of
September 30, 2016 (unaudited) | 
|Investments
(1)                                                           |  | Industry |                                         |  | InterestRate |  |      | MaturityDate |  |  | Par/PrincipalAmount |  |  | AmortizedCost (5) |        |  | FairValue (6) |  
|First Lien Debt (99.32% of fair value)                                    |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|Datapipe, Inc. (2) (3) (4)                                                |  |          | Telecommunications                      |  |              |  | 5.75 | %            |  |  | 3/15/2019           |  |  | $                 | 9,775  |  |               | $ | 9,681   |  |  | $ | 9,762   | 
|Diversitech Corporation (2) (3) (4)
(9)                                   |  |          | Capital Equipment                       |  |              |  | 7.00 |              |  |  | 11/19/2021          |  |  |                   | 14,840 |  |               |   | 14,645  |  |  |   | 14,780  | 
|DYK Prime Acquisition LLC (2) (3) (4)                                     |  |          | Chemicals, Plastics& Rubber             |  |              |  | 5.75 |              |  |  | 4/1/2022            |  |  |                   | 5,850  |  |               |   | 5,808   |  |  |   | 5,909   | 
|EIP Merger Sub, LLC (EvolveIP) (2) (3) (4) (7)
(16)                       |  |          | Telecommunications                      |  |              |  | 7.25 |              |  |  | 6/7/2021            |  |  |                   | 23,048 |  |               |   | 22,379  |  |  |   | 22,811  | 
|Generation Brands Holdings, Inc. (2) (3) (4)                              |  |          | Durable ConsumerGoods                   |  |              |  | 6.00 |              |  |  | 6/10/2022           |  |  |                   | 19,950 |  |               |   | 19,754  |  |  |   | 20,058  | 
|Jensen Hughes, Inc. (2) (3) (4) (8)                                       |  |          | Utilities: Electric                     |  |              |  | 6.00 |              |  |  | 12/4/2021           |  |  |                   | 21,120 |  |               |   | 20,883  |  |  |   | 21,121  | 
|Kestra Financial, Inc.(2) (3) (4)                                         |  |          | Banking, Finance,Insurance & RealEstate |  |              |  | 6.25 |              |  |  | 6/24/2022           |  |  |                   | 19,950 |  |               |   | 19,671  |  |  |   | 19,860  | 
|MSHC, Inc.(2) (3) (4) (10)                                                |  |          | Construction &Building                  |  |              |  | 6.00 |              |  |  | 7/19/2021           |  |  |                   | 13,210 |  |               |   | 13,083  |  |  |   | 13,138  | 
|Netsmart Technologies, Inc.(2) (3)
(4)                                    |  |          | High TechIndustries                     |  |              |  | 5.75 |              |  |  | 4/19/2023           |  |  |                   | 12,369 |  |               |   | 12,252  |  |  |   | 12,452  | 
|PAI Holdco, Inc. (Parts Authority)(2) (3)
(4)                             |  |          | Automotive                              |  |              |  | 5.75 |              |  |  | 12/30/2022          |  |  |                   | 9,975  |  |               |   | 9,908   |  |  |   | 9,953   | 
|Pasternack Enterprises, Inc. (InfiniteRF)(2)
(3) (4)                      |  |          | Capital Equipment                       |  |              |  | 6.00 |              |  |  | 5/27/2022           |  |  |                   | 11,970 |  |               |   | 11,869  |  |  |   | 11,996  | 
|QW Holding Corporation(Quala)(2) (3) (4) (12)
(15)                        |  |          | EnvironmentalIndustries                 |  |              |  | 7.75 |              |  |  | 8/31/2022           |  |  |                   | 3,677  |  |               |   | 3,178   |  |  |   | 3,363   | 
|RelaDyne Inc. (2) (3) (4) (11)                                            |  |          | Wholesale                               |  |              |  | 6.25 |              |  |  | 7/22/2022           |  |  |                   | 22,635 |  |               |   | 22,222  |  |  |   | 22,520  | 
|T2 Systems Canada, Inc. (2) (3) (4)                                       |  |          | Transportation:Consumer                 |  |              |  | 7.75 |              |  |  | 9/28/2022           |  |  |                   | 2,707  |  |               |   | 2,639   |  |  |   | 2,675   | 
|T2 Systems, Inc. (2) (3) (4) (13)                                         |  |          | Transportation:Consumer                 |  |              |  | 7.75 |              |  |  | 9/28/2022           |  |  |                   | 15,338 |  |               |   | 14,911  |  |  |   | 15,137  | 
|The Original Cakerie, Ltd.(Canada) (2) (3)
(4)(14)                        |  |          | Beverage, Food &Tobacco                 |  |              |  | 6.00 |              |  |  | 7/20/2021           |  |  |                   | 7,027  |  |               |   | 6,960   |  |  |   | 7,007   | 
|The Original Cakerie, Co.(Canada) (2) (3)
(4)                             |  |          | Beverage, Food &Tobacco                 |  |              |  | 6.50 |              |  |  | 7/20/2021           |  |  |                   | 3,630  |  |               |   | 3,597   |  |  |   | 3,616   | 
|TK USA Enterprises, Inc.(2) (3) (4)                                       |  |          | Construction &Building                  |  |              |  | 6.00 |              |  |  | 4/4/2023            |  |  |                   | 19,900 |  |               |   | 19,620  |  |  |   | 20,099  | 
|U.S. Acute Care Solutions, LLC (2) (3)
(4)                                |  |          | Health &Pharmaceuticals                 |  |              |  | 6.00 |              |  |  | 5/15/2021           |  |  |                   | 19,950 |  |               |   | 19,760  |  |  |   | 19,930  | 
|Vantage Specialty Chemicals, Inc.(2) (3)
(4)                              |  |          | Chemicals, Plastics& Rubber             |  |              |  | 5.50 |              |  |  | 2/5/2021            |  |  |                   | 17,955 |  |               |   | 17,824  |  |  |   | 17,951  | 
|WIRBCopernicus Group, Inc. (2) (3)
(4)                                   |  |          | Health &Pharmaceuticals                 |  |              |  | 6.00 |              |  |  | 8/12/2022           |  |  |                   | 8,000  |  |               |   | 7,933   |  |  |   | 7,986   | 
|Zest Holdings, LLC (2) (3) (4)                                            |  |          | Durable ConsumerGoods                   |  |              |  | 5.25 |              |  |  | 8/16/2020           |  |  |                   | 8,700  |  |               |   | 8,657   |  |  |   | 8,717   | 
|                                                                          |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|First Lien Debt Total                                                     |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               | $ | 287,234 |  |  | $ | 290,841 | 
|                                                                          |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|Second Lien Debt (0.68% of fair value)                                    |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|Vantage Specialty Chemicals, Inc.(2) (3)
(4)                              |  |          | Chemicals, Plastics& Rubber             |  |              |  | 9.75 | %            |  |  | 2/5/2022            |  |  | $                 | 2,000  |  |               | $ | 1,961   |  |  | $ | 1,989   | 
|                                                                          |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|Second Lien Debt Total                                                    |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               | $ | 1,961   |  |  | $ | 1,989   | 
|                                                                          |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 
|Total Investments                                                         |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               | $ | 289,195 |  |  | $ | 292,830 | 
|                                                                          |  |          |                                         |  |              |  |      |              |  |  |                     |  |  |                   |        |  |               |   |         |  |  |   |         | 



|(1) | Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of September 30, 2016, the geographical composition of investments as a percentage of fair value was 3.63% in
Canada and 96.37% in the United States.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Variable rate loans to the portfolio companies bear interest at a rate that may be determined by reference to either LIBOR or an alternate base rate (commonly based on the Federal Funds Rate or the Prime Rate), which
generally resets quarterly. For each such loan, Credit Fund has provided the interest rate in effect as of September 30, 2016.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(3) | Loan includes interest rate floor feature.
|--- | ------------------------------------------



67



---

##### Table of Contents

|(4) | Denotes that all or a portion of the assets are owned by Credit Fund Sub. Credit Fund Sub has entered into the Credit Fund Sub Facility. The lenders of the Credit Fund Sub Facility have a first lien security interest in
substantially all of the assets of Credit Fund Sub. Accordingly, such assets are not available to creditors of Credit Fund.
|--- | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(5) | Amortized cost represents original cost, including origination fees, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.
|--- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(6) | Fair value is determined in good faith by or under the direction of the board of managers of Credit Fund, pursuant to Credit Funds valuation policy, which is substantially similar to the valuation policy of the
Company provided in Note 3, Fair Value Measurements.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(7) | Credit Fund receives less than the stated interest rate of this loan as a result of an agreement among lenders. Pursuant to the agreement among lenders, this investment represents a first lien/first out loan, which has
first priority ahead of the first lien/last out loan with respect to principal, interest and other payments.
|--- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(8) | Jensen Hughes, Inc. has an undrawn delayed draw term loan of $1,461 par value at LIBOR + 5.00%, 1.00% floor, and an undrawn revolver of $2,000 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 0.50% is charged
on the delayed draw term loan and the revolver principal while undrawn.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(9) | Diversitech Corporation has an undrawn delayed draw term loan of $5,000 par value at LIBOR + 4.50%, 1.00% floor. An unused rate of 1.00% is charged on the delayed draw term loan while undrawn.
|--- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(10) | MSHC Inc. (Service Logic) has an undrawn delayed draw term loan of $1,790 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 1.50% is charged on the delayed draw term loan while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(11) | RelaDyne Inc. has an undrawn delayed draw term loan of $2,703 par value at LIBOR + 5.25%, 1.00% floor, and an undrawn revolver of $2,162 par value at LIBOR + 5.25%, 1.00% floor. An unused rate of 0.50% is charged on the
delayed draw term loan and the revolver principal while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(12) | QW Holding Corporation (Quala) has an undrawn delayed draw term loan of $10,825 par value at LIBOR + 6.75%, 1.00% floor, and an undrawn revolver of $5,498 par value at LIBOR + 6.75%, 1.00% floor. An unused rate of 1.00%
is charged on the delayed draw term loan and the revolver principal while undrawn.
|---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(13) | T2 Systems, Inc. has an undrawn revolver of $1,955 par value at LIBOR + 6.75%, 1.00% floor. An unused rate of 1.00% is charged on the revolver principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(14) | The Original Cakerie Ltd. (Canada) has an undrawn revolver of $1,665 par value at LIBOR + 5.00%, 1.00% floor. An unused rate of 0.50% is charged on the revolver principal while undrawn.
|---- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(15) | Denotes that all or a portion of the assets are owned by Credit Fund. Credit Fund has entered into the Credit Fund Facility. The lenders of the Credit Fund Facility have a first lien security interest in substantially
all of the assets of Credit Fund. Accordingly, such assets are not available to creditors of Credit Fund Sub.
|---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(16) | Credit Fund receives less than the stated interest rate of this loan as a result of an agreement among lenders. The interest rate reduction is 1.25% on EIP Merger Sub, LLC (Evolve IP). Pursuant to the agreement among
lenders in respect of this loan, this investment represents a first lien/first out loan, which has first priority ahead of the first lien/last out loan with respect to principal, interest and other payments.
|---- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Below is certain summarized consolidated financial information for Credit Fund as of September 30, 2016 and for the three and nine month ended
September 2016. Credit Fund commenced operations in May 2016.



|                                                        |  |                   |         | 
|------------------------------------------------------- |  | ----------------- | ------- | 
|                                                        |  | September 30,2016 |        
|                                                        |  | (unaudited)       |        
|Selected Consolidated Balance Sheet Information         |  |                   |         | 
|ASSETS                                                  |  |                   |         | 
|Investments, at fair value (amortized cost of $289,195) |  | $                 | 292,830 | 
|Cash and other assets                                   |  |                   | 8,473   | 
|                                                        |  |                   |         | 
|Total assets                                            |  | $                 | 301,303 | 
|                                                        |  |                   |         | 
|LIABILITIES AND MEMBERS EQUITY                         |  |                   |         | 
|Secured borrowings                                      |  | $                 | 206,075 | 
|Mezzanine loans                                         |  |                   | 31,800  | 
|Other liabilities                                       |  |                   | 11,511  | 
|Subordinated loans and members equity                  |  |                   | 51,917  | 
|                                                        |  |                   |         | 
|Liabilities and members equity                         |  | $                 | 301,303 | 
|                                                        |  |                   |         | 



68



---

##### Table of Contents

|                                                                    |  |                                                 |       |  |                                                |   |       | 
|------------------------------------------------------------------- |  | ----------------------------------------------- | ----- |  | ---------------------------------------------- | - | ----- | 
|                                                                    |  | For the threemonth periodendedSeptember 30,2016 |       |  | For the ninemonth periodendedSeptember 30,2016 |  
|                                                                    |  | (unaudited)                                     |       |  | (unaudited)                                    |  
|Selected Consolidated Statement of Operations Information:          |  |                                                 |       |  |                                                |   |       | 
|Total investment income                                             |  | $                                               | 3,642 |  |                                                | $ | 3,658 | 
|                                                                    |  |                                                 |       |  |                                                |   |       | 
|Expenses                                                            |  |                                                 |       |  |                                                |   |       | 
|Interest and credit facility expenses                               |  |                                                 | 1,798 |  |                                                |   | 1,836 | 
|Other expenses                                                      |  |                                                 | 496   |  |                                                |   | 883   | 
|                                                                    |  |                                                 |       |  |                                                |   |       | 
|Total expenses                                                      |  |                                                 | 2,294 |  |                                                |   | 2,719 | 
|                                                                    |  |                                                 |       |  |                                                |   |       | 
|Net investment income (loss)                                        |  |                                                 | 1,348 |  |                                                |   | 939   | 
|                                                                    |  |                                                 |       |  |                                                |   |       | 
|Net realized gain (loss) on investments                             |  |                                                 | 41    |  |                                                |   | 41    | 
|Net change in unrealized appreciation (depreciation) on investments |  |                                                 | 3,798 |  |                                                |   | 3,634 | 
|                                                                    |  |                                                 |       |  |                                                |   |       | 
|Net increase (decrease) resulting from operations                   |  | $                                               | 5,187 |  |                                                | $ | 4,614 | 
|                                                                    |  |                                                 |       |  |                                                |   |       | 

Debt

Credit
Fund Facility

Credit Fund closed on June 24, 2016 on a revolving credit facility, the Credit Fund Facility, from which Credit Fund may
from time to time request mezzanine loans from the Company. The maximum principal amount of the Credit Fund Facility is $100,000.

During
the nine month period ended September 30, 2016, there were mezzanine loans borrowings of $54,200 and repayments of $22,400 under the Credit Fund Facility. As of September 30, 2016, there were $31,800 in mezzanine loans outstanding.

Credit Fund Sub Facility

Credit Fund Sub
closed on June 24, 2016 on the Credit Fund Sub Facility. The Credit Fund Sub Facility provides for secured borrowings during the applicable revolving period up to an amount equal to $440,000, with an accordion feature that can increase the aggregate
maximum credit commitment up to an amount not to exceed $1,400,000. The Facility is secured by a first lien security interest in substantially all of the portfolio investments held by Credit Fund Sub and the Companys and Credit Partners
unfunded capital commitments.

During the nine month period ended September 30, 2016, there were secured borrowings of $206,075 under the
Credit Fund Sub Facility. As of September 30, 2016, there was $206,075 in secured borrowings outstanding.

FINANCIAL CONDITION, LIQUIDITY AND CAPITAL
RESOURCES

We generate cash from the net proceeds of offerings of our common stock and through cash flows from operations, including
investment sales and repayments as well as income earned on investments and cash equivalents. We may also fund a portion of our investments through borrowings under the Borrower Subs senior secured revolving credit facility (as amended, the
Revolving Credit Facility) and/or the Companys senior secured revolving credit facility (as amended, the Facility), as well as through securitization of a portion of our existing investments.

The Borrower Sub closed on May 24, 2013 on the Revolving Credit Facility, which was subsequently amended on June 30, 2014, June 19, 2015 and
June 9, 2016. The Revolving Credit Facility provides for secured borrowings during the applicable revolving period up to an amount equal to the lesser of $400,000 (the



69



---

##### Table of Contents

borrowing base as calculated pursuant to the terms of the Revolving Credit Facility) and the amount of net cash proceeds and unpledged capital commitments the Company has received, with an
accordion feature that can, subject to certain conditions, increase the aggregate maximum credit commitment up to an amount not to exceed $750,000, subject to restrictions imposed on borrowings under the Investment Company Act and certain
restrictions and conditions set forth in the Revolving Credit Facility, including adequate collateral to support such borrowings. The Revolving Credit Facility imposes financial and operating covenants on us and the Borrower Sub that restrict our
and its business activities. Continued compliance with these covenants will depend on many factors, some of which are beyond our control.

The Company closed on March 21, 2014 on the Facility, which was subsequently amended on January 8, 2015 and May 25, 2016. The maximum
principal amount of the Facility is $220,000, subject to availability under the Facility, which is based on certain advance rates multiplied by the value of the Companys portfolio investments (subject to certain concentration limitations) net
of certain other indebtedness that the Company may incur in accordance with the terms of the Facility. Proceeds of the Facility may be used for general corporate purposes, including the funding of portfolio investments. Maximum capacity under the
Facility may be increased to $225,000 through the exercise by the Company of an uncommitted accordion feature through which existing and new lenders may, at their option, agree to provide additional financing. The Facility includes a $20,000 limit
for swingline loans and a $5,000 limit for letters of credit. Subject to certain exceptions, the Facility is secured by a first lien security interest in substantially all of the portfolio investments held by the Company. The Facility includes
customary covenants, including certain financial covenants related to asset coverage, shareholders equity and liquidity, certain limitations on the incurrence of additional indebtedness and liens, and other maintenance covenants, as well as
usual and customary events of default for senior secured revolving credit facilities of this nature.

Although we believe that we and the
Borrower Sub will remain in compliance, there are no assurances that we or the Borrower Sub will continue to comply with the covenants in the Facility and Revolving Credit Facility, as applicable. Failure to comply with these covenants could result
in a default under the Facility and/or Revolving Credit Facility that, if we or the Borrower Sub were unable to obtain a waiver from the applicable lenders, could result in the immediate acceleration of the amounts due under the Facility and/or
Revolving Credit Facility, and thereby have a material adverse impact on our business, financial condition and results of operations.

For
more information on the Revolving Credit Facility and Facility, see Note 6 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

The primary use of existing funds and any funds raised in the future is expected to be for investments in portfolio companies, repayment of
indebtedness, cash distributions to our stockholders and for other general corporate purposes.

On June 26, 2015, the Company completed a
$400 million term debt securitization (the 2015-1 Debt Securitization). The notes offered in the Debt Securitization (the 2015-1 Notes) were issued by Carlyle GMS Finance MM CLO 2015-1 LLC (the 2015-1 Issuer), a
wholly-owned and consolidated subsidiary of the Company, and are secured by a diversified portfolio of the 2015-1 Issuer consisting primarily of first and second lien senior secured loans. The 2015-1 Debt Securitization was executed through a
private placement of the 2015-1 Notes, consisting of $160 million of Aaa/AAA Class A-1A Notes, which bear interest at the three-month London Interbank Offered Rate (LIBOR) plus 1.85%; $40 million of Aaa/AAA Class A-1B Notes, which bear
interest at the three-month LIBOR plus 1.75% for the first 24 months and the three-month LIBOR plus 2.05% thereafter; $27 million of Aaa/AAA Class A-1C Notes, which bear interest at 3.75%; and $46 million of Aa2 Class A-2 Notes which bear interest
at the three-month LIBOR plus 2.70%. The 2015-1 Notes were issued at par and are scheduled to mature on July 15, 2027. The Company received 100% of the preferred interests (the Preferred Interests) issued by the 2015-1 Issuer on the
closing date of the 2015-1 Debt Securitization in exchange for the Companys contribution to the Issuer of the initial closing date loan portfolio. The Preferred



70



---

##### Table of Contents

Interests do not bear interest and had a nominal value of $125.9 million at closing. In connection with the contribution, the Company has made customary representations, warranties and covenants
to the 2015-1 Issuer. The Class A-1A, Class A-1B and Class A-1C and Class A-2 Notes are included in the consolidated financial statements included in Part I, Item 1 of this Form 10-Q. The Preferred Interests were eliminated in consolidation. For
more information on the 2015-1 Notes, see Note 7 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

As of
September 30, 2016 and December 31, 2015, the Company had $49,841 and $41,837, respectively, in cash and cash equivalents. The facilities of the Company and the Borrower Sub consisted of the following as of September 30, 2016 and
December 31, 2015:



|                          |  |                    |         |  |                       |   |         |                   |  |   |                     |  |  |   |        | 
|------------------------- |  | ------------------ | ------- |  | --------------------- | - | ------- | ----------------- |  | - | ------------------- |  |  | - | ------ | 
|                          |  | September 30, 2016 |        
|                          |  | TotalFacility      |         |  | BorrowingsOutstanding |   |         | UnusedPortion (1) |  |   | AmountAvailable (2) | 
|Revolving Credit Facility |  | $                  | 400,000 |  |                       | $ | 196,016 |                   |  | $ | 203,984             |  |  | $ | 11,377 | 
|Facility                  |  |                    | 220,000 |  |                       |   | 199,000 |                   |  |   | 21,000              |  |  |   | 21,000 | 
|                          |  |                    |         |  |                       |   |         |                   |  |   |                     |  |  |   |        | 
|Total                     |  | $                  | 620,000 |  |                       | $ | 395,016 |                   |  | $ | 224,984             |  |  | $ | 32,377 | 
|                          |  |                    |         |  |                       |   |         |                   |  |   |                     |  |  |   |        | 
|                          | 
|                          |  | December 31, 2015  |        
|                          |  | TotalFacility      |         |  | BorrowingsOutstanding |   |         | UnusedPortion (1) |  |   | AmountAvailable (2) | 
|Revolving Credit Facility |  | $                  | 400,000 |  |                       | $ | 170,313 |                   |  | $ | 229,687             |  |  | $ | 3,155  | 
|Facility                  |  |                    | 150,000 |  |                       |   | 64,000  |                   |  |   | 86,000              |  |  |   | 86,000 | 
|                          |  |                    |         |  |                       |   |         |                   |  |   |                     |  |  |   |        | 
|Total                     |  | $                  | 550,000 |  |                       | $ | 234,313 |                   |  | $ | 315,687             |  |  | $ | 89,155 | 
|                          |  |                    |         |  |                       |   |         |                   |  |   |                     |  |  |   |        | 



|(1) | The unused portion is the amount upon which commitment fees are based.
|--- | ----------------------------------------------------------------------

|(2) | Available for borrowing based on the computation of collateral to support the borrowings.
|--- | -----------------------------------------------------------------------------------------

The
following were the carrying values (before debt issuance costs) and fair values of the Companys 2015-1 Notes as of September 30, 2016 and December 31, 2015:



|                         |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 
|------------------------ |  | ------------------ | ------- |  | ----------------- | - | ------- | -------------- |  | - | ---------- |  |  | - | ------- | 
|                         |  | September 30, 2016 |         |  | December 31, 2015 |  
|                         |  | Carrying Value     |         |  | Fair Value        |   |         | Carrying Value |  |   | Fair Value | 
|Aaa/AAA Class A-1A Notes |  | $                  | 160,000 |  |                   | $ | 158,800 |                |  | $ | 160,000    |  |  | $ | 157,200 | 
|Aaa/AAA Class A-1B Notes |  |                    | 40,000  |  |                   |   | 39,900  |                |  |   | 40,000     |  |  |   | 39,700  | 
|Aaa/AAA Class A-1C Notes |  |                    | 27,000  |  |                   |   | 27,171  |                |  |   | 27,000     |  |  |   | 26,823  | 
|Aa2 Class A-2 Notes      |  |                    | 46,000  |  |                   |   | 45,095  |                |  |   | 46,000     |  |  |   | 45,122  | 
|                         |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 
|Total                    |  | $                  | 273,000 |  |                   | $ | 270,966 |                |  | $ | 273,000    |  |  | $ | 268,845 | 
|                         |  |                    |         |  |                   |   |         |                |  |   |            |  |  |   |         | 

Equity Activity

There were $18,105 and $36,530 of investor equity capital commitments made to the Company during the three month and nine month periods ended
September 30, 2016, respectively. There were $8,425 and $30,007 of investor equity capital commitments made to the Company during the three month and nine month periods ended September 30, 2015, respectively. As of September 30, 2016 and December
31, 2015, the Company had $1,210,870 and $1,174,340, respectively, in total capital commitments from stockholders, of which $445,642 and $559,214, respectively, was unfunded. As of September 30, 2016, current directors had committed $608 in capital
commitments to the Company.

Shares issued as of September 30, 2016 and December 31, 2015 were 39,791,482 and 31,524,683,
respectively.



71



---

##### Table of Contents

The following table summarizes activity in the number of shares of our common stock outstanding
during the nine month periods ended September 30, 2016 and 2015:



|                                        |  |                                  |            |  |                    |  |            | 
|--------------------------------------- |  | -------------------------------- | ---------- |  | ------------------ |  | ---------- | 
|                                        |  | For the nine month periods ended |           
|                                        |  | September 30, 2016               |            |  | September 30, 2015 | 
|Shares outstanding, beginning of period |  |                                  | 31,524,083 |  |                    |  | 17,932,697 | 
|Common stock issued                     |  |                                  | 8,256,770  |  |                    |  | 9,958,294  | 
|Reinvestment of dividends               |  |                                  | 10,629     |  |                    |  | 4,420      | 
|                                        |  |                                  |            |  |                    |  |            | 
|Shares outstanding, end of period       |  |                                  | 39,791,482 |  |                    |  | 27,895,411 | 
|                                        |  |                                  |            |  |                    |  |            | 

Contractual Obligations

A summary of our significant contractual payment obligations was as follows as of September 30, 2016 and December 31, 2015:



|                      |  |                                        |         |  |                      |   |         |                   |  |   |                  |  |  |   |         | 
|--------------------- |  | -------------------------------------- | ------- |  | -------------------- | - | ------- | ----------------- |  | - | ---------------- |  |  | - | ------- | 
|                      |  | Revolving Credit Facility and Facility |         |  | 2015-1 Notes         |  
|Payment Due by Period |  | September 30,2016                      |         |  | December 31,    2015 |   |         | September 30,2016 |  |   | December 31,2015 | 
|Less than 1 Year      |  | $                                      |        |  |                      | $ |        |                   |  | $ |                 |  |  | $ |        | 
|1-3 Years             |  |                                        |        |  |                      |   |        |                   |  |   |                 |  |  |   |        | 
|3-5 Years             |  |                                        | 395,016 |  |                      |   | 64,000  |                   |  |   |                 |  |  |   |        | 
|More than 5 Years     |  |                                        |        |  |                      |   | 170,313 |                   |  |   | 273,000          |  |  |   | 273,000 | 
|                      |  |                                        |         |  |                      |   |         |                   |  |   |                  |  |  |   |         | 
|Total                 |  | $                                      | 395,016 |  |                      | $ | 234,313 |                   |  | $ | 273,000          |  |  | $ | 273,000 | 
|                      |  |                                        |         |  |                      |   |         |                   |  |   |                  |  |  |   |         | 

For more information on the Revolving Credit Facility and Facility and 2015-1 Notes, see Note 6 and
Note 7, respectively, to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

As of September 30, 2016
and December 31, 2015, $196,016 and $170,313, respectively, of secured borrowings were outstanding under the Revolving Credit Facility, and $199,000 and $64,000, respectively, were outstanding under the Facility and $273,000 and $273,000,
respectively, of 2015-1 Notes were outstanding. For the three month and nine month periods ended September 30, 2016, we incurred $4,051 and $11,475, respectively, of interest expense and $351 and $1,034, respectively, of unused commitment fees. For
the three month and nine month periods ended September 30, 2015, we incurred $2,658 and $6,567, respectively, of interest expense and $282 and $587, respectively, of unused commitment fees.

OFF BALANCE SHEET ARRANGEMENTS

In the
ordinary course of its business, the Company enters into contracts or agreements that contain indemnification and warranties. Future events could occur that lead to the execution of these provisions against the Company. The Company believes that the
likelihood of such an event is remote; however, the maximum potential exposure is unknown. No accrual has been made in these consolidated financial statements as of September 30, 2016 and December 31, 2015 included in Part I, Item 1 of
this Form 10-Q for any such exposure.

We have in the past and may in the future become obligated to fund commitments such as revolving
credit facilities, bridge financing commitments, or delayed draw commitments.

The Company had the following unfunded commitments to fund
delayed draw and revolving senior secured loans as of the indicated dates:



|                                         |  |                    |        |  |                   |   |        | 
|---------------------------------------- |  | ------------------ | ------ |  | ----------------- | - | ------ | 
|                                         |  | Par Value as of    |       
|                                         |  | September 30, 2016 |        |  | December 31, 2015 |  
|Unfunded delayed draw commitments        |  | $                  | 44,358 |  |                   | $ | 20,695 | 
|Unfunded revolving term loan commitments |  |                    | 19,765 |  |                   |   | 3,906  | 
|                                         |  |                    |        |  |                   |   |        | 
|Total unfunded commitments               |  | $                  | 64,123 |  |                   | $ | 24,601 | 
|                                         |  |                    |        |  |                   |   |        | 



72



---

##### Table of Contents

Pursuant to an undertaking by the Company in connection with the 2015-1 Debt Securitization, the
Company agreed to hold on an ongoing basis Preferred Interests with an aggregate dollar purchase price at least equal to 5% of the aggregate outstanding amount of all collateral obligations by the 2015-1 Issuer for so long as any securities of the
2015-1 Issuer remains outstanding. As of September 30, 2016, the Company was in compliance with its undertaking.

As of September 30,
2016, the Company had remaining commitments to fund, from time to time, capital to Credit Fund of up to $375,999. As of September 30, 2016, the Company had remaining commitments to fund, from time to time, mezzanine loans to Credit Fund of up to
$68,200, of which $1,280 was available for borrowing based on the computation of collateral to support the borrowings.

DIVIDENDS AND DISTRIBUTIONS TO
COMMON STOCKHOLDERS

The Company has adopted a dividend reinvestment plan that provides for reinvestment of any distributions on behalf
of its stockholders, for those who have elected to participate in the plan. As a result of adopting such a plan, if the Board of Directors authorizes and declares a cash dividend or distribution, the stockholders who have elected to participate in
the dividend reinvestment plan would have their cash dividends or distributions automatically reinvested in additional shares of the Companys common stock, rather than receiving cash. Prior to a Qualified IPO, the Company intends to use
primarily newly issued shares of its common stock to implement the plan issued at the net asset value per share most recently determined by the Board of Directors. After a Qualified IPO, the Company intends to use primarily newly issued shares to
implement the plan so long as the market value per share is equal to or greater than the net asset value per share as of the close of business on the relevant payment date for such dividend or distribution. If the market value per share is less than
the net asset value per share as of the close of business on the relevant payment date, the plan administrator would purchase the common stock on behalf of participants in the open market, unless the Company instructs the plan administrator
otherwise.

The following table summarizes the Companys dividends declared and payable since inception through September 30, 2016:



|                   |  |                    |  |                  |  |                 |      |     |             |   |        |                             |  |  |      |  
|------------------ |  | ------------------ |  | ---------------- |  | --------------- | ---- | --- | ----------- | - | ------ | --------------------------- |  |  | ---- | -
|DateDeclared       |  | Record Date        |  | Payment Date     |  | Per ShareAmount |      |     | TotalAmount |   |        | AnnualizedDividend Yield(1) | 
|March 13, 2014     |  | March 31, 2014     |  | April 14, 2014   |  | $               | 0.19 |     |             | $ | 2,449  |                             |  |  | 4.76 | %
|June 26, 2014      |  | June 30, 2014      |  | July 14, 2014    |  | $               | 0.27 |     |             | $ | 3,481  |                             |  |  | 5.52 | %
|September 12, 2014 |  | September 18, 2014 |  | October 9, 2014  |  | $               | 0.44 |     |             | $ | 5,956  |                             |  |  | 9.23 | %
|December 19, 2014  |  | December 29, 2014  |  | January 26, 2015 |  | $               | 0.35 |     |             | $ | 6,276  |                             |  |  | 8.17 | %
|March 11, 2015     |  | March 13, 2015     |  | April 17, 2015   |  | $               | 0.37 |     |             | $ | 7,833  |                             |  |  | 8.58 | %
|June 24, 2015      |  | June 30, 2015      |  | July 22, 2015    |  | $               | 0.37 |     |             | $ | 9,902  |                             |  |  | 9.03 | %
|September 24, 2015 |  | September 24, 2015 |  | October 22, 2015 |  | $               | 0.42 |     |             | $ | 11,670 |                             |  |  | 8.91 | %
|December 29, 2015  |  | December 29, 2015  |  | January 22, 2016 |  | $               | 0.40 |     |             | $ | 12,610 |                             |  |  | 8.97 | %
|December 29, 2015  |  | December 29, 2015  |  | January 22, 2016 |  | $               | 0.18 | (2) |             | $ | 5,674  |                             |  |  | 4.03 | %
|March 10, 2016     |  | March 14, 2016     |  | April 22, 2016   |  | $               | 0.40 |     |             | $ | 13,337 |                             |  |  | 9.26 | %
|June 8, 2016       |  | June 8, 2016       |  | July 22, 2016    |  | $               | 0.40 |     |             | $ | 13,943 |                             |  |  | 9.23 | %
|September 28, 2016 |  | September 28, 2016 |  | October 24, 2016 |  | $               | 0.40 |     |             | $ | 15,917 |                             |  |  | 9.37 | %



|(1) | Annualized dividend yield is calculated by dividing the declared dividend by the weighted average of the net asset value at the beginning of the quarter and the capital called during the quarter and annualizing over 4
quarterly periods.
|--- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

|(2) | Represents a special dividend.
|--- | ------------------------------

CRITICAL ACCOUNTING POLICIES

The preparation of our consolidated financial statements requires us to make estimates and assumptions that affect the reported amounts of
assets, liabilities, revenues, and expenses. Changes in the economic environment, financial markets, and any other parameters used in determining such estimates could cause actual results to



73



---

##### Table of Contents

differ. Our critical accounting policies, including those relating to the valuation of our investment portfolio, are described below. The critical accounting policies should be read in connection
with our consolidated financial statements in Part I, Item 1 of this Form 10-Q and in Part II, Item 8 of the Companys annual report on Form 10-K for the year ended December 31, 2015.

Fair Value Measurements

The
Company applies fair value accounting in accordance with the terms of Financial Accounting Standards Board ASC Topic 820, Fair Value Measurement(ASC 820). ASC 820 defines fair value as the amount that would be exchanged to sell
an asset or transfer a liability in an orderly transfer between market participants at the measurement date. The Company values securities/instruments traded in active markets on the measurement date by multiplying the closing price of such traded
securities/instruments by the quantity of shares or amount of the instrument held. The Company may also obtain quotes with respect to certain of its investments, such as its securities/instruments traded in active markets and its liquid
securities/instruments that are not traded in active markets, from pricing services, brokers, or counterparties (i.e., consensus pricing). When doing so, the Company determines whether the quote obtained is sufficient according to
US GAAP to determine the fair value of the security. The Company may use the quote obtained or alternative pricing sources may be utilized including valuation techniques typically utilized for illiquid securities/instruments.

Securities/instruments that are illiquid or for which the pricing source does not provide a valuation or methodology or provides a valuation
or methodology that, in the judgment of the Investment Adviser or the Board of Directors, does not represent fair value shall each be valued as of the measurement date using all techniques appropriate under the circumstances and for which sufficient
data is available. These valuation techniques may vary by investment and include comparable public market valuations, comparable precedent transaction valuations and/or discounted cash flow analyses. The process generally used to determine the
applicable value is as follows: (i) the value of each portfolio company or investment is initially reviewed by the investment professionals responsible for such portfolio company or investment and, for non-traded investments, a
standardized template designed to approximate fair market value based on observable market inputs, updated credit statistics and unobservable inputs is used to determine a preliminary value, which is also reviewed alongside consensus pricing, where
available; (ii) preliminary valuation conclusions are documented and reviewed by a valuation committee comprised of members of senior management; (iii) the Board of Directors engages a third-party valuation firm to provide positive
assurance on portions of the Middle Market Senior Loans and equity investments portfolio each quarter (such that each non-traded investment other than Credit Fund and the 2015-1 Issuer is reviewed by a third-party valuation firm at least once on a
rolling twelve month basis) including a review of managements preliminary valuation and conclusion on fair value; (iv) the Audit Committee of the Board of Directors (the Audit Committee) reviews the assessments of the
Investment Adviser and the third-party valuation firm and provides the Board of Directors with any recommendations with respect to changes to the fair value of each investment in the portfolio; and (v) the Board of Directors discusses the
valuation recommendations of the Audit Committee and determines the fair value of each investment in the portfolio in good faith based on the input of the Investment Adviser and, where applicable, the third-party valuation firm.

All factors that might materially impact the value of an investment are considered, including, but not limited to the assessment of the
following factors, as relevant:



| |  |  | the nature and realizable value of any collateral;
| | - |  | --------------------------------------------------



| |  |  | call features, put features and other relevant terms of debt;
| | - |  | -------------------------------------------------------------



| |  |  | the portfolio companys leverage and ability to make payments;
| | - |  | --------------------------------------------------------------



| |  |  | the portfolio companys public or private credit rating;
| | - |  | --------------------------------------------------------



| |  |  | the portfolio companys actual and expected earnings and discounted cash flow;
| | - |  | ------------------------------------------------------------------------------



74



---

##### Table of Contents

| |  |  | prevailing interest rates and spreads for similar securities and expected volatility in future interest rates;
| | - |  | --------------------------------------------------------------------------------------------------------------



| |  |  | the markets in which the portfolio company does business and recent economic and/or market events; and
| | - |  | ------------------------------------------------------------------------------------------------------



| |  |  | comparisons to comparable transactions and publicly traded securities.
| | - |  | ----------------------------------------------------------------------

Investment performance
data utilized are the most recently available financial statements and compliance certificates received from the portfolio companies as of the measurement date which in many cases may reflect a lag in information.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value
of the Companys investments may fluctuate from period to period. Because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been reported had a ready market for the
investments existed, and it is reasonably possible that the difference could be material.

In addition, changes in the market environment
and other events that may occur over the life of the investments may cause the realized gains or losses on investments to be different from the net change in unrealized appreciation or depreciation currently reflected in the consolidated financial
statements as of September 30, 2016 and December 31, 2015.

US GAAP establishes a hierarchical disclosure framework which ranks the
level of observability of market price inputs used in measuring investments at fair value. The observability of inputs is impacted by a number of factors, including the type of investment and the characteristics specific to the investment and state
of the marketplace, including the existence and transparency of transactions between market participants. Investments with readily available quoted prices or for which fair value can be measured from quoted prices in active markets generally have a
higher degree of market price observability and a lesser degree of judgment applied in determining fair value.

Investments measured and
reported at fair value are classified and disclosed based on the observability of inputs used in determination of fair values, as follows:



| |  |  | Level Iinputs to the valuation methodology are quoted prices available in active markets for identical investments as of the reporting date. The types of financial instruments in Level I generally include
unrestricted securities, including equities and derivatives, listed in active markets. The Company does not adjust the quoted price for these investments, even in situations where the Company holds a large position and a sale could reasonably impact
the quoted price.
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Level IIinputs to the valuation methodology are either directly or indirectly observable as of the reporting date and are those other than quoted prices in active markets. The type of financial instruments in this
category generally includes less liquid and restricted securities listed in active markets, securities traded in other than active markets, government and agency securities, and certain over-the-counter derivatives where the fair value is based on
observable inputs.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Level IIIinputs to the valuation methodology are unobservable and significant to overall fair value measurement. The inputs into the determination of fair value require significant management judgment or
estimation. Financial instruments that are in this category generally include investments in privately-held entities, collateralized loan obligations (CLOs), and certain over-the-counter derivatives where the fair value is based on
unobservable inputs.
| | - |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

In certain cases, the inputs used to measure fair value may fall into 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 overall fair value measurement. The Investment Advisers assessment of the significance
of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.



75



---

##### Table of Contents

Transfer between levels, if any, are recognized at the beginning of the quarter in which the
transfers occur.

The Company generally uses the following framework when determining the fair value of investments that are categorized
as Level III:

Investments in debt securities are initially evaluated to determine whether the enterprise value of the portfolio company
is greater than the applicable debt. The enterprise value of the portfolio company is estimated using a market approach and an income approach. The market approach utilizes market value (EBITDA) multiples of publicly traded comparable companies and
available precedent sales transactions of comparable companies. The Company carefully considers numerous factors when selecting the appropriate companies whose multiples are used to value its portfolio companies. These factors include, but are not
limited to, the type of organization, similarity to the business being valued, relevant risk factors, as well as size, profitability and growth expectations. The income approach typically uses a discounted cash flow analysis of the portfolio
company.

Investments in debt securities that do not have sufficient coverage through the enterprise value analysis are valued based on an
expected probability of default and discount recovery analysis.

Investments in debt securities with sufficient coverage through the
enterprise value analysis are generally valued using a discounted cash flow analysis of the underlying security. Projected cash flows in the discounted cash flow typically represent the relevant securitys contractual interest, fees and
principal payments plus the assumption of full principal recovery at the securitys expected maturity date. The discount rate to be used is determined using an average of two market-based methodologies. Investments in debt securities may also
be valued using consensus pricing.

Investments in structured finance obligations are generally valued using a discounted cash flow and/or
consensus pricing.

Investments in equities are generally valued using a market approach and/or an income approach. The market approach
utilizes EBITDA multiples of publicly traded comparable companies and available precedent sales transactions of comparable companies. The income approach typically uses a discounted cash flow analysis of the portfolio company.

Investments in the investment funds subordinated loan and members interest are valued using the net asset value of the
Companys ownership interest in the funds and investments in the investment funds mezzanine loans are valued using the expected repayment rate.

The significant unobservable inputs used in the fair value measurement of the Companys investments in first and second lien debt
securities are discount rates and indicative quotes. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in indicative quotes in isolation may result in a significantly lower
fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Companys investments in
structured finance obligations are discount rates, default rates, prepayment rates, recovery rates and indicative quotes. Significant increases in discount rates, default rates or prepayment rates in isolation would result in a significantly lower
fair value measurement, while a significant increase in recovery rates in isolation would result in a significantly higher fair value. Significant decreases in indicative quotes in isolation may result in a significantly lower fair value
measurement.

The significant unobservable inputs used in the fair value measurement of the Companys investments in equities are
discount rates and comparable EBITDA multiples. Significant increases in discount rates would result in a significantly lower fair value measurement. Significant decreases in comparable EBITDA multiples would result in a significantly lower fair
value measurement.



76



---

##### Table of Contents

The carrying values of the secured borrowings and 2015-1 Notes approximate their respective fair
values and are categorized as Level III within the hierarchy. Secured borrowings are valued generally using discounted cash flow analysis. The significant unobservable inputs used in the fair value measurement of the Companys secured
borrowings are discount rates. Significant increases in discount rates would result in a significantly lower fair value measurement. The fair value determination of the Companys 2015-1 Notes was based on the market quotation(s) received from
broker/dealer(s). These fair value measurements were based on significant inputs not observable and thus represent Level III measurements as defined in the accounting guidance for fair value measurement.

The carrying value of other financial assets and liabilities approximates their fair value based on the short term nature of these items.

See Note 3 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q for further information on fair value
measurements.

Use of Estimates

The preparation of consolidated financial statements included in Part I, Item 1 of this Form 10-Q, in conformity with US GAAP
requires management to make assumptions and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Managements estimates are based on historical experiences and other factors, including expectations of future events that management believes to be reasonable under the circumstances. It also requires
management to exercise judgment in the process of applying the Companys accounting policies. Assumptions and estimates regarding the valuation of investments and their resulting impact on base management and incentive fees involve a higher
degree of judgment and complexity and these assumptions and estimates may be significant to the consolidated financial statements included in Part I, Item 1 of this Form 10-Q. Actual results could differ from these estimates and such
differences could be material.

Investments

Investment transactions are recorded on the trade date. 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 using the specific identification method without regard to unrealized appreciation or depreciation previously recognized, and includes investments charged off during the period,
net of recoveries. Net change in unrealized appreciation or depreciation on investments as presented in the Consolidated Statements of Operations included in Part I, Item 1 of this Form 10-Q reflects the net change in the fair value of
investments, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized.

Revenue
Recognition

Interest from Investments and Realized Gain/Loss on Investments

Interest income is recorded on an accrual basis and includes the accretion of discounts and amortization of premiums. Discounts from and
premiums to par value on debt investments purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method. The amortized cost of debt investments represents the original cost,
including origination fees, adjusted for the accretion of discounts and amortization of premiums, if any. At time of exit, the realized gain or loss on an investment is the difference between the amortized cost at time of exit and the cash received
at exit using the specific identification method.

The Company may have loans in its portfolio that contain payment-in-kind
(PIK) provisions. PIK represents interest that is accrued and recorded as interest income at the contractual rates, increases the loan principal on the respective capitalization dates, and is generally due at maturity.



77



---

##### Table of Contents

Interest income from investments in the equity class of CLO funds, which are included
in structured finance obligations, is recorded based upon an estimation of an effective yield to expected maturity utilizing assumed cash flows in accordance with ASC 325-40, Beneficial Interests in Securitized Financials Assets.
We monitor the expected cash inflows from our CLO equity investments, including the expected residual payments and the effective yield is determined and updated at least quarterly. In estimating these cash flows, there are a number of assumptions
that are subject to uncertainties, including the amount and timing of principal payments which are impacted by prepayments, repurchases, defaults, delinquencies and liquidations of or within the CLO funds. These uncertainties are difficult to
predict and are subject to future events that could have impacted the Companys estimates if the information was known at the time. As a result, actual results may differ significantly from these estimates.

Other Income

Other income may include
income such as consent, waiver, amendment, and syndication fees associated with the Companys investment activities as well as any fees for managerial assistance services rendered by the Company to portfolio companies. Such fees are recognized
as income when earned or the services are rendered. The Company may receive fees for guaranteeing the outstanding debt of a portfolio company. Such fees will be amortized into other income over the life of the guarantee. The unamortized amount, if
any, is included in other assets in the Consolidated Statements of Assets and Liabilities included in Part I, Item 1 of this Form 10-Q.

Non-Accrual Income

Loans are generally
placed on non-accrual status when principal or interest payments are past due 30 days or more or when there is reasonable doubt that principal or interest will be collected in full. Accrued and unpaid interest is generally reversed when a loan is
placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon managements judgment regarding collectability. Non-accrual loans are restored to accrual status
when past due principal and interest are paid current and, in managements judgment, are likely to remain current. Management may not place a loan on non-accrual status if the loan has sufficient collateral value and is in the process of
collection.

Income Taxes

For
federal income tax purposes, GMS Finance has elected to be treated as a RIC under the Code, and intends to make the required distributions to its stockholders as specified therein. In order to qualify as a RIC, GMS Finance must meet certain minimum
distribution, source-of-income and asset diversification requirements. If such requirements are met, then GMS Finance is generally required to pay income taxes only on the portion of its taxable income and gains it does not distribute.

The minimum distribution requirements applicable to RICs require GMS Finance to distribute to its stockholders at least 90% of its investment
company taxable income (ICTI), as defined by the Code, each year. Depending on the level of ICTI earned in a tax year, GMS Finance may choose to carry forward ICTI in excess of current year distributions into the next tax year. Any such
carryover ICTI must be distributed before the end of that next tax year through a dividend declared prior to filing the final tax return related to the year which generated such ICTI.

In addition, based on the excise distribution requirements, GMS Finance is subject to a 4% nondeductible federal excise tax on undistributed
income unless GMS Finance distributes in a timely manner an amount at least equal to the sum of (1) 98% of its ordinary income for each calendar year, (2) 98.2% of capital gain net income (both long-term and short-term) for the one-year
period ending October 31 in that calendar year and (3) any income realized, but not distributed, in the preceding year. For this purpose, however, any ordinary income or capital gain net income retained by GMS Finance that is subject to
corporate income tax is considered to have been distributed. GMS Finance intends to make sufficient distributions each taxable year to satisfy the excise distribution requirements.



78



---

##### Table of Contents

The Company evaluates tax positions taken or expected to be taken in the course of preparing its
consolidated financial statements to determine whether the tax positions are more-likely than not to be sustained by the applicable tax authority. All penalties and interest associated with income taxes, if any, are included in income
tax expense.

The Borrower Sub is a disregarded entity for tax purposes and is consolidated with the tax return of GMS Finance.

Capital Calls and Dividends and Distributions to Common Stockholders

The Company records the shares issued in connection with capital calls as of the effective date of the capital call. To the extent that the
Company has taxable income available, the Company intends to make quarterly distributions to its common stockholders. Dividends and distributions to common stockholders are recorded on the record date. The amount to be distributed is determined by
the Board of Directors each quarter and is generally based upon the taxable earnings estimated by management and available cash. Net realized capital gains, if any, are generally distributed at least annually, although the Company may decide to
retain such capital gains for investment.

The Company has adopted a dividend reinvestment plan that provides for reinvestment of any
distributions on behalf of its stockholders, for those who have elected to participate in the plan. As a result of adopting such a plan, if the Board of Directors authorizes, and GMS Finance declares, a cash dividend or distribution, the
stockholders who have elected to participate in the dividend reinvestment plan would have their cash dividends or distributions automatically reinvested in additional shares of the Companys common stock, rather than receiving cash. Prior to a
Qualified IPO, the Company intends to use primarily newly issued shares of its common stock to implement the plan issued at the net asset value per share most recently determined by the Board of Directors. After a Qualified IPO, the Company intends
to use primarily newly issued shares to implement the plan so long as the market value per share is equal to or greater than the net asset value per share as of the close of business on the relevant payment date for such dividend or distribution. If
the market value per share is less than the net asset value per share as of the close of business on the relevant payment date, the plan administrator would purchase the common stock on behalf of participants in the open market, unless the Company
instructs the plan administrator otherwise.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

We are subject to financial market risks, including changes in the valuations of our investment portfolio and interest rates.

Valuation Risk

Our investments
may not have a readily available market price, and we value these investments at fair value as determined in good faith by our Board of Directors in accordance with our valuation policy. There is no single standard for determining fair value in good
faith. As a result, determining fair value requires that judgment be applied to the specific facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of investments we make. Due to
the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Companys investments may fluctuate from period to period. Because of the inherent uncertainty of
valuation, these estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and it is possible that the difference could be material.

Interest Rate Risk

As of
September 30, 2016, on a fair value basis, approximately 1% of our debt investments bear interest at a fixed rate and approximately 99% of our debt investments bear interest at a floating rate, which primarily are subject to interest rate floors.
Interest rates on the investments held within the Companys portfolio of investments are typically based on floating LIBOR, with many of these investments also having a LIBOR floor. Additionally, the Companys credit facilities are also
subject to floating interest rates and are currently paid based on floating LIBOR rates.



79



---

##### Table of Contents

Interest rate sensitivity refers to the change in earnings that may result from changes in the
level of interest rates. There can be no assurance that a significant change in market interest rates will not have a material adverse effect on our income in the future.

The following table estimates the potential changes in net cash flow generated from interest income, should interest rates increase or
decrease by 100, 200 or 300 basis points. Interest income is calculated as revenue from interest generated from the Companys settled portfolio of investments held as of September 30, 2016 and December 31, 2015, excluding structured finance
obligations and investment fund. These hypothetical calculations are based on a model of the settled investments in our portfolio, excluding structured finance obligations and investment fund, held as of September 30, 2016 and December 31, 2015, and
are only adjusted for assumed changes in the underlying base interest rates and the impact of that change on interest income. Interest expense is calculated based on outstanding secured borrowings and 2015-1 Notes as of September 30, 2016 and
December 31, 2015 and based on the terms of the Companys credit facilities and 2015-1 Notes. Interest expense on the Companys credit facilities is calculated using the interest rate as of September 30, 2016 and December 31, 2015,
adjusted for the hypothetical changes in rates, as shown below. We intend to continue to finance a portion of our investments with borrowings and the interest rates paid on our borrowings may impact significantly our net interest income.

The Company regularly measures exposure to interest rate risk. The Company assesses interest rate risk and manages interest rate exposure on
an ongoing basis by comparing our interest rate sensitive assets to our interest rate sensitive liabilities. Based on that review, we determine whether or not any hedging transactions are necessary to mitigate exposure to changes in interest rates.

Based on our Consolidated Statements of Assets and Liabilities as of September 30, 2016 and December 31, 2015, the following table shows
the annual impact on net investment income of base rate changes in interest rates for our settled investments (considering interest rate floors for variable rate instruments), excluding structured finance obligations and investment fund, and
outstanding secured borrowings and 2015-1 Notes assuming no changes in our investment and borrowing structure:



|                      |  |                          |        |   |                         |   |         |                     |  |   |                |  |  |                 |        |  |                     |   |         |   |  |   |        |  
|--------------------- |  | ------------------------ | ------ | - | ----------------------- | - | ------- | ------------------- |  | - | -------------- |  |  | --------------- | ------ |  | ------------------- | - | ------- | - |  | - | ------ | -
|                      |  | As of September 30, 2016 |        |   | As of December 31, 2015 |  
|Basis Point Change    |  | InterestIncome           |        |   | InterestExpense         |   |         | NetInvestmentIncome |  |   | InterestIncome |  |  | InterestExpense |        |  | NetInvestmentIncome |  
|Up 300 basis points   |  | $                        | 28,795 |   |                         | $ | (19,230 | )                   |  | $ | 9,565          |  |  | $               | 26,335 |  |                     | $ | (14,409 | ) |  | $ | 11,926 |  
|Up 200 basis points   |  | $                        | 18,715 |   |                         | $ | (12,820 | )                   |  | $ | 5,895          |  |  | $               | 16,271 |  |                     | $ | (9,606  | ) |  | $ | 6,665  |  
|Up 100 basis points   |  | $                        | 8,634  |   |                         | $ | (6,410  | )                   |  | $ | 2,224          |  |  | $               | 6,207  |  |                     | $ | (4,803  | ) |  | $ | 1,404  | )
|Down 100 basis points |  | $                        | (170   | ) |                         | $ | 4,830   |                     |  | $ | 4,660          |  |  | $               |       |  |                     | $ | 2,826   |   |  | $ | 2,826  |  
|Down 200 basis points |  | $                        | (290   | ) |                         | $ | 4,830   |                     |  | $ | 4,540          |  |  | $               |       |  |                     | $ | 2,826   |   |  | $ | 2,826  |  
|Down 300 basis points |  | $                        | (410   | ) |                         | $ | 4,830   |                     |  | $ | 4,420          |  |  | $               |       |  |                     | $ | 2,826   |   |  | $ | 2,826  |  

Item 4. Controls and Procedures.

As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our
management, including our Chief Executive Officer (Principal Executive Officer) and our Chief Financial Officer and Treasurer (Principal Financial Officer), of the effectiveness of the design and operation of our disclosure controls and procedures
(as defined in Rule 13a-15 of the Securities Exchange Act of 1934, as amended (the Exchange Act)). Based on that evaluation, our Chief Executive Officer and our Chief Financial Officer and Treasurer have concluded that our current
disclosure controls and procedures are effective in timely alerting them of material information relating to the Company that is required to be disclosed by us in the reports we file or submit under the Exchange Act.

There have been no changes in our internal control over financial reporting during the three month period ended September 30, 2016 that have
materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.



80



---

##### Table of Contents

PART IIOTHER INFORMATION

Item 1. Legal Proceedings.

The Company may become party to certain lawsuits in the ordinary course of business. The Company is not currently subject to any material legal
proceedings, nor, to our knowledge, is any material legal proceeding threatened against the Company. See also Note 11 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

Item 1A. Risk Factors.

Except as set forth below, there have been no material changes to the risk factors previously disclosed in our annual report on Form 10-K for
the year ended December 31, 2015. For a discussion of our potential risks and uncertainties, see the information under the heading Risk Factors in Part I, Item 1A of our annual report on Form 10-K for the year ended December 31, 2015
filed with the SEC on March 11, 2016, which is accessible on the SECs website at sec.gov.

We may be exposed to special risks associated with
bankruptcy case.

One or more of our portfolio companies may be involved in bankruptcy or other reorganization or liquidation
proceedings. The reorganization of a company can involve substantial legal, professional and administrative costs to a lender and the borrower. It is subject to unpredictable and lengthy delays, and during the process a companys competitive
position may erode, key management may depart and a company may not be able to invest adequately. In some cases, the debtor company may not be able to reorganize and may be required to liquidate assets. The debt of companies in financial
reorganization will, in most cases, not pay current interest, may not accrue interest during reorganization and may be adversely affected by an erosion of the issuers fundamental value. To the extent we and an affiliate both hold investments
in the same portfolio company that are of a different character, we may also face restrictions on our ability to become actively involved in the event that portfolio company becomes distressed as a result of the restrictions imposed on transactions
involving affiliates under the Investment Company Act. In such cases, we may be unable to exercise rights we may otherwise have to protect our interests as security holders in such portfolio company.

Our ability to extend financial commitments may be limited.

The SEC has proposed a new Rule 18f-4 under the Investment Company Act that, if enacted in the form proposed, could adversely impact the way we
and other BDCs do business. In addition to imposing restrictions on the use of derivatives, the rule would generally limit our financial commitments to portfolio companies, together with our exposure to other transactions involving senior securities
entered into by us other than in reliance of the rule, to not more than 150 percent of our net asset value. We cannot assure you when or if the proposed rule will be adopted by the SEC, and if adopted, whether the final rule will constrain our
ability to extend financial commitments.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

Except as previously reported by the Company on Form 8-K, we did not sell any equity securities during the period covered in this report that
were not registered under the Securities Act of 1933, as amended.

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.



81



---

##### Table of Contents

Item 5. Other Information.

On November 9, 2016, Michael L. Rankowitz resigned as an Independent Director of the Board of Directors of the Company effective
November 9, 2016. In connection therewith, Mr. Rankowitz also resigned as a member of the Audit Committee and the Pricing Committee of the Board of Directors.

Item 6. Exhibits.



|     |  |                                                                                                                                                                                  
|---- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|10.1 |  | Second Amended and Restated Limited Liability Company Agreement, dated as of June 24, 2016, by and between Carlyle GMS Finance, Inc. and Credit Partners USA LLC, as members.*   
|     | 
|31.1 |  | Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended.*                           
|     | 
|31.2 |  | Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*                              
|     | 
|32.1 |  | Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*
|     | 
|32.2 |  | Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*



|* | Filed herewith
|- | --------------



82



---

##### Table of Contents

SIGNATURES

Pursuant to the requirements 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.



|                         |  |                           |  |                                        
|------------------------ |  | ------------------------- |  | ---------------------------------------
|                         |  | CARLYLE GMS FINANCE, INC.
|                         |  |                          
|Dated: November 10, 2016 |  | By                        |  | /s/ Venugopal Rathi                    
|                         |  |                           |  | Venugopal Rathi
Chief Financial Officer



83